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Unit-I (Random Variables)
Unit-I (Random Variables)
SUBJECT CODE
: MA 2261
MATERIAL NAME
: Formula Material
MATERIAL CODE
: JM08AM1007
2
3
p( x i ) 1
f ( x )dx 1
F ( x) P X x
F ( x) P X x
f ( x )dx
Mean E X xi p( xi )
Mean E X
xf ( x )dx
E X x p( xi )
2
2
i
E X 2
Var X E X 2 E X
Moment = E X r xir pi
i
M.G.F
f ( x )dx
Var X E X 2 E X
Moment = E X r
M.G.F
f ( x )dx
M X t E e tX e tx p( x )
x
M X t E e tX
tx
f ( x )dx
4) E aX b aE X b
5) Var aX b a 2 Var X
6) Var aX bY a 2 Var X b2Var Y
7) Standard Deviation Var X
8) f ( x ) F ( x )
9) p( X a ) 1 p( X a )
10) p A / B
p A
p B
, p B 0
t 0
2nd Moment about origin = E X 2 = M X t
t 0
r
t
The co-efficient of
= E X r
(rth Moment about the origin)
r!
13) Limitation of M.G.F:
i) A random variable X may have no moments although its m.g.f exists.
ii) A random variable X can have its m.g.f and some or all moments, yet the
m.g.f does not generate the moments.
iii) A random variable X can have all or some moments, but m.g.f does not
exist except perhaps at one point.
14) Properties of M.G.F:
i)
If Y = aX + b, then MY t e bt M X at .
ii)
iii)
M cX t M X ct , where c is constant.
n
Binomial
Poisson
Geometric
nc x p x q n x
e x
x!
x 1
q p (or) q x p
Mean
Variance
np
npq
pe t
1 qe t
1
p
q
p2
q pe
t
e t 1
Uniform
Exponential
Gamma
Normal
1
, a xb
f ( x) b a
0,
otherwise
e x , x 0, 0
f ( x)
otherwise
0,
f ( x)
f ( x)
e x x 1
, 0 x , 0
( )
1
1 x
e bt e at
( b a )t
a b ( b a )2
2
12
1
(1 t )
t 2 2
2
dx
dy
ij
P x, y
P( y)
P x, y
P( x)
P X a,Y b
P (Y b )
f ( x / y)
f ( x, y)
.
f ( y)
f ( y / x)
f ( x, y)
.
f ( x)
b a
P X a , Y b f ( x , y )dxdy
0 0
f ( x , y )dy
f ( x , y )dx
7) P ( X Y 1) 1 P ( X Y 1)
8) Correlation co efficient (Discrete): ( x , y )
Cov ( X , Y )
1
XY XY , X
n
Cov ( X , Y )
X Y
1
X 2 X 2 , Y
1
Y 2 Y 2
Cov ( X , Y )
X Y
xf ( x )dx ,
E Y
yf ( y )dy , E X , Y
xyf ( x , y )dxdy .
bxy
x x y y
y y
2
x x y y
x x
Note: ( x , y ) r ( x , y )
bxy r
x
y
b yx r
y
x
Regression curve X on Y is
x E x / y
x f x / y dx
y E y / x
Regression curve Y on X is
y f y / x dy
dx
dy
x
u
fUV ( u, v ) f XY ( x , y )
y
u
x
v
y
v
i 1
i 1
Note: z
S n n
( for n variables),
Random Process:
A random process is a collection of random variables {X(s,t)} that are
functions of a real variable, namely time t where s S and t T.
2)
3)
4)
Wide Sense Stationary (or) Weak Sense Stationary (or) Covariance Stationary:
A random process is said to be WSS or Covariance Stationary if it satisfies the
following conditions.
i) The mean of the process is constant (i.e) E X ( t ) constant .
ii)
5)
Time average:
1
The time average of a random process X ( t ) is defined as X T
2T
X (t ) dt .
6)
7)
1
If the interval is 0,T , then the time average is X T X ( t ) dt .
T 0
Ergodic Process:
A random process X ( t ) is called ergodic if all its ensemble averages are
E X (t ) Lt X T .
T
8)
YT .
Y (t ) is mean ergodic where Y ( t ) X ( t ) X ( t ) . (i.e) E Y (t ) TLt
9)
1
Var X T
2T
2T
2 T
RXX ( )C XX ( ) d
P X ( t n1 ) xn1 / X ( t n ) xn
Where t0 t1 t2 ... tn tn1
12) Markov Chain:
If for all n , P X n an / X n1 an1 , X n 2 an 2 ,... X 0 a0
markov chain. Where a0 , a1 , a2 ,...an ,... are called the states of the markov chain.
13) Transition Probability Matrix (tpm):
When the Markov Chain is homogenous, the one step transition probability is
denoted by Pij. The matrix P = {Pij} is called transition probability matrix.
14) Chapman Kolmogorov theorem:
If P is the tpm of a homogeneous Markov chain, then the n step tpm P(n) is
n
1 2 3 1 .
16) Poisson process:
If X ( t ) represents the number of occurrences of a certain event in (0, t ) ,then
the discrete random process X ( t ) is called the Poisson process, provided the
following postulates are satisfied.
(i)
(ii)
(iii)
(iv)
P 1 occurrence in ( t , t t ) t O t
P 0 occurrence in ( t , t t ) 1 t O t
P 2 or more occurrences in (t , t t ) O t
X ( t ) is independent of the number of occurrences of the event in any
interval.
et t
,
x!
Mean E X ( t ) t , E X 2 ( t ) 2 t 2 t , Var X ( t ) t .
x 0,1, 2, ...
R e
XX
2)
3)
S e d
i
XX
C XX ( ) RXX ( ) E X ( t ) E X ( t ) 0
4)
5)
1
2
S e d
i
XY
General formula:
i)
ax
e cos bx dx
e ax
a cos bx b sin bx
a 2 b2
ii)
ax
e sin bx dx
e ax
a sin bx b cos bx
a 2 b2
2
iii)
a a2
x ax x
2
4
iv)
sin
e i e i
2i
v)
cos
e i e i
2
1) Linear system:
f is called a linear system if it satisfies
f a1 X 1 ( t ) a2 X 2 (t ) a1 f X 1 (t ) a2 f X 2 (t )
2) Time invariant system:
Let Y ( t ) f X ( t ) . If Y ( t h) f X ( t h) then f is called a time
invariant system.
3) Relation between input X ( t ) and output Y ( t ) :
Y (t )
h(u) X (t u) du
j t
5) Contour integral:
e imx
ma
a 2 x 2 a e
a
1 e
6) F 1 2
2
2a
a
h( t ) dt