Probability Theory and Distribution (Math 2204) Lecture note
Chapter 1:One-dimensional Random Variables
1.1 Random variables
Definition A function whose value is a real number determined by each element in the sample
space is called a random variable (rv.).
Random variables will be denoted by upper case letters of English alphabets and their observed
numerical values by lower case letters.
Example 1.1 In random experiment of tossing a coin twice the sample space is
S= {HH, HT, TH, TT}.
Define the rv. X as follows: X is the number of heads obtained in the two tosses.
Hence X HH 2, X HT X TH 1and X TT 0
S = Sample Space RX= possible values of X
s X(s)
To every s S there corresponds exactly one value X s . In the above example the numbers 0,
1, 2 are random observations determined by the outcome of the experiment.
Remark The set of all possible distinct values that a random variable may take is called the
range space of the random variable.
For the r.v. X in the above example, the range space is RX 0,1, 2 .
There are two types of random variables, discrete and continuous.
1.2 Discrete random variables and their probability distributions
Definition (Discrete r.v) A r.v is discrete, if it can assume at most a finite or a countably infinite
number of possible values. That is, its possible values may be listed as x1, x2, x3,…,xn,…. In the
finite case the list terminates and in the countably infinite case, the list continues indefinitely.
Example 1.2
a. The number of car accidents occurring at certain time.
b. The number of children in a house-hold.
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Probability Theory and Distribution (Math 2204) Lecture note
c. The set 1, 2,3,... of possible values of Y.
Discrete Probability Distribution
Definition Let X be a discrete r.v. Hence RX , the range space of X, consists of at most a
countably infinite number of values x1, x2, x3,… .With each possible outcome xi , we associate a
number p( xi )=P(X = xi ) called the probability of xi .
The numbers p( xi ), i=1,2,3,…, must satisfy the following conditions:
(a) p( xi ) 0 for all i, (b) p( x ) 1
i 1
i
Note The notation f (x) is sometimes used instead of p(x), usually called probability mass function
(pmf).
Example 1.3 Find the probability distribution of the number of heads obtained in the two tosses
of a coin.
Solution Let X= the number of heads. Then we have R X = {0, 1, 2, 3}. Since X takes the value
of 0 only, if the outcome is (TT), the probability of which is 1/4. There are two elements of S for
which X = 1, that is for which only one head occurred, and therefore P(X=1) = 2/4. Similarly, we
find P(X=2) =1/4.
Hence, the probability distribution of X is given in the table below.
xi 0 1 2
P(X = xi) 1/4 1/2 1/4
3
Here (a) p( xi ) 0 for i=1,2,3 and (b) p( x ) 1
i 1
i
Example 1.4 Four balls are to be drawn at random without replacement from a box containing 8
red and 4 white balls. Let X denotes the number of red balls that will be drawn.
Find the probability distribution of X.
Solution Here the range space of X is RX = 0,1, 2,3, 4 and we need to determine the probability
of each element of RX .
We have
4
P(X=0) = P(4 white)=
4 1
12 495
4
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8 4
P(X=1) =P( 1 red and 3white)=
1 3 32
12 495
4
8 4
P(X=2) = P (2 red and 2 white)
2 2 168
12 495
4
8 4
P(X=3) =P (3 red and 1 white)
3 1 224
12 495
4
8
P ( X 4) P (4 red ) 124
70
495
4
Thus, the probability distribution of X is displayed in the table below.
xi 0 1 2 3 4
1 32 168 224 70
P ( X xi )
495 495 495 495 495
5
Here p xi 0 i 1, 2,...,5 and px 1
i 1
i
1.3 Continuous random variables and their probability distributions
We defined a r.v. whose range space elements cannot be listed individually as being continuous.
Here we shall restrict consideration to continuous random variables whose range spaces are
intervals.
Example 1.5
i) The time T hrs showing on a clock RT t : 0 t 12
ii) The operational life time X hrs, of an electric light bulb has range space RX x : x 0
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Probability Theory and Distribution (Math 2204) Lecture note
Since the elements of the range space of a continuous [Link] be listed individually a method
different from that used for discrete random variables is necessary for describing how the one
unit of probability is to be distributed over the range space.
The probability distribution of a continuous random variable X is specified by probability
density function, f x .
Let X be a continuous random variable defined over an interval (a, b). Then the function f x
is called the probability density function if it satisfies the following properties.
1. f x 0
f x dx 1 (i.e. the total area under the curve f x and above the x -axis is equal to 1).
2.
f x
A=1
a b x
Note The probability that the continuous rv.X lies in the interval [c, d] is given by
P c X d f x dx , where f x is the pdf of the rv.X.
d
1
, 1 x 3
Example 1.6 Given f x 2
0, other wise
a) Check if f x is a pdf.
b) If it is a pdf, find the probability that X lies
i) between1.5 and 2. ii) above 1.5. iii) below 2.5.
Solution a) i) f x 0, for x 1,3
ii) f x dx 1
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1
f x dx
3 3
dx
1 1 2
1
x 1
3
2
3 1
2 2
1
Therefore, f x is a density function.
b) i ) P 1.5 X 2 f x dx
2
1.5
x 2
|1.5
2
1.5
1
2
1 .75
0.25
b) (ii ) P x 1.5 f x dx
3
1.5
x 3
|1.5
2
3 1.5
2 2
0.75
(iii ) P X 2.5 f x dx
2.5
x 2.5
|1
2
2.5 1
2 2
0.75
x2
, 1 x 2
Example 1.6 Let the r.v.X have pdf f ( x) 3
0 , elsewhere
a) Show that f x dx 1 b)Find P 0 X 1 .
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Probability Theory and Distribution (Math 2204) Lecture note
2
x2 x3 8 1
f ( x)dx dx 1.
2
Solution a) 1
1
3 9 9 9
x2
b) P 0 x 1
1
dx
0 3
x3 1
|0
9
1
9
Example 1.7 The continuous rv. X is distributed with probability density function defined by
f x cx 16 x2 ,0 x 4
Evaluate i) c
ii) P (1 X 2)
iii) P( X 3)
iv) P( X 2 /1 X 3)
Solution (i) to determine c we use the fact that f x dx 1 .
4
Thus, c 16 x x 3 dx 1
4
0
4
x4
or c 8 x 2 1
4 0
64c 1
1
c
64
2 2
1 81
ii) P(1 X 2) f ( x)dx (16x x 3 )dx
1
64 1 256
iii) P X 3
1 4
64 3
16 x x 3 dx
49
256
P X 2 1 X 3
iv) P X 2 /1 X 3
P 1 X 3
P 1 X 2
P 1 X 3
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But
81
P 1 X 2 and
256
P 1 X 3
1 3
64 1
16 x x 3 dx
44
64
81
81
Hence P 1 X 2 /1 X 3 256
44 176
64
1.4 Cumulative distribution function and its properties
Definition Let X be a random variable, discrete or continuous. We define F to be the cumulative
distribution function of the rv.X (abbreviated as c.d.f) where F x P X x .
Theorem 1 .1 If X is a discrete rv, F x p x j , where the sum is taken over all indices j
j
satisfying x j x.
If X takes on only a finite number of values x1 , x2 , x3 ,...xn then the c.d.f is given by
0 , x x1
p( x ) , x x x
1 1 2
p ( x1 ) p ( x 2 ) , x 2 x x 3
F ( x)
p ( x ) p ( x ) ... p( x ) , x x
1 2 n n
Example 1.8 a) Find the distribution function for the r.v.X representing the number of heads in
the two tosses of a fair coin.
b) Obtain its graph.
Solution
0, x 0
1
4 , 0 x 1
a) The c.d.f is F x
34 , 1 x 2
1, 2 x
The word “cumulative” suggests the role of this function. It sums or accumulates the
probabilities found by means of the density.
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Probability Theory and Distribution (Math 2204) Lecture note
a) The graph of F x is shown below.
F(x)
1
1/4
3/4
1/2 1/2
1/4
1/4
x
0
1 2
The following things about the above distribution function (c.d.f), which are true in general,
should be noted.
1. The magnitudes of the jumps at 0, 1, and 2 are 1 4 , 1 2 , and 1 4 which are precisely the
ordinates for the graph of F x . This fact enables one to obtain the probability function from
the distribution function.
2. Because of the appearance of the graph of the above figure it is often called a stair case
function or step function. The value of the function at an integer is obtained from the higher
step, thus the value at 1 is 3 4 and not 1 4 . This is expressed mathematically stating that the
distribution function is continuous from the right at 0, 1, and 2.
3. As we proceed from left to right (i.e. going up stairs) the distribution function either remains
the same or increases, taking on values from 0 to 1. Because of this it is said to be a
monotonically increasing function.
Let X be a discrete r.v. with possible values x1,x2,…, and suppose that it is possible to label these
values so that x1,x2,x3,…
Let F be the c.d.f of X. Then p x j P X x j F x j F x j 1
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Example 1.9 Suppose that the rv.X assumes the three values. 0, 1, and 2 with probabilities
1 , 1 and 1 , respectively.
3 6 2
0 if x 0
1
if o x 1
3
F x
1 if 1 x 2
2
1 if x 2
Definition The cumulative distribution function F x of a continuous rv.X with density function
f x is given by
F x P X x f t dt.
x
F x P X x P X x f t dt
x
As an immediate consequence of the above definition, one can write the two results:
dF x
i) P a X b P a X b F b F a and ii) f x if the derivative exists.
dx
Note that if X is continuous with range space Rx x : a x b and pdf f, then its c.d.f., F, is
such that
F x 0 for x a
F x f t dt for a x b
x
F x 1 or x b.
Example 1.10 Find the c.d.f of the distribution whose p.d . f is given by
1
f x , 0 x 1,
5
1 3
f x x ,1 x 3.
25
Solution Since the range space in this example is RX x : 0 x 3 , it follows that F, the c.d.f.,
will be such that F x 0 for x 0, and F x 1 for x 3.
For a value x in the interval [0, 3], we have F x f t dt
x
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Probability Theory and Distribution (Math 2204) Lecture note
From the specification of f x we must give separate consideration to the values of x in (0, 1)
and values of x in (1, 3).
For 0 x 1
1 1
F x
x
dt x
0 5 5
For 1 x 3,
1 x 1
4
1 x 1
F x dt
1
t dt
3
0 5 1 25 5 100
x 19
4
100
81 19
As a check, we note that F 3 1.
100 100
Hence the c.d.f in this case is given by
F x 0 for x 0,
1
F x x for 0 x 1,
5
F x
x 4 19 for 1 x 3,
100
F x 1 for x 3.
1 e 2 x , x 0
Example 1.11 The distribution function for a random variable X is F ( x)
0 , x 0
Find: (a) the density function, (b) the probability that X 2 and (c) the probability that
3 X 4.
Solution
dF ( x) 2e 2 x , x 0
a) f ( x)
dx 0 , x 0
b) P( X 2) f (u )du 2e 2u du e 2u 2 e 4
2 2
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Probability Theory and Distribution (Math 2204) Lecture note
Another method:
By definition, P X 2 F 2 1 e4
Hence, P X 2 1 P X 2
1 e 4
e 4
c) P 3 X 4 P X 4 P X 3
F 4 F 3
1 e8 0
1 e 8
Another method:
P 3 X 4 f t dt
4
3
f t dt 2e 2t dt
0 4
3 0
0 4
odt 2e 2t dt
3 0
2 t 4
e |
0
1 e 8
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