Introduction to Random

Processes (2): Random

Variables

Luiz DaSilva
Professor of Telecommunications
dasilval@tcd.ie
+353-1-8963660
Random variables: visualisation

q  Note that the outcome of a random experiment

may not be numerical
q All numerical events of interest are of the
form { X = x} or { X ∈ I },where I is an interval or
union of intervals

Sample space
Ω

of experiment H
E
ξ

R
X(ξ)

B
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Definition (informal)

Defn: A random variable X is a function that assigns

a real number X(ξ) to each outcome ξ in the sample
space of a random experiment

Note: in practice, we drop the explicit form X(ξ) and

simply express the RV as X

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Probability distribution function (PDF or CDF)

Defn: The probability distribution function (PDF) or

cumulative distribution function (CDF) of random
variable X is

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Properties

(i) ≤ FX(x) ≤

… because

(ii) lim x→∞ FX ( x) =

…. because

(iii) lim x→−∞ FX ( x) =

… because

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Properties (cont’d)

(iv) FX(x) is non-decreasing in x

Proof:

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Properties (cont’d)

(v) P[a < X ≤ b] =

See proof of (iv)

(vi) P[X > x] =

Proof is trivial

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Example

Let X = number of ‘Heads’ in 3 tosses of a fair coin.

Find and plot FX(x).

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Continuous, discrete, and mixed RVs

Defn: A random variable X is continuous if FX(x) is

continuous everywhere and differentiable almost
everywhere

Defn: A random variable X is discrete if FX(x) is a

right-continuous staircase function of x with
discontinuities at a countable set of points

Defn: A random variable X is of mixed type if FX(x)

has a countable, non-zero number of discontinuities
and increases continuously over at least one interval
of values of x
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Probability density function (pdf)

Defn: The probability density function (pdf) of

random variable X with differentiable FX(x) is
defined as

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Properties

(i) fX(x) ≥

… because
x
(ii) FX ( x) = ∫−∞
f X ( y )dy

…. due to

(iii) P[ x1 < X ≤ x2 ] =

∞
(iv) f X ( x)dx =
∫
−∞

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Probability mass function (pmf)

Defn: The probability mass function of discrete random

variable X is

P X ( xi ) = P[ X = xi ] = F ( xi ) − F ( x )
−
i

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