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Module 2

The document is a lecture module on Random Variables presented by Dr. Bhumika G. Choksi at VIT Bhopal University. It covers the introduction to random variables, types (discrete and continuous), probability mass and density functions, as well as special distributions like Binomial and Normal distributions. Examples and properties of random variables and their functions are provided to illustrate the concepts.

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5 views22 pages

Module 2

The document is a lecture module on Random Variables presented by Dr. Bhumika G. Choksi at VIT Bhopal University. It covers the introduction to random variables, types (discrete and continuous), probability mass and density functions, as well as special distributions like Binomial and Normal distributions. Examples and properties of random variables and their functions are provided to illustrate the concepts.

Uploaded by

upadhyaydev29
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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MAT3003

Presented by
Dr. Bhumika G. Choksi

School of Advanced Sciences and Languages,


VIT Bhopal University,
Sehore-466114, M.P., INDIA.
[email protected]
MODULE-2

RANDOM VARIABLES (RV)


 Introduction to Random variables,
 One dimensional Random Variables,
 Discrete and Continuous RV,
 Density and Distribution function of RV,
 Expectation, Variance, and its properties,
 Covariance, and Moments.
 Moment Generating function

SPECIAL DISTRIBUTIONS
 Binomial and Poisson distributions, Normal distribution,
 Exponential distributions,
 Weibull distribution
RANDOM VARIABLES (RV)

INTRODUCTION:

 In the applications of theory of probability, it is more


convenient to work with numerical outcomes rather than non-
numerical outcomes. Because of this we introduce the idea of
random variables.
 If a random experiment can be associated with a real no., then
that association/function is called a random variable.
Random Variable (RV):

 A random variable/one dimensional RV on a sample


space S is a rule that assigns a numerical value to each
element of S.
 i.e. a random variable is a function from the sample space
S into the set of real numbers R.
 It is denoted by a capital alphabets only.
 Here say X : S R.
Ex. In tossing 3 coins together, no. of heads occurs
Solution:
 S={HHH,HHT,HTH,HTT,THH,THT,TTH,TTT}
 X=No. of heads occurs
Events HHH HHT HTH HTT THH THT TTH TTT
X 3 2 2 1 2 1 1 0

 X={0,1,2,3}: S R

 P(X = 3) = 1/8
 P(X = 2) = 3/8
 P(X = 1) = 3/8
 P(X = 0) = 1/8
Ex. Two dice are tossed. The sum of the scores on the two dice
Solution:
S={}

X={2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12}


2 occurs just once, P(X = 2) = 1/36
3 occurs twice, P(X = 3) = 2/36 = 1/18
4 occurs three times, P(X = 4) = 3/36 = 1/12
5 occurs four times, P(X = 5) = 4/36 = 1/9
6 occurs five times, P(X = 6) = 5/36
7 occurs six times, P(X = 7) = 6/36 = 1/6
8 occurs five times, P(X = 8) = 5/36
9 occurs four times, P(X = 9) = 4/36 = 1/9
10 occurs three times, P(X = 10) = 3/36 = 1/12
11 occurs twice, P(X = 11) = 2/36 = 1/18
12 occurs just once, P(X= 12) = 1/36
 There are two types of RV:

1) Discrete Random Variable (DRV):

 A random variable which assumes integral/discrete values


only in an interval of domain (Sample space, S) is called
discrete random variable.
 It takes only finite and countable number of values.

Examples:
 the number of rooms in a house
 the number of patients a doctor sees in one day
 the number of defective light bulbs in a box of ten
 the number of “heads” flipped in 3 trials
 the number of children in a family
2) Continuous Random Variable (CRV):

 A random variable which are capable of taking all possible


values in a certain range are called continuous random
variables.
 It values lie in an interval.
 A continuous random variable is one which takes an
infinite number of possible values.
 Continuous random variables are usually
measurements.
Examples:
 the weights of students in a class
 the height of a child
 the amount of sugar in an orange
 the time required to run a mile
 the reaction temperature at chemical laboratory
PROBABILITY MASS FUNCTION (PMF):

 Let X be a discrete random variable taking values


𝑥 = 0, 1, 2, … ,then 𝑷(𝑿 = 𝒙) = 𝒇(𝒙) is called
pmf /frequency function of X,
if it satisfies the following properties:

(i) 𝑃 𝑋 = 𝑥 ≥ 0

(ii) σ∞
𝑥=0 𝑃(𝑋 = 𝑥) = 1
PROBABILITY DENSITY FUNCTION (PDF):
 Let 𝑋 be a continuous random variable taking values in a
certain range 𝑎 ≤ 𝑋 ≤ 𝑏 then the function
𝑃 𝑋 = 𝑥 = 𝑓(𝑥) is called pdf, if it satisfies the following
properties:

(i) 𝑓(𝑥) ≥ 0
𝑏
(ii) ‫ = 𝑥𝑑 𝑥 𝑓 𝑎׬‬1

PROPERTIES:
1) Total area under the probability curve 𝑦 = 𝑓(𝑥) is unity.
2) 𝑓(𝑥) ≥ 0 implies that the graph of 𝑓(𝑥) is above the 𝑥-axis.
∞
3) Ingeneral, ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 1
CUMULATIVE DISTRIBUTION FUNCTION (CDF)/
DISTRIBUTION/DISTRIBUTIVE FUNCTION (DF):
 If 𝑋 is a discrete random variable, then the distribution function
(cdf/df) of 𝑋 is given by
𝑭 𝒙 = 𝑷 𝑿 ≤ 𝒙 = σ∞ 𝒙𝒊 ≤𝒙 P𝒊 ; −∞ < 𝒙 < ∞
such that P𝑖 ≥ 0 & σ∞𝑖=1 P𝑖 = 1; 𝑃𝑖 = 𝑃(𝑥𝑖 )
 If 𝑋 is a continuous random variable, then the distribution
function (cdf/df) of 𝑋 is given by
𝒙
𝑭(𝒙) = 𝑷(𝑿 ≤ 𝒙) = ‫׬‬−∞ 𝒇 𝒙 𝒅𝒙
such that P𝑖 ≥ 0 & σ∞𝑖=1 P𝑖 = 1; 𝑃𝑖 = 𝑃(𝑥𝑖 )
PROPERTIES:
1) 𝐹 −∞ = 0, 𝐹 ∞ = 1
2) 0 ≤ 𝐹(𝑥) ≤ 1
3) 𝐹 𝑏 = 𝑃(𝑋 ≤ 𝑏)
𝑏
4) For CRV, 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = ‫ 𝑏 𝐹 = 𝑥𝑑 𝑥 𝑓 𝑎׬‬− 𝐹 𝑎
𝑑
5) 𝑑𝑥 𝐹 𝑥 = 𝐹 ′ 𝑥 = 𝑓 𝑥
6) 𝐹(𝑥) is increasing and right continuous function.
Ex. Toss a fair coin twice. Let 𝑿 be the no. of heads. Find the
probability mass function (pmf) of 𝑿.
Solution:
𝑆 ={HH, HT, TH, TT}
𝑋 = 𝑁𝑜. 𝑜𝑓 ℎ𝑒𝑎𝑑𝑠 = 2,1,0 = 0,1,2

The discrete probability distribution is

𝑿=𝒙 Event (No. of Heads) pmf


𝒇(𝒙) = 𝑷(𝑿 = 𝒙)
𝑋=0 TT 1
𝑓 0 =𝑃 𝑋=0 =
4
𝑋=1 HT, TH 2 1
𝑓 1 =𝑃 𝑋=1 = =
4 2
𝑋=2 HH 1
𝑓 2 =𝑃 𝑋=2 =
4
Ex. If 𝒇 𝒙 = 𝟔𝒙 𝟏 − 𝒙 ; 𝟎 ≤ 𝒙 ≤ 𝟏. Check whether 𝒇 𝒙 is
pdf or not?
Solution:
For pdf,
1 1
න 𝑓 𝑥 𝑑𝑥 = න 𝟔𝒙 𝟏 − 𝒙 𝑑𝑥
0 0

Yes, it is pdf.
Ex. Find the value of k for the pdf
𝒌𝒙𝟐 ; 𝟎 ≤ 𝒙 ≤ 𝟑
𝒇 𝒙 =ቊ
𝟎; 𝒐𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆
Also compute 𝑷 𝟏 ≤ 𝒙 ≤ 𝟐 and find the distributive
function/df.
Solution:

1) For pdf,
3
න 𝑓 𝑥 𝑑𝑥 = 1
0
3
න 𝑘𝑥 2 𝑑𝑥 = 1
0
k=1/9
2
 𝑷 𝟏 ≤ 𝒙 ≤ 𝟐 = ‫׬‬1 𝑓 𝑥 𝑑𝑥
=1/4
 Distributive function:
𝑥
𝐹 𝑥 = න 𝑓 𝑥 𝑑𝑥
0

𝑥3
= ;0 ≤ 𝑥 ≤ 3
27
0; 𝑥 < 0
𝑥3
𝐹(𝑥) = ;0 ≤ 𝑥 ≤ 3
27
1; 𝑥 > 3
Ex. For the discrete probability distribution
x 0 1 2 3 4 5 6 7
f(x) 0 K 2K 2K 3K 𝐾2 2𝐾 2 7𝐾 2 + 𝐾

Determine the following:


(i) The value of K
(ii) Probability that X < 6
(iii) P(X ≥ 6)
(iv) P(0 < X < 5)
(v) Distribution function of X.

The discrete probability distribution is


Ex. If the pdf is
𝒌 𝟏 − 𝒙𝟐 ; 𝟎 < 𝒙 < 𝟏
𝒇 𝒙 =൝
𝟎; 𝒐𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆
Determine the following:
(i) The value of k
(ii) Probability of X between 0.1 and 0.2
(iii) Probability of X greater than 0.5
(iv) cdf
Solution:
Ex. If the cdf is
𝟏 − 𝟏 + 𝒙 𝒆−𝒙 ; 𝒙 ≥ 𝟎
F 𝒙 =ቊ
𝟎; 𝒐𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆
Determine the corresponding pdf.
Solution:
𝒅
𝒇 𝒙 = 𝑭 𝒙
𝒅𝒙
Thank You

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