Probability and Statistics - BMAT202L

Module 2 - Random Variables

Vignesh Ravi

Division of Mathematics, School of Advanced Scienes,

Vellore Institute of Technology, Chennai.
Contact: vignesh.r@[Link]

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Overview

1 Introduction

2 Problems

3 Joint probability distribution

4 Mathematical Expectation

5 Covariance

6 Moment Generating Function

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 Introduction

Introduction

Random variable is a mathematical concept that assigns numerical

values to outcomes of a sample space.
There are two types of Random Variables: Discrete and Continuous.
A random variable is considered a discrete random variable when it
takes specific, or distinct values within an interval.
Example: The number of printing mistakes in each page of a book.
If the random variable takes a continuous range of values, then it is
classified as a continuous random variable.
Example: The height and weight of an individual.

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 Introduction

Discrete Random Variable

A random variable X is said to be discrete if it takes on a finite number of

values. The probability function associated with it is said to be
Probability Mass Function P(X = Xi ) = pi if

0 ≤ pi ≤ 1
n
P
pi = 1
i=1

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 Introduction

Example of Discrete Random Variable

Let S = {0, 1, 2}.

xi 0 1 2
P(X = Xi ) P1 0.3 0.5

To find the value of P1 = P(X = 0), we know that the sum of all
probabilities is equal to 1.

(i.e), P1 + 0.3 + 0.5 = 1

=⇒ P1 = 0.2

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 Introduction

Continuous Random Variable

If X is a continuous random variable, then P(x − dx dx

2 ≤ x ≤ x + 2 ) is
called as Probability Density Function if it satisfies the following
conditions:

f (x) ≥ 0, x ∈ R
R∞
f (x)dx = 1
−∞

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 Introduction

Example of Continuous Random Variable

Suppose that X is a continuous random variable whose probability density

function is given by
(
C (4x − 2x 2 ), 0 < x < 2
0, otherwise

Since
R ∞ f is a probability density function, we must have that
−∞ f (x)dx = 1, implying that
Z 2
C (4x − 2x 2 )dx = 1
0
3
=⇒ C =
8

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 Introduction

Cumulative Distribution Function

If X is a random variable (discrete or continuous), P(X ≤ x) is called as

Cumulative distribution function if P(X ≤ x) = FX (x).
If X is a discrete random variable,
X
P(X ≤ xj ) = pi
xi ≤xj

If X is a continuous random variable,

Z x
P(X ≤ x) = f (x)dx
−∞

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 Introduction

Properties of Cumulative Distribution Function

FX (−∞) = P(X ≤ −∞) = P(∅) = 0

FX (∞) = P(X ≤ ∞) = P(S) = 1
P(X > x) = 1 − FX (x)
If x1 < x2 , then FX (x1 ) < FX (x2 )
FX (x2 ) − FX (x1 ) = P(x1 ≤ x ≤ x2 )

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 Introduction

Relation between Cumulative distribution and Density

function

d
[FX (x)] = f (x)
dx

f (x) ≥ 0
R∞
−∞ f (x)dx = 1
R x2
x1 f (x)dx = P(x1 ≤ x ≤ x2 )

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 Problems

Problem 1

Let X denote the number of heads in a single toss of 4 coins. Determine

(i) P(X < 2) and (ii) P(1 < X ≤ 3).

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 Problems

Problem 2

A random variable X has the following probability distribution:

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 Problems

Problem 2 Contd.

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 Problems

Problem 3
A random variable X has the following probability distribution:

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 Problems

Problem 3 Contd.

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 Problems

Problem 3 Contd.

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 Problems

Problem 4

If a random variable has the probability density f (x) as

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 Problems

Problem 4 Contd.

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 Problems

Problem 5

A random variable X gives measurements x between 0 and 1 with a

probability function

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 Problems

Problem 5 Contd.

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Problem 5 Contd.

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Problem 6

A continuous random variable X has the distribution function

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Problem 6 Contd.

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Problem 6 Contd.

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Problem 7

If the probability density function of a random variable X is given by

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Problem 7 Contd.

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Problem 7 Contd.

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Problem 8

If probability density function is

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Problem 8 Contd.

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Problem 9

Find the constant K such that

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Problem 9 Contd.

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Problem 9 Contd.

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Problem 10

If the probability density function of a random variable X is given by

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Problem 10 Contd.

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Problem 11

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Problem 11 Contd.

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Problem 12

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Problem 12 Contd.

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Problem 12 Contd.

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Problem 12 Contd.

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Problem 13

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Problem 13 Contd.

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Problem 13 Contd.

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Problem 14

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Problem 14 Contd.

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Problem 15

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Problem 15 Contd.

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Problem 15 Contd.

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Problem 15 Contd.

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Problem 16

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Problem 16 Contd.

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Problem 16 Contd.

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Problem 16 Contd.

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Problem 17

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Problem 17 Contd.

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Problem 17 Contd.

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Problem 17 Contd.

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Problem 17 Contd.

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 Joint probability distribution

Two dimensional random variable

Let S denote the sample space associated with an random experiment Let
X (S) and Y (S) be two functions each assigning a real number to every
outcome s ∈ S, then (X , Y ) is called as 2-Dimensional Random variable.
Example: Throwing a coin twice define X as number of heads observed in
the 1st toss and Y as number of heads observed in the 2nd toss. The
sample space of 2-D Random variable is {(1, 1), (1, 0), (0, 1), (0, 0)}.

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Joint probability law

Two random variables X , Y are said to be jointly distributed if they are

defined on the same probability space.

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 Joint probability distribution

Joint probability distribution function

Let (X , Y ) denote 2-dimensional discrete random variable and let P(xi , yj )

be a real number associated with each (xi , yj ) where i, j = 1, 2, 3, · · · , ∞
then P(xi , yj ) is called as joint probability distribution function of (X , Y ) if
it satisfies the following conditions:
P(xi , yj ) ≥ 0 ∀ i, j
∞ P
P ∞
P(xi , yj ) = 1
j=1 i=1
Then the set {xi , yj , P(xi , yj )} is called the joint probability distribution
function.

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 Joint probability distribution

Joint probability density function

If (X , Y ) denote 2-dimensional continuous random variable, then f (x, y ) is

called as joint probability density function if it satisfies the following
conditions:
f (x, y ) ≥ 0
R∞ R∞
−∞ −∞ f (x, y )dxdy = 1

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 Joint probability distribution

Problem 1

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Problem 1 Contd.

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Problem 1 Contd.

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Problem 2

Consider the J.P.M.F.

(
x+y
P(x, y ) = 12 , if x = 1, 2 and y = 1, 2
0, otherwise

Find Marginal PMF, Conditional PMF about x and y , P(X + Y ≤ 3) and

P(X > Y ).

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Problem 2 Contd.

Solution:
Y /X 1 2 P(Y )
2 3 5
1 12 12 12
3 4 7
2 12 12 12
5 7
P(X ) 12 12 1

i) M.D.F of X :

Y /X 1 2
5 7
P(X ) 12 12

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Problem 2 Contd.

M.D.F of Y :
Y P(Y )
5
1 12
7
2 12

ii) Conditional Probability about Y :

X 1 2
2 3
P(X |Y = 1) 5 5
3 4
P(X |Y = 2) 7 7

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Problem 2 Contd.

Conditional Probability about X :

Y P(Y |X = 1) P(Y |X = 2)
2 3
1 5 5
3 4
2 7 7

iii) P(X + Y ≤ 3)

X +Y 2 3
2 6
P(X + Y ) 12 12
3
iv) P(X > Y ) = P(X = 2, Y = 1) = 12

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Problem 3

Find k for the function f (x, y ) = k(1 − x)(1 − y ), if 0 ≤ x, y ≤ 1.

Solution:
Z1 Z1
f (x, y )dxdy = 1
0 0
Z1 Z1
=⇒ k(1 − x)(1 − y )dxdy = 1
0 0
Z1 Z1
=⇒ k (1 − y )dy (1 − x)dx = 1
0 0

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Problem 3 Contd.

Z1
 x 2 1
=⇒ k (1 − y )dy x − =1
2 0
0
Z1
k
=⇒ (1 − y )dy = 1
2
0
1
y2

=⇒ y− =1
2 0
k
=⇒ =1
4
=⇒ k = 4

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Problem 4

Consider the function f (x, y ) = e −(x+y ) , if x ≥ 0, y ≥ 0. Find the

Marginal density about X and Y . Also, check whether X and Y are
independent.
Solution:
i) M.D.F of X :
Z∞
fX (x) = f (x, y )dy
0
Zy
fX (x) = e −(x+y ) dy
0

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 Joint probability distribution

Problem 4 Contd.

Zy
−x
fX (x) = e e −y dy
0
−x
fX (x) = e

Similarly, M.D.F of Y is

fY (y ) = e −y

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 Joint probability distribution

Problem 4 Contd.

ii)

fX (x) = e −x and fY (y ) = e −y

=⇒ fX (x) × fY (y ) = e −(x+y ) = f (x, y )

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Problem 5

2 2
Consider the function f (x, y ) = kxye −(x +y ) , if x ≥ 0, y ≥ 0. Find k, the
Marginal density about X and Y and f (X |Y ). Also, check whether X and
Y are independent.
Solution:
Z∞ Z∞
i) f (x, y )dxdy = 1
0 0
Z∞ Z∞
2 +y 2 )
=⇒ kxye −(x dxdy = 1
0 0

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Problem 5 Contd.

Z∞ Z∞
−y 2 2
=⇒ k ye dy xe −x dy = 1
0 0
Z∞ Z∞
k −y 2
=⇒ ye dy e −t dt = 1(Put x 2 = t)
2
0 0
Z∞
k 2
=⇒ ye −y dy = 1
2
0
k
=⇒ =1
4
=⇒ k = 4

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 Joint probability distribution

Problem 5 Contd.

f (x, y )
ii) f (X |Y ) =
f (y )
Z∞
fY (y ) = f (x, y )dx
0
Z∞
−y 2 2
fY (y ) = 4ye xe −x dx
0
−y 2
=⇒ fY (y ) = 2ye
2
∴ f (X |Y ) = 2xe −x

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 Joint probability distribution

Problem 5 Contd.

iii) Similar to fY (y ),
2
fX (x) = 2xe −x
2 +y 2 )
=⇒ fX (x) × fY (y ) = 4xye −(x = f (x, y )

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Problem 6

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Problem 6 Contd.

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Problem 6 Contd.

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 Joint probability distribution

Problem 6 Contd.

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Problem 6 Contd.

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 Joint probability distribution

Problem 7

Suppose the random variables X and Y have the joint density function
defined by

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Problem 7 Contd.

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 Joint probability distribution

Problem 7 Contd.

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Problem 8

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Problem 8 Contd.

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Problem 8 Contd.

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Problem 9

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Problem 9 Contd.

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 Joint probability distribution

Problem 10

For the following bivariate (two dimensional) probability distribution of X

and Y , find

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Problem 10 Contd.

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Problem 10 Contd.

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Problem 11

The joint density function of w and z is given by

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Problem 11 Contd.

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Problem 11 Contd.

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Problem 12

The Joint Probability Distribution of a pair of random variables is given by

the following table:

Y |X 1 2 3
1 1/12 1/6 0
2 0 1/9 1/5
3 1/18 1/4 2/15

i) Evaluate marginal distribution function.

ii) Evaluate conditional probability of Y given X = 2.
iii) Obtain P((X + Y ) < 5).

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 Joint probability distribution

Problem 12 Cond.

Solution:

Y |X 1 2 3 P(Y )
1 1/12 1/6 0 3/12
2 0 1/9 1/5 14/45
3 1/18 1/4 2/15 79/180
P(X ) 5/36 19/36 5/15 1

i) M.D.F of X :

X 1 2 3
P(X ) 5/36 19/36 5/15

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Problem 12 Contd.
ii) Conditional probability of Y given X = 2

P(Y = y |X = 2)
P(Y |X = 2) =
P(X = 2)
P(Y = 1|X = 2) 6
i) =
P(X = 2) 19
P(Y = 2|X = 2) 4
ii) =
P(X = 2) 19
P(Y = 3|X = 2) 9
iii) =
P(X = 2) 19

Y 1 2 3
P(Y = y |X = 2) 6/19 4/19 9/19

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Problem 12 Contd.

iii)

P((X + Y ) < 5) = P(X = 1, Y = 1) + P(X = 1, Y = 2)

+ P(X = 1, Y = 3) + P(X = 2, Y = 1)
+ P(X = 2, Y = 2) + P(X = 3, Y = 1)
15
=
36

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Problem 13

For the following Joint Probability Distribution of (X , Y ):

Y |X 1 2 3 4
1 1/20 1/20 1/10 1/10
2 1/10 1/10 1/10 1/10
3 1/10 1/10 1/20 1/20

i) Find the probability that Y = 2 given X = 4.

ii) Find the probability that Y = 2.
iii) Examine the two events X = 4 and Y = 2 are independent.

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Problem 13 contd.

Y |X 1 2 3 4 P(Y )
1 1/20 1/20 1/10 1/10 6/20
2 1/10 1/10 1/10 1/10 4/10
3 1/10 1/10 1/20 1/20 6/20
P(X ) 5/20 5/20 5/20 5/20 1

i)

P(Y = 2, X = 4)
P(Y = 2|X = 4) =
P(X = 4)
1/10
=
5/20
2
=
5

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Problem 13 contd.

2
ii) P(Y = 2) = 5
iii)

1
P(X = 4, Y = 2) =
10

1 2
P(X = 4) =
P(Y = 2) =
4 5
1
=⇒ P(X = 4) × P(Y = 2) = = P(X = 4, Y = 2)
10
∴ X = 4 and Y = 2 are independent.

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Problem 14

For the following Joint Probability Distribution of (X , Y ):

Y |X 1 2 3
1 0.1 0.1 0.2
2 0.2 0.3 0.1

Find
i) Marginal distribution.
ii) Conditional probability of X given Y = 1.
iii) P((X + Y ) < 4).
iv) F (2, 2).
v) F (3, 2).
vi) FX (3).
vii) FY (1).

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Problem 14 contd.

i)

Y |X 1 2 3 P(Y )
1 0.1 0.1 0.2 0.4
2 0.2 0.3 0.1 0.6
P(X ) 0.3 0.4 0.3 1

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Problem 14 contd.
ii) Conditional probability of X given Y = 1

P(X = x|Y = 1)
P(X |Y = 1) =
P(Y = 1)
P(X = 1|Y = 1) 1
i) =
P(Y = 1) 4
P(X = 2|Y = 1) 1
ii) =
P(Y = 1) 4
P(X = 3|Y = 1) 1
iii) =
P(Y = 1) 2

X 1 2 3
P(X = x|Y = 1) 1/4 1/4 1/2

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Problem 14 contd.

iii)

P((X + Y ) < 4) = P(X = 1, Y = 1) + P(X = 1, Y = 2)

+ P(X = 2, Y = 1)
= 0.4

iv)

F (2, 2) = P(X ≤ 2, Y ≤ 2)
= P(X = 1, Y = 1) + P(X = 1, Y = 2)
+ P(X = 2, Y = 1) + P(X = 2, Y = 2)
= 0.7

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Problem 14 contd.

v)

F (3, 2) = P(X ≤ 3, Y ≤ 2)
= P(X = 1, Y = 1) + P(X = 1, Y = 2) + P(X = 1, Y = 3)
+ P(X = 2, Y = 1) + P(X = 2, Y = 2) + P(X = 2, Y = 3)
=1

vi)

FX (3) = P(X ≤ 3, Y = y )
=1

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Problem 14 contd.

vii)

FY (1) = P(X ≤ x, Y = 1)
= 0.4

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Problem 15

Two discrete random variables X and Y have P(X = 0, Y = 0) = 2/9,

P(X = 0, Y = 1) = 1/9, P(X = 1, Y = 0) = 1/9 and
P(X = 1, Y = 1) = 5/9.
i) Are X and Y independent?
ii) Find the joint and marginal distribution function.

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Problem 15 contd.

Y |X 0 1 P(Y )
0 2/9 1/9 3/9
1 1/9 5/9 6/9
P(X ) 3/9 6/9 1

i)

2
P(X = 0, Y = 0) =
9

3 3
P(X = 0) =
P(Y = 0) =
9 9
1
=⇒ P(X = 0) × P(Y = 0) = ̸= P(X = 0, Y = 0)
9

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Problem 15 contd.
ii) Marginal distribution is given in the table.
iii) For joint distribution, find F (0, 0), F (0, 1), F (1, 0) and F (1, 1).

2
F (0, 0) = P(X ≤ 0, Y ≤ 0) =
9
3
F (0, 1) = P(X ≤ 0, Y ≤ 1) =
9
3
F (1, 0) = P(X ≤ 1, Y ≤ 0) =
9
F (1, 1) = P(X ≤ 1, Y ≤ 1) = 1

X ≤0 X ≤1
2 3
Y ≤0 9 9
3
Y ≤1 9 1

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Practice Problems I
1 Find the p.m.f. of number of sixes when a die is thrown twice.
2 Find the p.m.f. of number of heads when a coin is tossed thrice.
3 A bag contains 3 red and 4 black balls. If two balls are selected at
random. Find the probability of getting red balls by
a.) with replacement
b.) without replacement
4 Verify whether the random variables X and Y having the joint p.d.f.
are independent.
i.) f (x, y ) = 4xy , 0 < x < 1, 0 < y < 1.
ii.) f (x, y ) = 8xy , 0 < x < 1, 0 < y < x.
5 The joint p.d.f. of two random variables X and Y is
1
f (x, y ) = (6 − x − y )
8
, 0 < x < 2, 2 < y < 4. Find
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Practice Problems II

i.) Marginal p.d.f.’s of X and Y .

ii.) Conditional distributions of X and Y .
iii.) Are X and Y are independent?
6 The joint p.d.f. of X and Y is

f (x, y ) = kx(x − y ), 0 < x < 2, −x < y < x

. Find
i.) the value of k.
ii.) Marginal p.d.f. of X and Y .
iii.) Conditional Distributions of X and Y .
7 The joint p.d.f. of X and Y is

f (x, y ) = Ae −(x+y ) , 0 ≤ x ≤ y , 0 ≤ y < ∞

. Find
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Practice Problems III

i.) the value of A.

ii.) Are X and Y are independent?
8 If
2 +y 2 )
f (x, y ) = 4xye −(x , x ≥ 0, y ≥ 0
. Test whether X and Y are independent. Also, find the conditional
distributions.
9 If
9(1 + x + y )
f (x, y ) = , 0 < x < ∞, 0 < y < ∞
2(1 + x)4 (1 + y )4
. Find
i.) Marginal p.d.f. of X and Y .
ii.) Conditional Distributions of X and Y .

Vignesh Ravi (VITCC) Module 2 116 / 204

 Joint probability distribution

Practice Problems IV

10 The joint p.d.f. of two random variables X and Y is

1
f (x, y ) = (6 − x − y )
8
, 0 < x < 2, 2 < y < 4. Find
i.) P(X < 1, Y < 3)
ii.) P(X + Y < 3)
iii.) P(X < 1 | Y < 3)
11 Consider the J.P.D.F.
(
Le −(x+y ) , if 0 ≤ x ≤ y and 0 ≤ y ≤ ∞
f (x, y ) =
0, otherwise

Find L and check whether X and Y are independent.

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 Joint probability distribution

Practice Problems V

12 Consider the J.P.D.F.

(
Ce −(2x+3y ) , if 0 ≤ y ≤ x < ∞
f (x, y ) =
0, otherwise

Find C and check whether X and Y are independent.

13 Consider the J.P.D.F.
(
5 2
f (x, y ) = 16 x y , if 0 < y < x < 2
0, otherwise

Find Marignal PDF’s, f (X |Y ) and check whether X and Y are

independent.

Vignesh Ravi (VITCC) Module 2 118 / 204

 Joint probability distribution

Practice Problems VI

14 Consider the J.P.D.F.

(
1+xy
4 , if |x| ≤ 1, |y | ≤ 1
f (x, y ) =
0, otherwise

Find Marignal PDF’s, Conditional probability and check whether X

and Y are independent.
15 The following table gives the joint probability distribution of X and
Y . Find the Marginal PDF of X and Y .
Y /X 1 2 3
1 0.1 0.1 0.2
2 0.2 0.3 0.1
16 Consider the J.P.D.F. f (x, y ) = k(xy + y 2 ), if x ∈ [0, 1] and
y ∈ [0, 2]. Find

Vignesh Ravi (VITCC) Module 2 119 / 204

 Joint probability distribution

Practice Problems VII

i.) Find k.
ii.) P(Y > 1).
iii.) P(X > 12 , Y < 1).
iv.) P(X + Y ≤ 1).
17 Consider the J.P.D.F.
(
8
9 xy , if 1 ≤ x ≤ y ≤ 2
f (x, y ) =
0, otherwise

Find Marignal PDF’s, f (X |Y ), f (Y |X ) and check whether X and Y

are independent.

Vignesh Ravi (VITCC) Module 2 120 / 204

 Mathematical Expectation

Mathematical Expectation

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 Mathematical Expectation

Variance

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 Mathematical Expectation

Variance Properties

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 Mathematical Expectation

Problem 1

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 Mathematical Expectation

Problem 1 Contd.

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 Mathematical Expectation

Problem 2

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 Mathematical Expectation

Problem 2 Contd.

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 Mathematical Expectation

Problem 2 Contd.

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 Mathematical Expectation

Problem 3

Calculate expectation and variance of X , if the probability distribution of

the random variable X is given by,

Vignesh Ravi (VITCC) Module 2 129 / 204

 Mathematical Expectation

Problem 4
A variate X has the following probability distribution:

Vignesh Ravi (VITCC) Module 2 130 / 204

 Mathematical Expectation

Problem 5

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 Mathematical Expectation

Problem 6
For the continuous probability function f (x) = kx 2 e −x when x ≥ 0, find
(i) k (ii) Mean (iii) Variance

Vignesh Ravi (VITCC) Module 2 132 / 204

 Mathematical Expectation

Problem 6 Contd.

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 Mathematical Expectation

Problem 6 Contd.

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 Mathematical Expectation

Problem 7

Suppose a continuous random variable X has the probability density

f (x) = K (1 − x 2 ) for 0 < x < 1 and f (x) = 0, otherwise. Find (i) k (ii)
Mean (iii) Variance.

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 Mathematical Expectation

Problem 7 Contd.

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 Mathematical Expectation

Problem 8

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 Mathematical Expectation

Problem 8 Contd.

Vignesh Ravi (VITCC) Module 2 138 / 204

 Mathematical Expectation

Problem 9

The cumulative distribution function for a continuous random variable X is

Vignesh Ravi (VITCC) Module 2 139 / 204

 Mathematical Expectation

Problem 9 Contd.

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 Mathematical Expectation

Problem 10

If X is the continuous random variable whose density function is

Vignesh Ravi (VITCC) Module 2 141 / 204

 Mathematical Expectation

Problem 10 Contd.

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 Mathematical Expectation

Problem 10 Contd.

Vignesh Ravi (VITCC) Module 2 143 / 204

 Mathematical Expectation

Practice Problems I

1 Determine the mean and variance of the random variable X having

the following probability distribution.

2 Six men and five women apply for an executive position in a small
company. Two of the applicants are selected for an interview. Let X
denote the number of women in the interview pool. We have found
the probability mass function of X.

How many women do you expect in the interview pool?

Vignesh Ravi (VITCC) Module 2 144 / 204
 Mathematical Expectation

Practice Problems II

3 Suppose the probability mass function of the discrete random variable

is

What is the value of E (3X + 2X 2 )?

4 Consider a random variable X with probability density function

Vignesh Ravi (VITCC) Module 2 145 / 204

 Mathematical Expectation

Practice Problems III

5 The time to failure in thousands of hours of an important piece of
electronic equipment used in a manufactured DVD player has the
density function.

Find the expected life of the piece of equipment.

6 A commuter train arrives punctually at a station every 25 minutes.
Each morning, a commuter leaves his house and casually walks to the
train station. Let X denote the amount of time, in minutes, that
commuter waits for the train from the time he reaches the train
station. It is known that the probability density function of X is
Vignesh Ravi (VITCC) Module 2 146 / 204
 Mathematical Expectation

Practice Problems IV

Obtain and interpret the expected value of the random variable X.

7 Suppose the life in hours of a radio tube has the probability density
function

Find the mean of the life of a radio tube.

Vignesh Ravi (VITCC) Module 2 147 / 204

 Covariance

Covariance and its Properties

If X and Y are two random variables, then the covariance between them is
COV (X , Y ) = E [XY ] − E [X ]E [Y ]

Properties
COV (aX , bY ) = abCOV (X , Y )
COV (X + a, Y + b) = COV (X , Y )
COV (aX + b, cY + d) = acCOV (X , Y )
COV (X + Y , Z ) = COV (X , Z ) + COV (Y , Z )
COV (aX + bY , cX + dY ) =
acVar (X ) + bdVar (Y ) + (ad + bc)COV (X , Y )

Corollary
If X and Y are the random variables, then COV (X , X ) = σ 2 .
Vignesh Ravi (VITCC) Module 2 148 / 204
 Covariance

Problem 1

Problem 1
If X has mean 4, variance 9, while Y has mean −2 and variance 5 and the
two variables are independent. Find
a.) E [XY ]
b.) E [XY 2 ]

Solution
Given E (X ) = 4, Var (X ) = 9, E (Y ) = −2, Var (Y ) = 5.

Since they are independent, we have E (XY ) = E (X )E (Y ) = −8.

E (XY 2 ) = E (X )E (Y 2 ) = 36.

E [Y 2 ] = var (Y ) + E [Y ]2
Vignesh Ravi (VITCC) Module 2 149 / 204
 Covariance

Problem 2

Let X and Y have the joint p.m.f

x + 2y
P(X , Y ) = , x = 1, 2; y = 1, 2
2
. Find the COV (X , Y ).

Vignesh Ravi (VITCC) Module 2 150 / 204

 Covariance

Problem 3

Let X and Y have the joint p.m.f

Y \X 0 1 2
3 9 3
0 28 28 28
3 3
1 14 14 0
1
2 28 0 0

Find the COV (X , Y ).

Vignesh Ravi (VITCC) Module 2 151 / 204

 Covariance

Problem 4

The joint p.d.f. of two random variables X and Y is

f (x, y ) = 3(x + y ); x ∈ [0, 1]; y ∈ [0, 1] and x + y ≤ 1

. Find the COV (X , Y ).

Vignesh Ravi (VITCC) Module 2 152 / 204

 Covariance

Problem 4 Contd.

1−x
Z
fx (X ) = f (x, y )dy
0
1−x
Z 1−x
Z
= 3(x + y )dy = 3 (x + y )dy
0 0
" #1−x " #
y2 (1 − x)2
= 3 xy + = 3 x(1 − x) +
2 2
" #0
2
(1 − x )
=3 .
2

Vignesh Ravi (VITCC) Module 2 153 / 204

 Covariance

Problem 4 Contd.
" #
(1−y 2 )
Similarly fy (Y ) = 3 2

Z1
E [X ] = xfx (X )dx
0
Z1
3
= x(1 − x 2 )dx
2
0
Z1
3
= (x − x 3 )dx
2
0
" #1
3 x2 x4 3
= − = .
2 2 4 8
0

Vignesh Ravi (VITCC) Module 2 154 / 204

 Covariance

Problem 4 Contd.
" #
(1−y 2 )
Similarly E [Y ] = 3 2

1−y
Z1 Z
E (XY ) = xyf (X , Y )dxdy
0 0
1
Z Z1−y

= xy 3(x + y )dxdy
0 0
1−y
Z1 Z
=3 (x 2 y + xy 2 )dxdy
0 0

Vignesh Ravi (VITCC) Module 2 155 / 204

 Covariance

Problem 4 Contd.

1−y
Z1 Z Z1 " 3 #1−y
x y x 2y 2
E (XY ) = 3 (x 2 y + xy 2 )dxdy = 3 + dy
3 2
0 0 0 0
Z1 " #1−y
(1 − y )3 y (1 − y )2 y 2
=3 + dy
3 2
0 0
" Z1 Z1 h #
1h i 1 2 i
=3 y − 3y 2 + 3y 3 − y 4 dy + y + y 4 − 2y 3 dy
3 2
0 0
1
= .
10

Vignesh Ravi (VITCC) Module 2 156 / 204

 Covariance

Problem 4 Contd.

COV (X , Y ) = E [XY ] − E [X ]E [Y ]
!
1 3 3
= − ∗
10 8 8
1 9
= −
10 64
−13
= .
320

Vignesh Ravi (VITCC) Module 2 157 / 204

 Covariance

Problem 5 Try

The joint p.d.f. of two random variables X and Y is

f (x, y ) = 8xy ; x ∈ [0, 1]; y ∈ [0, 1] and 0 otherwise.

Find the COV (X , Y ).

Vignesh Ravi (VITCC) Module 2 158 / 204

 Covariance

Problem 6

If f (x) = e −x , x ∈ [0, ∞]. Find the mean variance and the third moment
about the origin.

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 Covariance

Problem 6 Contd.

Let the r th raw moment be

Z∞
′
µr = x r f (x)dx
0
Z∞
= x r e −x dx
0
= Γ(r + 1) = r !.
′
If r = 1, µ1 = 1 and thus mean is 1.
′ ′
 ′
2
If r = 2, µ2 = 2 and variance Var = µ2 − µ1 = 2 − 1 = 1.
If r = 3, µ13 = 6.

Vignesh Ravi (VITCC) Module 2 160 / 204

 Covariance

Problem 7

If f (x) = y0 (x(2 − x)), x ∈ [0, 2]. Find the following:

i.) y0 .
ii.) Mean and variance
iii.) Median
iv.) Mode
v.) Mean deviation about mean.

Vignesh Ravi (VITCC) Module 2 161 / 204

 Covariance

Problem 7 contd.

i.)

Z2
=⇒ y0 x(2 − x)dx = 1
0
Z2
=⇒ y0 (2x − x 2 )dx = 1
0
" #2
2x 2 x 3
=⇒ y0 − =1
2 3
0
" #
8 3
=⇒ y0 4 − = 1. Thus y0 = .
3 4

Vignesh Ravi (VITCC) Module 2 162 / 204

 Covariance

Problem 7 contd.
ii.) To find mean and variance. Let us find through the moments.

Z2
′
µr = x r f (x)dx
0
Z2
= x r y0 (2x − x 2 )dx
0
Z2
3
= x r (2x − x 2 )dx
4
0
Z2 !
3
= 2x r +1 − x r +2 dx
4
0

Vignesh Ravi (VITCC) Module 2 163 / 204

 Covariance

Problem 7 contd.

" #2
′ 3 2x r +2 x r +3
µr = −
4 r +2 r +3
0
" #
3 2×2 r +2 2 r +3
= −
4 r +2 r +3
" #
3 r +3 1 1
= 2 −
4 r +2 r +3
" #
3 1
= × (2r +3 ) .
4 (r + 2)(r + 3)

Vignesh Ravi (VITCC) Module 2 164 / 204

 Covariance

Problem 7 contd.
If r = 1, then
 
′ 3 1
µ1 = × 24
4 3∗4
= 1.
If r = 2, then
 
′ 3 5 1
µ2 = × 2
4 4∗5
6
= .
5
 2
′ ′
Var = µ2 − µ1
6 1
= − 12 = .
5 5
Vignesh Ravi (VITCC) Module 2 165 / 204
 Covariance

Problem 7 contd.

iii.) For median we have P(X ≤ M) = P(x > M) = 12 . Consider

ZM ZM
P(X ≤ M) = f (x)dx = y0 (2x − x 2 )dx
0 0
ZM
3
= (2x − x 2 )dx
4
0
" #M
3 2x 2 x 3
= − = 3M 2 − M 3 − 2 = 0.
4 2 3
0
√ √
The values for M are 1, 1 ± 3. But 1 ± 3 ∈
/ [0, 2]. Thus the median is 1.

Vignesh Ravi (VITCC) Module 2 166 / 204

 Covariance

Problem 7 contd.

iv.) Let f (x) = 34 (2x − x 2 ).

′
f (x) = 43 (2 − 2x) = 0, we have x = 1.
′′
Then f (x) = 34 (−2) = −3 2 < 0. Thus the maximum attained. Hence the
mode is 1.

Vignesh Ravi (VITCC) Module 2 167 / 204

 Covariance

Problem 7 contd.
v.)

Z2
M.D. about Mean = |x − mean|f (x)dx
0
Z2
3
= |x − 1|x(2 − x)dx
4
0
Z1 Z2
3 3
= |x − 1|x(2 − x)dx + |x − 1|x(2 − x)dx
4 4
0 1
Z1 Z2
3 3
= (1 − x)x(2 − x)dx + (x − 1)x(2 − x)dx
4 4
0 1

Vignesh Ravi (VITCC) Module 2 168 / 204

 Covariance

Problem 7 contd.

v.)

Z1 Z2
3 3 2 3
M.D. about Mean = (x − 3x + 2x)dx + (3x 2 − x 3 − 2x)dx
4 4
0 1
" #1 " #2
3 x 4 3x 3 2x 2 3 33 x 4 2x 2
= − + + − −
4 4 3 2 4 3 4 2
" # "0 1
#
3 1 3 16 1
= −1+1 + (8 − − 4) − (1 − − 1)
4 4 4 4 4
3
= .
8

Vignesh Ravi (VITCC) Module 2 169 / 204

 Covariance

Problem 8

If f (x) = k(x − x 2 ), x ∈ [0, 1]. Find the k, mean, and mode.

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 Covariance

Problem 8 Contd.

i.)

Z1
=⇒ k(x − x 2 )dx = 1
0
Z1
=⇒ k (x − x 2 )dx = 1
0
" #1
x2 x3
=⇒ k − =1
2 3
" # 0
1 1
=⇒ k − = 1. Thus k = 6.
2 3

Vignesh Ravi (VITCC) Module 2 171 / 204

 Covariance

Problem 8 Contd.

ii.)

Z1
E [X ] = xf (x)dx
0
Z1
=6 x(x − x 2 )dx
0
" #1
x3 x4
=6 −
3 4
0
1
= .
2
1
Mode is also 2 (TRY).

Vignesh Ravi (VITCC) Module 2 172 / 204

 Covariance

Problem 9 (TRY)

(
sin(x)
2 , if 0 ≤ x ≤ π
Consider f (x) =
0, otherwise
Find the following:
i.) Mean
ii.) Mode
iii.) Median
iv.) P(0 ≤ x ≤ π2 ).

Vignesh Ravi (VITCC) Module 2 173 / 204

 Moment Generating Function

Moment Generating Function

Vignesh Ravi (VITCC) Module 2 174 / 204

 Moment Generating Function

Moment Generating Function

Vignesh Ravi (VITCC) Module 2 175 / 204

 Moment Generating Function

Problem 1

Vignesh Ravi (VITCC) Module 2 176 / 204

 Moment Generating Function

Problem 1 Contd.

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 Moment Generating Function

Problem 1 Contd.

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 Moment Generating Function

Problem 2
A random variable X has the probability function
f (x) = 21x , x = 1, 2, 3, · · ·
i) Find M.G.F
ii) Mean
Solution:

M.G.F = MX (t) = E (e tx )
X∞
= e tx f (x)
x=1
∞
X 1
= e tx
2x
x=1
∞  t x
X e
=
2
x=1

Vignesh Ravi (VITCC) Module 2 179 / 204

 Moment Generating Function

Problem 2 Contd.

  t 2  t 3
et

e e
= + + + ···
2 2 2
 t 2
et et
 
e
= 1+ + + ···
2 2 2
 t −1
et

e
= 1−
2 2
e t 2 − e t −1
 
=
2 2
et
 
2
=
2 2 − et
et
=⇒ MX (t) =
2 − et
Vignesh Ravi (VITCC) Module 2 180 / 204
 Moment Generating Function

Problem 2 Contd.

 t 

d e
Mean(X̄ ) =
dt 2 − e t t=0
(2 − e t )e t − e t (−e −t )
 
=
(2 − e t )2 t=0
(2 − e 0 )e 0 − e 0 (−e 0 )
=
(2 − e 0 )2
=2

Vignesh Ravi (VITCC) Module 2 181 / 204

 Moment Generating Function

Problem 3
The M.G.F of a random variable X is given by
et 4e 3t 2e 4t 4e 5t
MX (t) = + + +
3 15 15 15
Find the P.D.F of X .
Solution:
For discrete random variable,
MX (t) = E (e tx )
X
= e txi P(xi )
i

Hence,
x 1 3 4 5
P(x) 1/3 4/15 2/15 4/15
Vignesh Ravi (VITCC) Module 2 182 / 204
 Moment Generating Function

Problem 4
Find the M.G.F of a random variable whose moments are µ′r = (r + 1)!3r
and hence find its mean.
Solution:
The M.G.F is
∞ r
X t
MX (t) = µ′r
r!
r =0
∞
X (r + 1)!3r t r
=
r!
r =0
∞
X (r + 1)!(3t)r
=
r!
r =0
1
= 1 + 2(3t) + 3(3t)2 + · · · =
(1 − 3t)2
Vignesh Ravi (VITCC) Module 2 183 / 204
 Moment Generating Function

Problem 4 Contd.

 
d
Mean(X̄ ) = (MX (t))
dt t=0
 
d −2
= [1 − 3t]
dt t=0
= −2[[1 − 3t]−2 (−3)]t=0
= [6(1 − 3t)−3 ]t=0
= 6(1 − 0)−3
=⇒ µ′1 = 6

Vignesh Ravi (VITCC) Module 2 184 / 204

 Moment Generating Function

Problem 5

Find the M.G.F of (

ke −kx , if x > 0
f (x) =
0, otherwise
Also find
i) Mean
ii) Variance
iii) µ′3
iv) µ′4

Vignesh Ravi (VITCC) Module 2 185 / 204

 Moment Generating Function

Problem 5 Contd.

M.G.F = MX (t) = E (e tx )
Z ∞
= e tx f (x)dx
−∞
Z ∞
= e tx ke −kx dx
0
Z ∞
=k e tx e −kx dx
Z0 ∞
=k e −(k−t)x dx
0
 −(k−t)x ∞
e −∞ e0
 
e
=k =k −
−(k − t) 0 −(k − t) −(k − t)
k
=⇒ MX (t) =
k −t
Vignesh Ravi (VITCC) Module 2 186 / 204
 Moment Generating Function

Problem 5 Contd.

  
d k
Mean µ′1 =
dt k − t t=0
 
(k − t)(0) − k(−1)
=
(k − t)2 t=o
1
=
k

d2
  
k
=µ′2
dt 2 k −t t=0
2
=⇒ = 2
k

Vignesh Ravi (VITCC) Module 2 187 / 204

 Moment Generating Function

Problem 5 Contd.

Var (X ) = µ′2 − (µ′1 )2

2 1
= 2 − ( )2
k k
1
= 2
k

d3
  
k 6
µ′3 = =
dt 3 k −t k3
 4 t=0
d k 24
µ′4 = =
dt 4 k −t t=0 k4

Vignesh Ravi (VITCC) Module 2 188 / 204

 Moment Generating Function

Problem 6

A random variable X has the density function

(
2e −2x , if x ≤ 0
f (x) =
0, otherwise

Find
i) M.G.F
ii) Four moments about the origin
iii) Mean and Variance

Vignesh Ravi (VITCC) Module 2 189 / 204

 Moment Generating Function

Problem 6 Contd.

M.G.F = MX (t) = E (e tx )
Z ∞
= e tx f (x)dx
−∞
Z ∞
= e tx 2e −2x dx
0
Z ∞
=2 e tx e −2x dx
Z0 ∞
=2 e −(2−t)x dx
0
 −(2−t)x ∞
e −∞ e0
 
e
=2 =2 −
−(2 − t) 0 −(2 − t) −(2 − t)
2
=⇒ MX (t) = if |t| < 2
2−t
Vignesh Ravi (VITCC) Module 2 190 / 204
 Moment Generating Function

Problem 6 Contd.

t −1
 
MX (t) = 1 −
2
 2  3  r
t t t t
=1+ + + + ··· + + ··· (1)
2 2 2 2

r th moment about the origin

µ′r = r ! × coefficient of t r in (1)

r!
= r
2

Vignesh Ravi (VITCC) Module 2 191 / 204

 Moment Generating Function

Problem 6 Contd.

1
r = 1 =⇒ µ′1 =
2
1
r = 2 =⇒ µ′2 =
2
′ 3
r = 3 =⇒ µ3 =
4
3
r = 4 =⇒ µ′4 =
2

1
Mean =
2
Var (X ) = µ′2 − (µ′1 )2
1 1 1
= − =
2 4 4
Vignesh Ravi (VITCC) Module 2 192 / 204
 Moment Generating Function

Problem 7

Find the M.G.F of the random variable X having P.D.F


x,
 if 0 ≤ x < 1
f (x) = 2 − x, if 1 ≤ x < 2

0, otherwise


Solution:

Z ∞
MX (t) = e tx f (x)dx
−∞
Z 1 Z 2 Z ∞
tx tx
= xe dx + (2 − x)e dx + 0e tx dx
0 1 2

Vignesh Ravi (VITCC) Module 2 193 / 204

 Moment Generating Function

Problem 7 contd.

  tx   tx 1   tx   tx 2
e e e e
= x − 2
+ (2 − x) − (−1) 2
t t t t
 t t
 0 2t t t
 1
e e 1 e e e
= − 2 + 2 + 0+ 2 − − 2
t t t t t t
t
1 − 2e + e 2t
=
t2
(e − 1)2
t
=⇒ M.G .F =
t2

Vignesh Ravi (VITCC) Module 2 194 / 204

 Moment Generating Function

Problem 8

Prove that the moment generating function of a random variable X

defined by the density function

Vignesh Ravi (VITCC) Module 2 195 / 204

 Moment Generating Function

Problem 8 Contd.

Vignesh Ravi (VITCC) Module 2 196 / 204

 Moment Generating Function

Problem 8 Contd.

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 Moment Generating Function

Problem 9

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 Moment Generating Function

Problem 9 Contd.

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 Moment Generating Function

Problem 9 Contd.

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 Moment Generating Function

Problem 10

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 Moment Generating Function

Problem 10 Contd.

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 Moment Generating Function

Practice Problems I
1 Find the probability distribution of the total number of heads
obtained in four tosses of a balanced coin. Hence obtain the m.g.f of
X , mean and variance of X .
2 Let the random variable X have the p.d.f.
( −x
1 2
e , if x > 0
f (x) = 2
0, otherwise

. Find the m.g.f., mean and variance of X .

3 Let the random variable X have the p.d.f.
( −x
1 3
e , if x > 0
f (x) = 3
0, otherwise

. Find the P(X > 3), moment generating function, mean and
variance of X .
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 Moment Generating Function

Practice Problems II

4 Find the moment generating function of a random variable X having

the p.d.f. ( −x
x 2
e , if x > 0
f (x) = 4
0, otherwise
. Also, deduce the first four moments about the origin.
5 If a random variable X has the moment generating function
3
MX (t) = 3−t . Obtain the standard deviation of X .

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