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Chapter 12

1. This document defines and provides examples of discrete random variables, their probability distributions and expected values. It also defines the binomial, hypergeometric and Poisson distributions. 2. The key properties of discrete random variables are that they take on countable number of possible values and have a probability mass function which sums to 1. The expected value of a random variable is the sum of each possible outcome multiplied by its probability. 3. Common discrete distributions described include the binomial, hypergeometric and Poisson distributions. Formulas are given for their expected values and variances. Approximations using other distributions are also discussed.

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masrawy edu
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24 views

Chapter 12

1. This document defines and provides examples of discrete random variables, their probability distributions and expected values. It also defines the binomial, hypergeometric and Poisson distributions. 2. The key properties of discrete random variables are that they take on countable number of possible values and have a probability mass function which sums to 1. The expected value of a random variable is the sum of each possible outcome multiplied by its probability. 3. Common discrete distributions described include the binomial, hypergeometric and Poisson distributions. Formulas are given for their expected values and variances. Approximations using other distributions are also discussed.

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masrawy edu
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
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1 Discrete random variable

De…nition 1 The set of ordered pairs (x; f (x)) is a prob-


ability function, probability mass function, or probability
distribution of the discrete random variable X if, for each
possible outcome x,
1. f (x) 0,
P
2. f (x) = 1,
x
3. P (X = x) = f (x).

De…nition 2 The cumulative distribution function F (x)


of a discrete random variable X with probability distrib-
ution f (x) is

X
F ( x) = P ( X x) = f (t); f or 1<x<1
t x

De…nition 3 (Mean of a Random Variable) Let X be


a random variable with probability distribution f (x). The
mean, or expected value, of X is
X
= E (X ) = xf (x)
x
Example 4 A lot containing 7 components is sampled by
a quality inspector; the lot contains 4 good components
and 3 defective components. A sample of 3 is taken by
the inspector. Find the expected value of the number of
good components in this sample.

Example 5 Let X represent the number of good com-


ponents in the!sample. The
! probability distribution of X
4 3
x 3 x
is f(x) = ! , x = 0; 1; 2; 3.
N
n
Simple calculations yield f (0) = 1=35, f (1) = 12=35,
f (2) = 18=35, and f (3) = 4=35. Therefore,
1 12 18 4
= E (X ) = (0) +(1) +(2) +(3) = 12=7 = 1:7
35 35 35 35
Thus, if a sample of size 3 is selected at random over
and over again from a lot of 4 good components and
3 defective components, it will contain, on average, 1.7
good components.
Theorem 6 Let X be a random variable with probability
distribution f (x). The expected value of the random
variable g (X ) is
X
g(X) = E [g (X )] = g ( x) f ( x)
x

Example 7 Suppose that the number of cars X that pass


through a car wash between 4:00 P.M. and 5:00 P.M. on
any sunny Friday has the following probability distribu-
tion:
x 4 5 6 7 8 9
1
f (x) 12 1 1 1 1 1
12 4 4 6 6
Let g (X ) = 2X 1 represent the amount of money,
in dollars, paid to the attendant by the manager. Find
the attendant’s expected earnings for this particular time
period.

Theorem 8 (Variance of Random Variable) Let X be


a random variable with probability distribution f (x) and
mean . The variance of X is
X
2 = E [(X )2 ] = (x ) 2 f ( x)
x
The positive square root of the variance, , is called the
standard deviation of X .

De…nition 9 (Bernouilli Process) Strictly speaking, the


Bernoulli process must possess the following properties:
1. The experiment consists of repeated trials.
2. Each trial results in an outcome that may be classi…ed
as a success or a failure.
3. The probability of success, denoted by p, remains con-
stant from trial to trial.
4. The repeated trials are independent.

De…nition 10 (Binomial Distribution) A Bernoulli trial


can result in a success with probability p and a failure
withprobability q = 1 p. Then the probability distrib-
ution of the binomial random variable X , the number of
successes in n independent trials, is
!
n
Pr(X = x) = pxq n x; x = 0; 1; 2; :::; n:
x
Theorem 11 The mean and variance of the binomial dis-
tribution B (n; p) are

= np and 2 = npq:

De…nition 12 (HypergeometricDistribution) The prob-


ability distribution of the hypergeometric random variable
X , the numberof successes in a random sample of size
n selected from N items of which K are labeled success
and N K labeled failure, is
! !
K N K
x n x
Pr(X = x) = !
N
n

Theorem 13 The mean and variance of the hypergeo-


metric distribution h(N; K; n) are
K 2 N n nK nK
= n and = 1 :
N N 1 N N
Theorem 14 (Approximation) If n is small compared
to N, then a binomial distribution B (n; p = K=N ) can
be used to approximate the hypergeometric distribution
h(N; K; n).

De…nition 15 Let X the number of outcomes occurring


during a given time interval. X is called a Poisson ran-
dom variable when its probability distribution is given by
x
Pr(X = x) = e ; x = 0; 1; 2; :::;
x!
where is the average number of outcomes.

Theorem 16 Both the mean and the variance of the


Poisson distribution P ( ) are .

Theorem 17 (Approximation) Let X be a binomial ran-


dom variable with probability distribution B (n; p). When
n is large (n ! 1), and p small (p ! 0), then the pois-
son distribution can be used to approximate the binomial
distribtion B (n; p) by taking = np:

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