Chapter 4

Probability Distributions
 Random Variables
A random variable (RV) is a function that associates
( assigns) a real number with each element in the sample
space. i.e. A random variable is a mapping ( function) from the
sample space S to the set of real numbers R
X: S → R

The set of all possible values of X is called the range.

The probability of X taking a value x is P(X = x)
A random variable may take two forms: discrete or
continuous.
•If the range of the random variable X is a finite set {x1 ,x2 , …, xn} then
it is called discrete random variable.

•If the range of the random variable X is an infinite set or an interval

[a,b] then it is called continuous random variable.

•The range of X is the set of real numbers R, i.e. it may take positive,
negative or zero values
 Discrete Random Variables
1) The Probability Density Function:
If a variable X takes a discrete set of values x1, x 2 ,..., x n with
respective probabilitiesnP(x1) , P(x2 ) , …, P(xn) , where
 P( x i )  1
i 1
then the real function i=1,2,…,n, is called the
probability density function (p.d.f) for the random
variable X and satisfies :
f(xi) ≥ 0 .
 And we say that a discrete probability distribution for X
has been defined .

The function f (xi) = P(X = xi) is called the probability

function, probability mass function , the probability
density function or probability distribution:
f (xi)  0, i= 1, 2,.., n
Example (1): If X is the number of heads in three tosses of a
coin .Find the probability function of the random variable.
Solution :Let H , denotes a head , and T a tail of coin ,
X = the number of heads obtained , then
X=0,1,2,3.
Now, for a random sample of three tosses, the following
mutually exclusive events can occur with probabilities.
P(X = 0) =f (0) = P {(T, T, T)} = 1/8

P(X =1)=f (1) = P{ (H , T , T ), ( T , H , T ),( T , T , H )}= 3/8

P(X =2)=f (2) =P{ (H , H , T ),( H , T , H ),( T , H , H )} = 3/8

P(X = 3) =f (3) = P {(H, H, H)} = 1/8.

Therefore, the probability function is
X 0 1 2 3
P(X = x) 1/8 3/8 3/8 1/8
=f(x)

f(x)
4

3
Series 1
2

0
0 1 2 3

Graph of P(x)
Example (2): Suppose that X, the score on the uppermost face
of a loaded die has a probability function
P(x) = k x ; x = 1, 2, 3, 4, 5, 6.
(a) Find k,
(b) write P(x) in tabular form, and find the probability that
X ≥ 3.

Solution:
6
(a) Since  P( x )  1
x 1
then,
k + 2k + 3k + … + 6k = 1
so, 21k = 1
then, k =1/21 , x = 1, 2, 3,4,5,6.
 Then,
P( x )  x ; x  1, 2, 3, 4, 5, 6
21

X 1 2 3 4 5 6
P(x) = P(X = x) 1/21 2/21 3/2 4/2 5/2 6/21
1 1 1

(b) P(X  3)  3  4  5  6  6
21 21 21 21 7
 2- The Cumulative distribution
function ( Distribution function F)

The Cumulative distribution function, or more simply the

distribution function, F of the random variable X is defined for
any real number x by
F(x) = P(X ≤ x) =
That is , F(x) is the probability that the random variable X
takes on a value that is less than or equal to x .
Note that : We will use the notation X~ F to signify that F is
the distribution function of X .
 0    x x1

F (x )   f (x 1 ) x1  x  x 2
f ( x )  f ( x )    f ( x ) xn x 
 1 2 n

satisfying
•0 ≤ F (x) ≤ 1
•F (x) is non-decreasing
•P(a ≤ X ≤ b) = F (b) – F (a)
•F(-∞)= 0 F(∞ ) = 1
Example (3): Consider a random variable X that is equal to
1, 2, or 3. If we know that : P(1) = ½ and P(2) = 1/3
Then it follows (since P(1) + P(2) +P(3) = 1 ) that
P(3) = 1/6 .
A graph of P(x) is presented in the following figure.

Graph of P(x)
Note that : If X is a discrete random variable whose set of
possible values are x1, x2, x3,… , where x1< x2< x3<… then, its
distribution function F is a step function . That is, the value of
F is a constant in the interval [xi-1, xi) and then takes a step
(or jump) of size f (xi) at xi .
Then the cumulative distribution function F of X is given by

X 1 2 3
P(X = x)=f (x) 1/2 1/3 1/6
F(x) 1 115 1  1  1 1
2 2 3 6 2 3 6
 0 x 1

1 1  x  2
2
F( x )  
5
6 2  x  3

 1 x3

This is graphically presented in the following figure .

Graph of F(x)
3) Mean, Variance & Standard
Deviation: .

For a discrete random variable X with domain {x1 ,x2 , …, xn}

and p.d.f f(x1), f(x2),…,f( xn) respectively,
•Mean:

 Variance

.
•Standard Deviation
 Mathematical Expectation
Definition : Let X be a discrete variable with the probability
distribution f(xi) = P (X = xi) , i = 1 , 2 , …, n .
The mean or expected value of X is

n
  E ( X )   xi f ( xi )
i 1
Example (3): A shipment of 8 similar microcomputers to a
retail outlet contains 3 that are defective. If a school makes a
random purchase of 2 of these computers,
(a) Find the probability distribution for the number of
defectives.
(b) Find the expected value of the random variable X
Solution: Let X be a random variable whose values x are the
possible numbers of defective computers purchased by the
school. Then x = 0, 1, 2. Now
 3  5 
  
 0  2  10
(a) P ( 0)  P ( X  0)  
8 28
 
 2

 3  5 
  
 1  1  15
P(1)  P( X  1)  
8 28
 
 2

 3  5 
  
 2  0 
P ( 2)  P ( X  2 )   3
8 28
 
 2
Thus , the probability distribution of X is
X 0 1 2
P(X = x) 10/2 15/28 3/28
8

(b)   E(X)  (0)(10 )  (1)( 15 )  (2)( 3 )  21  3

28 28 28 28 4
Example(4): If the p.d.f of a discrete RV X is given in the table:

x -3 -1 1 3 5
f(x) a 2a 4a 3a 2a

Find the value of a then calculate the mean and variance.

Sol.: To find the value of a

→ a+2a+4a+3a+2a =1
12a =1 → a=1/12
 x f(x) xf(x) x2f(x)
-3 1/12 -3/12 9/12
-1 2/12 -2/12 2/12
1 4/12 4/12 4/12
3 3/12 9/12 27/12
5 2/12 10/12 50/12
Sum 1 18/12 92/12
 Properties of Expectation
1- E(a) = a ; ( a is a constant )

Proof:
E (a )   a P( x )  a  P( x )  a.(1)  a
x x

2- E(a X ) = a E(X) ; ( a is a constant )

Proof:
E(aX)   ax P( x )  a  xP( x )  a.E(X)
x x
3- E(a X +b) = a E(X) + b ; ( a , b are constants )

Proof:
E (aX  b)   (ax  b) P( x )
x
  axP(x)   bP(x)
x x
 a  xP( x )  b P( x )
x x
 aE(X)  b
 2
Example (4): Find E[ X  1] for example (3)

Solution:
2 2 2
E[X  1]  E[X  2X  1]  E[X ]  2E[X]  1

Since E[X] = 3/4

n
E[X 2 ]   x i2 P( xi )  (0)2 ( 10 )  (1)2 ( 15 )  (2)2 ( 3 )  27  0.964
28 28 28 28
i 1
Then ,
2 2
E[X  1]  E[X ]  2E[X]  1
27 3 13
  2( )  1   0.464
28 4 28
 Variance
Definition : Let X be a random variable with mean E[X]=μ .
The variance of X, denoted by Var(X) = σ2, is given by
2 2
Var (X)    E[(X  ) ]
the positive square root of the variance, σ is called the
standard deviation of X
The variance can be simplified to give a more simple formula
as follows

Var (X )  2  E[X 2 ]  (E[X ]) 2  E[X 2 ]   2

 Properties of Variance

1- Var(a) = 0 ; ( a is a constant )

Proof:

Var (a )  E (a )  E (a )  a  a  0
2 2 2 2
2- Var(a X ) = a2 Var(X) ; ( a is a constant )
Proof:

Var (aX)  E (aX)   E (aX)2

 2
 
 2 2 
 E a X  aE( X ) 2
 
2  2 
 a E X  a E ( X )2 2
 
  
 a E X  E ( X ) 
2 2 2 
   
2
 a Var ( X )
3- Var(a X +b) = a2 Var(X) ; ( a , b are constants )

Proof: Since Var ( X )  E X  E ( X ) 2

Then,

Var (aX  b)  E(aX  b)  E(aX  b)2

 E(aX  b)  (aE(X)  b)2

 EaX  b  aE(X)  b2

 EaX  aE(X)  a EX  E(X)

2 2 2
2
 a Var (X)
Example (5): Let the random variable X represents the
number of defective parts for a machine when 3 parts are
sampled from a production line and tested. The following is
the probability distribution of X.
x 0 1 2 3
P(x) 0.51 0.38 0.10 0.01

Find
(a) E(X) (b) E(X2 )
(c) Var(X) (d) E( 2X -1)
(e) Var( 3X +1)
Solution:

(a)   E(X)  (0)(0.51)  (1)(0.38)  (2)(0.10)  (3)(0.01)  0.61

(b) E(X 2 )  (0)2 (0.51)  (1)2 (0.38)  (2)2 (0.10)  (3)2 (0.01)  0.87

(c ) Var (X)  E (X 2 )  E (X)2  (0.87)  (0.61)2  0.4979.

(d) E( 2X -1) = 2 E(X) – 1 = 2 (0.61 ) – 1 = 0.22.

(e) Var(3X +1) = 9 Var( X ) = 9 ( 0.4979 ) = 4. 4811.

Example (6): Three balls are randomly chosen from an urn
containing 3 white, 3 red, and 5black balls.
Suppose that we win $1for each white ball selected and
we lose $1 for each red ball selected.
Let X denotes our winnings.
(a) What are the possible values of X
(b) What are the probabilities associated with each value?
(c) Calculate E(X-1)2 and V(0.5X+1)
Solution : 11 
n (S)   
3
The elements of the sample space will have the form

S = { (3 white) , (2 white and 1 red) , (2 white and 1black) ,

(1 white and 2 red ), (1 white and 1 red and 1black) ,
(1 white and 2 black) , (3 red ) , (2red and 1black) ,
(1red and 2 black) ,(3black ) }

(a) we can write the values of X as

(3 white) → X = +3
(2 white and 1 red) → X = +1
(2 white and 1black) → X = +2
(1 white and 2 red ) → X =-1
(1 white and 1 red and 1black) → X = 0
(1 white and 2 black) → X = +1
(3 red ) → X = -3
(2red and 1black) → X = -2
(1red and 2 black) → X = -1
(3black ) → X = 0
Then X takes the values : X = 0, ±1, ±2, ±3
(b) We have to find the probabilities associated with each
value
P( X  0)  P(1 white and 1 red and 1 black)  P( 3 black)
 3  3  5   5 
      
 1  1  1   3  55
P ( X  0)   11 

  165
3

P( X  1)  P( 2 white and 1 red )  P(1 white and 2 black)

 3  3   3  5 
      
 2  1   1  2 
P(X  1)   11 
 165
39
 
3
P( X  2)  P( 2 white and 1 black )
 3  5 
   
 2  1 
P( X  2)   11 
 15
165
 
 3

P( X  3)  P( 3 white )
 3

 3
 
P ( X  3)   11 
 1
165

 3 
 
P( X  1)  P(1 white and 2 red )  P(1 red and 2 black)

 3  3   3  5 
       
 1  2   1  2 
P( X  1)   11 
 165
39
 
3

P( X  2)  P( 2 red and 1 black )

 3  5 
   
 2  1 
P( X  2)   11 
 165
15
 
3
 P( X  3)  P( 3 red )

 3
 
 3
P( X  3)   11 
 165
1
 
3

Thus , the probability distribution of X is

X -3 -2 -1 0 1 2 3

P(X=x) 1/165 15/165 39/165 55/16 39/16 15/16 1/165

5 5 5
 (c)
(i)   E(X)  (3)(165
1
)  (2)(165
15
)  (1)(165
39
)
55
(0)(165 )  (1)(165
39
)  (2)(165
15
)  (3)(165
1
)
0
(ii) E ( X 2 )  ( 3) 2 ( 1 2 15 2 39
165 )  ( 2) ( 165 )  ( 1) ( 165 ) 
2 55 2 39 2 15 2 1
(0) ( 165 )  (1) ( 165 )  (2) ( 165 )  (3) ( 165 )
 165
216
 72
55  1.31
 Then we have

E (X  1) 2  E (X 2  2X  1)  E (X 2 )  2E (X)  1
 1.31  1  2.31

V (X )  E (X )  E (X )  1.31
2 2
(iii)

Then we have

2
V(0.5X  1)  (0.5) V(X)  1.431  0.33