Probability Theory and Random

Processes (MA225)
Lecture Slides
Lecture 07 (August 08, 2019)
Properties of PDF

R∞
1 fX (x) ≥ 0 for all x ∈ R. 2 f (x)
−∞ X
= 1.

Theorem: Suppose a real valued function g : R → R satisfies the

following conditions:
1 g (x) ≥ 0 for all x ∈ R.
R∞
2
−∞
g (x)dx = 1.
Then g (·) is a probability density function of some continuous
random variable.
RV which is neither discrete nor continuous
Consider the random variable X whose distribution function is given
by

0
 if x < −1
FX (x) = x + 1 if − 1 ≤ x < −1/2

1 if x ≥ −1/2.


Observe that FX = 1/2F1 + 1/2F2 where F1 and F2 are distribution

functions given by

0
 if x < −1
F1 (x) = 2(x + 1) if − 1 ≤ x < −1/2

1 if x ≥ −1/2.


(
0 if x < −1/2
F2 (x) =
1 if x ≥ −1/2.
Expectation of DRV

Def: Let X be a discrete RV with PMF fX (·) and support SX . The

expectation or mean of X is defined by
X X
E (X ) = xfX (x) provided |x|fX (x) < ∞ .
x∈SX x∈SX

◮ E(X) is the weighted average of the values taken by X .

X
◮ If |x|fX (x) = ∞ then we say that expectation does not exist.
x∈SX
Example 1: X = outcome of a roll of a fair die. What is E (X ) ?
Example 2: X ∼ Bin(n, p). What is E (X ) ?
Example 3: X ∼ Geo(p). What is E (X ) ?
Example 4: X ∼ Poi (λ). What is E (X ) ?
Example 5:
 X∞ −1
c
 , x ∈ N, where c =
 1
2
fX (x) = n n=1
n2

0 otherwise .


Let X be a DRV having the above PMF, then E (X ) does not exist.
Expectation of CRV

Def: Let X be a CRV with PDF fX (.). The expectation of X is

defined by
Z ∞ Z ∞
E (X ) = xfX (x)dx provided |x|fX (x)dx < ∞ .
−∞ −∞

Example 1: X ∼ U(a, b), what is E (X ) ?

Example 2: X ∼ Exp(λ), what is E (X ) ?
Example 3: X ∼ N(µ, σ 2 ), what is E (X ) ?
1
Example 4: Let X be a CRV having PDF fX (x) = π(1+x 2 )
, ∀x ∈ R.
What is E (X ) ?