UNIT - I

Random Variables
1 Introduction
2 Discrete Random Variables
3 Continuous Random Variables
4 Moments
5 Moment generating functions
6 Binomial distribution
7 Poisson distribution
8 Geometric distribution
9 Uniform distribution
10 Exponential distribution
11 Gamma distribution
Introduction
Consider an experiment of throwing a coin twice. The outcomes {HH,
HT, TH, TT} consider the sample space. Each of these outcome can be
associated with a number by specifying a rule of association with a number by
specifying a rule of association (eg. The number of heads). Such a rule of
association is called a random variable. We denote a random variable by the
capital letter (X, Y, etc) and any particular value of the random variable by x
and y.
Thus a random variable X can be considered as a function that maps all
elements in the sample space S into points on the real line. The notation X(S)=x
means that x is the value associated with the outcomes S by the Random
variable X.
1 SAMPLE SPACE
Consider an experiment of throwing a coin twice. The outcomes S = {HH,
HT, TH, TT} constitute the sample space.
2 RANDOM VARIABLE
In this sample space each of these outcomes can be associated with a
number by specifying a rule of association. Such a rule of association is called a
random variables.
Eg: Number of heads
 We denote random variable by the letter (X, Y, etc) and any particular
value of the random variable by x or y.
S = {HH, HT, TH, TT} X(S) = {2, 1, 1, 0}
Thus a random X can be the considered as a fun. That maps all elements
in the sample space S into points on the real line. The notation X(S) = x means
that x is the value associated with outcome s by the R.V.X.
Example
In the experiment of throwing a coin twice the sample space S is S =
{HH,HT,TH,TT}. Let X be a random variable chosen such that X(S) = x (the
number of heads).
Note
Any random variable whose only possible values are 0 and 1 is called a
Bernoulli random variable.
2.1 DISCRETE RANDOM VARIABLE
Definition : A discrete random variable is a R.V.X whose possible values
consitute finite set of values or countably infinite set of values.
Examples
All the R.V.’s from Example : 1 are discrete R.V’s
Remark
The meaning of P(X ≤ a).
P(X ≤ a) is simply the probability of the set of outcomes ‘S’ in the sample
space for which X(s) ≤ a.
Or
P(X ≤ a) = P{S : X(S) ≤ a}
In the above example : 1 we should write
P(X ≤ 1) = P(HH, HT, TH) = ¾
Here P(X ≤ 1) = ¾ means the probability of the R.V.X (the number of heads) is
less than or equal to 1 is ¾ .
Distribution function of the random variable X or cumulative distribution
of the random variable X
Definition :
The distribution function of a random variable X defined in (-∞, ∞) is
given by F(x) = P(X ≤ x) = P{s : X(s) ≤ x}
Note
Let the random variable X takes values x1, x2, ….., xn with probabilities
P1, P2, ….., Pn and let x1< x2< ….. <xn
Then we have
F(x) = P(X < x1) = 0, -∞ < x < x,
F(x) = P(X < x1) = 0, P(X < x1) + P(X = x1) = 0 + p1 = p1
F(x) = P(X < x2) = 0, P(X < x1) + P(X = x1) + P(X = x2) = p1 + p2
F(x) = P(X < xn) = P(X < x1) + P(X = x1) + ….. + P(X = xn)
= p1 + p2+ ………. + pn
=1
2.2 PROPERTIES OF DISTRIBUTION FUNCTIONS
Property : 1 P(a < X ≤ b) = F(b) – F(a), where F(x) = P(X ≤ x)
Property : 2 P(a ≤ X ≤ b) = P(X = a) + F(b) – F(a)
Property : 3 P(a < X < b) = P(a < X ≤ b) - P(X = b)
= F(b) – F(a) – P(X = b) by prob (1)
2.3 PROBABILITY MASS FUNCTION (OR) PROBABILITY
FUNCTION
Let X be a one dimenstional discrete R.V. which takes the values x1,
x2, …… To each possible outcome ‘xi’ we can associate a number pi.
i.e., P(X = xi) = P(xi) = pi called the probability of xi. The number pi = P(xi)
satisfies the following conditions.

The function p(x) satisfying the above two conditions is called the
probability mass function (or) probability distribution of the R.V.X. The
probability distribution {xi, pi} can be displayed in the form of table as shown
below.
Notation
Let ‘S’ be a sample space. The set of all outcomes ‘S’ in S such that X(S) = x is
denoted by writing X = x.
P(X = x) = P{S : X(s) = x}
|||ly P(x ≤ a) = P{S : X (s) ∈ (-∞, a)}
and P(a < x ≤ b) = P{s : X(s) ∈ (a, b)}
P(X = a or X = b) = P{(X = a) ∪ (X = b)}
P(X = a and X = b) = P{(X = a) ∩ (X = b)} and so on.
Theorem :1 If X1 and X2 are random variable and K is a constant then KX1,
X1 + X2, X1X2, K1X1 + K2X2, X1-X2 are also random variables.
Theorem :2 If ‘X’ is a random variable and f(•) is a continuous function, then
f(X) is a random variable.
Note
If F(x) is the distribution function of one dimensional random variable then

Example:
A random variable X has the following probability function
(i) Determine the value of ‘a’
(ii) Find P(X < 3), P(X ≥ 3), P(0 < X < 5)
(iii) Find the distribution function of X.
Solution
Table 1

(i) We know that if p(x) is the probability of mass function then

3 CONTINUOUS RANDOM VARIABLE
Definition: A R.V.’X’ which takes all possible values in a given internal is
called a continuous random variable.
Example: Age, height, weight are continuous R.V.’s.
3.1 PROBABILITY DENSITY FUNCTION
Consider a continuous R.V. ‘X’ specified on a certain interval (a, b)
(which can also be a infinite interval (-∞, ∞)).
If there is a function y = f(x) such that

Then this function f(x) is termed as the probability density function (or)
simply density function of the R.V. ‘X’.
It is also called the frequency function, distribution density or the
probability density function.
 The curve y = f(x) is called the probability curve of the distribution
curve.
Remark
If f(x) is p.d.f of the R.V.X then the probability that a value of the R.V. X
will fall in some interval (a, b) is equal to the definite integral of the function f(x)
a to b.

3.2 PROPERTIES OF P.D.F

The p.d.f f(x) of a R.V.X has the following properties
1. In the case of discrete R.V. the probability at a point say at x = c is not zero.
But in the case of a continuous R.V.X the probability at a point is always zero.

2. If x is a continuous R.V. then we have p(a ≤ X ≤ b) = p(a ≤ X < b)

= p(a < X < b)
IMPORTANT DEFINITIONS INTERMS OF P.D.F
If f(x) is the p.d.f of a random variable ‘X’ which is defined in the
interval (a, b) then
3.3 Mathematical Expectations
Definition: Let ‘X’ be a continuous random variable with probability density
function f(x). Then the mathematical expectation of ‘X’ is denoted by E(X) and
is given by
3.4 EXPECTATIONS (Discrete R.V.’s)
Let ‘X’ be a discrete random variable with P.M.F p(x) Then
3.5 ADDITION THEOREM (EXPECTATION)
Theorem 1
If X and Y are two continuous random variable with pdf f(x) and f(y)
then E(X+Y) = E(X) + E(Y)
3.6 MULTIPLICATION THEOREM OF EXPECTATION
Theorem 2
If X and Y are independent random variables,Then E(XY) = E(X) . E(Y)
Note :
If X1, X2, ……, Xn are ‘n’ independent random variables, then E[X1, X2, ……,
Xn] = E(X1), E(X2), ……, E(Xn)
Theorem 3
If ‘X’ is a random variable with pdf f(x) and ‘a’ is a constant, then
(i) E[a G(x)] = a E[G(x)]
(ii) E[G(x)+a] = E[G(x)+a]
Where G(X) is a function of ‘X’ which is also a random variable.
Theorem 4
If ‘X’ is a random variable with p.d.f. f(x) and ‘a’ and ‘b’ are constants,
then E[ax + b] = a E(X) + b
Cor 1:
If we take a = 1 and b = –E(X) = – X , then we get
E(X- X ) = E(X) – E(X) = 0
Note

3.7 EXPECTATION OF A LINEAR COMBINATION OF RANDOM

VARIABLES
Let X1, X2, ……, Xn be any ‘n’ random variable and if a1, a2 , ……, an are
constants, then E[a1X1 + a2X2 + ……+ anXn] = a1E(X1) + a2E(X2)+ ……+
anE(Xn)
Result
If X is a random variable, thenVar (aX + b) = aVar(X) ‘a’ and ‘b’ are constants.
Covariance :
If X and Y are random variables, then covariance between them is
defined as Cov(X, Y) = E{[X - E(X)] [Y - E(Y)]}
Cov(X, Y) = E(XY) – E(X) . E(Y) (A)
If X and Y are independent, then E(XY) = E(X) E(Y)
Sub (B) in (A), we get Cov (X, Y) = 0
∴ If X and Y are independent, then
Cov (X, Y) = 0
Note
(i) Cov(aX, bY) = ab Cov(X, Y)
(ii) Cov(X+a, Y+b) = a+b Cov(X, Y)
(iii) Cov(aX+b, cY+d) = ac Cov(X, Y)
(iv) Var (X1 + X2) = Var(X1) + Var(X2) + 2 Cov(X1, X2)
If X1, X2 are independent then Var(X1+X2) = Var(X1) + Var(X2)
EXPECTATION TABLE

SOLVED PROBLEMS ON DISCRETE R.V’S

Example :1
When die is thrown, ‘X’ denotes the number that turns up. Find E(X),
E(X ) and Var (X).
2

Solution
Let ‘X’ be the R.V. denoting the number that turns up in a die. ‘X’ takes
values 1, 2, 3, 4, 5, 6 and with probability 1/6 for each
4 CONTINUOUS DISTRIBUTION FUNCTION
Definition : If f(x) is a p.d.f. of a continuous random variable ‘X’, then the
function

is called the distribution function or cumulative distribution function of

the random variable.
PROPERTIES OF CDF OF A R.V. ‘X’
5 MOMENT GENERATING FUNCTION
Definition : The moment generating function (MGF) of a random variable ‘X’
(about origin) whose probability function f(x) is given by
6 Discrete Distributions
The important discrete distribution of a random variable ‘X’ are
1. Binomial Distribution
2. Poisson Distribution
3. Geometric Distribution
6.1. BINOMIAL DISTRIBUTION
Definition : A random variable X is said to follow binomial distribution if its
probability law is given by
P(x) = p(X = x successes) = nCx px qn-x Where x = 0, 1, 2, ……., n, p+q = 1
Note
Assumptions in Binomial distribution
i) There are only two possible outcomes for each trail (success or failure).
ii) The probability of a success is the same for each trail.
iii) There are ‘n’ trails, where ‘n’ is a constant.
iv) The ‘n’ trails are independent.
Example :1.6.1
Find the Moment Generating Function (MGF) of a binomial distribution
about origin.
Solution
7 Poission Distribution
Definition :
A random variable X is said to follow if its probability law is given by

Poisson distribution is a limiting case of binomial distribution under the

following conditions or assumptions.
1. The number of trails ‘n’ should e infinitely large i.e. n→∞.
2. The probability of successes ‘p’ for each trail is infinitely small.
3. np = λ , should be finite where λ is a constant.
7.3 Derive probability mass function of Poisson distribution as a limiting
case of Binomial distribution
Solution
We know that the Binomial distribution is P(X=x) = nCx pxqn-x
8 GEOMETRIC DISTRIBUTION
Definition: A discrete random variable ‘X’ is said to follow geometric
distribution, if it assumes only non-negative values and its probability mass
function is given by
9 CONTINUOUS DISTRIBUTIONS
If ‘X’ is a continuous random variable then we have the following
distribution
1. Uniform (Rectangular Distribution)
2. Exponential Distribution
3. Gamma Distribution
4. Normal Distribution
9.1 Uniform Distribution (Rectangular Distribution)
PROBLEMS ON UNIFORM DISTRIBUTION
Example 1.9.1
If X is uniformly distributed over (-α,α), α< 0, find α so that
(i) P(X > 1) = 1/3
(ii) P(|X| < 1) = P(|X| > 1)
Solution
If X is uniformly distributed in (-α, α), then its p.d.f. is
10 THE EXPONENTIAL DISTRIBUTION
Def :A continuous random variable ‘X’ is said to follow an exponential
distribution with parameter λ>0 if its probability density function is given by
11 GAMMA DISTRIBUTION
Definition
A Continuous random variable X taking non-negative values is said to
follow gamma distribution , if its probability density function is given by
When α is the parameter of the distribution.
Additive property of Gamma Variates
If X1,X2 , X3,.... Xk are independent gamma variates with parameters
λ1,λ2,…..λk respectively then X1+X2+ X3+.... +Xk is also a gamma variates with
parameter λ1+ λ2 +….. + λk
Example :1.11.1
Customer demand for milk in a certain locality,per month , is Known to
be a general Gamma [Link] the average demand is a liters and the most likely
demand b liters (b < a) , what is the varience of the demand?
Solution :
Let X be represent the monthly Customer demand for milk. Average
demand is the value of E(X).
Most likely demand is the value of the mode of X or the value of X for
which its density function is maximum.
If f(x) is the its density function of X ,then
TUTORIAL QUESTIONS
1. It is known that the probability of an item produced by a certain machine will
be defective is 0.05. If the produced items are sent to the market in packets of
20, fine the no. of packets containing at least, exactly and atmost 2 defective
items in a consignment of 1000 packets using (i) Binomial distribution (ii)
Poisson approximation to binomial distribution.
2. The daily consumption of milk in excess of 20,000 gallons is approximately
exponentially distributed with . 3000 = θ The city has a daily stock of 35,000
gallons. What is the probability that of two days selected at random, the stock is
insufficient for both days.
[Link] density function of a random variable X is given by f(x)= KX(2-X), 0 ≤ X
≤ [Link] K, mean, variance and rth moment.
4. A binomial variable X satisfies the relation 9P(X=4)=P(X=2) when n=6. Find
the parameter p of the Binomial distribution.
5. Find the M.G.F for Poisson Distribution.
6. If X and Y are independent Poisson variates such that P(X=1)=P(X=2) and
P(Y=2)=P(Y=3). Find V(X-2Y).
7. A discrete random variable has the following probability distribution
X: 0 1 2 3 4 5 6 7 8
P(X) a 3a 5a 7a 9a 11a 13a 15a 17a
Find the value of a, P(X < 3) and c.d.f of X.
7. In a component manufacturing industry, there is a small probability of 1/500
for any component to be defective. The components are supplied in packets of
10. Use Poisson distribution to calculate the approximate number of packets
containing (1). No defective. (2). Two defective components in a consignment
of 10,000 packets.
Random Variable
1. Define Random Variable (RV).
A random variable is a function X: S → R that assigns a real number X(S)
to every element s ∈ S , where S is the sample space corresponding to a
random experiment E.
Ex: Consider an experiment of tossing an unbiased coin twice. The outcomes of
the experiment are HH, HT, TH,[Link] X denote the number of heads turning up.
Then X has the values 2,1,1,0. Here X is a random variable which assigns a real
number to every outcome of a random experiment.
2. Define Discrete Random Variable.
If X is a random variable which can take a finite number or countably
infinite number of pvalues, X is called a discrete RV.
Ex. Let X represent the sum of the numbers on the 2 dice, when two dice are
trown.
3. Define Continuous Random Variable.
If X is a random variable which can take all values (i.e., infinite number
of values) in an interval, then X is called a continuous RV.
Ex. The time taken by a lady who speaks over a telephone.
4. Define One-dimensional Random Variables.
If a random variable X takes on single value corresponding to each
outcome of the experiment, then the random variable is called one-dimensional
random [Link] is also called as scalar valued RVs.
Ex: In coin tossing experiment, if we assume the random variable to be
appearance of tail, then the sample space is{H,T} and the random variable
is{1,0}.which is an one-dimensional random variables.
5. State the Properties of expectation.
If X and Y are random variables and a,b are constants, then 1.E(a) = a
Proof:
4. E(X+Y)=E(X)+E(Y)
5. 5. E(XY)=E(X).E(Y), if X and Y are random variables.

6. A RV X has the following probability function

1) Determine the
2) Find P(X < 3), P(X ≥ 3), P(0 < X < 5).
Solution:

a+3a+5a+7a+9a+11a+13a+15a+17a=1 81a = 1

a = 1/81
2) P(X<3) = P(X=0) + P(X=1) +P(X=2)
= a+3a+5a

=9a =9/81=1/9
P(X ≥ 3) = 1- P(X<3) =1-1/9 = 8/9
P(0<X<5) = P(X=1) + P(X=2) + P(X=3) +P(X=4)
3a+5a+7a +9a =24a= 24/81
6. If X is a continuous RV whose PDF is given by
8. A continuous RV X that can assume any value between x = 2 and x = 5
has a density function given by f (x) = k(1+ x).Fnd P(X< 4).
Solution:

9. A RV X has the density function

12. Find the M.G.F of a Binomial distribution

13. The mean and variance of the Binomial distribution are 4 and 3
respectively. Find P(X=0).
mean = np = 4, Variance = npq = 3

15. For a Binomial distribution mean is 6 and standard deviation is

Rt(2) . Find the first two terms of the distribution.
18. If a R.V X takes the values -1,0,1 with equal probability find the M.G.F
of X.

19. A die is thrown 3 times. If getting a 6 is considered as success find the

probability of atleast 2 success.

20. Find p for a Binimial variate X if n=6,and 9P(X=4)=P(X=2).

21. Comment on the following
“The mean of a BD is 3 and variance is 4” For B.D, Variance< mean
∴The given statement is wrongs
22. Define poisson distribution
A discrete RV X is said to follow Poisson Distribution with parameter λ if its

23. If X is a Poisson variate such that P(X=2)=9P (X = 4) + 90 P(X=6), find

the variance

24. It is known that 5% of the books bound at a certain bindery have

defective bindings. find the probability that 2 of 100 books bound by this
bindery will have defective bindings.
Ans : Let X denote the number of defective bindings.

25. Find λ , if X follows Poisson Distribution such that P(X=2)=3P(X=3).

26. If X is a Poisson variate such that P(X = 1) = 3/10 and P(X = 2)

= 1/5
Find P(X = 0) and P(X = 3) .
27. For a Poisson Variate X , E(X 2 ) = 6 .What is E(X).

28. A Certain Blood Group type can be find only in 0.05% of the people. If
the population of a randomly selected group is [Link] is the Probability
that atleast a people in the group have this rare blood group.
Sol: p=0.05% =0.0005 n=3000 ∴λ = np = 1.5
P(X ≥ 2) = 1− P(X < 2) = 1− P(X = 0) − P(X = 1)

29. If X is a poisson variate with mean λ show that E[X2] = λ E[X+1]

E[X2] = λ2 + λ
E (X+1) = E[X] + 1
E[X 2 ] = λE[X +1]
30. Find the M.G.F of Poisson Distribution.
Ans :

31. A discrete RV X has M.G.F Mx(t) = e2(et −1) . Find E (X), var (X) and
P(X=0)
Ans :MX(t) = e2(et −1) ⇒ X follows Poisson Distribution ∴λ = 2
Mean = E (X) = λ = 2
Var (X) = λ = 2

32. If the probability that a target is destroyed on any one shot is 0.5, what
is the probability that it would be destroyed on 6th attempt?
Ans : Given p = 0.5 q = 0.5 By Geometric distribution
P [X =x] = qx p, x = 0,1,2………
since the target is destroyed on 6th attempt x = 5 ∴Required probability = qx p
= (0.5)6 = 0.0157
33. Find the M.G.F of Geometric distribution

34. Find the mean and variance of the distribution P[X=x]=2-x, x=1,2,3….
Solution:

35. Find the expected value and the variance of the number of times one
must throw a die until the outcome 1 has occurred 4 times.
Solution:
X follows the negative bionomial distribution with parameter r = 4 and
p=1/6
E(X)= mean = r P = rqQ = r (1-p) (1/p)= 20. (p=1/Q and q=P/Q) Variance
= rPQ = r(1-p)/p2 = 120.
36. If a boy is throwing stones at a target, what is the probability that his
10th throw is his 5th hit, if the probability of hitting the target at any trial
is ½?
Solution:
Since 10th throw should result in the 5th successes ,the first 9 throws ought
to have resulted in 4 successes and 5 faliures.
n = 5, r = 5, p = 1/2 = q
∴Required probability = P(X=5)= (5+5-1)C5 (1/2)5 (1/2)5

=9C4 (1/210) = 0.123

37. Find the MGF of a uniform distribution in (a, b)?

38. Find the MGF of a RV X which is uniformly distributed over (-2, 3)

39. The M.G.F of a R.V X is of the form Mx (t) = (0.4et + 0.6)8 what is the
M.G.F of

40. If X is uniformly distributed with mean 1 and variance 4/3 find P(X<0)
Ans :Let X follows uniform distribution in (a,b) mean
∴a+b = 2
(b-a)2 = 16 ⇒ b - a = ± 4
Solving we get a=-1 b=3

41. A RV X has a uniform distribution over (-4, 4) compute P(|X|>2)

[Link] are the properties of Normal distribution
(i) The normal curve is symmetrical when p = q or p ≈ q.
(ii) The normal curve is single peaked curve.
(iii) The normal curve is asymptotic to x-axis as y decreases rapidly when x
increases numerically.
(iv) The mean, median and mode coincide and lower and upper quartile are
equidistant from the median.
(v)The curve is completely specified by mean and standard deviation along
with the value yo.
[Link] any four properties of normal distribution.
Sol:
(1) The curve is Bell shaped
(2)Mean, Median, Mode coincide
(3)All odd moments vanish
(4)x - axis is an asymptote of the normal curve
[Link] X is a Normal variate with mean30 and SD [Link] P [26<X<40].

55. If X is normally distributed RV with mean 12 and SD [Link] P [X ≤ 20].

Moment generating functions

1. Define nth Moments about Origin

The nth moment about origin of a RV X is defined as the expected value of

the nth power of X.