MODULE-2
RANDOM VARIABLES
Random Variables
A Random Variable is a set of possible values from a random
experiment.
Example: Tossing a coin: we could get Heads or Tails.
Let's give them the values Heads=0 and Tails=1 and we have a Random
Variable "X“:
• In short:
X = {0, 1}
• Note: We could choose Heads=100 and Tails=150 or other
values if we want! It is our choice.
• We have an experiment (such as tossing a coin)
• We give values to each event
• The set of values is a Random Variable
Sample Space
A Random Variable's set of values is the Sample
Space.
Probability
• P(X = value) = probability of that value
{HHH, HTH, THH, T TH, HHT, HT T, THT, T T T}
One dimensional random variable:
• Discrete random variable:
A random variable is called discrete random variable if its set of
possible outcomes is countable.
Example: number of defectives in a sample of k items.
• Probability function (or) Probability Mass Function (p.m.f):
If X is a discrete R.V. which can take the values such that , then is
called the probability mass function and it satisfies the following
conditions:
• Probability distribution function:
The collection of pairs is called the probability distribution of the
R.V. X.
• Continuous random variable :
A random variable X is said to be a continuous random variable if it
takes all possible values between certain limits or in an interval
which may be finite or infinite.
Example: person's height, (within the range of human heights), not
just certain fixed heights.
Probability density function (p.d.f):
In case of a continuous random variable, we do not talk of
Probability at a particular point (which is always zero) but we always
talk of probability in an interval. If p(x) dx is the probability that the
random variable X takes the value in a small interval of magnitude
dx, e.g., (x, x + dx) or (x – dx /2 , x + dx/ 2 ) , then p(x) is called
the probability density function (p.d.f.) of the r.v. X.
Distribution Function (or)
Cumulative Distribution Function (cdf)
MOMENTS
EXAMPLE
Problem:
Problem:
Problem:
Problem:
Problem:
Problem:
Solution:
Problem:
Solution:
Two-dimensional Random Variables
Joint Probability Function
Joint Probability Mass Function:
Joint Probability Density Function
Two-dimensional distribution function
Marginal Distribution Functions:
Conditional Probability Function:
Conditional Probability Function:
Remark
Independent Random Variables
Example
Example
Solution
Mathematical Expectation
Expected Value of a function of a random
variable
Expected Value of Two-dimensional RV
• Theorem. (Multiplication Theorem of Expectation). If X
and Y are independent random variables, then
E(XY ) = E(X ) . E(Y )
• In general, if X1, X2, …, Xn are n independent random variables,
then
E(X1 X2 X3 … Xn) = E(X1) . E(X2) … E(Xn)
• Remark. The multiplication theorem of expectation holds only
for independent events while no such condition on the variables
is required for the addition theorem of expectation.
VARIANCE OF X IN TERMS OF EXPECTATION
Co-Variance
Correlation Coefficient:
Example:
Example: What is the expected number of heads appearing when a
fair coin is tossed three times ?
Solution:
Example: A random variable X is defined as the sum of faces
when a pair of dice is thrown. Find the expected value of X.
Moment Gnerating Function (MGF)
Properties of MGF:
PROBLEM: