PROBABILITY AND STATISTICS

Dr. Öğr. Üyesi Sadra Mousavi

1𝑠𝑡 semester 2022-2023
 Expected value and Variance

• Example: The cumulative distribution function of the continuous random variable V

is:
0 𝑣 < −5
2
𝐹𝑉 𝑣 = 𝑐(𝑣 + 5) −5 ≤ 𝑣 < 7
1 𝑣≥7
• (a) What is c?
• (b) What is P[V > 4]?
• (c) P[−3 < V ≤ 0]?
• (d) What is the value of a such that P[V > a] =2/3?
 Expected value and Variance

• Example: The random variable X has probability density function

𝑐𝑥 0 ≤ 𝑥 ≤ 2
𝑓𝑋 𝑥 =
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
• Use the PDF to find
• (a) the constant c,
• (b) P[0 ≤ X ≤ 1],
• (c) P[−1/2 ≤ X ≤ 1/2],
• (d) the CDF 𝐹𝑋 (𝑥).
 Expected value and Variance

• Example: The cumulative distribution function (CDF) of the random variable Y is

0 𝑦 < −1
𝑦+1
𝐹𝑌 𝑦 = −1≤𝑦 ≤1
2
1 𝑦>1
• (a)sketch the CDF and the PDF?
• (b) What is E[Y]?
• (c) What is Var[Y]?
 Families of Continuous Random
Variables
• Uniform Random Variable:
• X is a uniform (a, b) random variable if the PDF of X is
1
𝑓𝑋 𝑥 = 𝑏−𝑎 𝑎 ≤𝑥 <𝑏
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
• where the two parameters are b > a.
• Find CDF, Expected value and variance of the uniform random variable?
 Families of Continuous Random
Variables
• Example: The phase angle, Θ, of the signal (continuous variable) at the input to a
modem is uniformly distributed between 0 and 2π radians. Find the CDF, the
expected value, and the variance of Θ?
 Families of Continuous Random
Variables
• Exponential Random Variable:
• X is an exponential (λ) random variable if the PDF of X is
−𝜆𝑥
𝑓𝑋 𝑥 = 𝜆𝑒 𝑥≥0
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
• where the parameter λ > 0.

• The probability that a telephone call lasts no more than t minutes is often modeled
as an exponential CDF.
• What is the PDF of the duration in minutes of
a telephone conversation? What is the probability that
a conversation will last between 2 and 4 minutes?
 Families of Continuous Random
Variables
• What is the expected value and variance in pervious example?
 Families of Continuous Random
Variables
• If X is an exponential (λ) random variable,
−𝜆𝑥
• (a) 𝐹𝑋 𝑥 = 1 − 𝑒 𝑥≥0
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
• (b) 𝐸[𝑋] = 1/𝜆.
• (c) 𝑉𝑎𝑟[𝑋] = 1/𝜆2 .

• Gaussian Random Variables:

• Bell-shaped curves appear in many applications of probability theory. The
probability models in these applications are members of the family of Gaussian
random variables. Gaussian random is very important variables specially in models
of practical phenomena. Because they occur so frequently in practice, Gaussian
random variables are sometimes referred to as normal random variables.
Families of Continuous Random
Variables
 Families of Continuous Random
Variables
• Gaussian Random Variable
• X is a Gaussian (μ, σ) random variable if the PDF of X is
1 −(𝑥−𝜇)2
𝑓𝑋 𝑥 = 𝑒 2𝜎2
2𝜋𝜎 2
• where the parameter μ can be any real number and the parameter σ > 0.
• The graph of f X (x) has a bell shape, where the center of the bell is x = μ and σ
reflects the width of the bell. If σ is small, the bell is narrow, with a high, pointy
peak. If σ is large, the bell is wide, with a low, flat peak.
• If X is a Gaussian (μ, σ) random variable,
• 𝐸 [𝑋] = 𝜇
• 𝑉𝑎𝑟 [𝑋] = 𝜎 2
 Families of Continuous Random
Variables
• Theorem 1: If X is Gaussian (μ, σ), 𝑌 = 𝑎𝑋 + 𝑏 is Gaussian (𝑎𝜇 + 𝑏, 𝑎𝜎).

• Definition: Standard Normal Random Variable

• The standard normal random variable is the Gaussian (0, 1) random variable.
1 −𝑥 2
𝑓𝑋 𝑥 = 𝑒 2
2𝜋
• Standard Normal CDF
• The CDF of the standard normal random variable Z is
𝑧
1 −𝑢2
𝐹𝑍 𝑧 = Φ(𝑧) = 𝑒 2 𝑑𝑢
2𝜋 −∞
 Families of Continuous Random
Variables
• Given a table of values of Φ(𝑧), we use the following theorem to find probabilities
of a Gaussian random variable with parameters μ and σ.
• Theorem: If X is a Gaussian (μ, σ) random variable, the CDF of X is
𝑥−𝜇
𝐹𝑋 𝑥 = Φ( )
𝜎
• The probability that X is in the interval (a, b] is
𝑏−𝜇 𝑎−𝜇
𝑃 𝑎<𝑋≤𝑏 =Φ −Φ
𝜎 𝜎

• In using this theorem, we transform values of a Gaussian random variable, X, to

equivalent values of the standard normal random variable, Z. For a sample value x
of the random variable X, the corresponding sample value of Z is
𝑥−𝜇
𝑧=
𝜎
 Families of Continuous Random
Variables
• Example 1: Suppose your score on a test is x = 46, a sample value of the Gaussian
(61, 10) random variable. Express your test score as a sample value of the standard
normal random variable, Z.

• Example 2: If X is the Gaussian (61, 10) random variable, what is P[X ≤ 46]?

• Example 3: if X is a Gaussian random variable with μ = 61 and σ = 10, what is

P[51< X ≤ 71]?
 Families of Continuous Random
Variables
• Example: X is the Gaussian (0, 1) random variable and Y is the Gaussian (0, 2)
random variable.
• (1) Sketch the PDFs 𝑓𝑋 (𝑥) and 𝑓𝑌 (𝑦) on the same axes.
• (2) What is 𝑃[−1 < 𝑋 ≤ 1]?
• (3) What is 𝑃[−1 < 𝑌 ≤ 1]?
• (4) What is 𝑃[𝑌 > 3.5]?
 Families of Continuous Random
Variables
• Delta Functions
• Unit Impulse (Delta) function:
• Suppose the following function:
1 −𝜖 𝜖
𝜖 2 ≤ 𝑥 ≤
𝑑𝜖 𝑥 = 2
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
• The unit impulse function is:
𝛿 𝑥 = lim 𝑑𝜖 (𝑥)
𝜖→0
 Families of Continuous Random
Variables

• For each 𝜖 the area under the curve of 𝑑𝜖 (𝑥) equals 1.

 Families of Continuous Random
Variables
• Theorem: For any continuous function g(x),
+∞
𝑔 𝑥 𝛿 𝑥 − 𝑥0 𝑑𝑥 = 𝑔(𝑥0 )
−∞
• Unit Step Function
0 𝑥<0
𝑢 𝑥 =
1 𝑥≥0

• The relation between unit impulse and unit step functions:

𝑑𝑢(𝑥)
𝛿 𝑥 =
𝑑𝑥
 Families of Continuous Random
Variables
• Lets assume that we have a PDF function as below:

𝑓𝑋 𝑥 = 𝑃𝑋 (𝑥𝑖 )𝛿(𝑥 − 𝑥𝑖 )
𝑎𝑙𝑙 𝑥
• When the PDF includes delta functions of the form 𝛿(𝑥 − 𝑥𝑖 ), we say there is an
impulse at 𝑥𝑖 .
 Families of Continuous Random
Variables
• When we graph a PDF 𝑓𝑋 (𝑥) that contains an impulse at 𝑥𝑖 , we draw a vertical
arrow labeled by the constant that multiplies the impulse. We draw each arrow
representing an impulse at the same height because the PDF is always infinite at
each such point.
• To calculate the expected value:
+∞
𝐸[𝑋] = 𝑥( 𝑃𝑋 (𝑥𝑖 )𝛿(𝑥 − 𝑥𝑖 ))𝑑𝑥
−∞ 𝑎𝑙𝑙 𝑥
 Families of Continuous Random
Variables
• Example 1: Suppose Y takes on the values 1, 2, 3 with equal probability. The PMF
and the corresponding CDF of Y are (figure in previous page)
1
𝑃𝑌 𝑦 = 3 𝑦 = 1, 2, 3
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
• Using the unit step function u(y), we can write CDF 𝐹𝑌 (𝑦) and using impulse
function we can find the PDF as follow:

• Consequently We see that the discrete random variable Y can be represented

graphically either by a PMF or CDF or PDF
 Families of Continuous Random
Variables
• Example 2: The cumulative distribution function of random variable X is

0 𝑥 < −1
𝑥+1
• 𝐹𝑋 𝑥 = −1≤𝑥 <1
4
1 𝑥≥1
• Sketch the CDF and find the following:
• (1) P[X ≤ 1]
• (2) P[X < 1]
• (3) P[X = 1]
• (4) the PDF 𝑓𝑋 (𝑥)
 Families of Continuous Random
Variables
• Example 3: Observe someone dialing a telephone and record the duration of the
call. In a simple model of the experiment, 1/3 of the calls never begin either
because no one answers or the line is busy. The duration of these calls is 0 minutes.
Otherwise, with probability 2/3, a call duration is uniformly distributed between 0
and 3 minutes. Let Y denote the call duration. Find the CDF , the PDF , and the
expected value E[Y]?