Chap 3 PDF

Chapter-3( Discrete Random Variables & Probability
Distributions)
Gauranga C Samanta
Department of Mathematics
BITS PILANI K K Birla Goa Campus, Goa
August 22, 2019
Gauranga C Samanta (Dept. of Maths) Discrete Random Variables & Probability Distributions August 22, 2019 1 / 21
Outline
(i) Random Variables

(ii) Probability Mass Function(pmf) and Cumulative Distribution
Function(pdf)
(iii) Mathematical Expectation
(iv) Some Standard Distribution
Random Variables(R.V.)
Definition 1.
Random Variable is a real-valued function from a sample space Ω to the
set of real numbers R. We use uppercase letters to denote a random
variable and lowercase letter to denote the observed value by random
variable (r.v.).
Random Variables(R.V.)
Definition 1.
Random Variable is a real-valued function from a sample space Ω to the
set of real numbers R. We use uppercase letters to denote a random
variable and lowercase letter to denote the observed value by random
variable (r.v.).
Example 2.
Suppose that our experiment consists of tossing 4 fair coins. If we let X
denote the number of heads that appear, then X is a random variable
taking one of the values 0, 1, 2, 3 and 4.
Examples of RV
Example 3.
Consider the experiment of throwing three dice. Let X denotes the sum of
the numbers shown by the dice. Then the X is a random variable which
takes the values 3, 4, . . . , 18.
Examples of RV
Example 3.
Definition 4 (Discrete Random Variable).

A random variable is discrete if it can assume at most a finite or countably
infinite numbers of possible values.
Examples of RV
Example 3.
Definition 4 (Discrete Random Variable).

A random variable is discrete if it can assume at most a finite or countably
infinite numbers of possible values.
Remarks: P[X ∈ I ] = P[{s ∈ S : X (s) ∈ I }]. The probability that the r.v.
X takes values in I ⊂ R.
Probability Mass Function(pmf)
Definition 5 (Probability Mass Function(pmf)).

The probability distribution or probability mass function(pmf) of a
discrete random variable is defined for every x by
p(x) = P(X = x) = P(all s ∈ Ω : X (s) = x)
Probability Mass Function(pmf)
Definition 5 (Probability Mass Function(pmf)).

The probability distribution or probability mass function(pmf) of a
discrete random variable is defined for every x by
p(x) = P(X = x) = P(all s ∈ Ω : X (s) = x)
Necessary and Sufficient Condition:

A real valued function f (x) is a probability mass function for a discrete
random variable X if and only if
1. f (x) ≥ 0, ∀x
X
2. f (x) = 1
all x
Problems
Problem: Three balls are to be randomly selected
without replacement from an urn containing 20 balls
numbered 1 through 20. If we bet that atleast one of the
balls that are drawn has a number as large as or larger
than 17, what is the probability that we win the bet?
Problem:
Five distinct number are randomly distributed to players
numbered 1 through 5. Whenever two players compare
their numbers, the one with higher one is declared the
winner. Initially, player 1 and 2 compare their numbers;
the winner then compares with player 3, and so on. Let X
denote the number of times player 1 is winner. Find
P(X = i) for i = 0, 1, 2, 3, 4.
Problems Continued
Problem: Three balls are randomly chosen from an urn

containing 3 white, 3 red, and 5 black balls. Suppose that
we win $ 1 for each white ball selected and lose $ 1 for
each red ball selected. Find probability of total winning.
Problems Continued
Problem: Three balls are randomly chosen from an urn

containing 3 white, 3 red, and 5 black balls. Suppose that
we win $ 1 for each white ball selected and lose $ 1 for
each red ball selected. Find probability of total winning.
Problem: Independent trials consisting of the flipping of
a coin having probability p of coming up heads are
continually performed until either a head occurs or a total
of n flips is made. If we let X denote the number of times
the coin is flipped, then find P(X = x).
Problems Continued
Problem: A shipment of 8 similar microcomputers to a

retail outlet contains 3 that are defective. If a school
makes a random purchase of 2 of these computers, find
the probability distribution for the number of defectives.
Problems Continued
Problem: A shipment of 8 similar microcomputers to a

retail outlet contains 3 that are defective. If a school
makes a random purchase of 2 of these computers, find
the probability distribution for the number of defectives.
Problem: Consider a group of five potential blood donors
a, b, c, d and e of whom only a and b have type O +
blood. Five blod samples, one from each individual, will
be typed in random order until an O + individual is
identified. Let the rv Y = the number of typing necessary
to identify an O + individual. Then find pmf of Y .
Problems Continued
Problem: A box contains 5 colored balls, 2 black and 3

white. Balls are drawn successively without replacement.
If the random variable X is the number of draws until the
last black ball is obtained, find the probability density
function for the random variable X .
Problems Continued
Problem: A box contains 5 colored balls, 2 black and 3

white. Balls are drawn successively without replacement.
If the random variable X is the number of draws until the
last black ball is obtained, find the probability density
function for the random variable X .
Problem: Let X be a random variable with probability
density function f (x) = c 32x , x = 1, 2, · · ·
, for some constant c, What is the value of c? What is
the probability that X is even?
Cumulative Distribution Function
Problem: A rv X has the following probability function:
x : 0 1 2 3 4 5 6 7
2 2
p(x) : 0 k 2k 2k 3k k 2k 7k 2 + k
(i) Find k, (ii) Evaluate P(X < 6), P(X ≥ 6), and
P(0 < X < 5), (iii) if P(X ≤ a) > 12 , find the minimum
value of a, and (iv) Determine the distribution function of
X.
Cumulative Distribution Function
Problem: A rv X has the following probability function:
x : 0 1 2 3 4 5 6 7
2 2
p(x) : 0 k 2k 2k 3k k 2k 7k 2 + k
(i) Find k, (ii) Evaluate P(X < 6), P(X ≥ 6), and
P(0 < X < 5), (iii) if P(X ≤ a) > 12 , find the minimum
value of a, and (iv) Determine the distribution function of
X.
Definition 6 (Cumulative distribution function(cdf)).
Let X be a discrete random variable with pmf f (x) . The
cumulative distribution function for
XX , denoted by F , is
defined by F (x0 ) = P[X ≤ x0 ] = f (x)
x≤x0
Expectation of a Random Variable
Definition 7 (Expected value of a random variable).

Let X be a discrete random variable with density function f (x). The
expectation
X or expected value of X , denoted by E [X ], is defined by
E [X ] = xf (x)
all x
Definition 7 (Expected value of a random variable).

Let X be a discrete random variable with density function f (x). The
expectation
X or expected value of X , denoted by E [X ], is defined by
E [X ] = xf (x)
all x
Note that expected value is also known as mean and some times we
use ‘µ’ to denote the expectation or expected value or mean.
Let X be a discrete random variable with density function f (x) and
H(X ) be a real-valued function of X , then H(X ) isXa random
variable and its expectation is given by E [H(X )] = H(x)f (x)
all x
Example 8.
A man with n keys wants to open his door and tries the keys
independently and at random. Find the mean of the number of trials
required to open the door,
(i) if unsuccessful keys are not eliminated from further selection, and
(ii) if they are
Example 8.
(ii) if they are
n+1
ANS:(i) n, (ii) 2
Example 8.
(ii) if they are
n+1
ANS:(i) n, (ii) 2
Example 9.
A couple decides to have 3 children. If none of the 3 is a girl, they will try
again; and if they still dont get a girl, they will try once more. If the
random variable X denotes the number of children the couple will have
following this scheme, then what is the expected value of X ?
Example 8.
(ii) if they are
n+1
ANS:(i) n, (ii) 2
Example 9.
A couple decides to have 3 children. If none of the 3 is a girl, they will try
again; and if they still dont get a girl, they will try once more. If the
random variable X denotes the number of children the couple will have
following this scheme, then what is the expected value of X ?
51
ANS: 16
Example 10.
A lot of 8 TV sets includes 3 that are defective. If 4 of the sets are chosen
at random for shipment to a hotel, how many defective sets can they
expect?
Example 10.
expect?
ANS:1.5
Example 10.
expect?
ANS:1.5
Example 11.
A fair coin is tossed. If a head occurs, 1 die is rolled; if a tail occurs, 2
dice are rolled. Let X be the total on the die or dice. What is the
expected value of X ?
Example 12.
A couple decides to have children until they get a girl, but they agree to
stop with a maximum of 3 children even if they havent gotten a girl. If X
and Y denote the number of children and number of girls, respectively,
then what are E (X ) and E (Y )?
Example 12.
A couple decides to have children until they get a girl, but they agree to
stop with a maximum of 3 children even if they havent gotten a girl. If X
and Y denote the number of children and number of girls, respectively,
then what are E (X ) and E (Y )?
ANS:E (X ) = 74 , E (Y ) = 7
8
Properties of Expectation
If X and Y are random variables, then E (X + Y ) = E (X ) + E (Y ),

provided all the expectation exist.
n
X
In general E (X1 + · · · + Xn ) = E (Xi ), if all the expectations exist.
i=1
If X and Y are Independent random variables, then
E (XY ) = E (X )E (Y )
If X is a rv and a and b are constants, then E (aX + b) = aE (X ) + b,
provided all expectation exist.
If E (X r ) exist, then E (X s ), ∀ 1 ≤ s ≤ r exist. That is, if the
moments of a specified order exist, then all the lower order moments
automatically exist. However, the converse is not true.
Variance
Definition 13 (Variance).
If X is a rv with mean µ, then the variance of X , denoted by Var (X ),
is defined by Var (X ) = E [(X − µ)2 ]
p
The standard deviation of X , denoted by σ, is defined σ = V (X )
Computational formula for variance:

Var (X ) = σ 2 = E [X 2 ] − (E [X ])2
If X is a rv, then V (aX + b) = a2 V (X ), where a and b are constants.

V [X + Y ] = V [X ] + V [Y ], provided X and Y are independent
random variables.
Higher Order Moments and Moment Generating Function
(mgf)
Definition 14.
1. Let X be a discrete random variable with pmf f (x). The kth order
moment of X is defined as E [X k ].
2. The moment generating function (mgf) for X is denoted by
MX (t)and is defined by MX (t) = E [e tX ], provided this expectation is
finite for all real numbers t in some open interval (h, h).
Theorem 15.
If MX (t) is the moment generating function for a random variable X , then
k
the kth moment of X is given by E (X k ) = d M X (t)
dt k
|t=0
Examples
Example 16.
8 x
(
1

9 9 , for x = 0, 1, 2, · · · ∞
Let X be a have pmf f (x) = What is
0, otherwise
the mgf of the rv X ?
Examples
Example 16.
8 x
(
1

9 9 , for x = 0, 1, 2, · · · ∞
Let X be a have pmf f (x) = What is
0, otherwise
the mgf of the rv X ?
1 9

ANS: 9−8e t , if t < ln 8
Example 17.
Let M(t) be a mgf of the rv X .
If M(t) = a0 + a1 t + a2 t 2 + · · · + an t n + · · · is the Taylor series expansion
of M(t), then E (X n ) = n!an for all natural number n.
Examples
Example 18.
Let the random variable X have moment generating function
MX (t) = (1 − t)−2 for t < 1. What is the third moment of X about the
origin?
Examples
Example 18.
origin?
ANS:24
Examples
Example 18.
origin?
ANS:24
Example 19.
1
What is the 479th moment of X about the origin, if the mgf of X is 1+t ?
Properties of mgf
Theorem 20.
Let X be a rv with mgf MX (t). If a and b are any two real constants, then
1. MX +a (t) = e at MX (t)
2. MbX (t) = MX (bt)
3. The mgf of the sum of a number of independent random variables is
equal to the product of their respective mgf. i. e.
MX1 +X2 +···+Xn (t) = MX1 (t) · · · MXn (t)
Properties of mgf
Theorem 20.
Let X be a rv with mgf MX (t). If a and b are any two real constants, then
1. MX +a (t) = e at MX (t)
2. MbX (t) = MX (bt)
3. The mgf of the sum of a number of independent random variables is
equal to the product of their respective mgf. i. e.
MX1 +X2 +···+Xn (t) = MX1 (t) · · · MXn (t)
Theorem 21 (Uniqueness).
The mgf of a distribution, if it exists, uniquelly determine the distribution.
This implies that corresponding to a given probability distribution, there is
only one mgf (provided it exists) and corresponding to a given mgf, there
is only one probability distribution. Hence MX (t) = MY (t) imples X and
Y are identically distributed.
Thank you for your attention

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Chapter-3( Discrete Random Variables & Probability

August 22, 2019

(i) Random Variables

Definition 4 (Discrete Random Variable).

Definition 4 (Discrete Random Variable).

Definition 5 (Probability Mass Function(pmf)).

Definition 5 (Probability Mass Function(pmf)).

Necessary and Sufficient Condition:

Problem: Three balls are randomly chosen from an urn

Problem: Three balls are randomly chosen from an urn

Problem: A shipment of 8 similar microcomputers to a

Problem: A shipment of 8 similar microcomputers to a

Problem: A box contains 5 colored balls, 2 black and 3

Problem: A box contains 5 colored balls, 2 black and 3

Definition 7 (Expected value of a random variable).

Definition 7 (Expected value of a random variable).

If X and Y are random variables, then E (X + Y ) = E (X ) + E (Y ),

Computational formula for variance:

If X is a rv, then V (aX + b) = a2 V (X ), where a and b are constants.

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