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chap3

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You are on page 1of 8

1. Another method to study our events of interest

2. Modeling probability by creating catalogs of common distributions and their

applications

Learning Objectives:

(2) MAIN Objectives

1. To grasp the concept of a random variable

2. To grasp the concept of different distribution functions

1. To compute probabilities using these distribution functions

1. To compute expectations using these distribution functions

2. To generate moments

OUTLINE

PART ONE: GENERAL

3.1.1 Random Variables

3.1.2 Cumulative Distribution Function

3.2.1 Discrete Random Variables

3.2.2 Probability Mass Distribution (PMF)

3.3.2 Probability Density Distribution (PDF)

3.4.1 Expected values of X

3.4.2 Expected valued of g(X)

3.4.3 Variance of X

3.4.4 Properties

I. Properties of Expectations

II. Properties of Variance

PART ONE: GENERAL

I. Random Variable

→ a function whose value is a real number that is determined by each

sample point in the sample space achieved through a random experiment

→ notation: uppercase letters *mostly X

**lowercase letters mostly 'x' as one of its values

→ since a function,

each outcome in the sample space must be mapped to exactly one

real number

Remark:

→ this assures us that the random variable X will have one and only one

realized value, whatever the outcome of the random experiment

→ meaning, random variable is a new way of expressing event

X≤x

the event containing all sample points that is the value for the random

variable X is less than or equal to x

X>x

the event containing all sample points that is the value for the random

variable is greater than x

a<X<b

the event containing all sample points that is the value for the random

variable X is between a and b

IV. SKILL

1. Translating events to random variables format

1.) Determine what is X

2.) set the relationship based on the given to one of its values

example:

Let X be the number of tails

A = { (T,T), (T,H), (H, T) }

Given that then, X > 0 or X ≥ 1

Let Ω be the universal set : sample space

A be the subset of Ω : the event that is a subset of sample space

: one of the partitions of Ω

Indicator Function

→ the function that indicates partitions of the sample space Ω that is, it

indicates the A's

SKILL

1. Translating a piecewise function to an indicator function

example:

{ x , 0<x<1

f(x) = { 2 – x , 1 ≤x≤2

{0 , elsewhere

indicator function: f(x) = xI( 0 ,1 )( x ) +( 2 – x )I[ 1, 2 ](x)

2. Evaluation of indicator function

Given: Indicator Function

known value of x

Find: f(known value of x)

Solution:

1. Plug-in the known value of x to the indicator function

2. delete terms where x is not an element of the interval

3. evaluate

I. Definitions

→ notation: F(x)

→ a function defined for any real number x as:

F(x) = P( X ≤ x )

→ usage: use to compute for the probability of an even that is

expressed in terms of the random variable

II. Properties

1. 0 ≤ F(x) ≤ 1 since it's equated to a probability

2. It is a nondecreasing function

3. Every random variable will have one and only one CDF

*rather, every known value x of X will have one and only one CDF

III. Templates

(4) Four Main Templates

1. P ( a < X ≤ b ) = FX(b) – FX(a)

2. P ( X ≤ a ) = FX (a)

3. P ( X >a ) = 1- FX (a)

4. P( X = a ) = P ( a- < X ≤ a ) = FX(a) - FX(a-)

*any changes in the inequality in a way of being not equal or equal to will get a

penalty:

ex: P( X < a) = FX (a-)

IV. SKILL

1. Computing the probability through CDF

Given: CDF , probabilities in question

Find: Probabilities

Solution:

1. Translate probabilities in question in the form of the left hand-side of CDF

example: P(X < 1) = FX(1-) [ like the reverse of the given form of it ]

*reduced further to the template if needed

2. Find in the CDF what satisfies it

PART TWO: SPECIFICS

3.2.1 DISCRETE RANDOM VARIABLE

→ sample space that is finite or countably finite

→ a subset that is an event by which is finite or countably finite

I. Definitions

→ notation: p(x)

→ a function defined for any real number x as

p(x) = P(X=x)

: use PMF to compute summary measures like the mean and the

standard deviation

mass points

→ the value of the discrete random variable X for which p(x)>0

II. SKILLs

1. Getting Probability through PMF

Given: the random variable X that is an event is known for what it represents

: the sample space

Find: Probability through PMF

Solution:

* Identify the mass points of X / possible values of X

*refers to the range of the function X

*given X and plugged into p(X) what are the possible values then?

* Table

1. columns: possible values of X which are under the heading 'x'

Events associated with X=x

p(x) = P(X=x) *read as-- what is the probability given the event X is x

as seen from the events associated

*Validity

1. p(x) > 0 : where x is a mass point

2. ∑ p(x) = 1

*Probability

1. see in the table the needed probability

3.3.1 Continuous Random Variable

→ a sample space that isn't countable or where its sample points cannot

be put in one to one correspondence with counting numbers; mostly intervals

→ a subset of that sample space

I. Definition

Probability Density Function (PDF) of a continuous random variable X

→ notation: f(x)

→ a function defined for any real number x and

satisfy the following properties:

1. f(x) > 0 for all x

2. the area below the the whole curve f(x) and above the x-axis is always

equal to 1

3. P( a ≤ X ≤ b ) is the area bounded by the curve f(x), the x-axis and the

lines x=a and x=b

→ usage: to compute probabilities

: to compute summary measures

II. SKILLs

1.

Given: PDF *it's given and not constructed this time

interval of interest

Find: Probability

Solution:

*Validity

1. f(x) > 0 : see each term in the function this time if there will be a negative

domain

2. ∫from negative infinity to infinity f(x) dx =1

*Probability

1. Write the probability function with regards to the probability of interest

2. now from negative infinity to infinity or the given interval,

equate #1 to the rewritten integral with regards to the interval of interest

3. Then arrive at the needed probability

CAUTION:

→ when evaluating the probabilities of events expressed in terms of a

continuuos random variable, it *does not matter whether we are dealing with

the event X < a or X ≤ a since P(X=a) = 0.

therefore, P(X < a) = P(X ≤ a) or the inequality with or without equal is equivalent

**the discrete variable do not share this property

PART THREE: EXPECTATIONS

I. Definition

Let X be a random variable

Expected Value of X [ or mean of X ]

→ notation: E(X) or μX

defined by:

{ ∑for all m.p xp(x) , if X is discrete

E(X) = { ∫from negative infinity to infinity xfX(x)dx , if continuous

→ E(X) is actually a weighted mean of the values that the random variable

takes on, where each value is weighted by the probability that the random

variable is equal to that value

II. SKILLs

1.

Given: a PMF (the table) or PDF (the indicator function)

Find: E(X)

Solution:

1. Determine if discrete of continuous

2. If discrete, use the E(X) = ∑for all m.p xp(x)

If continuous, use the E(X) = ∫from negative infinity to infinity xfX(x)dx

I. Definition

Let X be a random variable

→ notation: E(g(x))

{ ∑for all m.p g(x)p(x) , if X is discrete

E(X) = { ∫from negative infinity to infinity g(x)fX(x)dx , if continuous

II. SKILLs

Given: a word problem

with events

Find: what is needed

Solution:

*Construct table

1. One for each event

2. Solve events based on x

*Expectation

1. then use ∑for all m.p xp(x) *this depends on the wording of the target

3.5.3 Variance of X

I. Definition

Let X be a random variable with mean, μ

Variance of X

→ notation: σ2 or Var(X)

σ2 = Var(X) = E(X- μ )2

→ still a measure of dispersion and the average squared difference between

the value of X and μ.

→ also being mean, is also in terms of expectations

3.5.4 Properties

I. Properties of Expectation

1. (E-μ) = 0

2. E(aX + b) = aE(X) + b

if b=0, E(aX) = aE(X)

if a=0, E(b) = b

4. E(X + Y) = E(X) – E(Y)

1. Var(aX+b) = a2Var(X)

if b=0, then Var(aX) = a2Var(X)

if a=0, then Var(b) = 0

3. Var (X-Y) = Var(X) + Var(Y) *only if X and Y are independent variables

III. SKILLs

1. Evaluate Expectations or Variance

Given: Expectations or Variance

Find: its equivalent real number

Solution:

1. Reduce it to the given forms above

2. Evaluate using the given values

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