Module 2

Random Variable, 𝑋: 𝑆 → 𝑅

Discrete Random Variable: 𝑅𝑋 : Discrete

i. 𝑃(𝑥𝑖 ) ≥ 0 for 𝑖 = 1,2, …
ii. ∑𝑖 𝑃(𝑥𝑖 ) = 1
Continuous Random Variable: 𝑅𝑋 : Continuous
i. 𝑓(𝑥) ≥ 0 for all 𝑥
∞
ii. ∫−∞ 𝑓(𝑥)𝑑𝑥 = 1

Cumulative Distribution Function (CDF):

∑𝑥𝑖 <𝑥 𝑝(𝑥𝑖 ) , 𝑋 − 𝐷𝑖𝑠𝑐𝑟𝑒𝑡𝑒
𝐹(𝑥) = 𝑃(𝑋 < 𝑥) = { 𝑥
∫−∞ 𝑓(𝑥) 𝑑𝑥, 𝑋 − 𝐶𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠
Properties of CDF:
• lim 𝐹(𝑥) = 1
𝑥→∞
• lim 𝐹(𝑥) = 0
𝑥→−∞
• 𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) = 𝐹(𝑏) − 𝐹(𝑎)
• 𝑃(𝑋 > 𝑎) = 1 − 𝑃(𝑋 ≤ 𝑎) = 1 − 𝐹(𝑎)

Expectation and Variance of Random Variable:

∑𝑘 𝑥𝑘 𝑝(𝑥𝑘 ), 𝑖𝑓 𝑋 − 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒
𝐸(𝑋) = 𝜇𝑋 = { ∞
∫−∞ 𝑥𝑓(𝑥)𝑑𝑥 , 𝑖𝑓 𝑋 − 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠
∑𝑘 𝑥𝑘𝑛 𝑝(𝑥𝑘 ), 𝑖𝑓 𝑋 − 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒
𝑛) 𝑛
𝐸(𝑋 = 𝜇𝑋 = { ∞ 𝑛
∫−∞ 𝑥 𝑓(𝑥)𝑑𝑥 , 𝑖𝑓 𝑋 − 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠
Variance: The measure of each quantity deviates from mean
∑𝑘(𝑥𝑘 − 𝜇)2 𝑝(𝑥𝑘 ), 𝑖𝑓 𝑋 − 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒
Var(𝑋) = 𝜎𝑋 = { ∞
∫−∞(𝑥𝑘 − 𝜇)2 𝑓(𝑥)𝑑𝑥 , 𝑖𝑓 𝑋 − 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠
2
𝑉𝑎𝑟(𝑋) = 𝐸(𝑋 2 ) − (𝐸(𝑋))