Distribution Theory: Unit III

Unit III
DISTRIBUTION THEORY
Contents
Introduction
Session 1
Probability Distribution
Session 2
Discrete Random Variables
Session 3
Continuous probability distribution .
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©2020, The Open University of Sri Lanka
Introduction
The basic theory of statistics is vast and includes the science of data
collection, date generation, data presentation, data analysis, and statistic, an
inference, prediction etc. Therefore this unit is limited to the distribution
theory.
The statistical distributions discussed here are in fact probability models.
Furthermore, the first session of this unit contains about probability
distribution, random variables, probability density function, and expectation
of a random variable. Moreover, next two sessions discuss about discrete
probability distributions and Continuous probability distributions separately.
In this unit the discrete distributions named Uniform, Binomial, Poisson and
Geometric are defined. Considering the above distributions, the expectation
and variance are calculated.
Some useful continuous distributions (Uniform, Normal, Gamma, and

Exponential) are discussed. The expectation and variance of the above
distributions are calculated. The graphs of some distributions are drawn and
the main features of the distribution curves of specially the normal
distribution are discussed. Further, the standard normal distribution is
defined. We discuss the method of finding probabilities using the tables of
the standard normal distribution.
This whole unit has three sessions.
Session one introduces the probability distribution.

Session two contains the basic theory of discrete random variables.
Session three consider continuous probability distribution.
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Session 1: Probability Distributions
Session 8
Probability Distributions
Contents
Introduction, p 123
8.1 Random Variable, p 124
8.2 Discrete Random Variable, p 125
8.3 Continuous Random Variable, p 132
8.4 Expected value and other distribution parameters, p 137
Answer to the Activities, p 142
Summary, p 146
Learning outcomes, p 150
Introduction
The concept of a random variable allows us to pass from the experimental
outcomes themselves to a numerical function of the outcomes. There are
two fundamentally different types of random variables which are discrete
random variables and continuous random variables. In this session, we
examine the basic properties of random variables a, probability distribution
and other distribution parameters of discrete and continuous random
variables. Furthermore, this session discusses important examples of
discrete variables as well as continuous random variables.
©2020, The Open University of Sri Lanka 123

Engineering Mathematics II – Unit 3
8.1 Random Variables
We are not always interested in an experiment itself, but rather in some

consequence of its random outcome. In such consequences, when real
valued functions which map sample space (𝑆) to ℝ.
In other way, suppose that to each point of a sample space, we assign a

number. That is, we then have a function defined on the sample space (𝑆).
This function is called a random variable or more precisely a random
function. It is usually denoted by a capital letter such as , 𝑌 𝑜𝑟 𝑍 .
A random variable 𝑋 is a function defined on sample space 𝑆 to Real

numbers.
X : S → ℝ.
More generally, Random variable is a numerical description of the outcome

of an experiment.
Example 1
Suppose that a fair coin is tossed twice under identical experimental

conditions. So that the sample space is,
𝑆 = {𝐻𝐻, 𝐻𝑇, 𝑇𝐻, 𝑇𝑇}.
Let 𝑋 represent the number of heads that can come up.
With each sample point we can associate a number for as shown in

Table 8.1
Sample point 𝐻𝐻 𝐻𝑇 𝑇𝐻 𝑇𝑇
𝑋 2 1 1 0
Table 8.1: Associate values for random variable 𝑋.
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Thus, for example, in the case of ‘𝐻𝐻’(i.e. two heads), 𝑋 = 2 while for
‘𝐻𝑇’ (i.e. one heads), 𝑋 = 1. It follows that 𝑋 is a random variable.
You may notice that many other random variables could also be defined on
this same sample space {𝐻𝐻, 𝐻𝑇, 𝑇𝐻, 𝑇𝑇}.
For examples: the square of the number of heads or the number of heads
minus the number of tails.
A random variable that takes on a finite or countably infinite number of

values, is called a discrete random variable, while takes on a non-countably
infinite number of values is called a continuous random variable.
8.1.1 The Cumulative Distribution Function (CDF) of a Random

Variables
The cumulative distribution function (CDF), or briefly the distribution

function, of a random variable 𝑋 is defined by,
FX (x ) = P( X  x ) Where x is any real number −   x  
8.2 Discrete Random Variables
A random variable 𝑋 is discrete if the set of all possible values of 𝑋 (that is

the range of the function represented by (𝑋), is countable. It may be
X = {x1 , x 2 , , x n } Finite
or
X = {x1 , x2 ,} Countably Infinite
Activity 1
Let us consider an experiment in which batteries are examined until a non-defective

battery is obtained.
1. Find the sample space of this experiment.

2. Let the random variable 𝑋 is defined as 𝑋 = the number of batteries examined

before the experiment terminates. What is the possible outcomes of the
random variable ?
3. Is 𝑋 a discreate random variable?
8.2.1 Probability Mass Function of a Discrete Random Variable

Let 𝑋 be a discrete random variable, and suppose that the set of possible
values of 𝑋 or range of the 𝑋 is given by X = x1 , x2 , x3 ,... which is
arranged in some order.
Then the function f X is defined on X as,
f X ( x) = P( X = x) where x  X ,
which assigns probability to each x  X . This function f X is called as the
discrete probability mass function.
For completeness we define,
f X ( x) = 0 where x  X .
In general, f X (x) is a probability mass function if,
01. f X ( x)  0
02. f
for all x
X ( x) = 1 .
Simply we can say, the discrete probability mass function (PMF) of a

discrete random variable 𝑋 can be represented in a table, graph, or formula,
and provides the probabilities P ( X = x ) for all possible values of the
random variable 𝑋.
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Example 2
Let us consider the example 8.1, suppose that a fair coin is tossed twice
under identical experimental conditions. So that the sample space is given
as,
𝑆 = {𝐻𝐻, 𝐻𝑇, 𝑇𝐻, 𝑇𝑇}.
Let 𝑋 represent the number of heads that can come up. Then the all possible
outcomes of the random variable X (the range of the X) can be given as,
𝑋 = {2, 1, 0}, with the probabilities ¼, ½, and ¼ respectively. Define PMF

of this random variable X.
Answer
The PMF is defined on the range of the X.
f : X → [0,1],
1 x=2
 4

f X ( x) =  1 x =1
2

 1 4 x=0
Activity 2
Let us consider an experiment in which a fair coin is tossed repeatedly under identical
experimental conditions, until a Head (𝐻) is obtained.
1. Find the sample space of this experiment.

2. Let the random variable 𝑋 is defined as 𝑋 = the number of tosses to appear
the first Head. What is the possible outcomes of the random variable X (Range
of the random variable 𝑋)?
3. Find the probability mass function of the random variable 𝑋?

8.2.2 The Cumulative Distribution Function (CDF) for a Discrete

Random Variables
From the definition of the cumulative distribution function for a random
variable 𝑋, we know that,
FX (x ) = P( X  x ) Where x is any real number (−  x  ) .
We can compute the CDF of a discrete random variable 𝑋 from its

probability mass function (PMF) f X (x ) = P( X = x ) .
So, CDF of a discrete random variable X, can be defined as,
FX (x ) = P( X  x ) =  P( X = u ) =  f X (u ) .
u x u x
You may notice that, here we have taken the sum of probability mass values
for all values u taken by X for which 𝑢 is less than or equal to 𝑥 (𝑢 ≤ 𝑥).
Then the distribution function Fx ( x ) of a discrete random variable has the
following properties.
01. FX (x ) is non-decreasing [i.e. FX (x )  FX ( y ), if x  y ]

02. lim 𝐹𝑋 (𝑥) and lim 𝐹𝑋 (𝑥) = 1
n→−∞ n→∞
03. FX (x ) is continuous from the right but not continuous on ℝ

i.e. lim+ 𝐹𝑋 (𝑥 + ℎ) = 𝐹𝑋 (𝑥) for all ∈ 𝑋
h→0
04. For a  b ,
P(a  X  b) = FX (b) − FX (a )
Example 3
Let us suppose that, the random variable 𝑋 takes on only a finite number of
values ( X = x1 , x 2 ,..., x n )
Then according to the definition, we can define CDF of the random variable
𝑋 as follows.
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0 −   x  x1
 f (x ) x1  x  x 2
 X 1
Fx (x ) =  f X (x1 ) + f X (x 2 ) x 2  x  x3


 f X (x1 ) + f X (x 2 ) + ... + f X (x n ) xn  x  
Example 4
Consider the example 8.2, there we have found the probability mass
function for the random variable 𝑋: Number of heads appear when a fair
coin tosses twice.
f : X → [0,1],
1 x=2
 4

f X (x) =  1 x =1
2

 4
1 x=0
Now find the cumulative distribution function for the random variable 𝑋.
Answer
From the definition of the cumulative distribution function, we know that

FX (x ) = P( X  x ) . So, FX (x ) for the random variable 𝑋 can be defined as,
F : X → [0,1],
0 x0
1
 4 x0

FX ( x ) =  1 + 1 x 1
4 2

 4+
1 1 +1
2 4
x2

1 x2
Note:
Let us consider a discrete random variable 𝑋 with range X = x1 , x2 ,...,
where x1  x2  ... . The probability mass function and CDF of random
variable 𝑋, are given as f X (x ) and FX (x ) respectively.

Then we know that for any real value x, if x  x1 , then FX (x ) = 0 and for
x  x1 , FX (x ) =  f X (xi )
x1  x
With this definition we can see that f X (xi ) = FX (xi ) − FX (xi −1 ) i = 2,3,...
For the completeness, we can define, f X (x1 ) = FX (x1 ).
The key idea is that the functions f X and /or FX can be used to describe the
probability distribution of the random variable 𝑋.
Up to now we have discussed about the probability mass function (PMF)

and the cumulative distribution function (CDF) of a discrete random
variable. You may interest to show these two functions in a graph. So next
session will be discussed about the graphical representation.
8.2.3 Graphical Representation

A graph of the function f X is non-zero only at the elements (values) of the
random variable X. A graph of the function FX is a step-function which

takes the value zero at minus infinity, and value one at infinity, and is non-
decreasing with points of discontinuous at the elements of the random
variable X.
Example 5
Consider the example 8.2, there we have found the probability mass
function for the random variable 𝑋: Number of heads appear when a fair
coin tosses twice as follows.
f : X → [0,1],
1 x=2
 4

f X ( x) =  1 x =1
2

 1 4 x=0
In example 4 we have found the CDF for the random variable 𝑋 as,
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F : X → [0,1],
0 x0
1
 4 x0

FX ( x) =  1 + 1 x 1
4 2

 14 + 1 +1
2 4
x2

1 x0
Now we can draw the graph of the PMF and CDF for random variable as
Figure 8.1.
Figure 8.1 Graphical representation of PMF and CDF for the random variable X
discussed in Example 8.1
Activity 3
Draw the graphs of PMF and CDF for the random variable discussed in Activity 2.

8.3 Continuous Random Variables

A non-discrete random variable 𝑋 is said to be continuous random variables.
In mathematically we say a random variable 𝑋 is continuous if the function

FX (x ) defined on ℝ by FX (x ) = P( X  x ) for 𝑥 ∈ ℝ is a continuous
function on ℝ.
Then the cumulative distribution function of the random variable 𝑋 can be

defined as,
x
FX ( x ) = P ( X  x ) =  f X (u)du where (−   x   ) .
−
Here f X (x) is the probability density function (PDF) of the continuous
random variable 𝑋. Then this f X (x) has following properties.
1. f X ( x)  0

2.  f X ( x)dx = 1
−
Here f X (x) is not provided the 𝑃(𝑋 = 𝑥) as in discrete case. The density
of the probability at 𝑋 = 𝑥 is only provided by f X (x) .
Properties of Continuous 𝑭𝑿 (𝒙) and 𝒇𝑿 (𝒙)
By analogy with the discrete case, let the range of the random variable 𝑋 is
given as X = {x : f X ( x)  0} .
1. The probability density function f X (x) can be defined piecewise on

intervals of ℝ
2. For the CDF of a continuous random variable,
lim 𝐹𝑋 (𝑥) and lim 𝐹𝑋 (𝑥) = 1
n→−∞ n→∞
3. Directly from the definition, at values of x where Fx ( x ) is
differentiable,
d
f X ( x) = {FX (t )}
dt t=x
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4. For a  b ,
P(a  X  b) = P(a  X  b) = P(a  X  b) = P(a  X  b) = FX (b) − FX (a )
𝑏 𝑎
= ∫ 𝑓𝑋 (𝑥)𝑑𝑥 − ∫ 𝑓𝑋 (𝑥)𝑑𝑥
−∞ −∞
𝑏
= ∫ 𝑓𝑋 (𝑥)𝑑𝑥
𝑎
So, with this definition, we can see, whenever 𝑋 is a continuous random

variable, then the interval probability that 𝑋 lies between two different
values say a and b is given by,
b
P(a  x  b ) =  f X ( x)dx
a
Example 6
The lifetime of a machine part (𝑋 in months) has a continuous distribution
on the interval (0, 40) with PDF,
 1
 0  x  40
f X ( x) =  (10 + x) 2
0
 otherwise
Find the probability that the lifetime of a machine part will lie between 10 to
20 months.
Answer
Here we are asking about the probability that 10<x<20. By definition we

know that this probability can be calculated as,
20
P(10  x  20) =  f X ( x)dx
10
1
Since f X ( x) = w hen 0  x  40 ,
(10 + x) 2

20
1
P(10  x  20) =  (10 + x) 2 dx
10
−1 20
(10 + x) (10 + 20) −1 (10 + 10) −1
= = −
−2 10
−2 −2
−1
(20) (30) −1 1  1 1 
= − =  − 
2 2 2  20 30 
1
=
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8.3.1 Graphical Representation

Let us suppose that f X (x) is the probability density function for a
continuous random variable 𝑋, then we can represent Y = f X (x) graphically

as in Figure 8.2.
Figure 8.2 Graphical representation of the probability density function

of a continuous random variable 𝑿
Since f X ( x)  0 the curve cannot fall below the x axis. The entire area
bounded by curve and the x axis must be equal to one, because,
 f X ( x)dx = 1 = area under the curve f X ( x) .

−
According to the definition, we know that the cumulative distribution

function at x 0 is equal to FX ( x0 ) = P( X  x0 ) . So, we can graphically
represent the cumulative distribution function at x 0 as in Figure 8.3.
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Here we can see that shaded area represents the P( X  x0 ) and here we
have considered the x values less than to x 0 .
Figure 8.3 The graphical representation of the cumulative distribution

function of a continuous random variable X
Example 7
Suppose the PDF of the magnitude of a dynamic load on a bride 𝑋 (in
newtons) is given by,
1
 x
2
0 x2
f X ( x) =  4

0 otherwise
Find the FX (1) . Show it in a graph of the PDF.
Answer
According to the definition of CDF, we know that, FX (1) = P( X  1) .
1
=  f X ( x)dx
−
0 1
1 2
=  0dx +  4 x dx
− 0
1
So it is equal to, 1 x3 
= 0+ 
4 3 0
1 13
= −0
4 3
1
=
12

In a graph of PDF we can represent FX (1) = P( X  1) as,
Figure 8.4 CDF at X=1
Now you may interest about the probability that 𝑋 is between
𝑎 and 𝑏, ( P(a  X  b) ). So, we can represent this probability as in Figure

8.4.
- =
(a) (b) (c)
Figure 8.5 The graphical representation of the probability that X is

between a and b
Here (a) of the Figure 8.5 represent 𝐹𝑋 (𝑏) and 𝐹𝑋 (𝑎) represent at the part
(b). Then we know that,
136
P(a  X  b) = FX (b) − FX (a)

b a
=  f X ( x)dx −  f X ( x)dx
− −
b
=  f X ( x)dx
a
Thus, in the part (c) of the Figure 8.5, represent the area bounded curve of
he 𝐹𝑋 (𝑥) and 𝑥 = 𝑧, 𝑎𝑛𝑑 𝑥 = 𝑏 and the 𝑥 axis.
8.4 Expected Value and other Distributional

Parameters
8.4.1 Expectation
The expected value (or expectation or mathematical expectation) of a
random variable represent its average value.
For a discrete random variable 𝑿 with the probability mass function

f X (x) , the expected value of X (E(X)) is defined by,

E( X ) =  xf X ( x) =  xf X ( x)
x =− xX
If X is a discreate random variable with finite number of outcomes, then

range of the X have the form {x1 , x2 ,..., xn } where n is finite integer. Then
we can find the E(X) as follows,
E ( X ) = x1 P( X = x1 ) + x2 P( X = x2 ) + ... + xn P( X = xn )
n n
=  x j P( X = x j ) =  x j f X ( x j )
j =1 j =1
Activity 4
Six lots of components are ready to be shipped by a certain supplier. The number of
depictive components in each lot is recorded as follows:
Lot 1 2 3 4 5 6

No of defectives 4 2 2 2 2 0
Table 8.2: Number of defectives with respect to lot
One of these lots is to be randomly selected for shipment to a customer. Let 𝑌 be the
number of defectives in selected lot. Find the expected number of defectives 𝐸(𝑌) that
can be in selected lot.
Now we will discuss about the expectation of a continuous random variable.
For a continuous random variable 𝑿 with probability density function,

f X (x) , the expected value is defined as,

E ( X ) =  xf X ( x)dx =  xf X ( x)dx
−
X
Activity 5
The warranty on a machine specifies that it will be replaced at failure of it. The random
variable 𝑋 denote the lifetime of the machine in years. The probability density function
of the random variable 𝑋 is given as,
1
 0 x5
f X ( x) =  5

0 Otherwise
Find the expected time of the replacement of the machine.
Mean of a random variable
The expectation of a random variable 𝑋 is very often called the mean of 𝑋.

It is denoted by  X or simply  . As we discussed in Unit 01, the mean or
expectation of a random variable gives a single value that acts as a
representative of the population. So that reason, we call it as a parameter of
the central tendency of the random variable.
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Some theorems on Expectation
• If C is any constant, then

E (CX ) = CE ( X )
• If 𝑋 and 𝑌 are any random variables then,

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

E ( XY ) = E ( X ) E (Y )
• Expectation of a simple linear function of the random variable 𝑋,

• Let 𝐺 is a linear function of the random variable 𝑋 given as, G = aX + b .
Then the expectation of 𝐺 (𝐸(𝐺)) can be given as,
E (G ) = aE ( X ) + b
Example 9
The probability density function of a random variable 𝑋 is given as,
1
 0  x  10
f X ( x) = 10
0 Otherwise
Let 𝐺 is a linear function of the random variable 𝑋 given as, G = 3X + 5 .

Then find the expectation of 𝐺 (𝐸(𝐺)).
Answer
According to the definition we know that 𝐸(𝐺) = 3𝐸(𝑥) + 5. So we have

to find 𝐸(𝑋) first. That is
∞
𝐸(𝑋) = ∫ 𝑥𝑓𝑋 (𝑥)𝑑𝑥
−∞
0 10 1 ∞
= ∫−∞ 𝑥0𝑑𝑥+∫0 𝑥 10 𝑑𝑥 + ∫0 𝑥0𝑑𝑥
10
10 1 𝑥2
=∫0 𝑥 10 𝑑𝑥 = 10×2|
0
102
= −0
20
=5

Then,
𝐸(𝐺) = 3𝐸(𝑥) + 5
=3×5+5
= 20.
8.4.2 The Variance and the Standard Deviation of a Random

Variable
Variance is another quantity of great importance in probability and statistics.
In Unit one we have discussed that the variance is a measure of dispersion
or scatter of the random variable about the mean  . If the values of a
random variable tend to be concentrated near the mean, then variance is
small: while if the values tend to be distributed far from the mean, then the
variance is large.
Mean Mean
(a) (b)
Figure 8.5 (a) The larger the variance: the further the individual cases
are distributed from the mean (b). The smaller the variance: the closer
the individual scores are to the mean.
In mathematically the variance of a random variable X is defined as,
V ( X ) = E[( X −  ) 2 ]
V ( X ) = E[( X −  ) 2 ]
= E ( X 2 − 2 X +  2 )
= E ( X 2 ) − 2E ( X ) +  2
= E ( X 2 ) − 2 2 +  2 = E ( X 2 ) −  2
140
So, we can see that for the variance we have a shorted formula:
V ( X ) = E( X 2 ) − [ E( X )]2
The variance is a non-negative number. The notation for the variance is  2
or some may use  x 2 .
The variance of a linear function of a random variable 𝑿
Let 𝐺 is a linear function of a random variable 𝑋 given as, G = aX + b .
Then the variance of 𝐺, (𝑉(𝐺)) can be given as,
V (G) = a 2V ( X )
Standard deviation of a random variable X (  )
The positive squire root of the variance of a random variable 𝑋 is called

standard deviation of it.
Note that if a random variable 𝑋 has a certain dimension, then the variance
of it, has squire of the dimension of 𝑋. But standard deviation of a random
variable 𝑋 has the same dimension as the random variable 𝑋. Therefore
when we discuss about a random variable instead of variance of it, we will
talk about the standard deviation of it to discuss about the dispersion of the
random variable.
Example 10
Find the variance and standard deviation of the random variable discussed
in Activity 8.4.
Answer
In Activity 4, the random variable Y, has the probability mass function as,
follows,
𝑌 0 2 4
𝑓𝑌 (𝑦) 1/6 2/3 1/6
Table: 8.3: The probability mass value of random variable 𝑌

In Activity 4, we have found that the 𝐸(𝑌) = 2. Now we want to find 𝑉(𝑌)
and by definition V (Y ) = E(Y 2 ) − [ E(Y )]2 .
Then we have to find 𝐸(𝑌 2 ). That can be computed as,
𝐸(𝑌 2 ) = ∑ 𝑦 2 𝑓𝑌 (𝑦) = 02 𝑓𝑌 (0) + 22 𝑓𝑌 (2) + 42 𝑓𝑌 (4)

𝑦∈𝑌
2 1 32 + 16
= 0 + 4 × + 16 × =
3 6 6
48
= =8
6
Then,
𝑉(𝑌) = 𝐸(𝑌 2 ) − [𝐸(𝑌)]2
= 8 − 22 = 4
Then standard deviation of the random variable 𝑌 = √𝑉(𝑌) = √4=2
Activity 6
Find the variance and standard deviation of the random variable discussed in Activity 5.
Answers to the Activities
Activity 1
Let us define the following events
Success(𝑆)= a non-defective battery is selected
Failure(𝐹) = a defective battery is selected
1. Sample space= {𝑆, 𝐹𝑆, 𝐹𝐹𝑆, 𝐹𝐹𝐹𝑆, … }

2. 𝑋 = The number of batteries examined before terminating the experiment.
Then 𝑋 = {1, 2, 3, 4, … }
142
3. Since the all possible outcomes for the random variable 𝑋 are countably
infinite, 𝑋 is a discrete random variable.
Activity 2
Here a fair coin is tossed repeatedly under identical experimental conditions, until a
head (H) appear.
1. Sample space= {𝐻, 𝑇𝐻, 𝑇𝑇𝐻, 𝑇𝑇𝑇𝐻, … }

2. 𝑋 = The number of tosses to appear the first Head (H).
Then 𝑋 = {1, 2, 3, 4, … }
3. Since we have tossed a fair coin, in any specific tail.
The probability of obtain 𝐻 = 0.5
The probability of obtain 𝑇 = 0.5
We can draw the probability tree diagram to compute probabilities for our
experiment:
H (𝑋 = 1)
0.5
H (𝑋 = 2)
0.5 0.5
T
H (𝑋 = 3)
0.5
0.5
st
T H (𝑋 = 4)
1 Trail 0.5
0.5
T
nd
2 Trail 0.5
T…
rd
3 Trail
4th Trail …
Figure 8.6: Tree diagram to compute probability mass function
According to the tree diagram we can see that,
𝑃(𝑋 = 1) = The probability of obtain first head at the 1st trail. = 0.5
𝑃(𝑋 = 2) = The probability of obtain first head at the 2nd trail.= 𝑃(𝑇𝐻) = 𝑃(𝑇)𝑃(𝐻) =
0.5 × 0.5 = 0.52
𝑃(𝑋 = 3) = The probability of obtain first head at the 3rd trail.= 𝑃(𝑇𝑇𝐻) = 𝑃(𝑇)𝑃(𝐻) =
0.5 × 0.5 × 0.5 = 0.53
𝑃(𝑋 = 𝑛) = The probability of obtain first head at the nth trail.= 𝑃(𝑇𝑇𝑇 … 𝑇𝐻) =
𝑃(𝑇)𝑃(𝑇)𝑃(𝑇) … 𝑃(𝑇) 𝑃(𝐻) = 0.5 × 0.5 … 0.5 × 0.5 = 0.5𝑛
⏟
𝑛−1 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑃(𝑇)

Then we can say the probability mass function of the random variable 𝑋 as,
𝑓𝑋 (𝑥) = (0.5)𝑥 𝑓𝑜𝑟 𝑥 ∈ 𝑋
Activity 3
Here the random variable 𝑋 have the values {1,2.3,4, … } with the probability mass
function 𝑓𝑋 (𝑥) = (0.5)𝑥 𝑓𝑜𝑟 𝑥 ∈ 𝑋.
So graph of the PMF and CDF is given as,
Activity 4
Lot 1 2 3 4 5 6
No of 0 2 2 2 2 4
defectives
Table 8.4: No of defectives with respect to lot number
𝑌: no of defectives in a selected lot.
Then all the possible values for the random variable Y is define as,
𝑌 = {0,2,4} and its probability mass function can be defined as,
since we obtain 0 defectives from only one lot out of 6 lots,
1
𝑃(𝑌 = 0 ) =
6
144
We obtain 2 defectives from 4 lots out of 6 lots, so,
4 2
𝑃(𝑌 = 2 ) = =
6 3
We obtain 4 defectives from 1 lot out of 6 lots, so,
1
𝑃(𝑌 = 1 ) =
6
Therefore, we have, the probability mass function for random variable 𝑌 as,
𝑌 0 2 4
𝑓𝑌 (𝑦) 1 2 1
6 3 6
Table 8.5 The probability mass function for the random variable 𝑌
Now we are asking about the expectation of the random variable 𝑌. That is
𝐸(𝑌) = 𝜇 = ∑ 𝑦𝑓𝑌 (𝑦)

𝑦∈𝑌
= 0 × 𝑓𝑌 (0) + 2 × 𝑓𝑌 (2) + 4 × 𝑓𝑌 (4)
2 1
=0+2∗ +4×
3 6
4 4 12
= + = =2
3 6 6
Therefore. The expected number of defective components in the selected lot =2.
Activity 5
Here the random variable 𝑋= Life time of the machine (in years)
With the probability density function,
1
 0 x5
f X ( x) =  5

0 Otherwise
Now we are asking about the expected time of the replacement of the machine. That is
the lifetime of the machine. That is,

∞ 0 5 1 ∞
𝐸(𝑋) = 𝜇 = ∫−∞ 𝑥𝑓𝑋 (𝑥)𝑑𝑥 = ∫−∞ 𝑥 × 0𝑑𝑥 + ∫0 𝑥 𝑑𝑥 + ∫5 𝑥 × 0𝑑𝑥
5
5 5
1 𝑥2 25 − 0 5
= ∫ 𝑥 𝑑𝑥 = | = = = 2.5
0 5 10 0 10 2
Therefore, the expected time of the replacement of the machine is 2.5 years.
Activity 6
In Activity 8.5, we have found that the 𝐸(𝑋) = 𝜇 = 2.5. Now we want to find 𝑉(𝑋) and
by definition V ( X ) = E ( X 2 ) − [  ]2 .
Then we must find 𝐸(𝑋 2 ). That can be computed as,
∞ 0 5 ∞
1
𝐸(𝑋 2 ) = 𝜇 = ∫ 𝑥 2 𝑓𝑋 (𝑥)𝑑𝑥 = ∫ 𝑥 2 × 0𝑑𝑥 + ∫ 𝑥 2 𝑑𝑥 + ∫ 𝑥 2 × 0𝑑𝑥
−∞ −∞ 0 5 5
5 5
1 𝑥3 125 − 0 25
= ∫ 𝑥 2 𝑑𝑥 = | = =
0 5 15 0 15 3
Then,
𝑉(𝑋) = 𝐸(𝑋 2 ) − [𝜇]2
25 5 2 25 25 25
= −( ) = − = .
3 2 3 4 12
25
Then standard deviation of the random variable 𝑋 = √𝑉(𝑌) = √ .
12
Summary
• A random variable allows us to pass from the experimental outcomes

themselves to a numerical function of the outcomes. A random
variable 𝑋 is a function defined on sample space 𝑆 to Real numbers.
X : S → ℝ.
• A random variable that takes on a finite or countably infinite number

of values, is called a discrete random variable, while takes on a non-
countably infinite number of values is called a continuous random
variable.
146
• The cumulative distribution function(CDF), or briefly the

distribution function, of a random variable 𝑋 is defined by,
FX (x ) = P( X  x ) where x is any real number −   x  
• The discrete probability mass function
The function f X is defined on X as,
f X ( x) = P( X = x) where x  X ,
which assigns probability to each x  X . This function f X is called
as the discrete probability mass function.
For completeness we define,
f X ( x) = 0 where x  X .
In general, f X (x) is a probability mass function if,
03. f X ( x)  0
04. f
for all x
X ( x) = 1 .
• The Cumulative Distribution Function(CDF) for a Discrete

Random Variables
CDF of a discrete random variable X, can be defined as,
FX (x ) = P( X  x ) =  P( X = u ) =  f X (u )
u x u x
.
You may notice that, here we have taken the sum of probability mass
values for all values u taken by X for which 𝑢 is less than or equal
to 𝑥 (𝑢 ≤ 𝑥).
Then the distribution function Fx ( x ) of a discrete random variable has
the following properties.
05. FX (x ) is non-decreasing [i.e. FX (x )  FX ( y ), if x  y ]

06. lim 𝐹𝑋 (𝑥) and lim 𝐹𝑋 (𝑥) = 1
n→−∞ n→∞
07. FX (x ) is continuous from the right but not continuous on ℝ

i.e. lim+ 𝐹𝑋 (𝑥 + ℎ) = 𝐹𝑋 (𝑥) for all ∈ 𝑋

h→0
08. For a  b ,
P(a  X  b) = FX (b) − FX (a )
• Continuous Random Variables

A non-discrete random variable 𝑋 is said to be continuous random variables.
In mathematically we say a random variable 𝑋 is continuous if the function

FX (x ) defined on ℝ by FX (x ) = P( X  x ) for 𝑥 ∈ ℝ is a continuous
function on ℝ.
• The cumulative distribution function of a continuous random

variable
the cumulative distribution function of the random variable 𝑋 can be defined
as,
x
FX ( x ) = P ( X  x ) =  f X (u)du where (−   x   ) .
−
Here f X (x) is the probability density function (PDF) of the continuous
random variable 𝑋. Then this f X (x) has following properties.
3. f X ( x)  0

4.  f X ( x)dx = 1
−
Here f X (x) is not provided the 𝑃(𝑋 = 𝑥) as in discrete case. The density
of the probability at 𝑋 = 𝑥 is only provided by f X (x) .
• Properties of Continuous 𝑭𝑿 (𝒙) and 𝒇𝑿 (𝒙)

By analogy with the discrete case, let the range of the random variable 𝑋 is
given as X = {x : f X ( x)  0} .
5. The probability density function f X (x) can be defined piecewise on

intervals of ℝ
148
6. For the CDF of a continuous random variable,

lim 𝐹𝑋 (𝑥) and lim 𝐹𝑋 (𝑥) = 1
n→−∞ n→∞
7. Directly from the definition, at values of x where Fx ( x ) is
differentiable,
d
f X ( x) = {FX (t )}
dt t=x
8. For a  b ,
P(a  X  b) = P(a  X  b) = P(a  X  b) = P(a  X  b) = FX (b) − FX (a )
𝑏 𝑎
= ∫ 𝑓𝑋 (𝑥)𝑑𝑥 − ∫ 𝑓𝑋 (𝑥)𝑑𝑥
−∞ −∞
𝑏
= ∫ 𝑓𝑋 (𝑥)𝑑𝑥
𝑎
• Expected Value and other Distributional Parameters

• For a discrete random variable 𝑿 with the probability mass
function f X (x) , the expected value of X (E(X)) is defined by,

E( X ) =  xf X ( x) =  xf X ( x)
x =− xX
• For a continuous random variable 𝑿 with probability density

function f X (x) , the expected value is defined as,

E ( X ) =  xf X ( x)dx =  xf X ( x)dx
−
X
Some theorems on Expectation
• If C is any constant, then

E (CX ) = CE ( X )
• If 𝑋 and 𝑌 are any random variables then,

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

E ( XY ) = E ( X ) E (Y )
• Expectation of a simple linear function of the random

variable 𝑋,

• Let 𝐺 is a linear function of the random variable 𝑋 given as,

G = aX + b .
Then the expectation of 𝐺 (𝐸(𝐺)) can be given as,
E (G ) = aE ( X ) + b
• In mathematically the variance of a random variable X is defined as,

• V ( X ) = E[( X −  ) 2 ] = E( X 2 ) − [ E( X )]2
• The positive squire root of the variance of a random variable 𝑋 is
called standard deviation of it.
Learning Outcomes
At the end of this session the student should be able to
• Identify and define random variables.

• Identify different types of random variables such as discrete random
variable and continuous random variable.
• Compute or define and graphically represent the probability mass
function and the cumulative distribution function of a discrete
random variable.
• Compute or define and graphically represent the probability density
function and the cumulative distribution function of a continuous
random variable.
• Compute expected value and variance of a given random variable
150
Session 2: Discrete Random Variables
Session 9
Discrete Random Variables
Contents
Introduction, p 151
9.1 Discrete Uniform Distribution, p 152
9.2 Bernoulli Distribution , p 153
9.3 Binomial Distribution, p 155
9.4 Geometric Distribution, p 159
9.5 Hyper Geometric Distribution, p 161
9.6 Negative Binomial Distribution, p 164
9.7 Poisson Distribution, p 166
Summary, p 170
Learning Outcomes, p 171
Introduction
In session 08 we have already discussed about the random variables and the
definitions of probability mass function/ probability distribution function,
cumulative distribution function, expectation and the variance.
In this session, we will discuss about some special discrete random

variables. Here we focus to properties and characteristics of these special
discrete random variables and their probability mass function, expectation
and variance
The discrete uniform random variable, Bernoulli random variable, Binomial

random variable, Geometric random variable hyper geometric and negative

binomial random variable and Poisson random variable will be discussed

with this session.
9.1 Discrete Uniform Distribution

If all the outcomes of a random variable 𝑋 have an equal likely chance of
occurrence, we say random variable 𝑋 follows discreate uniform distribution
with the probability mass function,
1
𝑓𝑋 (𝑥) = {𝑛 𝑥 ∈ 𝑋 = {1,2,3, … 𝑛}
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
Where we assume n number of possible outcomes are associated with

random variable 𝑋.
The notation uses to represent a discrete uniform random variable 𝑋 with 𝑛

number of possible outcomes: 𝑋 = 𝑈𝑛𝑖𝑓𝑜𝑟𝑚(𝑛).
Example 1
Roll a die let 𝑋 denote the number appear. We wish to find the probability
of getting 6.
Answer
We have 𝑋 = {1, 2, 3, 4, 5, 6}
And 𝑋~𝑈𝑛𝑖𝑓𝑜𝑟𝑚(6)
So, the probability mass function associate with the random variable 𝑋 is
given as,
1
𝑓𝑋 (𝑥) = {6 𝑥 ∈ 𝑋 = {1,2,3,4,5,6}
1
Now we want to find 𝑃(𝑋 = 6) and it is equal to, 𝑓𝑋 (6) = 6.
9.1.1 Expectation or mean (𝝁) of the discrete uniform random

variable 𝑿
By the definition of the expectation we know that 𝐸(𝑋) = ∑𝑥𝑝(𝑋 = 𝑥).
152
Thus, mean of the uniform random variable:

𝑛 𝑛
1 1 𝑛(𝑛 + 1) 𝑛 + 1
𝐸(𝑋) = ∑ 𝑥𝑝(𝑋 = 𝑥) = ∑ 𝑥 = =
𝑛 𝑛 2 2
𝑥=1 𝑥=1
9.1.2 Variance of the discrete uniform random variable 𝑿

According to the definition we know that, 𝑉(𝑋) = 𝐸(𝑋 2 ) − 𝐸(𝑋)2 .
Then we have to find 𝐸(𝑋 2 ). That is,
𝑛 𝑛 𝑛
2) 2
1 1 2
1 𝑛(𝑛 + 1)(2𝑛 + 1)
𝐸(𝑋 = ∑ 𝑥 𝑝(𝑋 = 𝑥) = ∑ 𝑥 = ∑ 𝑥2 =
𝑛 𝑛 𝑛 6
𝑥=1 𝑥=1 𝑥=1
(𝑛 + 1)(2𝑛 + 1)
𝐸(𝑋 2 ) =
6
Then we can calculate the variance of the random variable 𝑋 as,
𝑉(𝑋) = 𝐸(𝑋 2 ) − 𝐸(𝑋)2, here we already found 𝐸(𝑋) so,
(𝑛 + 1)(2𝑛 + 1) 𝑛+1 2
𝑉(𝑋) = −( )
6 2
𝑛2 −1
By simplifying above equation, we can show that the 𝑉(𝑋) = .
12
9.2 Bernoulli Distribution

The Bernoulli distribution is used for modeling when the outcome of an
experiment is either a “success (1)” or a ‘failure (0)”, where the probability
of getting a success is equal to 𝑝. Such an experiment is a ‘Bernoulli trial’.
The notation used to represent a random variable X follows Bernoulli
distribution: 𝑋~𝐵𝑒𝑟𝑛𝑜𝑢𝑙𝑙𝑖(𝑝)
The probability mass function is defined as,
𝑝 𝑥=1
𝑓𝑋 (𝑥) = {
1−𝑝 =𝑞 𝑥=0
Example 2

Consider the experiment in which a telephone number, in a certain area

code is dialed using a random number dialer and define random variable Y,
by
1(𝑠𝑢𝑐𝑐𝑒𝑠𝑠) 𝑖𝑓 𝑡ℎ𝑒 𝑠𝑒𝑙𝑒𝑐𝑡𝑒𝑑 𝑛𝑢𝑚𝑏𝑒𝑟 𝑖𝑠 𝑙𝑖𝑠𝑡𝑒𝑑 𝑖𝑛 𝑑𝑖𝑟𝑒𝑐𝑡𝑟𝑜𝑟𝑦

𝑌={
0( 𝑓𝑎𝑖𝑙𝑢𝑟𝑒) 𝑖𝑓 𝑡ℎ𝑒 𝑠𝑒𝑙𝑒𝑐𝑡𝑒𝑑 𝑛𝑢𝑚𝑏𝑒𝑟 𝑖𝑠 𝑛𝑜𝑡 𝑙𝑖𝑠𝑡𝑒𝑑 𝑖𝑛 𝑑𝑖𝑟𝑒𝑐𝑡𝑜𝑟𝑦
9.2.1 Expectation or mean (𝝁) of the random variable 𝑿

Thus, mean of the Bernoulli random variable:
𝐸(𝑋) = 1𝑃(𝑋 = 1) + 0𝑃(𝑋 = 0)
𝜇 = 1𝑝 + 0𝑞 = 𝑝
9.2.2 Variance of the random variable 𝑿

By the definition of the variance we know that 𝑉(𝑋) = 𝐸(𝑋 2 ) − 𝜇 2
Thus, to find variance of the Bernoulli random variable, first we must find
𝐸(𝑋 2 ),
𝐸(𝑋 2 ) = 1𝑃(𝑋 = 1) + 0𝑃(𝑋 = 0) = 𝑝
Then the variance of the Bernoulli random variable:
𝑉(𝑋) = 𝑝 − 𝑝2 = 𝑝(1 − 𝑝) = 𝑝𝑞
Activity 1
Find the probability of getting 6 in a single throw of a dice.
This Bernoulli random variable is important, since it is used to discuss some other
discrete random variables.
Now we will discuss about the binomial distribution.
154
9.3 Binomial Distribution

In Binomial experiment, we interest about the total number of success out of
𝑛 independent and identical trails, rather than knowledge of exactly which
trails yields the success.
The binomial random variable 𝑋 associated with an experiment consisting

of 𝑛 number of independent and identical trails is defined as,
𝑋 = 𝑡ℎ𝑒 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑠𝑢𝑐𝑐𝑒𝑠𝑠 𝑎𝑚𝑜𝑛𝑔 𝑡ℎ𝑒 𝑛 𝑖𝑛𝑑𝑒𝑝𝑒𝑛𝑑𝑒𝑛𝑡 𝑎𝑛𝑑 𝑖𝑑𝑒𝑛𝑡𝑖𝑐𝑎𝑙
𝑡𝑟𝑎𝑖𝑙𝑠
Example 3
Suppose that we have, 𝑛 = 3 independent and identical trails with
successive probability of 𝑝. Then there are eight possible outcomes for the
experiment: (As in Table 9.1)
Possible 𝑆𝑆𝑆 𝑆𝑆𝐹 𝑆𝐹𝑆 𝐹𝑆𝑆 𝑆𝐹𝐹 𝐹𝑆𝐹 𝐹𝐹𝑆 𝐹𝐹𝐹

outcomes
𝑋 3 2 2 2 1 1 1 0
Table 9.1: Possible outcomes and associated 𝑋 values when 𝑛 = 3
Let us assign the probabilities for each out comes given in Table 9.1.
For example, consider the outcome, 𝐹𝑆𝑆 where it means

1𝑠𝑡 𝑡𝑟𝑎𝑖𝑙 = 𝐹 ∩ 2𝑛𝑑 𝑡𝑟𝑎𝑖𝑙 = 𝑆 ∩ 3𝑟𝑑 𝑡𝑟𝑎𝑖𝑙 = 𝑆
𝑃(𝐹𝑆𝑆) = 𝑃(1𝑠𝑡 𝑡𝑟𝑎𝑖𝑙 = 𝐹 ∩ 2𝑛𝑑 𝑡𝑟𝑎𝑖𝑙 = 𝑆 ∩ 3𝑟𝑑 𝑡𝑟𝑎𝑖𝑙 = 𝑆)
Since we have independent and identical trails,
𝑃(𝐹𝑆𝑆) = 𝑃(1𝑠𝑡 𝑡𝑟𝑎𝑖𝑙 = 𝐹)𝑃(2𝑛𝑑 𝑡𝑟𝑎𝑖𝑙 = 𝑆)𝑃(3𝑟𝑑 𝑡𝑟𝑎𝑖𝑙 = 𝑆)
= (1 − 𝑝). 𝑝. 𝑝 = 𝑞𝑝2
Similarly, we can calculate probabilities for other outcomes also.
Possible 𝑆𝑆𝑆 𝑆𝑆𝐹 𝑆𝐹𝑆 𝐹𝑆𝑆 𝑆𝐹𝐹 𝐹𝑆𝐹 𝐹𝐹𝑆 𝐹𝐹𝐹

outcomes

𝑋 3 2 2 2 1 1 1 0
Probabilities 𝑝3 𝑝2 𝑞 𝑝2 𝑞 𝑝2 𝑞 𝑝𝑞 2 𝑝𝑞 2 𝑝𝑞 2 𝑞3
Table 9.2: Possible outcomes and associated 𝑋 values and respective

probabilities when 𝑛 = 3
As noted in Table 9.1 and Table 9.2, the possible values for the random
variable 𝑋 are 0, 1, 2, 𝑜𝑟 3. So, now we interest about the probability mass
function of the random variable 𝑋.
𝑋 Possible Number of Probability

values outcomes outcomes
associated
with 𝑋
value
0 (𝐹𝐹𝐹) 1 𝑞3
1 (𝑆𝐹𝐹), 3 Each outcome associated with 𝑋 = 1
(𝐹𝑆𝐹), has the probability of occurrence 𝑝𝑞 2 .
(𝐹𝐹𝑆) So, 𝑃(𝑋 = 1) = 3 × 𝑝𝑞 2
2 (𝑆𝑆𝐹), 3 Each outcome associated with 𝑋 = 2
(𝑆𝐹𝑆), has the probability of occurrence 𝑝2 𝑞.
(𝐹𝑆𝑆) So, 𝑃(𝑋 = 2) = 3 × 𝑝2 𝑞
3 (𝑆𝑆𝑆) 1 𝑝3
Table 9.3: The probability mass values for random variable 𝑋
Here we can see that each probability associated with 𝑋 𝑣alues has the form,
𝑁𝑜 𝑜𝑓 𝑤𝑎𝑦𝑠 𝑝𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑦 𝑜𝑓
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 𝑥) = [ 𝑡𝑜 𝑐ℎ𝑜𝑜𝑠𝑒 𝑥 ] × [ 𝑎𝑛𝑦 𝑝𝑎𝑟𝑡𝑖𝑐𝑢𝑙𝑎𝑟 ]
𝑜𝑓 𝑡ℎ𝑒 𝑛 𝑡𝑟𝑎𝑖𝑙 𝑜𝑢𝑡𝑐𝑜𝑚𝑒 𝑤𝑖𝑡ℎ 𝑋 = 𝑥.
With the following theorem we can define the probability mass function in
more precise way.
156
Theorem:
The probability mass function of a random variable which follows

binomial distribution can be given as,
𝑛
𝐶𝑟 𝑝 𝑥 (1 − 𝑝)𝑛−𝑥 𝑥 = 0,1,2,3, … , 𝑛
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 𝑥) = {
Example 4
We often, write: 𝑋~𝐵𝑖𝑛(𝑛, 𝑝) to indicate that 𝑋 follows binomial
distribution based on 𝑛 number of independent and identical trails with
successive probability 𝑝.
Finally we can summarize the properties of a Binomial experiment as

follows. With these properties we can identify random variables which
follows binomial distribution.
Properties of a Binomial Experiment
(1) The experiment consists of 𝑛 identical trials
(2) Two outcomes are possible on each trial – success or failure
(3) The probability of success, denoted by 𝑝, does not change from trial to
trial.
(4) The trials are independent.
Example 5
Flip a fair coin 4 times. What is the probability that I get two tails?
Let’s think about how we could compute this probability
As the first step we must identify the random variable which is associated
with this problem. To see is it a binomial experiment we check the
properties of Binomial experiment.
• How many trials? 4

• Are two outcomes possible? Yes, tail or head
• Does the probability of a tail change trial to trial? No since it is fair
coin

• Are the trials independent? Yes, because outcome of the previous

trial will not affect to the outcome of next trial.
Since all the properties satisfied, we may conclude that this experiment is a
binomial experiment.
Then we can define the random variable 𝑌 as,
𝑌 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑡𝑎𝑖𝑙𝑠
Then 𝑌 is a binomial random variable associated with 4 trials and 0.5 of

successive probability.
𝑌~𝐵𝑖𝑛(4,0.5)
Finally, we are asking about the probability that 𝑌 = 2.
So that is ,
𝑓𝑌 (2) = 𝑃(𝑌 = 2) =4 𝐶2 𝑝2 (1 − 𝑝)4−2
4!
= 0.52 (1 − 0.5)4−2
2! (4 − 2)!
4×3×2×1
= 0.54
2 × 1 × (2 × 1)
= 2 × 3 × 0.54 = 0.375
Activity 2
60% of people who purchase sports cars are men. If 10 sports car owners are
randomly selected, find the probability that exactly 7 are men.

For 𝑛 = 1, the Binomial experiment becomes the Bernoulli experiment.
1( 𝑠𝑢𝑐𝑐𝑒𝑠𝑠) 𝑤𝑖𝑡ℎ 𝑝𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑦 𝑝

𝑌={
0(𝐹𝑎𝑖𝑙𝑢𝑟𝑒) 𝑤𝑖𝑡ℎ 𝑝𝑟𝑜𝑏𝑎𝑏𝑖𝑙𝑖𝑡𝑦 (1 − 𝑝) = 𝑞
By the definition of the expectation we know that 𝐸(𝑌) = ∑𝑦𝑝(𝑌 = 𝑦).
158
Thus, mean of the Bernoulli random variable:
𝐸(𝑌) = 𝜇𝑌 = 𝑝
So, the expected number of success on any single trail is 𝑝. Since the
Binomial random variable consists with 𝑛 number of trails, intuition suggest
that, for 𝑋~𝐵𝑖𝑛(𝑛, 𝑝), the expected value 𝐸(𝑋) = 𝜇𝑋 = 𝑛𝑝 where it is equal
to the number of trails into expectation of success to any single trail.

The variance of a random variable which follows Binomial distribution is
given as,
𝑉(𝑋) = 𝑛𝑝𝑞
Activity 3
80% of people who purchase pet insurance are women. If 9 pet insurance owners are
randomly selected, find the probability that exactly 6 are women.
9.4 Geometric Distribution

Let us consider the experiment where we repeat the Bernoulli trail until it
occurs a successive event. Here we are interest about the number of
independent and identical Bernoulli trails until we obtain first success. Then
we say, the random variable 𝑋 defined as follows has a Geometric
distribution.
𝑋 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑡𝑟𝑎𝑖𝑙𝑠 𝑡𝑜 𝑜𝑏𝑡𝑎𝑖𝑛 𝑓𝑖𝑟𝑠𝑡 𝑠𝑢𝑐𝑐𝑒𝑠𝑠
So, the possible outcomes of the random variable 𝑋 are {1,2,3, … }. If the
probability of success of any Bernoulli trail is 𝑝, we can define the
probability mass function of random variable 𝑋 as follows.
𝑓𝑋 (𝑥) = (1 − 𝑝)𝑥−1 𝑝 𝑓𝑜𝑟 𝑥 ∈ 𝑋 = {1,2,3, … }
The notation uses to represent a random variable which follows Geometric

distribution: 𝑋~𝐺𝑒𝑜𝑚𝑒𝑡𝑟𝑖𝑐(𝑝), which means the random variable X

follows Geometric distribution with the probability of success of each trail

equal to 𝑝.
Example 6
Products produced by a machine have a 3% defective rate. What is the
probability that the first defective occurs in the fifth item inspected?
Answer
𝑋 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑡𝑟𝑎𝑖𝑙𝑠 𝑡𝑜 𝑜𝑏𝑡𝑎𝑖𝑛 𝑓𝑖𝑟𝑠𝑡 𝑑𝑒𝑓𝑒𝑐𝑡𝑖𝑣𝑒 𝑖𝑡𝑒𝑚
𝑓𝑋 (𝑥) = (1 − 𝑝)𝑥−1 𝑝
𝑓𝑋 (5) = 𝑃(𝑋 = 5) = (1 − 𝑝)𝑥−1 𝑝
𝑓𝑋 (5) = 𝑃(𝑋 = 5) = (1 − 0.03)5−1 0.03
𝑓𝑋 (5) = 𝑃(𝑋 = 5) = 0.974 ∗ 0.03
𝑓𝑋 (5) = 0.0266

Thus, mean of the Geometric random variable:

∞ ∞
𝑥−1
𝐸(𝑋) = ∑ 𝑥(1 − 𝑝) 𝑝 = ∑ 𝑥(𝑞)𝑥−1 𝑝
𝑥=1 𝑥=1
𝐸(𝑋) = 𝜇 = 1𝑝 + 2𝑞𝑝 + 3𝑞 2 𝑝 + 4𝑞 3 𝑝 + ⋯
1
By simplifying above equation, we can show that the 𝐸(𝑋) = 𝜇 = 𝑝.

The variance of the random variable X which follows Geometric
distribution is computed as ,
𝑞
𝑉(𝑋) =
𝑝2
160
Example 7
Four roads start from a junction. Only one of them leads to a mall. The
remaining roads ultimately lead back to the starting point. A person not
familiar with these roads wants to try the different roads one by one to reach
the mall. What is the probability that his second attempt will be correct?
Answer
𝑋 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑎𝑡𝑡𝑒𝑚𝑝𝑡𝑠 𝑛𝑒𝑒𝑑 𝑡𝑜 𝑜𝑏𝑡𝑎𝑖𝑛 𝑡ℎ𝑒 𝑐𝑜𝑟𝑟𝑒𝑐𝑡 𝑟𝑜𝑎𝑑

1
Here the person has a random probability of 4
𝑓𝑋 (𝑥) = (1 − 𝑝)𝑥−1 𝑝
𝑓𝑋 (2) = 𝑃(𝑋 = 2) = (1 − 𝑝)𝑥−1 𝑝
𝑓𝑋 (2) = 𝑃(𝑋 = 2) = (1 − 0.25)2−1 0.25
𝑓𝑋 (2) = 𝑃(𝑋 = 2) = 0.75 ∗ 0.25
𝑓𝑋 (2) = 0.1875
Activity 4
A fair coin is tossed a number of times till it tosses on a head. What is the probability
the coin tossing head on the 3rd toss?
9.5 Hyper geometric Distribution

The Hyper geometric distribution is like the binomial distribution except that
with the Hyper geometric distribution the trials are not independent, and the
probability of success is not the same trial to trial.
We can list the assumptions leading to the Hyper geometric distribution are as
follows.
The assumptions leading to the Hyper geometric distribution

• The population or set to be sampled consists of 𝑁 individuals,

objects or elements (a finite population)
• Each individual can be characterized as success or a failure and there
are 𝑀 successes in the population.
• A sample of 𝑛 individuals is selected without replacement in such a
way that each subset of size 𝑛 is equally likely to be chosen.
The random variable 𝑋 is defined as the number of Successes in the
sample.
Example 8
Suppose we have an urn with 4 red balls and 4 blue balls. Calculate the
probability of selecting exactly 2 blue balls in 3 trials if the sampling is done
without replacement.
Why couldn’t I just use the binomial distribution? The trials are not
independent, and the probability of success is not the same trial to trial.
Because the sampling is done without replacement the probability of selecting a
blue ball chances conditional on the color of the balls already selected.
Here in the urn we have 8 balls so population size(𝑁) is 8. The sample size
(𝑛) is 3 and the number of successes(no of blue balls) (𝑀) in the population
is 4and failures 𝑁 − 𝑀 = 4. Now we are asking about 𝑥 = 2.
Because all the outcomes are equally likely,
𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑜𝑢𝑡𝑐𝑜𝑚𝑒𝑠 ℎ𝑎𝑣𝑖𝑛𝑔 𝑋 = 2
𝑃(𝑋 = 2) =
𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑝𝑜𝑠𝑠𝑖𝑏𝑙𝑒 𝑜𝑢𝑡𝑐𝑜𝑚𝑒𝑠
No of possible outcomes in the experiment is number of ways of selecting 3
8
balls out of 8 balls. That is 𝐶3 . To count the number of outcomes having
4 4
X=2, note that there are 𝐶2 ways of selecting two blue balls and 𝐶1
ways of selecting a red ball to fill out the sample.
4 𝐶 ×4 𝐶 20
2 1
𝑃(𝑋 = 2) = 8𝐶 .
= 56 = 0.351.
3
With the following theorem we can discuss the probability mass function of
a random variable X which follows hyper geometric distribution more
precisely.
162
Theorem
If 𝑋 is the number of successes in a completely random sample of

size 𝑛 drawn from a population consisting 𝑀 number of successes
and 𝑁 − 𝑀 number of failures, then the probability mass function
of 𝑋, called the hypergeometric distribution, is given by,
𝑀 𝐶 ×𝑁−𝑀 𝐶
𝑥 𝑛−𝑥
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 𝑥) = 𝑁𝐶 .
For x an integer satisfying
𝑛
𝑚𝑎𝑥(0, 𝑛 − 𝑁 + 𝑀) ≤ 𝑥 ≤ 𝑚𝑖𝑛(𝑛, 𝑀).
Activity 5
A box of 20 marbles contains 15 blue and 5 red. You need to draw a lot of 10 marbles
at random. Find the probability of drawing 6 blue marbles in the lot drawn.
9.5.1 Expectation or mean (𝝁) and the variance of the random

variable 𝑿
The mean and variance of the hyper geometric random variable 𝑋 are,
𝑀
𝐸(𝑋) = 𝑛 ×
𝑁
𝑁−𝑛 𝑀 𝑀
𝑉(𝑋) = ( ) × 𝑛 × × (1 − )
𝑁−1 𝑁 𝑁
The ratio 𝑀/𝑁 is the proportion of successes in the population. If we

replace 𝑀/𝑁 by 𝑝 in 𝐸(𝑋) and 𝑉(𝑋), we get
𝐸(𝑋) = 𝑛𝑝
𝑁−𝑛
𝑉(𝑋) = ( ) × 𝑛𝑝(1 − 𝑝)
𝑁−1
The above expression shows that the means of the binomial and hyper
geometric random variables are equal, whereas the variance of the two

𝑁−𝑛
random variables differ by ( 𝑁−1 ) factor, often called the finite population
correction factor.
9.6 Negative Binomial Distribution

The negative binomial random variable and distribution are based on an
experiment satisfying the following conditions:
• The experiment consists of a sequence of independent trails.

• Each trail can result in either a success or failure.
• The probability of success is constant from trail to trail, so
𝑃(𝑆 𝑜𝑛 𝑡𝑟𝑎𝑖𝑙 𝑖) = 𝑝 𝑓𝑜𝑟 𝑖 = 1, 2, 3, …
• The experiment continues (trails are performed) until a total of 𝑟
successes have been observed, where 𝑟 is a specified positive integer.
The random variable of interest is X= the number of failures that precede the r
th successes; X is called a negative binomial random variable because, in
contrast to the binomial random variable, the number of successes is fixed and
the number of trails is random.
We can see that the possible values of X are 0, 1, 2, 3, … Let consider the
event X=x, that is the event that r-1 Successes
𝑃(𝑋 = 𝑥) = 𝑃(𝑟 − 1 𝑆𝑢𝑐𝑐𝑒𝑠𝑠𝑒𝑠 𝑜𝑛 𝑡ℎ𝑒 𝑓𝑖𝑟𝑠𝑡 𝑥 + 𝑟 − 1 𝑡𝑟𝑖𝑎𝑙𝑠). 𝑃(𝑆𝑢𝑐𝑐𝑒𝑠𝑠)
𝑥 + 𝑟 − 1 𝑟−1
𝑃(𝑋 = 𝑥) = ( ) 𝑝 (1 − 𝑝)𝑥 𝑝
𝑟−1
Where 𝑃(𝑆𝑢𝑐𝑐𝑒𝑠𝑠) = 𝑝
Theorem
The probability mass function of the negative binomial random

variable 𝑋 with parameters 𝑟 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑠𝑢𝑐𝑐𝑒𝑠𝑠𝑒𝑠 and
𝑃(𝑆𝑢𝑐𝑐𝑒𝑠𝑠) = 𝑝 is
𝑥+𝑟−1 𝑟
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 𝑥) = ( ) 𝑝 (1 − 𝑝)𝑥
𝑟−1
Example 9
164
A pediatrician wishes to recruit 5 couples, each of whom is expecting their

first child, to participate in a new natural childbirth regimen. Let 𝑝 =
𝑃(𝑎 𝑟𝑎𝑛𝑑𝑜𝑚𝑙𝑦 𝑠𝑒𝑙𝑒𝑐𝑡𝑒𝑑 𝑐𝑜𝑢𝑝𝑙𝑒 𝑎𝑔𝑟𝑒𝑒𝑠 𝑡𝑜 𝑝𝑎𝑟𝑡𝑖𝑐𝑖𝑝𝑎𝑡𝑒). If 𝑝 = 0.2,
what is the probability that 15 couples must be asked before 5 are found
who agree to participate?
𝑟 = 5, 𝑝 = 0.2 and 𝑥 = 10
𝑥+𝑟−1 𝑟
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 𝑥) = ( ) 𝑝 (1 − 𝑝)𝑥
𝑟−1
10 + 5 − 1
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 10) = ( ) 0.25 (1 − 0.2)10
5−1
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 10) = 0.034

Thus, mean of the Negative Binomial random variable:

∞
𝑥+𝑟−1 𝑟
𝐸(𝑋) = ∑ 𝑥 ( ) 𝑝 (1 − 𝑝)𝑥
𝑟−1
𝑥=0
𝑟(1−𝑝)
By simplifying above equation, we can show that the 𝐸(𝑋) = 𝜇 = 𝑝

The variance of the random variable X which follows Geometric
distribution is computed as ,
𝑟(1 − 𝑝)
𝑉(𝑋) =
𝑝2
Activity 6
Bob is a high school basketball player. He is a 70% free throw shooter. That means his
probability of making a free throw is 0.70. During the season, what is the probability that
Bob makes his third free throw on his fifth shot?

9.7 Poisson Distribution

The Poisson distribution describes the probability of that 𝑋 number events
occur in an interval (time or space for example).
Theorem
A random variable 𝑋 is said to have a Poisson distribution with

parameter 𝜆, (𝜆 > 0) if the probability mass function of 𝑋 is
𝑒 −𝜆 𝜆𝑥
𝑝(𝑋 = 𝑥; 𝜆) = 𝑥 = 0,1,2, ..
𝑥!
The value of 𝜆 is frequently a rate per unit time or per unit area.
Example 10
Births in a hospital occur randomly at an average rate of 1.8 births per hour.
What is the probability of observing 4 births in a given hour at the hospital?
Let X = No. of births in a given hour
λ = 1.8
We can now use the formula to calculate the probability of observing

exactly 4 births in a given hour
𝑒 −1.8 1.84
𝑝(𝑋 = 4; 𝜆 = 1.8) =
4!
𝑝(𝑋 = 4; 𝜆 = 1.8) = 0.0723
Example 11
Let X denote the number of creatures of a particular type captured in a trap
during a given time period. Suppose that X has a Poisson distribution with
𝜆 = 4.5,
So on average traps will contain 4.5 creatures. What is the probability that a
trap contains exactly five creatures?
λ = 4.5
166
We can now use the formula to calculate the probability of observing

exactly five creatures in a trap.
𝑒 −4.5 4.55
𝑝(𝑋 = 5; 𝜆 = 4.5) =
5!
𝑝(𝑋 = 5; 𝜆 = 4.5) = 0.1708

Thus, mean of the Poisson random variable:

∞
𝐸(𝑋) = ∑ 𝑥
𝑥!
𝑥=0
∞
𝐸(𝑋) = ∑
(𝑥 − 1)!
𝑥=1
∞
𝑒 −𝜆 𝜆𝑙+1
𝐸(𝑋) = ∑
𝑙!
𝑙=0
∞
𝑒 −𝜆 𝜆𝑙
𝐸(𝑋) = 𝜆 ∑
𝑙!
𝑙=0
𝐸(𝑋) = 𝜆 ∗ 1
𝐸(𝑋) = 𝜆

The variance of the random variable X which follows Poisson distribution is
computed as,

𝑉(𝑋) = 𝜆
Activity 7
A man was able to complete 3 files a day on an average. Find the probability that he
can complete 5 files the next day.
Answers for activities
Activity 1
1(𝑠𝑢𝑐𝑐𝑒𝑠𝑠) 𝑖𝑓 𝑡ℎ𝑒 𝑜𝑢𝑡𝑐𝑜𝑚𝑒 𝑖𝑠 6

𝑌={
0( 𝑓𝑎𝑖𝑙𝑢𝑟𝑒) 𝑖𝑓 𝑡ℎ𝑒 𝑜𝑢𝑡𝑐𝑜𝑚𝑒 𝑖𝑠 𝑎𝑛𝑦 𝑜𝑡ℎ𝑒𝑟
1
𝑃(𝑌 = 1) =
6
Activity 2
𝑌 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑝𝑒𝑜𝑝𝑙𝑒 𝑤ℎ𝑜 𝑝𝑢𝑟𝑐ℎ𝑎𝑠𝑒 𝑠𝑝𝑜𝑟𝑡𝑠 𝑐𝑎𝑟𝑠 𝑎𝑟𝑒 𝑚𝑒𝑛
Then 𝑌 is a binomial random variable associated with 10 trials and 0.6 of successive
probability.
𝑌~𝐵𝑖𝑛(10,0.6)
𝑃(𝑌 = 7) =10 𝐶7 𝑝7 (1 − 𝑝)10−7
10!
= 0.67 (1 − 0.6)10−7
7! (10 − 7)!
= 0.215
168
Activity 3
𝑌 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑝𝑒𝑜𝑝𝑙𝑒 𝑤ℎ𝑜 𝑝𝑢𝑟𝑐ℎ𝑎𝑠𝑒 𝑝𝑒𝑡 𝑖𝑛𝑠𝑢𝑟𝑎𝑛𝑐𝑒 𝑎𝑟𝑒 𝑤𝑜𝑚𝑒𝑛.
Then 𝑌 is a binomial random variable associated with 9 trials and 0.8 of successive
probability.
𝑌~𝐵𝑖𝑛(9,0.8)
𝑃(𝑌 = 6) =9 𝐶6 𝑝6 (1 − 𝑝)9−6
9!
= 0.86 (1 − 0.8)9−6
6! (9 − 6)!
= 0.176
Activity 4
𝑋 = 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑡𝑜𝑠𝑠𝑖𝑛𝑔𝑠 𝑛𝑒𝑒𝑑 𝑡𝑜 𝑜𝑏𝑡𝑎𝑖𝑛 𝑡ℎ𝑒 ℎ𝑒𝑎𝑑 𝑜𝑛 𝑡ℎ𝑒 𝑡𝑜𝑠𝑠
1
Here the probability of getting head is .
2
𝑓𝑋 (𝑥) = (1 − 𝑝)𝑥−1 𝑝
𝑓𝑋 (3) = 𝑃(𝑋 = 3) = (1 − 𝑝)𝑥−1 𝑝
𝑓𝑋 (3) = 𝑃(𝑋 = 3) = (1 − 0.5)3−1 0.5
𝑓𝑋 (3) = 𝑃(𝑋 = 3) = 0.52 ∗ 0.5
𝑓𝑋 (3) = 0.125
Activity 5
𝑁 = 20, 𝑛 = 10, 𝑀 = 15 and 𝑥 = 6
𝑀
𝐶𝑥 ×𝑁−𝑀 𝐶𝑛−𝑥
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 𝑥) = 𝑁𝐶 .
𝑛
15
𝐶6 ×20−15 𝐶10−6
𝑓𝑋 (6) = 𝑃(𝑋 = 6) = 20 𝐶
10

𝑓𝑋 (6) = 𝑃(𝑋 = 6) = 0.13545
Activity 6
This is an example of a negative binomial experiment. The probability of success (P) is

0.70, the number of trials (x) is 5, and the number of successes (r) is 3.
To solve this problem, we enter these values into the negative binomial formula.
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 𝑥) = (𝑥 + 𝑟 − 1) 𝑝𝑟 (1 − 𝑝)
𝑥
𝑟−1
𝑓𝑋 (5) = 𝑃(𝑋 = 5) = (5 + 3 − 1) 0.7

3 5
(1 − 0.7)
3−1
3
𝑓𝑋 (5) = 𝑃(𝑋 = 5) = 6 ∗ 0.7 ∗ 0.35
𝑓𝑋 (5) = 𝑃(𝑋 = 5) = 6 ∗ 0.343 ∗ 0.09
𝑓𝑋 (5) = 𝑃(𝑋 = 5) = 0.18522
Thus, the probability that Bob will make his third successful free throw on his fifth shot
is 0.18522.
Activity 7
Let X = the number of files required to be completed next day
λ=3
𝑒 −3 35
𝑝(𝑋 = 5; 𝜆 = 3) =
5!
𝑝(𝑋 = 5; 𝜆 = 3) = 0.1008
Summary
• If a random variable 𝑋 follows discreate uniform distribution then
the probability mass function is given as.
1
𝑓𝑋 (𝑥) = {𝑛 𝑥 ∈ 𝑋 = {1,2,3, … 𝑛}
170
• 𝑋 follows Bernoulli distribution: 𝑋~𝐵𝑒𝑟𝑛𝑜𝑢𝑙𝑙𝑖(𝑝), then the

probability mass function is defined as,
𝑝 𝑥=1
𝑓𝑋 (𝑥) = {
1−𝑝 =𝑞 𝑥=0
• The binomial random variable 𝑋 associated with an experiment
consisting of 𝑛 number of independent and identical trails with the
successive probability 𝑝 , then the probability mass function of a
random variable which follows binomial distribution can be given
as,
𝑛
𝐶𝑟 𝑝 𝑥 (1 − 𝑝)𝑛−𝑥 𝑥 = 0,1,2,3, … , 𝑛
𝑓𝑋 (𝑥) = 𝑃(𝑋 = 𝑥) = {
• 𝑋 follows Geometric distribution with the probability of success of

each trail equal to 𝑝. Then the probability mass function of random
variable 𝑋 as follows.
𝑓𝑋 (𝑥) = (1 − 𝑝)𝑥−1 𝑝 𝑓𝑜𝑟 𝑥 ∈ 𝑋 = {1,2,3, … }
• A random variable 𝑋 is said to have a Poisson distribution with

parameter 𝜆, (𝜆 > 0) if the probability mass function of 𝑋 is
𝑝(𝑋 = 𝑥; 𝜆) = 𝑥 = 0,1,2, ..
𝑥!
The value of 𝜆 is frequently a rate per unit time or per unit area.
Learning Outcomes
At the end of this session, you should be able to
• Identify different types of discrete random variable.

• Apply the PDF of specific discrete random variables to compute
mean, probabilities and variances.

Review Questions
1. In an amusement fair, a competitor is entitled for a prize if he throws a ring on

a peg from a certain distance. It is observed that only 30% of the competitors
are able to do this. If someone is given 5 chances, what is the probability of his
winning the prize when he has already missed 4 chances?
2. A public accounts committee of 5 persons to be set out of 12 members from

ruling party and 8 members from opposition party. What is the probability of 3
members of opposition party is selected?
172
Session 3: Continuous Random Variable
Session 10
Continuous Random Variables
Contents
Introduction, p 173
10.1 The Continuous uniform distribution, p 174
10.2 Normal distribution, p 177
10.3 Standard normal distribution, p 179
10.4 Exponential distribution, p 184
10.5 Gamma distribution, p 185
Summary, p 189
Learning Outcomes, p 190
Introduction
As discussed in Section 8 "Random Variables" in session 9 "Discrete
Random Variables", a random variable is called continuous if its set of
possible values contains a whole interval of decimal numbers. In this session
we investigate such random variables.
Here we focus to properties and characteristics of this special continuous

random variables and their probability density function, expectation and
variance.
Here we will discuss about uniform distribution, Normal distribution,

Standard Normal distribution, Gamma distribution Exponential distribution
and Chi-Square distribution will be discussed within this session.

10.1 The Continuous Uniform Distribution

The continuous uniform distribution is the continuous analogue of the
discrete uniform distribution; it is used to model experiments whose
outcome is an interval of numbers that are “equally likely” in the sense that
any two intervals of equal length in the support have the same probability
associated with them.
A random variable 𝑋 with the continuous uniform distribution on the

interval [𝑎, 𝑏] has the probability density function (PDF),
1
𝑓𝑋 (𝑥) = {𝑏 − 𝑎 𝑤ℎ𝑒𝑛 𝑎 ≤ 𝑥 ≤ 𝑏
Due to the particularly simple form of this PDF we can also write down
explicitly a formula for the cumulative distribution function (CDF):
0 𝑓𝑜𝑟 𝑥 < 𝑎
𝑥−𝑎
𝐹𝑋 (𝑥) = { 𝑓𝑜𝑟 𝑎 ≤ 𝑥 ≤ 𝑏
𝑏−𝑎
1 𝑥>𝑏
The graphical representation of PDF and CDF of the Continuous uniform

distribution can be given as,
Figure 10.1; PDF and CDF of the Uniform random variable 𝑿
Example 1
A random variable 𝑋 has the uniform distribution on the interval [0,1] : the
174
Density function is
1 1
𝑓𝑋 (𝑥) = 𝑏−𝑎 = 1−0 = 1 for 0 ≤ 𝑥 ≤ 1
𝑓𝑋 (𝑥) = 0 for all other values of 𝑥, as shown in Figure 10.2 .
Figure 10.2: Uniform Distribution on [𝟎, 𝟏].
1. Find 𝑃(𝑋 > 0.75).

2. Find 𝑃(𝑋 ≤ 0.2)
3. Find 𝑃(0.4 < 𝑋 < 0.7)
Solution:
1. 𝑃(𝑋 > 0.75) is the area of the rectangle of height 1 and base length
1 − 0.75 = 0.25 ,
Hence is base × height = (0.25) · (1) = 0.25. See Figure 10.3 (a)
2. 𝑃(𝑋 ≤ 0.2) is the area of the rectangle of height 1 and base length
0.2 − 0 = 0.2 , hence is base × height = (0.2) · (1) = 0.2. See
Figure 10.3 (b).
3. 𝑃(0.4 < 𝑋 < 0.7) is the area of the rectangle of height 1 and length
0.7 − 0.4 = 0.3 , hence is base × height = (0.3) · (1) = 0.3. See
Figure 10.3 (c).

Figure 10.3 Probabilities from the Uniform Distribution on [𝟎, 𝟏]
If a random variable has a uniform distribution over the interval, [𝑎, 𝑏], then
we use the notation 𝑋~𝑈𝑛𝑖𝑓(𝑎, 𝑏) to represent it.
Activity 1
A man arrives at a bus stop at a random time (that is, with no regard for the scheduled
service) to catch the next bus. Buses run every 30 minutes without fail, hence the next
bus will come any time during the next 30 minutes with evenly distributed probability (a
uniform distribution). Find the probability that a bus will come within the next 10
minutes.
Now we are going to know about the expectation and other distributional
parameters for a random variable X which is uniformly distributed
over [𝑎, 𝑏].
10.1.1 Expectation or mean (𝝁) and the variance of the random

variable 𝑿 with Uniform distribution over [𝒂, 𝒃]
By the definition of the expectation we know that 𝐸(𝑋) = 𝜇 =

∞
∫−∞ 𝑥𝑓𝑋 (𝑥)𝑑𝑥.
Thus, mean of the uniform random variable:
∞ 𝑏 𝑏
1 𝑥2
𝐸(𝑋) = ∫ 𝑥𝑓𝑋 (𝑥)𝑑𝑥 = ∫ 𝑥 𝑑𝑥 = |
−∞ 𝑎 (𝑏 − 𝑎) 2(𝑏 − 𝑎) 𝑎
176
(𝑏 2 − 𝑎2 ) (𝑏 + 𝑎)
= =
2(𝑏 − 𝑎) 2
(𝑏+𝑎)
Thus, the mean 𝜇 or expectation of random variable 𝑋 is .
2
(𝑏−𝑎)2
The variance of the random variable 𝑋 is equal to .
12
10.2 Normal Distribution

The normal distribution is the most important one in all of probability and
statistics. Many numerical populations have distributions that can be fit very
closely by an appropriate normal curve such as the heights of human beings,
the amount of a product in a container that was filled by a high-speed
packing machine, or the velocities of molecules in a gas.
Thus, a continuous random variable 𝑿 is said to have a normal distribution

with parameters 𝝁 and 𝝈 > 𝟎 (or 𝝁 and 𝝈𝟐 ), if the pdf of 𝑿 is
(𝑥−𝜇)2
1
𝑓𝑋 (𝑥) = 𝑒 2𝜎2 for−∞ ≤ 𝑥 ≤ ∞
√2𝜋𝜎
Here 𝑒 denote the natural logarithm system and has approximate value
2.71828 and 𝜋 has approximate value 3.14159.
The notations for a random variable X which have a normal distribution

with parameters 𝜇 and 𝝈𝟐 is given as, 𝑋 ~𝑁(𝜇, 𝜎 2 ).
10.2.1. The properties of the normal distribution

• The mean of the random variable 𝑋=𝐸[𝑋] = 𝜇.
• The variance of the random variable 𝑋 = 𝑉[𝑋] = 𝜎 2
• Density curve is symetric about the mean 𝜇 and bell sheped.
• So the centre of the density curve is 𝑀𝑒𝑎𝑛 = 𝑀𝑒𝑑𝑖𝑎𝑛 = 𝑀𝑜𝑑𝑒.
• The value 𝜎 is the distance from mean 𝜇 to the inflection points of
the curve.

Figure 10.4 presents the graphs of f(x) for several 𝜇 and 𝜎.
Figure 10.4: Left: PDF’s of normal variables with 𝝁 = 𝟎, and

𝝈 = 𝟎. 𝟕𝟓, 𝟏, 𝟐. Right: PDF’s of normal variables with 𝝈 = 𝟏. 𝟓, and
𝝁 = −𝟏, 𝟏, 𝟐
Example 2
The height 𝑋 of a randomly selected 25-year-old man is a normal random
variable with mean 𝜇 = 69.75 and standard deviation 𝜎 = 2.59. Sketch a
qualitatively accurate graph of the density function for 𝑋. Find the
probability that a randomly selected 25-year-old man is more than 69.75
Inches tall.
Answer
The distribution of heights looks like the bell curve in Figure 10.5. The
important point is that it is centered at its mean, 69.75, and is symmetric
about the mean.
Figure 10.5: Density Function for Heights of 25-Year-Old Men
178
Since the total area under the curve is 1, by symmetry the area to the right of
69.75 is half the total, or 0.5. But this area is precisely the probability
𝑃(𝑋 > 69.75), the probability that a randomly selected 25-year-old man is
more than 69.75 inches tall.
To compute 𝑃(𝑎 < 𝑋 < 𝑏) when 𝑋 is a normal random variable with

parameter 𝜇 and , we must determine,
𝑏 𝑏
1 (𝑥−𝜇)2
∫ 𝑓𝑋 (𝑥)𝑑𝑥 = ∫ 𝑒 2𝜎2 𝑑𝑥
𝑎 𝑎 √2𝜋𝜎
None of the standard integration techniques can be used to evaluate above

integration. Instead, for 𝜇 = 0 and 𝜎 = 1, the above integration has been
calculated using numerical techniques and tabulated for certain values of
𝑎 and 𝑏. This table can also be used to compute probabilities for any other
values of 𝜇 and 𝜎 under consideration.
So, we will introduce Standard Normal Distribution with for 𝜇 = 0 and

𝜎 = 1 here.
10.3 Standard Normal Distribution

The normal distribution with the parameters 𝜇 = 0 and 𝜎 = 1, is called the
standard normal distribution. A random variable having a standard normal
distribution is called standard normal random variable and will be denoted
by 𝑍. The probability density function of 𝑍 is
𝑧2
1
𝑓𝑍 (𝑧) = 𝑒 2 for−∞ ≤ 𝑧 ≤ ∞
√2𝜋𝜎
Figure 10.6: The PDF of the standard normal variable 𝒁

The cumulative distribution function of 𝑍 is given as,

𝑧 𝑦2
1
𝑃(𝑍 ≤ 𝑧) = 𝐹𝑍 (𝑧) = ∫ 𝑒2 𝑑𝑦
−∞ √2𝜋𝜎
To compute probabilities for 𝑍 we will not work with its density function
directly but instead read probabilities out of Cumulative Normal Probability
table in Appendix 1. The tables are tables of cumulative probabilities; their
entries are probabilities of the form Φ(𝑎) = 𝑃 (𝑍 ≤ 𝑎) . Figure 10.7,
Illustrates the types of cumulative area (probability) tabulated in
Appendix1Table1.
Figure 10.7: The standard normal cumulative areas tabulated in

Appendix1Table1.
The use of the tables will be explained by the following series of examples.
Example 3
Find the probabilities indicated, whereas always 𝑍 denotes a standard
Normal random variable.
a. 𝑃(𝑍 < 1.48).
b. 𝑃(𝑍 > 1.60).
Answer
Figure 10.8 shows how this probability is read directly from the table
without any computation required. The digits in the ones and tenths places
of 1.48, namely 1.4, are used to select the appropriate row of the table; the
hundredths part of 1.48, namely 0.08, is used to select the appropriate
column of the table. The four-decimal place number in the interior of the
180
table that lies in the intersection of the row and column selected, 0.9306, is
the probability sought: 𝑃 (𝑍 < 1.48) = 0.9306.
Figure 10.8: Computing Probabilities Using the Cumulative Table
b. Because the events 𝑍 > 1.60 and 𝑍 ≤ 1.60 are complements, the
Probability Rule for Complements implies that
𝑃 (𝑍 > 1.60) = 1 − 𝑃 (𝑍 ≤ 1.60)

Since inclusion of the endpoint makes no difference for the continuous
random variable 𝑍,
P (Z ≤ 1.60) = P (Z < 1.60), which we know how to find from the table. The
number in the row with heading 1.6 and in the column with heading 0.00 is
0.9452. Thus 𝑃 (𝑍 < 1.60) = 0.9452 so,
𝑃 (𝑍 > 1.60) = 1 − 𝑃 (𝑍 ≤ 1.60) = 1 − 0.9452 = 0.0548
Figure 10.9, illustrates the ideas geometrically. Since the total area under the
Curve is 1 and the area of the region to the left of 1.60 is (from the table)
0.9452, the area of the region to the right of 1.60 must be 1 − 0.9452 =
0.0548.

Figure 10.9: Computing a Probability for a Right Half-Line
Activity 2
Find 𝑃 (0.5 < 𝑍 < 1.57) .
10.3.1 Probability Computations for General Normal Random

Variables
The computation of probabilities for a normal random variable is tough with

use of the PDF. When 𝑋~𝑁(𝜇, 𝜎 2 ), the probabilities involving 𝑋are
𝑋−𝜇
computed by standardizing. The standardized variable is . Substracting
𝜎
𝜇 shifts the maen from 𝜇 to zero, and then dividing by 𝜎 scales the variable
so that the standard deviation is 1 rather than 𝜎.
Proposition
If a random variable X has a normal distribution with mean 𝜇 and standard

deviation, 𝜎,then
(𝑋 − 𝜇)
𝑍=
𝜎
has a standard normal distribution.
Thus If we want to find 𝑃(𝑎 < 𝑋 < 𝑏) for a normally distributed random
variable 𝑋 with mean 𝜇 and variance 𝜎, we may use standardizing as,
182
𝑎−𝜇 𝑋−𝜇 𝑏−𝜇

𝑃(𝑎 < 𝑋 < 𝑏) = 𝑃 ( < < )
𝜎 𝜎 𝜎
𝑎−𝜇 𝑏−𝜇 𝑏−𝜇 𝑎−𝜇
𝑃( <𝑍< ) = Φ( ) − Φ( )
𝜎 𝜎 𝜎 𝜎
𝑏−𝜇 𝑎−𝜇
𝑃(𝑋 < 𝑏) = Φ ( ) and 𝑃(𝑋 < 𝑎) = Φ ( )
𝜎 𝜎
Example 4
Let 𝑋 be a normal random variable with mean 𝜇 = 10 and standard
deviation 𝜎 = 2.5. Compute the following probabilities.
a) 𝑃(𝑋 < 14)

b) 𝑃 (8 < 𝑋 < 14)
Answer
a)
𝑃 (𝑋 < 14)
14 − 𝜇
= 𝑃 (𝑍 < )
𝜎
14 − 10
= 𝑃 (𝑍 < )
2.5
= 𝑃 (𝑍 < 1.60)
Figure 10.10: Z-value Calculation
=0.9452
b) 𝑃 (8 < 𝑋 < 14)
8– 𝜇 14 – 𝜇
=𝑃 ( <𝑍 < )
𝜎 𝜎
8 – 10 14 – 10
=𝑃 ( <𝑍 < )
2.5 2.5
= 𝑃 (−0.80 < 𝑍 < 1.60)
= 0.9452 − 0.2119 Figure 10.10: Z-value Calculation

=0.7333
Activity 3
The lifetimes of the tread of a certain automobile tire are normally distributed with mean
37,500 miles and standard deviation 4,500 miles. Find the probability that the tread life
of a randomly selected tire will be between 30,000 and 40,000 miles.
The density curve corresponding to any normal distribution is bell-shaped

and therefore symmetric. There are many practical situations in which the
variable of interest to an investigator might have skewed distribution. Now
we will discuss some skewed distributions.
10.4 Exponential Distribution

The family of exponential distributions provides probability models that are
very widely used in engineering and science disciplines.
The random variable 𝑋 is said to have an exponential distribution with

parameter 𝜆 (𝜆 > 0) if the PDF of 𝑋 is,
−𝜆𝑥
𝑓𝑋 (𝑥) = { 𝜆𝑒 𝑥≥0
0 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
∞ 1
The mean of the random variable : 𝐸(𝑋) = ∫0 𝑥𝜆𝑒 −𝜆𝑥 𝑑𝑥 = 𝜆 . We can also
1
show that the 𝑉(𝑋) = 𝜎 2 = 𝜆2 .
The cumulative distribution function of the random variable 𝑋

−𝜆𝑥
𝐹𝑋 (𝑥) = {1 − 𝑒 𝑥≥0
Example 5
Suppose the response time 𝑋 at a certain on-line computer terminal, has an
exponential distribution with expected response time equal to 5sec. Find the
probability that the response time is at most 10 sec.
184
Answer
Since the 𝑋~𝐸𝑥𝑝(𝜆), we know that 𝐸(𝑋) = 1⁄𝜆 and we have given that
the expected response time = 5,
Then 𝐸(𝑋) = 1⁄𝜆 = 5
𝜆 = 0.2
Now we are asking about 𝑃(𝑋 ≤ 10) and it is ,
= 1 − 𝑒 −0.2×10 = 1 − 0.135 = 0.865.
10.5 Gamma Distribution

To define the family of gamma distribution we first need to introduce a
function that plays an important role in many branches of mathematics and
statistics.
The Gamma Function
For 𝛼 > 0, the gamma function Γ(𝛼) is defined by ,

∞
Γ(𝛼) = ∫ 𝑥 𝛼−1 𝑒 −𝑥 𝑑𝑥
0
with the properties,
• For any 𝛼 > 1, Γ(𝛼) = (𝛼 − 1) ∙ Γ(𝛼 − 1)

• For any positive integer, 𝑛, Γ(𝛼) = (𝑛 − 1)!
1
• Γ (2) = √𝜋
The Gamma Distribution
A continuous random variable 𝑋 is said to have a gamma distribution if the

PDF of 𝑋 is,
1 𝛼−1
−𝑥⁄
𝑥 𝑒 𝛽 𝑥≥0
𝑓𝑋 (𝑥) = {𝛽 𝛼 Γ(𝛼)
Where the parameters 𝛼 and 𝛽 satisfy𝛼 > 0, 𝛽 > 0.

The standard gamma distribution has the parameter 𝛽 = 1.
The mean and variance of a random variable X having the gamma

distribution 𝑓𝑋 (𝑥) are,
𝐸(𝑋) = 𝜇 = 𝛼𝛽 𝑉(𝑋) = 𝜎 2 = 𝛼𝛽 2
The cumulative distribution function of the random variable 𝑋 which have a

standard gamma distribution:
𝑥
𝑦 𝛼−1 𝑒 −𝑦
𝐹𝑋 (𝑥) = ∫ 𝑑𝑦
0 Γ(𝛼)
The cumulative distribution function of the random variable 𝑋 which have a

gamma distribution:
−𝑦
𝑥 ⁄
𝑦 𝛼−1 𝑒 𝛽
𝐹𝑋 (𝑥) = ∫ 𝑑𝑦
0 β𝛼 Γ(𝛼)
Example 6
Suppose that the reaction time 𝑋 of a randomly selected individual to a
certain stimulus has a standard gamma distribution with 𝛼 = 2. Find
𝑃(3 ≤ 𝑋 ≤ 5).
Answer
5
𝑦 2−1 𝑒 −𝑦
𝑃(3 ≤ 𝑋 ≤ 5) = ∫ 𝑑𝑦 𝑤ℎ𝑒𝑟𝑒 Γ(2) = 1
3 Γ(2)
So, we will integrate above expression,
5
𝑦 2−1 𝑒 −𝑦
=∫ 𝑑𝑦 = −𝑦𝑒 −𝑦 |53 − 𝑒 −𝑦 |53
3 1
= 4𝑒 −3 − 6𝑒 −5 = 0.1587
Answers to Activities
186
Activity 1
The graph of the density function is a horizontal line above the interval from 0 to 30 and
is the 𝑥-axis everywhere else. Since the total area under the curve must be 1, the
height of the horizontal line is 1/30. See Figure 10.2222. The probability sought is (0 ≤
𝑋 ≤ 10) . By definition, this probability is the area of the rectangular region bounded
above by the horizontal line
𝑓 𝑋 (𝑥) = 1 ∕ 30, bounded below by the 𝑥-axis, bounded on the left by the vertical line
at 0 (the 𝑦-axis), and bounded on the right by the vertical line at
10. This is the shaded region in Figure 10.11.
Its area is the base of the rectangle times its height,
10 · (1 ∕ 30) = 1 / 3. Thus 𝑃 (0 ≤ 𝑋 ≤ 10) = 1 ∕ 3.
Figure 10.11: Probability of Waiting At Most 10 Minutes for a Bus
Activity 2
Figure 10.223 "Computing a Probability for an Interval of Finite Length" illustrates the
ideas involved for intervals of this type. First look up the areas in the table that
correspond to the numbers 0.5 (which we think of as 0.50 to use the table) and 1.57.
We obtain 0.6915 and 0.9418, respectively. From the figure it is apparent that we must
take the difference of these two numbers to obtain the probability desired. In symbols,
Figure 10.12
a. The procedure for finding the probability that 𝑍 takes a value in a finite interval whose
endpoints have opposite signs is exactly the same procedure used in part (a), and is
illustrated in Figure
𝑃 (0.5 < 𝑍 < 1.57) = 𝑃 (𝑍 < 1.57) − 𝑃 (𝑍 < 0.50) = 0.9418 − 0.6915 = 0.2503

Figure 10.12: Computing a Probability for an Interval of Finite Length
Activity 3
Let 𝑋 denote the tread life of a randomly selected tire.
To make the numbers easier to work with we will choose thousands of miles as the
units. Thus 𝜇 = 37.5, 𝜎 = 4.5, and the problem is to compute 𝑃 (30 < 𝑋 < 40) .
Figure 10.13, illustrates the following computation:
30 − 𝜇 40 − 𝜇
𝑃 (30 < 𝑋 < 40) = 𝑃 ( <𝑍< )
𝜎 𝜎
30 − 37.5 40 − 37.5
= 𝑃( <𝑍< )
4.5 4.5
= 𝑃(−1.67 < 𝑍 < 0.56) = 0.7123 − 0.0475 = 0.6648
Figure 10.13: Probability Computation for Tire Tread Wear
188
Summary
• A random variable 𝑋 with the continuous uniform distribution on the
interval [𝑎, 𝑏] has the probability density function (PDF),
1
𝑓𝑋 (𝑥) = {𝑏 − 𝑎 𝑤ℎ𝑒𝑛 𝑎 ≤ 𝑥 ≤ 𝑏
• A continuous random variable 𝑋 is said to have a normal distribution
with parameters 𝜇 and 𝜎 > 0 (or 𝜇 and 𝜎 2 ), if the pdf of 𝑋 is
(𝑥−𝜇)2
1
𝑓𝑋 (𝑥) = 𝑒 2𝜎2 for−∞ ≤ 𝑥 ≤ ∞
√2𝜋𝜎
Here 𝑒 denote the natural logarithm system and has approximate value
2.71828 and 𝜋 has approximate value 3.14159.
The notations for a random variable X which have a normal distribution

with parameters 𝜇 and 𝜎 2 is given as, 𝑋 ~𝑁(𝜇, 𝜎 2 ).
• The normal distribution with the parameters 𝜇 = 0 and 𝜎 = 1 , is

called the standard normal distribution. The normal distribution with
the parameters 𝜇 = 0 and 𝜎 = 1 , is called the standard normal
distribution.
• The random variable 𝑋 is said to have an exponential distribution
with parameter 𝜆 (𝜆 > 0) if the PDF of 𝑋 is,
−𝜆𝑥
𝑓𝑋 (𝑥) = { 𝜆𝑒 𝑥≥0
∞ 1
The mean of the random variable : 𝐸(𝑋) = ∫0 𝑥𝜆𝑒 −𝜆𝑥 𝑑𝑥 = 𝜆 . We
1
can also show that the 𝑉(𝑋) = 𝜎 2 = 𝜆2 .
• A continuous random variable 𝑋 is said to have a gamma

distribution if the PDF of 𝑋 is,
1 𝛼−1
−𝑥⁄
𝑥 𝑒 𝛽 𝑥≥0
𝑓𝑋 (𝑥) = {𝛽 𝛼 Γ(𝛼)
Where the parameters 𝛼 and 𝛽 satisfy𝛼 > 0, 𝛽 > 0.
Here, the gamma function Γ(𝛼) is defined by,
∞
Γ(𝛼) = ∫0 𝑥 𝛼−1 𝑒 −𝑥 𝑑𝑥 For 𝛼 > 0,

The mean and variance of a random variable X having the gamma

distribution 𝑓𝑋 (𝑥) are,
𝐸(𝑋) = 𝜇 = 𝛼𝛽 𝑉(𝑋) = 𝜎 2 = 𝛼𝛽 2
• The standard gamma distribution has the parameter 𝛽 = 1.
Learning Outcomes
At the end of this session, you should be able to
• Identify different types of continuous random variables.

• Apply the PDF of specific continuous random variables to compute
mean, probabilities and variances.
• Apply Z table to find probabilities associated with normal random
variable
190

Distribution Theory: Unit III

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Distribution Theory: Unit III

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Unit III

Some useful continuous distributions (Uniform, Normal, Gamma, and

This whole unit has three sessions.

Session one introduces the probability distribution.

©2020, The Open University of Sri Lanka 123

8.1 Random Variables

We are not always interested in an experiment itself, but rather in some

In other way, suppose that to each point of a sample space, we assign a

A random variable 𝑋 is a function defined on sample space 𝑆 to Real

More generally, Random variable is a numerical description of the outcome

Suppose that a fair coin is tossed twice under identical experimental

𝑆 = {𝐻𝐻, 𝐻𝑇, 𝑇𝐻, 𝑇𝑇}.

Let 𝑋 represent the number of heads that can come up.

With each sample point we can associate a number for as shown in

Table 8.1: Associate values for random variable 𝑋.

A random variable that takes on a finite or countably infinite number of

8.1.1 The Cumulative Distribution Function (CDF) of a Random

The cumulative distribution function (CDF), or briefly the distribution

FX (x ) = P( X  x ) Where x is any real number −   x  

8.2 Discrete Random Variables

A random variable 𝑋 is discrete if the set of all possible values of 𝑋 (that is

X = {x1 , x2 ,} Countably Infinite

Let us consider an experiment in which batteries are examined until a non-defective

1. Find the sample space of this experiment.

©2020, The Open University of Sri Lanka 125

2. Let the random variable 𝑋 is defined as 𝑋 = the number of batteries examined

8.2.1 Probability Mass Function of a Discrete Random Variable

arranged in some order.

Then the function f X is defined on X as,

which assigns probability to each x  X . This function f X is called as the

discrete probability mass function.

For completeness we define,

In general, f X (x) is a probability mass function if,

Simply we can say, the discrete probability mass function (PMF) of a

𝑆 = {𝐻𝐻, 𝐻𝑇, 𝑇𝐻, 𝑇𝑇}.

𝑋 = {2, 1, 0}, with the probabilities ¼, ½, and ¼ respectively. Define PMF

The PMF is defined on the range of the X.

1. Find the sample space of this experiment.

©2020, The Open University of Sri Lanka 127

8.2.2 The Cumulative Distribution Function (CDF) for a Discrete

FX (x ) = P( X  x ) Where x is any real number (−  x  ) .

We can compute the CDF of a discrete random variable 𝑋 from its

So, CDF of a discrete random variable X, can be defined as,

Then the distribution function Fx ( x ) of a discrete random variable has the

01. FX (x ) is non-decreasing [i.e. FX (x )  FX ( y ), if x  y ]

03. FX (x ) is continuous from the right but not continuous on ℝ

From the definition of the cumulative distribution function, we know that

Let us consider a discrete random variable 𝑋 with range X = x1 , x2 ,...,

where x1  x2  ... . The probability mass function and CDF of random

variable 𝑋, are given as f X (x ) and FX (x ) respectively.

©2020, The Open University of Sri Lanka 129

For the completeness, we can define, f X (x1 ) = FX (x1 ).

Up to now we have discussed about the probability mass function (PMF)

8.2.3 Graphical Representation

random variable X. A graph of the function FX is a step-function which

©2020, The Open University of Sri Lanka 131

8.3 Continuous Random Variables

In mathematically we say a random variable 𝑋 is continuous if the function

Then the cumulative distribution function of the random variable 𝑋 can be

Here f X (x) is the probability density function (PDF) of the continuous

random variable 𝑋. Then this f X (x) has following properties.

of the probability at 𝑋 = 𝑥 is only provided by f X (x) .

Properties of Continuous 𝑭𝑿 (𝒙) and 𝒇𝑿 (𝒙)