Discrete Random Variables

Random Variables
• Discrete Random Variable: A RV that can take only a finite set
of outcomes

• Continuous Random Variable: A RV that can take any value in a

a range

• Random Variables are denoted by upper case letters (X)

• Individual outcomes for RV are denoted by lower case letters (x)

 Example of a Discrete Random Variable X

X=1 X=2 X=3 X=H X=T

X=4 X=5 X= 6
 Probability Distributions
• Probability Distribution: Table, Graph, or Formula that describes
values a random variable can take on, and its corresponding
probability

• Discrete Random Variable:

Cumulative Distribution Function : FX(x) = P(X ≤ x)
Probability Mass Function: PX(x) = P(X = x)

• Continuous Random Variable

Cumulative Distribution Function: FX(x) = P(X ≤ x) Probability
Density Function: fX(x) = dFX(x)/dx
 Discrete Probability Distributions
Probabilit y Mass Function (PMF) :
PY ( y ) P (Y  y )
PY ( y ) 0 y
 P ( y) 1
all y
Y

Cumulative Distributi on Function (CDF) :

FY ( y ) P (Y  y )
y
FY ( y ) P (Y  y )   PY ( y )
Y  

FY ( ) 0 FY () 1
FY ( y ) is monotonica lly increasing in y
Exercise 1
 Example 2 – Rolling 2 Dice (Red/Green)
Y = Sum of the up faces of the two die. Table gives value of y for all elements in S

Red\Green 1 2 3 4 5 6

1 2 3 4 5 6 7
2 3 4 5 6 7 8
3 4 5 6 7 8 9
4 5 6 7 8 9 10
5 6 7 8 9 10 11
6 7 8 9 10 11 12
Rolling 2 Dice – Probability Mass Function

Y PY(y)
2 1/36
3 2/36
4 3/36 # of ways 2 die can sum to y
PY ( y ) 
5 4/36 # of ways 2 die can result in
6 5/36
7 6/36
8 5/36
9 4/36
10 3/36
11 2/36
12 1/36
 Rolling 2 Dice – Probability Mass Function

Dice Rolling Probability Function

0.18

0.16

0.14

0.12

0.1
p(y)

0.08

0.06

0.04

0.02

0
2 3 4 5 6 7 8 9 10 11 12
y
Rolling 2 Dice – Cumulative Distribution Function

Y PY(y) FY(y)
2 1/36 1/36 y
3 2/36 3/36 FY ( y )  PY ( y )
4 3/36 6/36
2
5 4/36 10/36
6 5/36 15/36
7 6/36 21/36
8 5/36 26/36
9 4/36 30/36
10 3/36 33/36
11 2/36 35/36
12 1/36 36/36
Rolling 2 Dice – Cumulative Distribution Function
Dice Rolling - CDF

0.9

0.8

0.7

0.6
F(y)

0.5

0.4

0.3

0.2

0.1

0
1 2 3 4 5 6 7 8 9 10 11 12 13
y
 Expected Values of Discrete RV’s

• Mean (Expected Value) – Long-Run average value an

RV (or function of RV) will take
• Variance – Average squared deviation between a
realization of an RV (or function of RV) and its mean
• Standard Deviation – Positive Square Root of Variance
(in same units as the data)
• Notation:
– Mean: E(Y) = 
– Variance: V(Y) = 2
– Standard Deviation: 
 Expected Values of Discrete RV’s

Mean : E (Y )   yPY ( y )
all y

Mean of a function g (Y ) : E g (Y )  g ( y ) PY ( y )
all y
 Expected Values of Discrete RV’s
2

Variance : V (Y )  E (Y   )  2

2

 ( y   ) PY ( y )  y  2 y   PY ( y ) 
2 2

all y all y

 y PY ( y )  2   yPY ( y )  
2 2
 P ( y) 
Y
all y all y all y

  2 2
E Y  2  (  )   (1) E Y     2 2

Standard Deviation :   variance

 Example – Rolling 2 Dice
y PY(y) yPY(y)
2 1/36 2/36
3 2/36 6/36
4 3/36 12/36
5 4/36 20/36 12
6 5/36 30/36  E (Y )  yp ( y ) 7.0
7 6/36 42/36 y 2

8 5/36 40/36
9 4/36 36/36
10 3/36 30/36
11 2/36 22/36
12 1/36 12/36
Sum 36/36= 252/36=
1.00 7.00
 Example – Rolling 2 Dice
y PY(y) yPY(y) y2 y2PY(y)
2 1/36 2/36 4 4/36
3 2/36 6/36 9 18/36
4 3/36 12/36 16 48/36
5 4/36 20/36 25 100/36
 2 E Y 2    2  y 2 p ( y )   2
12
6 5/36 30/36 36 180/36
y 2
7 6/36 42/36 49 294/36
8 5/36 40/36 64 320/36 54.8333  (7.0) 2 5.8333
9 4/36 36/36 81 324/36   5.8333 2.4152
10 3/36 30/36 100 300/36
11 2/36 22/36 121 242/36
12 1/36 12/36 144 144/36
Sum 36/36 252/36 1974/36=
=1.00 =7.00 54.833
 Bernoulli Distribution
• An experiment consists of one trial. It can result in one of 2
outcomes: Success or Failure (or a characteristic being Present
or Absent).
• Probability of Success is p (0<p<1)
• Y = 1 if Success (Characteristic Present), 0 if not

p y 1
p ( y )  (Probability Density Function)
1  p y 0

• Expected value?
• Variance?
• Standard deviation?
 Bernoulli Distribution
• An experiment consists of one trial. It can result in one of 2
outcomes: Success or Failure (or a characteristic being Present
or Absent).
• Probability of Success is p (0<p<1)
• Y = 1 if Success (Characteristic Present), 0 if not
p y 1
p ( y )  (Probability Density Function)
1  p y 0
1
E (Y )  yp ( y ) 0(1  p )  1 p  p
y 0

 
E Y 2 0 2 (1  p )  12 p  p
 
 V (Y ) E Y 2  E (Y )  p  p 2  p (1  p )
2

   p (1  p )
 Binomial Experiment
• Experiment consists of a series of n identical trials
• Each trial can end in one of 2 outcomes: Success or
Failure
• Trials are independent (outcome of one has no
bearing on outcomes of others)
• Probability of Success, p, is constant for all trials
• Random Variable Y, is the number of Successes in the
n trials is said to follow Binomial Distribution with
parameters n and p
• Y can take on the values y=0,1,…,n
• Notation: Y~Bin(n,p)
 Binomial Distribution

 n y
P (Y  y )   p (1  p ) n  y y 0,1,..., n
 y

EXCEL Functions :
PY ( y ) is obtained by function : BINOMDIST( y, n, p,0)
FY ( y ) is obtained by function : BINOMDIST( y, n, p,1)
 Binomial Distribution (n=10, p=0.50)

0.5

0.45

0.4

0.35

0.3
p(y)

0.25

0.2

0.15

0.1

0.05

0
0 1 2 3 4 5 6 7 8 9 10
y
 Binomial Distribution(n=10,p=0.8)

0.35

0.3

0.25

0.2
p(y)

0.15

0.1

0.05

0
0 1 2 3 4 5 6 7 8 9 10
y
 Binomial Distribution (n=10,p=0.10)

0.5

0.45

0.4

0.35

0.3
p(y)

0.25

0.2

0.15

0.1

0.05

0
0 1 2 3 4 5 6 7 8 9 10
y
Binomial Distribution – Expectations

E (Y ) np
Var (Y ) np (1  p )
  np (1  p )
 Poisson Distribution
Often used to model the number of incidences of
some characteristic in time or space (e.g. arrivals of
customers in a queue)

y 
 e
PY ( y )  y 0,1,2,...
y!
 T
Poisson Distribution - Expectations

E (Y ) 
 V (Y ) 
 

Excel Functions :
PY ( y ) : Poisson ( y,  ,0)
FY ( y ) : Poisson ( y,  ,1)