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UNIT I RANDOM VARIABLES

Example: State the axioms of probability.

Solution:
Axioms of probability:
Let S be a sample space and A be an event associated with a random
experiment. Then the probability of event A, denoted by P(A) is defined

e
as a real number satisfying the following axioms.

or
1. 0 ≤ 𝑃𝑃(𝐴𝐴) ≤ 1. (Probability of an event lies between 0 and 1).
2. P(S) =1 (Probability of the sample space = 1).

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3. If A and B are mutually exclusive events, P(A U B) =P(A) + P(B).
4. If A1,A2,……An … are a set of mutually exclusive events,

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P(A1 U A2 U A3…… U An) =P(A1)+P(A2) +…… da
Example: Define conditional probability.
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Solution:
The conditional probability of an event B assuming that the event A
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𝑃𝑃(𝐴𝐴∩𝐵𝐵)
has already occurred is denoted by P (B/A) =
𝑃𝑃(𝐴𝐴)
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where P(A) ≠ 0.
Example: If X is a random variable then show that Var (ax+b)=a2 Var(X).
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Solution:
Var(X) = E(X2) – [E(X)]2 , changing X to aX+b
of

Var [aX + b] = E[(aX + b)2 ] - (E [aX + b])2 .

Pr

= E[ a2X2 + 2abX + b2] - (aE(X) + b)2

= a2E(X2) + 2abE(X) + b2 - a2E2(X) - 2abE(X) - b2
= a2E(X2) - a2E2(X) = a2 [E(X2) - E2(X)] = a2Var(X)

Example: Give the properties of probability density function.

Solution:
∞
i) f(x) ≥ 0 ii) ∫0 𝑓𝑓(𝑥𝑥)𝑑𝑑𝑑𝑑 = 1 where f(x) is the probability density function.
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Example: Define probability density function.

Solution:
Let X be a continuous random variable taking values in a certain range a ≤ X ≤ b,
then the function P(X=x) =f(x) is called a probability density function (p.d.f) if it
satisfies the following properties:

1. f(x) ≥ 0.

𝑏𝑏
2. ∫𝑎𝑎 𝑓𝑓(𝑥𝑥)𝑑𝑑𝑥𝑥 = 1.

e
or
Total area under the probability curve y = f(x) is one.

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Example: State Chebychev’s inequality.

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Solution: Let X be a Random variable with mean μ and variance σ2 then for k > 0,
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1
i) P (|𝑋𝑋 − 𝜇𝜇| ≥ 𝑘𝑘𝑘𝑘) ≤
𝑘𝑘 2
1
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ii) P (|𝑋𝑋 − 𝜇𝜇| < 𝑘𝑘𝑘𝑘) ≥ 1 − ,

𝑘𝑘 2
1
or P (𝜇𝜇 − 𝑘𝑘𝑘𝑘 < 𝑋𝑋 < 𝜇𝜇 + 𝑘𝑘𝑘𝑘) ≥ 1 −
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𝑘𝑘 2
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Example: Define Moment Generating Function.

of

Solution:
Pr

Example: Prove that E(ax+b)= a E(x)+b

Solution: For a discrete distribution E(ax+b)= ∑∞

𝟎𝟎 (𝒂𝒂𝒂𝒂 + 𝒃𝒃)𝒑𝒑(𝒙𝒙) where p(x) is
the probability mass function.
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E(ax+b)= ∑∞ ∞ ∞ ∞
𝟎𝟎 (𝒂𝒂𝒂𝒂 + 𝒃𝒃)𝒑𝒑(𝒙𝒙) = 𝒂𝒂 ∑𝟎𝟎 (𝒙𝒙)𝒑𝒑(𝒙𝒙) + ∑𝟎𝟎 (𝒃𝒃)𝒑𝒑(𝒙𝒙) since E(x)= ∑𝟎𝟎 (𝒙𝒙)𝒑𝒑(𝒙𝒙)
and ∑∞
𝟎𝟎 𝒑𝒑(𝒙𝒙) = 𝟏𝟏

We get E(ax+b)= ∑∞ ∞ ∞
𝟎𝟎 (𝒂𝒂𝒂𝒂 + 𝒃𝒃)𝒑𝒑(𝒙𝒙) = 𝒂𝒂 ∑𝟎𝟎 (𝒙𝒙)𝒑𝒑(𝒙𝒙) + ∑𝟎𝟎 (𝒃𝒃)𝒑𝒑(𝒙𝒙) =a E(x) +b.

∞
For a continuous distribution E(ax+b)= ∫−∞ (𝒂𝒂𝒂𝒂 + 𝒃𝒃)𝒇𝒇(𝒙𝒙)𝒅𝒅𝒅𝒅 =
∞ ∞ ∞
𝒂𝒂 ∫−∞ (𝒙𝒙)𝒇𝒇(𝒙𝒙)𝒅𝒅𝒅𝒅 + ∫−∞ 𝒃𝒃𝒃𝒃(𝒙𝒙)𝒅𝒅𝒅𝒅 = a (E(x)) +b Since ∫−∞ (𝒙𝒙)𝒇𝒇(𝒙𝒙)𝒅𝒅𝒅𝒅 = 𝑬𝑬(𝒙𝒙)𝒂𝒂𝒂𝒂𝒂𝒂
∞
� 𝒇𝒇(𝒙𝒙)𝒅𝒅𝒅𝒅 = 𝟏𝟏

e
−∞

or
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Example: Define random variable. Give one example.

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Solution:
A variable whose value is determined by the outcome of a random experiment is called a
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random variable. A real valued function which assigns a real value to each menber of the
sample space.
an
In the experiment of tossing 2 coins, if we define the random variable X as the number of
heads, then the values of the random variable X are 0,1,1,2 corresponding to the outcomes
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TT,TH,HT,HH.
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Example: If X is uniformly distributed over (0, 10), find the probability that
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(i) X < 2 (ii) X > 8 (iii) 3 < X < 9.

of

1 1
Solution: Since X is uniformly distributed the pdf is f(x) = =
10−0 10
Pr

2 1 x
i) For X < 2 ∫0 dx = = 1/5 since x=2
10 10
10 1 x 10−8
ii) For X > 8 ∫8 10 dx = = = 1/5 since x lies in 8 to 10
10 10
9 1 x 9−3
iii) For 3 < X < 9 ∫3 dx = = = 3/5 since x lies in 3 to 9
10 10 10

Example: Define moment.

Solution:The rth moment about the origin = E(Xr) , r=1 we get the mean.
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 x2

Example: In a continuous random variable X the p.d.f. f(x) =  3 ,−1 < x < 2
0, elsewhere
∝
(i) Verify ∫ f ( x)dx = 1 (ii) Find P(0 < X ≤ 1) (iii) Find F(x) the cumulative
−∝

distribution.
2
∞ 2 𝑥𝑥 2 𝑥𝑥 3 8 −1 8+1
Solution: i) ∫−∞ 𝑓𝑓(𝑥𝑥)𝑑𝑑𝑑𝑑 = ∫−1 𝑑𝑑𝑑𝑑 = � � = − = =1
3 9 −1 9 9 9
1
1 𝑥𝑥 2 𝑥𝑥 3 1
ii) P(0<X<1) = ∫0 𝑑𝑑𝑑𝑑 = � � =

e
3 9 0 9

or
1
1 𝑥𝑥 2 𝑥𝑥 3 1
iii) F(x) the cumulative distribution = P(0<X<1) = ∫0 𝑑𝑑𝑑𝑑 = � � =
3 9 0 9

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𝑥𝑥 𝑥𝑥
𝑥𝑥 𝑥𝑥 2 𝑥𝑥 𝑥𝑥 2 𝑥𝑥 3 𝑥𝑥 3 𝑥𝑥 3 +1
P(-∞<X<x) = ∫−∞ 𝑑𝑑𝑑𝑑 = ∫−1 𝑑𝑑𝑑𝑑 = � � = � � =
3 3 9 −1 9 −1 9

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𝑥𝑥 3 +1
CDF =� 𝑓𝑓𝑓𝑓𝑓𝑓 – 1 < 𝑥𝑥 < 2
9
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Example: a) Four coins are tossed simultaneously. What is the probability of getting
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i) 2 heads (ii) at least 2 heads (iii) at most 2 heads.

Solution: Step 1: Let X be the random variable denoting the number of times heads turns up
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when 4 coins are tossed simultaneously. The probability of getting a head in 1 throw
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=1/2= p X∼B(4,1/2) ie. X is binomially distributed with n = 4 and p =1/2

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x n−x
Step 2:The probability distribution of X is given by P(X = x) = nCxp q
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P(X=x) = 4Cx(1/2)x(1/2)4−x-=(1/2)44Cx x=0,1,2,3,4

Pr

Step 3: i) P(X=2)= (1/2)44C2

= (1/16)× (4×3)/(1×2) =3/8.

ii) At least 2 heads = P( X ≥ 2) =1 – P (X <2) = 1 – [P(X=0) + P (X=1)]

1
=1 – [4C0(1/2)0(1/2)4−0 +4C1(1/2)1(1/2)4−1] =1 - [4𝑐𝑐0 + 4𝑐𝑐1 ]
24

1 5 11
=1 – [ 4 [1 + 4] ] =1 - =
2 16 16
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iv) at most 2 heads = P( X ≤ 2)= P(X=0) + P (X=1) + P(X=2) =4C0(1/2)0(1/2)4−0

1 1 11
+4C1(1/2)1(1/2)4−1+4C2(1/2)2(1/2)4−2 = [4𝑐𝑐0 + 4𝑐𝑐1 + 4𝑐𝑐2 ]= 4 [1 + 4 + 6] =
24 2 16

b) If 10% of the screws produced by an automatic machine are defective, find the
probability that of 20 screws selected at random, there are, (i) exactly two defectives
(ii) at most three defectives (iii) between 1 and three defectives (inclusive).

e
Solution: Probability of defective is 10% p =.1
0.1, p+q =1 q =0.9

or
Number of screws selected is 20, n =20,

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P(X= x) = 20Cx(1/10)x (9/10)20-x x = 0,1,2, - - - 20

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i) Probability of exactly 2 defective screws = P( X=2)= 20C2p2q20-2 from

binomial distribution
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20∗19
P( X=2)= 20C2p2q20-2= (. 1)2. (0.9)18 = 190 (0.01)(0.15009)=1.9(0.15009) =0.28517
2∗1
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ii) Probability of atmost three defectives is P(X=0)+P(X=1)+P(X=2)+P(X=3)

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= 20C0p0q20-0 +20C1p1q20-1 +20C2p2q20-2+20C3p3q20-3 =0.8671

iii) Probability of between one and three defectives is

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P(X=1)+P(X=2)+P(X=3)
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= 20C1p1q20-1 +20C2p2q20-2+20C3p3q20-3 =.8671 –P(X=0) from above

Pr

= 0.8671 - 20C0p0q20-0 =0.8671 - 0.1216= 0.7455