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(partial)

Ravindra S. Gokhale IIM Indore

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Random Variables

A variable that associates a number with the outcome of a random experiment is a random variable Denoted by an uppercase letter such as X, Y, etc.

Toss of a coin is NOT a random variable. [It is an experiment that yields random results]

variable

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Random Variables

Examples:

If two dice are thrown, the sum of the faces is a random variable, as in:

X = 3, X = 11, etc.

If two coins are tossed, then the number of heads is a random variable, as in: X = 0, X = 2, etc. In a speed (rpm) measurement: X = 457, X = 1209, etc. In a dimension measurement with the help of a caliper: X = 23.46, X = 48.97, etc.

Discrete Random Variables A random variable with a finite or countable infinite range Examples:

Number of scratches on a car surface Proportion of defective parts among 1000 tested Number of people arriving at a bank in a given time interval

Continuous Random Variables A random variable with an interval (either finite or infinite) of real numbers for its range Examples:

Length dimension (like surface area of a table) Time dimension (like time between failure for a machine) Temperature dimension (like temperature inside a room)

Discrete or Continuous? Population in a particular state of India. Total weight of consignments handled by a courier company in a

day.

Time to complete an exam. Number of participants in an exit poll. Total number of goals scored in a football game. Life of a particular medicine. Height of the Ocean's tide at a given location. Amount of rain on a particular day. Number of train derailments in a year.

Expression of Random Variables The manner in which random variables are expressed sometimes depends on the problem at hand

Sometimes

treated continuous

This is because the range of values it can take is too large Example: Marks of a student in a 100 marks paper

Expression of Random Variables Sometimes a random variable is continuous in nature, but it is treated discrete

This is because the exact value (to the smallest level) is not required

Example: Age of a person may be expressed as a discrete random variable forming different categories: 0-21, 21-35, 35-50, 50-65, 65+

Probability Distributions

Probability distribution of a random variable X is a formula, table, or graph that gives all possible values of X and corresponding probabilities P(X = x) for all x's in the domain of X.

x P(X = x) 1 1/6 2 1/6 3 1/6 4 1/6 5 1/6 6 1/6

Probability Distributions

Standard probability models (probability distributions) are available in the literature and have been studied in detail.

These models can mimic many real life scenarios very well and have mathematically tractable representation.

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Examples:

If two coins are tossed and we are interested in the event number of heads obtained, then:

P(X = 0) = 0.25 P(X = 2) = 0.25 P(X = 1) = 0.50 P(X = 3) = 0

number of defective pieces in a sample of 5 then:

P(X = 0) = 0.590 P(X = 2) = 0.073 P(X = 1) = 0.328 P(X = 3) = 0.008

P(X = 4) 0.001

P(X = 5) 0.000

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Terminologies associated with discrete random variables

Probability mass function (pmf) denoted by f(x) Cumulative distribution function (cdf) denoted by F(x)

xi <= x

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Mean and Variance of a Discrete Random Variables Mean of a discrete random variables

or E(X)

It is the measure of the center of the probability distribution Formula:

= E(X) = x f(x)

x

If we make infinite number of draws from the distribution of a random variable and calculate the average of the data then the average is the expected value (or mean) of the random variable.

Note: The expected value should not be confused with most likely value.

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Mean and Variance of a Discrete Random Variables A simple example:

You can insure a Rs.500,000 jewellery against theft for its total

value by annual premium of Rs. R. If the probability of theft in a given year is estimated to be 0.01, what premium should the insurance company charge if it wants an annual expected gain equal to Rs. 10,000?

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Mean and Variance of a Discrete Random Variables

Denoted by 2 or V(X)

It is the measure of the dispersion or variability in the probability distribution Formula: 2 = V(X) = (x )2 f(x) = [ x2 f(x)] 2

x x

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Examples:

When a machine breaks down, it is serviced. It runs for some time until it again breaks down. We are interested in the event time (in hours) between successive breakdowns, then:

P(X < 10) = ? P(50 < X < 150) = ? P(X > 250) = ?

Y, etc.) of different organizations, based on past data. For a particular organization, he may be interested in:

P(X > 0.75) = ? P(Y < 0.6) = ?

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Terminologies associated with continuous random variables

Probability density function (pdf) denoted by f(x) Cumulative distribution function (cdf) denoted by F(x) cdf pdf

An alternative way to represent the distribution Extends the definition of f(x) to the entire real line F(x) = P(X <= x) = f(u) du for x Example:

- x

Resembles a histogram Used to calculate an area that represents the probability that X takes the values between [a, b] P(a <= X <= b) = f(x) dx

a b

Important: Probability that a continuous random variable takes a particular value is zero.

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Mean and Variance of a Continuous Random Variables Mean of a continuous random variables

Denoted by or E(X)

Formula:

E(X) [x f(x)] dx

2 2

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Problems

pdf, mean and variance of Continuous Random Variables The probability density function of the length of a metal rod is f(x) = 2 for 2.3 < x < 2.8 meters

proportion of the rods fail to meet the specifications? Determine the mean and the variance of the length of the metal rod

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Bernoulli Trial

A basic building block for all the discrete probability distributions A trial has only two possible outcomes

Examples:

Did India lose the match (success) or not? Was the part defective (success) or not?

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Bernoulli Trial

Mean of a Bernoulli Trial = p Variance of a Bernoulli Trial = p (1 p)

Derive

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