Professional Documents
Culture Documents
Lect 3 A
Lect 3 A
Random Variables
4
PILLAI
Distribution Function: Note that a distribution function
g(x) is nondecreasing, right-continuous and satisfies
g ( ) 1, g ( ) 0, (3-5)
and FX ( ) P | X ( ) P ( ) 0. (3-8)
(ii) If x1 x2 , then the subset ( , x1 ) ( , x2 ).
Consequently the event | X ( ) x1 | X ( ) x2 ,
since X ( ) x1 implies X ( ) x2 .As a result
P X ( ) x1 P X ( ) x2 FX ( x2 ),
FX ( x1 ) (3-9)
FX ( x ) FX ( x), (3-14)
or
P X ( ) x FX ( x ) FX ( x ). (3-20)
x
c
Fig. 3.2
1
q
x
1
Fig.3.3
•X is said to be a continuous-type r.v if its distribution
function FX (x) is continuous. In that case FX ( x ) FX ( x) for
all x, and from (3-21) we get P X x 0.
•If FX (x) is constant except for a finite number of jump
discontinuities(piece-wise constant; step-type), then X is
said to be a discrete-type r.v. If xi is such a discontinuity
point, then from (3-21)
pi P X xi FX ( xi ) FX ( xi ). (3-22) 11
PILLAI
From Fig.3.2, at a point of discontinuity we get
P X c FX ( c ) FX ( c ) 1 0 1.
f X ( x ) pi ( x xi ), (3-25) xi x
i Fig. 3.5
where xi represent the jump-discontinuity points in FX (x).
As Fig. 3.5 shows f X (x) represents a collection of positive
discrete masses, and it is known as the probability mass
function (p.m.f ) in the discrete case. From (3-23), we
also obtain by integration
x
FX ( x )
f x (u ) du. (3-26)
Since FX () 1, (3-26) yields
f x ( x )dx 1, (3-27)
14
PILLAI
which justifies its name as the density function. Further,
from (3-26), we also get (Fig. 3.6b)
P x1 X ( ) x2 FX ( x2 ) FX ( x1 ) x
x2
f X ( x )dx. (3-28)
1
x1 x2 x x1 x2 x
(a) (b)
Fig. 3.6
x
16
Fig. 3.7
PILLAI
2. Uniform: X U (a, b), a b, if (Fig. 3.8)
1
, a x b, (3.31)
f X ( x) b a
0, otherwise.
f X (x ) f X (x )
1
ba
x x
a b
Fig. 3.8 Fig. 3.9
17
PILLAI
4. Gamma: X G ( , ) if ( 0, 0) (Fig. 3.10)
f X ( x)
1
x x /
e , x 0,
f X ( x ) ( ) (3-33)
0, otherwise. x
Fig. 3.10
If n an integer ( n ) ( n 1)!. f X ( x)
18
PILLAI
6. Chi-Square: X 2 (n ), if (Fig. 3.12)
f X ( x)
1
n/2 x n / 21e x / 2 , x 0,
f X ( x ) 2 ( n / 2)
0, otherwise. (3-36) x
Fig. 3.12
x 2 2
2 e x / 2 , x 0,
f X ( x )
(3-37) x
0, otherwise. Fig. 3.13
8. Nakagami – m distribution:
2 m m 2 m 1 mx 2 /
x e , x0
f X ( x ) ( m )
(3-38)
0 otherwise 19
PILLAI
f X ( x)
( n 1) / 2
( n 1) / 2
t
2
f T (t ) 1 , t . (3-41)
n ( n / 2) n
f X ( x) fT ( t )
x t
Fig. 3.15 Fig. 3.16 20
PILLAI
12. Fisher’s F-distribution
{(m n ) / 2} m m / 2 n n / 2 z m / 2 1
, z0
f z ( z) ( m / 2) ( n / 2) ( n mz ) (mn) / 2
(3-42)
0 otherwise
21
PILLAI
Discrete-type random variables
1. Bernoulli: X takes the values (0,1), and
P( X 0) q, P ( X 1) p. (3-43)
P( X k ) P( X k )
k
12 n
22
Fig. 3.17 Fig. 3.18 PILLAI
4. Hypergeometric:
m N m
k nk
P( X k )
N
, max(0, m n N ) k min( m, n ) (3-46)
n
5. Geometric: X g ( p ) if
P ( X k ) pq k , k 0,1,2,, , q 1 p. (3-47)
(3-54)
which represents the hypergeometric distribution. Finally
c = +1 gives (replacements are doubled)
n ( a k 1)! (a b 1)! (b n k 1)! (a b k 1)!
P( X k )
k
( a 1)! ( a b k 1)! (b 1)! ( a b n 1)!
a k 1 b n k 1
k
n k
= a b n 1
. (3-55)
n