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Lecture 05

probability

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Lecture 05

probability

Uploaded by

idly.sambar.rice
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© © All Rights Reserved
Available Formats
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Probability Theory and Random

Processes (MA225)
Lecture Slides
Lecture 05
Random Variables

Def: A function X : S → R is called a random variable.

Example 1: Tossing a fair coin n times. Assume that the tosses are
independent. Let X : S → R be defined by the no. of heads.

Example 2: Throwing a fair die twice. Assume the throws are


independent. Let X : S → R be defined by the sum of the outcomes.

Example 3: Suppose we are testing the reliability of a battery. Define


X : S → R by X1 (ω) = ω. Now suppose we are mainly interested in
whether the battery would last more than 2 years or not. Then
X2 = 1(2,∞) .
Example 4: Take n=2. P(X = 0) = P(X = 2) = 1/4,
P(X = 1) = 1/2.

Example 5: P(X = 2) = 1/36, P(X = 3) = 2/36, P(X = 4) =


3/36, P(X = 5) = 4/36, P(X = 6) = 5/36, P(X = 7) = 6/36,
P(X = 8) = 5/36, P(X = 9) = 4/36, P(X = 10) = 3/36,
P(X = 11) = 2/36, P(X = 12) = 1/36.

Example 6: P(I ) = I e −t dt, defines a probability on B(0, ∞).


R

P(X2 = 1) = e −2 , P(X2 = 0) = 1 − e −2 .
Cumulative Distribution Function

Def: The cumulative distribution function (CDF) of a random


variable X is a function FX : R → [0, ∞) defined by

FX (x) = P(X ≤ x) .

Example 7:


0 if x < 0,

1/4 if 0 ≤ x < 1,
FX (x) =


3/4 if 1 ≤ x < 2,
x ≥ 2.

1 if
Example 2:



0 if x < 2,
2 ≤ x < 3,



1/36 if

3/36 if 3 ≤ x < 4,





6/36 if 4 ≤ x < 5,





10/36 if 5 ≤ x < 6,




15/36 if 6 ≤ x < 7,
FX (x) =


21/36 if 7 ≤ x < 8,
8 ≤ x < 9,



26/36 if

30/36 if 9 ≤ x < 10,





33/36 if 10 ≤ x < 11,





35/36 if 11 ≤ x < 12,




1 if x ≥ 12 .
Example 3:
(
0 if x < 0,
FX1 (x) =
1 − e −x if x ≥ 0.


0
 if x < 0,
FX2 (x) = 1 − e −2 if 0 ≤ x < 1,

1 if x ≥ 1.

Proposition: The CDF of a random variable has the following
properties:
(1) FX (·) is non-decreasing and hence has only jump discontinuities.
(2) lim FX (x) = 1, lim FX (x) = 0.
x↑∞ x↓−∞
(3) lim FX (x + h) = FX (x), ∀x ∈ R, thus CDF is right continuous.
h↓0
(4) lim FX (x − h) = FX (x) − P(X = x), ∀x ∈ R.
h↓0

Theorem: Let F be a function satisfying properties (1)-(3). Then F


is a CDF.
Remarks
I Random variable is just a function and does not depend on the
probability. But the distribution of the random variable depends
on the probability. So keeping the function same if we change
the probability then the random variable will remain the same
but its distribution will change. Consider Example 1, but with
the probabilities
P(HH) = 9/16, P(TT ) = 1/16, P(HT ) = P(TH) = 3/16.
What will be the distribution function in this case?
I If x ∈ R is such that P(X = x) > 0, then x is said to be an
atom of the distribution function of X . Thus if the distribution
function of a random variable has no atoms then it is continuous.
I P(a < X ≤ b) = FX (b) − FX (a).
I P(a ≤ X ≤ b) = FX (b) − FX (a−).
I P(a < X < b) = FX (b−) − FX (a).
I P(a ≤ X < b) = FX (b−) − FX (a−).

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