Probability Notes – Random Variables & Distributions (Printable)
1. Random Variable (RV)
A random variable assigns a real number to each outcome of an experiment.
Types:
• Discrete RV – countable values.
• Continuous RV – any value in an interval.
2. PMF, PDF, CDF
PMF (discrete): p(x)=P(X=x), sum of p(x)=1
PDF (continuous): f(x)>=0, integral f(x)=1, P(a<X<b)=integral f(x)dx
CDF: F(x)=P(X<=x), non-decreasing, limits 0 and 1
3. Expectation & Variance
E(X)=sum x p(x) or integral x f(x) dx
Var(X)=E(X^2) - [E(X)]^2
4. Bernoulli Distribution
PMF: P(X=1)=p, P(X=0)=1-p
Mean=p , Variance=p(1-p)
5. Binomial Distribution
X=number of successes in n trials
PMF: C(n,k) p^k (1-p)^(n-k)
Mean=np , Variance=np(1-p)
6. Geometric Distribution
P(X=k)=(1-p)^(k-1) p
Mean=1/p
7. Negative Binomial
P(X=n)=C(n-1, r-1) p^r (1-p)^(n-r)
8. Poisson Distribution
PMF= exp(-lambda) * lambda^k / k!
Mean=lambda, Variance=lambda
9. Continuous Distributions
Uniform(a,b): f=1/(b-a), mean=(a+b)/2
Exponential(lambda): f=lambda * exp(-lambda x), mean=1/lambda
Normal(mu,sigma^2): bell curve, Z=(X-mu)/sigma
10. Joint Distributions & Independence
p(x,y) or f(x,y)
Independence: p(x,y)=pX(x)pY(y)
11. Covariance & Correlation
Cov(X,Y)=E(XY)-E(X)E(Y)
rho = Cov/(sigmaX sigmaY)
12. MGFs
M(t)=E(exp(tX))
13. Key Formulas Summary
E(aX+b)=aE(X)+b
Var(aX+b)=a^2 Var(X)