Probability Theory

Before the discussion of probability theory let us

define a few terms related to this theory.
Experiment : Here with similar trials outcome may be
different.
The variable that represents the outcome is a random
variable.
Ex. 1. Throwing of Dice
2. Picking a card in the card game
Trial : Each repetition of the experiment is called a
trial.
All outcomes are equally likely.
If X = Random variable.
Then x1, x2, ……xn
Sample space : Set of all probable outcomes is called
sample space.
Ex. When a coin is tossed, sample space S = { T,H }
When two coins are tossed simultaneously, the
sample space,
S = { TT, TH,HT, HH}
When a Die is thrown , S = { 1, 2, 3, 4, 5, 6 }
Event
Subset of sample space is called an event.
Example in rolling dice , an event can be ‘ Getting an
odd number’
E = { 1,3,5 }
Another event can be getting a number less than 5,
E = { 1,2,3,4}
When the event is same as sample space then the
event is called a certain event.
When the event does not have any element then it is
called Null event. E = {φ}
𝑵𝒖𝒎𝒃𝒆𝒓 𝒐𝒇 𝒇𝒂𝒗𝒐𝒖𝒓𝒂𝒃𝒍𝒆 𝒐𝒖𝒕𝒄𝒐𝒎𝒆
Probability = × 100 %
𝑻𝒐𝒕𝒂𝒍 𝒏𝒖𝒎𝒃𝒆𝒓 𝒐𝒇 𝒐𝒖𝒕𝒄𝒐𝒎𝒆

Probability of getting an odd number in throwing dice

𝟑
is = × 100 % = 50%
𝟔

Probabilty
Probabilty function or probability distribution of a
discrete random variable :
Let X is a random variable which can take values x1,
x2,x3 ……… etc.
The probability distribution of x1 i.e. P ( X =x1) = f (x1)
The probability distribution of x2 i.e. P ( X =x2) = f (x2)
and so on.
Therefore, P ( X =xj) = f (x j)
Representation of all these probabilities is called
Probability Distribution.
Example :
In an experiment 3 coins are tossed simultaneously. If
the number of Heads is the random variable, then find
the probability distribution of the random variable.
Solution:
Let the no of Heads = X
Sample Space : S = { HHH, HHT, HTH, HTT, THH, THT, TTH, TTT}
So, X= 3 2 2 1 2 1 1 0

So X can take 4 values 0,1,2,3

X takes the value 0 only once, it takes 1 thrice, it
takes 2 thrice and it takes 3 once.
Therefore probability distribution is
So, P ( X = 0) = 1/8, P ( X = 1) = 3/8,
P ( X = 2) = 3/8, P ( X = 3) = 1/8
Representation of Probability distribution.

f(x)

3/8

1/8
ccc

0 1 2 3 → X

Cumulative Distribution Function ( CDF)

CDF of a random variable X at an event x is the
probability that the random variable X takes a value
less than or equal to x.
CDF : FX(x) = P ( X<= x)
FX(-ꝏ) = 0
FX(ꝏ) = 1
CDF of a random variable at any certain event is equal
to the summation of the probabilities of the random
variable upto that event.
The diagrammatic representation of FX(x) looks like a
staircase with upward steps of height P( X =xj) at each
X =xj. For the above example:
FX(0) = 1/8
FX(1) = 1/8 + 3/8 = 1/2
FX(2) = 1/8+3/8+3/8 = 7/8
FX(3) = 1/8+3/8+3/8 +1/8 =1
1

7/8

4/8

1/8

0 1 2 3

staircase diagram of Cumulative Distribution.

Probability Density Function( PDF)
Derivative of CDF is called PDF. Mathematically,
𝐝
PDF : fx(x) = FX(x)
𝐝𝐱

PDF always have nonzero value.

Area under PDF curve is always unity.
𝐝
fx(x) = FX(x) Integrating
𝐝𝐱
ꝏ
∫ fx(x) 𝑑𝑥 = Fx(∞) − Fx(−∞) = 1 − 0 = 1
−ꝏ
ꝏ
∴ ∫−ꝏ fx(x) 𝑑𝑥 = 1 : Proved
Probability of the event (x1< X < x2 ) is simply given by the
area under the Probability Density Function (PDF) curve in
the range (x1< X ≤ x2 ).
x2
∴ P (x1< X ≤ x2 ) = ∫x1 fx(x) 𝑑𝑥
Problem: A continuous random variable has a probability
density function (PDF) expressed as
fx(x) = 𝟐𝒆−𝟐𝒙 for x ≥ 0 Find the probability that it
will take a value between 1 and 3.
Solution:
The relation between probability and PDF is
𝐱𝟐
P (x1< X < x2 ) = ∫𝐱𝟏 𝐟𝐱(𝐱) 𝒅𝒙
Probability that the random variable will take a value
between 1 and 3,
𝟑
P (1< X ≤ 3 ) = ∫𝟏 𝟐𝒆−𝟐𝒙 𝒅𝒙
𝟐
= −𝟐 ( 𝒆−𝟔 − 𝒆−𝟐 )

= 0.1328
Problem :
The Probability Density Function (PDF) for a random variable
X is

fx(x) = 12 𝒙𝟑 - 21 𝒙𝟐 +10 x for 0< X ≤ 1

and 0 otherwise
 𝟏 𝟏
Determine (i) P ( X ≤ ) (ii) P ( X > 𝟐 )
𝟐
𝟏
𝟏 𝟑 𝟐
Solution: P ( X ≤ ) = ∫𝟎
(𝟏𝟐 𝒙𝟐 − 𝟐𝟏 𝒙 + 𝟏𝟎 𝐱 )𝒅𝒙
𝟐

𝒙𝟒 𝒙𝟑 𝒙𝟐 𝟏
= | 𝟏𝟐 − 𝟐𝟏 + 𝟏𝟎 | upper limit = 𝟐
𝟒 𝟑 𝟐

lower limit = 0
𝟏 𝟏 𝟏
= 3×𝟏𝟔 - 7×𝟖 + 5×𝟒
𝟗
= 𝟏𝟔
𝟏 𝟏
P ( X > 𝟐 ) = ∫𝟏 (𝟏𝟐 𝒙𝟑 − 𝟐𝟏 𝒙𝟐 + 𝟏𝟎 𝐱 )𝒅𝒙
𝟐

𝒙𝟒 𝒙𝟑 𝒙𝟐
= | 𝟏𝟐 − 𝟐𝟏 + 𝟏𝟎 | per limit = 1
𝟒 𝟑 𝟐
1
lower limit = 2
𝟏𝟐 𝟐𝟏 𝟏𝟎 𝟑 𝟕 𝟓
=( - + ) – ( 𝟏𝟔 − + )
𝟒 𝟑 𝟐 𝟖 𝟒
𝟑𝟔−𝟖𝟒+𝟔𝟎 𝟑−𝟏𝟒+𝟐𝟎
= −
𝟏𝟐 𝟏𝟔
𝟏𝟐 𝟗 𝟕
= 𝟏𝟐 − = 𝟏𝟔
𝟏𝟔
𝟏 𝟏
On the other hand, P ( X > 𝟐 ) = 1- P ( X ≤ )
𝟐
𝟗
=1− 𝟏𝟔
𝟕
= 𝟏𝟔
Mean value of Random variable:
The mean or average value of random variable is
expressed by the summation of the values of random
variable X weighted by their probabilities. The mean
value of a random variable is denoted by mx.
Mean value is also known as expected value of random
variable X. mx = E[X]. E[ ] is called expectation
operator.
Mean value of discrete Random variable:
Let, the random variable X takes the following values :
X = [ x1, x2 , x3 , x4. . . . . . . . . . . . . . . . , xn ]
Then the mean or average value mx of random variable
X is expressed as,
mx = x1 .P(x1) + x2 .P(x2) + x3 .P(x3) . . . . . . . . . . . . . xn .P(xn)
Therefore, mx = E[X] = 𝑿 ̅ = ∑𝒏𝒊=𝟏 𝒙𝒊 𝑷( 𝒙𝒊 )
̅ is the notation for mean.
where 𝑿
Mean value of continuous Random variable:
If random variable X becomes continuous the sample
points x1, x2 , x3 , x4. . . . . . . . . . . . . , xn becomes quite
close to each other , ( x2 −𝒙𝟏 ≈ 0). Therefore the
summation converts to integration over the complete
range of x ( −ꝏ < x < ꝏ ). Therefore, the mean or
average,
ꝏ
mx = ∫−ꝏ 𝐱 . 𝐟𝐱(𝐱) 𝒅𝒙 where 𝐟𝐱(𝐱)
is probability density function.
Variance of Random Variable (𝛅𝟐𝒙 )

𝛅𝟐𝒙 = ̅̅̅̅
𝑿𝟐 − 𝒎𝟐𝒙
= Mean of square–square of mean
Standard Deviation :
The square root of variance is called Standard
Deviation of a random variable X. Standard deviation
gives the measure of spread observed over the values
of X related to mean value.
Standard Deviation = 𝜹𝒙

= √̅̅̅̅
𝑿𝟐 − 𝒎𝟐𝒙
Uniform Distribution
If the Probability distribution is uniform for the sample
space for a random variable. The CDF value will go on
increasing uniformly. Therefore, PDF which is the rate
of change of CDF will be uniform for all possible values
of the random variable.
The Probability Density Function (PDF) of uniform
distribution is expressed as:
fx(x) = 0 for x< a and x > b
𝟏
= 𝒃−𝒂 for a≤x≤b

This can be understood from below :

fx(x) 1

a b

Now the diagrammatic representation of PDF of

uniform distribution is shown below:
fx(x)
1
𝑏−𝑎

a b →X