Module 1: Probability and Random Variables

Dr. P. Vijay Kumar

Assistant Professor, SAS-Mathematics

December 23, 2025

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 1 / 45
Content

Basic Probability- Axioms

Probability spaces, Conditional probability, Bayes theorem.
Random Variables - Discrete and Continuous random variables.
probability mass functions, probability density functions.
Joint Distributions - Joint, marginal, and conditional distributions.
Expectation and Variance – Moments, variance, covariance,
correlation and independence.
Functions of one-dimensional random variables.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 2 / 45
Why learn Probability?

Nothing in life is certain. In everything we do, we gauge the chances

of successful outcomes, from business to medicine to the weather.
A probability provides a quantitative description of the chances or
likelihoods associated with various outcomes.
It provides a bridge between descriptive and inferential statistics.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 3 / 45
Basic Probability

Probability deals with uncertainity, risk and data driven decisions in

everyday life and modern technology.

Experiment (or) Trial

Process by which an observation is made.

Event
Outcome of the experiment.

Random experiment
whose result is not certain but is one of the several possible outcomes.

Example: Tossing a coin is an experiment and getting Head or Tail as an

outcome is an event of the random experiment.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 4 / 45
Basic Probability contd...

Exhaustive events
The total number of possible outcomes.

Example: 1. In Tossing a coin we have two possible outcomes i.e, getting

Head or Tail. Hence the number of exhaustive events is 2.
2. In throwing a fair dice, we have 6 exhaustive events.

Mutually exclusive events

Two events A and B are mutually exclusive, if occurrence of one event A
stops the occurrence of other event B.

Example: 1. In Tossing a coin, getting Head or Tail are mutually exclusive.

2. In throwing a fair dice, all the 6 events are mutually exclusive.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 5 / 45
Basic Probability contd...

Simple event
An event that cannot be split or decomposed.

Example: In throwing a fair dice, all the 6 events are simple events.

Sample space
The set of all simple events.

Example: In tossing a fair coin, the sample space is S “ tH, T u

Equally likely events

Events that have same chance of happening

Example: In throwing a fair dice, all the 6 events are equally likely.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 6 / 45
Basic Probability contd...

Independent events
The occurrence one event does not depend on the occurrence of the other
event.

Example: Consider tossing a fair coin twice. Let the event A be

occurrence of head in first toss and B be the occurrence of head in the
second toss. Here A and B are independent.

Certain event(Sure event) and impossible event

An event which always happen is a sure event and event which never
happens is an impossible event.

Example: In tossing a fair coin, getting a head or tail is a sure event and
getting head and tail in a single toss is an impossible event

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 7 / 45
Basic Probability contd...

Mathematical or Apriori Definition of Probability

Let S be the sample space (the set of all possible outcomes which are
assumed equally likely) and A be an event (a sub-set of S consisting of
possible outcomes) associated with a random experiment. Let npSq and
npAq be the number of elements of S and A. Then the probability of
event A occurring, denoted as P pAq, is defined by

npAq Number of cases favourable to A

P pAq “ “
npSq Exhaustive number of cases in S
For example, the probability of getting an even number in the die tossing
experiment is 0.5 , as S “ t1, 2, 3, 4, 5, 6u, E “ t2, 4, 6u, npSq “ 6 and
npEq “ 3.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 8 / 45
Basic Probability -Axioms

Axiomatic Definition of Probability

Let S be the sample space and A be an event associated with a random
experiment. Then the probability of the event A, denoted by P pAq, is
defined as a real number satisfying the following axioms.
(i) 0 ď P pAq ď 1
(ii) P pSq “ 1
(iii) If A and B are mutually exclusive events, P pA Y Bq “ P pAq ` P pBq
(iv) If A1 , A2 , . . . , An , . . . are a set of mutually exclusive events,
P pA1 Y A2 Y . . . Y An . . .q “ P pA1 q ` P pA2 q ` . . . ` P pAn q ` . . .

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 9 / 45
Axioms and conditional probability

P pA X Bq “ P pAq.P pBq, if A and B are independent events.

The probability of an impossible event is zero.
If Ac is the compliment of the event A, then P pAc q “ 1 ´ P pAq.
P pA Y Bq “ P pAq ` P pBq ´ P pA X Bq for any two events A and B.
If B Ă A, then P pBq ă P pAq.

Conditional Probability
The conditional probability of an event B, assuming that the event A has
happened, is denoted by P pB{Aq and defined as

P pA X Bq
P pB{Aq “ , provided P pAq ‰ 0
P pAq

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 10 / 45
Axioms and conditional probability

Similarly,

P pA X Bq
P pA{Bq “ , provided P pBq ‰ 0
P pBq
gives the conditional probability of an event A, assuming that the event B
has happened.

For example, A bowl contains five candies, two red and three blue. Ran-
domly select two candies. What is the probability that the first candie is
blue and second candie is red?
Define an event A´ second candie is red and
B´ first candie is blue.
2 1
P pA{Bq “ P p2nd red{1st blueq “ “ .
4 2

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 11 / 45
Axioms and conditional probability
As per the definition given above,
P pA X Bq “ P pAqP pB{Aq
. or

P pA X Bq “ P pBqP pA{Bq
This is sometimes referred to as Product theorem of probability, which can
be extended for three events as follows.

P pA X B X Cq “ P pAqP pB{AqP pC{A X Bq

. if A, B, C happened successively.
Similarly, we can extend this for any number of events.
Two events are independent if and only if

P pA{Bq “ P pAq or P pB{Aq “ P pBq

.
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 12 / 45
Contd...
Total law of Probability
Let S1 , S2 , S3 , . . . , Sk be mutually exclusive and exhaustive events with
prior probabilities P pS1 q, P pS2 q , . . . , P pSk q. If an event A is common to
all the above events, then

PpAq “ P pA X S1 q ` P pA X S2 q ` . . . ` P pA X Sk q
“ P pS1 q P pA | S1 q ` P pS2 q P pA | S2 q ` . . . ` P pSk q P pA | Sk q

Figure: 1
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 13 / 45
Bayes Theorem

Bayes Theorem
Let S1 , S2 , S3 , . . . , Sk be mutually exclusive and exhaustive events with
prior probabilities P pS1 q, P pS2 q , . . . , P pSk q. If an event A occurs, the
posterior probability of Si , given that A occurred is

P pSi X Aq P pSi q P pA | Si q
P pSi | Aq “ “ř for i “ 1, 2, . . . k
P pAq P pSi q P pA | Si q

Examples:
1. A box contains 12 items of which 4 are defective items that are drawn
at random from the box one after the other. Find the probability that all
three are non-defective.
2. A box contains 20 balls of which 5 are red, 15 are white. If 3 balls are
selected at random and are drawn in succession without replacement. Find
the probability that all three balls selected are red.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 14 / 45
Examples

3. Find the probability of drawing a queen and a king from a pack of cards
in two consecutive draws, the cards drawn not being replaced.
4. Two persons A and B appear in an interview for two vacancies for the
same post. The probability of A’s selection is 1/7 and that of B’s selection
is 1/5. What is the probability that
(i) Both of them will be selected
(ii) None of them will be selected.
5. In a factory, machines A produces 40% of the output and machine B
produces 60%. On an average 9 items in 1000 produced by A are defective
and 1 item in 250 produced by B are defective. An item is drawn at random
from a day’s output is defective. What is the probability that it was produced
by (i) A (ii) B

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 15 / 45
Examples

6. A business man goes to a hotel X, Y, Z, 20%, 50% &30% of the time

respectively. It is known that 5%, 4% &8% of the rooms in X, Y, Z hotels
have faulty plumbings. What is the probability that the business man’s room
having faulty plumbing is assigned to hotel Z.
7. A box contains 3 blue, 2 red marbles while another box contains 2 blue,
5 red. A marble drawn randomly from one of the boxes turns out to be blue
from the first box and red from second box. What is the probability that it
comes from the first box?
8. Suppose a rare disease infects one out of every 1000 people in a pop-
ulation. And suppose that there is a good, but not perfect, test for this
disease: if a person has the disease, the test comes back positive 99% of
the time. On the other hand, the test also produces some false positives:
2% of uninfected people are also test positive. And someone just tested
positive. What are his chances of having this disease?

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 16 / 45
Random Variables
Random Variable
a number associated with each outcome of an experiment.

Discrete random Variables

A random variable which takes on a finite or countably infinite number of
values is called a discrete random variable.
Example:
In tossing a coin once, Let X be a random variable which denotes the number
of heads. Then X “ 0, 1 is a discrete random variable.
Continuous random Variables
A random variable which takes on a uncountably infinite number of values
is called a continuous random variable.
Example:
In a district, Let X be a random variable which denotes the age of persons
is a continuous random variable.
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 17 / 45
Probability mass function
Let X be a discrete random variable taking values x1 , x2 , . . ., then
P pX “ xi q “ pi is called the Probability mass function of xi , if it satisfies
(i) pi ě 0 @i
ÿ8
(ii) pi “ 1
i“1
Here txi , pi u is the probability mass distribution of the random varaible X.
Cummulative Distribution Function
x
ÿ
F pxq “ P pX ď xq “ P pXq
´8

if a ă b, then P pa ă X ď bq “ F pbq ´ F paq

0 ď F pxq ď 1
F pxq ď F pyq if x ă y

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 18 / 45
contd...

Mean
ÿ
EpXq “ xP pxq

Variance
ÿ ”ÿ ı2
V pXq “ E X 2 ´ rEpXqs2 “ x2 P pxq ´
` ˘
xP pxq

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 19 / 45
Examples

1. A shipment of 8 similar computers to a retail outlet contains 3 defective

ones. If a school makes a random purchase of 2 computers. Find the
probability distribution of the number of defective.
2. Let X be a random variable of discrete type having
ˆ ˙4
4! 1
f pxq “ , x “ 0, 1, 2, 3, 4
x!p4 ´ xq! 2

Check whether f pxq is a probability distribution function, if so find P pA1 q,

where A1 “ t0, 1u.
1 ` 3x
3. A random variable X may assume 4 values with the probabilities ,
4
1 ´ x 1 ` 2x 1 ´ 4x
, , . Find the conditions on x so that these values
4 4 4
represents probability distribution function.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 20 / 45
Examples

4. A random variable X has the following probability distribution function.

X 0 1 2 3 4 5 6 7
P pX “ xq 0 k 2k 2k 3k k 2 2k 2 2
7k ` k

(i) Find k.
(ii) Evaluate P pX ă 6q and P pX ě 6q.
(iii) If P pX ď Cq ą 21 , find the minimum value of C.
(iv) Find P rp1 ă x ă 5q{px ą 2qs.
5. From a lot of 10 items containing 3 defectives, a sample of 4 items
are drawn at random. Let the random variable X denote the number of
defective items in the sample.
(i) Find the probability distribution of X
(ii) Evaluate P pX ď 1q, P pX ă 1q, P p0 ă X ă 2q.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 21 / 45
Examples
6. Let X be a random variable such that P pX “ ´2q “ P pX “ ´1q,
P pX “ 2q “ P pX “ 1q, and P pX ą 0q “ P pX ă 0q “ P pX “ 0q.
Obtain the PMF of X, mean, variance, and its distribution function.
" x
7. If P pxq “ 15 , x “ 1, 2, 3, 4, 5
0, Otherwise
` ˘
Find (i) Ppx “ 1 or 2) P 12 ă x ă 52 {x ą 1
8. A discrete
$ random variable X has the cumulative distribution function
’
’
’ 0 xă0
1
’
10 , 0 ď x ă 1
’
’
’
’
&3, 1ďxă2
’
F pxq “ 10 5
10 , 2 ď x ă 4
’
’
’
’ 8
10 , 4 ď x ă 5
’
’
’
’
’
%1, x ě 5
Determine the probability mass function of X.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 22 / 45
Probability density function
Let X be a continuous random variable such that
" *
1 1
P x ´ dx ď X ď x ` dx “ f pxqdx
2 2
then f pxq is called the probability density function (shortly denoted as pdf)
of X, provided f pxq satisfies the following conditions:
(i) f pxq ě 0, for all ´8 ă x ă 8, and
ż8
(ii) f pxqdx “ 1
´8
Moreover, P pa ď X ď bq or P pa ă X ă bq is defined as
żb
P pa ď X ď bq “ f pxqdx
a

Note: ża
P pX “ aq “ P pa ď X ď aq “ f pxqdx “ 0
a
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 23 / 45
Probability density function
Cumulative Distribution Function
żx
F pxq “ P p´8 ă X ď xq “ f pxqdx
´8

Properties:
d
dx F pxq “ f pxq
Ppa ď X ď bq “ F pbq ´ F paq
Mean and Variance
şb
For a ď x ď b , Mean =X̄ “ Erxs “ a xf pxqdx
şb 2 ´ş ¯2
2 b
Variance =σx “ a x f pxqdx ´ a xf pxqdx

Note:
If k is a constant Epkq “ k.
If a and b are constants and X is a random variable with pdf f pxq
then Epax ` bq “ aEpxq ` b. .
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 24 / 45
Examples
"
2x, 0ăxă1
1. A random variable X has the pdf f pxq “ Find
0, Otherwise
` ˘
(i) P X ă 12
` ˘
(ii) P 41 ă X ă 12
` ˘
(iii) P X ą 43 {X ą 12
` ˘
(iv) P X ă 34 {X ą 21
2. Let X be a continuous random variable with pdf
$
’
’ kx, 0 ď x ď 1
k, 1 ď x ď 2
&
f pxq “
’
’ ´kx ` 3k, 2 ď x ď 3
%
0, Otherwise
(i) Determine k
(ii) Determine F pxq
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 25 / 45
Examples

3. Find the value of a for which the follows is a pdf

" ` 2 ˘
a x `1 , 1ďxď4
f pxq “
0, Otherwise
Calculate
(i) PpX “ 3q
(ii) Pp2 ă X ď 3q
(iii) Pp2X ´ 3 ă 2q
4. The length of time (in mins) that a certain lady speaks over telephone is
found to be" random phenomenon, with a probability density function f pxq
x
Ae´ 5 , xě0
as f pxq “
0, Otherwise
(i) Find the value of A

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 26 / 45
Examples
(ii) What is the probability that the number of minutes that she will talk
over the phone is (a) more than 10 mins (b) less than 5 mins (c) between
5 and 10 mins.
5. A continuous random variable X has the distribution function
$
& 0, xď1
F pxq “ kpx ´ 1q4 , 1 ă x ď 3 Find (i) k, (ii) pdf f pxq
1 xą3
%

(iii) Mean
"
2p1 ´ xq, 0ăxă1
6. If X is a random variable whose pdf is f pxq “
0, otherwise
find
(i) Mean (iv) variance
(ii) Epx2 q
(iii) Ep6x ´ 3x2 q
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 27 / 45
Two-dimensional Random Variables

Def
Let S be the sample space such that X “ Xpsq and Y “ Y psq be two
functions, each assigning a real number to each outcome s P S of the
random experiment, then pX, Y q is called the two dimensional random
variable.

Def
A two dimensional random variable is said to be discrete if it takes atmost
finite or countably infinite number of points in R2 and if pX, Y q can
assume all possible values in a specified region R in a xy´plane, then
pX, Y q is called a two dimensional continuous random variable.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 28 / 45
Two-dimensional Random Variables

For two discrete random variables X and Y , the probability that X will take
the value xi and Y will take the value yj is denoted by P pX “ xi , Y “ yj q “
P pxi , yj q “ pij , which is the intersection of the two events X “ xi and
Y “ yj .
Joint Probability mass function
Let pX, Y q be a two-dimensional discrete random variable such that
P pxi , yj q “ P pX “ xi , Y “ yj q “ pij , i “ 1, 2, ¨ ¨ ¨ , n and
j “ 1, 2, ¨ ¨ ¨ , m, then pij is called the probability mass function of pX, Y q
if it satisfies the following conditions
ÿn ÿ m
(i) pij ě 0 @ i, j (ii) pij “ 1
i“1 j“1

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 29 / 45
Contd..
Marginal Probability distribution
The marginal probability function of the random variable X is
m
ÿ
P pX “ xi q “ pij “ pi˚
j“1

The marginal probability function of the random variable Y is

n
ÿ
P pY “ yj q “ pij “ p˚j
i“1

Cumulative distribution function

The cumulative distribution function of a two-dimensional discrete random
variable pX, Y q denoted by F px, yq is defined as
ÿ ÿ
F px, yq “ P pX ď xi , Y ď yj q “ pij
yj ďy xi ďx

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 30 / 45
Contd

Conditional Probability distribution

Let pX, Y q be a two dimensional discrete random variable, then

P pX “ xi , Y “ yj q Pij
P pX “ xi {Y “ yj q “ “
P pY “ yj q p˚j

is called the conditional probability function of X given that Y “ yj ,

P pX “ xi , Y “ yj q Pij
P pY “ yj {X “ xi q “ “
P pX “ xi q pi˚

is called the conditional probability function of Y given that X “ xi ,

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 31 / 45
contd....

Joint Probability density function

Let pX.Y q be a two-dimensional continuous random such that
ˆ ˙
dx dx dy dy
P x´ ďX ďx` ,y ´ ďY ďy` “ f px, yqdxdy
2 2 2 2

then f px, yq is called the joint probability density function of pX, Y q if it

satisfies the following conditions:
1 f px, yq ě 0 @ px, yq P R, where R is the range space.
ş8 ş8
´8 ´8 f px, yqdxdy “ 1
2

Moreover, if pa, bq, pc, dq P R, then

żdżb
P pa ď X ď b, c ď Y ď dq “ f px, yqdxdy
c a

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 32 / 45
Contd..

Marginal Probability distribution

The marginal
ż density function of the random variable X is
8
fX pxq “ f px, yqdy
´8
The marginal density function of the random variable Y is
ż8
fY pyq “ f px, yqdx
´8

Cumulative distribution function

The cumulative distribution function of a two-dimensional continuous
random variable pX, Y q denoted by F px, yq is defined as
ży żx
P px, yq “ P pX ď x, y ď yq “ f px, yqdxdy
´8 ´8

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 33 / 45
Contd
Conditional Probability distribution
If pX, Y q is a two-dimensional continuous random variable, then

f px, yq
f px{yq “
fY pyq
is called the conditional probability function of X given Y and

f px, yq
f py{xq “
fX pxq
is called the conditional probability function of Y given X.

Independent Random Variables

pX, Y q are said to be independent if
pij “ p˚j ¨ pi˚ , when pX, Y q is discrete and
f px, yq “ fX pxq ¨ fY pyq, when pX, Y q is continuous.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 34 / 45
Examples
1. For the bivariate probability distribution of pX, Y q given below.

X{Y 1 2 3 4 5 6
1 2 2 3
0 0 0 32 32 32 32
1 1 1 1 1 1
1 16 16 8 8 8 8
1 1 1 1 2
2 32 32 64 64 0 64

Find (i) P pX ď 1q, (ii) P pY ď 3q, (iii)P pX ď 1, Y ď 3q,

(iv) P pX ď 1{Y ď 3q, (v) P pY ď 3{X ď 1q, (vi) P pX ` Y ď 4q
(vi) marginal distributions of X and Y , (vii) conditional distribution of X
given Y “ 2.
2. The joint probability mass function of pX, Y q is given by P px, yq “
Kp2x ` 3yq, x “ 0, 1, 2, y “ 1, 2, 3. Find
(i) P pX “ 2, Y ď 2q, (ii) P pX ď 1, Y “ 3q, (iii) P pX “ 2q,
(iv) P pX ď 2q (v) P pX ď 1{Y ď 2q, and (vi) P pX “ 0{Y “ 3q.
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 35 / 45
Examples

3. Let X and Y have the following joint probability distributions:

Y zX 2 4
1 0.10 0.15
3 0.20 0.30
5 0.10 0.15

Show that X and Y are independent.

4. Let the joint pmf of X and Y be
#
x`y
P px, yq “ 21 , x “ 1, 2, 3; y “ 1, 2.
0 Otherwise.

Show that the marginal pmf of X and X are PX pxq “ 2x`3

21 , x “ 1, 2, 3
6`3y
and PY pyq “ 21 , y “ 1, 2. Are these two random variables indepen-
dent?

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 36 / 45
Examples

5. Find K if the joint PDF of a bivariate random variable pX, Y q is given

by
#
Kp1 ´ xqp1 ´ yq, if 0 ă x ă 4; 1 ă y ă 5
f px, yq “
0, otherwise
6. Given that the joint pdf of the random variables X and Y is
#
kpx ` 2yq, 0 ď x ď 1, 0 ď y ď 1
f px, yq “
0 Otherwise.
(a) Determine k, (b) Find the marginal distribution of X and Y ,
` ˘
(c) Find P X ď 21 , Y ď 12 , (d) Check for independence of X and Y .

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 37 / 45
Examples
7. The joint pdf of a two dimensional random variable X, Y is
#
2, 0 ă x ă 1, 0 ă y ă x
f px, yq “
0 Otherwise .
(i) Find the marginal density functions of X and Y ,
(ii) Find the conditional density function of Y given X “ x,
(iii) Check for independence of X and Y .
8. If X and Y are two random variables such that
" 1
f px, yq “ 8 p6 ´ x ´ yq, 0 ă x ă 2, 2 ă y ă 4
0 Otherwise.
Find

(i) P pX ă 1, Y ă 3q, (ii) P pX ` Y ă 3q,

(iii) P pX ă 1 | Y ă 3q
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 38 / 45
Mean and Variance

" ř
For a univariate distribution, EpXq “ ş xP pxq, X is discrete
xf pxq X is continuous.
# ř
x2 P pxq ´ p xP pxqq2 , X is discrete
ř
VarpXq “ σx2 “ ş `ş ˘2
x2 f pxqdx ´ xf pxqdx X is continuous.

#ř
xPX pxq, X is discrete
For a bivariate distribution, EpXq “ ş
xfX pxqdx X is continuous.
#ř
yPY pyq, Y is discrete
EpY q “ ş
yfY pyqdy Y is continuous.
" řř
xyP px, yq, X, Y are discrete
EpXY q “ ť
xyf px, yqdxdy X, Y are continuous.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 39 / 45
Covariance
Covariance
CovpX, Y q “ ErXY s ´ ErXsErY s
If X and Y are independent, then ErXY s “ ErXsErY s and hence

CovpX, Y q “ 0

Properties:
Ercs “ c where c is a constant.
EraX ` bs “ aErXs ` b
ErX ` Y s “ ErXs ` ErY s
Varpcq “ 0 where c is a constant.
VarpaX ` bq “ a2 VarpXq
“ ‰
ErXs “ µ11 , E X 2 “ µ12 , . . . , E rX r s “ µ1r

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 40 / 45
Moment Generating Function

Moment Generating Function

" ř tx
“ tX ‰ e P pxq, if X is discrete
MX ptq “ E e “ ş tx
e f pxq, if X is continuous

Properties of MGF
1 McX ptq “ MX pctq
2 If a random variable Y “ aX ` b where X is also a random variable,
a, b are constants, then MY ptq “ ebt MX patq
3 If X1 , X2 , . . . , Xn are independent random variables with MGF’s
MXi ptq, then for Y “ X1 ` X2 ` . . . ` Xn ,

MY ptq “ MX1 ptqMX2 ptq . . . MXn ptq

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 41 / 45
Relation between MGF and Moments

To find MGF using moments,

8 r
ÿ t 1
MX ptq “ µ
r“0
r! r

To find moments using MGF,

ˆ r ˙
1 d
µr “ MX ptq at t “ 0
dtr
`d ˘
Mean “ EpXq “ µ11 “ dt MX ptq at t “ 0
ˆ 2 ˙
1 d
µ2 “ MX ptq at t “ 0
dt2
Variance “ µ2 “ µ12 ´ pµ11 q2

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 42 / 45
Examples

1. Given the following bivariate probability distribution, calculate covpX, Y q

Y {X -1 0 1
1 2 1
0 15 15 15
3 2 1
1 15 15 15
2 1 2
2 15 15 15
2. Given that the joint pdf of the random variables X and Y is
#
kpx ` 2yq, 0 ď x ď 1, 0 ď y ď 1
f px, yq “
0 Otherwise.
Calculate covpx, yq
` 1 ˘x
3. The random variable X takes probability P pxq “ 2 , x “ 1, 2, . . ..
Find MGF, mean pXq, and VarpXq.

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 43 / 45
Examples

$
& x, 0ăxă1
4. Let X be a random variable with pdf f pxq “ 2´x 1ăxă2
0 Otherwise
%
Find the MGF of X, mean and variance of X.
5. Find the MGF and the rth moment for the distribution whose pdf is
f pxq “ ke´x , 0 ă x ă 8. Also, calculate mean of X.
6. Find the MGF of a random variable whose moments are µ1r “ pr ` 1q!2r
7. Calculate the standard deviation of a random variable which has MGF
5
MX ptq “ 5´t .

Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 44 / 45
Dr. P. Vijay KumarAssistant Professor, SAS-Mathematics Module 1: Probability and Random Variables 45 / 45