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The CDF for a discrete random variable gives the probability that the variable is less than or equal to a value. The CDF for a continuous random variable is defined as the integral of the probability density function (PDF) from negative infinity to the given value. Some important results include that the CDF of a function of a random variable is equal to the CDF of the variable evaluated at the inverse of the function. The mean and variance of a random variable can be found from its PDF. Special random variables include the Bernoulli, uniform, and normal distributions.

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26 views5 pages

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The CDF for a discrete random variable gives the probability that the variable is less than or equal to a value. The CDF for a continuous random variable is defined as the integral of the probability density function (PDF) from negative infinity to the given value. Some important results include that the CDF of a function of a random variable is equal to the CDF of the variable evaluated at the inverse of the function. The mean and variance of a random variable can be found from its PDF. Special random variables include the Bernoulli, uniform, and normal distributions.

Uploaded by

Soumyadip Mondal
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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LECTURE 18 : RANDOM VARIABLES

Suraj Kumar Shit

WHAT IS RANDOM VARIABLES


It is a deterministic function from the sample space Ω onto the real line. For
every outcome of the sample space Ω is deterministically mapped to the real
number
Eg. Tossing a coin : In tossing a coin the outcomes Head and Tail can be
mapped 1 and 0 or vice-versa respectively.

DISCRETE RANDOM VARIABLES


If X is a function whose domain is sample space Ω and co-domain is R, then for
the discrete random variable we define the probability mass function as

PX (x) = Pr {X = x}
Based on this we define the Cumulative Distribution Function (CDF)
i.e defined as
FX (x) = Pr {X ≤ x}

Properties of CDF
It has certain properties.
• FX (∞) = 1
FX (−∞) = 0
• It is non-decreasing function of X.

• It is continuous from the right i.e limx→a+ FX (x) = FX (a).


• P (x1 ≤ X ≤ x2 ) = FX (x2 ) − FX (x1 )
• Since the function is continuous from the right, then P (X = x) = FX (x)−
FX (x− )

1
CONTINUOUS RANDOM VARIABLES
For the continuous random variables we define the probability density function
(PDF) as
d
fX (x) = FX (x)
dx
P {x ≤ X ≤ x + ∆}
fX (x) = lim
∆→0 ∆

Similarly, we can find CDF from PDF


Z x
FX (x) = f (t) dt
−∞

From the above definition we can also find the properties of PDF.

Properties of PDF
Here are some properties of PDF
R∞
• −∞ fX (x) dt = 1
• It is non-negative function of x i.e fX (x) ≥ 0.
Rx
• P {x1 ≤ X ≤ x2 } = x12 fX (x) dx

The CDF for a discrete random variable The CDF for a discrete random variable

Some Important Results


If X is a random variable and Y is another deterministic function of X then, Y
is given as
Y = g(X)
then we define the CDF of Y as

2
FY (y) = P {Y ≤ y}
= P {g(X) ≤ y}
= P {X ≤ g −1 (y)}
= FX (g −1 (y))

and then also find the PDF of the Y


X 1
fY (y) = dy
fX(xi )
i dx x=xi

We can find mean and variance from the probability density function
Z ∞
µ = E(x) = xfX (x) dx
−∞

• nth moment of x
we can find the nth moment of x with the help of the mean of random
variables
Z ∞
mnx = E(X n ) = xn fX (x) dx
−∞

• nth central moment of x


Similarly, we can find the nth central moment of x

cnx = E[(X − µ)n ]

if we take the value of n = 2 and then find the value of the central moment of
X i.e 2nd central moment of X, then the result obtained is the variance of X.

V ar(X) = E[(X − E(X))2 ] = E[X 2 ] − E 2 [X]


Variance is a measure of spread of the density function of X.

Properties of Mean
• E(cX) = cE(X)
• E(c) = c

• E(X+c) = E(X)+c

3
Properties of Variance
• Var(cX) = c2 Var(X)
• Var(c) = 0

• Var(X+c) = Var(X)

Characteristic Functions
The characteristic function of a random variable X is and defined as
Z ∞
jνX
ΨX (ν) = E[e ]= ejνx fX (x) dx
−∞

If we replace jν with s, similar (kind of) to Laplace transform, then the expres-
sion become
s2 X 2
ΨX (s) = E[esX ] = E[1 + sX + + ...]
2!
The characteristic function of a random variable provides a simple way to
find its various moments. We can find nth moment of random variable X by
dn
mnX = ΨX (s)

dsn s=0

Special Random Variables


Bernoulli Random Variable
This is a discrete random variable taking two values one and zero with proba-
bilities p and 1-p. The probalilty mass function is given by
( 
n k n−k
P (X = k) = k p (1 − p) ,0 ≤ k ≤ n
0 otherwise

where n is independent Bernoulli trials. Means and Variance are as follows

E[X] = np
Var(X) = np(1-p)

4
Uniform Random Variable
This is a continuous random variable taking values between a and b with equal
probabilities over intervals of equal length. The density function is given by
(
1
a<x<b
fX (x) = b−a
0 otherwise
From the given density function we can find FX .

0
 x<a
FX (x) = x−a
b−a a ≤x≤b

1 x>b

Mean and Variance are as follows

a+b
E[X] =
2

Z ∞
2
E[X ] = x2 fX (x) dx
−∞
Z b
1
= x2 ( ) dx
a b − a
a2 + ab + b2
=
3

V ar(X) = E[X 2 ] − E 2 [X]


a2 + ab + b2 a2 + 2ab + b2
= −
3 4
(b − a)2
=
12

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