CHAPTER THREE

ONE DIMENSIONAL RANDOM

VARIABLES
 3.1 Random Variable
• Definition: Let E be an experiment and S be a sample space
associated with the experiment. A function X that assigns to every
element s ∈ S , a real number, X(s), is called a random variable.
• The set of all possible values of the random variable X is called
the range space.
• Moreover, the domain of the random variable X is S.
• A random variable, X, is a function that assigns a single, but
variable, value to each element of a sample space.
• A random variable, X, provides a means of assigning numerical
values to experimental outcomes.
• A random variable, X, is a numerical description of the
outcomes of the experiment or a numerical valued function
defined on sample space, usually denoted by capital letters.
 Random variable

Example: Flip a coin three times, let X be the number of heads in three
tosses.
S Rx
X(S)
HHH 3
HHT 2
HTH 2
HTT 1
THH 2
THT 1
TTH 1
TTT 0

X = {0, 1, 2, 3}
3
 Random variable

Notice that:
each possible outcome is assigned a single numeric value,
all outcomes are assigned numeric values, and
the value assigned varies across the outcomes.
The count of the number of heads is a random variable
Probability Distribution
The probability distribution for a random variable describes how the
probabilities are distributed over the values of the random variable.

4
 Types of Random Variables
• Depending upon the numerical values it can assume, a random variable can
be classified into two major divisions.
 Discrete Random Variable and

 Continuous Random Variable

5.2. Discrete Random Variable

• Definition: Let X be a random variable. If the number of possible values of
X (i.e. Rx) is finite or countably infinite, then we call X as a discrete random
variable. That is, the possible values of X may be listed as x1, x2,…, xn,… In
the finite case, the list terminates and in the countably infinite case the list
continues indefinitely.
Examples:
– Toss a coin n times and count the number of heads.
– Number of children in a family.
– Number of car accidents per week.
– Number of defective items in a given company.
– Number of bacteria per two cubic centimeter of water.
 Probability Distribution of Discrete
Random Variable
• Definition: Let X be a discrete random variable. Hence, R x consists
of at most a countably infinite number of values, x1, x2,…, with each
possible outcome xi we associate a number P(xi)=P(X= xi) called the
probability of xi. The probabilities P(xi) for i = 1, 2, 3, . . . , n, ... must
satisfy the following two conditions:
I .P ( xi )  0 foralli
n
II . P ( xi )  1
i 1

• The function p defined above is called the probability function (or

point probability function) of the r.v X.
• Furthermore, the tabular arrangement of all possible values of X with
their corresponding probability is called probability distribution of
X.
 Probability Distribution of Discrete Random variable

• Example: Roll two six sided dice. Let X be a random variable defined as
sum of the numbers shown up. Construct a probability Distribution of X?

Die 2
1 2 3 4 5 6
1 (1,1) 2 (1,2) (1,3) 4 (1,4) 5 (1,5) 6 (1,6) 7
3
Die 1 2 (2 ,1) 3 (2,2) 4 (2, 3) 5 (2, 4) 6 (2,5 ) 7 (2, 6) 8
3 (3, 1) 4 (3, 2) 5 (3, 3) 6 (3, 4) 7 (3, 5) 8 (3, 6) 9
4 (4, 1) 5 (4, 2) 6 (4, 3) 7 (4, 4) 8 (4, 5) 9 (4, 6) 10
5 (5, 1) 6 (5, 2) 7 (5, 3) 8 (5, 4) 9 (5, 5) 10 (5, 6) 11
6 (6, 1) 7 (6, 2) 8 (6, 3) 9 (6, 4) 10 (6, 5) 11 (6, 6) 12

X 2 3 4 5 6 7 8 9 10 11 12
P(X=x) 361 2
36
3
36
4
36
5
36
6
36
5
36
4
36
3
36
2
36
1
36

8
 3.3. Continuous Random Variable

• Definition: A random variable X is said to be a

continuous random variable if it assumes all
values in some interval (c,d), where c and d are
real numbers.
• Examples:
– Height of students at a certain college .
– Mark of a student.
– Life time of light bulbs.
– Length of time required to complete a given training.
 Probability Density Function (pdf) of Continuous Random Variables

 A random variable X is said to be a continuous random variable if there

exists a function f, called the probability density function (pdf) of X,
satisfying the following conditions:

a ) f x   0 for all x

b)  f x dx  1


c) for any a and b with   a  b  

b
pa  x  b    f x dx
a

10
 Probability Density Function (pdf) of Continuous Random Variables

Remark
Probability at a point is zero

a
px  a    f x dx  0
a

Consider following equality holds for a continuous random variable

b
pa  x  b   pa  x  b   pa  x  b   pa  x  b    f x dx
a

11
 Probability Density Function (pdf) of Continuous Random Variables

Example 1: Let X be a continuous random variable with probability

density function (pdf):
2 x, if 0  x  1
f x   
0, otherwise

a. verify that f is a pdf

 Solution
 f is legitimate if it is positive valued and area under curve (green shaded) is one

 f x dx  1
RX

1
1
 2x 
11

0 2 xdx   1  1 

0

1 12
 Probability Density Function (pdf) of Continuous Random Variables

Example 1: Let X be a continuous random variable with probability

density function (pdf):

b. find P(0.5<x<0.75)

0.75
p0.5  x  0.75   2 xdx  x 
2 0.75
0.5
0.5

 0.752  0.52

 0.3125

13
 Probability Density Function (pdf) of Continuous Random Variables

Example 2: For some constant c, the random variable X has probability

density function: cx 2 , if 0  x  1
f x   
0, otherwise

a. What should be the value of c, so that f is a pdf

 f x dx  1
RX
1
  cx 2 dx  1
0
1
 cx  2 1
    1
 2 1  0
1
c  b. Find P(X≥1/2)
  x3   1
3 0
c3 14
Conditional Probability in the Case of Continuous Random Variables

Recall that for the case of discrete random variables the conditional
probability is given by:

The same formulation holds true for the case of continuous random variables
except that A and B take range of values (intervals) rather than discrete values.

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Conditional Probability in the Case of Continuous Random Variables

 Example: The diameter of an electric cable is assumed to be a continuous

random variable, say X, with pdf

6 x1  x , if 0  x  1
f x   
0, otherwise
 Compute

 1 1 2
P x  |  x  
 2 3 3

16
Conditional Probability in the Case of Continuous Random Variables
Solution

Let A and B 6 x1  x , if 0  x  1

f x   
0, otherwise
A∩B:

Required: P(A/B)

1
1 1 2
 
1
pA  B   p  x     6 x1  x dx  3x  2 x 1
2 3 2

3 2 1 3
3
 1 2
 1 
3
   1 
2
 1 
3

  3    2       3    2    
 2  2    3  3  
   
 0.2407
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Conditional Probability in the Case of Continuous Random Variables
Solution

   6 x1  x dx  3x  2 x  1

1 2 2 2
pB   p  x  2 3 3

3 3 1 3
3
  2 2  2 
3
   1 
2
 1 
3

  3    2       3    2    
 3  3     3   3  

Then  0.4815

pA  B 
pA / B  
p B 
0.2407
  0.4999
0.4815

18
 Cumulative distribution function and its properties
The cumulative probability function, denoted F(x), shows the probability that X
is less than or equal to x
F x   P  X  x 
Notation: Cumulative distribution function is usually denoted by upper case
alphabets.
Theorems
If X is a discrete random variable, then
F x   P X  x    P x j  x j  x
j
If X is a continuous random variable, then
x
F x   P  X  x    f (u )du

19
 Cumulative distribution function and its properties
Example 1: Let S={HH, HT, TH, TT} and X: the number of heads. Clearly, X is a
discrete random variable. Find the CDF of X.
X 0 1 2
P(X=x) 1 2 1
4 4 4

Solution
The possible values for X are 0, 1, and 2.

0, if x  0

1 / 4, if 0  x  1
F x   
3 / 4, if 1  x  2

1, if x  2
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 Cumulative distribution function and its properties
Example 2: Find the cdf of the random variable X whose pdf is given by
 x, if 0  x  1

f x    2  x , 1  x  2

0, otherwise

Solution
By definition CDF, F(X), is P(X≤x)

x
F x    f t dt


21
 Cumulative distribution function and its properties
Example 2: Find the cdf of the random variable X whose pdf is given by
Solution
For x≤0
x x
F x    f t dt   0dt  0
 

For 0≤x<1

x x x
1 2 1 2
F x    f t dt  0 tdt   t   x
2 0 2

22
 Cumulative distribution function and its properties
Example 2: Find the cdf of the random variable X whose pdf is given by
Solution
For 1≤x<2
x 0 1 x
F x    f t dt   0dt   t dt   2  t dt
  0 1

1 x
0 1  1 
 0   t 2   2t  t 2 
2 0  2 1

1  1   1 
 0   2 x  x 2    2  
2  2   2 
1 2
 2x  x 1
2

23
 Cumulative distribution function and its properties
Example 2: Find the CDF of the random variable X whose pdf is given by
Solution x 0 1 2 x
F x    f t dt   0dt   t dt   2  t dt   0dt 
For x≥2
  0 1 2

1 2
0 1  1 
 0   t 2   2t  t 2   0
2 0  2 1
Hence the CDF of X is
0, if x0

1 x2 , if 0  x  1
 2
F x   
2 x  1 x 2  1, if 1  x  2
 2

1, if  2
24
 Cumulative distribution function and its properties
Theorem:
If X is a continuous random variable, then we have

d
f x   F x 
dx

If X is a discrete random variable, then we have

p x j   F x j  F x j 1 

Remark: P(a ≤ X ≤ b)=F(b)-F(a)

25
 Cumulative distribution function and its properties
Example: Suppose X is a continuous random variable with cdf
0, if x  0
F x   
1  e  x , if x  0

Find the pdf of X

Solution
d
f x   F x 
dx

f x   1  e  x 
d
dx

e  x , if x  0
f x   
0, otherwise
26
 Cont…
• Suppose X is a continuous random variable
with pdf.
• f(x)= if 0≤x<1
0 otherwise
Find CDF of the random variable X
 Cont…
• Suppose X is a discrete random variable with
pdf
X -2 -1 0 1 2
P(x) 1/5 1/6 1/5 1/15 11/30

• Find CDF of the random variable X

 Cont.
• Example: If the probability density function of the random variable X is
given by

1
f x   ( 2 x  1)
144
for x = 1, 2, 3, ..., 12 then find the cumulative distribution function of X.
 Cont.
• The space of the random variable X is given by
RX = {1, 2, 3, ..., 12}
• F(1) = 1/144
• F(2) =4/144
………………

………………

• F(12)=1
 Cont.
• If the space of the random variable X is given by RX = {x1 < x2 < x3 < · · ·
<xn}, then
f(x1) = F(x1)
f(x2) = F(x2) - F(x1)
f(x3) = F(x3) - F(x2)
.. ........
.. ........
f(xn) = F(xn) - F(xn-1).
 Cont.
• Example: Find the probability density function of the random variable X
whose cumulative distribution function is

0.00, if x  1
0.25, if  1  x  1


F x   0.5, if 1  x  3
0.75, if 3  x  5


1 if  5
 Cont.
• f(-1) = 0.25
f(1) = 0.50 - 0.25 = 0.25
f(3) = 0.75 - 0.50 = 0.25
f(5) = 1.00 - 0.75 = 0.25.
 Cont.
• Example: What is the probability density function of the random variable
whose cdf is

F(x) =-∞<x <∞

• f(x) = F(x)

=
 Cont…
• f(x)= if 0≤x<1
0 , Otherwise
a. Find the values of c if f(x) is pdf.
b. Find CDF of X