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Random Variable 1 PDF

This document defines key concepts related to random variables and probability distributions: 1) A random variable has a set of possible values associated with definite probabilities. Random variables can be discrete or continuous. 2) Probability distributions specify the possible values and probabilities of random variables. Probability mass functions are used for discrete variables, while probability density functions are used for continuous variables. 3) Mathematical expectation and variance are used to characterize random variables. Expectation is the average value, while variance measures how far values are from the average.

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120 views

Random Variable 1 PDF

This document defines key concepts related to random variables and probability distributions: 1) A random variable has a set of possible values associated with definite probabilities. Random variables can be discrete or continuous. 2) Probability distributions specify the possible values and probabilities of random variables. Probability mass functions are used for discrete variables, while probability density functions are used for continuous variables. 3) Mathematical expectation and variance are used to characterize random variables. Expectation is the average value, while variance measures how far values are from the average.

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whatthefu
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© © All Rights Reserved
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Random Variable and Probability Distribution

Random variable:
A random variable has a range or set or possible values associate with a definite
probability with each value.
Let us consider an example of four points obtained by tossing two unbiased coins
simultaneously as shown below:
HH, HT, TH, TT
1 1 1
Here the number of heads, X are 0, 1 and 2 with corresponding probabilities , and
4 2 4
constitute a random variable.
There are two types of random variable. These are
i. Discrete random variable
ii. Continuous random variable

Discrete random variable:


A random variable is called discrete random variable if it takes discrete values with a
definite probability with each value.

Continuous random variable:


A random variable is called continuous random variable if it takes all possible values
between certain limits with definite probability.

Probability Distribution:
The set of each value of a discrete random variable with their respective probabilities is
called probability distribution.
Let x be the random variable representing the number on a dice when thrown. Then the
probability distribution of x will be as follows
x: 1 2 3 4 5 6
1 1 1 1 1 1
P(x)
6 6 6 6 6 6

Probability Function or Probability Mass Function (p.m.f):


The probability function or probability mass function of a discrete random variable is the
specification of its possible values together with their respective probabilities.
If X is a discrete random variable, then the P(x) is said to be probability function if and
only if it satisfies the following condition:
i. P( xi )  0 for all i
n
ii.  P( x )  1
i 1
i

1
Such as probability function P ( x)  ( ) x will gives probability for each sample point
2
or value of x.

1
Probability Density Function (p.d.f):
The probability density function of a continuous random variable is the specification of
its possible values that it will lie in certain range with its respective probability.
If X is discrete random variable, then the f(x) is said to be probability function if and only
if it satisfies the following condition:
i. f ( xi )  0 for a  x  b
b
ii.  f ( x)dx  1
a
Problem:
Suppose x is a continuous random variable with p.d.f. f(x) given by
f ( x)  ax ; 0<x<10
What is the probability that x lies between 2 and 3?

Solution:
Since f(x) is a p.d.f.
10
  f ( x)dx  1
0
10
  axdx  1
0

x 2 10
 a[ ]0  1
2
100
 a. 1
2
 50a  1
1
a 
50
1
 f ( x)  x ; 0  x  10
50

Now
3
P{2  x  3}   f ( x)dx
2
3
1
 xdx
2
50
1 x2 3
 [ ]2
50 2

1 9 4
 [  ]
50 2 2

2
1 5
 *
50 2
1

20

Mathematical Expectation:
Let X be a random variable with probability function P(x) or probability density function
f(x), then the mathematical expectation of X is defined as

E ( x)   xi P ( xi ) when x is discrete

b
  xf ( x)dx ; a xb when x is continuous.
a

Properties of expectation:
i. E ( x  y )  E ( x)  E ( y )
ii. E ( xy)  E ( x).E ( y )
iii. E (ax  y )  aE ( x)  E ( y )
iv. E (axy)  aE ( x).E ( y ) ]
v. E (c )  c

Variance of random variable:


Let X is a random variable with mean   E (x) . We define the variance of x, denoted as
V(x) as follows:
V ( x)  E{x  E ( x)}2
E{x  E ( x)}2  E{x 2  2 x * E ( x)  {E ( x)}2 }
 E ( x 2 )  2 E ( x) * E ( x)  {E ( x)}2
 E ( x 2 )  2{E ( x)}2  {E ( x)}2
 E ( x 2 )  {E ( x)}2
V ( x)  E ( x 2 )  {E ( x)}2

Problem:
Find the expectation and variance of numbers on a dice when thrown

Solution:
Let x be the random variable representing the number on a dice when thrown. Then the
probability function of x will be as follows
x: 1 2 3 4 5 6
1 1 1 1 1 1
P(x)
6 6 6 6 6 6

3
The mathematical expectation is as
E ( x)   xi P ( xi )

1 1 1 1 1 1
 E ( x)  1.  2.  3.  4.  5.  6.
6 6 6 6 6 6
1
 (1  2  3  4  5  6)
6
21

6
7

2
The variance is as
V ( x)  E ( x 2 )  {E ( x)}2
Now
1 1 1 1 1 1
 E ( x 2 )  12.  2 2.  3 2.  4 2.  5 2.  6 2.
6 6 6 6 6 6
1
 (1  4  9  16  25  36)
6
91

6
V ( x)  E ( x 2 )  {E ( x)}2
91 7
  ( )2
6 2
91 49
 
6 4
91 * 4  49 * 6

24
364  294

24
70

24
35

12

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