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Random Variables-2

The document covers fundamental concepts in probability and random variables, including definitions, joint PMFs, and conditional probabilities. It discusses the independence of random variables and provides examples and practice problems to reinforce understanding. Additionally, it outlines assignments related to probability calculations and the application of the total probability theorem and Bayes' rule.

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0% found this document useful (0 votes)
21 views31 pages

Random Variables-2

The document covers fundamental concepts in probability and random variables, including definitions, joint PMFs, and conditional probabilities. It discusses the independence of random variables and provides examples and practice problems to reinforce understanding. Additionally, it outlines assignments related to probability calculations and the application of the total probability theorem and Bayes' rule.

Uploaded by

mnk850449
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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PAM-266

Probability and Random Variables

DR. M. SAEED UZ ZAMAN


Review of Previous Work

• Definition of probability, terminology, discrete and continuous events and sample spaces,

• Using set theory for understanding of probability, Probability axioms, discrete probability
law, discrete uniform probability law, properties of probability laws, Pseudorandom
numbers, simulated experiments  models and reality

• Conditional probability, its definition and examples, multiplication rule, total probability
theorem, Bayes’ rule, Independence, Counting

• Random variables, PMF, mean and variance of random variables, common random
variables,

PAM-266 Probability and Random Variables Lecture: Random Variables 2


Random Variables

• Probabilistic models often involve several random variables of interest. For example, in a
medical diagnosis context, the results of several tests may be significant. Due to
possibility of false positive (and false negative) result of the test, the results are modeled
as random variables.

• All of these random variables are associated with the same experiment, sample space,
and probability law, and their values may relate in interesting ways. This motivates us to
consider probabilities involving simultaneously the numerical values of several random
variables and to investigate their mutual couplings.

• So, we’ll see joint PMFs of random variables, their expectance, independence and so on!
PAM-266 Probability and Random Variables Lecture: Random Variables 3
Random Variables

Joint PMF

• In a group of 60 people, the numbers who do or do not smoke and do or do not have
cancer are reported as shown in the Table:

• Let Ω be the sample space consisting of these 60 people. A person is chosen at random
from the group. Let C(ω) = 1 if this person has cancer and 0 if not, and S(ω) = 1 if this
person smokes and 0 if not. Let’s calculate joint PMF of {C, S}.
PAM-266 Probability and Random Variables Lecture: Random Variables 4
Random Variables

Joint PMF

• The resultant join PMF is…

• Find probability that:

• A randomly chosen person is neither smoker nor has cancer  P(C = 0, S = 0) ?

• A randomly chosen person is a smoker but does not have cancer  P(C = 0, S = 1) ?

• A randomly chosen person is a smoker  P(S = 1) ?

Marginal PMF
PAM-266 Probability and Random Variables Lecture: Random Variables 5
Random Variables

Joint PMF

• Generalizing the discussion, Consider two discrete random variables X and Y associated
with the same experiment. The joint PMF of X and Y is defined by:

• The joint PMF determines the probability of any event that can be specified in terms of the
random variables X and Y . For example, if A is the set of all pairs (x, y) that have a
certain property, then:

PAM-266 Probability and Random Variables Lecture: Random Variables 6


Random Variables

Joint PMF

• We can calculate the PMFs of X and Y (also know as marginal PMFs) using:

• Verify the above equations…

PAM-266 Probability and Random Variables Lecture: Random Variables 7


Random Variables

More than Two Random Variables

• The joint PMF of three random variables X, Y , and Z is defined in analogy with the above
as for all possible triplets of numerical values (x, y, z):

• Corresponding marginal PMFs are analogously obtained by equations such as:

PAM-266 Probability and Random Variables Lecture: Random Variables 8


Random Variables

More than Two Random Variables

• The expected value rule for functions takes the form:

• And, if g is linear and of the form aX + bY + cZ + d, then:

PAM-266 Probability and Random Variables Lecture: Random Variables 9


Random Variables

Example

• Consider two random variables. X and Y, described by the joint PMF shown:

• Calculate marginal PMFs?

• Calculate E(X) and E(Y)?

• Consider another random variable, Z=X+2Y

• Find PMF of Z?

• Calculate E(Z)?

PAM-266 Probability and Random Variables Lecture: Random Variables 10


Random Variables

Conditioning

• Conditional probabilities are like ordinary probabilities (satisfy the three axioms) except
that they refer to a new universe in which event is known to have occurred.

• The conditional PMF of a random variable X, conditioned on a particular event A with P(A)
> 0, is defined by:

• Note that the events {X = x} ∩ A are disjoint for different values of x, their union is A, and,
therefore,

PAM-266 Probability and Random Variables Lecture: Random Variables 11


Random Variables

Conditioning

• Combining the above two formulas, we see that

So, the conditional PMF is a legitimate PMF.

PAM-266 Probability and Random Variables Lecture: Random Variables 12


Random Variables

Example: A population of college students have heights H and weights W which are
grouped into ranges as shown in Table.

PAM-266 Probability and Random Variables Lecture: Random Variables 13


Random Variables

Example (Cont’d.)

PAM-266 Probability and Random Variables Lecture: Random Variables 14


Random Variables

Example (Cont’d.):

• Determine the probability that a (randomly) selected student has:

(a.) weight in the range 130-160 lbs, (b.) weight is in the range of 130-160 lbs., given that
the student has height less than 6’, (c.) weight is in the range 130-160 lbs., given that
he/she has a height greater than 6’.

PAM-266 Probability and Random Variables Lecture: Random Variables 15


Random Variables

Independence

Independence of a Random Variable from an Event

• The independence of a random variable from an event is similar to the independence of two
events. The idea is that knowing the occurrence of the conditioning event provides no new
information on the value of the random variable.

• A random variable X is independent of the event A if

which is the same as requiring that the two events {X = x} and A be independent, for any choice x.

PAM-266 Probability and Random Variables Lecture: Random Variables 16


Random Variables

Independence

Independence of a Random Variable from an Event

• The independence of a random variable from an event is similar to the independence of two
events. The idea is that knowing the occurrence of the conditioning event provides no new
information on the value of the random variable.

• A random variable X is independent of the event A if

which is the same as requiring that the two events {X = x} and A be independent, for any choice x.

PAM-266 Probability and Random Variables Lecture: Random Variables 17


Random Variables

Independence

Independence of a Random Variable from an Event (Cont’d.)

• From the definition of the conditional PMF, we have

so that as long as P(A) > 0, independence is the same as the condition

PAM-266 Probability and Random Variables Lecture: Random Variables 18


Random Variables

Independence

Independence of Random Variables

• The notion of independence of two random variables is similar to the independence of a random
variable from an event. We say that two random variables X and Y are independent if

• Alternatively,

PAM-266 Probability and Random Variables Lecture: Random Variables 19


Random Variables

Independence

Independence of Random Variables

• The notion of independence of two random variables is similar to the independence of a random
variable from an event. We say that two random variables X and Y are independent if

• Alternatively,

• Intuitively, independence means that the value of Y provides no information on the value of X.

PAM-266 Probability and Random Variables Lecture: Random Variables 20


Random Variables

Independence

Independence of Random Variables

• There is a similar notion of conditional independence of two random variables, given an event A
with P(A) > 0.

• The conditioning event A defines a new universe, and all probabilities (or PMFs) have to be
replaced by their conditional counterparts. For example, X and Y are said to be conditionally
independent, given a positive probability event A, if

PAM-266 Probability and Random Variables Lecture: Random Variables 21


Random Variables

Independence

Independence of Random Variables

• Or, in the terms we use:

• This is equivalent to

PAM-266 Probability and Random Variables Lecture: Random Variables 22


Random Variables
Independence

Independence of Random Variables

• If X and Y are independent random variables, and for any functions g and h, the random variables g(X)

and h(Y) are independent, and we have:

• Prove these equations.

• Note: Conditional independence may not imply unconditional independence and vice versa.
PAM-266 Probability and Random Variables Lecture: Random Variables 23
Random Variables

Practice
• A stock market trader buys 100 shares of stock A and 200 shares of stock B. Let X and Y be the
price changes of A and B, respectively over a certain time period. Assume that the joint PMF of X
and Y is uniform over the set of integers x and y satisfying

(a) Find the joint and marginal PMFs and the means of X and Y.

(b) Find the mean of the trader's profit.

PAM-266 Probability and Random Variables Lecture: Random Variables 24


Random Variables

Practice
• Professor May B. Right often has her facts wrong, and answers each of her students' questions
incorrectly with probability 1/4, independent of other questions. In each lecture, May is asked 0, 1 ,
or 2 questions with equal probability 1/3. Let X and Y be the number of questions May is asked
and the number of questions she answers wrong in a given lecture, respectively.

a) Construct the joint PMF pX,Y (x, y) [Calculate the probability P(X = x, Y = y) for all
combinations of values of x and y.]

b) Find P(at least one wrong answer)

PAM-266 Probability and Random Variables Lecture: Random Variables 25


Random Variables

Practice

• (a). A fair coin is tossed repeatedly and independently until two consecutive heads or two
consecutive tails appear. Find the PMF, the expected value, and the variance of the
number of tosses.

• (b). Assume now that the coin is tossed until we obtain a tail that is immediately preceded
by a head. Find the PMF and the expected value of the number of tosses.

PAM-266 Probability and Random Variables Lecture: Random Variables 26


Random Variables

Assignment

• Solve all examples and end problems of chapter 2 of book (1A. Introduction to Probability)

• Solve and submit handwritten reports of following questions: (you may need to visit chapter 1
for solution of certain questions. Before exploring online resources, try yourself!

1. An urn contains five red, three orange, and two blue balls. Two balls are randomly selected.
What is the sample space of this experiment? Let X represent the number of orange balls
selected. What are the possible values of X? Calculate P{X = 0}.

2. Let X represent the difference between the number of heads and the number of tails
obtained when a coin is tossed n times. What are the possible values of X?
PAM-266 Probability and Random Variables Lecture: Random Variables 27
Random Variables

Assignment (Cont’d.)

4. Suppose a die is rolled twice. What are the possible values that the following random
variables can take on?

(a) The maximum value to appear in the two rolls. (b) The minimum value to appear in the
two rolls. (c) The sum of the two rolls. (d) The value of the first roll minus the value of the
second roll.

5. If the die in above Exercise is assumed fair, calculate the probabilities associated with
the random variables in (i)–(iv).

PAM-266 Probability and Random Variables Lecture: Random Variables 28


Random Variables

Assignment (Cont’d.)

6. Suppose five fair coins are tossed. Let E be the event that all coins land heads. Define
the random variable IE

For what outcomes in the original sample space does IE equal 1? What is P{IE = 1}?

7. Suppose a coin having probability 0.7 of coming up heads is tossed three times. Let X
denote the number of heads that appear in the three tosses. Determine the probability
mass function of X.

PAM-266 Probability and Random Variables Lecture: Random Variables 29


Random Variables

Assignment (Cont’d.)

8. Suppose three fair dice are rolled. What is the probability at most one six appears?

9. On a multiple-choice exam with three possible answers for each of the five questions,
what is the probability that a student would get four or more correct answers just by
guessing?

10. Suppose X has a binomial distribution with parameters 6 and 1 2. Show that X = 3 is the
most likely outcome.

PAM-266 Probability and Random Variables Lecture: Random Variables 30


Total Probability Theorem and Bayes’ Rule
 Before next lecture:

Carefully read Chapter-2 (complete).

Understand the examples.

Solve related problems at the end of the Chapter.

 Next activity:

Assignment

PAM-266 Probability and Random Variables Lecture: Random Variables 31

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