CHAPTER 3

RANDOM VARIABLE

RV

Discrete Continuous

Probability Probability
distribution density
function function

Cumulative
distribution
function

Expected
value, E(X)
Variance
and SD

Introduction
Random variable: rule to assign a number to each outcome of a sample space
Symbol/ Notation – X, Y, Z
Value of RV – x, y, z
Example 1:
Two balls are drawn without replacement from a box containing 4 red balls and 3 black balls. Y
is the number of red balls and y is the value of random variable Y.

Sample space y
RR 2
RB 1
BR 1
BB 0
So, the possible value for Y are 0, 1 or 2.
Example 2:
A shop owner asked two of his customers whether the new tom yam menu is good. The responses
recorded Y for ‘Yes’ and N for ‘No’. Let X be the ‘number of Yes responses’ recorded. Find the
value of random variable X.
Solution:
S={YY, YN, NY, NN}
𝑃(𝑌𝑌) = 2 𝑃(𝑌𝑁) = 1 𝑃(𝑁𝑌) = 1 𝑃(𝑁𝑁) = 0
So, the possible value for X are 0, 1 or 2.

Exercise:
1. Let an experiment consist of three tosses of a fair coin.
a. List down the sample space.
b. Let X be the random variable that denotes the number of heads occurring in the
three tosses. Find the possible values for X.
2. There are 3 blue marble and 4 green marbles in a box. Two marbles were selected randomly
with replacement before the second marble was taken. Let Z be the random variable that
denoted the number of blue marble selected. Find the possible values for Z.

Discrete Random Variables

 Example: number of cars, number of house, number of defective bulb etc.
 Exact values in the real number axis. 0, 1, 2, 3 and so on.

Probability Distribution Function

𝑛
𝑃(𝑋 = 𝑥) = 𝑃(𝑥)
∑ 𝑃(𝑋𝑖 ) = 1
𝑖=1
0 ≤ 𝑃(𝑋 = 𝑥) ≤ 1
  The probability distribution function is frequently given in tabular representation.

𝑥 0 1 2 3
𝑃(𝑋 = 𝑥) 1 3 3 1
8 8 8 8

Example 3:

A taxi driver randomly guesses at the answer on two true – false questions. Find the probability
distribution.
Solution: 1
C
Let X = number of correct answers 2
1 C
C = correct answer 2 1
2 W
W = wrong answer
1
1 1 1 1
2
𝑃(𝑋 = 0) = 𝑃(𝑊𝑊) = × = 2 W C
2 2 4
1 1 1
𝑃(𝑋 = 1) = 𝑃(𝑊𝐶) + 𝑃(𝐶𝑊) = × = 1
W
4 4 2 2
1 1 1
𝑃(𝑋 = 2) = 𝑃(𝐶𝐶) = × =
2 2 4
So, the probability distribution function is

𝑥 0 1 2
𝑃(𝑋 = 𝑥) 1 1 1
4 2 4

Example 4:
Determine whether the distribution is probability distribution function.

𝑥 0 1 2
𝑃(𝑋 = 𝑥) 2 3 2
7 7 7
Solution:
𝑃(0) + 𝑃(1) + 𝑃(2)
2 3 2
= + +
7 7 7
=1 Therefore, 𝑃(𝑋) is a probability distribution since ∑3𝑖=1 𝑃(𝑋𝑖 ) = 1.

Exercise:

1. Determine the value of 𝑚 if he following function is probability distribution

𝑚, 𝑥=0
𝑃(𝑋 = 𝑥) = {
𝑚𝑥, 𝑥 = 1, 2, 3
Answer: 𝑚 = 1⁄7
2. A machine has 8 transistors. 3 of them are defective. If 2 transistors are selected at random
with replacement, find the probability distribution function.
Answer:
𝑥 0 1 2
𝑃(𝑋 = 𝑥) 25⁄64 30⁄64 9⁄64
3. Determine the value of 𝑐 if the following is probability dirsribution
𝑐𝑥 ,5 ≤ 𝑥 ≤ 7
𝑃(𝑋 = 𝑥) = {2𝑐(𝑥 − 1) , 𝑥 = 8
0 , 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
Answer: 𝑐 = 1⁄18
32

Calculation of Probability Distribution Function

Example 5:

𝑥 0 1 2 3 4
𝑃(𝑋 = 𝑥) 0.12 0.45 0.2 0.15 0.08
Use the probability distribution function above to calculate

a) 𝑃(𝑋 ≤ 2)
b) 𝑃(𝑋 ≥ 2)
c) 𝑃(𝑋 < 3)
d) 𝑃(𝑋 > 1)
e) 𝑃(1 ≤ 𝑋 ≤ 3)
f) 𝑃(1 < 𝑋 < 4)
g) 𝑃(1 ≤ 𝑋 < 4)
h) 𝑃(0 ≤ 𝑋 ≤ 2)
Solution:
a) 𝑃(𝑋 ≤ 2) = 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2)
= 0.12 + 0.45 + 0.2
= 0.77
b) 𝑃(𝑋 ≥ 2) = 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3) + 𝑃(𝑋 = 4)
= 0.2 + 0.15 + 0.08
= 0.43
c) 𝑃(𝑋 < 3) = 𝑃(𝑋 ≤ 2) = 0.77
 d) 𝑃(𝑋 > 1) = 𝑃(𝑋 ≥ 2) = 0.43
e) 𝑃(1 ≤ 𝑋 ≤ 3) = 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3)
= 0.45 + 0.2 + 0.15
= 0.8
f) 𝑃(1 < 𝑋 < 4) = 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3)
= 0.2 + 0.15
= 0.35
g) 𝑃(1 ≤ 𝑋 < 4) = 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3)
= 0.45 + 0.2 + 0.15
= 0.8
h) 𝑃(0 < 𝑋 ≤ 2) = 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2)
= 0.45 + 0.2
= 0.65
Exercise:
1) Consider the following probability distribution function
𝑥 -1 0 1 2 3 4
𝑃(𝑋 = 𝑥) 0.25 𝑝 0.14 0.23 0.1 0.05
a) Calculate 𝑝
b) Find
i) 𝑃(𝑋 < 1) ii) 𝑃(𝑋 ≤ 3) iii) 𝑃(𝑋 ≥ 0) iv) 𝑃(−1 ≤ 𝑋 < 2)
v) 𝑃(1 < 𝑋 ≤ 4) vi) 𝑃(0 ≤ 𝑋 < 3)
Answer: a) 𝑝 = 0.23 b)i) 0.48 b)ii) 0.95 b) iii) 0.75 b)iv) 0.85
b)v) 0.38 b)vi) 0.6

Cumulative Distribution Function

𝐹 (𝑥 ) = 𝑃(𝑋 ≤ 𝑥 ) = ∑ 𝑃(𝑋 = 𝑥)
−∞

Example 6:
Let the random variable 𝑋 denotes the number of heads in 3 tosses of a fair coin.
a) Find the value of 𝐹(𝑥) for 𝑥 = 0, 1, 2 and 3.
b) Find 𝐹(1.5)
Solution:

𝑥 0 1 2 3
𝑃(𝑋 = 𝑥) 1 3 3 1
8 8 8 8

a) 𝐹(0) = 𝑃(𝑋 ≤ 0) = 𝑃(𝑋 = 0)

= 1⁄8
𝐹(1) = 𝑃(𝑋 ≤ 1) = 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1)
= 1⁄8 + 3⁄8
= 4⁄8
𝐹(2) = 𝑃(𝑋 ≤ 2) = 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2)
= 1⁄8 + 3⁄8 + 3⁄8
= 7⁄8
𝐹(3) = 𝑃(𝑋 ≤ 3) = 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3)
= 1⁄8 + 3⁄8 + 3⁄8 + 1⁄8
= 8⁄8 = 1

𝑥 0 1 2 3 0 ,𝑥 < 0
‫ۓ‬1
𝐹(𝑥) 1⁄ 4⁄ 7⁄ 1 ۖ ⁄8 , 0 ≤ 𝑥 < 1
8 8 8
𝐹(𝑥) = 4⁄8 , 1 ≤ 𝑥 < 2
‫۔‬
7
ۖ ⁄8 , 2 ≤ 𝑥 < 3
‫ە‬1 , 𝑥≥3

b) 𝐹(1.5) = 𝑃(𝑋 ≤ 1.5)

= 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1)
= 1⁄8 + 3⁄8 = 4⁄8

Example 7:
Suppose a random variable 𝑋 has the following cumulative distribution function

𝑥 1 2 3 4 5
𝐹(𝑥) 0.11 0.25 0.64 0.77 1
a) Find 𝑃(𝑋 = 3).
b) Find 𝑃(𝑋 ≥ 4)
c) Find the distribution of 𝑋.

11.4.21
 Solution:

a) 𝑃(𝑋 = 3) = 𝐹(3) − 𝐹(2)

= 0.64 − 0.25
= 0.39
b) 𝑃(𝑋 ≥ 4) = 1 − 𝐹(3)
= 1 − 0.64
= 0.36
c)
0.64 – 0.25 = 0.39

𝑥 1 2 3 4 5
𝑃(𝑋 = 𝑥) 0.11 0.14 0.39 0.13 0.23

0.25 - 0.11 = 0.14

Exercise:
1) Suppose a random variable 𝑌 has the following cumulative distribution function:
0 ,𝑦 < 3
‫ ۓ‬0.01 , 3 ≤ 𝑦 < 4
ۖ
0.23 , 4 ≤ 𝑦 < 5
𝐹(𝑦) =
‫ ۔‬0.6 , 5 ≤ 𝑦 < 6
ۖ0.86 , 6 ≤ 𝑦 < 7
‫ە‬1 , 𝑦≥7
a) Find 𝑃(𝑌 = 7)
b) Find 𝑃(𝑌 ≥ 6)
c) Find 𝑃(𝑋 < 4)
d) Find the distribution of 𝑌
Answer: a) 0.14 b) 0.36 c) 0.01
2) For discrete random variable 𝑊, the cumulative distribution functions are as follow:
1 𝑤
𝐹(𝑤) = 1 − (1 − 𝑤) , 𝑤 = 1, 2, 3, 4
4
a) Find 𝐹(3)
b) Find 𝑃(𝑊 = 3)
c) Find 𝑃(2 ≤ 𝑤 ≤ 4)
Answer: a) 63/64 b) 15/64 c) 3 / 4
Expected value (MEAN), VARIANCE and Standard Deviation (SD)

𝐸(𝑋) = ∑ 𝑥 𝑃(𝑋 = 𝑥) Mean

𝑥=0

Variance 𝑉𝑎𝑟 (𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2

𝑆𝑑(𝑋) = ඥ𝑉𝑎𝑟 (𝑋)

SD

Example 8:
Suppose that the number of handphone sold in a day has the following probability distribution:

𝑥 0 1 2 3 4 5
𝑃(𝑋 = 𝑥) 0.2 0.1 0.3 0.1 0.3 0.2
Based on this probability distribution, find the average of number of handphone sold in a day,
variance and standard deviations.
Solution:
𝑛

𝐸(𝑋) = ∑ 𝑥 𝑃(𝑋 = 𝑥)
𝑥=0

= 0 (0.2) + 1(0.1) + 2(0.3) + 3(0.1) + 4(0.3) + 5(0.2)

= 3.2
𝐸(𝑋 2 ) = 02 (0.2) + 12 (0.1) + 22 (0.3) + 32 (0.1) + 42 (0.3) + 52 (0.2)
= 12

𝑉𝑎𝑟 (𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2

= 12 − (3.2)2
= 1.76

𝑆𝑑(𝑋) = √1.76
= 1.3266
Exercise:
1) Suppose that the probability distribution of 𝑍 is as follow:
𝑧 1 2 3 4 5
𝑃(𝑍 = 𝑧) 0.1 0.2 0.4 0.2 0.1
Find the mean, variance and standard deviation.
Answer: 3, 1.2 and 1.0955

2) Suppose that the probability distribution of 𝑌 is defined as

𝑦 1 2 3 4 5 6
𝑃(𝑌 = 𝑦) 0.13 0.21 0.11 0.18 𝑟 0.17
a) Find the value of 𝑟
b) Find 𝑃(1 ≤ 𝑟 ≤ 3)
c) Find 𝑃(1 < 𝑟 < 6)
d) Find the 𝐸(𝑋), 𝑉𝑎𝑟(𝑋)𝑎𝑛𝑑 𝑆𝑑(𝑋)
e) Find the cumulative distribution function 𝐹(𝑦)
Answer: a) 0.2 b) 0.45 c) 0.7 d) 3.62, 2.8556, 1.6899

Continuous Random Variables

 Example: height, weight, force etc.
 Can have decimal point. 0.4532, 1.2398 and so on.

Probability Density Function

𝑏
𝑃(𝑎 ≤ 𝑥 ≤ 𝑏) = ∫ 𝑓(𝑥) 𝑑𝑥
𝑎

𝑓(𝑥) ≥ 0, ∀𝑥

𝑎
𝑃(𝑋 = 𝑎) = 𝑃(𝑎 ≤ 𝑥 ≤ 𝑎) = ∫ 𝑓(𝑥) 𝑑𝑥
𝑎

∞
∫ 𝑓(𝑥) 𝑑𝑥 = 1
−∞
Example 9:
Show that the following function is a continuous random variable:

3𝑥 2 , 0 ≤ 𝑥 ≤ 1 ;
𝑓(𝑥) = {
0 , otherwise.
Solution:
∞ 0 1 ∞
2
∫ 𝑓(𝑥) 𝑑𝑥 = ∫ 0 𝑑𝑥 + ∫ 3𝑥 𝑑𝑥 + ∫ 0 𝑑𝑥
−∞ −∞ 0 1

= [𝑥 3 ]10
= 1−0=1
∞
Since ∫−∞ 𝑓(𝑥) 𝑑𝑥 = 1, then this function is continuous RV.

Calculation of Probability Density Function

𝑎
𝑃(𝑥 < 𝑎) = 𝑃(𝑥 ≤ 𝑎) = ∫ 𝑓(𝑥) 𝑑𝑥
−∞

𝑃(𝑥 > 𝑎) = 1 − 𝑃(𝑥 ≤ 𝑎)

𝑎
= 1 − ∫ 𝑓(𝑥) 𝑑𝑥
−∞

𝑃(𝑎 < 𝑥 ≤ 𝑏) = 𝑃(𝑎 ≤ 𝑥 ≤ 𝑏) = 𝑃(𝑎 ≤ 𝑥 < 𝑏)

𝑏
= ∫ 𝑓(𝑥) 𝑑𝑥
𝑎

Example 10:
Let 𝑀 have the probability density function:

4𝑚3 , 0 ≤ 𝑚 ≤ 1
𝑓(𝑚) = {
0 , otherwise.
a) Find 𝑃(0.25 ≤ 𝑀 ≤ 0.75)
b) Find 𝑃(𝑀 > 0.5)
Solution:

a) 𝑃(0.25 ≤ 𝑀 ≤ 0.75)
0.75
=∫ 4𝑚3 𝑑𝑚
0.25
= [𝑚4 ]0.75
0.25
= (0.75)4
− (0.25)4
= 0.3125
b) 𝑃(𝑀 > 0.5)
1
= ∫ 4𝑚3 𝑑𝑚
0.5
= [𝑚4 ]10.5
= 14 − (0.5)4 = 15⁄16

Exercise:

The total number of hours, measured in units of 10, that a student spends on reading book over
a period of one week is a continuous random variable 𝑋 with density function,
𝑥2 , 0<𝑥<1
𝑓(𝑥) = { 𝑘 − 𝑥 , 1 ≤ 𝑥 < 2
0 , elsewhere.
a) Find the value of 𝑘.
b) Find:
i) 𝑃(𝑋 < 1.5)
ii) 𝑃(𝑋 > 1.5)
iii) 𝑃(1 ≤ 𝑋 < 1.8)
Answer: a) 𝑘 = 13⁄6 b) i) 0.792 b)ii) 0.208 b)iii) 0.6133

Expected value (MEAN), VARIANCE and Standard Deviation (SD)

∞
𝐸(𝑋) = ∫ 𝑥 𝑓(𝑥) 𝑑𝑥 Mean
−∞

Variance 𝑉𝑎𝑟 (𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2

SD 𝑆𝑑(𝑋) = ඥ𝑉𝑎𝑟 (𝑋)

 𝐸(𝑎) = 𝑎
𝐸(𝑎𝑋) = 𝑎 𝐸(𝑋) 𝐸(4) = 4
𝐸(𝑎𝑋 + 𝑏) = 𝑎 𝐸(𝑋) + 𝑏 𝐸(5𝑋) = 5 𝐸(𝑋)
𝑉𝑎𝑟 (𝑎) = 0 𝐸(2𝑋 + 3) = 2 𝐸(𝑋) + 3
2
𝑉𝑎𝑟(𝑎𝑋) = 𝑎 𝑉𝑎𝑟(𝑋) 𝑉𝑎𝑟 (5) = 0
𝑉𝑎𝑟(𝑎 + 𝑋) = 𝑉𝑎𝑟(𝑋) 𝑉𝑎𝑟(7𝑋) = 72 𝑉𝑎𝑟(𝑋)
𝑉𝑎𝑟(4 + 𝑋) = 𝑉𝑎𝑟(𝑋)

Example 11:
Given 𝑥 is continuous random variable with probability density function as follow:
𝑥 , 0≤𝑥<1
𝑓(𝑥) = {2 − 𝑥 , 1 ≤ 𝑥 < 2
0 , others.
Find:
a) 𝐸(𝑋)
b) 𝑉𝑎𝑟 (𝑋)
c) 𝐸(2𝑋 + 3)
d) 𝑉𝑎𝑟 (3𝑋 − 1)
Solution:
1 2
a) 𝐸(𝑋) = ∫0 𝑥(𝑥) 𝑑𝑥 + ∫1 𝑥(2 − 𝑥) 𝑑𝑥
1 2
= ∫ 𝑥 𝑑𝑥 + ∫ 2𝑥 − 𝑥 2 𝑑𝑥
2
0 1
3 1 2
𝑥 2
𝑥3
= [ ] + [𝑥 − ]
3 0 3 1
1 4 2
= +( − )=1
3 3 3
1 2 2
b) 𝐸(𝑋 = ∫0 𝑥 (𝑥) 𝑑𝑥 + ∫1 𝑥 2 (2 − 𝑥) 𝑑𝑥
2)

1 2
= ∫ 𝑥 𝑑𝑥 + ∫ 2𝑥 2 − 𝑥 3 𝑑𝑥
3
0 1
 1 2
𝑥4 2𝑥 3 𝑥 4
=[ ] +[ − ]
4 0 3 4 1
1 4 5 7
= +( − )=
4 3 12 6

𝑉𝑎𝑟 (𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2

7 1
= − 12 =
6 6

c) 𝐸(2𝑋 + 3) = 2𝐸(𝑋) + 𝐸(3)

= 2(1) + 3 = 5
d) 𝑉𝑎𝑟 (3𝑋 − 1) = 32 𝑉𝑎𝑟(𝑋) − 𝑉𝑎𝑟(1)
1
= 9 ( ) − 0 = 1.5
6
Exercise:
Given 𝑧 is continuous random variable with probability density function as follow:
2(1 − 𝑧) , 0 ≤ 𝑧 ≤ 1
𝑓(𝑧) = {
0 , others.
Find:
a) 𝑃 (𝑍 < 0.45)
b) 𝑃 (0.1 < 𝑍 < 0.79)
c) 𝐸(𝑍) and 𝑉𝑎𝑟 (𝑍)
d) Determine 𝐸(4𝑍), 𝐸(5𝑍 + 2) and 𝑉𝑎𝑟 (2𝑍 − 2)
Answer: a) 0.6975 b) 0.7659 c) 1⁄3, 1⁄18 d) 4⁄3, 11⁄3, 4⁄18
Cumulative Density Function

∞
𝐹 (𝑋) = 𝑃(𝑋 ≤ 𝑥 ) = ∫ 𝑓(𝑥 ) 𝑑𝑥
−∞

𝑃(𝑋 ≤ 𝑎) = 𝐹(𝑎)

𝑃(𝑋 > 𝑎) = 1 − 𝐹(𝑎)

𝑃(𝑎 < 𝑋 < 𝑏) = 𝑃(𝑎 ≤ 𝑋 ≤ 𝑏)

= 𝑃(𝑎 ≤ 𝑋 < 𝑏)
= 𝑃(𝑎 < 𝑋 ≤ 𝑏)
= 𝐹(𝑏) − 𝐹(𝑎)

Example 12:
The following is cumulative distribution for continuous random variable 𝑇:
0 , 𝑡<0
1
𝐹(𝑡) = { (𝑡 3 + 2𝑡) , 0 ≤ 𝑡 ≤ 4
72
1 , 𝑡≥4
Find:
1) 𝑃(1 ≤ 𝑇 ≤ 2)
2) 𝑃(𝑇 > 3)
3) 𝑃(2 < 𝑇 < 4)
Solution:
1 1
a) 𝑃(1 ≤ 𝑇 ≤ 2) = 72 (23 + 2(2)) − 72 (13 + 2(1))
1
=
8
b) 𝑃(𝑇 > 3) = 1 − 𝐹(3)
1 3
= 1− (3 + 2(3))
72
13
=
24
c) 𝑃(2 < 𝑇 < 4) = 𝐹(4) − 𝐹(2)
1 3 1
= (4 + 2(4)) − (23 + 2(2))
72 72
5
=
6
Exercise:
1) Using the same problem as in Example 12, find 𝑃(𝑇 > 1.5).
Answer: 0.9115