Mettu University

College of Engineering and Technology

Electrical and Computer Engineering Department

Probability and Random Process (ECEG-2113)

2. Random variables and random distribution.

Random Variables
 Random Variables
Outline
 Introduction
 The Cumulative Distribution Function
 Probability Density and Mass Functions
 Expected Value, Variance and Moments
 Some Special Distributions

June 4, 2024
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

June 4, 2024
Introduction Cont’d……
 If X is a random variable, then {ω: X(ω)≤ x}={X≤ x} is an event
for every X in RX.
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

June 4, 2024
The Cumulative Distribution Function
 The cumulative distribution function (cdf) of a random variable
X is defined as the sum of 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 FX ( x)  1
x 

iii. lim FX ( x)  0
x  

June 4, 2024
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  x2 )  FX ( x2 )  FX ( x1 )
vi. P ( X  x)  1  FX ( 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.

June 4, 2024
The Cumulative Distribution Function
Solution:
 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.
 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

 : HHH HHT HTH THH THT HTT TTH TTT

X ( ) : 3 2 2 2 1 1 1 0

June 4, 2024
Types of Random Variables
 There are two basic types of random variables.
i. Continuous Random Variable
 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

 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,……
June 4, 2024
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) 
dx
Properties of the pdf, fX(x):
i. For all values of X , f X ( x)  0

ii. 

f X ( x)dx  1
x2
iii. P( x1  X  x2 )   f X ( x)dx
x1

June 4, 2024
The Probability Mass Function
 The probability mass function (pmf) of a discrete random
variable X is defined as:

PX ( X  xi )  PX ( xi )  FX ( xi )  FX ( xi 1 )

Properties of the pmf, PX (xi ):

i. 0  PX ( xi )  1, i  1, 2, .....
ii. PX ( x)  0, if x  xi , i  1, 2, .....
iii. P i
X ( xi )  1

June 4, 2024
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)   PX ( xi )U ( x  xi )
xi  x

June 4, 2024
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.
June 4, 2024
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
2 equation, we will get:
 X  Var ( X )  E ( X )  [ E ( X )]
2 2

June 4, 2024
 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 2variance, i.e.,
 X  E ( X   X )  Var ( X )

iii.Moments
 The nth moment of a continuous random variable X is defined as:
E ( X )   x f X ( x)dx ,
n n
n 1

June 4, 2024
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.

June 4, 2024
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:
1  ( x   ) 2 / 2 2
f X ( x)  e .
2 2
 The corresponding distribution function is given by:
x 1  x 
FX ( x )   e  ( y   ) 2 / 2 2
dy  G  

2 2
  
x 1

2

where G ( x)  e  y / 2 dy

2
June 4, 2024
Some Special Distributions Cont’d……
 The normal or Gaussian distribution is the most common continuous probability distribution.

f X (x )

x

Fig. Normal or Gaussian Distribution

June 4, 2024
 Some Special Distributions Cont’d……
2. Uniform Distribution f X (x )
1
 1 ba
 , a xb x
f X ( x)   b  a a b

 0, otherwise.
3. Exponential Distribution
Fig. Uniform Distribution

f X (x )

 1
 e  x /  , x  0,
f X ( x)    x

 0, otherwise. Fig. Exponential Distribution

June 4, 2024
Some Special Distributions Cont’d….

i. Discrete Probability Distributions

1. Bernoulli Distribution
P ( X  0)  q, P ( X  1)  p.
2. Binomial Distribution
 n  k n k
P( X  k )   k p q , k  0,1,2,  , n.
 

3. Poisson Distribution
k
P ( X  k )  e  , k  0,1,2,  , .
k!

June 4, 2024
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 .
June 4, 2024
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
June 4, 2024
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
FX ( x )  0, since f X ( x )  0, for x  0
Case 2 : for 0  x  1
x x x
FX ( x )   f X (u ) du   2udu  u  x2
2
0 0 0

June 4, 2024
Random Variable Examples Cont’d……

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

June 4, 2024
Random Variable Examples Cont’d……

Solution:
c. P (1 / 4  X  1)
i. Using the pdf
1 1
P (1 / 4  X  1)   f X ( x) dx   2 xdx
1/ 4 1/ 4

1
 P (1 / 4  X  1)  x 2
 15 / 16
1/ 4
 P (1 / 4  X  1)  15 / 16
ii. Using the cdf
P (1 / 4  X  1)  FX (1)  FX (1 / 4)
 P (1 / 4  X  1)  1  (1 / 4) 2  15 / 16
 P (1 / 4  X  1)  15 / 16
June 4, 2024
Random Variable Examples Cont’d……

Solution:
d. Mean and Variance
i. Mean
1 1
 X  E ( X )   xf X ( x)dx   2 x 2 dx
0 0

2 x3 1
 X   2/3
3 0
ii. Variance
 X 2  Var ( X )  E ( X 2 )  [ E ( X )]2
1 1
E ( X )   x f X ( x) dx   2 x 3 dx  1 / 2
2 2
0 0

  X  Var ( x)  1 / 2  ( 2 / 3) 2  1 / 18
2

June 4, 2024
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 .

June 4, 2024
Random Variable Examples Cont’d……

Solution:
i. Mean
1
 X  E( X )  x
k  1
k PX ( xk )  1 / 3(1  0  1)  0

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

 k X k
2
E( X ) 
2
x P ( x )  1 / 3[( 1) 2
 ( 0) 2
 (1) 2
]  2/3
k  1

  X  Var ( x)  2 / 3  (0) 2  2 / 3
2

June 4, 2024
 Functions of a 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
Y  g( X ) |X |
X
X
log X
eX | X | U ( x)

June 4, 2024
 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.

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

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

dFY ( y )
fY ( y ) 
dy

June 4, 2024
 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:

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

dx dh( y )
fY ( y )  f X ( x)  f X [h( y )]
dy dy

June 4, 2024
 Functions of a Random Variable Cont’d…..

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

dxi
iii. Find the pdf of Y by using the following formula.

g ( xi ) 
dy

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

June 4, 2024
Functions of Random Variables Examples

Examples:
1. Let Y  aX  b. Find fY ( y ).

2. Let Y  X 2 . Find fY ( y ).

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

June 4, 2024
Assignment-II

1. The continuous random variable X has the pdf is 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 .
June 4, 2024
Assignment-II Cont’d…..

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

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

where k is a constant.
Determine :
a. the value of k .
b. the pdf of X .
c. the mean and variance of X .
June 4, 2024