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iii . lim F X ( x ) 0
x
v. P ( x1 X x 2 ) F X ( x 2 ) F X ( x1 )
vi . P ( X x ) 1 F X ( x )
Example:
Find the cdf of the random variable X which is defined as the
number of heads in three tosses of a fair coin.
0, x 0
1 / 8, 0 x 1
FX ( x) 1 / 2, 1 x 2
7 / 8, 2 x 3
1, x 3
PX ( X xi ) PX ( xi ) FX ( xi ) FX ( xi 1 )
i. 0 PX ( xi ) 1, k 1, 2, .....
ii. PX ( x) 0, if x xk , k 1, 2, .....
iii. Pk
X ( xk ) 1
FX ( x) P
xk x
X ( xk )U ( x xk )
X E ( X ) xf X ( x)dx
X E ( X ) xk PX ( xk )
k
2 X Var ( X ) E[( X X ) 2 ]
2
X Var ( X ) ( x X ) 2 f X ( x)dx
2
X Var ( X ) E ( X ) [ E ( X )]
2 2
2
X Var ( X ) ( xk X ) PX ( xk )
2
X E ( X X ) 2 Var ( X )
iii.Moments
The nth moment of a continuous random variable X is defined as:
E ( X ) x n f X ( x)dx ,
n
n 1
Semester-II, 2013/14 By Welelaw Y. 14
Expected Value, Variance and Moments Cont’d…..
E ( X ) xk PX ( xk ) ,
n
n 1
k
x
Fig. Normal or Gaussian Distribution
3. Exponential Distribution
f X (x)
1 x /
e , x 0,
fX (x) x
0, otherwise.
Fig. Exponential Distribution
4. Gamma Distribution
x 1 x/
e , x 0,
f X ( x ) ( )
0, otherwise.
5. Beta Distribution
1
x a 1 (1 x ) b 1 , 0 x 1,
f X ( x) (a, b)
0, otherwise.
where
1
(a, b)
0
u a 1 (1 u ) b 1 du .
6. Rayleigh Distribution
x x 2 / 2 2
e , x 0,
f X ( x) 2
0, otherwise.
7. Cauchy Distribution
/
fX (x) , x .
(x )
2 2
8. Laplace Distribution
1 | x |/
fX (x) e , x .
2
Semester-II, 2013/14 By Welelaw Y. 20
Some Special Distributions Cont’d….
4. Hypergeometric Distribution
m N m
k n k
P( X k )
N
, max(0, m n N ) k min( m , n )
n
5. Geometric Distribution
P ( X k ) pq k , k 0 ,1 , 2 , , , q 1 p.
Example-1:
The pdf of a continuous random variable is given by:
kx , 0 x 1
f X ( x)
0 , otherwise
where k is a constant.
c. Find P (1 / 4 X 1)
2 x , 0 x 1
f X ( x)
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 24
Random Variable Examples Cont’d……
Solution:
b. The cdf of X is given by :
x
FX ( x)
f X ( u ) du
Case 1 : for x 0
F X ( x ) 0 , since f X ( x ) 0 , for x 0
Case 2 : for 0 x 1
x x x
FX ( x) f X ( u ) du 2 udu u x2
2
0 0 0
Case 3 : for x 1
1 1 1
FX ( x) f X ( u ) du 2 udu u 1
2
0 0 0
The cdf is given by
0, x 0
2
FX ( x) x , 0 x 1
1, x 1
1/ 4
P (1 / 4 X 1) 15 / 16
ii . Using the cdf
P (1 / 4 X 1) F X (1) F X (1 / 4 )
P (1 / 4 X 1) 1 (1 / 4 ) 2 15 / 16
P (1 / 4 X 1) 15 / 16
Semester-II, 2013/14 By Welelaw Y. 27
Random Variable Examples Cont’d……
Solution:
d. Mean and Variance
i. Mean
1 1
X E(X )
0
xf X ( x ) dx 0
2 x 2 dx
2x3 1
X 2/3
3 0
ii . Variance
X 2 Var ( X ) E ( X 2 ) [ E ( X )] 2
1 1
E(X ) x f X ( x ) dx 2 x 3 dx 1 / 2
2 2
0 0
X Var ( x ) 1 / 2 ( 2 / 3 ) 2 1 / 18
2
Example-2:
Consider a discrete random variable X whose pmf is given by:
1 / 3 , xk 1, 0, 1
PX ( xk )
0 , otherwise
ii . Variance
X 2 Var ( X ) E ( X 2 ) [ E ( X )] 2
1
2
E(X ) 2
x k PX ( x k ) 1 / 3[( 1) 2 ( 0 ) 2 (1) 2 ] 2 / 3
k 1
X Var ( x ) 2 / 3 ( 0 ) 2 2 / 3
2
1
Y g( X ) |X |
X
X
log X
eX | X | U ( x)
FY ( y ) P( g ( X ) y ) P(Y y )
dFY ( y )
fY ( y )
dy
dxi
f Y ( y) f X ( xi ) g ( xi ) f X ( xi )
i dy i
Examples:
a. Let Y aX b. Find f Y ( y ).
b. Let Y X 2 . Find f Y ( y ).
1
c. Let Y . Find f Y ( y ).
X
d . The random variable X is uniform in the interval [ , ].
2 2
If Y tan X , determine the pdf of Y .
a. Y aX b
i. Using Method I
Suppose that a 0
yb
F y ( y ) P (Y y ) P ( aX b y ) P X
a
yb
FY ( y ) F X
a
dFY ( y ) 1 yb
fY ( y) fX (i )
dy a a
a. Y aX b
i. Using Method I
yb
F y ( y ) P (Y y ) P ( aX b y ) P X
a
yb
FY ( y ) 1 F X
a
dFY ( y ) 1 y b
fY ( y) fX (ii )
dy a a
Semester-II, 2013/14 By Welelaw Y. 37
Examples on Functions of One Random Variable…..
Solutions:
a. Y aX b
i. Using Method I
From equations (i ) and (ii ) , we obtain :
1 y b
f Y ( y) fX , for all a
a a
a. Y aX b
ii. Using Method II
The function Y aX b is one - to - one and the range
space of Y is IR
yb
For any y , x h ( y ) is the principal solution
a
dx dh ( y ) 1 dx 1
dy dy a dy a
dx dh y 1 yb
fY ( y) f X ( x) f X h ( y ) f Y ( y ) fX
dy dy a a
dx 2 1 dx 2 1
dy 2 y dy 2 y
dx i dx1 dx 2
fY ( y)
i dy
f X ( xi ) f Y ( y )
dy
f X ( x1 )
dy
f X ( x2 )
1
2 y f X y f y ,
X y0
fY ( y)
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 41
Examples on Functions of One Random Variable…..
Solutions:
1
c . The function Y is one - to - one and the range
X
space of Y is IR / 0
1
For any y , x h ( y ) is the principal solution
y
dx dh ( y ) 1
2
dy dy y
dx dh y 1 1
fY ( y) f X ( x) f X h ( y ) f Y ( y ) 2 f X
dy dy y y
1 1
fY ( y) 2
f X
, IR / 0
y y
Semester-II, 2013/14 By Welelaw Y. 42
Examples on Functions of One Random Variable…..
Solutions:
d . The function Y tan X is one - to - one and the range
space of Y is ( , )
dx dh ( y ) 1
dy dy 1 y2
dx dh y 1/
fY ( y) f X ( x) f X h ( y ) f Y ( y )
dy dy 1 y2
1
fY ( y) , y
(1 y )
2
where k is a constant.
Find :
a. the value of k .
b. the cdf of X .
c. P ( X 1)
whe re k is a constant.
Determine :
a. the value of k .
b. the pdf of X .
c. the mean and variance of X .
Semester-II, 2013/14 By Welelaw Y. 46
Assignment-II Cont’d…..