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UNIT I - Random Variables

1. A random variable is a function that maps outcomes of a sample space to real numbers. It can take discrete or continuous values. 2. Discrete random variables take countable values, while continuous random variables take uncountable values over an interval. Probability mass functions and probability density functions describe the probabilities of discrete and continuous random variables, respectively. 3. The cumulative distribution function gives the probability that a random variable is less than or equal to a value. It provides a complete description of the random variable.

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Shubham Vishnoi
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159 views12 pages

UNIT I - Random Variables

1. A random variable is a function that maps outcomes of a sample space to real numbers. It can take discrete or continuous values. 2. Discrete random variables take countable values, while continuous random variables take uncountable values over an interval. Probability mass functions and probability density functions describe the probabilities of discrete and continuous random variables, respectively. 3. The cumulative distribution function gives the probability that a random variable is less than or equal to a value. It provides a complete description of the random variable.

Uploaded by

Shubham Vishnoi
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Random Variables

Definition: A random variable X is a real - valued


mapping on a sample space.
:
X
X S R
Example: Toss a Coin twice
S = (TT, TH, HT, HH)
X : Number of Heads
RX = (0, 1,2) X(TT) = 0
X(TH U HT) = 1
X(HH) = 2


Discrete Random variable
If X is a random variable (RV) which can take a finite
number of or countably infinite number of values, X is
called a discrete RV. When the RV is discrete the
possible values of X may be assumed as x
1
, x
2
, , x
n
,.
If X is a discrete RV which can takes the values x
1
, x
2
, ,
x
n
,such that P(X=x) = p
i
, then p
i
is called the
probability function or probability mass function or point
probability function, provided p
i
(i = 1,2,3,) satisfy the
following conditions:


( ) 0, , ( ) 1
i i
i
i p for all i and ii p > =

Continuous Random variable


If X is a random variable (RV) which takes all values (i.e., infinite
number of values) in an interval, then X is called a continuous RV.
For example, the length of time during which vacuum tube
installed in a circuit functions is a continuous RV.

f(x) is called the probability density function (pdf) of X, provided
f(x) satisfies the following conditions


( ) ( ) 0, , ( ) ( ) 1
X
X
R
i f x for all x R and ii f x dx > e =
}
( ) ( ) ( )
b
a
P a X b P a X b f x dx s s = < < =
}
Cumulative Distribution Function (cdf)
If X is an RV, discrete or continuous, then P(Xx) is called
the cumulative distribution function of X or distribution
function of X and denoted as F(x).
( )
( )
j
j
X x
x
p if X is discrete
F x
f x dx if X is continuous
s

}
Properties of cdf
F(x) is a non decreasing function of x. i.e if x
1
< x
2
, then
F(x
1
)F(x
2
).
F(-) = 0 and F() = 1
If X is a discrete RV taking values of x
1
, x
2
, where
x
1
<x
2
<< x
i-1
< x
i
< then P(X=xi) = F(x
i
) F(x
i-1
)
If X is a continuous RV, then

at all points where F(x) is differentiable.
( ) ( )
d
F x f x
dx
=
Expectation of RV, Mean and Variance
( )
( )
j
j
x
xp if X is discrete
E X
xf x dx if X is continuous

}
Properties of Expectation
1. E(constant) = constant
2. E(aX) = a E(X)
3. E(aX bY ) = a E(X) b E(Y) if X and Y are
independent.
Properties of Variance
Variance of X = Var(X) = V(X) = E(X
2
) [E(X)]
2
1. V(constant) = 0
2. V(aX) = a
2
V(X)
3. V(aX bY) = a
2
V(X) + b
2
V(Y)
4. Variance cannot be negative

Moments
The r
th
raw moment is denoted as and r
th
central
moment is denoted as
r
.

E(X )
r
r

'
=
r
'
( )
( )
( ) ( )
j
r
j
x
th r
r
x A p if X is discrete
r moment about avalue A E X A
x A f x dx if X is continuous

= =

}
( 0)
( 0)
( 0) ( )
j
r
j
x
th r
r
r
x p if X is discrete
r moment about origin E X
x f x dx if X is continuous

' = =

}
( )
( )
( ) ( )
j
r
j
x
th r
r
x x p if X is discrete
r moment about mean x E X x
x x f x dx if X is continuous

= =

}
Moment Generation Function (MGF)
( ) ( )
( )
j
tX
j
X x
tX
x
tX
e p if X is discrete
M t E e
e f x dx if X is continuous
s

= =

}
2 3
1 2 3
( ) ( ) 1 ... ...
2! 3! !
r
t X
X r
t t t
M t E e t
r

' ' ' '
= = + + + + + +
2
1 2
2
0
0 0
( ) ( ) ( )
r
X X r X
r
t
t t
d d d
M t M t M t
dt dt dt

=
= =
( (
(
' ' '
= = =
( (
(


Relationship between raw moments and central
moments
1 1
2
2 2 1
3
3 3 2 1 1
2 4
4 4 3 1 2 1 1
( )
3 2( )
4 6 ( ) 3( )
A



'
= +
' '
=
' ' ' '
= +
' ' ' ' ' '
= +
Problems
1. A shipment of 6 television sets contains 2 defective sets. A hotel makes a random purchase
of 3 of the sets. If X is the number of defective sets purchased by the hotel, find the
probability distribution of X. Ans: P(0) = P(2) = 1/5 and P(1) = 3/5
2. A random variable X may assume 4 values with probabilities (1+3x)/4, (1-x)/4, (1+2x)/4
and (1-4x)/4. Find the condition on x so that these values represent the probability
function of X? Ans: -1/3 x 1/4
3. If the RV X takes the values 1,2,3 and 4 such that 2P(X=1) =3P(X=2) =P(X=3)
=5P(X=4), find the probability distribution function and cumulative distribution function
of X.
4. A RV X has the following probability distribution
x -2 -1 0 1 2 3
p(x) 0.1 K 0.2 2K 0.3 3K
(a) Find K (b) evaluate P(X < 2) and P(-2 < X < 2) (c) find the cdf of X.
5. The probability function of an infinite discrete distribution is given by
P(X = j) =
1/
k
j
(j = 1,2,). Find the value of k, and find the mean and variance of the
distribution. Find also P( X is even), P(X 5) and P( X is divisible by 3).
Ans: 2, 2,2, 1/3, 1/16, 1/7
6. A RV X has the following probability distribution
x 0 1 2 3 4 5 6 7
p(x) 0 K 2K 2K 3K K
2
2K
2
7K
2
+ K
Find (i) the value of K, (ii) P(1.5 < X < 4.5 / X > 2) and (iii) the smallest value of such
that P(X ) > .



1. If (a) show that f(x) is a pdf (b) find its
distribution function F(x).
2. If the density function of a RV is given by

(a) Find the value of a
(b) Find the cdf of X

3. A continuous RV X that can take assume any value between x = 2 and x = 5 has a
density function given by f(x) = k (1 + x). Find P(X < 4).
4. A RV X has a pdf f(x) = k x
2
e
-x
, x > 0. Find k, mean and variance.
5. The distribution function of a RV is X is given by F(x) = 1 (1 + x) e
-x
, x 0. Find
the pdf, mean and variance of X.
6. The cdf of a continuous RV X is given by Find the pdf of X and evaluate
and


using both the pdf and cdf.
2
2
0
( )
0 0
x
xe x
f x
x

>
=

<

, 0 1
, 1 2
( )
3 , 2 3
0,
ax x
a x
f x
a ax x
elsewhere
s s

s s

=

s s

2
2
0, 0
1
, 0
2
( )
3 1
1 (3 ), 3
25 2
1, 3
x
x x
F x
x x
x
<

s <

s <

>

( 1) P X s
1
4
3
P X
| |
s <
|
\ .

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