Ambo University

Department of Electrical & Computer Engineering

Probability and Random Process (ECEg-2113)

Chapter 2: Random Variables and Distributions

 Random Variables
Outline
§ Random Variable
§ The Cumulative Distribution Function
§ Probability Density and Mass Functions

2
Introduction
§ A random variable X is a function that assigns a real number
X(ω) to each outcome ω in the sample space Ω of a random
experiment.
§ The sample space Ω is the domain of the random variable and the
set RX of all values taken on by X is the range of the random
variable.
§ Thus, RX is the subset of all real numbers.


A
X ( )  x
Re al Line
x B

3
 Introduction Cont’d……
§ If X is a random variable, then {ω: X(ω)≤ x}={X≤ x} is an event for
every X in RX.
§ Two or more different sample points might give the same value
of X(ω) but two different numbers in the range cannot be
assigned to the same sample point.
Example: Consider a random experiment of tossing a fair coin three times.
The sequence of heads and tails is noted and the sample space Ω is given
by:   {HHH , HHT , HTH , THH , THT , HTT , TTH , TTT}
Let X be the number of heads in three coin tosses. X assigns each
possible outcome ω in the sample space Ω a number from the set
RX={0, 1, 2, 3}.
 : HHH HHT HTH THH THT HTT TTH TTT
X ( ) : 3 2 2 2 1 1 1 0 4
The Cumulative Distribution Function

§ The cumulative distribution function (cdf) of a random variable

X is defined as the probability of the event {X≤ x}.
FX ( x)  P( X  x)
Properties of the cdf, FX(x):
§ The cdf has the following properties.

i. FX ( x) is a non - negative function, i.e.,

0  FX ( x)  1
ii . lim F X ( x )  1
x 

iii . lim F X ( x )  0
x  

5
The Cumulative Distribution Function Cont’d…..

iv. FX ( x) is a non - decreasing function of X , i.e.,

If x1  x2 , then FX ( x1 )  FX ( x2 )

v. P ( x1  X  x 2 )  F X ( x 2 )  F X ( x1 )
vi . P ( X  x )  1  F X ( x )

Example:
Find the cdf of the random variable X which is defined as the
number of heads in three tosses of a fair coin.

6
The Cumulative Distribution Function
Solution:
ü We know that X takes on only the values 0, 1, 2 and 3 with
probabilities 1/8, 3/8, 3/8 and 1/8 respectively.
ü Thus, FX(x) is simply the sum of the probabilities of the
outcomes from the set {0, 1, 2, 3} that are less than or equal to x.

0, x  0
1 / 8, 0  x  1

 FX ( x)  1 / 2, 1  x  2
7 / 8, 2  x  3

1, x  3

7
Types of Random Variables
§ There are two basic types of random variables.
i. Continuous Random Variable
ü A continuous random variable is defined as a random variable
whose cdf, FX(x), is continuous every where and can be written as
an integral of some non-negative function f(x), i.e.,

FX ( x)   f (u )du

ii. Discrete Random Variable
ü A discrete random variable is defined as a random variable whose
cdf, FX(x), is a right continuous, staircase function of X with
jumps at a countable set of points x0, x1, x2,……

8
 Chapter 3, Lecture 1
Discrete and Continuous Density Functions

• Probability functions
– Discrete mass functions
– Continues density functions
– Expected Value, Variance and Moments
– Some Special Distributions
– Functions of One Random Variable

9
 The Probability Mass Function
§ The probability mass function (pmf) of a discrete random variable
X with i<j is defined as:

pmf of r.v X:
Properties of the pmf, PX (xi ):

i. 0  PX ( x i )  1, k  1, 2, .....

ii . PX ( x )  0 , if x  x k , k  1, 2, .....

iii . P
k
X ( xk )  1

IV. P(a<x ≤ b) = Fx(b)- Fx(a)

10
 The Probability Density Function
§ The probability density function (pdf) of a continuous random
variable X is defined as the derivative of the cdf, FX(x), i.e.,
dFX ( x)
f X ( x) 
§ P(X=x) =0.
dx

Properties of the pdf, fX(x): If X is continuous r.v, then

i. For all values of X , f X ( x )  0 P(a<X ≤ b) = P(a ≤ X ≤ b)
 = P(a ≤ X < b) = P(a<X < b)
ii . 

f X ( x ) dx  1

x2
iii . P ( x1  X  x 2 )  
x1
f X ( x ) dx

11
Calculating the Cumulative Distribution Function

§ The cdf of a continuous random variable X can be obtained by

integrating the pdf, i.e.,
x
FX ( x)   f X (u )du


§ Similarly, the cdf of a discrete random variable X can be obtained by

using the formula:

FX ( x)  P
xk  x
X ( xk )U ( x  xk )

12
Expected Value, Variance and Moments
i. Expected Value (Mean)
§ The expected value (mean) of a continuous random variable X,
denoted by μX or E(X), is defined as:

 X  E ( X )   xf X ( x)dx


§ Similarly, the expected value of a discrete random variable X is

given by:

 X  E ( X )   xk PX ( xk )
k

§ Mean represents the average value of the random variable in a

very large number of trials.
13
Expected Value, Variance and Moments Cont’d…..
ii. Variance
§ The variance of a continuous random variable X, denoted by
σ2X or VAR(X), is defined as:
 2 X  Var ( X )  E[( X   X ) 2 ]

 2
X  Var ( X )   ( x   X ) 2 f X ( x)dx

§ Expanding (x-μX )2 in the above equation and simplifying the
resulting equation, we will get:

 2
X
2
 Var ( X )  E ( X )  [ E ( X )] 2

14
 Expected Value, Variance and Moments Cont’d…..
§ The variance of a discrete random variable X is given by:

 2
X  Var ( X )   ( xk   X ) PX ( xk )
2

§ The standard deviation of a random variable X, denoted by σX, is

simply the square root of the variance, i.e.,

 X  E ( X   X ) 2  Var ( X )

iii.Moments
§ The nth moment of a continuous random variable X is defined as:

E ( X )   x n f X ( x)dx ,
n
n 1

15
Expected Value, Variance and Moments Cont’d…..

§ Similarly, the nth moment of a discrete random variable X is

given by:

E ( X )   xk PX ( xk ) ,
n
n 1
k

§ Mean of X is the first moment of the random variable X.

16
 Some Special Distributions
i. Continuous Probability Distributions
1. Normal (Gaussian) Distribution
§ The random variable X is said to be normal or Gaussian random
variable if its pdf is given by: N(µ, σ2)
1  ( x   ) 2 / 2 2
f X (x)  e .
2
2 
§ The corresponding distribution function is given by:
x 1 x 

 ( y   ) 2 / 2 2
FX ( x)  e dy  G  

2  2
  

where
x 1

2
G (x)  e  y / 2 dy

2 17
Some Special Distributions Cont’d……

§ The normal or Gaussian distribution is the most common

continuous probability distribution.
§ It has played a significant role in the study of random
phenomena in nature.
§ Noise signal in communication system is modeled as Gaussian
distribution.
fX (x)

x

Fig. Normal or Gaussian Distribution

18
Some Special Distributions Cont’d……
fX (x)
1
 1 ba
 , a  xb x
f X (x)   b  a a b
 0, otherwise.
Fig. Uniform Distribution

f X (x)

Fig. Exponential Distribution

19
 Some Special Distributions Cont’d……

4. Gamma Distribution

 x  1 x/
 e , x  0,
f X ( x )    ( )  

 0, otherwise.
5. Beta Distribution
 1
 x a  1 (1  x ) b  1 , 0  x  1,
f X ( x)    (a, b)
 0, otherwise.
where
1
 (a , b)  0
u a  1 (1  u ) b  1 du .

20
 Some Special Distributions Cont’d……

6. Rayleigh Distribution

 x  x 2 / 2  2
e , x  0,
f X ( x)   2
 0, otherwise.

7. Cauchy Distribution
 /
fX (x)  2 2
,    x   .
  (x  )

8. Laplace Distribution
1  | x |/ 
fX (x)  e ,    x   .
2
21
Some Special Distributions Cont’d….
i. Discrete Probability Distributions
1. Bernoulli Distribution
A Bernoulli r.v. X is associated with some experiment where an
outcome can be classified as either a "success" or a "failure," and
the probability of a success is p and the probability of a failure is 1-p

2. Binomial Distribution
A binomial r.v. X is associated with some experiments in which n
independent Bernoulli trials are performed and X represents the
number of successes that occur in the n trial. N.B. a Bernoulli r.v. is
just a binomial r.v. with parameters (1, p)
 n  k nk
P ( X  k )    p q , k  0 ,1 , 2 ,  , n .
k 
Mean= np
Variance np(1-p) 22
Some Special Distributions Cont’d….

3. Poisson Distribution
• an approximation for a binomial r.v. with parameters (n, p)
when n is large and p is small enough so that np is of a
moderate size.
• Some applications of Poisson r.v.'s:
1. The number of telephone calls arriving at a switching center
during various intervals of time
2. The number of misprints on a page of a book
3. The number of customers entering a bank during various
intervals of time
k
P ( X  k )  e  , k  0 ,1, 2 ,  ,  .
k!
23
Some Special Distributions Cont’d….

4. Hypergeometric Distribution
m  N m 
   
k   n k 
P( X  k )    
N 

, max(0, m  n  N )  k  min( m, n )
 
n 
 

5. Geometric Distribution

P ( X  k )  pq k , k  0 ,1 , 2 ,  ,  , q  1  p.

6. Negative Binomial Distribution

 k  1 r kr
P(X  k)    p q , k  r , r  1,  .
 r 1
24
Random Variable Examples

Example-1:
The pdf of a continuous random variable is given by:
kx , 0  x 1
f X ( x)  
0 , otherwise

where k is a constant.

a. Determine the value of k .

b. Find the corresponding cdf of X .

c. Find P (1 / 4  X  1)

d . Evaluate the mean and variance of X .

25
Random Variable Examples Cont’d……
Solution:
 1
a. 
f X ( x ) dx  1  
0
kxdx  1
 x2 1
 k    1
 2 0
k
 1
2
k  2
2 x , 0  x 1
 f X ( x)  
0, otherwise
26
Random Variable Examples Cont’d……
Solution:
b. The cdf of X is given by :
x
FX ( x)   
f X ( u ) du
Case 1 : for x  0
F X ( x )  0 , since f X ( x )  0 , for x  0
Case 2 : for 0  x  1
x x x
 
2
FX ( x)  f X ( u ) du  2 udu  u  x2
0 0 0

27
Random Variable Examples Cont’d……
Solution:

Case 3 : for x  1
1 1 1
 
2
FX ( x)  f X ( u ) du  2 udu  u 1
0 0 0
 The cdf is given by
0, x 0
 2
FX ( x)   x , 0 x 1
1, x 1


28
Random Variable Examples Cont’d……
Solution:
c. P (1 / 4  X  1)
i. Using the pdf
1 1
P (1 / 4  X  1)  
1/ 4
f X ( x ) dx  
1/ 4
2 xdx

2 1
 P (1 / 4  X  1)  x  15 / 16
1/ 4
 P (1 / 4  X  1)  15 / 16
ii . Using the cdf
P (1 / 4  X  1)  F X (1)  F X (1 / 4 )
 P (1 / 4  X  1)  1  (1 / 4 ) 2  15 / 16
 P (1 / 4  X  1)  15 / 16
29
Random Variable Examples Cont’d……
Solution:
d. Mean and Variance
i. Mean
1 1
X  E(X )  
0
xf X ( x ) dx  0
2 x 2 dx

2x3 1
 X   2/3
3 0
ii . Variance
 X 2  Var ( X )  E ( X 2 )  [ E ( X )] 2
1 1
 
2 2
E(X )  x f X ( x ) dx  2 x 3 dx  1 / 2
0 0
2
  X  Var ( x )  1 / 2  ( 2 / 3) 2  1 / 18
30
Random Variable Examples Cont’d……..

Example-2:
Consider a discrete random variable X whose pmf is given by:

1 / 3 , xk  1, 0, 1
PX ( xk )  
0 , otherwise

Find the mean and variance of X .

31
Random Variable Examples Cont’d……
Solution:
i. Mean
1
X  E(X )  x
k  1
k PX ( x k )  1 / 3(  1  0  1)  0

ii . Variance
 X 2  Var ( X )  E ( X 2 )  [ E ( X )] 2
1


2 2
E(X )  x k PX ( x k )  1 / 3[(  1) 2  ( 0 ) 2  (1) 2 ]  2 / 3
k  1
2
  X  Var ( x )  2 / 3  ( 0 ) 2  2 / 3

32
Exercises
Exercise

34
 Functions of One Random Variable
§ Let X be a continuous random variable with pdf fX(x) and suppose
g(x) is a function of the random variable X defined as:
Y  g( X )

§ We can determine the cdf and pdf of Y in terms of that of X.

§ Consider some of the following functions.
aX  b
sin X X2

1 |X |
Y  g( X )
X
X
log X
eX | X | U ( x)

35
 Functions of a Random Variable Cont’d…..
§ Steps to determine fY(y) from fX(x):
Method I:
1. Sketch the graph of Y=g(X) and determine the range space of Y.
2. Determine the cdf of Y using the following basic approach.

FY ( y )  P ( g ( X )  y )  P (Y  y )

3. Obtain fY(y) from FY(y) by using direct differentiation, i.e.,

dFY ( y )
fY ( y ) 
dy

36
 Functions of a Random Variable Cont’d…..
Method II:
1. Sketch the graph of Y=g(X) and determine the range space of Y.
2. If Y=g(X) is one to one function and has an inverse
transformation x=g-1(y)=h(y), then the pdf of Y is given by:
dx dh( y )
fY ( y )  f X ( x)  f X [h( y )]
dy dy
3. Obtain Y=g(x) is not one-to-one function, then the pdf of Y can
be obtained as follows.
i. Find the real roots of the function Y=g(x) and denote them by xi

37
 Functions of a Random Variable Cont’d…..

ii. Determine the derivative of function g(xi ) at every real root xi ,

i.e. ,
dxi
g ( xi ) 
dy
iii. Find the pdf of Y by using the following formula.

dxi
f Y ( y)   f X ( xi )   g ( xi ) f X ( xi )
i dy i

38
Examples on Functions of One Random Variable

Examples:
a. Let Y  aX  b. Find f Y ( y ).

b. Let Y  X 2 . Find f Y ( y ).

1
c. Let Y  . Find f Y ( y ).
X
 
d . The random variable X is uniform in the interval [ , ].
2 2
If Y  tan X , determine the pdf of Y .

39
Examples on Functions of One Random Variable…..
Solutions:
a. Y  aX  b
i. Using Method  I
Suppose that a  0

 yb
F y ( y )  P (Y  y )  P ( aX  b  y )  P  X  
 a 

 yb
FY ( y )  F X  
 a 
dFY ( y ) 1  yb
 fY ( y)   fX   (i )
dy a  a 

40
Examples on Functions of One Random Variable…..
Solutions:

a. Y  aX  b
i. Using Method  I
On the other if a  0, then

 yb
F y ( y )  P (Y  y )  P ( aX  b  y )  P  X  
 a 

 yb
FY ( y )  1  F X  
 a 
dFY ( y ) 1  yb
 fY ( y)    fX   (ii )
dy a  a 
41
Examples on Functions of One Random Variable…..
Solutions:

a. Y  aX  b

i. Using Method  I

From equations (i ) and (ii ) , we obtain :

1  y b
f Y ( y)  fX  , for all a
a  a 

42
 Examples on Functions of One Random Variable…..
Solutions:

a. Y  aX  b
ii. Using Method  II
The function Y  aX  b is one - to - one and the range
space of Y is IR
yb
For any y , x   h ( y ) is the principal solution
a
dx dh ( y ) 1 dx 1
   
dy dy a dy a
dx dh  y  1  yb
fY ( y)  f X ( x)  f X h ( y )   f Y ( y )  fX  
dy dy a  a 

43
Examples on Functions of One Random Variable…..
Solutions:

2
b. The function Y  X is not one - to - one and the range
space of Y is y  0
For each y  0, there are two solutions given by
x1   y and x 2  y

44
Examples on Functions of One Random Variable…..
Solutions:
dx 1 1 dx 1 1
b.    and
dy 2 y dy 2 y

dx 2 1 dx 2 1
  
dy 2 y dy 2 y

dx i dx 1 dx 2
fY ( y)  
i dy
f X ( xi )  f Y ( y ) 
dy
f X ( x1 ) 
dy
f X ( x2 )

 1
2 y fX   y   f  y ,
X y0
 fY ( y)  

 0, otherwise
45
Examples on Functions of One Random Variable…..
Solutions:
1
c . The function Y  is one - to - one and the range
X
space of Y is IR / 0 
1
For any y , x   h ( y ) is the principal solution
y
dx dh ( y ) 1
  2
dy dy y

dx dh  y  1 1
fY ( y)  f X ( x)  f X h ( y )   f Y ( y )  2 f X  
dy dy y  y

1 1
 fY ( y)  f X 
  , IR / 0 
y
2
y
46
Examples on Functions of One Random Variable…..
Solutions:
d . The function Y  tan X is one - to - one and the range

space of Y is (  ,  )

For any y , x  tan 1 y  h ( y ) is the principal solution

dx dh ( y ) 1
 
dy dy 1 y2

dx dh  y  1/ 
fY ( y)  f X ( x)  f X h ( y )   f Y ( y ) 
dy dy 1 y2

1
 fY ( y)  2
,   y 
 (1  y )
47
Examples on Functions of One Random Variable…..
Solutions:

48
Assignment-II

1. The continuous random variable X has the pdf given by:

k (2 x  x 2 ) , 0  x  2
f X ( x)  
0 , otherwise

where k is a constant.

Find :

a. the value of k .

b. the cdf of X .

c. P ( X  1)

d . the mean and variance of X .

49
Assignment-II Cont’d…..

2. The cdf of continuous random variable X is given by:

0 , x0


F ( x )  k x , 0  x  1
X

1, x 1

whe re k is a constant.
Determine :
a. the value of k .
b. the pdf of X .
c. the mean and variance of X .
50
Assignment-II Cont’d…..

3. The random variable X is uniform in the interval [0, 1]. Find

the pdf of the random variable Y if Y=-lnX.

51