CHAPTER Random Var ables lm 5.1 DEFINITION OF RANDOM VARIABLES What isa random variable? An outlandish definition would be that itis neither random nor a variable! The real definition of a random variable is that itis a function X that assigns a rule of correspondence for every point & in the sample space $ called the domain, a unique value X@) on the wal line R called the range. Let be the field associated with the sample space and # be the field associated with the real line, ‘The random variable X induces a probability measure Pin R and hence X is a mapping of the probability space {S, ,P} to the probability space (R, Fx, Px] as shown below: XS (SFP) AR, Fx, Pad 6.11) Consider an event DC S © F. The random variable X maps every point gin the event D {to points x; inthe event /y, called the image of Dunder X, where fy C R © Fx. X can bea random variable only if the inverse image X~"(I,) belongs to the field F of subsets of 5, and hence it must be an event, The mapping and the inverse mapping are shown in Fig. 5.1.1. With this restriction we should be able to find the induced probability measure Py in terms of the probability measure P as follows: Pelle) = PUXMU)) = PID] = PLE: X® E Ie} 6.1.2) Since J, belongs to the field Fx, on the real line it may consist of sets of the form (0 8, The comesponding set J, on the real fine forall the 5 regions is fx = (=00 <1) = x}. Step 3. Wewill find the all the points in the sample space that map int J, for every region of (a) x < ~9: Since no points in § map into /, (Fig. 5.2.14), we have Fy(x) (b) ~9 8 Inthis region (Fig. 5.2. 1c) all six points, that is, the entire sample space S, ‘map into Z,, Hence F(x) = 1 In terms of unit step functions we can write the cdf Fy(x) as follows: Fx) 1 1 1 Wee +9) + gute + A) + Gur 5) + 3x8) Step 4. The edf Fy(x) can be graphed as shown in Fig. 5.2.2,68 Random Variabies 10-9 4 0 s 8 2 FIGURE 5.2.2 Step 5. We can now find the density function fy(x) by differentiating the distribution function F(x), bearing in mind that the differentiation of the unit step is the Dirac delta function, Performing the indicated differentiation, we obtain 1 1 1 1 fabs) = G84 9) + 5800-44) + EBC ~ 5) 458 — 8) Note that the sum of the strengths of the impulse function adds to 1. The pa fx¢«) is shown in Fig. 5.2.3. From Fig. 5.2.2 we can write the following probabilities: () PIX = 4) = Fy) ~ Px(-4-) (b) PIX < -4} = Fy 4+) — Fx(—00) © PIS 6. Step 3. (a) x= ~4: No points map Fy(x) = 0. (b) —4 6 The entice sample space of 120 min maps; hence Fy(4) — 1 In terms of unit step funetions, the edf Fy(x) Fx) 1 L 3 Met M+ gue 2) + Eats — 6) Step 4. The cdf Fy(x) is graphed in Fig. 5.2.5 ‘Step 5. The pat f(x) is obtained by differentiating Fy(x), and the result is 1 1 3 fale) = 5 B+ 4) + 5 BLE 2) + BEE 6) ‘fas is graphed in Fig. 5.2.6 30120 30/120 isa) sR g FIGURE 5.2.470 Random Variabies 1 T Fe a ort | os m 02s 4 ° 4324012345 67 FIGURE 52.5 037 fee) 02s 4 12s 4 ° 4 : 43 ot 234 5 67 FIGURE 5.2.6 In the preceding example, the sample space is continuous whereas the range space is di crete. Since the random variable takes discrete values, we have a diserete random variable. Example 52.3 A telephone call occurs at random between 6:00 p.m. and 8:00 p.m. We ‘want to find the edf F(x) and the pdf f(x). Here we have a continuous mapping from the real line to the eal line and X is a continuous random variable. Step 1, See the mapping diagram in Fig. 5.2.7 Step 2, From the mapping diagram the regions of x are (a) x <0, (b) O< x < 120, (©) + > 120, and Jy = {-28 < y= 3) Step 3 () <0: No points in S map into f,. Hence F(x) = 0 (b) 0 120; Here the entire sample space maps into J, and hence Fy (x) = 1 Step 4. The cdf Fx (x) is graphed in Fig. 5.2.8. Step 5. The density function fy(x) is obtained by taking the derivative of Fy(2), or fy) = yhy.0 120, Step 3 (a) «<0: No points in § map into fy; hence F(x) = 0.72 Random Variabies 800 120 120 100 100 %0 0 0 60 ” 40 6000 FIGURE 5.2.10 (b) 0-< x < 20: The call is uniformly distributed in the interval (0,120; hence Fy. @®)=x/120. (©) 20 120: The entire sample space maps into Jy; hence Fy( Step 4. The cdf Fx(x) is graphed in Fig. 5.2.11. ° 2 4 o 0 100 120 130 FIGURE 5.2.1153 Properties of Distribution and Density Functions 73 °. 0 wo oo 10 120 130 FIGURE 5.2.12 Step 5. ‘The pat fx) isthe derivative of Fx(x) and is graphed in Fig 5.2.12. From the graph of the cdf Fy(x) of Fig. 5.2.11, we can obtain the following probabilities: 1. PIX =40) = PIX =80) =} 2. P{X < 80) =}. 3. PUK <80) =2 4. P40 0, that is, nonnege 3. Fy(-20) = 0, Flee) = 1. 4. Ix, < xa then Fx(ey) 5 Fao), that is, Fy(3) is a nondecreasing, function (mono- tone increasing). For continuous random variable, if x, 0 From this definition, the value that Fy (x) takes at the point of a jump, is to the right of the jump, and if there is an event A in the interval (a; < X Jim SAA ESE = Fl) 634) 5 [sere rx ~ Fy(a) = Pla 0. We will evaluate F(x) in all these ranges: 1. x £0: Since fx (a) is 2210, Fy (1) = 0. 2. 0<.x 52; Using Bq, (5.3.5), we can write fsa Patsy = Pee 5 3. 2 3: Since f(x) is zero in this range, Fx(o) = Fx) F <(0) is graphed in Fig. 5.4.2. oa 03 o1 FIGURE 5.4.3Sel Distribution Functions from Density Functions 77 Example 54.2. Thisis a more involved example that characterizes a mixed random vari- able. The density function is given by fxs) = Klux I= u(x S)) he ue 1) = ate = 5) + HG +2) +80) +86—2) (Gee Fig, 5.4.3), We will find K and graph the distribution function F(x) forall x, We integrate f(x) over the range (— 5,5] to evaluate the constant K. Thus aff oder fe vas] +ytist ok 5 or _ 2kle!—e S45 "wees ‘The ranges for x for integrating f(x) are given by (1) x<~5, @) ~5 5. We shall now evaluate Fy(x) in each of these ranges: 1. x< ~5: Since fy(x) = 0, we have Fy(x) = 0 2 aSewxeinm Fo = igre) ee _ see) 1 Fie re t§ 1 Feta] 0900, ozs 0.764 os oa 02s oas? om ’ x 2 +0123 4 5 FIGURE 5.4.478 Random Variabies 6 1< 452: Feo) TDexsS: Fete) BPS FeO = ‘The graph of Fy (x) is shown in Fig. 54.4. In the next chapter we will discuss the various continuous distributions.