Random Variable and Probability Distribution

Random Variable
A variable that takes on different values as a result of the outcomes of a random experiment.
Types of Random Variable
A random variable may be classified on depending upon the specific numerical values it can take.
These are
 Discrete Random Variable
 Continuous Random Variable
Discrete Random Variable
A random variable defined over a discrete sample space i.e. that may only take on a finite or countable number
of different isolated values is referred to as a discrete random variable.
Some Example of Discrete Random Variables
 Number of eggs laid in a month.
 Litter size.
 Number of telephone calls received in a telephone booth.
 Number of correct answers in 100-MCQ type examination.
 Number of defective bulbs produced during a day’s run.
 Number of under-five children in a family.
Continuous Random Variable
A random variable defined over a continuous sample space i.e. which may take on any value in a certain
interval or collection of intervals is referred to as a continuous random variable.
Some Example of Continuous Random Variables
 Time taken to serve a customer in a bank counter.
 Calf weight at the age of six months.
 Rate of interest offered by a commercial bank.
 Longevity of a motherboard.
Probability Distribution
Any statement of a function associating each of a set of mutually exclusive and exhaustive classes or class
intervals with its probability is a probability distribution.
Types of Probability Distribution
A probability distribution will be either discrete or continuous according as the random variable is discrete or
continuous.
Discrete Probability Distribution
A listing of the possible values and corresponding probabilities of a discrete random variable, or a formula for
the probabilities.
A probability distribution in which the variable is allowed to take on only a limited number of values which can
be listed.
If a random variable X has a discrete distribution, the probability distribution of X is defined as the function f
such that for any real number x,
f ( x)  P( X  x)
The function f (x) defined above must satisfy the following conditions in order to be a probability mass
function:
 f ( x)  0

  f ( x)  1
x

 P( X  x)  f ( x)
Example: Verify that the following functions are probability mass functions.
2x  1
a) f ( x)  , x  0, 1, 2, 3.
8
x 1
b) f ( x)  , x  0, 1, 2, 3.
16
3x  6
c) f ( x)  , x  1, 2.
21
Solution: a) Summing the function over the entire range of X,
3
1 1 3 5
 f ( x)  f (0)  f (1)  f (2)  f (3)   8  8  8  8  1
x 0

Here f (x) satisfies condition (2) but P( X  0)  f (0)  1 8 , which contradicts condition (1). Hence f (x) is
not a probability mass function.
b) Summing the function over the entire range of X,
3
1 2 3 4 10
 f ( x)  f (0)  f (1)  f (2)  f (3)  16  16  16  16  16  1
x 0

Here f (x) fails to satisfy condition (2) and hence is not a probability mass function although for all values of x,

f ( x)  0 .
c) Summing the function over the entire range of X,
2
9 12
 f ( x)  f (1)  (2)  21  21  1
x 1

Here f (x) satisfies all the conditions laid down above and thus the function f (x) represents a probability mass
function.
Example: Determine the probability distribution of the number of female calves in three consecutive calvings.
Assume that only a single calf is possible at each calving, and that the probability of having a female in a single
calving is p = 0.5.
Example: A rack contains 10 RAMs of which 4 are defective. If 3 RAMs are drawn at random without
replacement, obtain the probability distribution for the number of defective RAMs drawn.
Solution: If X denotes the number of defective RAMs drawn, then clearly X can assume values 0, 1, 2 and 3. To
obtain the probability distribution of X, we need to compute the probabilities associated with 0, 1, 2 and 3. Since
3 RAMs are to be chosen, the number of ways in which this choice can be made is
10
C3 .
Thus,
C0 6 C3 20 1
4
f (0)  P( X  0)  10
 
C3 120 6
4
C 6 C 2 60 1
f (1)  P( X  1)  101  
C3 120 2
4
C2 6 C1 36 3
f (2)  P( X  2)  10
 
C3 120 10
4
C3  6 C 0 4 1
f (3)  P( X  3)  10
 
C3 120 30
Hence the tabular form of the probability distribution of X will be as follows:
X x 0 1 2 3

P( X  x)  f ( x) 1 1 3 1
6 2 10 30
Example: A shelf has some equal two types of motherboard these are defective and non-defective. A
motherboard select three times. Let X be the number of runs obtained as a result of the outcomes of this
experiment. Find the probability distribution of X.
Solution: Any unending sequence of a particular outcome will be counted as a run. We denote the defective
motherboard is D and the non-defective motherboard is N. Now we construct a sample space for the experiment
along with the values of the random variable X together with their associated probabilities:
Number of Runs
Outcome P( X  x)
( X  x)
DDD 1 18
DDN 2 18
DND 3 18
DNN 2 18
NDD 2 18
NDN 3 18
NND 2 18
NNN 1 18
The random variable X is seen to take on three distinct values 1, 2 and 3 with probabilities
2 8 , 4 8 and 2 8 respectively. The values of the random variables and their associated probabilities are
summarized in a tabular form, which appear below:
Number of runs
1 2 3
( X  x)
P( X  x)  f ( x) 2 4 2
8 8 8
Example: The probability function of a discrete random variable X is
x
3
f ( x)     , x  0, 1, 2,   , 
4
 0, elsewhere
Evaluate  and find P( X  3) .

Solution: Since f (x) is a probability function,  f ( x)  1 . But
x 0

0 1 2 2 3 3
3 3 3 3 3 3 3
f (0)       , f (1)        , f (2)         , and f (3)         and so
4 4 4 4 4 4 4
on. 1 2 3

3 3 3
Hence 
x 0
f ( x)                 
4 4 4
 3  3  2  3 3 
  1            
 4  4   4  
 
 1 
  
1 3 
 
 4
 4
1
Equating this to 1,   .
4 x
13
Hence the complete pmf of X is f ( x)    , x  0, 1, 2,   
44
1  3 9 27  175
Also P( X  3)  1    
4  4 16 64  256
Example: The discrete random variable Y has a probability distribution as shown below:
Y -3 -2 -1 0 1
f ( y) 0.10 0.25 0.30 0.15 K
Find (i) k (ii) P(3  Y  0) and (iii) P(Y  1) .
Discrete Distribution Function or Cumulative Distribution Function
The cumulative distribution function (CDF) or simply the distribution function F(x) of a discrete random
variable X with probability function f(x) defined over all real numbers x is the cumulative probability upto and
including the point x.
Symbolically, it is defined as follows:
F ( x)  P( X  x)   f (t ) . The value of F(x) at any point must be a number in the interval 0  f ( x)  1 ,
tx

because F(x) is a probability of the event ( X  x) .

Example: Consider the probability distribution of the random variable X.
x 0 1 2 3

f (x) 1 1 3 1
6 2 10 30
Find the distribution function.

Solution: Hence F (0)  P( X  0)  f (0)  1

6
F (1)  P( X  1)  f (0)  f (1)  1  1  2
6 2 3
F (2)  P( X  2)  f (0)  f (1)  f (2)  1  1  3  29
6 2 10 30

F (3)  P( X  3)  f (0)  f (1)  f (2)  f (3)  1  1  3  1  1

6 2 10 30
A tabular presentation of F(x) is as follows:
x <0 0 1 2 3 >3

f (x) 0 1 1 3 1 0
6 2 10 30

F(x) 0 1 2 29 1 1
6 3 30
A formal way of presenting the distribution function F(x) is as follows:
0, for x  0
1
 , for 0  x  1
6
 2
F ( x)   , for 1  x  2
3
 29
 30 , for 2  x  3

1, for x  3
Example: A shelf has some equal two types of motherboard these are defective and non-defective. A
motherboard select three times. Let X be the number of runs obtained as a result of the outcomes of this
experiment. Find the probability distribution of X. And find the distribution function.
Continuous Probability Distribution
A probability distribution in which the variable is allowed to take on any value within a given range.
A continuous variate can take on any value in the given interval a  X  b . As a result, a continuous random
variable has a probability zero of assuming exactly any of its values. This implies that
P(a  X  b)  P( X  a)  P(a  X  b)  P( X  b)  P(a  X  b) .
A continuous random variable X by the functional notation f (x) and it is usually called a probability density
function (pdf) or simply density function.
A formal definition of a probability density function may be presented as follows:
A probability density function is a non-negative function and is constructed so that the area under its curve
bounded by the x-axis is equal to unity when computed over the range of x, for which f(x) is defined.
The above definition leads to conclude that a pdf is one that possesses the following properties:
 f ( x)  0.

  f ( x)dx  1.


b
 P(a  X  b)   f ( x)dx.
a

Example: A random variable X has the following functional form:

kx , 0 x4
f ( x)  
0 , elsewhere
i. Determine k for which f (x) is a density function.

ii. Find P(1  X  2) and P( X  2).

Solution: (i) For f (x) to be a density function, we must have




 f ( x)dx  1
4
 k  xdx  1
0
4
 x2 
 k    1
 2 0
 8k  1
1
k 
8
So the complete density function is thus

x
 , 0 x4
f ( x)   8
0 , elsewhere
2
1  x2 
2
1 3
(ii) Again P(1  X  2)   xdx    
81 8  2 1 16
4
1  x2 
4
1 3
And P( X  2)   xdx    
82 8  2 2 4
Example: A continuous random variable X has the following density function:

2
 (1  x) , 2  x  5
f ( x)   27
0 , elsewhere

a) Verify that it satisfies the condition  f ( x)dx  1.


b) Find P( X  4) and P(3  X  4).

Continuous Distribution Function
The cumulative distribution or distribution function F(x) of a continuous random variable X with density
function f(x) is defined as
x
F ( x)  P( X  x)   f (t )dt


d
If the derivative of F(x) exists, then f ( x)  F ( x)  F ( x)
dx
Thus f ( x)dx  dF ( x)
The distribution function F(x) possesses the following properties:
 F ( x)  f ( x)  0.
 F ()  0 and F ()  1.
b a
 P ( a  X  b)   f ( x)dx   f ( x)dx  F (b)  F (a)
 

Example: If X has the density function

2
 (1  x), 2  x  5
f ( x)   27
0 , elsewhere

Obtain the distribution function and hence find F(3) and F(4). Also verify that P(3  X  4).

x
2  t2 
 
x
2 1 2
Solution: The distribution function is F ( x)  
27 2
(1  t )dt  t  
27  2  2 27
x  2x  8

For x  3 and 4

1 2 7 1 2 16
F (3)  (3  2  3  8)  and F (4)  (4  2  4  8) 
27 27 27 27
16 7 1
Hence F (4)  F (3)   
27 27 3
And evaluating the integral between 3 and 4, we obtain P(3  X  4)
4
2  x2 
4
2 1
P(3  X  4)  
27 3
(1  x ) dx  

27 
x   
2 3 3
Hence, P(3  X  4)  F (4)  F (3)
Example: Let X have the following probability density function:

x , 0  x 1

f ( x)  2  x , 1 x  2
0 ,
 otherwise
Obtain the distribution function of X.
Solution: The distribution function of X is

0, x0
x 2
 tdt  x ,
0
0  x 1
2
F ( x)  P( X  x)   1 x 2
 tdt  (2  t )dt  2 x  x  1,
 1 2
1 x  2
0
1, x2

Example: The continuous random variable X has the following distribution function F(x). Find the density
function f(x).

0 , x0
 3
x
F ( x)   , 0 x3
 27
1 , x3

Solution: By definition

d d  x3  x2
f ( x)  F ( x)    
dx dx  27  9

 x2
 , 0 x3
Hence f ( x)   9
0 ,
 otherwise
Joint Probability Distribution
Distributions involve two variables, they are referred to as bi-variate probability distributions. Clearly, a bi-
variate probability distribution is a special case of joint probability distributions for two random variables.
Joint probability distribution for discrete random variables
Let X and Y are discrete random variables so the joint probability distribution is f ( x, y)  P( X  x, Y  y) .
That is, f(x,y) gives the probability that the outcomes x and y occur at the same time. The function f(x,y) will be
called a joint probability distribution of the discrete random variables X and Y if it is possesses the following
properties:
 f ( x, y)  0, for all (x,y)

  f ( x, y)  1
x y

Example: A shelf has some equal two types of motherboard these are defective and non-defective. A
motherboard select three times. If X denotes the number of defective Y denotes the number of non-defective in
the last two selects, find the joint probability distribution of X and Y.
Solution: The outcomes of the experiment and the associated probabilities are shown below:
Outcome X Y P( X , Y )

DDD 3 0 18
DDN 2 1 18
DND 2 1 18
DNN 1 2 18
NDD 2 0 18
NDN 1 1 18
NND 1 1 18
NNN 0 2 18
It is easy to see that X assumes values 0, 1, 2 and 3, while Y assumes values 0, 1 and 2. The joint probability
distribution can now be put in the following form:
X values
Y values
0 1 2 3 Total
0 0 0 18 18 28
1 0 28 28 0 48
2 18 18 0 0 28
Total 18 38 38 18 1

Joint Distribution for Continuous Random Variables

Let X and Y be two continuous random variables. Then the probability that X falls in the interval ( x, x  dx) and

Y falls in interval ( y, y  dy) is expressed as f ( x, y)dxdy . The function f ( x, y) is called the joint probability
density function of X and Y.
The joint probability distribution for continuous random variables has the following properties:
 f ( x, y)  0, for all (x, y)
 
   f ( x, y)dxdy  1


Cumulative Distribution function (cdf)

The cumulative distribution function (cdf) for f(x, y) is defined by
x y
F ( x, y)  PX  x, Y  y     f ( x, y)dxdy

The cdf has the following properties:
 0  F ( x, y)  1

 2 F ( x, y )
  f ( x, y )
xy
Example: Suppose that X and Y have the following density function:

ky 2 , for 0  x  2, 0  y  1
f ( x, y )  
0 , elsewhere
Determine the constant k and find P( X  1).
Solution: To determine k, we must have
2 1
k   y 2 dxdy  1
0 0
y 1
2
 y3  2
 k    dx  k  dx  k x 0  k  1
1 1 2 2
0
3  y 0 30 3 3
3
k 
2
The complete function is thus
3 2
f ( x, y)  y , 0  x  2, 0  y  1
2
Now
y 1
3  y3 
1 1 1 1
P( X  1)   y 2 dxdy     dx   dx  x x0 
3 1 1 x1 1
200 2 0  3  y 0 20 2 2

Example: Consider the following density function:

 x(1  3 y 2 )
 , for 0  x  2, 0  y  1
f ( x, y )   4
0 ,
 elsewhere

1 1
Find P(0  X  1,  Y  ).
4 2
Solution: The joint probability is obtained as follows:
1 1 x 1 1
1 1 x(1  3 y 2 )
21
 x 2 3x 2 y 2 
2
 1 3y 2 
2
P(0  X  1,  Y  ) 
4 2   4 dxdy     8  dy 
1  8
   8 dy
1 8
1 0 x 0
4 4 4
y 1
 y y 3  2 23
    
 8 8  y  14 512
Marginal Distribution
When the distribution of X is derived from f ( x, y) , the resulting distribution is called marginal distribution of
X. Similarly the probability density of Y derived from the joint distribution of X and Y is known as the marginal
distribution of Y. We shall denote these two distributions by g (x) and h( y ) respectively when they are derived
from joint distribution f ( x, y) . Thus given the joint probability f ( x, y) of two discrete variables X and Y, the
probability distribution of X alone is

g ( x)   f ( x, y)
y

And that of Y alone is

h ( y )   f ( x, y )
x

When X and Y are continuous


g ( x)   f ( x, y)dy ,

for    x  


And h( x )   f ( x, y)dx ,

for    y  

Conditional Distribution
When X and Y are discrete random variables, we define the conditional probability of Y for given X as follows:

P(Y  y | X  x) 
P( X  x), P(Y  y)  f ( x, y)
P( X  x ) g ( x)
The function f ( x, y) g ( x) is a function of y with x held fixed. We call this function conditional probability

distribution of the discrete random variable Y given X  x . It satisfies all the properties of a probability
distribution. Writing this probability distribution as f ( y | x) , we have

f ( x, y ) f ( x, y )
f ( y | x)   , for g ( x)  0
 f ( x, y ) g ( x )
y

Similarly, the conditional probability distribution of the discrete random variable X, given Y  y is defined as

f ( x, y) f ( x, y)
f ( x | y)   , for h( y )  0
 f ( x, y) h( y)
x

If X and Y are the continuous random variables, then their corresponding conditional probability distribution
will be similarly defined:
f ( x, y ) f ( x, y )
f ( y | x)  
 , for g ( x)  0
g ( x)
 f ( x, y)dy


f ( x, y ) f ( x, y )
And f ( x | y )  
 , for h( y )  0
h( y )
 f ( x, y)dx

The random variable X falls between a and b, when it is known that variable Y  y , we evaluate

 f ( x | y ) , if X is discrete
 x
P(a  X  b | Y  y )   b
 f ( x | y )dx , if X is continuous
 a

Example: Consider the following probability distribution of X and Y.

x y
f ( x, y)  , x  1, 2, 3 and y  1, 2
21
a) Obtain the marginal and conditional distributions of X and Y.
b) Find f (x | 1) and c) Find P( X  2 | Y  1) .
Solution: The marginal distributions of X and Y are
2
x  y x  1 x  2 2x  3
a) g ( x)      , x  1, 2, 3
y 1 21 21 21 21
3
x  y 1  y 2  y 3  y 3y  6
h( y )       , y  1, 2
x 1 21 21 21 21 21
Thus conditional distributions of X and Y are
f ( x, y ) x  y
f ( x | y)  
h( y ) 3y  6
, x  1, 2, 3 and y  1, 2
f ( x, y ) x  y
f ( y | x)  
g ( x) 2x  3
b) The conditional distribution of X for Y=1 is
x 1
f ( x | 1)  , x  1, 2 , 3
9
c) The conditional probability of X for given Y is
2 1 3 1
f ( X  2 | Y  1)   
3 1  6 9 3
Example: The joint density for the random variables X and Y, where X is the unit temperature change and Y is
the proportion of spectrum shift that a certain atomic particle produces is

10 xy 2 , 0  x  y 1
f ( x, y )  
0 , elsewhere
a) Find the marginal densities g(x) and h(y) and the conditional density f ( y | x) .
b) Find the probability that the spectrum shifts more than half of the total observations, given the
temperature is increased to 0.25 units.
Solution: a) The marginal densities are
 1
10 3 y 1 10
g ( x)   f ( x, y)dy  10 xy dy   x(1  x 3 ) , 0  x 1
2
xy
3 yx 3
 x
  y
10 2 2 x y
h( y )  

f ( x, y )dx   10 xy 2 dx 
0
2
x y
x 0
 5y4 , 0  y 1

Now the conditional density f ( y | x) is

f ( x, y ) 10 xy 2 3y 2
f ( y | x)    , 0  x  y 1
g ( x) 10
x(1  x )
3 (1  x 3
)
3
b) The required probability is
1
3  y3 
1 1
1 3y 2 8
P(Y  | X  0.25)   f ( y | x  0.25)dy   dy     .
2 12 12
(1  0.25 )
3
0.98  3 1 2 9

Independence of Random Variables

Two random variables X and B with marginal densities g(x) and h(y) respectively are said to be independent if
only if f ( x | y)  g ( x) or f ( y | x)  h( y) . If X and Y are independent, then for any real numbers x and y it

must be true that f ( x, y)  g ( x)  h( y) .

Example: Given the following joint density function of X and Y.

6 xy 2 , 0  x  1, 0  y  1
f ( x, y )  
0 , elsewhere
Verify that X and Y are independent.
Solution: The marginal density of X is
 1
1
 y3 
g ( x)   f ( x, y)dy  6 xy dy  6 x   2 x ,
2
0  x 1
 0  3 0
Similarly, the marginal density of Y is
 1
1
 x2 
h( y)   f ( x, y)dx  6 xy dx  6 y    3 y 2 ,
2 2
0  y 1
 0  2 0
Hence,
f ( x, y)  g ( x)  h( y) for all real numbers and therefore X and Y are independent.