Random Variable
Define random variable: A random variable denoted by X(.) or X for a
given probability space ( ,A,, P[.]) is a function with domain and counter
domain the real line.
Example: Let us consider a coin tossing experiment and a coin is tossed two
times. Then the sample space is S = {HH, HT, TH, TT}. Let us define a
random variable X which denotes at least one head will occur. Then X takes
the following values with their corresponding probabilities
X: 1 2
P(X=x): ½ ¼
Type of random variable: There are two types of random variable. They
are:
a) Discrete random variable
b) Continuous random variable
Discrete random variable: A random variable on is defined to be a
discrete random variable if it takes at most a countable number of values. In
other words, real valued function defined on a discrete sample space is
called a discrete random variable.
Example: Let us consider that a fair coin is tossed two times the sample
space is = {HH, HT, TH, TT}={w1, w2, w3, w4}. Let X denotes the
discrete random variable which shows the number of heads. Then the
discrete random variable X takes the following values with their
corresponding probabilities.
Values of X= x: 0 1 2
P(X=x): ¼ ½ ¼
Random Variable
Probability function, Probability mass function or Probability
distribution: The probability function of a discrete random variable is a
formula or a function by which the different values of a random variable
with their associated probabilities are shown.
Let X be a random variable which can be take values x1,x2,...,xn with their
corresponding probability P x1 ,P x 2 ,...,P xn , then the probability
function of X can be defined by the following table:
Discrete probability distribution
Variable X: x x1 x2 … xn
P(X=x) P x1 P x2 P xn
Definition: The set of ordered pairs [x, P(x)] is called probability function,
probability mass function or probability distribution of the discrete random
variable x, if for each value of x
i) P x 0 (ii) P x 1 (iii) P X x P x
Example: Suppose that three items are selected at random from a
manufacturing process. Each item is inspected and classified as defective D,
or non-defective N. Let X denotes the number of defective items. Suppose
that the probability of a defective item is 0.02.
Find the probability function of X. Also compute (i) P(X>2) (ii) P X 2
(iii) P X 2
Solution: The sample space of the experiment is
={NNN, NND, NDN, DNN, NDD, DND, DDN, DDD}
2 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
Here P(D) = 0.02 and P(N) = 0.98
It is seen that the possible values of X are 0, 1, 2, 3
Now P(NNN) = P [x=0] = P(0) = P(N) P(N) P(N) =
0.98x0.98x0.98=0.941192
P(NND) = P(NDN) = P (DNN) = P[x =1] =P(1) = P(N) P(N) P(D) =
0.98x0.98x0.02 = 0.019208
P(NDD)=P (N)P(D)P(D) = P(X=2)=0.98x0.02x0.02=0.000392
P(DDD) = P(D) P(D) P(D) = P[X=3] = P(3) = 0.02x0.02x0.02 = 0.000008
The probability function of X is
Values of X : x 0 1 2 3
P(x) 0.941192 0.057624 0.001176 0.000008
The probability of X success is given by:
[ = ]= [ ]= , x=0,1, 2, 3, ……..n.
Here the probability function of X can be defined as:
3
[ = ]= [ , , ]= (0.02) (0.98) , x=0,1, 2, 3.
Now (i) P[X>2] = P[3] = 0.000008
(ii) P X 2 P X 2 P X 3 P(2) P(3)
= 0.001176+0.000008=0.001184
(iii) P[X=2] =P(2) =0.001176
Continuous Random Variable: A random variable X is said to be
continuous if it can take all possible values between certain limits. In other
words, a random variable X is called a continuous random variable if it is
3 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
defined on a continuous sample space. So, random variables don’t take any
integer or isolated values. It will take any value in a certain range. As for
example: age of a person, length of life of a bulb, height of a student, arrival
time of student to attend the first lecture, arrival time of an airplane from
Dhaka to Tokyo etc.
Probability Density function: If X is a continuous random variable, then
the function f(x), defined on the continuous sample space with the domain
the real line and the counter domain [0, 1], is called the probability density
function. The probability density function f(x) satisfies the following
conditions
(i) ( ) ≥ 0, ∀ ∈ where R is the collection of all points in the
entire range of the variable X.
∝
(ii) ∫ ( ) =∫∝ ( ) =1
(iii) The probability of any event A defined by < is
[ ]= [ < ]= ( )
∝
Moreover, if B is an event defined by ≤ ≤ , then
[ ]= [ ≤ ≤ ]= ( )
The probability that a continuous random variable X takes any particular
value x is always zero. That is [ = ] = ∫ ( ) = 0.
Example: A continuous random variable X has the following probability
density function:
( )= , 0 ≤ ≤ 1.
Find value of k. And hence find the probability of (i) [0.2 ≤ ≤ 0.5]
(ii) [ ≤ 0.3 (iii) [0.25 ≤ ≤ 0.5] (iv) [ > 0.75]
4 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
Solution: Since the total probability is one, so
∝
( ) ( ) 1
=1 , =1 , =1 , =1
∝ 3 0
1
−0 =1 , =1 , =3
3 3
( ) = 3 , 0 ≤ ≤ 1.
0.5 0.5
x3 2 3 3
(i) P 0.2 x 0.5 3x dx 3. 0.5 0.2
0.2 3 0.2
= 0.125 – 0.008 = 0.117
0.3 0.3
2 x3 3
(ii) P X 0.3 3x dx 3. 0.3 0.027
0 3 0
0.5 0.5
x3 2 3 3
(iii) P 0.25 X 0.5 3x dx 3. 0.5 0.25
0.25 3 0.25
= 0.125 – 0.516 = 0.109
1 1
x3
2 3
(iv) P X 0.75 3x dx 3. 13 0.75 1 0.423
0.75 3 0.75
=0.578
Mean and Variance of a Random variable: The probability distribution
provides a model for the theoretical frequency distribution of a random
variable and hence must possess a mean, median, mode, variance, standard
deviation and other descriptive measures associated with the theoretical
population which it represents.
Mean of a random variable: Let us suppose that X is a discrete random
variable which can take finite or infinite sequence of different possible
values x1, x2,……, xn ….. with their corresponding probabilities p(x1), p(x2),
…..P(xn)……then mean of X is given by:
= [ ]=∑ ( ) and
5 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
Variance of the random variable X is given by:
= [ ]= [ − ] = [ ] − [ ( )]
= ( )− ( )
Example: A fair coin is tossed twice. Then the number of heads is a random
variable that takes values 0, 1, and 2 with the following probability function:
Values of X: x 0 1 2 Total
P(x) ¼ ½ ¼ 1
Find the expected number of heads and also find its variance.
Solution: The expected number of heads is
E X x1P x1 x 2P x 2 x 3P x 3
0x.25 1x0.5 2x0.25
0.5 0.5 1
This means on an average, we can expect one head if we toss a fair coin two
times.
Now, [ ]=∑ ( ) = 0 × 0.25 + 1 × 0.50 + 4 × 0.25 = 1.50
∴ ( )= [ ] − [ ( )] = 1.50 − 1 = 0.50
Standard deviation: The positive square root of variance is called standard
deviation and it denoted by .
Example: A company introduces a new product in the market and expect to
make a profit of taka 2.5 lacs during first year if the demand is good; taka
1.5 lacs if the demand is moderate, and a loss of taka 1 lac if the demand is
the poor. Market research studies indicate that the probabilities for the
demand to be good, moderate, and poor are 0.2, 0.5 and 0.3 respectively.
Find the company expected profit and the standard deviation.
Solution: let X be a random variable representing the profit in three types of
demand. Thus x may assume the values:
6 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
x1= Tk. 2.5 lakh when demand is good
x 2 = Tk. 1.5 lakh when demand is moderate
x3 = Tk 1 lakh when demand is poor
The probability distribution of x is given by
Values of X: x -1 1.5 2.5
P(x) 0.3 0.5 0.2
Here, the expected profit is given by
E x 1 x0.3 1.5x0.5 2.5x0.2 = Tk 0.95 lac
On an average, the company can expect a profit of Tk. 0.95 lac.
2 2 2
E x 2 x 2P x 1 x0.3 1.5 x0.5 2.5 x0.2 2.675
( )= [ ] − [ ( )] = 2.675 − (0.95) = 1.7725 lacs
S.D(X) 1.7725 = Tk. 1.331 lacs
Example: A bakery has the following probability function of daily demand
for marriage day cake.
No. of cake
1 2 3 4 5 6 7 8
demanded X: x
Probability P(x) .02 .07 .09 .12 K .0 .18 .02
i) Find the value of K
ii) Find the expected number of marriage day cakes demanded per
day.
Solution: Since the total probability is 1 that is ∑ ( ) = 1
So, we can write, 0.02+0.07+0.09+0.12+K+0.2+0.18+0.02=1
or 0.70+K = 1 K = 0.30
Now the expected under of marriage day cakes is:
7 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
E(X) XP(x)
1x0.02 2x0.07 3x0.09 4x0.12 5x0.3 6x0.2 7x0.18 8x0.02
5.03 5
That is on an average, the expected number of cakes demanded per day is 5.
Definition of Function: A function f from set A to set B is a rule of
correspondence that assigns to each element x in set A exactly one element y
in set B. Set A is the domain (or set of inputs) of the function f, and set B
contains range (or set of outputs).
Definition of Probability Function: A probability function P is a function
that is used to compute the probability of a random variable X that takes
particular value x, we need to identify the event (the set of possible
outcomes) that corresponds to “X=x” that is P(X=x)=p(x).
Definition of Cumulative Distribution Function or Distribution
Function: Distribution function of a random variable X, denoted by F(x), is
defined to be that function with domain the real line and counter domain the
interval [0, 1] which satisfies:
( )= ( ≤ )
Properties of Distribution Function: Following are the properties of F(x).
a) F(x) is monotonic increasing function; that is, ( ) ≤ ( ) when
≤
b) Limits of F(x) is 0 to 1 that is lim → ( ) = (−∞) = 0 and
lim → ( ) = (∞) = 1
c) F(x) is continuous from the right, that is, lim → ( + ℎ) = ( )
8 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
Distribution Function of Discrete Random Variable: If X is a discrete
random variable with probability function p(x), then F(x) is step function
defined by ∑ ( ).
Example: Suppose X is a discrete random variable with distribution function
0 <1
⎧
⎪.1 1 ≤ < 3
( ) = .4 3 ≤ < 5
⎨ . 9 5 ≤ < 5.5
⎪
⎩1.0 5.5 ≤
a) Find the probability function of X
b) Find [ ≤ 3], [ ≤ 4], [1.5 ≤ ≤ 5.5] [ = 3.5].
Solution (a): It is evident from the distribution function that there are jump
or step for the values of F(x) at x=1, 3, 5 and 5.5 and the magnitude of the
steps are 0.1, 0.3, 0.5 and 0.1 respectively. Therefore the probability
function of X is:
0.1 =1
0.3 =3
( )=
0.5 =5
0.1 = 5.5
(b) ( ≤ )= ( = )+ ( = )= . + . = .
( ≤ )= ( = )+ ( = )+ ( = )= . + . = .
( . ≤ ≤ )= ( = )+ ( = )+ ( = . )= . +
. + . = .
Joint Probability Distribution
So far we have discussed a single random variable in the sample space. But
it is possible to construct more than one random variable from the sample
space. As for example, one may be interested to find the relationship among
height, weight and ages of the people of a community. In that case we have
two variables for each individuals and the arrangement of two variables in
the two way table is known as joint distribution. Here each sample points
will consists two values of the random variables (height and weight or height
9 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
and age or weight and age etc.). Let us consider the following example of
throwing two balanced dice simultaneously. Let X be the maximum of two
numbers and Y be the sum of two numbers appearing on the two dice. The
sample space of the experiment is represented in the following table:
1st die 2nd die
1 2 3 4 5 6
1 (1, 1) (1, 2) (1, 3) (1, 4) (1, 5) (1, 6)
2 (2, 1) (2, 2) (2, 3) (2, 4) (2, 5) (2, 6)
3 (3, 1) (3, 2) (3, 3) (3, 4) (3, 5) (3, 6)
4 (4, 1) (4, 2) (4, 3) (4, 4) (4 5) (4, 6)
5 (5, 1) (5, 2) (5, 3) (5, 4) (5, 5) (5, 6)
6 (6, 1) (6, 2) (6, 3) (6, 4) (6, 5) (6, 6)
The probability of each of the sample point is 1/36. In this example the
possible values of X are the integers 1, 2, 3, 4, 5, and 6 and the possible
value of Y are the integers 2, 3, 4, 5, 6, 7, 8, 9, 10, 11 and 12. The values of
X and Y with their associated probabilities are presented in the following
table:
Values Values of Y:y g(x)
of X:x 2 3 4 5 6 7 8 9 10 11 12
1 1/36 1/36
2 2/36 1/36 3/36
3 2/36 2/36 1/36 5/36
4 2/36 2/36 2/36 1/36 7/36
5 2/36 2/36 2/36 2/36 1/36 9/36
6 2/36 2/36 2/36 2/36 2/36 1/36 11/36
h(y) 1/36 2/36 3/36 4/36 5/36 6/36 5/36 4/36 3/36 2/36 1/36 1
The entries of the above table give the values of the joint probability
function of X and Y. The joint probability of X takes value 1 and Y takes
value 2 is:
P(X=1, Y=2)=p(1, 2)=1/36. And p(1, 2) correspond the probability of the
sample point (1, 1). Similarly we can compute the other joint probabilities.
Thus if (X, Y) are random variables defined on the same probability space,
then (X, Y) is called a two-dimensional variable. And two random variables
X and Y are defined to be a joint or two-dimensional discrete random
variable if it can assume values only at a countable number of points (x, y) in
two-dimensional real space.
10 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
Joint Discrete Probability Function:
Let X and Y be two discrete random variables. Suppose the possible values of X are x1, x2,
…., xm and the possible values Y are y1, y2, …., yn. For each ordered pair (xi, yj), let p(xi,
yj), be the probability that X takes the value xi and Y takes the value yj where i=1, 2, 3,
…m and j=1, 2, 3, ….n. Then p(xi, yj) is the value of the joint probability function of X
and Y at (xi, yj).
Thus assume X and Y be two discrete random variable of a given probability space a
given probability space ( ,A,, P[.]), then the joint probability function of (x, y) denoted
by p(x, y) is defined by,
p(x, y)= (X=x, Y=y), where (x, y) is a value of (X, Y).
Here it is to be noted that like probability function of a single variable the joint
probability function of (x, y) satisfies the following properties:
i) p( xi , y j ) 0 (ii) p ( xi , y j ) 1 .
i j
Marginal Probability Function:
Let X and Y be two discrete random variables with joint probability function p(x, y), then
the marginal probability function of X, denoted by g(x) is defined by
n
g ( x) P( X x) p( x, y j ) for all x.
j 1
Similarly, the marginal probability function of Y, denoted by h(y) is defined by
m
h( y ) P(Y y ) p( xi , y ) , for all y. Marginal probability functions of X and Y are
i 1
identical to the probability function of X and Y.
Example: Suppose two discrete random variables X and Y have the following joint
probability function:
Values Y: y Values X: x
0 1 2 3 4
0 0.23 0.23 0.11 0.04 0.01
1 0.11 0.11 0.05 0.02 0.01
2 0.03 0.03 0.01 0.01 0.00
i) Find the marginal probability function of X and Y (ii) Find the probability that X=4
and Y=2 (iii) Find P(X=3), P(Y=1) (iv) Find P( X 2, Y 2) , P( X 2, Y 2) ,
P( X 2, Y 1) .
11 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
Solution: Here X takes the values 0, 1, 2, 3 and 4 and Y takes the values 0, 1, and 2.
The marginal probability function of X is given by:
g ( x) p( x, y j ) , for all x=0, 1, 2, 3 and 4.
j
ℎ ( = 0) = (0) = (0, ) = (0, 0) + (0, 1) + (0, 2)
= 0.23 + 0.11 + 0.03 = 0.37
( = 1) = (1) = (1, ) = (1, 0) + (1, 1) + (1, 2)
= 0.23 + 0.11 + 0.03 = 0.37
( = 2) = (2) = (2, ) = (2, 0) + (2, 1) + (2, 2)
= 0.11 + 0.05 + 0.01 = 0.17
( = 3) = (3) = (3, ) = (3, 0) + (3, 1) + (3, 2)
= 0.04 + 0.02 + 0.01 = 0.07
( = 4) = (4) = (4, ) = (4, 0) + (4, 1) + (4, 2)
= 0.01 + 0.01 + 0.00 = 0.02
Therefore the marginal probability function of X is:
Values of X: x 0 1 2 3 4
Probability: g(x) 0.37 0.37 0.17 0.07 0.02
4
The marginal probability function of Y is h( y ) p( xi , y ) , for all y=0, 1, 2.
i 0
Thus
ℎ( = 0) = ℎ(0) = ( , 0) = (0, 0) + (1, 0) + (2, 0) + (3, 0) + (4, 0)
=0.23+0.23+0.11+0.04+0.01=0.62
ℎ( = 1) = ℎ(1) = ( , 1) = (0, 1) + (1, 1) + (2, 1) + (3, 1) + (4, 1)
=0.11+0.11+0.05+0.02+0.01=0.30
ℎ( = 2) = ℎ(2) = ( , 2) = (0, 2) + (1, 2) + (2, 2) + (3, 2) + (4, 2)
=0.03+0.03+0.01+0.01+0.00=0.08
12 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
Therefore the marginal probability function of Y is:
Values of Y: y 0 1 2
Probability: h(y) 0.62 0.30 0.08
, ( ) ( = 4, = 2) = (4, 2) = 0.00
( ) ( = 3) = ( = 3) = (3) = (3, ) = (3, 0) + (3, 1) + (3, 2)
= 0.04 + 0.02 + 0.01 = 0.07
( = 1) = ℎ( = 1) = ℎ(1) = ( , 1)
= (0, 1) + (1, 1) + (2, 1) + (3, 1) + (4, 1)
=0.11+0.11+0.05+0.02+0.01=0.30
( ) ( ≥ 2, = 2) = ( = 2, = 2) + ( = 3, = 2) + ( = 4, = 2)
= (2, 2) + (3, 2) + (4, 2) = 0.01 + 0.01 + 0.00 = 0.02
( = 2, = 2) = (2, 2) = 0.01
( > 2, < 1) = ( = 3, = 0) + ( = 4, = 0) = (3, 0) + (4, 0)
= 0.04 + 0.01 = 0.05
Example: Suppose that 15 percents of the families in a certain community have no
children, 20 percents have 1 child, 35 percents have 2 children, 30 percents have 3
children; and further suppose that in each family children are equally likely
(independently) to be boy or girl. If a family is chosen at random from the community,
then B the number of boys and G number of girls in this family. Find the joint probability
mass function and hence compute marginal probability function.
Solution: The probability mass function is given by the following Table:
Number of Number of Girls, G=j P(B=i)
Boys, B=i 0 1 2 3
0 0.15 0.10 0.0875 0.0375 0.3750
1 0.10 0.175 0.1125 0 0.3875
2 0.0875 0.1125 0 0 0.2000
3 0.0375 0 0 0 0.0375
P(G=j) 0.3750 0.3875 0.2000 0.0375 1.00
13 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
The above probabilities can be computed as:
( = 0, = 0) = { ℎ } = 0.15
( = 0, = 1) = {1 1 ℎ }
1
= {1 ℎ } ∗ {1 |1 ℎ } = 0.20 ∗ = 0.10
2
( = 0, = 2) = {2 2 ℎ }
1
= {2 ℎ } ∗ {2 |2 ℎ } = 0.35 ∗ = 0.0875
2
( = 0, = 3) = {3 3 ℎ }
1
= {3 ℎ } ∗ {3 |3 ℎ } = 0.30 ∗ = 0.0375
2
( = 1, = 0) = {0 1 ℎ } = 0.15
= {1 ℎ } ∗ {0 |1 ℎ } = 0.20 ∗ = 0.10
( = 1, = 1) = {1 2 ℎ }
1
= {2 ℎ } ∗ {1 |2 ℎ } = 0.35 ∗ = 0.175
2
Similarly we can compute the other probabilities. The marginal probability distribution
for girl X is given by:
( )= ( , ); = 0, 1, 2, 3
Thus ( = 0) = (0) = ∑ 0, = (0, 0) + (0, 1) + (0, 2) + (0, 3)
= 0.15 + 0.10 + 0.0875 + 0.0375 = 0.3750
( = 1) = (1) = 1, = (1, 0) + (1, 1) + (1, 2) + (1, 3)
= 0.10 + 0.175 + 0.1125 + 0.00 = 0.3875
( = 2) = (2) = 2, = (2, 0) + (2, 1) + (2, 2) + (2, 3)
= 0.0875 + 0.1125 + 0.00 + 0.00 = 0.2000
( = 3) = (3) = 3, = (3, 0) + (3, 1) + (3, 2) + (3, 3)
= 0.0375 + 0.00 + 0.00 + 0.00 = 0.0375
Again, the marginal probability distribution for boy Y is given by:
14 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
ℎ( ) = ( , ); = 0, 1, 2, 3
Thus ℎ( = 0) = ℎ(0) = ∑ ( , 0) = (0, 0) + (1, 0) + (2, 0) + (3, 0)
= 0.15 + 0.10 + 0.0875 + 0.0375 = 0.3750
ℎ( = 1) = ℎ(1) = ( , 1) = (0, 1) + (1,1 ) + (2, 1) + (3, 1)
= 0.10 + 0.175 + 0.1125 + 0.00 = 0.3875
ℎ( = 2) = ℎ(2) = ( , 2) = (0, 2) + (1, 2) + (2, 2) + (3, 2)
= 0.0875 + 0.1125 + 0.00 + 0.00 = 0.2000
ℎ( = 3) = ℎ(3) = ( , 3) = (0, 3) + (1, 3) + (2, 3) + (3, 3)
= 0.0375 + 0.00 + 0.00 + 0.00 = 0.0375
Values of X: x 0 1 2 3
Marginal Prob. g(x) 0.3750 0.3875 0.2000 0.0375
Values of Y: y 0 1 2 3
Marginal Prob. h(y) 0.3750 0.3875 0.2000 0.0375
Conditional probability
Let A and B be two events. The conditional probability of event A given that B has
occurred, is defined by the symbol P A B and is found to be:
P A B
P A B ; provided P B 0 .
P B
P A B
Similarly, P B A ; provided P A 0 .
P A
Example: A hamburger chain found that 75% of all customers use mustard, 80% use
ketchup and 65% use both. What are the probabilities that a ketchup user uses mustard
and that a mustard user uses ketchup?
Solution: Let A be the event “customer uses mustard” and B be the event “customer
uses ketchup”. Thus, we have, P A 0.75 , P B 0.80 and P A B 0.65 .
15 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU
Random Variable
The probability that a ketchup user uses mustard is the conditional probability of event A
, given event B is
P A B 0.65
P A B 0.8125 .
P B 0.80
Similarly, the probability that a mustard user use ketchup is
P A B 0.65
P B A 0.8667
P A 0.75
16 Dr. Mohd. Muzibur Rahmann
Professor, Department of Statistics, JU