Chapter 2 - Discrete Random Variable and Probability Distributions - Pause

Random variable Probability mass function Cumulative distribution function Expectation Variance
Chapter 2
Part I: Discrete Random Variable and Probability
Distributions
Dr. Cao Van Kien
vankien.tt@gmail.com
January 8, 2021
Dr. Cao Van Kien Discrete R.V. and Probability Distributions January 8, 2021 1 / 25
Outline
1 Random variable
2 Probability mass function
3 Cumulative distribution function
4 Expectation
5 Variance
Random variable (bi¸n ngü nhi¶n)
Definition
A random variable is a function from a sample space S into the real numbers. We
usually denote random variables with uppercase letter, e.g., X, Y , . . .
X : S → R.
Example:
• Experiment: toss a coin 2 times, random variable: X = number of heads in 2

tosses.
• Experiment: toss 10 dice, Random variable: X = sum of the numbers.
• Experiment: apply different amounts of fertilizer to corn plants, Random
variable: X = yield/acre.
Definition
X : S → R.
Example:

tosses.
Definition
X : S → R.
Example:

tosses.
Sample space of random variable (khæng gian mü cõa bi¸n ngü nhi¶n)
• In defining a random variable, we have also defined a new sample space. For
example, in the experiment of tossing a coin 2 times, the original sample
space is
S = {HH, HT, T H, T T } .
• We define a random variable X = number of heads in 2 tosses. The new

sample space is
Range(X) = {0, 1, 2}
• The new sample space Range(X) is called the range (mi·n gi¡ trà) of the
random variable X .
space is
S = {HH, HT, T H, T T } .

sample space is
Range(X) = {0, 1, 2}
random variable X .
space is
S = {HH, HT, T H, T T } .

sample space is
Range(X) = {0, 1, 2}
random variable X .
Type of Random Variables (c¡c lo¤i bi¸n ngü nhi¶n)
Definition
A random variable X is said to be discrete (ríi r¤c) if it takes only a countable
number of possible values, i.e., Range(X) is a finite or countably infinite set.
Otherwise, it said to be continuous (li¶n töc).
Examples of Continuous Random Variables
Example: Below are some examples of continuous random variables:
• Waiting time for your bus to come,

• Life time of electronic products,
• A randomly selected FPT student's height/weight/temperature,
• Throwing a dart toward a board. Let X be the distance to the center, and Y
the angle relative to the positive x-axis.



Probability mass function (h m khèi x¡c su§t)
Definition
Let X be a discrete random variable with range {x1 , x2 , . . .}. The probability
mass function (pmf) of X, denoted fX : R → R, is defined as
(
P (X = xi ) if x = xi , for i = 1, 2, . . .
fX (x) =
0 for all other x
A pmf fX (x) for a discrete random variable X satisfies the following:

• 0 ≤ fX (x) ≤ 1, for all possible values of x.
• The total sum is 1: i fX (xi ) = 1.
P
Example: Let X be the numerical outcome of a single toss of a fair coin (0 for tails
and 1 for heads). Then its pmf is

 2 if x = 0
 1
fX (x) = 21 if x = 1
0 for all other x .


Definition
(
P (X = xi ) if x = xi , for i = 1, 2, . . .
fX (x) =
0 for all other x

P

 2 if x = 0
 1
fX (x) = 21 if x = 1
0 for all other x .


Definition
(
P (X = xi ) if x = xi , for i = 1, 2, . . .
fX (x) =
0 for all other x

P

 2 if x = 0
 1
fX (x) = 21 if x = 1
0 for all other x .


Displaying pmf
We may display the distribution of a discrete random variable using a table.
x x1 x2 ···
P (X = x) p1 p2 ···
Notation: pi = fX (xi ) for all i.
Find the pmf of X in each question below and display it by table.

Example (Roll a fair die once). Let X be the number obtained.
The pmf is: (
1
6 if x = 1, 2, 3, 4, 5, 6
fX (x) =
0 for all other x.
The probability distribution table is:
x 1 2 3 4 5 6
1 1 1 1 1 1
P (X = x) 6 6 6 6 6 6
Find the pmf of X in each question below and display it by table.

Example (Roll a fair die once). Let X be the number obtained.
The pmf is: (
1
6 if x = 1, 2, 3, 4, 5, 6
fX (x) =
0 for all other x.
The probability distribution table is:
x 1 2 3 4 5 6
1 1 1 1 1 1
P (X = x) 6 6 6 6 6 6
Cumulative distribution function (h m ph¥n phèi t½ch lôy)
A different way of characterizing the distribution of a random variable is through

specifying all the cumulative probabilities.
Definition
The cumulative distribution function (cdf) of a discrete random variable X,
denoted as FX (x), is
X
FX (x) = P (X ≤ x) = fX (xi ).
xi ≤x
For a discrete random variable X , FX (x) satisfies the following properties:

• 0 ≤ F (x) ≤ 1 • lim FX (x) = FX (a)
x→−a+
• lim FX (x) = 0
x→−∞
• P (a ≤ X < b) = FX (b) − FX (a)
• lim FX (x) = 1
x→+∞
• If x ≤ y , then F (x) ≤ F (y).
Cumulative distribution function (h m ph¥n phèi t½ch lôy)
A different way of characterizing the distribution of a random variable is through

specifying all the cumulative probabilities.
Definition
The cumulative distribution function (cdf) of a discrete random variable X,
denoted as FX (x), is
X
FX (x) = P (X ≤ x) = fX (xi ).
xi ≤x
For a discrete random variable X , FX (x) satisfies the following properties:

• 0 ≤ F (x) ≤ 1 • lim FX (x) = FX (a)
x→−a+
• lim FX (x) = 0
x→−∞
• P (a ≤ X < b) = FX (b) − FX (a)
• lim FX (x) = 1
x→+∞
• If x ≤ y , then F (x) ≤ F (y).
The cdf can be displayed as a table or graph.
x x1 x2 ···
P (X ≤ x) p1 p1 + p2 ···
Remark: The probability distribution function FX (x) represents the concentration

level of the probability to the left of the point x.
Example: Assume that X has the pmf Its cdf given by

given by
if

0 x<0
if x = 0
1 

4
 1

if 0≤x<1
1 if x = 1

FX (x) = 4
2
fX (x) = 3
if 1≤x<2
 14 if x = 2

4


1 if x ≥ 2.


0 otherwise

Then pmf of X is given in Figure a. Thus, the graph of the cdf of X is as

shown in Figure b.
Expected value of a random variable (ký vång hay trung b¼nh)
Definition
Let X be a discrete random variable with range RX = {x1 , x2 , x3 , . . .} (finite or
countably infinite). The expected value of X is defined as
X X
µ = E(X) = xi P (X = xi ) = xi fX (xi ).
xi ∈RX xi ∈RX
Note: E(X) represents the mean value of X over a large number of repetitions of
the experiment.
Expectation
Example: The number of email messages received per hour has the following dis-
tribution:
x = number of messages 10 11 12 13 14 15
fX (x) 0.08 0.15 0.30 0.20 0.20 0.07
Determine the expected value of the number of messages received per hour.
E(X) = 10 · 0.08 + 11 · 0.15 + · · · + 15 · 0.07 = 12.5
Expectation
tribution:
fX (x) 0.08 0.15 0.30 0.20 0.20 0.07
Determine the expected value of the number of messages received per hour.
E(X) = 10 · 0.08 + 11 · 0.15 + · · · + 15 · 0.07 = 12.5
Expected value of functions of X
Theorem
Let X be a discrete random variable with range RX = {x1 , x2 , x3 , . . .}. Let h be
a real-valued function defined on the range of X . The expected value of h(X) is
defined as
X X
E(h(X)) = h(xi )P (X = xi ) = h(xi )fX (xi ).
xi ∈RX xi ∈RX
Expectation
tribution:
fX (x) 0.08 0.15 0.30 0.20 0.20 0.07
Determine the expected value of the square of the number of messages received per
hour.
6
X
E X2 = x2i fX (xi )
i=1
= 10 · 0.08 + 112 · 0.15 + 122 · 0.30 + 132 · 0.20 + 142 · 0.20 + 152 · 0.07
2
= 158.1.
Expectation
tribution:
fX (x) 0.08 0.15 0.30 0.20 0.20 0.07
Determine the expected value of the square of the number of messages received per
hour.
6
X
E X2 = x2i fX (xi )
i=1
= 10 · 0.08 + 112 · 0.15 + 122 · 0.30 + 132 · 0.20 + 142 · 0.20 + 152 · 0.07
2
= 158.1.
Let X be a discrete random variable with range RX = 0, π4 , π2 , 3π 4 ,π ,

Example:
4 ) = fX (π) = 5 . Find E (sin(X)).

such that fX (0) = fX ( π4 ) = fX ( π2 ) = fX ( 3π 1
Answer. We have
X
E (sin(X)) = sin(xi )fX (xi )
xi ∈RX
1 π 1 π 1 3π 1 1
= sin(0) · + sin( ) · + sin( ) · + sin( ) · + sin(π) ·
√ 5 4 5 2 5 4 5 5
2+1
= .
5
Let X be a discrete random variable with range RX = 0, π4 , π2 , 3π 4 ,π ,

Example:
4 ) = fX (π) = 5 . Find E (sin(X)).

such that fX (0) = fX ( π4 ) = fX ( π2 ) = fX ( 3π 1
Answer. We have
X
E (sin(X)) = sin(xi )fX (xi )
xi ∈RX
1 π 1 π 1 3π 1 1
= sin(0) · + sin( ) · + sin( ) · + sin( ) · + sin(π) ·
√ 5 4 5 2 5 4 5 5
2+1
= .
5
Properties of expectation
Theorem
Let X be a discrete random variable with pmf fX (x). Suppose that h1 , h2 , . . . , hk
are real-valued functions, and let c be a real constant. The expectation of X
satisfies the following properties:
1 E(c) = c
2 E(c · X) = c · E(X)
P P
k k
3 E i=1 hi (X) = i=1 E (hi (X)).
Remark: There are few equations which you might think are true, but they do not
hold true in general:
• E(|X|) 6= |E(X)|
• E(X 2 ) 6= E(X)2
• E X1 1

6= E(X)
• E eX =

6 eE(X)
• E(XY ) 6= E(X)E(Y ) unless X, Y are independent
E(X)
• E X
Y 6= E(Y )
Variation of a random variable (ph÷ìng sai cõa bi¸n ngü nhi¶n)
Definition
Let X be a discrete random variable with range RX = {x1 , x2 , x3 , . . .}. The
variance of X is defined as
h i
2
σ 2 = Var(X) = E (X − E(X)) .
Note:
• The variance is the average squared distance from the mean µ.

• The variance of a random variable X is a measure of dispersion or scatter in
the possible values for X .
• The larger (smaller) σ 2 is, the more (less) spread in the possible values of X
about the population mean E(X).
• Computing formula:
h i
2 2
Var(X) = E (X − E(X)) = E X 2 − [E(X)] .

Definition
h i
2
σ 2 = Var(X) = E (X − E(X)) .
Note:

h i
2 2
Var(X) = E (X − E(X)) = E X 2 − [E(X)] .

Definition
h i
2
σ 2 = Var(X) = E (X − E(X)) .
Note:

h i
2 2
Var(X) = E (X − E(X)) = E X 2 − [E(X)] .

Definition
h i
2
σ 2 = Var(X) = E (X − E(X)) .
Note:

h i
2 2
Var(X) = E (X − E(X)) = E X 2 − [E(X)] .

Applications and Properties of variance
Ùng döng: Trong cæng nghi»p, ph÷ìng sai biºu thà ë ch½nh x¡c cõa s£n xu§t. Trong
ch«n nuæi, nâ biºu thà ë çng ·u cõa c¡c con gia sóc. Trong trçng tråt, nâ biºu
thà mùc ë ên ành cõa n«ng su§t, ...
Theorem
Suppose X and Y are random variable with finite variance. Let c be a constant.
• Var(c) = 0
• Var(cX) = c2 Var(X)
• Suppose X and Y are independent, then
Var(X + Y ) = Var(X) + Var(Y ).
Remark: In general,
• Var(|X|) 6= |Var(X)|
• Var(X 2 ) 6= Var(X)2
• Var X1 1

6= Var(X)
• Var eX =

6 eVar(X)
• Var(XY ) 6= Var(X)Var(Y )
6= Var(Y ) .
Var(X)
• Var X
Y
Definition
The standard deviation of X is the positive square root of the variance:
√ p
σ= σ2 = Var(X).
Note: We see that the unit of the measure of variance is equals to the square of the
unit of measure of the random variable. So when we need to evaluate the dispersion
of a random variable in its units, we often use the standard deviation instead of the
variance.
Expectation
tribution:
fX (x) 0.08 0.15 0.30 0.20 0.20 0.07
Determine the variance and the standard deviation of the number of messages
received per hour.
Answer. We have
• Var(X) = E X 2 − [E(X)]2 = 158.1 − 12.52 = 1.85.

√
• σ = Var(X) = 1.85 = 1.36.
p
Expectation
tribution:
fX (x) 0.08 0.15 0.30 0.20 0.20 0.07
Determine the variance and the standard deviation of the number of messages
received per hour.
Answer. We have
• Var(X) = E X 2 − [E(X)]2 = 158.1 − 12.52 = 1.85.

√
• σ = Var(X) = 1.85 = 1.36.
p
Thank you very much for your attention!

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Chapter 2 - Discrete Random Variable and Probability Distributions - Pause

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Random variable Probability mass function Cumulative distribution function Expectation Variance

Dr. Cao Van Kien

2 Probability mass function

3 Cumulative distribution function

Random variable (bi¸n ng¨u nhi¶n)

• Experiment: toss a coin 2 times, random variable: X = number of heads in 2

Random variable (bi¸n ng¨u nhi¶n)

• Experiment: toss a coin 2 times, random variable: X = number of heads in 2

Random variable (bi¸n ng¨u nhi¶n)

• Experiment: toss a coin 2 times, random variable: X = number of heads in 2

• We define a random variable X = number of heads in 2 tosses. The new

• We define a random variable X = number of heads in 2 tosses. The new

• We define a random variable X = number of heads in 2 tosses. The new

Type of Random Variables (c¡c lo¤i bi¸n ng¨u nhi¶n)

Examples of Continuous Random Variables

Example: Below are some examples of continuous random variables:

• Waiting time for your bus to come,

Examples of Continuous Random Variables

Example: Below are some examples of continuous random variables:

• Waiting time for your bus to come,

Examples of Continuous Random Variables

Example: Below are some examples of continuous random variables:

• Waiting time for your bus to come,

Examples of Continuous Random Variables

Example: Below are some examples of continuous random variables:

• Waiting time for your bus to come,

Probability mass function (h m khèi x¡c su§t)

A pmf fX (x) for a discrete random variable X satisfies the following:

Probability mass function (h m khèi x¡c su§t)

A pmf fX (x) for a discrete random variable X satisfies the following:

Probability mass function (h m khèi x¡c su§t)

A pmf fX (x) for a discrete random variable X satisfies the following:

We may display the distribution of a discrete random variable using a table.

Notation: pi = fX (xi ) for all i.

Find the pmf of X in each question below and display it by table.

Find the pmf of X in each question below and display it by table.

Cumulative distribution function (h m ph¥n phèi t½ch lôy)

A different way of characterizing the distribution of a random variable is through

For a discrete random variable X , FX (x) satisfies the following properties:

Cumulative distribution function (h m ph¥n phèi t½ch lôy)

A different way of characterizing the distribution of a random variable is through

For a discrete random variable X , FX (x) satisfies the following properties:

The cdf can be displayed as a table or graph.

Remark: The probability distribution function FX (x) represents the concentration

Example: Assume that X has the pmf Its cdf given by

Then pmf of X is given in Figure a. Thus, the graph of the cdf of X is as

Expected value of a random variable (ký vång hay trung b¼nh)

E(X) = 10 · 0.08 + 11 · 0.15 + · · · + 15 · 0.07 = 12.5

E(X) = 10 · 0.08 + 11 · 0.15 + · · · + 15 · 0.07 = 12.5

Expected value of functions of X

Let X be a discrete random variable with range RX = 0, π4 , π2 , 3π 4 ,π ,

4 ) = fX (π) = 5 . Find E (sin(X)).

Let X be a discrete random variable with range RX = 0, π4 , π2 , 3π 4 ,π ,

4 ) = fX (π) = 5 . Find E (sin(X)).

Variation of a random variable (ph÷ìng sai cõa bi¸n ng¨u nhi¶n)

• The variance is the average squared distance from the mean µ.

Variation of a random variable (ph÷ìng sai cõa bi¸n ng¨u nhi¶n)

• The variance is the average squared distance from the mean µ.

Variation of a random variable (ph÷ìng sai cõa bi¸n ng¨u nhi¶n)

• The variance is the average squared distance from the mean µ.

Variation of a random variable (ph÷ìng sai cõa bi¸n ng¨u nhi¶n)

• The variance is the average squared distance from the mean µ.