3 PPT Statek2 21feb v1

Random Variables
Valentino Risali, M.Sc

Department of Economics
Monday, 21 February 2022
Valentino Risali, M.Sc Department of Economics Random Variables

Random Variable
Consider the experiment: n fair coin are tossed. Find the

probability of the event k Heads show up, for k = 1, 2, . . . , n.

Definition
A random variable X is a function defined on a sample space
S, that associates a real number X (ω) = r , for all ω in S.

Definition
X : S −→ R
ω 7→ r
For every ω in S, there exists a real number r such that
X (ω) = r .

Definition
X : S −→ R
ω 7→ r
For every ω in S, there exists a real number r such that
X (ω) = r .

Remark
1 It’s important to know all members of Sample Space S.
2 All possible values of r is called values of X and we can
write r ∈ X .

Example
In the experiment of tossing 2 fair coins which has sample
space S = {(H, H), (H, T ), (T , H), (T , T )}, let X denotes the
random variable that is defined as the total outcome(s) of H.

Example
Then
X : S −→ R

Example
Then
X : S −→ R

 0 , a = (T , T )
X (a) = 1 , a = (H, T ), (T , H)
2 , a = (H, H)


Example
Then
X : S −→ R

 0 , a = (T , T )
X (a) = 1 , a = (H, T ), (T , H)
2 , a = (H, H)

and the set of all values of X : {0, 1, 2}.

Example
Then
X : S −→ R

 0 , a = (T , T )
X (a) = 1 , a = (H, T ), (T , H)
2 , a = (H, H)

and the set of all values of X : {0, 1, 2}. Since the coins are
fair,
1 1 1
P(X = 0) = , P(X = 1) = , P(X = 2) = .
4 2 4

Example
Given two fair dice with sample space
S = {(a, b) | a, b ∈ {1, 2, 3, 4}}.

Example
S = {(a, b) | a, b ∈ {1, 2, 3, 4}}. Let X denotes the random
variable that is defined as the sum of two outcomes, that is

Example
X : S −→ R
(a, b) 7→ a + b.

Example
X : S −→ R
(a, b) 7→ a + b.
For example : X (3, 4) = 7

Example
X : S −→ R
(a, b) 7→ a + b.
The set of all values of X = ...

Example
Given two fair 4−sided dice with sample space
S = {(a, b) | a, b ∈ {1, 2, ..., 6}}.

Example
S = {(a, b) | a, b ∈ {1, 2, ..., 6}}. Let X denotes the random

Example
X : S −→ R
(a, b) 7→ a + b.

Example
X : S −→ R
(a, b) 7→ a + b.
X (2, 4) = ... The set of all values of X = ...

Example
Consider the experiment tossing a coin repeatedly until a head
comes up with sample space S = {H, TH, TTH, ...}.

Example
comes up with sample space S = {H, TH, TTH, ...}. Let X
denotes the random variable that is defined as the sum of
toss(es) until a head comes up.

Example
toss(es) until a head comes up. Then
X : S −→ R
H 7→ 1
TH 7→ 2
TTH → 7 3.
..
.

Example
toss(es) until a head comes up. Then
X : S −→ R
H 7→ 1
TH 7→ 2
TTH → 7 3.
..
.
the set of all values of X = ...

Example
Suppose that our experiment consists of seeing how long a
battery can operate before wearing down. Suppose also that
we are not primarily interested in the actual lifetime of the
battery but are concerned only about whether or not the
battery lasts at least two years.

Example
battery lasts at least two years. In this case, we may define the
random variable I by

Example
battery lasts at least two years. In this case, we may define the
random variable I by

1 , if the lifetime of battery is two or more years
I (x) =
0 , otherwise

Discrete Random Variable
Definition
A random variable X is called discrete random variable if the
set of all values of X (range of X ) is a finite or countable set.

Definition
The probability mass function (PMF) of a discrete random
variable X is the function f (x) = P(X = x) that relates each
x to its probability P(X = x).

Definition
The probability mass function (PMF) of a discrete random
variable X is the function f (x) = P(X = x) that relates each
x to its probability P(X = x).
Definition
The cumulative distribution function (CDF) F of a discrete
random variable X with PMF f is the function with definition
F (x) = P(X ≤ x) = Σy ≤x f (y ),
for −∞ < x < ∞.

Remark
For a given function f to be a PMF, it needs to satisfy the
following conditions:
1 f (x) ≥ 0 for every x,
2 Σx∈X f (x) = 1.

Example
In the experiment of tossing 2 fair coins, let X denotes the
random variable that is defined as the number of heads i.e.

 0 , a = (T , T )
X (a) = 1 , a = (H, T ), (T , H)
2 , a = (H, H)

Since the coins are fair,

1 1 1
P(X = 0) = , P(X = 1) = , P(X = 2) = .
4 2 4

Example
In the experiment of tossing 2 fair coins, let X denotes the
random variable that is defined as the number of heads i.e.

 0 , a = (T , T )
X (a) = 1 , a = (H, T ), (T , H)
2 , a = (H, H)

Since the coins are fair,

1 1 1
P(X = 0) = , P(X = 1) = , P(X = 2) = .
4 2 4
1 1
f (0) = P(X = 0) = , f (1) = P(X = 1) = ,
4 2
1
f (2) = P(X = 2) = .
4
Example
The PMF is given by
1 1 1
f (0) = , f (1) = , f (2) = , f (x) = 0, x otherwise.
4 2 4

Example
The PMF is given by
1 1 1
f (0) = , f (1) = , f (2) = , f (x) = 0, x otherwise.
4 2 4
Check: Σ2x=0 f (x) = 1.

Example
F (1.5) = P(X ≤ 1.5)

= P(X = 0) + P(X = 1)
1 1
= +
4 2
3
= .
4

Example
Suppose that X has a probability mass function given by
1 1 1
p(1) = , p(2) = , p(3) = .
2 3 6

Exercise
Let X denotes the random variable that is defined as the total

outcomes of head in the experiment of tossing n fair coins.
Find the PMF.

Exercise
1 There are 10 black marbles and 20 white marbles in a

box. Five marbles are selected without replacement. Let
X be the number of black marbles which is selected.
Determine the PMF of X .
2 The CDF of X is given by


 0 ,b < 1
1
,0 ≤ b < 1


 32


5
,1 ≤ b < 2
F (b) = 4

 5
,2 ≤ b < 3
9
, 3 ≤ b < 3.5


 10


1 , b ≥ 3.5
Determine the PMF of X .

Continuous Random Variable
Every work-day, a man goes to his office by a bus. Although

next bus arrives every 5 minutes, the man generally arrives at
the bus stop at a random time between the bus arrivals. Then,
we can define a random variable X which measures his
waitting time on any given day. In practice, we usually
measure time only to the nearest unit such as seconds,
minutes, etc but in theory we could measure the time to
within some arbitrarily small time. Even though it might be
possible to regard X as a discrete random variable with the
nearest unit, it is usually convinient to assumed that X can
attach any value in some interval.

Continuous Random Variable
A random variable X is called continuous random variable if
the set of all values of X (range of X ) is an uncountable set.
Definition
The random variable X is called continuous random variable if
there is a nonnegative function f : R −→ [0, ∞) such that for
any interval [a, b],
Z b
P{X ∈ [a, b]} = f (t) dt.
a
The function f is called probability density function (PDF) of

X.

Definition
The cumulative distribution function (CDF) of a continuous
random variable X is
Z x
F (x) = P(X ≤ x) = f (t) dt.
−∞

Definition
Z x
F (x) = P(X ≤ x) = f (t) dt.
−∞
Remark
For a given function f to be a PDF, it needs to satisfy the
R∞
2
−∞
f (x)dx = 1.

Definition
Z x
F (x) = P(X ≤ x) = f (t) dt.
−∞
Remark
For a given function f to be a PDF, it needs to satisfy the
R∞
2
−∞
f (x)dx = 1.
dF (x)
If f is continuous, then = f (x), where F (x) is the CDF.
Rb dx
P(a ≤ X ≤ b) = a f (x)dx.

Example
Let the PDF of random variable X is given by
( x
,0 ≤ x ≤ 2
f (x) = 2
0 , otherwise
1 Determine P(X < 1)

2 Determine P(0.5 < X < 1.5)
3 Find CDF of X

Exercise
Given a function

c(1 − x 2 ) , −1 < x < 1
f (x) =
0 , otherwise
1 Determine c such that f is a PDF.

2 Determine P(−0.5 < X < 0.5).
3 Find CDF of X .

Example

 x ,0 ≤ x ≤ 1
f (x) = 1 , 1 < x ≤ 1.5
0 , otherwise


Example

 x ,0 ≤ x ≤ 1
f (x) = 1 , 1 < x ≤ 1.5
0 , otherwise

If x < 0, F (x) = 0.
If 0 ≤ x ≤ 1,
Z x
F (x) = f (t) dt
0
x
1 2
= t
2 0
1
= x 2.
2

Example
If 1 < x ≤ 1.5,
Z x
F (x) = f (t) dt
0
Z 1 Z x
= t dt + 1 dt
0 1
1
1 2
= t + [t]x1
2 0
1
= +x −1
2
1
=x− .
2

Example
If x ≥ 1.5,
Z x
F (x) = f (t) dt
0
Z 1 Z 1.5
= t dt + 1 dt
0 1
1
1 2
= t + [t]1.5
1
2 0
1
= + 1.5 − 1
2
= 1.

Example

0 
 ,x < 0
1 2 

x ,0 ≤ x ≤ 1


Therefore, F (x) = 2
1

 x− , 1 < x ≤ 1.5
2



 1 , x > 1.5
is the CDF of f (x).

Example
−2x
2e ,0 < x < ∞
f (x) =
0 ,x ≤ 0
1 Find P(X > 2).

2 Find the CDF of X .

Properties
If F is a CDF, then
1 0 ≤ F (x) ≤ 1.
2 limx→−∞ F (x) = 0 and limx→∞ F (x) = 1
3 F is nondecreasing function, F (x1 ) ≤ F (x2 ), for all
x1 < x2 .

Exercise
Let the function
λxe −x , x ≥ 0

f (x) =
0 , otherwise
where λ > 0 is a constant.
1 Find λ such that f is a PDF.
2 Determine F (x).

Exercise
x2
1 Given an CDF of X , F (x) = , x ≥ 0. Determine
1 + x2
the PDF of X .
2 Let the function

c(4x − 2x 2 ) , 0 < x < 2
g (x) =
0 , otherwise
where c is a constant.
1 Find c such that g is a PDF.
2 Determine the CDF G (x).
1
3 Compute P(0 < X < ).
2

Expectation
Definition
An expectation of a random variable X , denoted by E [X ] is
defined by
1 E [X ] = Σx;p(x)>0 x.p(x), if X is discrete.
R
2 E [X ] = xf (x)dx, if X is continuous.

Example
Suppose that X is the outcome when we roll a fair die. Find
E [X ].
X = {x | x = 1, 2, 3, 4, 5, 6}
1
p(x) = , x = 1, 2, 3, 4, 5, 6
6

Example
E [X ].
X = {x | x = 1, 2, 3, 4, 5, 6}
1
p(x) = , x = 1, 2, 3, 4, 5, 6
6
By definition,
E [X ] = Σ6x=1 x.p(x) =

Example

1
,α < x < β

Let f (x) = β−α
 0 , otherwise
The expectation is

Properties of Expectation
Theorem
Let g (X ) be a function of X , then the expected value of g (X )
is
1 E [g (X )] = Σx g (x).p(x), if X is discrete.
R
2 E [g (X )] = g (x)f (x)dx, if X is continuous.

Theorem
If X is a random variable and a, b are constants, then
E [aX + b] = a.E [X ] + b.

Theorem
If X is a random variable and a, b are constants, then
E [aX + b] = a.E [X ] + b.
Proof.
If X is discrete,
E [aX + b] = Σx (ax + b)p(x)

= Σx ax.p(x) + Σx bp(x)
= aΣx x.p(x) + bΣx p(x)
= a.E [X ] + b.

Properties
Let c be a constant and g (X ), g1 (X ), ..., gn (X ) be functions of
a random variable X such that E (g (X )) and E (gi (X )) exists
for i = 1, 2, ..., n. Then
1 E [c] = c.
2 E [cg (X )] = c.E [g (X )].
3 E [Σni=1 gi (X )] = Σni=1 E [gi (X )].

Moments
Definition
An k−moment of a random variable X is defined by
1 E (X k ) = Σx;p(x)>0 x k .p(x), if X is discrete.
R
2 E (X k ) = x k .f (x)dx, if X is continuous.

Example
Suppose that X is the outcome when we roll a fair die.
X = {x | x = 1, 2, 3, 4, 5, 6}
1
p(x) = , x = 1, 2, 3, 4, 5, 6
6
The second moment is

Example
Suppose that X is the outcome when we roll a fair die.
X = {x | x = 1, 2, 3, 4, 5, 6}
1
p(x) = , x = 1, 2, 3, 4, 5, 6
6
E [X 2 ] = Σ6x=1 x 2 .p(x) = ....

Example

1
,α < x < β

Let f (x) = β−α
 0 , otherwise

Exercise
Given anexponential random variable X which has PDF

λe −λx , x > 0
f (x) = where λ > 0. Find E [X n ], n = 2, 3.
0 ,x ≤ 0

Variance
Definition
Given a random variable X . The variance of X , denoted by
Var (X ), is defined by
Var (X ) = E [(X − E [X ])2 ].

Let µ = E [X ]. Using properties of E [X ]:
Var (X ) = E [(X − µ)2 ]

= E [X 2 − 2X µ + µ2 ]
= E [X 2 ] − 2µ2 + µ2
= E [X 2 ] − µ2
= E [X 2 ] − (E [X ])2 .

Example
Var (X ).
X = {x | x = 1, 2, 3, 4, 5, 6}
1
p(x) = , x = 1, 2, 3, 4, 5, 6
6
7
E [X ] =
2
By definition,

Example
Var (X ).
X = {x | x = 1, 2, 3, 4, 5, 6}
1
p(x) = , x = 1, 2, 3, 4, 5, 6
6
7
E [X ] =
2
By definition,
91
E [X 2 ] = Σ6x=1 x 2 .p(x) = .
6

Example
Var (X ).
X = {x | x = 1, 2, 3, 4, 5, 6}
1
p(x) = , x = 1, 2, 3, 4, 5, 6
6
7
E [X ] =
2
By definition,
91
E [X 2 ] = Σ6x=1 x 2 .p(x) = .
6
91 7 35
Var (X ) = E [X 2 ] − (E [X ])2 = − ( )2 = .
6 2 12
Properties of Variance
Properties
Let a be a constant and X be a random variable. Then
1 Var (X ) = E [X 2 ] − (E [X ])2 .
2 Var (aX ) = a2 .Var (X ).

Special Random Variables
1 Discrete
Uniform
Binomial
Poisson
Geometrik
2 Continuous
Uniform
Exponential
Normal

Uniform probability distribution
Suppose that X is the outcome when we roll a fair die, then
X = {x | x = 1, 2, 3, 4, 5, 6}
1
p(x) = , x = 1, 2, 3, 4, 5, 6
6

Definition
A random variable X which has values x1 , x2 , ..., xn is said to
have uniform probability distribution with parameters n,
denoted by U(n), if
1
P(X = x) = , x = x1 , x2 , ..., xn .
n
Check:

Binomial Probability Distribution
Definition
A binomial experiment is one that has the following properties:
1 The experiment consists of n identical trials.

2 Each trial results in one of 2 outcomes, called a
"Success" (S) and "Failure" (F)
3 The probability of "Success" on a trial is p and the
remains same for trial to trial. The probability of
"Failure" is q = 1 − p.
4 The outcomes of the trials are independent.
5 The random variable X is the number of "Success" in n
trials.

Remark
The number of ways of obtaining x success in n trials is
n!
n Cx = .
(n − x)!.x!
2 Σx∈S f (x)dx = 1.

Definition
A random variable X is said to have binomial probability
distribution with parameters (n, p) if

C p x (1 − p)n−x , x = 0, 1, ..., n, 0 ≤ p ≤ 1
P(X = x) = n x
0 , otherwise
Check:

Example
Four fair coins are flipped. If the outcomes are assumed
independent, determine the probability that a head and 3 tails
are obtained. Solution:

Example
Let X be the number of heads ("successes") that appear.
Then X has binomial probability distribution with parameters
n = 4 and p = 12 .

Example
n = 4 and p = 12 .
1 1
P(X = 1) =4 C1 ( )1 ( )3 .
2 2
Determine the probability that at most 2 heads are obtained.

Example
n = 4 and p = 12 .
1 1
P(X = 1) =4 C1 ( )1 ( )3 .
2 2
Determine the probability that at most 2 heads are obtained.
P(X ≤ 2) = P(X = 0) + P(X = 1) + P(X = 2).

Example
It is known that screws produced by a certain machine will be
defective with probability 0.1 independently of each other. If
we randomly pick 10 screws produced by this machine, what is
the probability that at least two screws will be defective?

Definition
A discrete random variable X is said to follow the Poisson
probability distribution with parameter λ > 0, denoted by
Poi(λ), if
e −λ .λx
P(X = x) = f (x, λ) = ,
x!
for x = 0, 1, 2, ....
Check:

Example
Let X be a Poisson random variable with λ = 0.5. Find
P(X = 1),
P(X ≤ 2),
P(X ≤ 3).

Geometrik
Suppose that there n independent trials with two possible
outcomes "success" and "failed". The probability of success is
p. Let X be the number of trials required until the first
success happened. This random variable is said to have
Geometric probability distribution and its PMF is
f (n) = P(X = n) = (1 − p)n−1 p, n = 1, 2, 3, ...

Example
comes up with sample space S = {H, TH, TTH, ...}.

Example
toss(es) until a head comes up.

Example
toss(es) until a head comes up. PMF:
f (x) = (1 − p)x−1 p, x = 1, 2, 3, ...
where p is the probability of Head.

The Uniform Random Variable
Definition
A random variable X is said to have a uniform probability
distribution on the interval (α, β) if its PDF is given by

1
,α < x < β

f (x) = β−α
 0 , otherwise

The Uniform Random Variable
Definition
A random variable X is said to have a uniform probability
distribution on the interval (α, β) if its PDF is given by

1
,α < x < β

f (x) = β−α
 0 , otherwise
Check:
β
1
Z
dx = 1.
α β−α

Properties
The CDF of Uniform Random Variable is
0 ,a ≤ α


 a−α
F (a) = ,α < a < β
 β−α

1 ,a ≥ β

Exercise
If X is a uniformly distributed random variable over (0, 10),

calculate
P(X < 4)
P(X > 5)
P(4 < X < 9)

Exponential Random Variable
Definition
A random variable X is said to have an exponential
−λx probability
λe ,x ≥ 0
distribution if its PDF is given by f (x) = ,
0 ,x < 0
λ > 0.

Exponential Random Variable
Definition
A random variable X is said to have an exponential
−λx probability
λe ,x ≥ 0
distribution if its PDF is given by f (x) = ,
0 ,x < 0
λ > 0.
Check:
Z ∞ Z t
−λx
λe dx = λ lim e −λx dx
0 t→∞ 0
1
= λ lim [− e −λx ]t0
t→∞ λ
−λt
= − lim e −1
t→∞
= 1.

Exercise
Find theCDF of an exponential random variable X with

λe −λx , x ≥ 0
f (x) =
0 ,x < 0

Normal Random Variable
Definition
A random variable X is said to have a normal distribution with
parameters µ and σ 2 if its PDF is
1 2 2
f (x) = √ e −(x−µ) /2σ , −∞ < x < ∞.
2πσ

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Random Variables

Valentino Risali, M.Sc

Monday, 21 February 2022

Valentino Risali, M.Sc Department of Economics Random Variables

Consider the experiment: n fair coin are tossed. Find the

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

and the set of all values of X : {0, 1, 2}.

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

for −∞ < x < ∞.

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Since the coins are fair,

Valentino Risali, M.Sc Department of Economics Random Variables

Since the coins are fair,

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

F (1.5) = P(X ≤ 1.5)

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Let X denotes the random variable that is defined as the total

Valentino Risali, M.Sc Department of Economics Random Variables

1 There are 10 black marbles and 20 white marbles in a

Determine the PMF of X .

Valentino Risali, M.Sc Department of Economics Random Variables

Every work-day, a man goes to his office by a bus. Although

Valentino Risali, M.Sc Department of Economics Random Variables

The function f is called probability density function (PDF) of

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

1 Determine P(X < 1)

Valentino Risali, M.Sc Department of Economics Random Variables

1 Determine c such that f is a PDF.

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Valentino Risali, M.Sc Department of Economics Random Variables

Given anexponential random variable X which has PDF

Find theCDF of an exponential random variable X with