Random Variables

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Random Variables

Attribution Non-Commercial (BY-NC)

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You are on page 1of 23

Sean Rocke

September 9

th

, 2013

ECNG 6703 - Principles of Communications 1 / 23

Outline

1

Random Variable Denition

2

Cumulative Distribution Functions (CDFs)

3

Discrete & Continuous Random Variables

4

Expectation of a Random Variable

5

Conditional Distributions

6

Multiple Random Variables

7

Computing Probabilities with MATLAB

8

Conclusion

ECNG 6703 - Principles of Communications 2 / 23

Random Variable Denition

Random Variables Denition

Denition:

A real-valued function X() dened for sample points in a

sample space S.

Examples:

Number of heads obtained when tossing a coin

Outcome of rolling a sixsided die

Number of visits to a website

Measured voltage in a circuit

R

X

X()

S

ECNG 6703 - Principles of Communications 3 / 23

Random Variable Denition

Random Variables Denition

Example 1:

Consider the number of heads in a sequence of three coin tosses.

Sample space, := {TTT, TTH, THT, HTT, . . . , HHH}.

Number of heads, X() =

_

_

0, = TTT,

1, {TTH, THT, HTT},

2, {THH, HTH, HHT},

3, = HHH.

ECNG 6703 - Principles of Communications 4 / 23

Random Variable Denition

Random Variables Denition

Example 2:

Now dene a random variable to describe the event that the number of

heads in three tosses is even.

ECNG 6703 - Principles of Communications 5 / 23

Cumulative Distribution Functions (CDFs)

Cumulative Distribution Functions (CDF)

Denition:

For a RV, X, the CDF is the function dened by:

F

X

(x) = P(X x), < x <

Properties:

0 F

X

(x) 1

F

X

(x

1

) F

X

(x

2

), if x

1

< x

2

lim

x

F

X

(x) = F

X

() = 1

lim

x

F

X

(x) = F

X

() = 0

lim

xa

+ F

X

(x) = F

X

(a

+

) = F

X

(a), a

+

= lim

0<0

a +

ECNG 6703 - Principles of Communications 6 / 23

Cumulative Distribution Functions (CDFs)

CDFs

Example 3:

Determine and sketch the CDFs for Examples 1 & 2.

ECNG 6703 - Principles of Communications 7 / 23

Discrete & Continuous Random Variables

Discrete RVs & Probability Mass Functions (PMFs)

Discrete RV Denition:

X is a discrete RV if there exist distinct real numbers x

i

such that

i

P(X = x

i

) = 1

PMF Denition:

When X is a discrete RV taking distinct values x

i

, we dene its

PMF by p

X

(X = x

i

)

Properties:

0 p

X

(x

i

) 1

p

X

(x) = 0, if x = x

i

(i = 1, 2, . . .)

i

p

X

(x

i

) = 1

ECNG 6703 - Principles of Communications 8 / 23

Discrete & Continuous Random Variables

Discrete RVs & Probability Mass Functions (PMFs)

Example 4:

Identify which are discrete RVs: Birthdays of everyone who ever

existed, voltage measurement, heights of men/women, RGB values of

screen pixel.

Example 5:

Determine and sketch the PMFs for examples 1 & 2.

ECNG 6703 - Principles of Communications 9 / 23

Discrete & Continuous Random Variables

Continuous RVs & Probability Density Functions

(PDFs)

Continuous RV Denition:

X is a continuous RV if P(X B) =

_

B

f (x) dx, where the range

of X contains an interval of the real number line.

PDF Denition:

When X is a continuous RV taking values x R, we dene its

PDF by f

X

(X = x) =

dF

X

(x)

dx

.

Properties:

0 f

X

(x) 1

_

f

X

(x) dx = 1

f

X

(x) is piecewise continuous

P(a X b) =

_

b

a

f

X

(x) dx

F

X

(x) = P(X x) =

_

x

f

X

() d

ECNG 6703 - Principles of Communications 10 / 23

Discrete & Continuous Random Variables

Continuous RVs & Probability Density Functions

(PDFs)

Example 6:

The PDF of a continuous RV, X, is given by

f

X

(x) =

_

_

1

3

, 0 < x < 1,

2

3

, 1 < x < 2,

0, otherwise

Determine the corresponding CDF,

F

X

(x), and sketch f

X

(x) and F

X

(x).

Example 7:

The PDF of a continuous RV, X, is given by

f

X

(x) =

_

kx, 0 < x < 1,

0, otherwise

Where k is a constant.

1

Determine k and sketch f

X

(x).

2

Find and sketch the corresponding CDF, F

X

(x).

3

Find P(

1

4

< X < 2).

ECNG 6703 - Principles of Communications 11 / 23

Discrete & Continuous Random Variables

Special Distributions

Discrete:

Bernoulli

Binomial

Poisson

Geometric (0 & 1)

Continuous:

Uniform

Exponential

Normal or Gaussian

Laplace/doublesided exponential

ECNG 6703 - Principles of Communications 12 / 23

Expectation of a Random Variable

Expectation a RV, X

n

th

Moment:

E(X

n

) =

_

k

x

n

k

p

X

(x

k

), X : discrete,

_

x

n

f

X

(x)dx, X : continuous

Mean or Expected Value, 1

st

Moment :

X

= E(X) =

_

k

x

k

p

X

(x

k

), X : discrete,

_

xf

X

(x)dx, X : continuous

Variance, 2

nd

Central Moment :

2

X

= Var (X) = E{[X E(X)]

2

}

2

X

=

_

k

(x

k

x

)

2

p

X

(x

k

), X : discrete,

_

(x

X

)

2

f

X

(x)dx, X : continuous

ECNG 6703 - Principles of Communications 13 / 23

Expectation of a Random Variable

Expectation of a RV, X

Expectation of a Function:

E[g(X)] =

_

k

g(x

k

)p

X

(x

k

), X : discrete,

_

g(x)f

X

(x)dx, X : continuous

Example 8:

If X Uniform[a, b], nd

1

E[X]

2

E[X

2

]

3

Var (X)

4

E[e

sX

]

ECNG 6703 - Principles of Communications 14 / 23

Conditional Distributions

Conditional Distributions

Recall:

Conditional probability of A given that event B has occurred,

P(A|B) =

P(A B)

P(B)

, P(B) > 0

Denition:

Conditional CDF of a RV X given that B has occurred

F

X

(x|B) = P{(X x)| B} =

P{(X x) B}

P(B)

Conditional PMF of a discrete RV X given that B occurred

p

X

(x

k

|B) = P{(X = x

k

)| B} =

P{(X x

k

) B}

P(B)

Conditional PDF of a continuous RV X given that B occurred

f

X

(x|B) =

dF

X

(x|B)

dx

ECNG 6703 - Principles of Communications 15 / 23

Conditional Distributions

Conditional Distributions

Example 9:

To transmit message i using an optical communication system, light of

intensity

i

is directed at a photodetector. When light of intensity

i

strikes the photodetector, the number of photoelectrons generated is a

Poisson(

i

) random variable.

1

Find the conditional probability that the number of photoelectrons

observed at the photodetector is less than 2 given that message i

was sent.

2

Find the average number of photoelectrons observed at the

photodetector given that message i was sent.

3

Find the joint probability if the message to be sent is a

Geometric

0

(p) distribution.

Note: If X Poisson() then p

X

(k) =

k

e

k!

, k = 0, 1, . . .

If X Geometric

0

(p) then p

X

(k) = (1 p)p

k

, k = 0, 1, . . .

ECNG 6703 - Principles of Communications 16 / 23

Multiple Random Variables

Multiple Discrete RVs

Denition:

For multiple RVs, X

1

, X

2

, . . ., the joint PMF is given by

p

X

1

,...,X

n

(x

1

, . . . , x

n

) = P(X

1

= x

1

, . . . , X

n

= x

n

).

Important Relationships:

1

Joint CDF:

F

X

1

,...,X

n

(x

1

, . . . , x

n

) =

X

1

x

1

X

n

x

n

_

p

X

1

,...,X

n

(x

1

, . . . , x

n

)

2

Marginal PMF:

P(X

1

= x

1

, X

3

= x

3

, . . .) =

X

2

_

p

X

1

,...,X

n

(x

1

, . . . , x

n

)

3

Conditional PMF:

p

X

1

,..., X

n

|Y

(x

1

, . . . , x

n

, y) :=

P(X

1

= x

1

,..., X

n

= x

n

, Y = y)

P(Y = y)

, P(y = y) = 0

ECNG 6703 - Principles of Communications 17 / 23

Multiple Random Variables

Multiple Continuous RVs

Denition:

For multiple RVs, X

1

, . . . , X

n

, the joint distribution function is

given by F

X

1

,...,X

n

(x

1

, . . . , x

n

) = P(X

1

x

1

, . . . , X

n

x

n

).

Important Relationships:

1

Joint PDF:

f

X

1

,...,X

n

(x

1

, . . . , x

n

) =

n

F

X

1

,...,X

n

(x

1

,...,x

n

)

x

1

...x

n

2

Joint CDF:

F

X

1

,...,X

n

(x

1

, . . . , x

n

) =

_

x

1

_

x

n

f

X

1

,...,X

n

(

1

, . . . ,

n

) d

1

d

n

3

Marginal PDF:

f

X

1

, X

3

,...

(x

1

, x

3

, . . .) =

_

f

X

1

,...,X

n

(x

1

, . . . , x

n

) dx

2

,

f

X

1

(x

1

) =

_

f

X

1

,...,X

n

(x

1

, . . . , x

n

) dx

2

dx

n

4

Conditional PDF:

f

X

1

,...,X

n

|Y

(x

1

, . . . , x

n

, y) :=

f

X

1

,...,X

n

, Y

(x

1

,...,x

n

, y)

f

Y

(y)

, f

Y

(y) > 0

ECNG 6703 - Principles of Communications 18 / 23

Computing Probabilities with MATLAB

Computing Probabilities with MATLAB

Single RVs:

1

Using column vectors (When RVs take nitely many values)

p

X

(x

i

) =

_

_

p

X

(x

1

)

p

X

(x

2

)

.

.

.

p

X

(x

n

)

_

_

e.g., A = [0.1; 0.4; 0.2; 0.3];

2

Using MATLAB functions (For special functions e.g., poisspdf,

randn, . . . )

e.g., B = poisspdf(1,4); computes the Poisson pdf at x = 1.

e.g., C = poissrnd(4); generates a random number from

X Poisson(4).

ECNG 6703 - Principles of Communications 19 / 23

Computing Probabilities with MATLAB

Computing Probabilities with MATLAB

Multiple RVs:

1

Using matrices (When RVs take nitely many values)

p

XY

(x

i

, y

j

) =

_

_

p

XY

(x

1

, y

1

) p

XY

(x

1

, y

2

) p

XY

(x

1

, y

n

)

p

XY

(x

2

, y

1

) p

XY

(x

2

, y

2

) p

XY

(x

2

, y

n

)

.

.

.

.

.

.

.

.

.

.

.

.

p

XY

(x

n

, y

1

) p

XY

(x

n

, y

2

) p

XY

(x

n

, y

n

)

_

_

e.g., D = [7 2 8 5 4; 4 2 5 5 9; 2 4 8 5 1]/71;

Marginal Probabilities:

1

Just sum along rows or columns depending on what is required.

e.g., sum(D); produces a row vector, p

Y

(y).

e.g., sum(D,2); produces a column vector, p

X

(x).

ECNG 6703 - Principles of Communications 20 / 23

Computing Probabilities with MATLAB

Computing Probabilities with MATLAB

Example 9:

If X Geometric

0

(p) with p = 0.8, compute the probability that X

takes the value of an odd integer between 5 and 13.

We need to compute (1 p)[p

5

+ p

7

+ p

7

+ p

9

+ p

11

+ p

13

].

Example 10:

Let P denote the matrix whose ij entry is p

XY

(i , j ), and suppose that

P =

1

71

_

_

7 2 8 5 4

4 2 5 5 9

2 4 8 5 1

_

_

Determine the marginal PMFs, p

X

(i ) and p

y

(j ).

ECNG 6703 - Principles of Communications 21 / 23

Conclusion

Conclusion

We covered:

Random Variable Fundamentals

Computing probabilities with MATLAB

Your goals for next class:

Continue working with MATLAB and Simulink

Complete HW

Review required readings on RVs and Source Coding

Review notes on Channel Coding in prep for next class

ECNG 6703 - Principles of Communications 22 / 23

Q & A

Thank You

Questions????

ECNG 6703 - Principles of Communications 23 / 23

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