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Subject Name: Probability and Statistics.

Unit-I
Topics

1. Introduction of Probability, Conditional probability.

2. Theorem of Total probability, Baye’s Theorem and its

applications.

3. Random variables, Types of random variables.

4. Probability mass function and Probability density function.

5. Mathematical expectations.

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Topic-I

Introduction of Probability

There are two types of experiment based on their result or outcome.

1. Predictable or deterministic experiment: An experiment where result can

be predicted with certainity.
Example: Add two number result is unique, Increase pressure in a container
volume decreases.
2. Random Experiment: A random experiment is an experiment or a process
for which the outcome cannot be predicted with certainty.

OR

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A Random Experiment is an experiment, trial, or observation that can be
repeated numerous times under the same conditions.

Example: Any phenomenon like rolling a dice, tossing a coin, drawing a card
from a well-shuffled deck, etc.

3. Outcome: The Result of a random experiment is called outcome

Example: Number appearing on a dice, side of a coin, drawn out card, etc.

4. Sample Space: The set of all possible outcomes of a random experiment.

Example: Sample space of a coin={H,T}, Sample space of two

coins={HH,HT,TH,TT}

Sample space of a dice={1,2,3,4,5,6}

Sample space of a pack of cards={all 52 cards}

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5. Event: Any combination of possible outcomes or the subset of sample

space.

Example: like getting an even number on rolled dice, getting a head/tail on a

flipped coin, drawing out a king/queen/ace of any suit.

6. Independent Event: If the occurrence of an event A is not affected by the

occurrence of another event B, then A and B are said to be independent
events. If the incidence of one event does affect the probability of the
other event, then the events are dependent.

Example: Outcomes of a toss of a coin and a die, Outcome of tossing of two

coins, result of exams of students of a class, etc

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7. Mutually exclusive events: If the two events cannot occur simultaneously
then they are said to be mutually exclusive events..

Example: Toss of a coin, writing exams by a student, Admission of a student

in professional course, etc

Definition of Probability: Consider a random experiment and total number of

outcomes of that experiment is ‘n’, and number of favorable outcomes of an
event “E” is ‘m’, then probability of event “E” is defined as

𝐍𝐮𝐦𝐛𝐞𝐫 𝐨𝐟 𝐟𝐚𝐯𝐨𝐫𝐚𝐛𝐥𝐞 𝐞𝐯𝐞𝐧𝐭𝐬 𝐦

𝐏(𝐄) = =
𝐓𝐨𝐭𝐚𝐥 𝐧𝐮𝐦𝐛𝐞𝐫 𝐨𝐟 𝐨𝐮𝐭𝐜𝐨𝐦𝐞𝐬 𝐧

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Examples:

1. What is probability of head when a coin is tossed?

Answer: Total number of events of tossing of a coin = {H, T}=n=2

Number of head=m=1
Therefore

Number of favorable events m 1

P(E) = = =
Total number of outcomes n 2

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2. Tickets numbered 1 to 20 are mixed up and then a ticket is drawn at
random. What is the probability that the ticket drawn has a number which
is a multiple of 3?
Answer: Total number of cards = {1…..20} =n=20
Number of card of multiple of 5 in given cards=m=4
Therefore
Number of favorable events m 4 1
P(E) = = = =
Total number of outcomes n 20 5

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3. Tickets numbered 1 to 20 are mixed up and then a ticket is drawn at
random. What is the probability that the ticket drawn has a number which
is a multiple of 3 or 5?
Answer: Total number of cards = {1…..20} =n=20
Number of card of multiple of 3 or 5 in given cards= {3, 6 , 9, 12, 15, 18,
5, 10, 20}.=m=9
Therefore
Number of favorable events m 9
P(E) = = =
Total number of outcomes n 20

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4. Two cards are drawn at random from a well-shuffled pack of 52 cards,
Show that the chance of drawing two aces is 1/221.

Answer: Total number of cards=52

Number of ways of selection of of two cards from 52 cards =n= 52𝐶2
Number of ace card =4
Number of ways of selection of of two cards from 4 ace cards =m= 4𝐶2
Therefore
Number of favorable events m 4𝐶2 1
P(E) = = = =
Total number of outcomes n 52𝐶2 221

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5. A bag contains 2 red, 3 green and 2 blue balls. Two balls are drawn at
random. What is the probability that balls drawn are blue?

Answer: Total number of balls=2+3+2=7

Number of ways of selection of of two balls from 7 balls=n= 7𝐶2
Number of blue balls =2
Number of ways of selection of of two blue balls from two blue balls=m=
2𝐶2
Therefore
Number of favorable events m 2𝐶2 1
P(E) = = = =
Total number of outcomes n 7𝐶2 21

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THEOREMS ON PROBABILITIES OF EVENTS

1. Probability of the impossible event is zero, i.e 𝑃(𝜙) = 0;

2. Probability of the complementary event 𝐴̅ of A is given by
𝑃(𝐴̅) = 1 − 𝑃(𝐴).
3. Probability of sample space S of any random experiment is 1, i.e. 𝑃(𝑆) = 1.

Addition law of Probability: If A and B are any and are not disjoint, then

𝑷(𝑨⋃𝑩) = 𝑷(𝑨) + 𝑷(𝑩) − 𝑷(𝑨⋂𝑩)

If A and B are disjoint then
𝑷(𝑨⋃𝑩) = 𝑷(𝑨) + 𝑷(𝑩)
====𝑷(𝑨⋂𝑩) = 𝜙 = 0

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Multiplication Law of Probability and Conditional Probability
Let A and B are any two events then
𝐁
( )
𝐏 𝐀 ∗𝐏( )
𝐏(𝐀⋂𝐁) = { 𝐀
𝐀
𝐏(𝐁) ∗ 𝐏 ( )
𝐁

where P(B/A) represents the conditional probability of occurrence of B when the

event A has already happened and P(A/B) is the conditional probability of
happening of A given that event B has already happened.

𝐁 𝐧(𝐀⋂𝐁) 𝐀 𝐧(𝐀⋂𝐁)
𝐏( ) = and 𝐏( ) =
𝐀 𝐧(𝐁) 𝐁 𝐧(𝐀)

If A and B are independent then

𝐏(𝐀⋂𝐁) = 𝐏(𝐀) ∗ 𝐏(𝐁)

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This is also known as multiplication law of independent event.
Then
𝐀 𝐁
𝐏 ( ) = 𝐏(𝐀) and 𝐏 ( ) = 𝐏(𝐁)
𝐁 𝐀

Examples:
1. A die is thrown twice and the sum of the numbers appearing is observed to be 7.
What is the conditional probability that the number 2 has appeared at least
once?
ANSWER:
A= sum of the numbers appearing on two dice is 7 = (1,6), (6,1), (2,5),(5,2),(3,4), (4,3)
n(A)=6

B= number 2 has appeared at least once = (2,2),(3,2),(2,3), (4,2),(2,4), (2,5),(5,2),

(2,6),(6,2)

A∩B=(2,5),(5,2) = n(A∩B)=2
Required probability = P(B/A)= n(A∩B)/n(A) =2/6

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2. A number is selected at random from amongst the first 100 natural numbers.
What is the probability that the second digit of the number so selected is
greater than 6 given that the first digit is 4?

Answer:
So it is a case of conditional probability, we have to calculate probability of
choosing a number whose 2nd digit is greater than 6 on the condition that 1st
digit is chosen 4. There are 10 numbers with first digit 4 within 1–100.
A=Total numbers with first digit 4 from 1–100 = {40, 41….49}
n (A) =10
A ∩ B = The numbers with first digit 4 and 2nd digit is greater than 6 = 47, 48, 49.
n(B ∩ A)=3.
Now by conditional probability of 2nd digit being greater than 6 given that first
digit is 4, is P (B/A) = n (A∩B)/n (A) =3/10

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3. A bag contains 5 white and 3 black balls. Two balls are drawn at random, one
after another from the bag without replacement. What is the probability that
second ball is drawn is black given that first is white.

Answer:
A bag contains 5 white and 3 black balls. Two balls are drawn at random
without replacement. We want to determine the probability that second ball is
drawn is black given that first is white.
When the first ball is drawn, there are 5 white and 3 black balls in the bag.
⇒ the probability of drawing a white ball is 5/8.
After the first ball is drawn, there are 4 white and 3 black balls in the bag.
⇒ the probability of drawing a black ball is 3/7.

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4. From a city population, the probability of selecting a male or smoker is 7/10,
a male smoker is 2/5 and a male, if a smoker is already selected, is 2/3. Find the
probability of selecting (a) a non smoker, (b) a male, (c) Probability of selecting
a smoker, if a male is first selected.
Solution: Suppose,
A : a male is selected

B : a smoker is selected

Given :

P(A∪B)=7/10, P(A∩B)=2/5 and P(A/B)=2/3

The probability of selecting a smoker..

P(A∩B) 2/5
𝑃(𝐵) = A = =3/5.
P(B) 2/3

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(a) The probability of selecting a non-smoker
3 2
So, 𝑃(𝐵̅) = 1 − 𝑃(𝐵) = 1 − =
5 5

The probability of selecting a male

P(A)=P(A∪B)+P(A∩B)−P(B) =7/10+2/5−3/5=1/2
(c) Probability of selecting a smoker, if a male is first selected, is given by

𝟐
𝐀 𝐏(𝐀∩𝐁) 𝟒
𝐏( ) = = 𝟓
𝟏 =
𝐁 𝑷(𝑨) 𝟓
𝟐

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Topic-2

Theorem of Total probability, Baye’s Theorem and its applications

Total Probability Theorem

If E1, E2, E3… En are mutually disjoint events with P (Ei) ≠ 0, (i = 1, 2… n), then
for any arbitrary event A which is a subset of the union of events Ei such that
P(A) > 0, we have

P (A) = P [∪ (A ∩ Ei)] = ∑ni=1 P(A ∩ Ei) =∑ni=1 P(Ei). P(A | Ei)

Proof
Given that, A is a subset of the union of Ei, i.e., A ⊂ (∪Ei).

We have, A = A ∩ (∪ Ei) = ∪ (A ∩ Ei). (By distributive law)------------(1)

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Also, (A ∩ Ei) subset Ei, (i = 1, 2… n) are mutually disjoint events as Ei’s are
mutually disjoint. So, applying probability on both sides to eqn (1), we get

P (A) = P [∪ (A ∩ Ei)] = ∑ni=1 P(A ∩ Ei) =∑ni=1 P(Ei). P(A | Ei)

Baye’s Theorem
If E1, E2, E3… En are mutually disjoint events with P (Ei) ≠ 0, (i = 1, 2… n), then
for any arbitrary event A which is a subset of the union of events Ei such that
P(A) > 0, we have

P(Ei). P(A | Ei) P(Ei). P(A | Ei)

P(Ei | A) = = n
P(A) ∑i=1 P(Ei). P(A | Ei)

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Proof: Given that, A is a subset of the union of Ei, i.e., A ⊂ (∪Ei).

We have, A = A ∩ (∪ Ei) = ∪ (A ∩ Ei). (By distributive law)------------(1)

Also, (A ∩ Ei) subset Ei, (i = 1, 2… n) are mutually disjoint events as Ei’s are
mutually disjoint. So, applying probability on both sides to eqn (1), we get

P (A) = P [∪ (A ∩ Ei)] = ∑ni=1 P(A ∩ Ei) =∑ni=1 P(Ei). P(A | Ei)-----------(2)

Also by multiplication theorem of conditional Probability,

P(A ∩ Ei) = P(A). P(Ei | A)

P(A ∩ Ei) P(Ei).P(A | Ei)

Hence, P(Ei | A) = = ∑n
P(A) i=1 P(Ei).P(A | Ei)

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Problems1: A bag I contain 4 white and 6 black balls while another Bag II
contains 4 white and 3 black balls. One ball is drawn at random from one of the
bags, and it is found to be black. Find the probability that it was drawn from Bag
I.
Solution: Let
E1 = the event of choosing the bag I,
E2 = the event of choosing the bag II,
A = the event of drawing a black ball.
Then, P(E1) = P(E2) = 1/2

Also, P (A|E1) = P (drawing a black ball from Bag I) = 6/10 = 3/5

P (A|E2) = P (drawing a black ball from Bag II) = 3/7

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By using Bayes’ theorem, the probability of drawing a black ball from bag I out
of two bags,

P(E1).P(A |E1)
P(E1 | A) = =
P(E1).P(A |E1)+P(E2).P(A | E2)

1 3
x
P(E1 | A) = 2 5 = 7/12
1 3 1 3
x + x
2 5 2 7

Problem2: I want to solve one more example from a popular topic as Covid-19.
As you know, Covid-19 tests are common nowadays, but some results of tests
are not true. Let’s assume; a diagnostic test has 99% accuracy and 60% of all
people have Covid-19. If a patient tests positive, what is the probability that they
actually have the disease?

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Problem3: The contents of urns I, II and 11I are as follows:
1 white, 2 black and 3 red balls,
2 white, 1 black and 1 red balls, and
4 white, 5 black and 3 red balls.
One urn is chosen at random and two balls drawn. They happen to be white
and red. What is the probability that they come from urns II, III or I?

Solution: Let
E1 = the event of choosing the urn I,
E2 = the event of choosing the urn II,
E3 = the event of choosing the urn III
A = the event of drawing two balls happens to be white and red.
Then, P (E1) = P (E2) = P (E3) = 1/3

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1𝑥3 1
Also, P (A|E1) = P (drawing a black and a red balls from urn I) = =
6𝐶2 5

2𝑥1 1
P (A|E2) = P (drawing a black and a red balls from urn II) = =
4𝐶2 3

4𝑥3 2
P (A|E3) = P (drawing a black and a red balls from urn III) = =
12𝐶2 11

By using Bayes’ theorem,

(i) the probability of drawing a black and a red balls from urn II out of
three urns,

P(E2). P(A |E2)

P(E2 | A) =
P(E1). P(A |E1) + P(E2). P(A | E2) + P(E3). P(A |E3)

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1 1
x
P(E2 | A) = 3 3 = 55/118
1 1 1 1 1 2
x + x + x
3 5 3 3 3 11

(ii) the probability of drawing a black and a red balls from urn III out of
three urns,

P(E3). P(A |E3)

P(E3 | A) =
P(E1). P(A |E1) + P(E2). P(A | E2) + P(E3). P(A |E3)

1 2
x
P(E3 | A) = 3 11 =
1 1 1 1 1 2
x + x + x
3 5 3 3 3 11

(iii) the probability of drawing a black and a red balls from urn I out of
three urns,

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P(E1). P(A |E1)
P(E1 | A) =
P(E1). P(A |E1) + P(E2). P(A | E2) + P(E3). P(A |E3)

1 1
x
P(E1 | A) = 3 5 =
1 1 1 1 1 2
x + x + x
3 5 3 3 3 11

Problem4: A man is known to speak the truth 4 out of 5 times. He throws a die
and reports that it is a six. Find the probability that it is actually a six.

Solution:
E1 = A speak truth. P (E1) = 4/5
E2 = A speak lie. P (E2) = 1/5

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A= A report six
P (A|E1) =1/6
P (A|E2) = 5/6

P(E1). P(A |E1)

P(E1 | A) =
P(E1). P(A |E1) + P(E2). P(A | E2)

4 1
x 4
P(E1 | A) = 5 6 =
4 1 1 5 9
x + x
5 6 5 6

Problem5: A factory has three machines, A, B, and C, for producing items.

Machine A produces 50%, B produces 30%, and C produces 20%. It is also
known that 3% of the items produced by machine A are defective, as are 2% of
the items produced by machine B and 1% of the items from machine C. If a

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randomly selected item from the factory's output is found to be defective, what
is the probability that B or C or A made it?

Solution:

E1= an item produced by Machine A, P (E1) =50%=0.5

E2= an item produced by Machine B P (E2) =30%=0.3
E3 = an item produced by Machine C P (E3) =20%=0.2
A = an item produced is defective.
Given the item produced by Machine A, probability of it being defective is
P(A/E1)=3%=0.03
Given the item produced by Machine B, probability of it being defective is
P(A/E2)=2%=0.02
Given the item produced by Machine C, probability of it being defective is
P(A/E3)=1%=0.01
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Given the item is defective, probability of it being produced by Machine B

P(E2). P(A |E2)

P(E2 | A) =
P(E1). P(A |E1) + P(E2). P(A | E2) + P(E3). P(A |E3)

0.3 ∗ 0.02
P(E2 | A) = = 0.26
0.5 ∗ 0.03 + 0.3 ∗ 0.02 + 0.02 ∗ 0.01

Given the item is defective, probability of it being produced by B=0.26

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Topic-3
Random variables, Types of random variables
Let S be the sample space associated with a given random experiment. A real
valued function defined on S and taking values in set of real numbers (R) is
called a one-dimensional random variable.
Or
A random variable is a real number is associated with every outcome of a
random experiment.
Examples1: Two coins are tossed, and then sample space is will have total 4
outcomes Sample space of two coins = {HH, HT, TH, TT}
Define a function X = number of heads = {0, 1, 2} = random variable
For random variable 0, the corresponding outcomes are TT,
For random variable 1, the corresponding outcomes are HT, TH,
For random variable 2, the corresponding outcomes are HH

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Example2: Two dice are tossed, and then sample space will contain total 36
outcomes.
S = {(1, 1), (1, 2), (1, 3), (1, 4), (1, 5), (1, 6)
(2,1) (2, 2), (2, 3), (2, 4), (2, 5), (2, 6)
(3, 1), (3, 2), (3, 3), (3, 4), (3, 5), (3, 6)
(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)
(5, 1), (5, 2), (5, 3), (5, 4), (5, 5), (5, 6)
(6,1), (6, 2), (6, 3), (6, 4), (6, 5), (6,6)}
Define a function
X = sum of numbers appearing on dice = {2,3,4,5,6,7,8,9,10,11,12}
X = random variable = {2,3,4,5,6,7,8,9,10,11,12}
For r.v 2, the corresponding outcomes are (1, 1)

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For r.v 3, the corresponding e=outcomes are (1, 2), (2, 1)
For r.v 4, the corresponding outcomes are (1, 3), (2, 2), (3, 1)

Example3: Suppose X denotes the length of time a commuter just arriving at a

bus stop has to wait for the next bus. If buses run every 30 minutes without fail,
then the set of possible values of
X = Waiting time for next bus = [0… 30 min] = random variable.

Types of Random variables: There are two types of random variables.

1. Discrete random variable
2. Continuous random variable

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Discrete Random variable: A discrete random variable has a countable number
of possible values.
OR
X is a discrete random variable, if its range is countable. Example: X = Number
of heads when four coins are tossed simultaneously,
X = Sum of numbers on dice when two dice are thrown simultaneously.
Continuous Random variable:
A random variable which takes an uncountable infinitely many values in a
certain region is called continuous random variable.
X = Height and weight of students of IT department of MJCET.
X = Speed of a bike
X = waiting time for a bus.

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Topic-IV
Probability mass function and Probability density function

1. Probability mass function (pmf): Let S be the sample space associated

with a given random experiment and suppose X = x1, x2, x3,….. is a one-
dimensional discrete random variable defined over S. Then the probabilities
defined over X i.e. {P(x1), P(x2),……} is called probability mass function.

Example1: Find probability mass function for number of heads of

tossing of two coins.
Solution: Two coins are tossed, and then sample space is will have total 4
outcomes Sample space of two coins = {HH, HT, TH, TT}
Define a function X = number of heads = {0, 1, 2} = random variable

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For random variable 0, the corresponding outcomes are TT,
For random variable 1, the corresponding outcomes are HT, TH,
For random variable 2, the corresponding outcomes are HH.
Probability mass function of X = {P(0), P(1), P(2)} = {1/4, 2/4, 1/4}.
Random Variable (X) 0 1 2
P(X) 1/4 2/4 1/4

Example2: Find probability mass function of addition of numbers appearing on

dice, when two dice are thrown.
Solution: When two dice are tossed, then sample space will contain total 36
outcomes.
S = {(1, 1), (1, 2), (1, 3), (1, 4), (1, 5), (1, 6)
(2,1) (2, 2), (2, 3), (2, 4), (2, 5), (2, 6)
(3, 1), (3, 2), (3, 3), (3, 4), (3, 5), (3, 6)

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(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)
(5, 1), (5, 2), (5, 3), (5, 4), (5, 5), (5, 6)
(6,1), (6, 2), (6, 3), (6, 4), (6, 5), (6,6)}
Define a function,
X = sum of numbers appearing on dice = {2,3,4,5,6,7,8,9,10,11,12}
For random variable 2, the corresponding outcomes are (1, 1)
For random variable 3, the corresponding e=outcomes are (1, 2), (2, 1)
For random variable 4, the corresponding outcomes are (1, 3), (2, 2), (3, 1), and
so on……..
Correspondingly, the probability of random variable 2 is P(2) = 1/36,
Probability of random variable 3 is P(3) = 2/36,
Probability of random variable 4 is P(4) = 3/36,
Probability of random variable 5 is P(5) = 4/36, so on…………..

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Therefore pmf, P(X) = {1/36, 2/36, 3/36, 4/36, 5/36……}
X 2 3 4 5 6 7 8 9 10 11 12
P(X) 1/36 2/36 3/36 4/36 5/36 6/36 5/36 4/36 3/36 2/36 1/36

Properties of probability mass function:

Let X = x1, x2, x3,….. is a one-dimensional discrete random variable, then
(i) 0<P(xi)<1, (Probability of every random variable lies between 0 and 1)
(ii) ∑𝑛𝑖=1 𝑝(𝑥𝑖 ) = 1, (Sum of probabilities of all random variables of a
random experiment is equal to 1)

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Example: A random variable X has the following probability distribution:

X 0 1 2 3 4 5 6 7
P(X) 0 K 2k 2k 3k K2 2k2 7k2+k

(i) Find k,
(ii) Evaluate P (X < 6), P (X ≥ 6), and P (0 < X < 5),
(iii) If P (X ≤ c) > 1/2, find the minimum value of c.
Solution:
(i) We have ∑𝑛𝑖=1 𝑝(𝑥𝑖 ) = 1
0+k+2k+2k+3k+k2+2k2+7k2+k = 1
10k2+9k-1 = 0

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K = -1, 1/10
K ≠ -1(Since probability cannot be nagative)
And hence k = 1/10

(ii) P (X < 6) = ∑5𝑖=1 𝑝(𝑥𝑖 ) = P(0)+P(1)+P(2)+P(3)+P(4)+P(5) =

1 2 2 4 1 81
0+ + + + + = = 0.81
10 10 10 10 100 100

P (X ≥ 6) = 1- P (X < 6) = 1-0.81 = 0.19

1 2 2 4 8
P (0 < X < 5) = P(1)+P(2)+P(3)+P(4) = + + + = = 0.8
10 10 10 10 10

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(iii) If P (X ≤ c) > ½

X P(X) F(X) = P(X ≤ x)

0 0 0
1 1/10 1/10
2 2/10 3/10
3 2/10 5/10
4 3/10 8/10
5 1/100 81/100
6 2/100 83/100
7 17/100 1

Therefore minimum value of c = 4.

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Example: A random variable X has the following probability distribution:
X 0 1 2 3 4 5 6 7 8
P(X) a 3a 5a 7a 9a 11a 13a 15a 17a

(i) Determine the value of a.

(ii) Find P(X< 3), P(X≥ 3),P(O< X< 5).
(iii) What is the smallest value of x for which P (X ≤ x) > 0·5?
(iv) Find out the distribution function of X?

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Example: Let P(x) be the probability function of a discrete random variable X
which assumes the values X1 , X2, X3 ,X4, such that 2 P (X1) = 3 P (X2) = P (X3)
= 5 P(X4). Find probability distribution.
Solution:
Let P(X3) = k, then
2 P (X1) = 3 P (X2) = k = 5 P(X4), ==
∑5𝑖=1 𝑝(𝑥𝑖 ) = P (X1)+P (X2)+P (X3)+ P(X4) =1
=> k/2 + k/3 + k + k/5 = 1
=> k = 30/61.
Probability mass function:

X X1 X2 X3 X4
P(X) 15/16 10/61 30/61 6/61

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2. Probability density function (pdf): Let X be continuous random variable
defined over range (a, b), then probability function f(x) defined for X is
called probability density fuction.
Example of continuous random variable:
X = Height of students of MJCET = {4ft to 7ft}
X = Weight of students of MJCET = {35kg to 150kg}
X = Speed of bike or car = {0 to 120kmph}
The corresponding probability functions are known as probability density
function
Example:
Probability that the height of students lie between 5 to 6ft =f(x)= P(5<X<6)
Probability that the weight of students lie between 50 to 67kg= P(50<X<67)

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Probability that the speed of bike or car lie between 25 to 90kmpl = f(x) =
P(25<X<90)

Note: Generally we find probability for continuous random variable of an

interval not at a particular point.

Properties of probability density function:

Let X is a one-dimensional continuous random variable, then
(i) 0<P(xi)<1, (Probability of every random variable lies between 0 and 1)
𝑏
(ii) ∫𝑎 𝑓(𝑥) = 1, (Sum of probabilities of all random variables of a random
experiment is equal to 1)

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Example1: The diameter of an electric cable; say X, is assumed to be a
continuous random variable with pdf f(x) = 6x (1 - x), 0 < x < 1.
(i) Check that above is pdf
(ii) Determine a number b such that P (X < b) = P (X> b)

Solution: Given pdf is f(x) = 6x (1 - x), 0 < x < 1,

(i) To check f(x) is pdf or not, we have to show that total probability is
equal to 1.
Therefore
1
1 1 2 (6𝑥 2 ) 6𝑥 3
∫0 6𝑥(1 − 𝑥)𝑑𝑥 = ∫0 (6𝑥 − 6𝑥 )𝑑𝑥 = [
2
−
3
] =3−2=1
0

Hence given function is pdf.

(ii) Given P (X < b) = P (X> b)

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𝑏 1
∫ 6𝑥 (1 − 𝑥 )𝑑𝑥 = ∫ 6𝑥 (1 − 𝑥 )𝑑𝑥
0 𝑏
𝑏 1
(6𝑥 2 ) 6𝑥 3 (6𝑥 2 ) 6𝑥 3
[ − ] = [ − ]
2 3 0 2 3 𝑏
(6𝑏 2 ) 6𝑏 3 (6𝑏 2 ) 6𝑏 3
[ − ] = [1 − + ]
2 3 2 3
(6𝑏 2 ) 6𝑏 3 (6𝑏 2 ) 6𝑏 3
[ − ] − [1 − + ]=0
2 3 2 3
6𝑏 2 − 4𝑏 3 − 1 = 0
4𝑏 3 − 6𝑏 2 + 1 = 0
𝑏 = 0.5

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Example2: A continuous random variable X has a pdf f(x)= 3x2, 0 < x < 1.
Find value of ‘a’ such that P{X> a} = 0·05.
Solution: Given that P{X> a} = 0·05
1
∫𝑎 3𝑥 2 𝑑𝑥 = 0.05
1
3𝑥 3
[ ] = 0.05
3 𝑎
3𝑎3
1− = 0.05
3

1 − 𝑎3 = 0.05
𝑎3 = 0.95
1
𝑎 = (0.95) = 0.98
3

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Example3: Let X be a random variable with pdf
2 |𝑥 | < 1
𝑓(𝑥 ) = { 𝑐𝑥
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
(i) Find value of ‘c’
1
(ii) Find 𝑃(𝑋 ≥ )
2

Solution:
(i) Given pdf is 𝑓(𝑥 ) = 𝑐𝑥 2 for -1 < x <+1, then
+1 +1
∫ 𝑓(𝑥) = ∫ 𝑐𝑥 2 𝑑𝑥 = 1
−1 −1

Since given function is an even function, therefore

+1
2 ∫ 𝑐𝑥 2 𝑑𝑥 = 1
0

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1
𝑐𝑥 3 𝑐∗1
2[ ] = 2[ − 0] = 1
3 0 3
2𝑐
=1
3
3
𝑐=
2
3 3 1 1
1 1 13 𝑥 (1)3 ( )3 7
(ii) P (X ≥ ) = ∫1 𝑓(𝑥 )𝑑𝑥 = ∫1 𝑥 2 𝑑𝑥 = [
2
] = [ − 2
]=
2 2 2 2 3 1 2 2 16
2

Example: Is the function defined as follows a density function?

−𝑥
𝑒 𝑥>0
𝑓 (𝑥 ) = {
0 𝑥<0
Solution:

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(iii) To check f(x) is pdf or not, we have to show that total probability is
equal to 1.
Therefore
∞ 1
∫0 𝑒 −𝑥 𝑑𝑥 = [−𝑒 −𝑥 ]∞
0 = [−𝑒
−∞
− (−𝑒 −0 )] = [− + 1] = 1
∞

Hence given function is pdf.

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Topic-V

Mathematical expectations
Definition: Let X be a discrete random variable with (p.m.f.) (p(x)). Then its
mathematical expectation, denoted by E(X) is given by:

+∞

𝑬(𝑿) = ∑ 𝒙. 𝒑(𝒙)
𝒙=−∞

Definition: Let X be a continuous random variable with p.d.f. (f(x)). Then its
mathematical expectation, denoted by E(X) is given by:

+∞
𝑬(𝑿) = ∫−∞ 𝒙. 𝒇(𝒙)𝒅𝒙

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Theorems on Mathematical expectation:
1. If X is a random variable and 'a' is constant, then

(i) E (aX) = a E (X)

(ii) E (X + a) = E (X) + a

Proof: Given that X is a random variable and p(x) be its p.m.f, then
+∞
(i) 𝐸 (𝑎𝑋) = ∑𝑥=−∞ 𝑎. 𝑥. 𝑝(𝑥 ) = 𝑎. ∑+∞
𝑥=−∞ 𝑥. 𝑝(𝑥 ) = 𝑎. 𝐸(𝑋)

(ii) 𝐸 (𝑋 + 𝑎) = ∑+∞ +∞
𝑥=−∞(𝑥 + 𝑎 ). 𝑝(𝑥 ) = ∑𝑥=−∞(𝑥. 𝑝(𝑥 ) + 𝑎. 𝑝(𝑥 ))
+∞ +∞

= ∑ 𝑥. 𝑝(𝑥 ) + 𝑎. ∑ 𝑝(𝑥 )
𝑥=−∞ 𝑥=−∞

= 𝐸(𝑋) + 𝑎 (Since ∑+∞

𝑥=−∞ 𝑝(𝑥 ) = 1 )

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Note: From above it is evident that
𝐸 (𝑎) = 𝑎

2. If X and Yare independent random variables, then

𝐸 (𝑋. 𝑌) = 𝐸 (𝑋). 𝐸(𝑌)
Proof:
+∞ +∞
𝐸 (𝑋. 𝑌) = ∫ ∫ 𝑓(𝑥. 𝑦)𝑑𝑥𝑑𝑦
−∞ −∞
+∞ +∞
𝐸 (𝑋. 𝑌) = ∫ ∫ 𝑓(𝑥 )𝑓(𝑦)𝑑𝑥𝑑𝑦
−∞ −∞
+∞ +∞
𝐸 (𝑋. 𝑌) = ∫ 𝑓(𝑥 )𝑑𝑥 ∫ 𝑓(𝑦𝑑𝑦
−∞ −∞
𝐸 (𝑋. 𝑌) = 𝐸 (𝑋). 𝐸(𝑌)

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3. If X and Yare two random variables, then
𝐸 (𝑋 + 𝑌) = 𝐸 (𝑋) + 𝐸(𝑌)
Proof:
+∞ +∞
𝐸 (𝑋 + 𝑌) = ∫ ∫ (𝑥 + 𝑦)𝑓𝑥𝑦 (𝑥, 𝑦)𝑑𝑥𝑑𝑦
−∞ −∞
+∞ +∞ +∞ +∞
𝐸 (𝑋 + 𝑌) = ∫ ∫ (𝑥)𝑓𝑥𝑦 (𝑥, 𝑦)𝑑𝑦𝑑𝑥 + ∫ ∫ (𝑦)𝑓𝑥𝑦 (𝑥, 𝑦)𝑑𝑥𝑑𝑦
−∞ −∞ −∞ −∞
+∞ +∞
𝐸 (𝑋 + 𝑌) = ∫ 𝑥. 𝑓 (𝑥 )𝑑𝑥 + ∫ 𝑦. 𝑓(𝑦𝑑𝑦
−∞ −∞
𝐸 (𝑋 + 𝑌) = 𝐸 (𝑋) + 𝐸(𝑌)

Variance:
Let X be a random variable, variance of X is defined as
𝑉(𝑋) = 𝐸 (𝑋 2 ) − (𝐸(𝑋))2

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Example1: Find expected value of following distribution
X P(X)
0 0
1 1/10
2 2/10
3 2/10
4 3/10
5 1/100
6 2/100
7 17/100

Solution: We have E(X) = ∑+∞

x=−∞ x. p(x)
+∞

E(X) = ∑ x. p(x)
x=−∞
1 2 2 3 1 2
=0∗0+1∗ +2∗ +3∗ +4∗ +5∗ +6∗ +7
10 10 10 10 100 100
17 1 4 6 12 5 12 119
∗ = + + + + + + =
100 10 10 10 10 100 100 100
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Example2: Find expected value of addition of numbers appearing on dice, when
two dice are thrown.
Solution: When two dice are tossed, then sample space will contain total 36
outcomes.
X 2 3 4 5 6 7 8 9 10 11 12
P(X) 1/36 2/36 3/36 4/36 5/36 6/36 5/36 4/36 3/36 2/36 1/36

We have E(X) = ∑+∞

x=−∞ x. p(x)
+∞

E(X) = ∑ x. p(x)
x=−∞
1 2 3 4 5 6 5
=2∗ +3∗ +4∗ +5∗ +6∗ +7∗ +8∗ +9
36 36 36 36 36 36 36
4 3 2 1
∗ + 10 ∗ + 11 ∗ + 12 ∗
36 36 36 36
2 6 12 20 30 42 40 36 30 22 12 252
= + + + + + + + + + + =
36 36 36 36 36 36 36 36 36 36 36 36
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Example3: A coin is tossed until a head appears. What is the expectation of the
number of tosses required?
Solution: Let X denote the number of tosses required to get the first head.
Outcome of toss of a coin Number of tosses(x) ProbabilityP(x)
H 1 1/2
TH 2 1/4
TTH 3 1/8
TTTH 4 1/16
So on… … ….So on

Expected value
+∞
1 1 1
E(X) = ∑ x. p(x) = 1 ∗ + 2 ∗ + 3 ∗ + ⋯ … … …
2 4 8
x=−∞
1 1 1
E(X) = 1 ∗ + 2 ∗ + 3 ∗ + ⋯ … … … … … ….(1)
2 4 8
Multiple both sides by ½, we get
1 1 1 1
E(X) = 1 ∗ + 2 ∗ + 3 ∗ + ⋯ … … … … … ….(2)
2 4 8 16

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Subtracting equation (2) from equation (1)
1 1 1 1
(1 − ) E(X) = 1 ∗ + (2 − 1) ∗ + (3 − 2) ∗ + ⋯…….=
2 2 4 16
1 1 1
= E(X) = 1 ∗ + 1 ∗ + 1 ∗ + ⋯ … ….
2 4 16
This is an infinite geometric series, whose sum is

1
a 1 2
E(X) = = =
1−r 1− 1 2
2

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Example4: Let X be a random variable with p.d.f. as given below:
x: 0 1 2 3
p(x): 1/3 1/2 1/24 1/8

Find the expected value of Y = (X - 1)2

Solution:
The expected value of Y= E[(X − 1)2 ] = ∑+∞ 2
x=−∞(X − 1) . p(x)
+∞ +∞

∑ (X − 1)2 . p(x) = ∑ x 2 . p(x) − 2. x. p(x) + 1. p(x) =

x=−∞ x=−∞

+∞ +∞ +∞

= ∑ x 2 . p(x) + 2. ∑ x. p(x) + ∑ 1. p(x)

x=−∞ x=−∞ x=−∞

+∞
1 1 1 1
∑ x 2 . p(x) = (0)2 . 2 2 2
+ (1) . + (2) . + (3) . =
3 2 24 8
x=−∞

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+∞
1 1 1 1
2 ∑ x. p(x) = 2. (0. + 1. + 2. + 3. ) =
3 2 24 8
x=−∞
+∞
1 1 1 1
∑ p(x) = ( + + + )=
3 2 24 8
x=−∞

Therefore
+∞ +∞

∑ (X − 1)2 . p(x) = ∑ x 2 . p(x) − 2. x. p(x) + 1. p(x) =

x=−∞ x=−∞

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Example4: Let X be a continuous random variable has the pdf
𝑎 + 𝑏𝑥 0≤𝑥≤1
𝑓(𝑥 ) = {
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

If the mean of the distribution is 1/3, finf the values of a and b.

Solution: (i) Given that f(x) is p.d.f, then the total probability is equal to 1.
1
∫ 𝑓 (𝑥 ) = 1
0
1
∫ 𝑎 + 𝑏𝑥 = 1
0

1
𝑥2
[𝑎𝑥 + 𝑏 ] = 1
2 0

𝑏
𝑎+ − (0) = 1
2

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𝑏
𝑎+ =1
2
2𝑎 + 𝑏 = 2------------------------------(1)
(ii)Given that mean is 1/3, therefore

1
1
E(X) = ∫ x. f(x)dx =
0 3
1
1
∫ x. (a + bx)dx =
0 3
1
2
1
∫ a. x + b𝑥 dx =
0 3
2 3 1
a. 𝑥 b𝑥 1
[ + ] =
2 3 0 3
𝑎 𝑏 1
+ − (0 ) =
2 3 3
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3𝑎 + 2𝑏 = 2------------------------(2)
On solving equation (1) and (2), we get
a= and b=

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Example5: Let X be a random variable with pdf
2
𝑓 (𝑥 ) = {𝑥 3 𝑥>1
0 𝑥<1
Find E(X)

Solution: We know that

+∞
E(X) = ∫ x. f(x)dx
1
+∞
2
E(X) = ∫ x. dx
1 𝑥3
+∞
2
E(X) = ∫ dx
1 𝑥2

2∞ 2 2
E(X) = [− ] = [− − (− )] = 2
𝑥1 ∞ 1

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