Probability and Statistics

MATH2010

October 23, 2024

Table of contents

1. Review

2. Normal Random Variables (cont.)

3. Exponential Random Variables

1
Review
Review

1. Continuous random variable X with probability density f :

(a) f (x) ≥ 0 for any x ∈ (−∞, ∞); and
(b) P(X ∈ B) = B f (x)dx for any measurable B ⊆ R; and
R
R∞
(c) −∞ f (x) = 1.

2
Review

1. Continuous random variable X with probability density f :

(a) f (x) ≥ 0 for any x ∈ (−∞, ∞); and
(b) P(X ∈ B) = B f (x)dx for any measurable B ⊆ R; and
R
R∞
(c) −∞ f (x) = 1.
R∞
2. Expectation: E[X] = −∞ xf (x)dx

2
Review

1. Continuous random variable X with probability density f :

(a) f (x) ≥ 0 for any x ∈ (−∞, ∞); and
(b) P(X ∈ B) = B f (x)dx for any measurable B ⊆ R; and
R
R∞
(c) −∞ f (x) = 1.
R∞
2. Expectation: E[X] = −∞ xf (x)dx
R∞
3. Expectation of function: E[g(X)] = −∞ g(x)f (x)dx

2
Review

1. Continuous random variable X with probability density f :

(a) f (x) ≥ 0 for any x ∈ (−∞, ∞); and
(b) P(X ∈ B) = B f (x)dx for any measurable B ⊆ R; and
R
R∞
(c) −∞ f (x) = 1.
R∞
2. Expectation: E[X] = −∞ xf (x)dx
R∞
3. Expectation of function: E[g(X)] = −∞ g(x)f (x)dx
4. Variance: Var(X) = E[(X − E[X] )] = E[X 2 ] − (E[X])2
2

2
Review

1. Continuous random variable X with probability density f :

(a) f (x) ≥ 0 for any x ∈ (−∞, ∞); and
(b) P(X ∈ B) = B f (x)dx for any measurable B ⊆ R; and
R
R∞
(c) −∞ f (x) = 1.
R∞
2. Expectation: E[X] = −∞ xf (x)dx
R∞
3. Expectation of function: E[g(X)] = −∞ g(x)f (x)dx
4. Variance: Var(X) = E[(X − E[X] )] = E[X 2 ] − (E[X])2
2
Ra
5. Cumulative distribution function: F(a) = P(X ≤ a) = −∞ f (x)d(x)

2
Review

1. Continuous random variable X with probability density f :

(a) f (x) ≥ 0 for any x ∈ (−∞, ∞); and
(b) P(X ∈ B) = B f (x)dx for any measurable B ⊆ R; and
R
R∞
(c) −∞ f (x) = 1.
R∞
2. Expectation: E[X] = −∞ xf (x)dx
R∞
3. Expectation of function: E[g(X)] = −∞ g(x)f (x)dx
4. Variance: Var(X) = E[(X − E[X] )] = E[X 2 ] − (E[X])2
2
Ra
5. Cumulative distribution function: F(a) = P(X ≤ a) = −∞ f (x)d(x)
6. Relation between pdf and cdf: F ′ (a) = f (a)

2
Review

1. Continuous random variable X with probability density f :

(a) f (x) ≥ 0 for any x ∈ (−∞, ∞); and
(b) P(X ∈ B) = B f (x)dx for any measurable B ⊆ R; and
R
R∞
(c) −∞ f (x) = 1.
R∞
2. Expectation: E[X] = −∞ xf (x)dx
R∞
3. Expectation of function: E[g(X)] = −∞ g(x)f (x)dx
4. Variance: Var(X) = E[(X − E[X] )] = E[X 2 ] − (E[X])2
2
Ra
5. Cumulative distribution function: F(a) = P(X ≤ a) = −∞ f (x)d(x)
6. Relation between pdf and cdf: F ′ (a) = f (a)
7. U [α, β]: Uniform distribution on [α, β]
(
1
α<x<β
(a) f (x) = β−α
0 otherwise

0 a≤α


(b) F(a) = a−α
β−α α<a<β

1

a≥β
β+α
(c) E[X] = 2

(β−α)2
(d) Var(X) = 12

2
Normal Random Variables (cont.)
Normal Random Variables

L Definition of N (µ, σ 2 )  5.4

We say that X is a normal random variable, or simply that X is normally distributed,
with parameters µ and σ 2 if the density of X is given by

1 2
/2σ 2
f (x) = √ e−(x−µ) for any − ∞ < x < ∞
2πσ

3
Normal Random Variables

L Definition of N (µ, σ 2 )  5.4

We say that X is a normal random variable, or simply that X is normally distributed,
with parameters µ and σ 2 if the density of X is given by

1 2
/2σ 2
f (x) = √ e−(x−µ) for any − ∞ < x < ∞
2πσ

3
Normal Random Variables

L Definition of N (µ, σ 2 )  5.4

We say that X is a normal random variable, or simply that X is normally distributed,
with parameters µ and σ 2 if the density of X is given by

1 2
/2σ 2
f (x) = √ e−(x−µ) for any − ∞ < x < ∞
2πσ

L Properties of N (µ, σ 2 )  5.4

Let X be a normal random variable with parameters µ and σ 2 . Then
2 2
√ 1 e−(x−µ) /2σ dx
Ra
• F(a) = P{X ≤ a} = −∞
2πσ
• E[X] = µ
• Var(X) = σ 2 3
Normal Random Variables

Example
If X is a normal random variable with parameters µ = 3 and σ 2 = 9, find

P{2 < X < 5}; P{X > 0}; P{|X − 3| > 6}

4
Normal Random Variables

Example
If X is a normal random variable with parameters µ = 3 and σ 2 = 9, find

P{2 < X < 5}; P{X > 0}; P{|X − 3| > 6}

R5 2 2
• P{2 < X < 5} = √ 1 e−(x−µ) /2σ dx ≈ 0.378 (link)
2 2πσ

4
Normal Random Variables

Example
If X is a normal random variable with parameters µ = 3 and σ 2 = 9, find

P{2 < X < 5}; P{X > 0}; P{|X − 3| > 6}

2 2
• P{2 < X < 5} = 25 √ 1 e−(x−µ) /2σ dx ≈ 0.378 (link)
R
2πσ
2 2
• P{X > 0} = 0∞ √ 1 e−(x−µ) /2σ dx ≈ 0.841 (link)
R
2πσ

4
Normal Random Variables

Example
If X is a normal random variable with parameters µ = 3 and σ 2 = 9, find

P{2 < X < 5}; P{X > 0}; P{|X − 3| > 6}

2 2
• P{2 < X < 5} = 25 √ 1 e−(x−µ) /2σ dx ≈ 0.378 (link)
R
2πσ
2 2
• P{X > 0} = 0∞ √ 1 e−(x−µ) /2σ dx ≈ 0.841 (link)
R
2πσ
• P{|X − 3| > 6} = P{X > 9} + P{X < −3} =
R∞ 1 2 2 2 2
√ 1 e−(x−µ) /2σ dx ≈ 0.456
R −3
9
√ e−(x−µ) /2σ dx + −∞
2πσ 2πσ

4
Exponential Random Variables
Exponential Random Variables

L Definition  5.5
We say that X is an exponential random variable or exponentially distributed with
parameter λ > 0, if the density of X is given by

(
λe−λx if x ≥ 0
f (x) =
0 if x < 0

5
Exponential Random Variables

L Definition  5.5
We say that X is an exponential random variable or exponentially distributed with
parameter λ > 0, if the density of X is given by

(
λe−λx if x ≥ 0
f (x) =
0 if x < 0

• For any a ≥ 0, we have

Z a
a
F(a) = P{X ≤ a} = λe−λx dx = −e−λx 0
= 1 − e−λa a≥0
0

5
Exponential Random Variables

L Definition  5.5
We say that X is an exponential random variable or exponentially distributed with
parameter λ > 0, if the density of X is given by

(
λe−λx if x ≥ 0
f (x) =
0 if x < 0

• For any a ≥ 0, we have

Z a
a
F(a) = P{X ≤ a} = λe−λx dx = −e−λx 0
= 1 − e−λa a≥0
0

∞
  ∞
1
R∞ R∞ −1 −λx
• E[X] = 0 xλe−λx dx = −xe−λx 0
+ 0 e−λx dx = 0 + λ
e = λ
0

5
Exponential Random Variables

L Definition  5.5
We say that X is an exponential random variable or exponentially distributed with
parameter λ > 0, if the density of X is given by

(
λe−λx if x ≥ 0
f (x) =
0 if x < 0

• For any a ≥ 0, we have

Z a
a
F(a) = P{X ≤ a} = λe−λx dx = −e−λx 0
= 1 − e−λa a≥0
0
 ∞
R∞ ∞ 1
• E[X] = xλe−λx dx = −xe−λx + 0∞ e−λx dx = 0 + −1 e−λx
R
0 0 λ
= λ
0
∞ 2 2
• E[X 2 ] = x2 λe−λx dx = 2
R∞ R ∞ −λx
0 −x e −λx
0
+ 0 e 2xdx = 0 + λ E[X] = λ2

5
Exponential Random Variables

L Definition  5.5
We say that X is an exponential random variable or exponentially distributed with
parameter λ > 0, if the density of X is given by

(
λe−λx if x ≥ 0
f (x) =
0 if x < 0

• For any a ≥ 0, we have

Z a
a
F(a) = P{X ≤ a} = λe−λx dx = −e−λx 0
= 1 − e−λa a≥0
0
 ∞
R∞ ∞ 1
• E[X] = xλe−λx dx = −xe−λx + 0∞ e−λx dx = 0 + −1 e−λx
R
0 0 λ
= λ
0
∞ 2 2
• E[X 2 ] = x2 λe−λx dx = 2
R∞ R ∞ −λx
0 −x e −λx
0
+ 0 e 2xdx = 0 + λ E[X] = λ2

L Properties  5.5
Let X be an exponential random variable with parameter λ > 0. Then
1
(
λe−λx if x ≥ 0 • E[X] = λ
• f (x) =
0 if x < 0 • Var(X) = 1
λ2
• F(a) = P(X ≤ a) = 1 − e−λa for any a ≥ 0
5
Exponential Random Variables

L Properties  5.5
Let X be an exponential random variable with parameter λ > 0. Then
1
(
λe−λx if x ≥ 0 • E[X] = λ
• f (x) =
0 if x < 0 • Var(X) = 1
λ2
• F(a) = P(X ≤ a) = 1 − e−λa for any a ≥ 0

6
Exponential Random Variables

L Properties  5.5
Let X be an exponential random variable with parameter λ > 0. Then
1
(
λe−λx if x ≥ 0 • E[X] = λ
• f (x) =
0 if x < 0 • Var(X) = 1
λ2
• F(a) = P(X ≤ a) = 1 − e−λa for any a ≥ 0

Example
Suppose that the length of a phone call in minutes is an exponential random
1
variable with parameter λ = 10 . If someone arrives immediately ahead of you at a
public telephone booth, find

(a) the expectation of your waiting time;

(b) the probability that you will have to wait more than 10 minutes;
(c) the probability that you will have to wait between 10 and 20 minutes;

Let X denote the length of the call made by the person in the booth. Then

6
Exponential Random Variables

L Properties  5.5
Let X be an exponential random variable with parameter λ > 0. Then
1
(
λe−λx if x ≥ 0 • E[X] = λ
• f (x) =
0 if x < 0 • Var(X) = 1
λ2
• F(a) = P(X ≤ a) = 1 − e−λa for any a ≥ 0

Example
Suppose that the length of a phone call in minutes is an exponential random
1
variable with parameter λ = 10 . If someone arrives immediately ahead of you at a
public telephone booth, find

(a) the expectation of your waiting time;

(b) the probability that you will have to wait more than 10 minutes;
(c) the probability that you will have to wait between 10 and 20 minutes;

Let X denote the length of the call made by the person in the booth. Then
1
(a) E[X] = λ
= 10 minutes;

6
Exponential Random Variables

L Properties  5.5
Let X be an exponential random variable with parameter λ > 0. Then
1
(
λe−λx if x ≥ 0 • E[X] = λ
• f (x) =
0 if x < 0 • Var(X) = 1
λ2
• F(a) = P(X ≤ a) = 1 − e−λa for any a ≥ 0

Example
Suppose that the length of a phone call in minutes is an exponential random
1
variable with parameter λ = 10 . If someone arrives immediately ahead of you at a
public telephone booth, find

(a) the expectation of your waiting time;

(b) the probability that you will have to wait more than 10 minutes;
(c) the probability that you will have to wait between 10 and 20 minutes;

Let X denote the length of the call made by the person in the booth. Then
1
(a) E[X] = λ = 10 minutes;
(b) P{X > 10} = 1 − F(10) = e−1 ≈ .368;

6
Exponential Random Variables

L Properties  5.5
Let X be an exponential random variable with parameter λ > 0. Then
1
(
λe−λx if x ≥ 0 • E[X] = λ
• f (x) =
0 if x < 0 • Var(X) = 1
λ2
• F(a) = P(X ≤ a) = 1 − e−λa for any a ≥ 0

Example
Suppose that the length of a phone call in minutes is an exponential random
1
variable with parameter λ = 10 . If someone arrives immediately ahead of you at a
public telephone booth, find

(a) the expectation of your waiting time;

(b) the probability that you will have to wait more than 10 minutes;
(c) the probability that you will have to wait between 10 and 20 minutes;

Let X denote the length of the call made by the person in the booth. Then
1
(a) E[X] = λ = 10 minutes;
(b) P{X > 10} = 1 − F(10) = e−1 ≈ .368;
(c) P{10 < X < 20} = F(20) − F(10) = e−1 − e−2 ≈ .233