Definition.
A random variable 𝑋, is a function from the sample space 𝑆 to
the real numbers, i.e., 𝑋 is a rule which assigns a number 𝑋(𝑠) for each
outcome 𝑠 ∈ 𝑆.
(or)
A random variable is defined as function that maps the sample space to a
set of real values.
𝑋: 𝑆 → 𝑅
where 𝑋 is the random variable, 𝑆 is the sample space and 𝑅 is the set of
real numbers. (OR)
Simply,
Any real valued function defined on the sample space of a
radom experiment is called Random variable or stochastic
variable
Note: Why is X called a random variable? It’s ‘random’ because its
value depends on a random outcome of an experiment.
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Example-1 Consider the sample space of throwing of two dice
𝑆 = {(1, 1), (1, 2), . . . , (6, 6)}
the random variable X corresponding to the sum is
𝑋(1, 1) = 2, 𝑋(1, 2) = 3,
and in general 𝑋(𝑖, 𝑗) = 𝑖 + 𝑗.
Here 𝑋: 𝑆 →
is a function from sample space to real number set
∴ X is a random variable
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Thus, Intuitively by a random variable RV we mean a real number X
connected with the outcome of a random experiment S.
Example-2
If S consists of two tosses of a coin, we may consider the random variable
which is the number of heads ( 0, 1 or 2)
Outcome HH HT TH TT
Value of X 2 1 1 0
Thus to each outcome, there corresponds a real number.
Random Variable
Discrete Random variable Continuous Random Variable
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There are two types of random variables
1. Discrete Random variable
2. Continuous Random variable
Def:
If X is a random variable which can take a finite number or countably
infinite number of values ,then X is called a Discrete Random variable.
Examples of discrete random variables
1.Number of children in a family,
2.Number of requests sent to a web server
3. Number shown when a die is thrown
4. Number of transmitted bits received in error
5. The number of patients in a doctor's surgery,
6. The number of defective light bulbs in a box of ten.
6. The number of failures in an electronic device in its first five years of
operation.
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Also,
if the possible values are any of these
{1,2,3, … … }
{… … . . −2, −1,0,1,2,3, … … }
{0,2,4,6, … … }
{0,0.5,1.0,1.5,2.0, … . … }
any finite set
Then the random variable is discrete.
Def:
If 𝑋 is a random variable which can take all
values in an interval ,then 𝑋 is called a continuous random variable.
(or)
A random variable 𝑋 which takes all possible values in a given
interval is called a continuous random variable
Examples:
1.Suppose the temperature in a city lies between 30⁰ and 45⁰
centigrade. The temperature can take any value in the interval 30⁰
to 45⁰.
2. The length of time I have to wait at the bus stop for a number 2 bus.
3.Blood pressure,
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4. Weight
5. Speed of a car.
6. the time taken by a program for execution.
7. The distance the vehicle travels before stopping ,When brakes are
applied to a moving vehicle.
Also
If the possible values are any of these
all numbers between 0 and ∞ i.e (0 , ∞ )
all the numbers between −∞ and ∞ i.e (−∞ , ∞)
all numbers between 0 and 1
then the random variable is continuous.
Note: A continuous random variable is not defined at specific values.
Instead, it is defined over an interval of values, and is represented by
the area under a curve. The probability of observing any single value is
equal to 0, since the number of values which may be assumed by the
random variable is infinite.
Note-2 :Probability Distributions. . .
“Randomness” of a random variable is described by a probability
distribution. Informally, the probability distribution specifies the
probability or likelihood for a random variable to assume a particular
value.
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Probability Mass Function:
If X is a discrete RV which can take the values 𝑥1, 𝑥2 ,…….𝑥𝑛
such that 𝑃(𝑋 = 𝑥𝑖 ) = 𝑝𝑖 , then the function P is called function or
probability mass function, provided it satisfies the following conditions
(i) 𝑝𝑖 > 0
(ii) ∑𝑖 𝑝𝑖 = ∑𝑖 𝑃(𝑋 = 𝑥𝑖 ) = 1
The collection of pairs {(𝑥1 , 𝑝1 ), (𝑥2 , 𝑝2 ), … … . . } ,is called the probability
distribution of the random variable X.
Sometimes probability distribution of the random variable 𝑋
can be displayed by table
𝑋 = 𝑥𝑖 𝑥1 𝑥2 ……… 𝑥𝑖 𝑥𝑛
𝑃(𝑋 = 𝑥𝑖 ) 𝑝1 𝑝2 𝑝𝑖 𝑝𝑛
Probability Density Function
If X is a continuous random variable such that
1 1
𝑃 (𝑥 − 𝑑𝑥 < 𝑋 < 𝑥 + 𝑑𝑥) = 𝑓 (𝑥 )𝑑𝑥
2 2
Then the function 𝑓 (𝑥 ) is called probability density function (pdf) of the
random variable 𝑋, provided it satisfies the following conditions
(i) 𝑓 (𝑥 ) ≥ 0 , over the range values of 𝑋, say 𝑎 < 𝑥 < 𝑏
𝑏
(ii) ∫𝑎 𝑓 (𝑥 ) = 1
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The curve 𝑦 = 𝑓(𝑥) is called probability curve of the Random variable X
Note: 1.When X is a continuous random variable then
𝑃(𝑋 = 𝑎) = ∫ 𝑓 (𝑥 )𝑑𝑥 = 0
𝑎
2. When X is a continuous random variable ,then
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𝑃 (𝑎 ≤ 𝑋 ≤ 𝑏 ) = 𝑃 (𝑎 < 𝑋 ≤ 𝑏 ) = 𝑃 (𝑎 ≤ 𝑋 < 𝑏 )
= 𝑃 (𝑎 < 𝑋 < 𝑏 )
𝑏
= ∫𝑎 𝑓(𝑥 ) 𝑑𝑥
Probability as an Area
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∞
𝑷(𝑿 > 𝒂) = ∫𝒂 𝒇(𝒙)𝒅𝒙=Area of the shaded
portion
1.
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If X is an RV, discrete or continuous , then
𝑃(𝑋 ≤ 𝑥) is called the cumulative distributive function of 𝑋 or
simply distribution function of 𝑋 and it is denoted by 𝐹(𝑥)
If 𝑋 is discrete, then Cumulative
Distribution Function of 𝑋 is given by
𝐹 (𝑥) = ∑𝑥𝑖 ≤𝑥 𝑝(𝑥𝑖 )
If 𝑋 is continuous , then Cumulative Distribution
Function of 𝑋 is given by
𝑥
𝐹 (𝑥) = 𝑃(−∞ < 𝑋 ≤ 𝑥) = ∫ 𝑓(𝑥)𝑑𝑥
−∞
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The cumulative distribution function 𝐹 (𝑥 ) for a
continuous random variable 𝑋 expresses the probability that 𝑋 does not
exceed the value of 𝑥
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Properties of the cdf 𝐹(𝑥)
1. 𝐹(𝑥) is a non decreasing function of 𝑥 i.e
𝑥1 < 𝑥2
⇒ 𝐹 (𝑥1 ) < 𝐹(𝑥2 )
2. 𝐹 (−∞) = 0 , 𝐹 (∞) = 1
∞
𝐹 (∞) = 𝑃(−∞ < 𝑋 ≤ ∞) = ∫ 𝑓 (𝑥)𝑑𝑥 = 1
−∞
3. If X is a discrete random variable taking values 𝑥1, 𝑥2 ,…….𝑥𝑛
where, 𝑥1< 𝑥2 <…… <𝑥𝑖−1< 𝑥𝑖< … …
then 𝑃(𝑋 = 𝑥𝑖 ) = 𝐹 (𝑥𝑖 ) − 𝐹(𝑥𝑖−1 )
In case of continuous RV
𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) = 𝐹 (𝑏) − 𝐹(𝑎)
4. In case of a continuous RV ,
𝑑
𝐹(𝑥) = 𝑓(𝑥)
𝑑𝑥
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Note:
For discrete random variables, we look up the value of a
PMF at a single point to find its probability 𝑃(𝑋 = 𝑥)
For continuous random variables, we take an integral of a
PDF over a certain interval to find its probability that X will
fall in that interval.
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Mathematical Expectations
Definition: Let X be a continuous random variable with p.d.f. 𝑓 (𝑥 ).
Then the Mathematical expectation of 𝑋 denoted by 𝐸(𝑋) and is
given by
∞
𝐸 (𝑋) = ∫ 𝑥 𝑓(𝑥 ) 𝑑𝑥
−∞
𝐷𝑒𝑓𝑖𝑛𝑖𝑡𝑖𝑜𝑛: Let 𝑋 be a discrete random variable with probability mass
function 𝑓 (𝑥 ) or 𝑃(𝑋 = 𝑥)
Then the Mathematical expectation of 𝑋 denoted by 𝐸(𝑋) and is defined
as
𝐸 (𝑋) = 𝑥 𝑓(𝑥 ) = 𝑥 𝑃(𝑋 = 𝑥)
𝑥 𝑥
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Let 𝑔(𝑋) be any function of 𝑋. Then
∞
𝑖) 𝐸 [𝑔(𝑋)] = ∫−∞ 𝑔(𝑥 ) 𝑓(𝑥 ) 𝑑𝑥 , when 𝑋 is continuous RV
𝑖𝑖) 𝐸 [𝑔(𝑋)] = ∑𝑥 𝑔(𝑥 ) 𝑓(𝑥 ) = ∑𝑥 𝑔(𝑥 ) 𝑃(𝑋 = 𝑥),
When 𝑋 is discrete
In case of discrete random variable 𝑋,
1. 𝐸 (𝑋) = ∑𝑥 𝑥 𝑃(𝑋 = 𝑥)
2. 𝐸 (𝑋 2 ) = 𝑥 2 𝑃(𝑋 = 𝑥 )
3. 𝐸 (𝑋 3 ) = ∑ 𝑥 3 𝑃(𝑋 = 𝑥)
etc
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In case of Continuous random variable 𝑋
∞
1.𝐸 (𝑋) = ∫−∞ 𝑥 𝑓(𝑥 )𝑑𝑥
∞
2. 𝐸 (𝑋 2 ) = ∫ 𝑥 2 𝑓(𝑥 )𝑑𝑥
−∞
∞
3. 𝐸 (𝑋 3 ) = ∫−∞ 𝑥 3 𝑓(𝑥 )𝑑𝑥
etc
Expectation Properties:
Important Results:
∑ 𝑝𝑖 𝑥𝑖
∵ 𝑀𝑒𝑎𝑛 = ∑ 𝑝𝑖
= ∑ 𝑝𝑖 𝑥𝑖 as
1. 𝐸 (𝑋) = 𝜇 = 𝑚𝑒𝑎𝑛 =𝑥̅
∑ 𝑝𝑖 = 1
2. 𝐸 (𝑋 + 𝑘 ) = 𝐸 (𝑋) + 𝑘, where 𝑘 is a constant.
3. 𝐸 (𝑘𝑋) = 𝑘𝐸 (𝑋)
4. 𝐸 (𝑎𝑋 + 𝑏) = 𝑎𝐸 (𝑋) + 𝑏 where a, b are constants
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5. 𝐸 (𝑋 + 𝑌) = 𝐸 (𝑋) + 𝐸(𝑌), provided 𝐸 (𝑋) 𝑎𝑛𝑑 𝐸(𝑌) exists.
6. 𝐸 (𝑋 − 𝜇 ) = 𝐸 (𝑋 − 𝑥̅ ) = 0 why ?
7. 𝐸 (𝑋𝑌) = 𝐸 (𝑋). 𝐸(𝑌) when 𝑋, 𝑌 are independent variables.
1 1
8. 𝐸 ( ) ≠
𝑋 𝐸 (𝑋)
Formulas for Mean and Variance of the Distributions
1. Mean: The mean 𝜇 ( 𝑜𝑟 ) 𝑥̅ of the distribution is given by
∑ 𝑝𝑖 𝑥𝑖
Mean = 𝜇 = ∑ 𝑝𝑖
= ∑ 𝑝𝑖 𝑥𝑖 ∵ ∑ 𝑝𝑖 = 1
∴ 𝑀𝑒𝑎𝑛 = 𝜇 = 𝐸 (𝑋) = ∑ 𝑥 𝑃(𝑋 = 𝑥 ) = ∑ 𝑝𝑖 𝑥𝑖
If 𝑋 is discrete random variable , then
𝑀𝑒𝑎𝑛 = 𝜇 = 𝐸 (𝑋) = 𝑥 𝑃(𝑋 = 𝑥 ) = 𝑝𝑖 𝑥𝑖
If 𝑋 is continuous random variable , then
∞
𝑀𝑒𝑎𝑛 = 𝜇 = 𝐸 (𝑋) = ∫ 𝑥 𝑓 (𝑥 )𝑑𝑥
−∞
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2.Variance:
Variance of the probability distribution of a random variable 𝑋
denoted by the symbol 𝜎 2 is defined as
𝑉𝑎𝑟(𝑋) = 𝑉(𝑋) = 𝐸 [𝑋 − 𝐸(𝑋)]2 where 𝑀𝑒𝑎𝑛 = 𝜇 = 𝐸 (𝑋)
We have 𝑉 (𝑋) = 𝜎 2 = ∑𝑛𝑖(𝑥𝑖 − 𝜇)2 𝑝𝑖
=∑𝑛𝑖(𝑥𝑖 2 𝑝𝑖 + 𝜇 2 𝑝𝑖 − 2𝑥𝑖 𝜇𝑝𝑖 )
𝑛 𝑛
= 𝑥𝑖 2 𝑝𝑖 + 𝜇 2 − 2𝜇 𝑥𝑖 𝑝𝑖
𝑖 𝑖
𝜎2 = ∑𝑛𝑖 𝑥𝑖 2 𝑝𝑖 + 𝜇 2 − 2𝜇 2 ∵ 𝜇 = ∑𝑛𝑖 𝑥𝑖 𝑝𝑖
𝜎2 = ∑𝑛𝑖 𝑥𝑖 2 𝑝𝑖 − 𝜇 2
𝜎2 = 𝐸 (𝑋 2 ) − [𝐸(𝑋)]2
Variance = 𝜎 2 = 𝐸 (𝑋 2 ) − [𝐸(𝑋)]2
Standard deviation=S.D= 𝜎 = √𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒
Results:
𝑉(𝐾 ) = 0, where K is a constant
𝑉(𝐾 ) = 𝑉 (𝐾𝑋 0 ) = 𝐸(𝐾𝑋 0 )2 − [𝐸(𝐾𝑋 0 )]2
= 𝐸(𝐾)2 − [𝐸(𝐾)]2 = 𝐾 2 − 𝐾 2 = 0
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i.e Variance of any constant = 0
2. 𝑉(𝑘𝑋 ) = 𝑘 2 𝑉(𝑋)
𝑉(𝐾𝑋 ) = 𝐸(𝐾𝑋)2 − [𝐸(𝐾𝑋)]2
= 𝐾 2 𝐸(𝑋)2 − 𝐾 2 [𝐸(𝑋)]2
= 𝐾 2 {𝐸(𝑋 2 ) − 𝐾 2 [𝐸(𝑋)]2 }
= 𝐾 2 {𝐸(𝑋 2 ) − [𝐸(𝑋)]2 } = 𝐾 2 𝑉(𝑋)
3. 𝑉(𝑋 + 𝑘) = 𝑉 (𝑋) where K is a constant
4. 𝑉(𝑎𝑋 + 𝑏) = 𝑎2 𝑉(𝑋) where a, b are constants
Proof: Let 𝑌 = 𝑎𝑋 + 𝑏
𝑉 (𝑌) = 𝐸 (𝑌 2 ) − [𝐸(𝑌)]2
= 𝐸 ((𝑎𝑋 + 𝑏)2 ) − [𝐸(𝑎𝑋 + 𝑏)]2
= 𝐸 (𝑎2 𝑋 2 + 2𝑎𝑏𝑋 + 𝑏2 ) − {𝑎𝐸 (𝑋) + 𝑏}2
= 𝑎2 𝐸(𝑋 2 ) + 2𝑎𝑏𝐸 (𝑋) + 𝑏2
2
−𝑎2 (𝐸 (𝑋)) − 2𝑎𝑏 𝐸 (𝑋) − 𝑏2
2
= 𝑎2 𝐸 (𝑋 2 ) − 𝑎2 (𝐸 (𝑋))
= 𝑎2 {𝐸 (𝑋 2 ) − [𝐸(𝑋)]2 } = 𝑎2 𝑉(𝑋)
𝑉(𝑎𝑋 + 𝑏) = 𝑎2 𝑉(𝑋)
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𝑉(𝑎𝑋 + 𝑏) = 𝑎2 𝑉(𝑋)
The expected value µ = 𝐸(𝑋) is a measure of location or central
tendency.
The standard deviation σ is a measure of the spread or scale.
The variance = 𝜎 2 = 𝑉 (𝑋) is the square of the standard
deviation.
Expectation The mean, expected value, or expectation of a
random variable 𝑋 is written as 𝐸(𝑋) or 𝜇. The expectation is defined
differently for continuous and discrete random variables.
Note: The 𝑟 𝑡ℎ moment about origin ,denoted by 𝜇𝑟′ is defined as
𝜇𝑟′ = 𝐸(𝑋 𝑟 )
𝜇1′ = 𝐸(𝑋) , 𝜇2′ = 𝐸(𝑋 2 ) , 𝜇3′ = 𝐸(𝑋 3 ) etc
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Moment Generating Function (MGF)
Def : The moment generating function (MGF) of a random variable ‘𝑋’
(about origin) whose probability function 𝑓(𝑥) defined as
𝑀𝑋 (𝑡) = 𝐸 [𝑒 𝑡𝑋 ]
𝐸 [𝑒 𝑡𝑋 ] = ∑𝑥 𝑒 𝑡𝑥 𝑝(𝑥),
If 𝑋 is aType equation
discrete here.
random variable with pmf 𝑝(𝑥),
then 𝑀𝑋 (𝑡) = 𝐸 [𝑒 𝑡𝑋 ] = ∑𝑥 𝑒 𝑡𝑥 𝑝(𝑥)
If 𝑋 is a continuous random variable with pdf 𝑓(𝑥),
∞
then 𝑀𝑋 (𝑡) = 𝐸 [𝑒 𝑡𝑋 ] = ∫−∞ 𝑒 𝑡𝑥 𝑓(𝑥 )𝑑𝑥
where 𝑡 is a real parameter
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𝑛
𝑡
𝐸 (𝑋 𝑛 ) = 𝑐𝑜𝑒𝑓𝑓𝑖𝑐𝑖𝑒𝑛𝑡 𝑜𝑓 𝑖𝑛 𝑀𝑋 (𝑡 )
𝑛!
We have
𝑀𝑋 (𝑡) = 𝐸 [𝑒 𝑡𝑋 ]
𝑡𝑋 (𝑡𝑋)2 (𝑡𝑋)3 (𝑡𝑋)𝑛
𝑀𝑋 (𝑡) = 𝐸 {1 + + + + −−−+ + − −}
1! 2! 3! 𝑛!
𝑡 𝑡2 2
𝑡𝑛
𝑀𝑋 (𝑡) = 1 + 𝐸 (𝑋) + 𝐸 (𝑋 ) + − − − + 𝐸 (𝑋 𝑛 ) + ⋯ …
1! 2! 𝑛!
𝑡 𝑡2 𝑡𝑛
= 1+ 𝜇1′ + 𝜇2′ + −−−+ 𝜇𝑛′ + ⋯ …
1! 2! 𝑛!
𝑛)
𝑡𝑛
∴ 𝐸 (𝑋 = 𝑐𝑜𝑒𝑓𝑓𝑖𝑐𝑖𝑒𝑛𝑡 𝑜𝑓 𝑖𝑛 𝑀𝑋 (𝑡)
𝑛!
Type equation here.
𝑑 𝑑 𝑡 𝑡2 𝑡𝑛
Also 𝑀𝑋 (𝑡) = {1 + 𝐸 (𝑋) + 𝐸 (𝑋 2 ) + − − − + 𝐸 (𝑋𝑛 )}
𝑑𝑡 𝑑𝑡 1! 2! 𝑛!
2
𝑛𝑡𝑛−1
= 𝐸 (𝑋) + 𝑡𝐸(𝑋 ) + … + 𝐸(𝑋𝑛 ) + ⋯.
𝑛!
Put 𝑡 = 0
𝑑
{
𝑑𝑡
𝑀𝑋 (𝑡)} = 𝐸(𝑋)
𝑡=0
MVS Page 25
Similarly
𝑑2
{ 2 𝑀𝑋 (𝑡)} = 𝐸 (𝑋 2 )
𝑑𝑡 𝑡=0
𝑑3
{ 3 𝑀𝑋 (𝑡)} = 𝐸 (𝑋 3 )
𝑑𝑡 𝑡=0
Etc
𝑑
𝐸 (𝑋) = ൜ 𝑀𝑋 (𝑡)ൠ
𝑑𝑡 𝑡=0
2) 𝑑2
𝐸 (𝑋 ={ 𝑀𝑋 (𝑡)}
𝑑𝑡 2 𝑡=0
3) 𝑑3
𝐸 (𝑋 ={ 𝑀𝑋 (𝑡)}
𝑑𝑡 3 𝑡=0
MVS Page 26
Example-1
When a die is thrown , X , denotes the number that
turns up. Find 𝐸(𝑋), 𝐸(𝑋 2 ), 𝑉(𝑋)
Find 𝐸(𝑋), 𝐸(𝑋 2 ), 𝑉(𝑋)
Solution : Let 𝑋 be a R.V., denoting the number that turns up in a die.
1
Here 𝑋 takes values 1,2,3,4,5and 6 with probability for each.
6
𝑋= 𝑥 1 2 3 4 5 6
𝑃(𝑋 = 𝑥) 1 1 1 1 1 1
6 6 6 6 6 6
(i) 𝐸 (𝑋) = ∑6𝑖=1 𝑥𝑖 𝑃(𝑥𝑖 ) =
1 1 1 1 1 1 21 7
= 1( )+ 2( ) +3( ) +4( ) + 5( )+ 6( ) = =
6 6 6 6 6 6 6 2
7
𝐸 (𝑋 ) =
2
ii)𝐸(𝑋 2 )= ∑6𝑖=1 𝑥 2 𝑖 𝑃(𝑥𝑖 )
1 1 1 1 1 1
= 12 ( ) + 22 ( ) + 32 ( ) + 42 ( ) + 52 ( ) + 62 ( )
6 6 6 6 6 6
1+4+9+16+25+36 91
= =
6 6
𝟐)
91
𝟐 7 2 35
𝐕(𝐗) = 𝐄(𝐗 − (𝐄(𝐗)) = −( ) =
6 2 12
MVS Page 27
Example-2
Two unbiased dice are thrown. Find the expected
values of the sum of numbers of points on them.
Let X be the random variable representing the sum of the numbers
Obtained on two dice .
𝑋(𝑎, 𝑏) = 𝑎 + 𝑏
Then X can take one of the values 2,3,4,5,6,7,8,9,10,11,12.
The probability function of the RV 𝑋 is
𝑋 =𝑥 2 3 4 5 6 7 8 9 10 11 12
𝑃(𝑋 = 𝑥 ) 1 2 3 4 5 6 5 4 3 2 1
36 36 36 36 36 36 36 36 36 36 36
𝐸 (𝑋) = 𝑥. 𝑃(𝑥 ) =
𝑥
MVS Page 28
1 2 3 4 5
= 2( )+ 3( )+ 4( ) +5( ) +6( )
36 36 36 36 36
6 5 4 3 2 1
+7 ( ) + 8 ( ) + 9 ( ) + 10 ( ) + 11 ( ) + 12 ( )
36 36 36 36 36 36
=
252
= =7
36
Example-3
Solution:
𝑋=𝑥 0 1 2 3 4 5 6 7 8
𝑃(𝑋 = 𝑥) a 3a 5a 7a 9a 11a 13a 15a 17a
MVS Page 29
(i) Since 𝑃(𝑥) is a probability mass function , we have
∑8𝑖=1 𝑝(𝑥𝑖 ) = 1
a+3a+5a+7a+9a+11a+13a+15a+17a= 1
81a = 1
1
a=
81
(ii) 𝑃(𝑋 < 3) = 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2)
9 1
= 𝑎 + 3𝑎 + 5𝑎 = 8𝑎 = =
81 9
1 8
𝑃(𝑋 ≥ 3) = 1 − 𝑃(𝑋 < 3) = 1 − =
9 9
(iii) 𝑃(0 < 𝑋 < 5) =
𝑃(𝑋 = 1) + 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3) + 𝑃(𝑋 = 4)
16
= 𝑎 + 3𝑎 + 5𝑎 + 7𝑎 = 16𝑎 =
81
MVS Page 30
(iv) Distribution function of 𝑋
𝑋=𝑥 𝐹(𝑥 ) = 𝑃(𝑋 ≤ 𝑥)
0 1
𝐹 (0) = 𝑃(𝑋 ≤ 0) = 𝑃(𝑋 = 0) =
81
1 4
𝐹 (1) = 𝑃(𝑋 ≤ 1) = 𝑎 + 3𝑎=
81
2 9
𝐹 (2) = 𝑃(𝑋 ≤ 2) = 𝑎 + 3𝑎 + 5𝑎 =
81
3 16
𝐹 (3) = 𝑃(𝑋 ≤ 3) = 𝑎 + 3𝑎 + 5𝑎 + 7𝑎 =
81
4 25
𝐹 (4) = 𝑃(𝑋 ≤ 4) = 𝑎 + 3𝑎 + 5𝑎 + 7𝑎 + 9𝑎 =
81
36
5 𝐹 (5) = 𝑃(𝑋 ≤ 5)=
81
6 49
𝐹 (6) = 𝑃(𝑋 ≤ 6)=
81
7 64
𝐹 (7) = 𝑃(𝑋 ≤ 7)=
81
8 𝐹 (8) = 𝑃(𝑋 ≤ 8)= 𝑎 + 3𝑎 + 5𝑎 + 7𝑎 + 9𝑎 + 11𝑎 +
13𝑎 + 15𝑎 + 17𝑎=1
MVS Page 31
Example-4
MVS Page 32
Example-5
Solution:
MVS Page 33
Example-6
Solution:
MVS Page 34
Example-7
Let X a continuous random variable denotes the time a person waits for
an elevator to arrive .The PDf of X is
given by
Find Mean and Variance of 𝑋
Solution:
2
Mean=𝐸 (𝑋) = ∫0 𝑥 𝑓 (𝑥 )𝑑𝑥
Thus, we expect a person will wait 1 minute for the elevator on average
MVS Page 35
2 7 1
𝑉 (𝑋) = 𝐸 (𝑋 2 ) − (𝐸 (𝑋)) = − 12 =
6 6
Example-8
Find the constant 𝑐 such that the function
2
𝑐𝑥 , 0<𝑥<3
𝑓 (𝑥 ) = ൜
0 , 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
Is a density function , and b)find 𝑃(1 < 𝑥 < 2)
∞
Solution: Since 𝑓 (𝑥 ) is apdf , it satisfies ∫−∞ 𝑓 (𝑥 ) = 1
3
∫ 𝑐𝑥 2 dx = 1
0
3
𝑥3
𝑐[ ] = 1
3 0
1
𝑐=
9
MVS Page 36
21 7
b) 𝑃(1 < 𝑋 < 2) = ∫1 𝑥 2 𝑑𝑥 =
9 27
Example-9
a) Find K, (b) Evaluate 𝑃(𝑋 < 2) and 𝑃(−2 < 𝑋 < 2)
(c ) find the cdf (Cumulative distribution function) and
(d )Evaluate mean of 𝑋
Solution: we have ∑𝑥 𝑝(𝑥 ) = 1
0.1 + 𝑘 + 0.2 + 2𝑘 + 0.3 + 3𝑘 = 1
0.6 + 6𝑘 = 1
6𝑘 = 0.4
0.4 4 1
𝑘= = =
6 60 15
∴ probability distribution becomes
MVS Page 37
b) 𝑃 ( 𝑋 < 2) =
𝑃 (𝑋 = −2) + 𝑃(𝑋 = −1) + 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1)
1 1 1 2 1
= + + + =
10 15 5 15 2
𝑃(−2 < 𝑋 < 2) = 𝑃(𝑋 = −1) + 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1)
1 1 2 2
= + + =
15 5 15 5
Where 𝐹(x) cdf of a RV 𝑋
d) Mean of X = 𝐸 (𝑋) = ∑𝑥 𝑥. 𝑃(𝑥)
MVS Page 38
Example-10
Solution:
We have ∑ 𝑝(𝑥 ) = 1
∴ 0 + 𝑘 + 2𝑘 + 2𝑘 + 3𝑘 + 𝑘 2 + 2𝑘 2 + 7𝑘 2 + 𝑘 = 1
i.e 10𝑘 2 + 9𝑘 = 1
(10𝑘 − 1)(𝑘 + 1) = 0
1
𝑘= or -1
10
1
∴𝑘=
10
MVS Page 39
Example-11
Solution:
(a) If 𝑝(𝑥) is to be a pdt , then (i)𝑝(𝑥) ≥ 0 and
∞
(ii) ∫−∞ 𝑓 (𝑥 ) = 1
MVS Page 40
𝑥2
−
Clearly for 𝑥 ≥ 0 , 𝑥𝑒 2 ≥ 0 and
∞ ∞
𝑥2
−2
∫ 𝑓 (𝑥 )𝑑𝑥 = ∫ 𝑥𝑒 𝑑𝑥
0 0
∞ −𝑡 𝑥2
= ∫0 𝑒 𝑑𝑡 𝑝𝑢𝑡 = t, xdx = dt
2
= −(𝑒 −∞ − 𝑒 0 ) = 1
∞
∫ 𝑓 (𝑥 )𝑑𝑥 = 1
0
∴ 𝑓 (𝑥 )is a pdf of a random variable
MVS Page 41
Example-12
A continuous RV X has a pdf
𝑓(𝑥 ) = 𝑘𝑥 2 𝑒 −𝑥 ; 𝑥 ≥ 0. Find 𝑘, Mean and
Variance
Solution:
Γ(𝑛) = ∫ 𝑥 𝑛−1 𝑒 −𝑥 𝑑𝑥
0
Γ(𝑛 + 1) = 𝑛!
By the property of pdf
∞
∫ 𝑓 (𝑥 )𝑑𝑥 = 1
0
∞
∫ 𝑘𝑥 2 𝑒 −𝑥 𝑑𝑥 = 1
0
𝑘Γ(3) = 1
𝑘 (2) = 1
1
∴𝑘=
2
MVS Page 42
Mean of 𝑋 =
(or)
∞
Mean =𝐸 (𝑋) = ∫0 𝑥 𝑓(𝑥)𝑑𝑥
∞
1 2 −𝑥
=∫𝑥 𝑥 𝑒 𝑑𝑥
2
0
∞
1 1 3!
= ∫ 𝑥 3 𝑒 −𝑥 𝑑𝑥 = Γ(4) = = 3
2 2 2
0
2
𝑉 (𝑋) = 𝐸 (𝑋 2 ) − (𝐸 (𝑋))
∞
𝐸 (𝑋 2 ) = ∫ 𝑥 2 𝑓(𝑥)𝑑𝑥 =
0
∞ ∞
1 1 1 4!
= ∫ 𝑥 2 𝑥 2 𝑒 −𝑥 𝑑𝑥 = ∫ 𝑥 4 𝑒 −𝑥 𝑑𝑥 = Γ(5) = = 12
2 2 2 2
0 0
MVS Page 43
2
𝑉 (𝑋) = 𝐸 (𝑋 2 ) − (𝐸 (𝑋))
= 12 − 32 = 9
Example-13
Solution:
Given pdf of RV 𝑋 is
𝑓 (𝑥 ) = 3𝑥 2 ,0≤ 𝑥 ≤ 1
(i) 𝑃(𝑋 ≤ 𝑎) = 𝑃(𝑋 > 𝑎)
𝑎 1
∴ ∫ 𝑓 (𝑥 )𝑑𝑥 = ∫ 𝑓 (𝑥 )𝑑𝑥
0 𝑎
𝑎 1
∴ ∫ 3𝑥 2 𝑑𝑥 = ∫ 3𝑥 2 𝑑𝑥
0 𝑎
[𝑥 3 ]𝑎0 = [𝑥 3 ]1𝑎
MVS Page 44
𝑎3 = 1 − 𝑎3
2𝑎3 = 1
1
𝑎3 =
2
∴ 𝑎 = 0.7937
MVS Page 45
Example-14
The distribution function of a RV X is given by
𝐹 (𝑥 ) = 1 − (1 + 𝑥 )𝑒 −𝑥 , 𝑥 ≥ 0
Find the pdf (𝑓(𝑥)) , mean and variance of 𝑋
Solution:
By the property of Cumulative distribution function 𝐹(𝑥) of a random
variable 𝑋
We have
𝐹 ′ (𝑥 ) = 𝑓 (𝑥 )
𝑑
i.e (𝐹(𝑥)) = 𝑓(𝑥)
𝑑𝑥
=
𝑑
𝑓 (𝑥 ) = {1 − (1 + 𝑥 )𝑒 −𝑥 }
𝑑𝑥
𝑓 (𝑥 ) = (1 + 𝑥 )𝑒 −𝑥 − 𝑒 −𝑥
∴ 𝑓 (𝑥 ) = 𝑥𝑒 −𝑥
MVS Page 46
∞
𝐸 (𝑋) = 𝑀𝑒𝑎𝑛 = ∫ 𝑥 𝑓(𝑥 )𝑑𝑥
0
∞ ∞
= ∫0 𝑥 𝑥𝑒 −𝑥 𝑑𝑥 = ∫0 𝑥 2 𝑒 −𝑥 𝑑𝑥 ∞
Γ(𝑛) = ∫ 𝑥 𝑛−1 𝑒 −𝑥 𝑑𝑥
0
𝛤(𝑛 + 1) = 𝑛!
= Γ(3) = 2! = 2
𝐸 (𝑋 2 ) = ∫ 𝑥 2 𝑓(𝑥 )𝑑𝑥
0
∞ ∞
= ∫ 𝑥 2 𝑥𝑒 −𝑥 𝑑𝑥 = ∫ 𝑥 3 𝑒 −𝑥 𝑑𝑥
0 0
= Γ(4) = 3! = 6
2
𝑉 (𝑋) = 𝐸 (𝑋 2 ) − (𝐸 (𝑋))
=6−4=2
MVS Page 47
Example-15
𝑃 (𝐴∩𝐵)
Solution: We have 𝑃 (𝐴⁄𝐵 ) =
𝑃(𝐵)
1 7
∴ 𝑃 (( < 𝑋 < ) /𝑋 > 1) =
2 2
𝑃{(0.5 < 𝑋 < 3.5)⋂(𝑋 > 1)}
=
𝑃 (𝑋 > 1)
𝑃(𝑋 = 2) + 𝑃(𝑋 = 3)
𝑃(𝑋 = 2) + 𝑃(𝑋 = 3) + 𝑃(𝑋 = 4)
0.3+0.2 0.5 5
= = =
0.3+0.2+0.1 0.6 6
MVS Page 48
MVS Page 49
