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TOPIC: Disuss the various distributions of
continuous random variable.

Submitted To: Submitted By:

Tejinder Paul Singh Summit Sakhre

First and foremost I thank my teacher Mr.

Tejinder Paul Singh who has assigned me this
term paper to bring out my creative
I express my gratitude to my parents for being a
continuous source of encouragement for all their
financial aid.
I would like to acknowledge the assistance
provided to me by the library staff of LOVELY
My heartfelt gratitude to my class-mates and for
helping me to complete my work in time

Summit Sakhre
 Random Variable

 Intuitive Description

 Real-valued Random Variable

 Distribution Functions Of Random Variables

 Functions of Random Variables

 Equality in Distribution
 Discreet Random Variables

 Continuous Random Variables

 Independent Random Variables

 Remark on Random Variables

Random variable
In mathematics a random variable is a variable whose value is a function of the outcome of a
statistical experiment that has outcomes of equal probability e.g. the number returned by rolling a
die. Random variables are used in the study of probability. They were developed to assist in the
analysis of games of chance, stochastic events, and the results of scientific experiments by
capturing only the mathematical properties necessary to answer probabilistic questions. Further
formalizations have firmly grounded the entity in the theoretical domains of mathematics by
making use of measure theory.

The language and structure of random variables can be grasped at various levels of mathematical
fluency. Beyond an introductory level, set theory and calculus are fundamental. The concept of a
random variable is closely linked to the term "random variety": a random variety is a particular
outcome of a random variable.

There are two types of random variables: discrete and continuous. A discrete random variable
maps events to values of a countable set (e.g., the integers), with each value in the range having
probability greater than or equal to zero. A continuous random variable maps events to values of
an uncountable set (e.g., the real numbers). Usually in a continuous random variable the
probability of any specific value is zero, although the probability of an infinite set of values
(such as an interval of non-zero length) may be positive. However, sometimes a continuous
random variable can be "mixed", having part of its probability spread out over an interval like a
typical continuous variable, and part of it concentrated on particular values, like a discrete
variable. This categorization into types is directly equivalent to the categorization of probability

A random variable has an associated probability distribution and frequently also a probability
density function. Probability density functions are commonly used for continuous variables.

Intuitive description

A random variable can be thought of as an unknown value that may change every time it is
inspected. Thus, a random variable can be thought of as a function mapping the sample space of
a random process to the real numbers. A few examples will highlight this.


For a coin toss, the possible events are heads or tails. The number of heads appearing in one fair
coin toss can be described using the following random variable:

and if the coin is equally likely to land on either side then it has a probability mass function
given by:

A random variable can also be used to describe the process of rolling a fair dice and the possible
outcomes. The most obvious representation is to take the set {1, 2, 3, 4, 5, 6} as the sample
space, defining the random variable X as the number rolled. In this case ,
An example of a continuous random variable would be one based on a spinner that can choose a
real number from the interval [0, 2π), with all values being "equally likely". In this case, X = the
number spun. Any real number has probability zero of being selected. But a positive probability
can be assigned to any range of values. For example, the probability of choosing a number in [0,
π] is ½. Instead of speaking of a probability mass function, we say that the probability density of
X is 1/2π. The probability of a subset of [0, 2π) can be calculated by multiplying the measure of
the set by 1/2π. In general, the probability of a set for a given continuous random variable can be
calculated by integrating the density over the given set.

An example of a random variable of mixed type would be based on an experiment where a coin
is flipped and the spinner is spun only if the result of the coin toss is heads. If the result is tails, X
= −1; otherwise X = the value of the spinner as in the preceding example. There is a probability
of ½ that this random variable will have the value −1. Other ranges of values would have half the
probability of the last example.

Real-valued random variables

Typically, the observation space is the real numbers with a suitable measure. Recall,
is the probability space. For real observation space, the function is a real-valued
random variable if

This definition is a special case of the above because generates the Borel
sigma-algebra on the real numbers, and it is enough to check measurability on a generating set.

Distribution functions of random variables

Associating a cumulative distribution function (CDF) with a random variable is a generalization

of assigning a value to a variable. If the CDF is a (right continuous) Heaviside step function then
the variable takes on the value at the jump with probability 1. In general, the CDF specifies the
probability that the variable takes on particular values.

If a random variable defined on the probability space is given, we can

ask questions like "How likely is it that the value of X is bigger than 2?". This is the same as the
probability of the event which is often written as for short, and
easily obtained since

Recording all these probabilities of output ranges of a real-valued random variable X yields the
probability distribution of X. The probability distribution "forgets" about the particular
probability space used to define X and only records the probabilities of various values of X. Such
a probability distribution can always be captured by its cumulative distribution function

and sometimes also using a probability density function. In measure-theoretic terms, we use the
random variable X to "push-forward" the measure P on Ω to a measure dF on R. The underlying
probability space Ω is a technical device used to guarantee the existence of random variables,
and sometimes to construct them. In practice, one often disposes of the space Ω altogether and
just puts a measure on R that assigns measure 1 to the whole real line, i.e., one works with
probability distributions instead of random variables.

Functions of random variables

If we have a random variable on and a Borel measurable function , then

will also be a random variable on , since the composition of measurable functions
is also measurable. (However, this is not true if f is Lebesgue measurable.) The same procedure
that allowed one to go from a probability space to can be used to obtain the
distribution of . The cumulative distribution function of is

If function f is invertible, i.e. f − 1 exists, then the previous relation can be extended to obtain
and, again with the same hypotheses of inevitability of f, we can find the relation between the
probability density functions by differentiating both sides with respect to y, in order to obtain

If there is no invertibility but each y admits at most a countable number of roots (i.e. a finite
number of xi such that y = f(xi)) then the previous relation between the probability density
functions can be generalized with

where xi = fi−1(y).

Example 1

Let X be a real-valued, continuous random variable and let Y = X2.

If y < 0, then P(X2 ≤ y) = 0, so

If y ≥ 0, then


Example 2

Suppose is a random variable with a cumulative distribution

where is a fixed parameter. Consider the random variable Then,

The last expression can be calculated in terms of the cumulative distribution of X, so

Equality in distribution

Two random variables X and Y are equal in distribution if they have the same distribution

Two random variables having equal moment generating functions have the same distribution.
This provides, for example, a useful method of checking equality of certain functions of i.i.d.
random variables.

which is the basis of the Kolmogorov–Smirnov test.

Equality in mean

Two random variables X and Y are equal in p-th mean if the pth moment of |X − Y| is zero, that

As in the previous case, there is a related distance between the random variables, namely
This is equivalent to the following:

Almost sure equality

Two random variables X and Y are equal almost surely if, and only if, the probability that they
are different is zero:

For all practical purposes in probability theory, this notion of equivalence is as strong as actual
equality. It is associated to the following distance:

where 'sup' in this case represents the essential supremum in the sense of measure theory.


Finally, the two random variables X and Y are equal if they are equal as functions on their
probability space, that is,

Discrete Random Variable

A discrete random variable is one which may take on only a countable number of distinct values
such as 0, 1, 2, 3, 4, ... Discrete random variables are usually (but not necessarily) counts. If a
random variable can take only a finite number of distinct values, then it must be discrete.
Examples of discrete random variables include the number of children in a family, the Friday
night attendance at a cinema, the number of patients in a doctor's surgery, the number of
defective light bulbs in a box of ten.

Continuous Random Variable

A continuous random variable is one which takes an infinite number of possible values.
Continuous random variables are usually measurements. Examples include height, weight, the
amount of sugar in an orange, the time required to run a mile.

Independent Random Variables

Two random variables X and Y say, are said to be independent if and only if the value of X has
no influence on the value of Y and vice versa.

The cumulative distribution functions of two independent random variables X and Y are related
F(x,y) = G(x).H(y)
G(x) and H(y) are the marginal distribution functions of X and Y for all pairs (x,y).

Knowledge of the value of X does not effect the probability distribution of Y and vice versa.
Thus there is no relationship between the values of independent random variables.

For continuous independent random variables, their probability density functions are related by
f(x,y) = g(x).h(y)
g(x) and h(y) are the marginal density functions of the random variables X and Y
respectively, for all pairs (x,y).
For discrete independent random variables, their probabilities are related by
P(X = xi ; Y = yj) = P(X = xi).P(Y=yj)
for each pair (xi,yj).

Sums and Products of Random Variables, Notation

Suppose X and Y are random variables on the same sample space S. Then X +Y , kX and XY are
on S defined as follows (where s ∈ S):
(X + Y )(s) = X(s) + Y (s), (kX)(s) = kX(s), (XY )(s) = X(s)Y(s)
More generally, for any polynomial or exponential function h(x, y, . . . , z), we define h(X, Y, . . .
, Z) to be the
function on S defined by
[h(X, Y, . . . , Z)](s) = h[X(s), Y(s), . . . , Z(s)]
It can be shown that these are also random variables. (This is trivial in the case that every subset
of S is an event.)
The short notation P(X = a) and P(a ≤ X ≤ b) will be used, respectively, for the probability that
“X maps
into a” and “X maps into the interval [a, b].” That is, for s ∈ S:
P(X = a) ≡ P({s | X(s) = a}) and P(a ≤ X ≤ b) ≡ P({s | a ≤ X(s) ≤ b})
Analogous meanings are given to P(X ≤ a), P(X = a, Y = b), P(a ≤ X ≤ b, c ≤ Y ≤ d), and so on.

Probability Distribution of a Random Variable

Let X be a random variable on a finite sample space S with range space Rx
= {x1, x2, . . . , xt}. Then X
induces a function f which assigns probabilities pk to the points xk in Rx as follows:
f (xk) = pk
= P(X = xk) = sum of probabilities of points in S whose image is xk.

The set of ordered pairs (x1, f (x1)), (x2, f (x2)), . . . , (xt, f (xt )) is called the distribution of the
random variable
X; it is usually given by a table as i. This function f has the following two properties:
(i) f (xk) ≥ 0 and (ii)
f (xk) = 1
Thus RX with the above assignments of probabilities is a probability space. (Sometimes we will
use the pair
notation [xk, pk
] to denote the distribution of X instead of the functional notation [x, f (x)]).
Distribution f of a random variable X

Theorem : Let S be an equiprobable space, and let f be the distribution of a random variable X
on S with
the range space RX
= {x1, x2, . . . , xt}. Then
pi= f (xi ) = number of points in S whose image is xi
number of points in S

Remarks on Random Variables

1. You can think of a random variable as being analogous to a histogram. In a histogram,

you might show the percentage of your data that falls into each of several categories.

For example, suppose you had data on family income. You might find that 20 percent of
families have an income below $30K, 27 percent have an income between $30 and $40k,
21 percent have an income between $40 and $50k, and 32 percent have an income over
$50k. A histogram would be a chart of that data with the income ranges on the X-axis and
the percentages on the Y-axis.

Similarly, a graph of a random variable shows the range of values of the random variable
on the X-axis and the probabilities on the Y-axis. Just as the percentages in a histogram
have to add to 100 percent, the probabilities in a graph of a random variable have to add
to 1. (We say that the area under the curve of a probability density function has to equal
one). Just as the percentages in a histogram have to be non-negative, the probabilities of
the values of a random variable have to be non-negative.

2. A probability distribution function (pdf) for a random variable X is an equation or set of

equations that allows you to calculate probability based on the value of x. Think of a pdf
as a formula for producing a histogram. For example, if X can take on the values 1, 2, 3,
4, 5 and the probabilities are equally likely, then we can write the pdf of X as:
f(X) = .2 for X = 1, 2, 3, 4, or 5

The point to remember about a pdf is that the probabilities have to be nonnegative and
sum to one. For a discrete distribution, it is straightforward to add all of the probabilities.
For a continuous distribution, you have to take the "area under the curve." In practice,
unless you know calculus, the only areas you can find are when the pdf is linear. See the
Uniform Distribution.

Mean and Variance

The mean of a distribution is a measure of the average. Suppose that we had a spinner where the
circle was broken into three unequal sections. The largest section is worth 5 points, one small
section is worth 2 points, and the remaining small section is worth 12 points. The spinner has a
probability of .6 of landing on 5, a probability of .2 of landing on 2, and a probability of .2 of
landing on 12. If you were to spin the spinner a hundred times, what do you think your average
score would be? To calculate the answer, you take the weighted average of the three numbers,
where the weights are equal to the probabilities. See the table below.

X P(X) P(X)*X
3 .2 0.6
5 .6 3.0
12 .2 2.4
mX = X = E(X) 6.0

The Greek letter m is pronounced "meiuw" and mX is pronounced "meiuw of X" or "meiuw sub
X is pronounced "X bar."
E(X) is pronounced "The expected value of X."
mX, X, and E(X) are three ways of saying the same thing. It is the average value of X.

In our example, E(X) = 6.0, even though you could never get a 6 on the spinner. Again, you
should think of the mean or average as the number you would get if you averaged a large number
of spins. On your first spin, you might get a 12, and the average would start out at 12. As you
take more spins, you get other numbers, and the average gradually tends toward 6. In
mathematical terms, you could say that the average asymptotically approaches 6.

Another property of the distribution of a random variable is its average disperson around the
mean. For example, if you spin a 12, then this is 6 points away from the mean. If you spin a 2,
then this is 4 points away from the mean. You could spin the spinner 100 times and calculate the
average disperson around the mean. Mathematically, we calculate the average dispersion by
taking the square of the differences from the mean and weighting the squared differences by the
probabilities. This is shown in the table below.

X P(X) X-X (X-X)2 P(X)*(X-X)2

3 .2 -3 9 1.8 The Greek letter s is pronounced "sigma." It is a lower
5 .6 -1 1 0.6 case sigma. The expression "var(X)" is pronounced
12 .2 6 36 7.2 "variance of X."
s = var(X) = E[(X-X)2]
Suppose that the values of X were raised to 4, 6, and 13.
What do you think would happen to the mean of X? What do you think would happen to the
variance of X? Verify your guesses by setting up the table and doing the calculation.

See if you can come up with values of X that would raise the mean and raise the variance. See if
you can come up with values of X that would raise the mean but lower the variance. Finally,
suppose we leave the values of X the same. Can you come up with different values of P(X) that
keep the same mean but lower the variance? Can you come up with values of P(X) that keep the
same mean but raise the variance?

Next, consider a weighted average of random variables. In terms of a histogram, suppose that
you had two zip codes with different average incomes. If you wanted to take the overall mean
income of the population in both zip codes, you would have to weight the means by the different
populations in the zip codes.

For example, suppose that there are 6000 families in one zip code, with a mean income of $50k.
Suppose that there are 4000 families in another zip code, with a mean income of $40k. The
overall mean income is equal to (1/10,000)(6000 * $50 + 4000 *$40) = $46k.

Similarly, suppose that you take a weighted average of two random variables. Let W = aX + bY.
Then the mean of W is equal to a times the mean of X plus b times the mean of Y.

Schaum’s Outline of Discreet Mathematics