3-Random Variables-04-01-2023

MAT2001-Module-2: Randaom Variables
Dr. Nalliah M
Assistant Professor
Department of Mathematics
School of Advanced Sciences
Vellore Institute of Technology
Vellore,Tamil Nadu,India.
nalliah.moviri@vit.ac.in
July 28, 2020

Dr. Nalliah M Module-2 July 28, 2020 1 / 54
Intoduction
Statistics is concerned with making inferences about populations and

population characteristics. Experiments are conducted with results that
are subject to chance. The testing of a number of electronic components
is an example of a statistical experiment, a term that is used to describe
any process by which several chance observations are generated. It is often
important to allocate a numerical description to the outcome.
For example, the sample space giving a detailed description of each

possible outcome when three electronic components are tested may be
written S = {NNN, NND, NDN, DNN, NDD, DND, DDN, DDD}, where
N denotes nondefective and D denotes defective.

One is naturally concerned with the number of defectives that occur.
Thus, each point in the sample space will be assigned a numerical value of
0, 1, 2, or 3. These values are, of course, random quantities determined by
the outcome of the experiment. They may be viewed as values assumed by
the random variable X , the number of defective items when three
electronic components are tested.
A random variable is a variable that associates a real number with each

element in the sample space.

Example
Two balls are drawn in succession without replacement from an urn

containing 4 red balls(R) and 3 black balls(B). The possible outcomes
S = {RR, RB, BR, BB}. Then we define a function X from S to real
number R, where X represent the number of red balls for every sample of
S

The variable X , representing the number of red balls in a sample of S.
Define X : S −→ R by
X (s1 ) = 2
X (s2 ) = 1
X (s3 ) = 1
X (s4 ) = 0
where si ∈ S, i = 1, 2, 3, 4.
Thus the variable X is called a random variable with the values x is 0, 1, 2.

If a sample space contains a finite number of possibilities or an unending
sequence with as many elements as there are whole numbers, it is called a
discrete sample space.
If a sample space contains an infinite number of possibilities equal to the

number of points on a line segment, it is called a continuous sample space.
A random variable is called a discrete random variable if its set of possible

outcomes is countable.
When a random variable can take on values on a continuous scale, it is

called a continuous random variable.

Discrete Probability Distributions
A discrete random variable assumes each of its values with a certain

probability.
In case of tossing a coin two times, the possible outcomes are
S = {HH, HT , TH, TT }. The variable X , representing the number of
heads in s ∈ S. Now, we define by X : S −→ R as
X (s1 ) = 2
X (s2 ) = 1
X (s3 ) = 1
X (s4 ) = 0.

Thus the random variable X and the values of x with the probability
values of x is given below table.
X 0 1 2
1 1 1
P(x)=P(X=x) 4 2 4
The set of ordered pairs (x, P(x)) is called the probability mass function,
probability function, or probability distribution of the discrete random
variable X .

Probability mass function
The set of ordered pairs (x, P(x)) is a probability mass function,

probability function, or probability distribution of the discrete random
variable X if, for each possible outcome x,
P(x) ≥ 0
P
P(x) = 1.
x

Example
A shipment of 20 similar laptop computers to a retail outlet contains 3

that are defective. If a school makes a random purchase of 2 of these
computers, find the probability distribution for the number of defectives.
Solution
Let X be a random variable whose values x are the possible numbers of
defective computers purchased by the school. Now,
(3)(17)
P(X = 0) = 0 20 2 = 68
95
(2)
(3)(17) 51
P(X = 1) = 1 20 1 = 190
(2)
(3)(17) 3
P(X = 2) = 2 20 0 = 190
(2)

Thus, the probability distribution of X is given below table.
X 0 1 2
68 51 3
P(x)=P(X=x) 95 190 190

Continuous Probability Distributions
A continuous random variable has a probability of 0 of assuming exactly

any of its values. Consequently, its probability distribution cannot be given
in tabular form.
Let us discuss a random variable whose values are the heights of all people
over 21 years of age.
Between any two values, say 163.5 and 164.5 centimeters, or even 163.99
and 164.01 centimeters, there are an infinite number of heights, one of
which is 164 centimeters.

The probability of selecting a person at random who is exactly 164
centimeters tall and not one of the infinitely large set of heights so close to
164 centimeters that you cannot humanly measure the difference is
remote, and thus we assign a probability of 0 to the event.
This is not the case, however, if we talk about the probability of selecting
a person who is at least 163 centimeters but not more than 165
centimeters tall.
Now we are dealing with an interval rather than a point value of our
random variable.

We shall concern ourselves with computing probabilities for various
intervals of continuous random variables such as
P(a < X < b), P(W ≥ c), and so forth. Note that when X is continuous,
P(a < X ≤ b) = P(a < X < b) + P(X = b) = P(a < X < b). That is, it
does not matter whether we include an endpoint of the interval or not.
This is not true, though, when X is discrete.
A probability density function is constructed so that the area under its

curve bounded by the x-axis is equal to 1 when computed over the range
of X for which f (x) is defined.

Should this range of X be a finite interval, it is always possible to extend
the interval to include the entire set of real numbers by defining f (x) to be
zero at all points in the extended portions of the interval.
In the following Figure, the probability that X assumes a value between a

and b is equal to the shaded area under the density function between the
ordinates at x = a and x = b, and from integral calculus is given by
Z b
P(a < X < b) = f (x)dx.
a

Probability density function
The function f (x) is a probability density function (pdf) for the continuous
random variable X , defined over the set of real numbers, if
fZ(x) ≥ 0, for all x ∈ R,
∞
f (x)dx = 1.
−∞
Example
Suppose that the error in the reaction temperature, in C, for a controlled
laboratory experiment is a continuous random variable X having the
probability density function

 x 2 , −1 < x < 2

3
f (x) =
0.

elsewhere.
Example Cont...
1 Verify that f (x) is a density function.

2 Find P(0 < X ≤ 1).
Solution
For(1),
Obviously, f (x) ≥ 0. To verify condition
Z ∞
f (x)dx = 1.
−∞

Example Cont...
Now,
Z ∞ Z −∞ Z 2 Z ∞
f (x)dx = f (x)dx + f (x)dx + f (x)dx
−∞ −1 −1 2
2
x2
Z
=0+ dx + 0
−1 3
2
x3

=
3×3 −1
8 (−1)
= −
9 9
8 (1)
= +
9 9
= 1.

Example Cont...
For(2),
Z 1
P(0 < X ≤ 1) = f (x)dx
0
1
x2
Z
= dx
0 3
3 1
x
=
3×3 0
1
= −0
9
1
= .
9

Cumulative distribution function
The cumulative distribution function F (x) of a random variable X with

probability distribution P(x) and probability desity function f (x) is

P


 P(X = t), If X is discrete
t≤x
F (x) = P(X ≤ x) = Z x
f (x)dx, If X is continuous



−∞
Let F (x) be a cumulative distribution function of a continuous random

d(F (x))
variable X . Then P(a < X < b) = F (b) − F (a) and f (x) = dx , if the
derivative exists.

Problem
A random variable X has the following probability mass function is given
X -2 -1 0 1 2 3
P(X) 0.1 k 0.2 2k 0.3 k
1 Find k.
2 Evaluate P(X ≤ 2) and P(−1 ≤ X ≤ 2).
3 Find the cumulative distribution function.

Solution
P
For(1), since P(x) is p.m.f, and P(x) = 1. , it follows that we get
x
X
P(x) = 1
x
0.1 + k + 0.2 + 2k + 0.3 + k = 1
0.6 + 4k = 1
4k = 0.4
0.4
k=
4
k = 0.1

Solution Cont...
X -2 -1 0 1 2 3
P(X) 0.1 0.1 0.2 0.2 0.3 0.1
For(2),
P(X ≤ 2) = P(X = −2) + P(X = −1) + P(X = 0) + P(X = 1) + P(X = 2)
= 0.1 + 0.1 + 0.2 + 0.2 + 0.3
= 0.9
OR
Solution Cont...
P(X ≤ 2) = 1 − P(X > 2)
= 1 − P(X = 3)
= 1 − 0.1
= 0.9
Now,
P(−1 ≤ X ≤ 2) = P(X = −1) + P(x = 0) + P(x = 1) + P(x = 2)
= 0.1 + 0.2 + 0.2 + 0.3
= 0.8
Solution Cont...
P
F (x) = P(X ≤ x) = P(X = t).
t≤x

P(X ≤ −2) = 0.1, If x = −2







P(X ≤ −1) = 0.2, If x = −1







P(X ≤ 0) = 0.4,

If x = 0
F (x) =
P(X ≤ 1) = 0.6, If x = 1







P(X ≤ 2) = 0.9, If x = 2







P(X ≤ 3) = 1,

If x = 3.

Problem
A random variable X has the following probability mass function is given
X 0 1 2 3 4 5 6 7
P(X) 0 k 2k 2k 3k k2 2k 2 7k 2 +k
1 Find k.
2 Evaluate P(X ≤ 6), P(X ≥ 6) and P((1.5 < X < 4.5)/(X > 2))

Problem
Let X be a continuous random variable with probability density function

(pdf) is 
2x, 0 < x < 1

f (x) =
0.

elsewhere.
1 Find P(X ≤ 0.4), P(X ≥ 34 ) and P(X ≥ 12 .)

2 Evaluate P( 12 < X ≤ 34 ) and P(X > 43 /X > 12 ).

Solution
P((X > 34 ) ∩ (X > 21 ))

3 1
For(2), P X > /X > =
4 2 P(X > 12 )
P(X > 34 )
=
P(X > 12 )
Z 1
2xdx
3
= Z 41
2xdx
1
2
2 1
x 3 7
7
4 16
= = = .
[x 2 ]11 3
4
12
2

Problem
The Department of Energy (DOE) puts projects out on bid and generally
estimates what a reasonable bid should be. Call the estimate b. The DOE
has determined that the density function of the winning (low) bid is

5 2
8b , 5b ≤ y ≤ 2b


f (y ) =
0.

elsewhere.
Find F (y ) and use it to determine the probability that the winning bid is
less than the DOE’s preliminary estimate b.

Solution
Z y
To find F (y ),F (y ) = P(Y ≤ y ) = f (y )dy .
−∞
Z 2b h i2b
5y 5y
For 25 b ≤ y ≤ 2b, then P(Y ≤ y ) = 5
8b dy = 8b 2
= 8b − 14 .
2
b 5
b
5
Thus, 



0, y ≤ 25 b

F (y ) = 5y 1 2
 8b − 4 , 5b ≤ y ≤ 2b


y ≥ 2b.

1.

Two dimensional random Variables
Our study of random variables and their probability distributions in the

preceding sections was restricted to one-dimensional sample spaces, in that
we recorded outcomes of an experiment as values assumed by a single
random variable.
There will be situations, however, where we may find it desirable to record

the simultaneous outcomes of several random variables.
For example, we might measure the amount of precipitate P and volume

V of gas released from a controlled chemical experiment, giving rise to a
two-dimensional sample space consisting of the outcomes (p, v ), or we
might be interested in the hardness H and tensile strength T of
cold-drawn copper, resulting in the outcomes (h, t).
Two dimensional random Variables
In a study to determine the likelihood of success in college based on high

school data, we might use a threedimensional sample space and record for
each individual his or her aptitude test score, high school class rank, and
grade-point average at the end of freshman year in college.
For example, if an 18-wheeler is to have its tires serviced and X represents

the number of miles these tires have been driven and Y represents the
number of tires that need to be replaced, then p(30000, 5) is the
probability that the tires are used over 30,000 miles and the truck needs 5
new tires.

Joint probability distribution
Definition
The function p(x, y ) is a joint probability distribution or probability mass
function of the discrete random variables X and Y if
1 p(x, y ) ≥ 0, for all (x, y ),
PP
2 p(x, y ) = 1,
x y
where p(x, y ) = P(X = x, Y = y ).

Problem
Two ballpoint pens are selected at random from a box that contains 3 blue
pens, 2 red pens, and 3 green pens. If X is the number of blue pens
selected and Y is the number of red pens selected, find
1 the joint probability function p(x, y ).
2 P (X + Y ≤ 1).

Solution
For(1),
The possible pairs of values (x, y ) are (0, 0), (0, 1), (1, 0), (1, 1), (0, 2), and
(2, 0).
Now, p(0, 1), for example, represents the probability that a red and a
green pen are selected. The total number of equally likely ways of
selecting any 2 pens from the 8 is 82 = 28

The number of ways of selecting 1 red from 2 red pens and 1 green from 3
green pens is 21 31 = 6.

6 3
Hence, p(0, 1) = 28 = 14 .
Similar calculations yield the probabilities for the other cases, which are
presented in following table.
Solution Cont...
x
p(x, y ) Row Totals
0 1 2
3 9 3 15
0 28 28 28 28
3 3 3
y 1 14 14 0 7
1 1
2 28 0 0 28
5 15 3
Column Totals 14 28 28 1
For (2), P(X + Y ≤ 1) = p(0, 0) + p(0, 1) + p(1, 0)

3 3 9
= + +
28 14 28
9
= .
14
Joint probability density function
Definition
The function f (x, y ) is a joint probability density function of the
continuous random variables X and Y if
1 f (x, y ) ≥ 0, for all (x, y ),
Z ∞Z ∞
2 f (x, y )dxdy = 1.
−∞ −∞

Problem
A privately owned business operates both a drive-in facility and a walk-in

facility. On a randomly selected day, let X and Y , respectively, be the
proportions of the time that the drive-in and the walk-in facilities are in
use, and suppose that the joint density function of these random variables
is 
 2 (2x + 3y ), 0 ≤ x ≤ 1, 0 ≤ y ≤ 1

5
f (x, y ) =
0,

elesewhere.
1 Verify f (x, y ) is a probability density function
Find P 0 < X < 12 , 14 < Y < 12

2

Solution
Z ∞ Z ∞
For(1), f (x, y )dxdy = 1.
−∞ −∞
Z ∞ Z ∞ Z 1Z 1
2
f (x, y )dxdy = (2x + 3y )dxdy
−∞ −∞ 0 0 5
Z 1 2 x=1
2x 6xy
= + dy
0 5 5 x=0
Z 1
2 6y
= + dy
0 5 5
y =1
3y 2

2y
= +
5 5 y =0
2 3
= +
5 5
= 1.
Solution Cont...
For(2), P 0 < X < 12 , 14 < Y < 1

2
Z 1 Z 1
1 1 1 2 2 2
P 0<X < , <Y < = (2x + 3y )dxdy
2 4 2 1
0 5
4
Z 1 2 x= 12
2 2x 6xy
= + dy
1 5 5 x=0
4
Z 1
2 1 3y
= + dy
1 10 5
4
y = 21
3y 2

y
= +
10 10 y = 1
4
1 1 3 1 3 13
= + − + = .
10 2 4 4 16 160
The marginal distributions
The marginal distributions of X alone and of Y alone are

P P
PX (x) = p(x, y ) and PY (y ) = p(x, y ), if (X , Y ) discrete case, and
y x
Z ∞ Z ∞
fX (x) = f (x, y )dy and fY (y ) = f (x, y )dx,if (X , Y ) continuous
−∞ −∞
case.

The conditional distributions for discrete case
Let X and Y be two discrete random variables. The conditional

distribution of the random variable Y given that X = x is
p(x, y )
P(Y /X ) = , provided PX (x) > 0
PX (x)
Similarly, the conditional distribution of X given that Y = y is

p(x, y )
P(X /Y ) = , provided PY (y ) > 0.
PY (y )

The conditional distributions for continuous case
Let X and Y be two continuous random variables. The conditional

distribution of the random variable Y given that X = x is
f (x, y )
f (y /x) = , provided fX (x) > 0
fX (x)
Similarly, the conditional distribution of X given that Y = y is

f (x, y )
f (x/y ) = , provided fY (y ) > 0.
fY (y )

Problem
The joint probability mass function of two dimensional random variables

(X , Y ) is
x
p(x, y )
0 1 2
3 9 3
0 28 28 28
3 3
y 1 14 14 0
1
2 28 0 0
1 Find the marginal distributions functions of X and Y

2 Find the conditional distribution function of X given Y = 1.

Solution
x
p(x, y ) PY (y )
0 1 2
3 9 3 15
0 28 28 28 28
3 3 3
y 1 14 14 0 7
1 1
2 28 0 0 28
5 15 3
PX (x) 14 28 28 1

5

 , x =0
 14


The marginal distributions functions of X is PX (x) = 15 , x =1
 28


3,

x = 2.
28

Solution Cont...

15

 28

 , y =0

The marginal distributions functions of Y is PY (y ) = 3 , y =1
 7


1,

y = 2.
28
For(2),To find the conditional distribution of X , given that Y = 1. We

p(x, y )
need to find P(X /Y ) = , provided PY (y ) > 0., where y = 1
PY (y )
p(x, 1)
That is, to find P(X /1) =
PY (1)
x=2
3 3
+ 0 = 37 .
P
First we have find PY (1) = p(x, 1) = 14 + 14
x=0
Solution Cont...
p(x, 1)
Now,P(X /1) = = 37 p(x, 1), x = 0, 1, 2
PY (1)
p(0, 1)
= 73 p(0, 1) = 37 14
3 1
Therefore,P(0/1) = = 2
PY (1)
p(1, 1)
= 73 p(1, 1) = 73 14
3
P(1/1) = = 12
PY (1)
p(2, 1)
P(2/1) = = 73 p(2, 1) = 73 (0) = 0
PY (1)

Solution Cont...
The conditional distribution of X , given that Y = 1, is


1

 , x =0
2


P(X /1) = 1 , x =1
 2



0, x = 2.

Problem
The joint probability mass function of two dimensional random variables

(X , Y ) is
y
p(x, y )
1 2 3 4
4 2 5 1
1 36 36 36 36
1 3 1 2
2 36 36 36 36
x 3 3 1 1
3 36 36 36 36
2 1 1 5
4 36 36 36 36
1 Find the marginal distributions functions of X and Y

2 Find the conditional distribution function of X given Y = y
3 Find the conditional distribution function of Y given X = x.
Solution
For(1),
y
p(x, y ) PX (x)
1 2 3 4
4 2 5 1 12
1 36 36 36 36 36
1 3 2 1 7
2 36 36 36 36 36
x 3 3 1 1 8
3 36 36 36 36 36
2 1 1 5 9
4 36 36 36 36 36
10 9 9 8
PY (y ) 36 36 36 36 1

Solution Cont...
The marginal distributions functions of X is


 12 ,

x =1


 36


7,

x =2
36
PX (x) =
8
36 , x =3






9,

x = 4.

36

Solution Cont...
The marginal distributions functions of Y is


 10 , y = 1



 36


9, y =2

36
PY (y ) =
9
36 , y = 3






 8 , y = 4.


36

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MAT2001-Module-2: Randaom Variables

July 28, 2020

Statistics is concerned with making inferences about populations and

For example, the sample space giving a detailed description of each

Dr. Nalliah M Module-2 July 28, 2020 2 / 54

A random variable is a variable that associates a real number with each

Dr. Nalliah M Module-2 July 28, 2020 3 / 54

Two balls are drawn in succession without replacement from an urn

Dr. Nalliah M Module-2 July 28, 2020 4 / 54

Dr. Nalliah M Module-2 July 28, 2020 5 / 54

If a sample space contains an infinite number of possibilities equal to the

A random variable is called a discrete random variable if its set of possible

When a random variable can take on values on a continuous scale, it is

Dr. Nalliah M Module-2 July 28, 2020 6 / 54

A discrete random variable assumes each of its values with a certain

Dr. Nalliah M Module-2 July 28, 2020 7 / 54

Dr. Nalliah M Module-2 July 28, 2020 8 / 54

The set of ordered pairs (x, P(x)) is a probability mass function,

Dr. Nalliah M Module-2 July 28, 2020 9 / 54

A shipment of 20 similar laptop computers to a retail outlet contains 3

Dr. Nalliah M Module-2 July 28, 2020 10 / 54

Dr. Nalliah M Module-2 July 28, 2020 11 / 54

A continuous random variable has a probability of 0 of assuming exactly

Dr. Nalliah M Module-2 July 28, 2020 12 / 54

Dr. Nalliah M Module-2 July 28, 2020 13 / 54

A probability density function is constructed so that the area under its

Dr. Nalliah M Module-2 July 28, 2020 14 / 54

In the following Figure, the probability that X assumes a value between a

Dr. Nalliah M Module-2 July 28, 2020 15 / 54

1 Verify that f (x) is a density function.

Dr. Nalliah M Module-2 July 28, 2020 18 / 54

Dr. Nalliah M Module-2 July 28, 2020 19 / 54

Dr. Nalliah M Module-2 July 28, 2020 20 / 54

The cumulative distribution function F (x) of a random variable X with

Let F (x) be a cumulative distribution function of a continuous random

Dr. Nalliah M Module-2 July 28, 2020 21 / 54

A random variable X has the following probability mass function is given

Dr. Nalliah M Module-2 July 28, 2020 22 / 54

0.1 + k + 0.2 + 2k + 0.3 + k = 1

Dr. Nalliah M Module-2 July 28, 2020 23 / 54

P(X ≤ 2) = P(X = −2) + P(X = −1) + P(X = 0) + P(X = 1) + P(X = 2)

= 0.1 + 0.1 + 0.2 + 0.2 + 0.3

P(X ≤ 2) = 1 − P(X > 2)

P(−1 ≤ X ≤ 2) = P(X = −1) + P(x = 0) + P(x = 1) + P(x = 2)

= 0.1 + 0.2 + 0.2 + 0.3

Dr. Nalliah M Module-2 July 28, 2020 26 / 54

A random variable X has the following probability mass function is given

Dr. Nalliah M Module-2 July 28, 2020 27 / 54

Let X be a continuous random variable with probability density function

1 Find P(X ≤ 0.4), P(X ≥ 34 ) and P(X ≥ 12 .)

Dr. Nalliah M Module-2 July 28, 2020 28 / 54

P((X > 34 ) ∩ (X > 21 ))

Dr. Nalliah M Module-2 July 28, 2020 29 / 54

Dr. Nalliah M Module-2 July 28, 2020 30 / 54

Dr. Nalliah M Module-2 July 28, 2020 31 / 54

Our study of random variables and their probability distributions in the

There will be situations, however, where we may find it desirable to record

For example, we might measure the amount of precipitate P and volume

In a study to determine the likelihood of success in college based on high