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**Discrete Random Variables
**

A/Prof Rob Womersley

R.Womersley@unsw.edu.au

Red Centre 3062

School of Mathematics and Statistics, UNSW

Session 1, 2012

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 1 / 13

Discrete Random Variables Random Variables

Random Variables

Deﬁnition (Random Variable)

A random variable is a function deﬁned on the set of outcomes of a

random experiment.

Value is random, but occurs with certain probabilities

Notation

random variable X (upper case)

value taken by random variable x (lower case)

Example

X = number when a six-sided die is rolled. Outcomes {1, . . . , 6}

P (X = k) =

1

6

for k = 1, 2, . . . , 6. Discrete

X = life, in years, of Australian female. Outcomes {0, . . . , 120}

P (X = k) for k = 0, 2, . . . , 120 from Actuarial tables. Discrete

X = time waiting for next train which arrives every 10 min

T = time to next train. Outcomes t ∈ [0, 10), Continuous

P (0 ≤ T < 3) =

3

10

, P (T = 3) = 0

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 2 / 13

Discrete Random Variables Discrete Random Variables

Discrete Random Variables

Discrete random variable X

Discrete set of possible outcomes {x

k

} for

k ∈ Z = {. . . , −3, −2, −1, 0, 1, 2, 3, . . .}

k ∈ N = {0, 1, 2, 3, . . .}

k ∈ {0, 1, 2, . . . , n}

Probabilities P (X = x

k

) = p

k

satisfying

p

k

≥ 0 for all k,

k

p

k

= 1 (1)

Probability distribution for X: Any set of p

k

satisfying conditions (1)

Can extend discrete set K to larger set by taking p

k

= 0, k ∈ K

Notes

Can have an inﬁnite (countable) set of outcomes

Often x

k

= k but not necessary

P (x = x

k

) OK?

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 3 / 13

Discrete Random Variables Poisson Distribution

Poisson Distribution

Deﬁnition (Poisson distribution)

Poisson distribution, with parameter λ ∈ R, λ > 0

p

k

= P (X = k) =

_

λ

k

k!

e

−λ

k = 0, 1, 2, . . .

0 Otherwise

Valid distribution as

p

k

= P(X = k) ≥ 0 for all k as λ > 0 (λ

0

= 1, 0! = 1)

k∈Z

p

k

= 1 as

∞

k=−∞

p

k

=

∞

k=0

p

k

=

∞

k=0

λ

k

k!

e

−λ

= e

−λ

∞

k=0

λ

k

k!

= e

−λ

e

λ

= 1

Used e

x

=

∞

k=0

x

k

k!

Examples

X = number of customers in a queue

X = number of policy claims per day

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 4 / 13

Discrete Random Variables Poisson Distribution

Poisson Distribution - Example

Matlab discrete.m

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

k

p

k

Poisson probabilites, λ = 5.00

Probabilities

Mean μ

μ − σ

μ + σ

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 5 / 13

Discrete Random Variables Binomial Distribution

Binomial Distribution

Deﬁnition (Binomial Distribution)

Binomial distribution for n events, success probability p

P (X = k) =

_ _

n

k

_

p

k

(1 −p)

n−k

k = 0, 1, 2, . . . , n

0 Otherwise

Notation B(n, p, k) =

_

n

k

_

p

k

(1 −p)

n−k

Binomial coeﬃcient

_

n

k

_

=

n!

k!(n −k)!

Matlab nchoosek

Example

Event occurs with probability p ∈ [0, 1]

Event does not occur with probability 1 −p

Number of trials = n

Probability of exactly k events is B(n, p, k)

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 6 / 13

Discrete Random Variables Binomial Distribution

Binomial Distribution - Example

Matlab discrete.m

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

0.2

k

B

(

n

,

p

,

k

)

Binomial probabilites, n = 20, p = 0.60

Probabilities

Mean μ

μ − σ

μ + σ

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 7 / 13

Discrete Random Variables Expected Values

Expected Values

Set of possible outcomes {x

k

, k ∈ Z}

Probability P (X = x

k

) = p

k

for k ∈ Z

Mean or Expected value

μ = E[X] =

∞

k=−∞

p

k

x

k

Expected value of function g(X) of random variable

E[g(X)] =

∞

k=−∞

p

k

g(x

k

)

Variance of X

Var [X] = E

_

(X −E[X])

2

¸

=

∞

k=−∞

p

k

(x

k

−E[X])

2

Standard deviation

σ(X) =

_

Var [X], Var [X] = σ

2

(X)

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 8 / 13

Discrete Random Variables Calculating the Variance

Calculating the Variance

Mean μ = E[X] =

∞

k=−∞

p

k

x

k

1st moment

Variance

σ

2

= E

_

(X −μ)

2

¸

=

∞

k=−∞

p

k

(x

k

−μ)

2

Calculate by

∞

k=−∞

p

k

(x

k

−μ)

2

=

∞

k=−∞

_

p

k

x

2

k

−2μp

k

x

k

+μ

2

p

k

_

=

∞

k=−∞

p

k

x

2

k

−2μ

∞

k=−∞

p

k

x

k

+μ

2

∞

k=−∞

p

k

= E

_

X

2

¸

−2μ ×μ +μ

2

×1

= E

_

X

2

¸

−μ

2

σ

2

= Var [X] = E

_

X

2

¸

−μ

2

, E

_

X

2

¸

2nd moment

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 9 / 13

Discrete Random Variables Mean and Variance

Poisson - Mean, Variance

Poisson distribution P (X = k) = p

k

=

λ

k

k!

e

−λ

for k = 0, 1, , 2 . . .

Mean μ = E[X] = λ

E[X] =

∞

k=−∞

kp

k

=

∞

k=0

kλ

k

k!

e

−λ

= e

−λ

∞

k=1

λ

k

(k −1)!

= λe

−λ

∞

k=1

λ

k−1

(k −1)!

= λe

−λ

∞

=0

λ

!

( = k −1)

= λe

−λ

×e

λ

= λ

Variance σ

2

= Var [X] = λ from E

_

X

2

¸

= λ

2

+λ (see notes)

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 10 / 13

Discrete Random Variables Mean and Variance

Binomial - Mean, Variance

Binomial: parameters n, p, q = 1 −p

Probability

P (X = k) = B(n, p, k) =

_

n

k

_

p

k

q

n−k

Mean

μ = E[X] = np

Proof in notes

Variance

σ

2

= Var [X] = npq

Exercise in notes

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 11 / 13

Discrete Random Variables Poisson approximation to Binomial

Poisson approximation to Binomial

Proposition

If X is a random variable with a binomial distribution with parameters n,

p and np = λ is constant, then

_

n

k

_

p

k

(1 −p)

n−k

→

λ

k

k!

e

−λ

Binomial can be approximated by Poisson with the same mean

Good if n > 50 and np < 5 or n(1 −p) < 5

Example

Probability of a genetic defect is 1 in 500, 000. Find the probability that in

a population of 2 million, no more than 5 people have the defect.

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 12 / 13

Discrete Random Variables Poisson approximation to Binomial

Example

Solution

Binomial n = 2 ×10

6

, p = 2 ×10

−6

Exact

5

k=0

_

2 ×10

6

k

_

_

2 ×10

−6

_

k

_

1 −2 ×10

−6

_

2×10

6

−k

= 0.78513054

Matlab using nchoosek

Poisson approximation λ = np = 4

e

−4

5

k=0

4

k

k!

= e

−4

_

1 +

4

1

+

4

2

2

+

4

3

6

+

4

4

24

+

4

5

120

_

= 0.78513039

Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1, 2012 13 / 13

. . . λ > 0 λk −λ k = 0. k pk = 1 (1) Probability distribution for X: Any set of pk satisfying conditions (1) Can extend discrete set K to larger set by taking pk = 0. . 2012 4 / 13 . 2012 3 / 13 Poisson Distribution Deﬁnition (Poisson distribution) Poisson distribution. . 0. 3. . . . . . . 1. 2. −2. 3. with parameter λ ∈ R. . 2. 0! = 1) ∞ k=0 pk = k=−∞ k=0 ∞ k=0 pk = k=0 λk −λ e = e−λ k! λk = e−λ eλ = 1 k! Used e = x xk k! Examples X = number of customers in a queue X = number of policy claims per day Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1. n} Probabilities P (X = xk ) = pk satisfying pk ≥ 0 for all k.} k ∈ {0. .Discrete Random Variables Discrete Random Variables Discrete Random Variables Discrete random variable X Discrete set of possible outcomes {xk } for k ∈ Z = {. 1.} k ∈ N = {0. 1. 2. . 1. −1. 2. k ∈ K Notes Can have an inﬁnite (countable) set of outcomes Often xk = k but not necessary P (x = xk ) OK? Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Discrete Random Variables Poisson Distribution Session 1. . . −3. k! e pk = P (X = k) = 0 Otherwise Valid distribution as pk = P (X = k) ≥ 0 for all k as λ > 0 pk = 1 as k∈Z ∞ ∞ ∞ (λ0 = 1.

14 0. λ = 5.1 0. p.Example Matlab discrete. 2012 6 / 13 .00 Probabilities Mean μ μ−σ μ+σ 0 1 2 3 4 5 6 7 8 9 10 k 11 12 13 14 15 16 17 18 19 20 Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Discrete Random Variables Binomial Distribution Session 1.12 0.2 0. 1] Event does not occur with probability 1 − p Number of trials = n Probability of exactly k events is B(n.08 0. 1.02 0 pk Poisson probabilites. 2012 5 / 13 Binomial Distribution Deﬁnition (Binomial Distribution) Binomial distribution for n events. . success probability p P (X = k) = Notation B(n.18 0.04 0. k) = Binomial coeﬃcient n k pk (1 − p)n−k k = 0.Discrete Random Variables Poisson Distribution Poisson Distribution . . p. 2.16 0.m 0. n 0 Otherwise pk (1 − p)n−k n k = n! k!(n − k)! n k Matlab nchoosek Example Event occurs with probability p ∈ [0.06 0. . k) Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1. .

k) 0.08 0. k ∈ Z} Probability P (X = xk ) = pk for k ∈ Z Mean or Expected value ∞ μ = E [X] = k=−∞ ∞ p k xk Expected value of function g(X) of random variable E [g(X)] = k=−∞ pk g(xk ) ∞ k=−∞ Variance of X Var [X] = E (X − E [X])2 = Standard deviation σ(X) = Womersley (Maths & Stats) pk (xk − E [X])2 Var [X].Discrete Random Variables Binomial Distribution Binomial Distribution . 2012 7 / 13 Expected Values Set of possible outcomes {xk .60 0.1 0.16 0.14 0.12 B(n.2 0. 2012 8 / 13 MATH1151 – Algebra Lecture 16 (Slides) .02 0 Probabilities Mean μ μ−σ μ+σ 0 1 2 3 4 5 6 7 8 9 10 k 11 12 13 14 15 16 17 18 19 20 Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Discrete Random Variables Expected Values Session 1.Example Matlab discrete. p = 0. n = 20.06 0. Var [X] = σ 2 (X) Session 1.04 0.p.m Binomial probabilites.18 0.

2012 9 / 13 MATH1151 – Algebra Lecture 16 (Slides) Poisson . . 2012 10 / 13 . . 1. Womersley (Maths & Stats) Discrete Random Variables − 2μ k=−∞ 2 p k xk + μ 2 ∞ pk k=−∞ k=−∞ 2 − 2μ × μ + μ × 1 E X2 Mean and Variance = E X 2 − μ2 2nd moment Session 1. ∞ E [X] = = e kpk = k=−∞ ∞ −λ k=1 ∞ −λ k=0 kλk −λ e k! λk (k − 1)! λk−1 (k − 1)! λ ! ( = k − 1) = λe = λe−λ k=1 ∞ =0 = λe−λ × eλ = λ Variance σ 2 = Var [X] = λ from E X 2 = λ2 + λ (see notes) Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1.Mean. .Discrete Random Variables Calculating the Variance Calculating the Variance ∞ Mean μ = E [X] = k=−∞ p k xk 2 1st moment ∞ Variance σ = E (X − μ) Calculate by ∞ k=−∞ ∞ 2 = k=−∞ pk (xk − μ)2 pk (xk − μ) 2 = k=−∞ ∞ pk x2 − 2μpk xk + μ2 pk k p k x2 k ∞ = = E X σ 2 = Var [X] = E X 2 − μ2 . 2 . Variance Poisson distribution P (X = k) = pk = Mean μ = E [X] = λ ∞ λk −λ k! e for k = 0.

p and np = λ is constant. Find the probability that in a population of 2 million.Discrete Random Variables Mean and Variance Binomial . Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1. k) = Mean μ = E [X] = np Proof in notes n. no more than 5 people have the defect. Variance Binomial: parameters Probability P (X = k) = B(n. 2012 12 / 13 . p. 000. q = 1 − p n k n−k p q k Variance Exercise in notes σ 2 = Var [X] = npq Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Discrete Random Variables Poisson approximation to Binomial Session 1. 2012 11 / 13 Poisson approximation to Binomial Proposition If X is a random variable with a binomial distribution with parameters n. then n k λk −λ n−k e p (1 − p) → k! k Binomial can be approximated by Poisson with the same mean Good if n > 50 and np < 5 or n(1 − p) < 5 Example Probability of a genetic defect is 1 in 500.Mean. p.

78513039 Womersley (Maths & Stats) MATH1151 – Algebra Lecture 16 (Slides) Session 1. p = 2 × 10−6 2 × 106 k 2 × 10 −6 k 1 − 2 × 10 6 −6 2×10 −k = 0.78513054 Matlab using nchoosek Poisson approximation λ = np = 4 e −4 5 k=0 4k 44 45 4 42 43 −4 =e + + + 1+ + k! 1 2 6 24 120 = 0. 2012 13 / 13 .Discrete Random Variables Poisson approximation to Binomial Example Solution Binomial Exact 5 k=0 n = 2 × 106 .

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