Introduction to Random variables, - One dimensional Random Variables, Discrete and

Continuous RV- Density and Distribution function of RV, Expectation, Variance, and its
properties, Covariance, and Moments. Moment Generating function

* Binomial and Poisson distributions

* Normal distribution, Exponential distributions, Weibull distribution
A Random Variable X is a real-valued function that maps numeric sample space S to the real numbers R.
(or)
A random variable X is a real number that is determined by the outcomes of the random experiment.
Eg:1.Tosssing 2 coins simultaneously
Sample space ={HH, HT, TH, TT}
Random Variables
Continuous Random Variable
Probability Mass Function(p.m.f)

rand
Probability distribution function for R.V
Probability density function - CRV
Distribution function or Cumulative Distrbution function (c.d.f)
Discrete Case
Distribution function or Cumulative Distrbution function (c.d.f)
Continuous Case

If X is a continuous random variable then cumulativedistribution function F

(x) is given by
x
P(X≤ �) = −∞
f x)dx
d d
i.e, f x) = F x), means p. d. f = (c.d.f)
dx dx
Properties of distribution function

For a continuous random variable X, the cumulative distribution function satisfies the
following properties.
(i) 0 ≤ F ( x) ≤ 1 .
(ii) F ( x) is a real valued non-decreasing. That is, if x < y , then F ( x) ≤ F ( y) .
(iii) F ( x) is continuous everywhere.
(iv) lim x → −∞ F (x) = F( − ∞) = 0 and lim x → ∞ F (x) = F (+∞) = 1.
(v) P (X > x) = 1 − P (X≤ x) = 1 − F (x) .
(vi) P(a < X < b) = F(b) −F(a) .
Measures of central tendency help you find the middle, or the average, of
a dataset.
The 3 most common measures of central tendency are the
1. Mean, 2. Median, 3. Mode, 4. Variavce, and 5. SD

The sum of all values divided by the total number of values.

The middle number in an ordered dataset.
The most frequent value.
A statistical measurement of the spread between numbers in a
data set.
A standard deviation (or σ) is a measure of how
dispersed the data is in relation to the mean.
Measures of central dispersion -Discrete Random variable
Mean: The sum of the product of x values and their corresponding probabilities is called mean (or) average
(or) expectation.
Variance: The sum of squares of deviation from means is called variance.
Standard Deviation(S.D): square root of the variance.
Discrete Case:
v The mean of the discrete Probability Distribution is defined as
�
�=1 �� � �� ) � �
�= � = ��
�=1 �
�� ) since �=1
� �� ) = 1
�=1 � �� )

v Expectation: : The Expectation of the discrete Probability Distribution is defined as

�
E(X) = ��
�=1 �
�� )

v Variance: The variance of the discrete Probability Distribution is defined as

��� �) = � �) = �[� − � �)]2
∴ � �) = �[�]2 − [� �)]2
= � 2 � − �2
Important Properties of Mean and Variance of Random Variables
Property 1: E (X + Y) = E (X) + E (Y). (X and Y are random variables)
Property 2: E (X1 + X2 + … + Xn) = E (X1) + E (X2) + … + E (Xn) = Σi E (Xi).
Property 3: E (XY) = E (X) E (Y). Here, X and Y must be independent.
Property 4: E [aX] = a E [X] and E [X + a] = E [X] + a, where a is a constant
Property 5: For any random variable, X > 0, E(X) > 0.
Property 6: E(Y) ≥ E(X) if the random variables X and Y are such that Y ≥ X.
Property 7: The variance of a constant is 0.
Property 8: V [aX + b] = a2 V(X), where a and b are constants, X is random variable.
Property 9: V (a1X1 + a2 X2 + … + anXn) = a12 V(X1) + a22 V(X2) + … + an2 V(Xn).
2. Let X be a random variable of sum of two numbers in throwing two fair dice.
Find the probability distribution of X, mean ,variance.
 n
Mean = μ = xi p xi )
i=1
1 2 3 4 5 6 3 2 1 5 4
=2 +3 +4 +5 +6 +7 +8 + 10 + 11 + 12 ) +9
36 36 36 36 36 36 36 36 36 36 36
= 7.
Variance = V X)= xi 2 pi − μ2
1 2 3 4 5 6 5 4
=4 +9 + 16 + 25 + 36 + 49 + 64 + 81 +
36 36 36 36 36 36 36 36
3 2 1
100 + 121 + 144 − 49
36 36 36
∴ Variance = 5.83
3. Let X be a random variable of maximum of two numbers in throwing two fair dice simultaneously.
Find the
a)Probability distribution of X
b)Mean
c)Variance
d)P(1<x<4)
e)P(2≤ � ≤ 4).

Sol: Sample space of throwing two dices = S ={(1,1),(1,2),(1,3),(1,4),(1,5),(1,6)

(2,1),(2,2),(2,3),(2,4),(2,5),(2,6)
(3,1),(3,2),(3,3),(3,4),(3,5),(3,6)
(4,1),(4,2),(4,3),(4,4),(4,5),(4,6)
(5,1),(5,2),(5,3),(5,4),(5,5),(5,6)
(6,1),(6,2),(6,3),(6,4),(6,5),(6,6)}

∴ � �) = 36.
 Let X = Maximum of two numbers in throwing two dice. So, the range of
X={1,2,3,4,5,6,}
X Favorable cases No of � �)
Favorable
cases
1 (1,1) 1 1
36
2 (2,1),)(1,2),(2,2) 3 3
36
3 (3,1),(1,3),(2,3)(3,3),(3,2) 5
5
4 (1,4),(4,1),(4,2),(2,4)(4,3),(3,4),(4,4) 7 36
7
5 (1,5),(5,1),(2,5),(5,2)(3,5),(5,3),(5,4),(4,5),(5,5) 9 36

9
6 (1,6)(6,1),(6,2),(2,6),(6,3),(3,6),(4,6),(6,4),(6,5)(5,6),(6,6) 11
36
11
36
-0.64
Measures of central dispersion -Continuous Random variable
Mean: The mean of the continuous Probability Distribution is defined as
∞
μ= xf x)dx.
−∞
Expectation: The Expectation of the continuous Probability Distribution is defined as
∞
E(X) = −∞ xf x)dx.
∞
In general,E g x)) = −∞ g x) f x)dx.
Variance: The variance of the Continuous Probability Distribution is defined as
∞
Var X) = V X) = x2 f x)dx − μ2 .
−∞

Mean Deviation: Mean deviation of continuous probability distribution function is defined as

∞
x − μ f x)dx.
−∞
Median: Median is the point which divides the entire distribution in to two equal parts. In case of continuous distribution,
M b 1
median is the point which divides the total area in to two equal parts. i.e, a
f x)dx = M
f x)dx = ∀ x ∈ a, b) .
2
Mode: Mode is the value of x for which f x)is maximum.
i.ef′ x) = 0 and f" x) < 0 for x ∈ a, b)
 �
1.If the probability density function � �) = ; − ∞ < � < ∞. Find the value of ‘k’ and
1+�2
cumulative distribution function of F x).

b
Sol: Since total area under the probability curve is 1i. e, a f x)dx = 1.
∞
�
�
dx = 1.
−∞ � + �
−1
∞
2k tan x) = 1
0
2k tan−1 ∞ − tan−1 0 ) =1
1
∴k=
π

Cumulative distribution function of f x) is given by

x x
� 1 −1
x 1 π −1 x)].
f x)dx = �
dx = tan x) = [ + tan
−∞ −∞ � + � π −∞ π 2
2. If the probability density function f x) = ce− x ; − ∞ < x < ∞. Find the value of ‘c’,
mean and variance.
Sol: Since total area under the probability curve is 1
b
i. e, f x)dx = 1.
a
∞
��− � dx = 1
−∞
∞
2 ��−� dx = 1
0
�−� ∞
2c ) =1
−1 0
1
∴c=
2
∞ 1 ∞ −�
Mean=μ = −∞ xf x)dx = −∞
x� dx = 0. sincex�− � is an odd function .
2
variance = V X)
∞ ∞ ∞
1 1
= x2 f x)dx − μ2 = x2 �− � dx =− 0 = 2x2 �−� dx = [x2 − �−� ) − 2x �−� )
−∞ 2 −∞ 2 0
−� )]
∞
+2 −� = 2.
0
 sinx
3. If the probability density function f x) = 2 if 0 ≤ x ≤ π . Find mean, median,
π
0 otherwise
mode and P 0 < x < ).
2
∞ 1 π ���� 1 π π
Sol: Mean=μ = −∞ xf x)dx = 0
x dx = [−xcosx + sinx] = .
2 � 2 0 2
Let M be the Median then
M π
1
f x)dx =
f x)dx = ∀ x ∈ −∞, ∞)
0 M 2
M π
sinx sinx 1
dx = dx = ∀ x ∈ −∞, ∞)
0 2 M 2 2
π ���� 1 π
consider M dx = then −cosx) =1
� 2 M
π
∴M=
2
sinx
Since f x) = 2 if 0 ≤ x ≤ π
0 otherwise
To find maximum, we have f′ x) = 0
π
i.e, cosx = 0 impliesthatx =
2
sinx π
and f′′ x) =− whichislessthan 0 atx =
2 2
π
∴ Mode = .
2
 0 ifx ≤ 1
4.If the distributed function is given by F x) = k x − 1)4 if 1 ≤ x ≤ 3. Find k, f x), mean.
1 ifx > 3
Sol: Cumulative distribution function of f x) is given by
x d
−∞
f x) dx i.e, f x) = F x)
dx

0 ifx ≤ 1
i.e, f x) = 4k x − 1)3 if 1 ≤ x ≤ 3
0 ifx > 3
b
Since total area under the probability curve is 1i. e, a
f x)dx = 1
3
4k x − 1)3 dx = 1
1
3
[k x − 1)4 ] = 1
1
1
∴k=
16
1 0 ifx ≤ 1
∴ f x) = x − 1)3 if 1 ≤ x ≤ 3
4
0 ifx > 3
∞ 1 3
Mean=μ = −∞
xf x)dx = x x − 1)3 dx = 19.6.
4 1