Probability Random Variables Results PV

RANDOM VARIABLES AND PROBABILITY
DISTRIBUTIONS
September 27, 2018
RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

September 27, 2018 1 / 49
Outline
1 Random experiments and random variables: basic definitions
Random experiment
Random variables
2 Discrete Random Variables

Probability distribution of a discrete r.v.
The Binomial Distribution
3 Continuous Random Variables

Probability distribution of a continuous r.v.
The Gaussian or Normal Distribution
4 Function of a random variable

Relevant transformations of a normally distributed r.v.
5 Sets of random variables

September 27, 2018 2 / 49
Random experiment and sample space
Definition
RANDOM EXPERIMENT (E):
a phenomenon whose outcome cannot be predicted with
certainty.
SAMPLE SPACE of E ( ) :
the set of all possible outcomes (Ê) of the random experiment.

September 27, 2018 3 / 49
Random variables
Definition
A RANDOM VARIABLE (r.v.) X is a quantity measured on the
outcome of a random experiment.
More formally, a r.v. is a function from the sample space to the real
numbers: X: æ Ÿ.
x denotes a REALIZATION of X, that is, the observed value of X
corresponding to a specific outcome Ê of the experiment.
Formally, x = X(Ê).
Definition
A RANDOM VARIABLE (r.v.) X is said to be
DISCRETE if it has (at most) a countable number of possible values.
CONTINUOUS if it can take any real value in a (set of) possibly
infinite interval(s).

September 27, 2018 4 / 49
DISCRETE RANDOM VARIABLES
Example (Example)
E: flip a coin until you observe HEAD (H) for the first time
= {H, TH, TTH, TTTH, . . .}
r.v.: X = # of TAILs before the first HEAD
realizations of X: 0,1,2,3,. . . . more specifically
0= X(H) (HEAD on the first flip, no TAIL before it!)

1= X(TH)
2= X(TTH)
3= X(TTTH)
...

September 27, 2018 5 / 49
The probability mass function
Definition
The probability distribution of a discrete random variable X is described by
its probability (mass) function (pmf), p(x ), defined as
p(x ) := P(X = x ) for every real x
with the following properties1 :

p(x ) Ø 0
q
x p(x ) = 1
N.B. if p(x ) = 0, then x is a value that cannot be observed.
1
When dealing with two or more r.v.’s at the same time, it might be useful to include
a subscript referring to the specific random variable: e.g. pX (x ) and pY (x ) because
P(X = 2) = pX (2) is different from P(Y = 2) = pY (2).
September 27, 2018 6 / 49
The cumulative distribution function
Alternatively but equivalently:

Definition
The probability distribution of X can be described by its cumulative
distribution function (cdf), F (x ), defined as
ÿ
F (x ) := P(X Æ x ) = p(u)
uÆx
with the following properties:

0 Æ F (x ) Æ 1 for every x
F (x ) is non-decreasing
F (x ) is a step function

September 27, 2018 7 / 49
Example (continued)
Suppose that the coin has probability of HEAD = p (then the probability of TAIL is
1-p), then the probability mass function is
p(x ) = P(X = x ) = p (1 ≠ p)x x = 0, 1, 2, 3, . . .
Specifically
p(0) = p p(1) = p(1 ≠ p) p(2) = p(1 ≠ p)2 , ...
Graphically represented in the following plot (for p = 0.4):

0.4
0.3
P(x)
0.2
0.1
0.0
0 5 10 15
x (#trials)

September 27, 2018 8 / 49
Example (Uniform discrete distribution)
If X has the following pmf:
I
1
n if x = 1, 2, . . . , n
p(x ) =
0 otherwise
then X has a discrete uniform distribution.
With n = 10, graphically we have
0.14
0.12
0.10
p(x)
0.08
0.06
0 2 4 6 8 10 12 14

September 27, 2018 9 / 49
Example (Uniform discrete distribution: continued)
The cdf of the uniform discrete distribution (n = 10) is:
Y
]0 if x < 1
_
_
F (x ) = i
if i Æ x < i + 1 for i = 1, 2, . . . , 10
_ 10
_
[1 if x > 10
Graphically we have
1.0
0.8
0.6
F(x)
0.4
0.2
0.0
0 2 4 6 8 10

September 27, 2018 10 / 49
Expectation and variance
Two crucial summary measures of a random variable X are
the EXPECTATION:
ÿ
E [X ] = µ = x · p(x )
x
the VARIANCE:
Var [X ] = ‡ 2 = E [(X ≠ µ)2 ] = E [X 2 ] ≠ E [X ]2
ÿ ÿ
= (x ≠ µ)2 · p(x ) = x 2 · p(x ) ≠ µ2
x x
Example
Assume that X has a discrete uniform distribution on {1, 2, . . . , n}, then
n n
ÿ 1 1ÿ 1 n(n + 1) n+1
E [X ] = x· = x= =
x =1
n n x =1 n 2 2

September 27, 2018 11 / 49
The Binomial Distribution
We now present a very important discrete distribution frequently used in
applications:
Definition
A r.v. X has a Binomial distribution with parameters n and p (denoted
as X ≥ Binomial(n, p)), if its probability function is provided by
I!n"
x n≠x
pX (x ) = P(X = x ) = x p (1 ≠ p) when x = 0, 1, 2, . . . , n
0 otherwise
where n is a positive integer (n = 1, 2, . . .) and 0 Æ p Æ 1, and

A B
n n!
=
x x !(n ≠ x )!
is the binomial coefficient, and x ! = x (x ≠ 1)(x ≠ 2) · · · 2 · 1 is the

factorial of x .
September 27, 2018 12 / 49
Properties of the Binomial distribution
Result
If X ≥ Binomial(n, p), then
Expectation (Mean):
µ = E [X ] = np
Variance:
‡ 2 = Var [X ] = np(1 ≠ p)
Cumulative distribution function:
x
ÿ
FX (x ) = P(X Æ x ) = pX (u)
u=0
x
ÿ
= pX (0) + pX (1) + . . . + pX (x ) = P(X = u)
u=0

September 27, 2018 13 / 49
Binomial plots
Here below we exhibit the plots of binomial distributions with different
parameters:
Binomial Distribution: n = 7, p=0.15 Binomial Distribution: n = 7, p=0.50
0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7
0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7

p(x)
p(x)
0 2 4 6 8 0 2 4 6 8
x x

0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7
0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7

p(x)
p(x)
0 2 4 6 8 0 2 4 6 8
x x

September 27, 2018 14 / 49
Binomial plots: continued
0.25
0.25
0.20
0.20
0.15
0.15
p(x)
p(x)
0.10
0.10
0.05
0.05
0.00
0.00
0 5 10 15 20 0 5 10 15 20
x x

0.25
0.25
0.20
0.20
0.15
0.15
p(x)
p(x)
0.10
0.10
0.05
0.05
0.00
0.00
0 5 10 15 20 0 5 10 15 20
x x

September 27, 2018 15 / 49
Binomial plots: continued
0.15
0.15
0.10
0.10
p(x)
p(x)
0.05
0.05
0.00
0.00
0 10 20 30 40 50 60 0 10 20 30 40 50 60
x x

0.15
0.15
0.10
0.10
p(x)
p(x)
0.05
0.05
0.00
0.00
0 10 20 30 40 50 60 0 10 20 30 40 50 60
x x

September 27, 2018 16 / 49
The Bernoulli distribution
Definition
A r.v X such that X ≥ Binomial(1, p) (i.e. with n = 1) is said to have a
Bernoulli distribution with parameter p, (denoted as X ≥ Bernoulli(p)),
that is
pX (x ) = P(X = x )
I
p x (1 ≠ p)1≠x if x = 0, 1
=
0 otherwise
Y
]1 ≠ p when x =0
_
_
= p when x =1
_
_
[0 otherwise
For a Bernoulli r.v. X , we have
E [X ] = p Var [X ] = p(1 ≠ p)

September 27, 2018 17 / 49
Random experiment behind the Binomial distribution
The Binomial distribution arises from the following situation:

consider a random trial with only two outcomes (usually called Bernoulli
trial), labelled as
success = 1 and failure = 0
such that
p = probability of success
Assume that
1 we repeat n times the aforementioned trial
2 p is constant across repetitions
3 trials are indipendent from one another
then the r.v. X = #of successes out of n trials has a Binomial(n, p)
distribution.

September 27, 2018 18 / 49
Example
Assume that we run n = 3 Bernoulli trials with p œ (0, 1).
Trial prob. # succ # outcomes

!3"
1 2 3 x for a given x x
0 0 0 (1 ≠ p)3 0 1 1
1 0 0 p(1 ≠ p)2 1
0 1 0 p(1 ≠ p)2 1 3 3
0 0 1 p(1 ≠ p)2 1
1 1 0 p 2 (1 ≠ p) 2
1 0 1 p 2 (1 ≠ p) 2 3 3
0 1 1 p 2 (1 ≠ p) 2
1 1 1 p3 3 1 1

September 27, 2018 19 / 49
Example (continued)
So, for example,
pX (0) = P(X = 0) = P(0 successes)

= P((0, 0, 0))
= (1 ≠ p)(1 ≠ p)(1 ≠ p)(by independent trials and constant p)
A B
3 3 0
= (1 ≠ p) = p (1 ≠ p)3
0
pX (1) = P(X = 1) = P(1 success)

= P((1, 0, 0)) + P((0, 1, 0)) + P((0, 0, 1))
= p(1 ≠ p)(1 ≠ p) + (1 ≠ p)p(1 ≠ p) + (1 ≠ p)(1 ≠ p)p
A B
2 3
= 3 · p(1 ≠ p) = p(1 ≠ p)2
1
September 27, 2018 20 / 49
CONTINUOUS RANDOM VARIABLES
Example
E: randomly select a client (Ê) who has just used the front-desk
service in a bank branch
= {Ê1 , Ê2 , Ê3 , Ê4 , . . .}
(the population of all clients who have used the front-desk service in the period of
interest, for example, in the last year)
r.v.: X = waiting time of a client in the queue (minutes)
realizations of X: (0, +Œ)
X (client Êi ) = time spent in the queue by client Êi

For example, if we drew at random Ê3 , Ê3 = ”Mr. Smith” and Mr. Smith waited
15 minutes and 30 seconds in the queue, we would have
X (Mr.Smith) = 15.5

September 27, 2018 21 / 49
The probability density function
Definition
The probability distribution of a continuous random variable X is described
by its probability density function (pdf) defined as any f (x ) with the
following properties
f (x ) Ø 0 for any real value x
s +Œ
≠Œ f (x )dx = 1
Note that, for a continuous r.v. with density function f (x ),

for any pair of real values a and b (a < b)
⁄ b
P(a < X < b) = f (x )dx
a
P(X = x ) = 0 for any real value x : this implies that
P(a < X < b) = P(a Æ X < b) = P(a < X Æ b) = P(a Æ X Æ b)

September 27, 2018 22 / 49
The cumulative distribution function
Alternatively but equivalently:

Definition
The probability distribution of X can be described by its cumulative
distribution function (cdf), F (x ), defined as
⁄ x
F (x ) := P(X Æ x ) = f (t)dt
≠Œ
with the following properties:

0 Æ F (x ) Æ 1 for every x
F (x ) is non-decreasing
P(a < X Æ b) = F (b) ≠ F (a)

September 27, 2018 23 / 49
Graphical interpretation
P(a < X < b) is given by the red area
F (x0 ) = P(X < x0 ) is given by the red area

September 27, 2018 24 / 49
Example (Uniform continuous distribution)
If X has the following pdf:
I
1
b≠a if a < x < b
f (x ) =
0 otherwise
then X has a continuous uniform distribution on the interval (a, b)
(a < b). With a = 5 and b = 15, graphically we have
0.25
0.20
0.15
f(x)
0.10
0.05
0.00
0 5 10 15 20

September 27, 2018 25 / 49
Expectation and variance
Analogously as we did for discrete r.v.’s, we can define

the EXPECTATION:
⁄ +Œ
E [X ] = µ = xf (x )dx
≠Œ
the VARIANCE:
Var [X ] = ‡ 2 = E [(X ≠ µ)2 ] = E [X 2 ] ≠ E [X ]2
⁄ +Œ ⁄ +Œ
2
= (x ≠ µ) f (x )dx = x 2 f (x )dx ≠ µ2
≠Œ ≠Œ

September 27, 2018 26 / 49
Example (Continuous uniform distribution: continued)
Assume that X has a continuous uniform distribution on (a, b), then
⁄ b ⁄
1 1 b
E [X ] = x dx = xdx
a b≠a b≠a a
1 x 2 --b 1 b 2 ≠ a2 1 (b + a)(b ≠ a)
= -a = =
b≠a 2 b≠a 2 b≠a 2
a+b
=
2
⁄ b 3 42 ⁄ b
1 a+b 1 (a + b)2
Var [X ] = x2 dx ≠ = x 2 dx ≠
a b≠a 2 b≠a a 4
3
1 x -b- (a + b)2
= -a ≠
b≠a 3 4
(b ≠ a)2
= ... =
12

September 27, 2018 27 / 49
The Gaussian or Normal Distribution
Definition
A r.v. X has a Normal distribution with parameters µ and ‡ 2 (denoted
as X ≥ N (µ, ‡ 2 )), if its density function is provided by
1 1 2
f (x ) = Ô e ≠ 2‡2 (x ≠µ) for ≠ Œ < x < +Œ
2ﬁ‡ 2
where ≠Œ < µ < +Œ and ‡ 2 > 0.

If µ = 0 and ‡ 2 = 1, that is, if X ≥ N (0, 1), X is said to have a standard
normal distribution.
The cumulative distribution function of X is provided by
⁄ x
F (x ) = P(X Æ x ) = f (t)dt
≠Œ
⁄ x
1 1 2
= Ô e ≠ 2‡2 (t≠µ) dt = no explicit expression!!!
≠Œ 2ﬁ‡ 2

September 27, 2018 28 / 49
Properties of the Normal distribution
Result
Mean:
E [X ] = µ
Variancea :
V [X ] = ‡ 2
Symmetric (µ is also the median)
Bell-shaped (µ is also the mode)
Light tails (as compared to other distributions to be seen later):
large deviations from µ rarely occur.
a
This might seem a trivial remark, but it is stating that the parameters of a
normal distribution directly represent the values of two crucial summary
measures of the distribution.

September 27, 2018 29 / 49
In this slide and in the following one we exhibit some examples of Normal
distributions, with different parameter values:
Normal distribution: mu = −10, 0, 15 (sigma=3)

0.12
0.10
prob. density − f(x)
0.08
0.06
0.04
0.02
0.00
−20 −10 0 10 20

September 27, 2018 30 / 49
0.8
0.6 N(0,1) [Standard Normal] (blue), N(0,9) (black) and N(0,0.25) (red)
prob. density − f(x)
0.4
0.2
0.0
−5 0 5

September 27, 2018 31 / 49
TRANSFORMATION of a R.V.: Distribution of the function of a r.v.
Frequently we are interested in a new r.v. Y, obtained applying a

certain function g to X: Y = g(X).
What is the distribution of the new r.v. Y?
What are its characteristics?
if X is a discrete r.v., then Y = g(X ) is a discrete r.v.
if X is a continuous r.v. and g(·) is a continuous function, then Y is
a continuous r.v.

September 27, 2018 32 / 49
Transformation of a r.v.
Example
Assume that X has the following discrete distribution and consider
Y = g(X ) = X 2 .
x -1 0 1
y = x2 1 0 1
pX (x ) 1/5 2/5 2/5
Then the distribution of Y is
y 0 1
pY (y ) 2/5 3/5
More formally, Y can take on only the values 0 and 1, with probabilities
I
pY (0) = P(Y = 0) = P(X 2 = 0) = P(X = 0) = pX (0) = 2/5
pY (1) = P(Y = 1) = P(X 2 = 1) = pX (≠1) + pX (1) = 3/5
September 27, 2018 33 / 49
Mean and variance of a function of a r.v.
The main characteristics of Y can be obtained using its distribution,
according to the definitions, or sometimes directly and more simply
through the distribution of X .
Definition (EXPECTATION and VARIANCE OF A FUNCTION OF A R.V.)

If X is a r.v., then the expectation of Y = g(X ), where g is a real-valued
function, is defined as
Iq
x g(x ) · pX (x )
E [Y ] = E [g(X )] := s
g(x ) · fX (x )dx
while the variance of Y can be compute as

Iq
2 2 xg(x )2 · pX (x ) ≠ E [Y ]2
Var [Y ] = E [Y ] ≠ E [Y ] = s
g(x )2 · fX (x )dx ≠ E [Y ]2

September 27, 2018 34 / 49
Example (continued)
We might compute the summary measures using pY (y ):
1
ÿ 2 3 3
E [Y ] = y · pY (y ) = 0 · +1· =
y =0
5 5 5
1 3 42
ÿ
2 3 2 3 9 6
Var [Y ] = y · pY (y ) ≠ = 02 · + 12 · ≠ =
y =0
5 5 5 25 25
but also directly through pX (x ), without obtaining the whole distribution

of Y: indeed
1
ÿ 1 2 2 3
E [Y ] = E [X 2 ] = x 2 · pX (x ) = (≠1)2 · + 02 · + 12 · =
x =≠1
5 5 5 5

September 27, 2018 35 / 49
Example (continued)
1 3 42
ÿ 3
Var [Y ] = x 4 · pX (x ) ≠
x =≠1
5
1 2 2 9 6
= (≠1)4 · + 04 · + 14 · ≠ =
5 5 5 25 25

September 27, 2018 36 / 49
Linear transformations of a r.v.
A very important and, at same time, simple transformation of a r.v. X is

the linear transformation:
Y = g(X ) = a + b · X
where a and b are arbitrary real values.

For such a transformation, the following results hold
Result
E [Y ] = E [a + b · X ] = a + b · E [X ]
(E (·) is a linear operator.) and
Var [Y ] = Var [a + b · X ] = b 2 · Var [X ]

a is constant
var(a)=0

September 27, 2018 37 / 49
Standardization of a r.v.
Frequently we will use use the following results:
Definition
If X is a r.v. such that µ = E [X ] and ‡ 2 = Var [X ], and Z is a new r.v.
defined as
X ≠µ
Z=
‡
then
Z is said to be the standardized version of X
x ≠µ
the transformation g(x ) = ‡ is said to be the standardization.
Note that
X ≠µ 1 µ
Z= = X ≠ =a+b·X
‡ ‡ ‡
that is, the standardization of X is simply a specific linear transformation
of X with
µ 1
a=≠ b=
‡ ‡
September 27, 2018 38 / 49
Standardization of a r.v.
Exploiting the properties of expectation and variance for linear
transformations, and the last remark in the previous slide, we have
Result
If Z is a standardized version of X
E [Z ] = 0 Var [Z ] = 1
indeed
5 6
X ≠µ 1 1
E [Z ] = E = E [X ≠ µ] = {E [X ] ≠ µ} = 0
‡ ‡ ‡
1
Var [Z ] = Var [a + b · X ] = b 2 · Var [X ] = · ‡2 = 1
‡2
Thus standardizing a r.v. always leads to a new r.v. with zero mean
and unit variance.
September 27, 2018 39 / 49
Normally distributed r.v.’s and linear transformations react nicely:
Result (Linear transformation of a normally distributed r.v.)

Assume that X ≥ N (µ, ‡ 2 ) and define a new r.v.
Y =a+b·X
then Y ≥ N (a + bµ, b 2 ‡ 2 ).
Remark:
The crucial part of the previous theorem is that the distribution of the
new r.v. Y is still normal.2
We can compactly state that the linear transformation of a normally

distributed r.v. still leads to a normally distributed r.v..3
2
We already know that standardizing any X leads to a 0-mean unit-variance r.v..
3
We also say that linear transformations preserve normality.
September 27, 2018 40 / 49
A very useful application of the theorem in the previous slide is the
following
Result (Standardization of a normally distributed r.v.)

Assume that X ≥ N (µ, ‡ 2 ) and define a new r.v.
X ≠µ
Z=
‡
then Z ≥ N (0, 1), i.e. a standard normal distribution.
Remark:
The previous result states that any Normally distributed r.v. can be
turned into a r.v. with standard normal distribution.
Thus computation of probabilities for normal distributions, whatever

the values of µ and ‡ 2 , can always be performed in terms of a
standard normal distribution.
September 27, 2018 41 / 49
Computation of normal probabilities
We can use the standardization result to state that
3 4 3 4
b≠µ a≠µ
P(a < X Æ b) = FZ ≠ FZ
‡ ‡
where FZ is the cdf of the standard normal distribution4 .

Indeed,
P(a < X Æ b) = P(a ≠ µ < X ≠ µ Æ b ≠ µ)

3 4
a≠µ X ≠µ b≠µ
=P < Æ
‡ ‡ ‡
3 4
a≠µ b≠µ
=P <Z Æ
‡ ‡
3 4 3 4
b≠µ a≠µ
= FZ ≠ FZ
‡ ‡
4
FZ is frequently denoted by .
September 27, 2018 42 / 49
Example
Assume that X ≥ N (3.6, 2.25) thus µ = 3.6, ‡ 2 = 2.25 and ‡ = 1.5:
3 4
X ≠ 3.6 4.6 ≠ 3.6
P(X Æ 4.6) = P Æ = P(Z Æ 0.67) = FZ (0.67)
1.5 1.5
= 0.7486
The statistical table of the standard normal distribution (or the use of R)
provides the final value.
3 4
X ≠ 3.6 2.1 ≠ 3.6
P(X Æ 2.1) = P Æ = P(Z Æ ≠1) = P(Z > 1)
1.5 1.5
= 1 ≠ P(Z Æ 1) = 1 ≠ FZ (1) = 1 ≠ 0.8413 = 0.1577
Note that the value -1 is not shown on the table: the symmetry of the
distribution allows us to express the required probability in terms only of a
positive value (3rd equality).
September 27, 2018 43 / 49
Example (continued)
3 4
1.8 ≠ 3.6 X ≠µ 4 ≠ 3.6
P(1.8 < X Æ 4) = P < Æ
1.5 ‡ 1.5
= P (≠1.2 < Z Æ 0.27)
= FZ (0.27) ≠ FZ (≠1.2)
= 0.6064 ≠ 0.1151 = 0.4913
where, as previously shown by symmetry,
FZ (≠1.2) = 1 ≠ FZ (1.2) = 1 ≠ 0.8849 = 0.1151

September 27, 2018 44 / 49
Empirical Rule

September 27, 2018 45 / 49
SETS OF RANDOM VARIABLES
Definition (Linear combinations of random variables)

Let X1 , X2 , . . . , Xn be r.v.’s, then the random variable
n
ÿ
Y = a1 X1 + a2 X2 + . . . + an Xn = ai Xi
i=1
where a1 , a2 , . . . , an are known real constants, is called a linear

combination of the Xi ’s.

September 27, 2018 46 / 49
Sets of random variables
Result (Expectation and variance of a linear combination of r.v.’s)
Let X1 , X2 , . . . , Xn be r.v.’s such that E [Xi ] = µi and Var [Xi ] = ‡i2 ,
i = 1, . . . , n, and let Y be the linear combination (ai ’s known real
constants)
n
ÿ
Y = ai Xi
i=1
then C n D
ÿ n
ÿ n
ÿ
E [Y ] = E ai Xi = ai E [Xi ] = ai µi
i=1 i=1 i=1
C n D n
ÿ ÿ ÿ
Var [Y ] = Var ai Xi = ai2 Var [Xi ] + 2 ai aj Cov (Xi , Xj )
i=1 i=1 i<j
where ‡ij = Cov (Xi , Xj ). If the r.v.’s are uncorrelated, then

n
ÿ n
ÿ
Var [Y ] = ai2 Var [Xi ] = ai2 ‡i2
RANDOM i=1 i=1 DISTRIBUTIONS
VARIABLES AND PROBABILITY September 27, 2018 47 / 49
Result (Linear combinations of normally distributed r.v.’s)
Let X1 , X2 , . . . , Xn be independenta normally distributed r.v.’s, i.e.
Xi ≥ N (µi , ‡i2 )
qn
then Y = i=1 ai Xi is normally distributed, that is
A B
ÿ ÿ
Y ≥N ai µi , ai2 ‡i2
i i
Furthermore, if X1 , X2 , . . . , Xn are not only independent but also

identically distributed (µi = µ and ‡i2 = ‡ 2 for every i), that is
Xi ≥ N (µ, ‡ 2 ) for every i, then
A B
ÿ ÿ
2
Y ≥N µ ai , ‡ ai2
i i
a
Recall that independence implies zero covariance, that is Cov (Xi , Xj ) = 0.
September 27, 2018 48 / 49
Two important cases of linear combination of random variables are:
a1 = a2 , . . . , = an = 1
n
ÿ
Y = Xi ≥ N (nµ, n‡ 2 )
i=1
a1 = a2 , . . . , = an = 1/n
n
ÿ 1
Y = Xi ≥ N (µ, ‡ 2 /n)
i=1
n

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Probability Random Variables Results PV

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RANDOM VARIABLES AND PROBABILITY

September 27, 2018

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

2 Discrete Random Variables

3 Continuous Random Variables

4 Function of a random variable

5 Sets of random variables

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

0= X(H) (HEAD on the first flip, no TAIL before it!)

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

p(x ) := P(X = x ) for every real x

with the following properties1 :

Alternatively but equivalently:

with the following properties:

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

p(x ) = P(X = x ) = p (1 ≠ p)x x = 0, 1, 2, 3, . . .

p(0) = p p(1) = p(1 ≠ p) p(2) = p(1 ≠ p)2 , ...

Graphically represented in the following plot (for p = 0.4):

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

where n is a positive integer (n = 1, 2, . . .) and 0 Æ p Æ 1, and

is the binomial coefficient, and x ! = x (x ≠ 1)(x ≠ 2) · · · 2 · 1 is the

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7

Binomial Distribution: n = 7, p=0.75 Binomial Distribution: n = 7, p=0.95

0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Binomial Distribution: n = 20, p=0.50 Binomial Distribution: n = 20, p=0.70

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Binomial Distribution: n = 60, p=0.50 Binomial Distribution: n = 60, p=0.75

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

For a Bernoulli r.v. X , we have

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

The Binomial distribution arises from the following situation:

success = 1 and failure = 0

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Trial prob. # succ # outcomes

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

pX (0) = P(X = 0) = P(0 successes)

pX (1) = P(X = 1) = P(1 success)

X (client Êi ) = time spent in the queue by client Êi

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Note that, for a continuous r.v. with density function f (x ),

P(X = x ) = 0 for any real value x : this implies that

P(a < X < b) = P(a Æ X < b) = P(a < X Æ b) = P(a Æ X Æ b)

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Alternatively but equivalently:

with the following properties:

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

P(a < X < b) is given by the red area

F (x0 ) = P(X < x0 ) is given by the red area

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

Analogously as we did for discrete r.v.’s, we can define

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS

where ≠Œ < µ < +Œ and ‡ 2 > 0.

RANDOM VARIABLES AND PROBABILITY DISTRIBUTIONS