RANDOM VARIABLES

In application of probabilities, we deal with numerical data which are random in nature. For
example, we may consider the number of customers arriving at service station at a particular
interval of time or the transmission time of a message in a communication system. These random
quantities may be considered as real-valued function on the sample space. Such a real-valued
function is called a real random variable or simply a random variable (RV) and plays an
important role in describing random data. We shall introduce the concept of random variables in
the following sections.
Random variable
Consider the probability space ( S , F , P ) and a function X : S mapping the sample space
S into the real line. We are interested to define probability on the events involving real numbers
with the help of this mapping.
Let us define the probability PX ( B) of a subset B

by

PX ( B ) = P ( X 1 ( B )) = P ({s | X ( s ) B}).

(1)

First of all, we require B to be a Borel set in

to define PX ( B) consistently. Because there
exists subsets of
on which probability cannot be assigned. The definition also requires the
1
inverse image X ( B) to be a valid event in S. In other words, X 1 ( B) should be a member of
sigma algebra F in S. With these requirements, we have the following definition of a random
variable:
Definition: A function X : S is called a random variable if
X 1 ( ) F
for each Borel set B.
S is the domain of X and the range of X , denoted by RX , is given by
RX = { X ( s ) | s S }.
Clearly R X

Figure 1 illustrates a random variable as a mapping from the sample space to the real line.

X 1
A = X 1 ( B)

X ( s1 )

s1

X ( s2 )

s2

B = X(A)

X ( s3 )

s3

X ( s4 )

s4

S
S

Figure 1 (a) A random variable as a mapping and (b) corresponding events in S

and

A random variable is generally represented by an upper-case letter and a lower-case letter is

used to denote the value of a random variable. Thus X ( s) = x means that x is the value of a
random variable X at the sample point s . The argument s is usually omitted and we simply write
X = x. instead of X ( s) = x .
It is not easy to check if X 1 () F for each Borel set. We can use the Borel set ( , x] ,
x , to generate any other Borel sets. Therefore, we are led to the following equivalent
definition of a random variable.
Definition: A function X : S
X 1 ((, x]) F
for each x .

is called a random variable if

Example 1
Consider the experiment of tossing a fair coin twice.
The sample space is S= {HH, HT, TH, TT}. Assume F = PS and define a random variable X
as follows.

Sample Point
s
HH
HT
TH
TT

X (s)

0
1
2
3

{HH }
{HH , HT }
Here X 1 ( ( , x ]) =
{HH , HT , TH }
S

Therefore, X is an RV with RX = {0,1, 2}.

x<0
0 x <1
1 x < 2
2 x<3
x3

Example 2
Consider the sample space associated with the single toss of a fair die. The sample space is
given by S = {'1', '2 ','3', '4 ','5','6 '} .
Define X to be the mapping that associates a real number equal to the number in the face of the
die and consider F = PS . It is easy to verify that for any x , X 1 ((, x]) F Therefore, X
is a random variable with RX = {1, 2,3, 4,5,6} .

Remark

A random variable on S is defined with respect to sigma algebra F . A mapping

X : S may be a random variable with respect to one sigma algebra, but may not be
so with respect to sigma algebra.
In Example 2, the mapping X may not be a random variable with some other sigma
algebra. Consider the sigma algebra F1 = {S , ,{1},{2,3, 4,5, 6}} and the event (, 2] . Here
X 1 (( , 2]) = {1, 2} F1 and therefore, X is not a random variable with respect to F1 .

If the sample space S is finite or countably finite, we can consider PS as

the sigma

algebra. Each subset of S is a member of PS and therefore, X ( B) is always a valid

event. In this case, any mapping X : S , is a random variable with respect to the
sigma algebra PS .

The situation that X 1 () is not a valid event in S is not encountered in practical

applications. Similarly we do not practically encounter any subset of
which is not a
Borel set. One may simply assume an RV as any real-valued function defined on S.

Probability space induced by a random variable

The random variable X induces a probability measure PX on B defined by

PX ({B}) = P ( X 1 ( B )) = P ({s | X ( s ) B})

(2)

The probability measure PX satisfies the three axioms of probability:

Axiom 1

PX ( B ) = P ( X 1 ( B )) 1 , because X 1 ( B) F.
Axiom 2

PX ( ) = P ( X 1 ( )) = P ( S ) = 1
Axiom 3
Suppose B1 , B2 ,.... are disjoint Borel sets. Then X 1 ( B1 ), X 1 ( B2 ),.... are also disjoint
sets in F. Therefore,

PX ( U Bi ) = P( X 1 U ( Bi )
i =1

i =1

= P( U X 1 ( Bi )

(Using the property of the inverse image)

i =1

= P( X 1 ( Bi )) (Using the countably additive property in F )

i =1

= PX ( Bi )
i =1

Thus the random variable X induces a probability space ( S , B, PX ) . The event B

and

{s | X ( s ) B} F are equivalent and PX ({B}) = P({s | X ( s ) B}). The underlying sample space is
omitted in notation and we simply write { X B} and P ({ X B}) instead of {s | X ( s ) B} and
P ({s | X ( s ) B}) respectively whenever there is no confusion.
Once we have a representation for PX , we can model random data on the real line without being

concerned about the original probability space. Indeed, we model random data in terms of
random variables without being aware of the underlying sample space.
The probability measure PX as defined on any Borel set is not easy to handle. We have better

representations in terms of probability functions that are defined at each point on the real line.
We first introduce one such function, namely, the probability distribution function.
Probability distribution function

Consider the Borel set ( , x] where x represents any real number. The equivalent event in F
is given by
X 1 ((, x]) = {s | X ( s ) x, s S}
and

denoted as { X x}.

Note that any other Borel set on

can be represented in terms of this event. For example,

{ X > x} = { X x}c ,
{x1 < X x2 } = { X x2 } \{ X x1},

1

{ X = x} = I { X x} \ X x
n =1
n

and so on.

Definition: The distribution function FX :

is a function defined by

FX ( x) = PX ((, x])
= P({s | X ( s) x, s S})

(3)

= P({ X x})
for all x . It is also called the cumulative distribution function abbreviated as CDF.
The notation for FX ( x) is used to denote the CDF of the RV X at a point x .

Example 3
Consider the random variable X in Example 1
Assigning equal probabilities to each elementary event in S , we have
P ({ X = 0}) = P ({ X = 1}) = P ({ X = 2}) = P ({ X = 3}) =

FX ( x) is computed as follows.

1
.
4

(i) For x < 0, we have

{ X x} = .
FX ( x) = P({ X x}) = 0
(ii) For 0 x < 1,
{ X x} = { X = 0}.
FX ( x) = P({ X x}) = P({ X = 0}) =

1
4

(iii) For 1 x < 2,

{ X x} = { X = 0} { X = 1}
FX ( x) = P({ X x})
= P({ X = 0} { X = 1})
= P({ X = 0}) + P({ X = 1})
1 1 1
= + =
4 4 2
(iv) For 2 x < 3,
{ X x} = { X = 0} { X = 1} { X = 2}
FX ( x) = P({ X x})
= P({ X = 0} { X = 1} { X = 2})
= P({ X = 0}) + P({ X = 1}) + P ({ X = 2})
1 1 1 3
= + + =
4 4 4 4
(v) For x 3,
{ X x} = S .
FX ( x) = P({ X x})
= P( S )
=1
The plot of FX ( x) is shown in Figure 2.

Figure 2 The CDF of the random variable in Example 1 and Example 3 ( X and Y axes are to be
scaled)
The distribution function carries all the information about the random variable. Its properties are
summarized in the following theorem.
Theorem 1
If FX ( x) is the probability distribution function of a random variable X , then
(a) FX (x) is a non-decreasing function of x.
(b) FX (x) is right continuous.
(c) FX () = lim FX ( x) = 0 .
x

(d) FX () = lim FX ( x) = 1 .
x

Proof:
x1 < x2 .Then .

(a) To show that

FX (x) is a

non-decreasing function of

x , suppose

(, x1 ] (, x2 ]
PX ((, x1 ]) PX ((, x2 ])
FX ( x1 ) FX ( x2 )
(b) Suppose {xn } is a decreasing sequence such that lim xn = x . Thus xn is approaching x
n

from the right and we denote it by xn x . By the continuity theorem in Chapter 2,

lim FX ( xn ) = lim FX ( xn )

xn x +

= lim PX ((, xn ])
n

= PX I (, xn ]
n=1

= PX ((, x])
= FX ( x).
Thus FX ( x) is continuous from the right and we write FX ( x + ) = FX ( x) .
(c) Suppose {xn } is a decreasing sequence such that xn .
theorem

Again by the continuity

lim FX ( xn ) = lim FX ( xn )

xn

= lim PX ((, xn ])
n

= PX I (, xn ]
n=1

= PX ()
= 0.

FX () = lim FX ( x) = 0.
x

(d)

Suppose {xn } is an increasing sequence such that xn .

continuity theorem

Applying

the

lim FX ( xn ) = lim FX ( xn )

xn

= lim PX ((, xn ])
n

= PX U (, xn ]
n=1

= PX ( )
= 1.

FX () = lim FX ( x) = 1.
x

The converse of the above theorem is true. If the function FX :

satisfies the four
properties in Theorem 1, then there exists a random variable X with the CDF FX . To prove this
result, we need the concepts from the measure theory and we shall omit the proof.

Probabilities of Borel sets in terms of the CDF

We can compute the probability of any Borel set in terms of the CDF. Particularly, the following
results are very important.
(i) P({x1 < X x2 }) = FX ( x2 ) FX ( x1 ) .

(4)

Proof:
and { X x1} are two mutually exclusive events such that
{ X x1} {x1 < X x2 } = { X x2 } .
Therefore,

{x1 < X x2 }

P({ X x1}) + P({x1 < X x2 }) = P({ X x2 })

FX ( x1 ) + P({x1 < X x2 }) = FX ( x2 )
P({x1 < X x2 }) = FX ( x2 ) FX ( x1 )

thus establishing the result.

(ii) P{x1 X x2 } = FX ( x2 ) FX ( x1 ) + P( X = x1 )

(5)

Proof: We have
{x1 X x2 } = {x1 < X x2 } { X = x1}
P ({x1 X x2 }) = P ({x1 < X x2 }) + P ({ X = x1})
= FX ( x2 ) FX ( x1 ) + P ({ X = x1})

(iii) P({x1 X < x2 }) = FX ( x2 ) FX ( x1 ) + P ( X = x1 ) P ( X = x2 )

(6)

Prove yourself using the result in (iii).

(iv) P({ X > x}) = P ({x < X < }) = 1 FX ( x)

(7)

Proof:
{ X x} and { X > x} are two mutually exclusive events such that
{ X x} {x > X } = .

Therefore,
P({ X x}) + P({x > X }) = P( ) = 1.
FX ( x) + P({x > X }) = 1.
P({x > X }) = 1 FX ( x).

(v) P({ X = x}) = FX ( x) FX ( x )

Proof:
For any > 0, we have

(8)

P ({x < X x}) = FX ( x) FX ( x )

lim+ P ({x < X x}) = lim+ ( FX ( x) FX ( x )).
0

lim+ P ({ X = x}) = FX ( x) FX ( x ).
0

where FX ( x ) = lim FX ( x )
0+

We have seen that given FX ( x), - < x < , we can determine the probability of any event
involving values of the random variable X . Thus FX ( x) x is a complete description of the
random variable X . Two random variables X and Y are called identically distributed if
FX ( x) = FY ( x ) x .

Example 4

Consider the random variable X defined by

0
1
1

FX ( x ) = x +
4
8
1

x < 2
2 x < 0
x0

See also the illustration in Figure 3.

Find (a) P({X = 0})
(b) P ({ X 0} )

FX ( x )

(c) P ({ X > 2} )
(d) P ({1 < X 1} )

1/4

Solution:

-2

Figure 3 The CDF of the random variable in Example 4

(a) P ({ X = 0}) = FX (0+ ) FX (0 )
1 3
=
4 4
(b) P ({ X 0} ) = FX (0)
= 1

=1

(c) P ({ X > 2} ) = 1 FX (2)

= 11 = 0
(d) P ({1 < X 1} )
= FX (1) FX (1)
1 7
= 1 =
8 8

Discrete, Continuous and Mixed-type random variables

We have observed that random variables are completely characterized by the distribution
function FX ( x). They can be classified into discrete, continuous and mixed-type random
variables according to the nature of the distribution function. Such classification helps in
studying the properties of random variables. For a discrete random variable X, FX (x) is piecewise constant with jump discontinuities at countable number of points. If X is continuous, then
FX (x) is a continuous function of x. In the case of a mixed-type random variable X, FX (x) has
jump discontinuities at countable number of points and it increases continuously at least in one
interval of X . Typical plots of FX ( x) for discrete, continuous and mixed-type random
variables are shown in Figure 4. We shall give more formal definitions of these classes and
their charcterisations in subsequent sections.

FX ( x)

x
Figure 4 (a) FX ( x) for a discrete random variable
FX ( x )

x
FX ( x )

Figure 4(b) FX ( x) for a continuous random variables

FX ( x )

x
Figure 4 (c) FX ( x) for a mixed-type random variable

Discrete random variables and probability mass functions

Definition: A random variable X defined on the probability space ( S , F , P ) is said to be discrete if the
number of elements in the range RX is finite or countably infinite.
Examples 1 and 2 are discrete random variables. If the sample space S is discrete, the random

variable X defined on it is always discrete.

A discrete random variable X with RX = {x1 , x2 , x3 ...} is completely specified by the probability mass
function (PMF)

p X ( xi ) = P({s | X ( s ) = xi })
= P({ X = xi })
for each xi RX .

(9)

The PMF of a discrete random variable X has the following important properties which can be easily
proved.
1.
2.

p X ( xi ) 0 xi RX
p X ( xi ) = 1

(10)

(11)

xi RX

3. Suppose B

be any Borel set. Then

P({x B}) = p X ( xi )

(12)

xi B

4. The CDF and the PMF are related by the relations

FX ( x) = p X ( xi )

(13)

xi x

and
p X ( xi ) = FX ( xi ) FX ( xi )

(14)

The PMF of a random variable can be graphically represented by a column diagram as illustrated in
Figure 5.

p X ( xi )

xi
Figure 5 The PMF of a discrete RV

Example 5
Consider the random variable X with defined by
X ( s ) = c s S .
Then X is a discrete RV with the the PMF
p X (c ) = P ( X = c ) = 1 .

Example 6
Consider the random variable X with the distribution function

0 x < 0
1

0 x <1
4
FX ( x) =
1 1 x < 2
2
1 x 2

The plot of FX ( x) is shown in Figure 6. Find the PMF of X.

FX ( x)
1

1
2

1
4

Figure 6 Plot of FX ( x) in Example 6

Solution:
The jumps in the plot of FX ( x) give the PMF values. Thus
1
1
0 =
4
4
1
1
1
p X (1) = FX (1+ ) FX (1 ) = =
2 4 4
1 1
+

p X (2) = FX (2 ) FX (2 ) = 1 =
2 2
p X (0) = FX (0+ ) FX (0 ) =

We shall describe about some useful discrete probability mass functions in a later chapter.
Continuous random variables and probability density functions
Definition: A random variable X defined on the probability space ( S , F , P ) is said to be continuous if

FX (x) is absolutely continuous. Thus FX (x) can be expressed as the integral

x

FX ( x) =

f X (u )du

(15)

where f X : R [0, ) is a function called the probability density function ( PDF).

If f X ( x) is a continuous function at pint x, then
f X ( x) =

d
FX ( x )
dx

(16)

Interpretation of f X (x)
If f X ( x) is a continuous function of x, then it has the following interpretation.
Consider a point x0 . Then
f X ( x0 ) =

FX ( x)
dx
x = x0

FX ( x0 + x) FX ( x0 )
x 0
x
P({x0 < X x0 + x})
= lim
x 0
x

= lim

so that
P({x0 < X x0 + x})

f X ( x0 )x.

See also the illustration in Figure 7. Thus the probability of X lying in the some small interval
( x0 , x0 + x] is determined by f X ( x0 ). In that sense, f X ( x) represents the concentration of
probability just as the density of an object represents the concentration of mass.

f X ( x)

x 0 x0 + x0

Figure 7 P({x0 < X x0 + x0 })

x
f X ( x0 )x0

Properties of the probability density function

(a) f X ( x) 0.
This follows from the fact that FX ( x) is a non-decreasing function

(17)

(b) P ({ X = x}) = 0

Proof:

(18)

As FX (x) is continuous at every x, we have

FX ( x) = FX ( x ) x .

This implies that

P({ X = x}) = FX ( x) FX ( x )
= 0
Therefore, the probability of a continuous random variable X is zero at each point x.

(c)

( x)dx = 1

(19)

Proof:

f X ( x )dx = FX ()

=1
x2

(d) P( x1 < X x 2 ) =

(20)

( x)dx

Proof:
P( x1 < X x2 ) = FX ( x2 ) FX ( x1 )
x2

x1

f X ( x)dx

f X ( x)dx

x2

= f X ( x)dx
x1
x2

P( x1 < X x2 ) =

( x)dx

x1

Example 7
Consider the random variable X with the distribution function

0
FX ( x) =
ax
1 e

x<0
a > 0, x 0

Differentiating FX ( x) at the points of continuity of f X ( x) , we get

0
f X ( x) = ax
e

x<0
a > 0, x 0

Example 8 Consider the random variable X with the PDF

0

f X ( x) = 1
a x

x0
a > 0, x 0

Determine a and FX ( x) .

Solution: We have

f X ( x) dx = 1

x
1
a= .
2

dx = 1

By integrating,

FX ( x) = x
1

x0
0<x < 1
x 1

Remark
Using the Dirac delta function we can define the density function for a discrete random variables.
Consider the random variable X defined by the PMF p X ( xi )
The CDF FX ( x) can be written as

for i = 1, 2,..., N .

FX ( x) = p X ( xi )u ( x xi )
i =1

where u ( x xi ) is the shifted unit-step function given by

1 for x xi
u ( x xi ) =
0 otherwise
Then the density function f X ( x) can be written in terms of the Dirac delta function as

f X ( x) = p X ( xi ) ( x xi )
i =1

Example 9
Consider the random variable defined in Example 6. The distribution function FX ( x) can be
written as
1
1
1
FX ( x) = u ( x) + u ( x 1) + u ( x 2)
4
4
2
and the PDF is given by
1
1
1
f X ( x) = ( x) + ( x 1) + ( x 2)
4
4
2

Conditional Distribution and Density functions

For any two events A and B belonging to a sample space S, we defined the conditional
probability P ( A / B ) by
P ( A B)
P ( B) 0
,
P ( B)
This concept can be extended to events involving a random variable X. If we assume
A = { X x} and B to be any event in S, then the conditional probability becomes the conditional
P ( A / B) =

distribution function. B may be an event involving the random variable X.

Definition: Consider the event { X x} and any event B. The conditional distribution function of
X given B is defined as
FX / B ( x ) = P ({ X x} / B )
=

Thus

P ({ X x} B )
P ( B)

P ( B) 0

(21)

FX / B ( x ) is a conditional probability and satisfies the properties of conditional

probabilities. If the events { X x} and B are independent, then

FX / B ( x ) = P ({ X x} )
= FX ( x )

(22)

We can verify that FX / B ( x ) satisfies all the properties of the distribution function. Particularly,
the following properties are important.
(1) FX / B ( ) = 0 and FX / B ( ) = 1.
(2) 0 FX / B ( x ) 1
(3) FX / B ( x ) is a non-decreasing and right continuous function of x.
(4) P({ x1 < X x2 } / B) = FX / B ( x2 ) FX / B ( x1 )
In a similar manner, we can define the conditional density function f X ( x / B ) .

Definition: If FX / B ( x ) is an absolutely continuous function of x, then

x

FX / B ( x ) =

f X / B ( u )du

(23)

where f X / B : R [0, ) is a function called the conditional probability density function.

At the point of continuity of f X ( x / B ) , we have
d
FX / B ( x )
dx
If the events { X x} and B are independent, then
fX /B ( x) =

fX / B ( x) = fX ( x)

(23)

(24)

Properties of the conditional density function

All the properties of the PDF are satisfied by the conditional PDF and we can easily show the
following
(1) f X / B ( x ) 0

(2)

f X / B ( x )dx = FX / B ( ) = 1

x2

(3) P({ x1 < X x2 } / B) =

f ( x )dx
X /B

x1

If B is an event involving the random variable X,

P ( B ) is completely defined in terms

of FX ( x ) . The conditional distribution function can be expressed in terms of

illustrated in the following examples.

Example 10

FX ( x ) as

Suppose X is a random variable with the distribution function FX ( x ) . Define B = { X b} .Then

FX / B ( x ) =

P ({ X x} B )

=
=

P ( B)
P ({ X x} { X b} )
P { X b}
P ({ X x} { X b} )

FX ( b )
Case 1: If x<b, then

{ X x} { X b} = { X x}
P ({ X x} { X b} )
FX / B ( x ) =
FX ( b )
P ({ X x} )
=
FX ( b )
F ( x)
= X
FX ( b )
and the corresponding conditional PDF is given by
f ( x)
fX /B ( x) = X
FX ( b )

Case 2: If x b , then
{ X x} { X b} = { X b}
FX / B ( x ) =
=
=

P ({ X x} { X b} )
FX ( b )

P ({ X b})
FX ( b )
FX ( b )
=1
FX ( b )

and f X / B ( x ) = 0
For given FX ( x) and b, typical plots of FX / B ( x ) and f X / B ( x ) are shown in Figure 8.

FX / B ( x )

FX ( x)

Figure 8 (a) Plot of FX ( x) and FX / B ( x ) for the RV in Example 10

f X / B ( x)
f X ( x)

b
Figure 8 (b) Plot of

f X ( x) and f X / B ( x) for the RV in Example 10

Example 11
Suppose X is a random variable with the distribution function FX ( x ) and B = { X > b} .
Then
FX / B ( x ) =

P ({ X x} B )

=
=

P ( B)
P ({ X x} { X > b} )
P { X > b}
P ({ X x} { X > b} )
1 FX ( b )

Case 1: If x b ,
ee have { X x} { X > b} = .
FX / B ( x ) = 0

Case 2: x > b
We have { X x} { X > b} = {b < X x} .
FX / B ( x ) =
=

P ({b < X x} )
1 FX ( b )

FX ( x ) FX ( b )
1 FX ( b )

Thus,
xb
0

FX / B ( x ) = FX ( x ) FX ( b )
otherwise
1 F (b)
X

The corresponding conditional PDF is given by

0

fX ( x / B) = fX ( x)
1 F ( b )
X

xb
otherwise

Example 12
Suppose
f X ( x) =

is

1
e
2

random

x2

FX / B ( x ) =
=
=

variable

with

the

probability

< x < and B = {1 < X < 1} Then

P ({ X x} B )
P ( B)

P ({ X x} {1 X 1} )
P ({1 X 1} )
P ({ X x} {1 X 1} )
1

f
1

( x)dx

density

function

0
F ( x) F (1)
X
FX / B ( x ) = 1 X
x2
1 2

e dx

1 2

1
f X ( x)

2
1
1 x2

e dx
fX /B ( x) =
1 2
0

x 1
1 < x < 1

x 1
1 < x < 1

otherwise

where
2

1 x2
f X ( x) =
e
2

Remark
2

1 x2
The density function f X ( x) =
is the standard Gaussian density function which we
e
2
shall discuss in a later chapter . The conditional density function f X ( x / B ) in this case is called
the truncated Gaussian. These density functions are plotted in Figure 9.

Figure 9 Plot of

f X ( x) and f X / B ( x) for the RV in Example 11

Total probability and Bayes rule

Suppose the real line

is partitioned into non-overlapping Borel sets

B1 , B2 ,..., Bn such that

= Bi ,
i =1

Bi B j = for i j

and
n

{ X x} = { X x} Bi
i =1

Then using the total probability theorem,

FX ( x ) = P({ X x})
n

= P ( Bi )P ({ X x}/ Bi )
i =1
n

= P ( Bi )FX ( x / Bi )
i =1
n

FX ( x ) = P ( Bi )FX ( x / Bi )

(25)

i =1
n

Equivalently, f X ( x ) = P ( Bi ) f X ( x / Bi )
i =1

P ( B j / { X x} ) =
=

P ( B j { X x} )
P ({ X x})

P ( B j ) P ({ X x} / B j )
FX ( x)

P B j ) FX / B j ( x
n

P ( B ) F ( x)
i

(26)

X / Bi

i =1

which is the Bayes rule to determine the a posteriori probability P ( B j / { X x}) .

Conditional probability P ( B / { X = x} )
We may also be interested in finding the conditional probability of the event B given that the
event { X = x} has occurred. As P ({ X = x} ) = 0 for a continuous random variable, we cannot
find P ( B / { X = x} ) by the relation

P ( B / { X = x} ) =

P ( B { X = x} )
P ({ X = x} )

However, we can define { X = x} = lim { x < X x + x} so that

x 0

P ( B { x < X x + x} )

P ( B / { X = x} ) = lim

P ({ x < X x + x} )

x 0

= lim

P ( B ) P ({ x < X x + x} / B )
P ({ x < X x + x} )

x 0

P ( B ) f X / B ( x ) x
x 0
f X ( x ) x

= lim
=

P ( B / { X = x} ) =

f X / B ( x) P( B)
f X ( x)
f X / B ( x) P( B)
f X ( x)

Multiplying both sides by f X ( x) and integrating with respect to x, we get

P ( B / { X = x}) f

( x)dx

f X / B ( x) P( B)dx

= P( B) f X / B ( x)dx

Q f X ( x / B )dx = 1

= P( B)

P( B ) =

P ( B / { X = x}) f

( x )dx

which is the Total Probability Theorem for a continuous random variable.

We also get
f X ( x ) P ( B / { X = x} )
f X / B ( x) =
P( B)
=

f X ( x) P ( B / { X = x} )

P ( B / { X = x}) f

( x ) dx

The above result is the continuous version of the Bayes rule.

Example 13
A random variable X has the CDF
x<0
0
FX ( x) =
2 x
x0
1 e
Suppose A = {0 X 2} and B = {2 < X < } . Find
(a) FX / A ( x) and FX / B ( x)
(b) P ( A / { X 5} ) and P ( B / { X 5} )
Solution:
(a) Here P ( A) = 1 e4 and
P ( B ) = 1 (1 e 4 ) = e4 .

FX / A ( x) =

P ({ X x} A )
P( A)
FX ( x)

= P( A)
1

1 e2 x

FX / A ( x) = 1 e 4
1

0 x2
x>2
0 x2
x>2

Similarly
x2
0
4 2 x
FX / B ( x) = e e
x>2

e 4

(b) We have
P ( A / { X 5} ) =

P ( A) FX / A (5)
P ( A) FX / A (5) + P ( B ) FX / B (5)

(1 e 4 ) 1
e 4 e 10
4
4
(1 e ) 1 + e
e 4
(1 e 4 )
=
1 e 10
e 4 e 10
and P ( B / { X 5} ) =
1 e10
=

Probability Density function of a Mixed Type Random variable

Definition: A random variable X is said to be of mixed type if its distribution function FX ( x ) is

discontinuous at finite number of points and increases strictly with respect to x over at least one
interval.
Thus for a mixed- type random variable X, the CDF FX ( x ) is discontinuous, but not of staircase type as the in the case of discrete random variable. See the illustration in Figure 4(c).

Suppose RD = {x1 , x2 ,..., xn } denotes the countable subset of points on

such that the random

variable X is characterized by the probability mass function p X ( xi ) at each xi RD . Similarly let

RC be a continuous subset of points on

such that RV is characterized by the probability

density function f X ( x ) at each point x RC .

Clearly the subsets RD and RC partition

so that

{ X x} = ( RD RC ) { X x} = { X x}
Suppose 0 < p < 1 such that
p = P ( RD )
=

pX ( xi ) p

xi RD

Then
P ( RC ) = 1 p .
Using the result in (25), FX ( x) can now be expressed as
FX ( x ) = P ( RD ) FX / RD ( x ) + P ( RC ) FX / RC ( x )
= pFD ( x ) + (1 p ) FC ( x )

where FD ( x ) = FX / RD ( x ) and FC ( x ) = FX / RC ( x ) .
The corresponding PDF is given by
f X ( x) = pf D ( x) + (1 p) fC ( x)
where
n

f D ( x) = p X ( xi ) ( x xi )
i =1

and fC ( x ) = f X / RC ( xC ) .

Example 14
Consider the random variable X with the distribution function
0
0.1

FX ( x ) =
0.1 + 0.8 x
1

x<0
x=0

FX ( x )

0 < x <1

x >1

0.9

0.1
1
x
0
Figure 10 The CDF of of the RV in Example 14
The plot of FX ( x ) is shown in Figure 10.
Here RD = {0,1} and
p = p X (0) + p X (1)

= 0.1 + 0.1
= 0.2
Therefore, FX ( x )

can be expressed as

FX ( x) = 0.2 FD ( x) + 0.8FC ( x)
where
FD ( x) = FX / RD ( x )
=

P ({ X x} RD )

= 0.5
1

P ( RD )
x<0
0 x 1
x >1

FC ( x) = FX / RC ( x )
=

P ({ X x} RC )
P ( RC )

= x
1

x<0
0 x 1
x >1

The PDF is given by

f X ( x) = 0.2 f D ( x) + 0.8 f C ( x)
where
f D ( x) = 0.5 ( x) + 0.5 ( x 1) and
0 x 1
1
fC ( x) =
elsewhere
0
Figure 11 gives the plot of f X ( x) .
f X ( x)

Figure 11 The PDF of the RV in Example 14

Example 15
X is the RV representing the life time of a device with the CDF FX ( x ) for x 0 . Define the
following random variable
if 0 X a
X
Y =
if X > a
a
Find FY ( y )
Solution: We have
RD = {a}
RC = [0, a)

p = P { y RD }
= P { X > a}
= 1 FX ( a )
FY ( y ) = pFD ( y ) + (1 p ) FC ( y )
= (1 FX ( a )) FD ( y ) + FX ( a ) FC ( y )

where FD ( y ) = {0 =