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GEC410 Note3 Module1

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15 views6 pages

GEC410 Note3 Module1

Uploaded by

exbonjogn
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We take content rights seriously. If you suspect this is your content, claim it here.
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Random Variable and their Distribution

A random variable is a numerical variable whose measured value can change from
one replicate of the experiment to another.
In an experiment, a measurement is usually denoted by a variable such as X. For
example, X might denote the current measurement in the copper wire experiment.
An uppercase letter is used to denote a random variable. After the experiment is
conducted, the measured value of the random variable is denoted by a lowercase
letter.
Discrete Random Variable/ Continuous Random variable
Let S be the sample space of random experiment and X be the random variable
defined on S. The random variable X is said to be discrete if the range space Rx
consist of a finite number of sample points. A discrete random variable is used to
model count data such as the number of scratches on a surface, the number of
defective parts among 1000 tested, the number of transmitted bits received in error,
the number of accidents in a year, the number of convenience options selected by
an automobile buyer, the number of molecules in a sample of gas.
A continuous random variable is a random variable with an interval (either finite or
infinite) of real numbers for its range.
Examples of continuous random variables: electrical current, length, pressure,
temperature, time, voltage, weight
Probability Distributions.
The set of all possible values of a random variable X together with their associated
probabilities is called the probability distribution of the random variable X. The
probability distribution of a discrete random variable is often referred to as the
probability mass function (pmf) and denoted by 𝑓(𝑥) = 𝑃(𝑋 = 𝑥) 𝑎𝑛𝑑
0 ≤ 𝑓(𝑥) ≤ 1 𝑎𝑛𝑑 ∑𝑎𝑙𝑙 𝑥 𝑓(𝑥) = 1 .

Example.
Let X be the number of heads that appear when a fair coin is thrown three times.
Give the probability distribution of X.
Example.
Let the discrete random variable X have the probability density function
1
, 𝑥 = 1,2,3,4,5,6
𝑓(𝑥) = {6
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
(a). Show that f(x) is indeed a probability function. (b). Find 𝑝(1 < 𝑥 ≤ 3).

Solution.
(a). We need to show that 𝑓(𝑥) ≥ 0 𝑎𝑛𝑑 ∑ 𝑓(𝑥) = 1
1
(i). 𝑓(𝑥) = > 0 ∀𝑥.
6
1 1 1
(ii). ∑ 𝑓(𝑥) = 𝑓(1) + 𝑓(2) + ⋯ + 𝑓(6) = + + ⋯ + = 1
6 6 6
(b). The probability 𝑝(1 < 𝑥 ≤ 3) = 𝑝(𝑥 = 2 𝑜𝑟 𝑥 = 3)
1 1 1
= 𝑝(𝑥 = 2) + 𝑝(𝑥 = 3) = + =
6 6 3

The probability distribution of continuous random variables X is often referred to


as the probability density function (pdf)
𝑏 ∞
𝑝(𝑎 < 𝑋 < 𝑏) = ∫𝑎 𝑓(𝑥)𝑑𝑥 𝑎𝑛𝑑 0 ≤ 𝑓(𝑥) ≤ 1 𝑎𝑛𝑑 ∫−∞ 𝑓(𝑥) = 1

Cumulative Distribution Function.


Suppose we are interested in knowing the probability that the value of a random
variable X is less than or equal to a particular real value x. Let us denote this idea
by F ( X )  P( X = x), then we can refer to the function F ( X ) define for any real number
The cumulative distribution function CDF of a random variable X is defined for
any real number x such that 𝐹(𝑥) = 𝑝(𝑋 ≤ 𝑥) −  x  
The function F(x) is simply referred to as the distributive function.
CDF 𝐹(𝑥) = 𝑝(𝑋 ≤ 𝑥) and 𝑓(𝑥) = 𝑝(𝑋 = 𝑥)
Properties of CDF.
1. F(x) is a non-decreasing function of x.
2. The limit lim 𝐹(𝑥) = 𝐹(∞) = 1.
𝑥⇢∞
3. lim 𝐹(𝑥) = 𝐹(−∞) = 0.
𝑥⇢∞

4. 𝑓(𝑥) = 𝑑𝐹(𝑥)
𝑑𝑥

Example .
3𝑥 2 , 𝑓𝑜𝑟 0 < 𝑥 < 1
𝑓(𝑥) = {
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
3 3
(a). Show that f(x) is indeed a probability function. (b). Find 𝑝(− < 𝑥 < ) (c)
4 4
Obtain the cumulative distribution F(X)
Solution.
1
(a). (𝑖). 𝑓(𝑥) = 3𝑥 2 > 0 𝑓𝑜𝑟 0 < 𝑥 < 1 (ii).∫ 𝑓(𝑥)𝑑𝑥 = ∫0 3𝑥 2 𝑑𝑥 = 𝑥 3 | 10 = 1,
therefore f(x) is a probability density function.
3 3
3 3 0 54
(b). 𝑝 (− < 𝑥 < ) = ∫ 3𝑥 2 𝑑𝑥 = ∫−3 3𝑥 2 𝑑𝑥 + ∫04 3𝑥 2 𝑑𝑥 =
4
3
4 4 − 4 64
4

Mathematical Expectations of Random Variables.


Given a random variable X with pdf f(x). We define the mathematical expectation
or the expected value of X written as:
𝐸(𝑋) = ∑ 𝑥𝑓(𝑥) if x is discrete.
𝐸(𝑋) = ∫ 𝑥𝑓(𝑥)𝑑𝑥 if x is continuous
NOTE: The condition for the discrete case to hold is that ∑|𝑥|𝑓(𝑥) converges
absolutely. For the continuous case, provided the integral exists.
In other words, the expected value of X is a weighted average of the possible
values that x can take along with its probability. The expected value of X is also
called the centre of gravity or the centre of the unit mass.
Properties of Expected values.
1. 𝐸[𝑐] = 𝑐. The expected value of a constant is the constant itself.
2. 𝐸[𝑐𝑋] = 𝑐 𝐸[𝑋].
3. 𝐸[𝑋 + 𝑐] = 𝐸[𝑋] + 𝑐.
4. 𝐸[𝑐1 𝑋 + 𝑐2 ] = 𝑐1 𝐸[𝑋] + 𝑐2 𝑤ℎ𝑒𝑟𝑒 𝑐1 𝑎𝑛𝑑 𝑐2 𝑎𝑟𝑒 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡𝑠.
5. 𝐸[𝑋 + 𝑌] = 𝐸[𝑋] + 𝐸[𝑌].
6. 𝐸[ℎ1 (𝑥)] ≤. 𝐸[ℎ2 (𝑥)] 𝑤ℎ𝑒𝑟𝑒 ℎ1 (𝑥) ≤ ℎ2 (𝑥) .
Variance of Random Variables.
The variance of X whose pdf is given by f(x) is as follows;
𝑉𝑎𝑟(𝑋) = 𝜎 2 = 𝐸(𝑋 − 𝜇)2 = ∑(𝑋 − 𝜇)2 𝑓(𝑥) 𝑖𝑓 𝑋 𝑖𝑠 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒.
= ∫(𝑋 − 𝜇)2 f(x)dx 𝑖𝑓 𝑋 𝑖𝑠 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠.
Also
𝑉𝑎𝑟(𝑋) = 𝜎 2 = 𝐸(𝑋 − 𝜇)2 = 𝐸[𝑋 2 − 2𝜇𝑋 + 𝜇2 ]
= 𝐸[𝑋 2 ] − 2𝜇𝐸[𝑋] + 𝜇2 = 𝐸[𝑋 2 ] − 2𝜇2 + 𝜇2
= 𝑬[𝑿𝟐 ] − (𝑬[𝑿])𝟐
𝑽𝒂𝒓(𝑿) = 𝝈𝟐 = 𝑬[𝑿𝟐 ] − (𝑬[𝑿])𝟐 . 𝑏𝑢𝑡 𝜇 = 𝐸(𝑋)
Properties of
Variance.
1. If X is the random variable and c is any constant then 𝜎 2𝑋+𝑐 = 𝜎 2𝑋 = 𝜎 2 .
2. If X is a random variable and c is any constant. Then 𝜎 2 𝑐𝑋 = 𝑐 2 𝜎 2𝑋 = 𝑐 2 𝜎 2 .
3. If X and Y are independent, then the variance of the sum or difference of two or
more independent random variables is equal to the sum of the variances of the
variables. That is If X and Y are independent,
𝜎 2𝑋+𝑌 = 𝜎 2𝑋 + 𝜎 2 𝑌 𝑎𝑛𝑑 𝜎 2𝑋−𝑌 = 𝜎 2𝑋 + 𝜎 2 𝑌 .
4. The covariance of two random variables X and Y with means 𝜇𝑋 𝑎𝑛𝑑 𝜇𝑌
respectively is given by 𝜎 2𝑋𝑌 = 𝐸[(𝑋 − 𝐸(𝑋))(𝑌 − 𝐸(𝑌))]
= 𝐸(𝑋𝑌) − 𝜇𝑋 𝜇𝑌 = 𝑐𝑜𝑣(𝑋, 𝑌).

Example1: The probability function of a random variable X is given as in the table


below:
X -2 1 3
f(x) 1/3 1/6 1/2

1. Find the mean and variance of X (Ans. E(X)=1, V(X)=6)


2. The E(2X+5) (Ans= 7)
Example2
The random variable X has the following probability function
𝑘(1 − 𝑥), 𝑓𝑜𝑟 0 ≤ 𝑥 ≤ 1
𝑓(𝑥) = {
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
(a). Find the constant k. (b). Hence calculate the mean and variance of x. (c) Find
F(x)

Moments of Random Variables


The moment of a random variable X can be defined as;
𝐸[𝑥 𝑘 ] = ∑ 𝑥 𝑘 𝑓(𝑥) or 𝐸[𝑥 𝑘 ] = ∫ 𝑥 𝑘 𝑓(𝑥) 𝑑𝑥
Example 1
Toss a coin three times. Let the X be the random variable of obtaining a tail.
Calculate the first 4 moments of X.
Solution
X 0 1 2 3
𝑓(𝑥) 1 3 3 1
8 8 8 8

a.)𝐸[𝑋] = 𝛴𝑥𝑓(𝑥)
1 3 3 1 3
𝐸[𝑥] = 𝛴𝑥𝑓(𝑥) = 0 + 1 + 2 + 3 =
8 8 8 8 2

b). 𝐸[𝑥 2 ] = 𝛴𝑥 2 𝑓(𝑥)


1 3 3 1
𝐸[𝑥 2 ] = 𝛴𝑥 2 𝑓(𝑥) = 02 + 12 + 22 + 32 = 3
8 8 8 8

c). 𝐸[𝑥 3 ] = 𝛴𝑥 3 𝑓(𝑥)


1 3 3 1 27
𝐸[𝑥 3 ] = 𝛴𝑥 3 𝑓(𝑥) = 03 + 13 + 23 + 33 =
8 8 8 8 4
1 3 3 1 33
d). 𝐸[𝑥 4 ] = 𝛴𝑥 4 𝑓(𝑥) = 04 + 14 + 24 + 34 =
8 8 8 8 2
Example2
Roll a die once. Let the X be the random variable of obtaining any possible value
obtainable on a single throw of a die. Calculate the first 4 moments of X.
Solution
X 1 2 3 4 5 6
𝑓(𝑥) 1 1 1 1 1 1
6 6 6 6 6 6
1 1 1 1 1 1 7
a). 𝐸[𝑋] = 𝛴𝑥𝑓(𝑥) 𝐸[𝑥] = 𝛴𝑥𝑓(𝑥) = 1 + 2 + 3 + 4 + 5 + 6 =
6 6 6 6 6 6 2

b).𝐸[𝑥 2 ] = 𝛴𝑥 2 𝑓(𝑥)
1 1 1 1 1 1 91
𝐸[𝑥 2 ] = 𝛴𝑥 2 𝑓(𝑥) = 12 + 22 + 32 + 42 + 52 + 62 =
6 6 6 6 6 6 6

c.) 𝐸[𝑥 3 ] = 𝛴𝑥 3 𝑓(𝑥)


1 1 1 1 1 1 47
𝐸[𝑥 3 ] = 𝛴𝑥 3 𝑓(𝑥) = 13 + 23 + 33 + 43 + 53 + 63 =
6 6 6 6 6 6 2

d). 𝐸[𝑥 4 ] = 𝛴𝑥 4 𝑓(𝑥)


1 1 1 1 1 1 2275
𝐸[𝑥 4 ] = 𝛴𝑥 4 𝑓(𝑥) = 14 + 24 + 34 + 44 + 54 + 64 =
6 6 6 6 6 6 6

Exercise.
1. The random variable X has the following probability function
1, 𝑓𝑜𝑟 0 < 𝑥 < 1
𝑓(𝑥) = {
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Calculate the first 4 moments of X
2. The random variable X has the following probability function
3𝑥 2 , 𝑓𝑜𝑟 0 < 𝑥 < 1
𝑓(𝑥) = {
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Calculate the first 4 moments of X.

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