Ambo University

Department of Electrical & Computer Engineering

Probability and Random Process (ECEg-2113)

Chapter 2: Random Variables and Distributions

 Random Variables
Outline
 Random Variable
 The Cumulative Distribution Function
 Probability Density and Mass Functions

2
Introduction
 A random variable X is a function that assigns a real number
X(ω) to each outcome ω in the sample space Ω of a random
experiment.
 The sample space Ω is the domain of the random variable and
the set RX of all values taken on by X is the range of the random
variable.
 Thus, RX is the subset of all real numbers.


A
X ( )  x
Re al Line
x B

3
 Introduction Cont’d……
 If X is a random variable, then {ω: X(ω)≤ x}={X≤ x} is an event for
every X in RX.
 Two or more different sample points might give the same value
of X(ω) but two different numbers in the range cannot be
assigned to the same sample point.
Example: Consider a random experiment of tossing a fair coin three times.
The sequence of heads and tails is noted and the sample space Ω is
  {HHH , HHT , HTH , THH , THT , HTT , TTH , TTT}
given by:
Let X be the number of heads in three coin tosses. X assigns each
possible outcome ω in the sample space Ω a number from the set
RX={0, 1, 2, 3}.
 : HHH HHT HTH THH THT HTT TTH TTT
X ( ) : 3 2 2 2 1 1 1 0 4
The Cumulative Distribution Function

 The cumulative distribution function (cdf) of a random variable

X is defined as the probability of the event {X≤ x}.
FX ( x)  P ( X  x)
Properties of the cdf, FX(x):
 The cdf has the following properties.
i. FX ( x) is a non - negative function, i.e.,
0  FX ( x)  1
ii. lim FX ( x)  1
x 

iii. lim FX ( x)  0
x  

5
The Cumulative Distribution Function Cont’d…..

iv. FX ( x) is a non - decreasing function of X , i.e.,

If x1  x2 , then FX ( x1 )  FX ( x2 )

v. P ( x1  X  x2 )  FX ( x2 )  FX ( x1 )
vi. P ( X  x)  1  FX ( 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.

6
The Cumulative Distribution Function
Solution:
 We know that X takes on only the values 0, 1, 2 and 3 with
probabilities 1/8, 3/8, 3/8 and 1/8 respectively.
 Thus, FX(x) is simply the sum of the probabilities of the
outcomes from the set {0, 1, 2, 3} that are less than or equal to x.
0, x  0
1 / 8, 0  x  1

 FX ( x)  1 / 2, 1  x  2
7 / 8, 2  x  3

1, x  3

7
Types of Random Variables
 There are two basic types of random variables.
i. Continuous Random Variable
 A continuous random variable is defined as a random variable
whose cdf, FX(x), is continuous every where and can be written as
an integral of some non-negative function f(x), i.e.,

FX ( x)   f (u )du


ii. Discrete Random Variable

 A discrete random variable is defined as a random variable whose
cdf, FX(x), is a right continuous, staircase function of X with
jumps at a countable set of points x0, x1, x2,……

8
 Chapter 3, Lecture 1
Discrete and Continuous Density Functions

• Probability functions
– Discrete mass functions
– Continues density functions
– Expected Value, Variance and Moments
– Some Special Distributions
– Functions of One Random Variable

9
 The Probability Mass Function
 The probability mass function (pmf) of a discrete random variable
X with i<j is defined as:

pmf of r.v X:
Properties of the pmf, PX (xi ):

i. 0  PX ( xi )  1, k  1, 2, .....

ii. PX ( x)  0, if x  xk , k  1, 2, .....

iii. P
k
X ( xk )  1

IV. P(a<x ≤ b) = Fx(b)- Fx(a)

10
 The Probability Density Function
 The probability density function (pdf) of a continuous random
variable X is defined as the derivative of the cdf, FX(x), i.e.,
dFX ( x)
f X ( x) 
dx
 P(X=x) =0.

Properties of the pdf, fX(x): If X is continuous r.v, then

i. For all values of X , f X ( x)  0
P(a<X ≤ b) = P(a ≤ X ≤ b)

ii. 

f X ( x)dx  1 = P(a ≤ X < b) = P(a<X < b)

x2
iii. P ( x1  X  x2 )   f X ( x)dx
x1

11
Calculating the Cumulative Distribution Function

 The cdf of a continuous random variable X can be obtained by

integrating the pdf, i.e.,
x
FX ( x)   f X (u )du


 Similarly, the cdf of a discrete random variable X can be obtained by

using the formula:

FX ( x)  P
xk  x
X ( xk )U ( x  xk )

12
Expected Value, Variance and Moments
i. Expected Value (Mean)
 The expected value (mean) of a continuous random variable X,
denoted by μX or E(X), is defined as:


 X  E ( X )   xf X ( x)dx


 Similarly, the expected value of a discrete random variable X is

given by:
 X  E ( X )   xk PX ( xk )
k

 Mean represents the average value of the random variable in a

very large number of trials. 13
Expected Value, Variance and Moments Cont’d…..
ii. Variance
 The variance of a continuous random variable X, denoted by
σ2X or VAR(X), is defined as:
 2 X  Var ( X )  E[( X   X ) 2 ]

 2
X  Var ( X )   ( x   X ) 2 f X ( x)dx


 Expanding (x-μX )2 in the above equation and simplifying the

resulting
2 equation, we will get:
 X  Var ( X )  E ( X )  [ E ( X )]
2 2

14
 Expected Value, Variance and Moments Cont’d…..
 The variance of a discrete random variable X is given by:

 2
X  Var ( X )   ( xk   X ) PX ( xk )
2

 The standard deviation of a random variable X, denoted by σX, is

simply the square root of the 2variance, i.e.,
 X  E ( X   X )  Var ( X )

iii.Moments
 The nth moment of a continuous random variable X is defined as:
E ( X )   x f X ( x)dx ,
n n
n 1

15
Expected Value, Variance and Moments Cont’d…..

 Similarly, the nth moment of a discrete random variable X is

given by:

E ( X )   xk PX ( xk ) ,
n
n 1
k

 Mean of X is the first moment of the random variable X.

16
 Some Special Distributions
i. Continuous Probability Distributions
1. Normal (Gaussian) Distribution
 The random variable X is said to be normal or Gaussian random
variable if its pdf is given by: N(µ, σ2)
1  ( x   ) 2 / 2 2
f X ( x)  e .
2 2
 The corresponding distribution function is given by:
x 1  x 
FX ( x )   e  ( y   ) 2 / 2 2
dy  G  

2 2
  

where x 1

2
G ( x)  e  y / 2 dy

2 17
 Some Special Distributions Cont’d……
 The normal or Gaussian distribution is the most common continuous probability distribution.
 It has played a significant role in the study of random phenomena in nature.
 Noise signal in communication system is modeled as Gaussian distribution.

f X (x )

x

Fig. Normal or Gaussian Distribution

18
Some Special Distributions Cont’d……
f X (x )
1
 1 ba
 , a xb x
f X ( x)   b  a a b

 0, otherwise. Fig. Uniform Distribution

f X (x )

Fig. Exponential Distribution

19
 Some Special Distributions Cont’d……
4. Gamma Distribution

5. Beta Distribution
 x 1 x / 
 e , x  0,
f X ( x )   ( )  


where

 0, otherwise.

 1
 x a 1 (1  x) b 1 , 0  x  1,
f X ( x )    ( a, b)

 0, otherwise.

1
 ( a , b)  0
u a 1 (1  u ) b 1 du.

20
 Some Special Distributions Cont’d……
6. Rayleigh Distribution

7. Cauchy Distribution
 x  x 2 / 2 2
 2e , x  0,
f X ( x )  
8. Laplace Distribution


 0, otherwise.

 /
f X ( x)  ,    x  .
  (x  )
2 2

1 |x|/ 
f X ( x)  e ,    x  .
2
21
Some Special Distributions Cont’d….
i. Discrete Probability Distributions
1. Bernoulli Distribution
A Bernoulli r.v. X is associated with some experiment where an
outcome can be classified as either a "success" or a "failure,"
and the probability of a success is p and the probability of a
failure is 1-p

2. Binomial Distribution
A binomial r.v. X is associated with some experiments in which n
independent Bernoulli trials are performed and X represents the
number of successes that occur in the n trial. N.B. a Bernoulli
 n  kr.v.nwith
r.v. is just a binomial  k parameters (1, p)
P( X  k )   k p q , k  0,1,2, , n.
 
Mean= np 22
Some Special Distributions Cont’d….

3. Poisson Distribution
• an approximation for a binomial r.v. with parameters (n, p)
when n is large and p is small enough so that np is of a
moderate size.
• Some applications of Poisson r.v.'s:
1. The number of telephone calls arriving at a switching center
during various intervals of time
2. The number of misprints on a page of a book
3. The number of customers entering a bank during various
intervals of time
k
P ( X  k )  e  , k  0,1,2,  , .
k!
23
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.

6. Negative Binomial Distribution

 k  1 r k  r
P( X  k )    p q , k  r , r  1,  .
 r 1
24
Random Variable Examples

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.
a. Determine the value of k .
b. Find the corresponding cdf of X .
c. Find P(1 / 4  X  1)
d . Evaluate the mean and variance of X .
25
Random Variable Examples Cont’d……

Solution:
 1
a. 
f X ( x ) dx  1  
0
kxdx  1
 x2 1
 k    1
 2 0
k
 1
2
k  2

2 x , 0  x 1
 f X ( x)  
0, otherwise
26
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
FX ( 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   2udu  u  x2
2
0 0 0

27
Random Variable Examples Cont’d……

Solution:
Case 3 : for x  1
1 1 1
FX ( x )   f X (u ) du   2udu  u 1
2
0 0 0
 The cdf is given by
0, x0
 2
FX ( x )   x , 0  x 1
1, x 1


28
Random Variable Examples Cont’d……

Solution:
c. P (1 / 4  X  1)
i. Using the pdf
1 1
P (1 / 4  X  1)   f X ( x) dx   2 xdx
1/ 4 1/ 4

1
 P (1 / 4  X  1)  x 2
 15 / 16
1/ 4
 P (1 / 4  X  1)  15 / 16
ii. Using the cdf
P (1 / 4  X  1)  FX (1)  FX (1 / 4)
 P (1 / 4  X  1)  1  (1 / 4) 2  15 / 16
 P (1 / 4  X  1)  15 / 16
29
Random Variable Examples Cont’d……

Solution:
d. Mean and Variance
i. Mean
1 1
 X  E ( X )   xf X ( x)dx   2 x 2 dx
0 0

2 x3 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

30
Random Variable Examples Cont’d……..

Example-2:
Consider a discrete random variable X whose pmf is given by:
1 / 3 , xk  1, 0, 1
PX ( xk )  
0 , otherwise

Find the mean and variance of X .

31
Random Variable Examples Cont’d……

Solution:
i. Mean
1
 X  E( X )  x
k  1
k PX ( xk )  1 / 3(1  0  1)  0

ii. Variance
 X 2  Var ( X )  E ( X 2 )  [ E ( X )]2
1

 k X k
2
E( X ) 2
x P ( x )  1 / 3[( 1) 2
 ( 0) 2
 (1) 2
]  2/3
k  1

  X  Var ( x)  2 / 3  (0) 2  2 / 3
2

32
Exercises
Exercise

34
 Functions of One Random Variable
 Let X be a continuous random variable with pdf fX(x) and suppose g(x) is a function of
the random variable X defined as:

Y  g( X )
 We can determine the cdf and pdf of Y in terms of that of X.
 Consider some of the following functions.

aX  b
sin X X2

1
Y  g( X ) |X |
X
X
log X
eX | X | U ( x)

35
 Functions of a Random Variable Cont’d…..
 Steps to determine fY(y) from fX(x):
Method I:
1. Sketch the graph of Y=g(X) and determine the range space of Y.
2. Determine the cdf of Y using the following basic approach.

3. Obtain fY(y) from FY(y) by using direct differentiation, i.e.,

FY ( y )  P ( g ( X )  y )  P (Y  y )

dFY ( y )
fY ( y ) 
dy

36
 Functions of a Random Variable Cont’d…..
Method II:
1. Sketch the graph of Y=g(X) and determine the range space of Y.
2. If Y=g(X) is one to one function and has an inverse transformation x=g-1(y)=h(y), then the pdf of Y is given by:

3. Obtain Y=g(x) is not one-to-one function, then the pdf of Y can be obtained as follows.
i. Find the real roots of the function Y=g(x) and denote them by xi

dx dh( y )
fY ( y )  f X ( x)  f X [h( y )]
dy dy

37
 Functions of a Random Variable Cont’d…..

ii. Determine the derivative of function g(xi ) at every real root xi , i.e. ,

dxi
iii. Find the pdf of Y by using the following formula.

g ( xi ) 
dy

dxi
f Y ( y)   f X ( xi )   g ( xi ) f X ( xi )
i dy i

38
Examples on Functions of One Random Variable

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 .

39
Examples on Functions of One Random Variable…..

Solutions:
a. Y  aX  b

i. Using Method  I

Suppose that a  0

 y b
Fy ( y )  P (Y  y )  P (aX  b  y )  P X  
 a 

 y b
FY ( y )  FX  
 a 
dFY ( y ) 1  y b
 f Y ( y)   fX   (i )
dy a  a 

40
Examples on Functions of One Random Variable…..

Solutions:

a. Y  aX  b

i. Using Method  I

On the other if a  0, then

 y b
Fy ( y )  P (Y  y )  P (aX  b  y )  P X  
 a 

 y b
FY ( y )  1  FX  
 a 
dFY ( y ) 1  y b
 f Y ( y)    fX   (ii )
dy a  a 
41
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 

42
 Examples on Functions of One Random Variable…..

Solutions:
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
y b
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  y b
f Y ( y)  f X ( x)  f X h( y )   f Y ( y )  fX  
dy dy a  a 

43
Examples on Functions of One Random Variable…..

Solutions:

b. The function Y  X 2 is not one - to - one and the range

space of Y is y  0
For each y  0, there are two solutions given by
x1   y and x 2  y

44
Examples on Functions of One Random Variable…..

Solutions:
dx1 1 dx1 1
b.    and
dy 2 y dy 2 y

dx2 1 dx2 1
  
dy 2 y dy 2 y

dxi dx1 dx2

f Y ( y)   f X ( xi )  f Y ( y )  f X ( x1 )  f X ( x2 )
i dy dy dy

 1
2 y f X  y  f  y ,
X y0
 f Y ( y)  

 0, otherwise
45
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
f Y ( y)  f X ( x)  f X h( y )   f Y ( y )  2 f X  
dy dy y  y

1 1
 f Y ( y)  2
f X 
  , IR /0
y  y
46
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 (, )

For any y, x  tan 1 y  h( y ) is the principal solution

dx dh( y ) 1
 
dy dy 1 y2

dx dh y  1/ 
f Y ( y)  f X ( x)  f X h( y )   f Y ( y ) 
dy dy 1 y2

1
 f Y ( y)  ,   y  
 (1  y )
2

47
Examples on Functions of One Random Variable…..

Solutions:

48
Assignment-II

1. The continuous random variable X has the pdf given by:

k (2 x  x 2 ) , 0  x  2
f X ( x)  
0 , otherwise

where k is a constant.
Find :
a. the value of k .
b. the cdf of X .
c. P( X  1)
d . the mean and variance of X .
49
Assignment-II Cont’d…..

2. The cdf of continuous random variable X is given by:

0 , x0


F ( x )  k x , 0  x  1
X


1, x 1

where k is a constant.
Determine :
a. the value of k .
b. the pdf of X .
c. the mean and variance of X .
50
Assignment-II Cont’d…..

3. The random variable X is uniform in the interval [0, 1]. Find

the pdf of the random variable Y if Y=-lnX.

51