Lectured by Ha Hoang Kha, Ph.D.

Ho Chi Minh City University of Technology

Email: hahoangkha@gmail.com
Random variables
Content
Random variables
Probability
Histogram or probability density function
Cumulative function
Mean
Variance
Moments
Some representations of random variables
Bi-dimensional random variables
Marginal distributions
Independence
Correlations
Gaussian expression of multiple random variables
Changing random variables

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Examples:
Acoustic waves Music,
speech,
...
Light waves
Light source
(star, )
...
Electric current given by
a microphone
Current given by
a spectrometer
Number series
Physical measurements

Photography
...
Introduction
signal = every entity which contains some physical
information

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Speech
Biomedical
Sound and Music
Video and Image
Radar

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Typical Signals
Signal processing = procedure used to:

extract the information (filtering, detection,
estimation, spectral analysis...)

Adapt the signal (modulation, sampling.)
(to transmit it or save it)

pattern recognition

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Signal Processing
Dimensional classification : Number of free variables.
Examples :
Electrical potential V(t) = Unidimensional signal

Statistic image black and white brightness B(x,y) = bi-dimensional
signal Black and white film B(x,y,t) = tri-dimensional signal
...
Phenomenological Classification Random or deterministic evolution
Deterministic signal : temporal evolution can be predicted or modeled by an
appropriate mathematical mode

Random signal : the signal cannot be predicted statistical description
The signal theory is independent on the physic phenomenon and the types of
variables.
Every signal has a random component (external perturbation, )
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Classification of Signals
Morphological classification:
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Probability
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Probability
If two events A and B occurs,





P(B/A) is the conditional probability



If A and B are independent, P(A,B)=P(A).P(B)
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( )
( ) ( )
, lim
lim lim lim /
AB
N
df
AB A AB A
N N N
A A
n
P A B
N
n n n n
P B A P A
n N n N

+ + +
= =
| | | |
| |
= =
| |
|
\ .
\ . \ .
( ) ( ) ( ) ( ) ( )
, / / P A B P B A P A P A B P B = =
Let us consider the random process : measure the
temperature in a room

Many measurements can be taken simultaneously using
different sensors (same sensors, same environments) and
give different signals
t
,
1

,
2

,
3

t
1

t
2

( ) , , t x
Signals obtained when
measuring temperature
using many sensors
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Random variable and random process
The random process is represented as a function
Each signal x(t), for each sensor, is a random signal.
At an instant t, all values at this time define a random variable
( ) , , t x
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Random variable and random process
t
,
1

,
2

,
3

t
1

t
2

( ) , , t x
Signals obtained when
measuring temperature
using many sensors
N(m, t
i
) = number of events: "x
i
= x + Ax"
x
m Ax
(m+1) Ax
N(m)
Precision of measurment
( )
( )
| |
( )
1
,
Prob m 1 lim
,
Prob lim
mes
mes
i
i
N
mes
p
i
k m
i
N
mes
N m t
m x x x
N
N k t
m x x p x
N

A s < + A = (

A s < A =

N
mes
= total number of measurments
Probability density function (PDF)
The characteristics of a random process or a random
variable can be interpreted from the histogram
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PDF properties
x=dx, the histogram becomes continuous. In this
case we can write:
| | 0 Prob
1
= = x x
| | ( )
2
1
1 2
Prob ,
x
i i
x
x x x f x t dx s < =
}
( )
( )
mes
i
N
i
N
t x n
t x f
mes
,
lim , where
+
=
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Histogram or PDF
Random signal
Sine wave :

Uniform PDF
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-1
1
f(x)
x
Uniform PDF
Cumulative density function
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Examples
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{ } ( ) ( )
,
i i
E g g x f x t dx
+

=
}
Statistical parameters :
Average value :
Mean quadratic value:
( ) { } ( )
,
x i i i
t E x x f x t dx
+

= =
}
Variance :
( ) ( )
{ }
( )
2
2 2
2

x i i x i x i
x
t E x t m t o = =
Standard deviation :
( )
2 2
x i x x
t m o =
Expectation, variance
Every function of a random variable is a random variable. If we know the
probability distribution of a RV, we can deduce the expectation value of
the function of a random variable:

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( ) { } ( )
2
2 2
,
i i i
x
m t E x x f x t dx
+

= =
}
Exponential random variable
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Uniform random variable
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a
b
f(x)
x
c
( )
( )
( )
( )
2
2
1
if
0 otherwise
0
if
1
1
2
1
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a x b
f x
b a

x a
x a
F x a x b
b a
x b
a b
b a

s s

<

= s s

>

= +
=
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Examples
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Examples
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Examples
Gaussian random variable
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( )
2
2
1
2
1
( )
2
x m
f x e
o
o t

=
2
( ) ( ) E X m V X o = =
( ; ) (0;1)
X m
If X N m N o
o

~ ~
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Examples
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Examples
Bi-dimensional random variable
Two random variables
X and Y have a
common probability
density functions as :

(X,Y) f
XY
(x,y) is the
probability density
function of the couple
(X,Y)
2 2
( )
( , )
x y
XY
f x y ce
+
=
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Bi-dimensional Random variables
Cumulative functions:




Marginal cumulative distribution functions



Marginal probability density functions
dxdy y x f y Y x X P y x F
x y
Y X Y X
} }

= < < = ) , ( ) , ( ) , (
, ,
1 ) , (
,
=
} }
+

+

dxdy y x f
Y X
y x
y x F
y x f
Y X
c c
c
=
) , (
) , (
2
,
dxdy y x f y F y F
dxdy y x f x F x F
y
Y X XY Y
x
Y X XY X
} }
} }
+


+

= + =
= + =
) , ( ) , ( ) (
) , ( ) , ( ) (
,
,
}
}
+

+

=
=
du v u f v f
dv v u f u f
XY X
XY X
) , ( ) (
) , ( ) (
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Examples
Bi-dimensional Random variables
Moments of a random variable X



,
, ,
[ ] ( , )
[ ] ( , ) ( , ) ( )
[ ] ( )
[ ] [ ]. [ ]
n n n n
X Y
X Y X Y X
y
E x y x y f x y dxdy
E X xf x y dxdy x f x y dydx xf x dx
E Y yf y dy
E XY E X E Y
+ +

+ + + + +

+

=
(
= = =
(

=
=
} }
} } } } }
}
,
( , ) ( ). ( )
X Y X Y
f x y f x f y =
If X and Y are independents and in this case
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Covariance
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Covariance
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Correlation coefficient
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Correlation coefficient
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Correlation coefficient
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PDF of a transformed RV
Suppose X is a continuous RV with known PDF
Y=h(X) a function of the RV X
What is the PDF of Y?
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PDF of a transformed RV: exercises
X is a uniform random variable between -2 and 2.
Write the expression on pdf of X
Find the PDF of Y=5X+9
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Sum of 2 RVs
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Sum of 2 RVs
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Sum of 2 RVs
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Sum of 2 RVs
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