Addis Ababa Science & Technology University

Department of Electrical & Computer Engineering

Probability and Random Process (EEEg-2114)

Chapter 2: Random Variables

 Outline
 Random Variables (Rvs)
 The Cumulative Distribution Function (CDF) of RVs
 Types of RVs
 Continuous Random Variable (CRV)
 Discrete Random Variable (DRV)
 Probability Density Function (PDF) of CRV
 Probability Mass Function (PMF) of DRV
 Expected Value, Variance and Moments of RVs
 Some Distributions(RVs) with their unique application
 DRV Type:
Type Bernoulli, binomial, poisson, Geometric, hypergeometric,
negative binomial
 CRV Type:
Type Uniform, exponential, Laplace, Cauchy, Gaussian, Gamma,
Chi-squared, Rayleigh
 Functions of One Random Variable
2
Random variable (RV) X
 is a function that assigns a real number X(ω) to each outcome ω in the
sample space Ω of a random expt.
 Its domain D is the sample space Ω & its range RX is the the set
of all values taken on by X which is the subset of all real numbers
 It is represented by capital letters (like X,Y or W) & any its
particular value by lowercase letter such as x, y or w.
 It is important because it provides a compact way of referring to
events via their numerical attributes. For example, if X models
the number of visits to a website, it is much easier to write
P(X > 1000) than to write P(number of visits > 1000).

3
 Conditions for a function to be a RV.
A function X to be a RV:
1. It should not be multi-valued.
multi-valued i.e every point in the Ω
must correspond to only one value of the RV.(one-to-one OR
many-to-one)
2. The set {X≤x} shall be an event for any real number x. This set
corresponds to those points ω in Ω for which the RV X(ω)
doesn’t exceed the number x.
The probability of this event, P{X≤x}, is equal to sum of
probability of all the elementary events corresponding to
{X≤x}.Call it Cumulative distribution Function (CDF)
3. P{X=∞}=0 and P{X=-∞}=0 .outcomes chance of being infinity

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 Example:
Consider a random experiment of tossing a fair coin 3 times. The
sequence of heads and tails is noted and the sample space Ω is
given by:   {HHH , HHT , HTH , THH , THT , HTT , TTH , TTT}
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}.

Fig: Illustration of a random variable X that counts the number of heads

in a sequence of three coin tosses. 5
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  

6
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.

7
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

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 Types of Random Variables
 There are two basic types of random variables.
i. Continuous Random Variable
 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


 have an uncountably infinite number of sample points

ii. Discrete Random Variable
 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,……
 Defined over a sample space having a finite or a countably infinite
number of sample points
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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
Properties of the pdf, fX(x):
i. For all values of X , f X ( x)  0

ii. 

f X ( x)dx  1
x2
iii. P( x1  X  x2 )   f X ( x)dx
x1

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

PX ( X  xi )  PX ( xi )  FX ( xi )  FX ( xi 1 )

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. Pk
X ( xk )  1

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 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 )

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 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

13
large number of trials.
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

 The variance
 2 X  of
Vara (discrete 
X )  random
( x  variable
k
k) 2 P ( xX )is given by:
X X k
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 Expected Value, Variance and Moments Cont’d…..
 The standard deviation of a random variable X, denoted by σX, is
simply the square root of the variance, i.e.,
 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


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

by:

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

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 Some Special Distributions with their Special application
I. Discrete Probability Distributions
1. Bernoulli Distribution
 A r.v. X is called a Bernoulli r.v. with parameter p if its pmf
is given by

It 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.
Its cdf FX x  is given by
Its mean and variance are

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2. Binomial Distribution
 A r.v. X is called a binomial r.v. with parameters (n, p) if its pmf
is given by
 n  k n k
P( X  k )   k  p q , k  0,1,2,  , n.
 
It 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 trials
 Note that a Bernoulli r.v. is just a binomial r.v. with
parameters (1, p).
 Its mean and variance are

 Just n times the mean & variance of Bernoulli 17

Example (Binomial):
Binomial)
A homeowner has just installed 20 light bulbs in a new home.
Suppose that each has a probability 0.2 of functioning more than
three months. (a)What is the probability that at least five of these
function more than three months? (b)What is the average number
of bulbs the homeowner has to replace in three months?
Solution: it is reasonable to assume that the light bulbs perform
independently. If X is the number of bulbs functioning more than
three months (success), it has a binomial distribution with n=20
and p=0.2.

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3. Poisson Distribution
 A r.v. X is called a Poisson r.v. with parameter λ(>0) if its pmf is
given by k
 
P( X  k )  e , k  0,1,2,  , .
k!
 It may be used as 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 examples of Poisson r.v.'s include
I. number of telephone calls arriving at a switching center during various time
intervals
II. The number of misprints on a page of a book
III. The number of customers entering a bank during various intervals of time
IV. photoelectric effect and radioactive decay
V. computer message traffic arriving at a queue for transmission.
 The mean and variance of the Poisson r.v. X
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Example (Poisson):
Poisson)
suppose that the probability of a transistor manufactured by a
certain firm being defective is 0.015. What is the probability that
there is no defective transistor in a batch of 100?
o Solution: let X be the number of defective transistors in 100. The
desired probability (binomial) is

o Since n is large and p is small in this case, the Poisson

approximation is appropriate and we obtain

which is very close to the exact answer.

o In practice, the Poisson approximation is frequently used
when n > 10, and p < 0.1.
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4. Geometric Distribution
 This type of event happens when want the number of Bernoulli
trials required until the first occurrence of success.
 If X is used to represent this number, Its pmf is computed to be

 Or when we ask how many times an experiment has to

 The mean and variance of the Poisson r.v. X
be performed until a certain outcome is observed.

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Example (Geometric):
Geometric)
A driver is eagerly eyeing a precious parking space some
distance down the street. There are five cars in front of the
driver, each of which having a probability 0.2 of taking the
space. What is the probability that the car immediately
ahead will enter the parking space?
Solution:
For this problem, we have a geometric distribution and need
to evaluate it with k=5 and p=0.2.Thus,

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5. Hypergeometric Distribution
 The hypergeometric random variable arises in the following
situation. We have a collection of N items, d of which are
defective. Rather than test all N items, we select at random a
small number of items, say n < N. N Let X denote the number of
defectives out of the n items tested. We show that

Example : A lot consisting of 100 fuses is inspected by the following

procedure: Five fuses are selected randomly, and if all five "blow" at the
specified amperage, the lot is accepted. Suppose that the lot contains 10
defective fuses. Find the probability of accepting the lot.
Solution: hypergeometric with N=100,d=10, n=5,k=0

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 6. Negative Binomial Distribution
 A natural generalization of the geometric distribution is the
distribution of random variable X representing the number of
Bernoulli trials necessary for the rth success to occur, where r is a
given positive integer.
 In order to determine pX (k) for this case, let A be the event that the
first k -1 trials yield exactly r -1 successes, regardless of their order,
and B the event that a success turns up at the kth trial. Then, owing
to independence,

Now, P(A) obeys a binomial distribution with parameters k -1 and r- 1, or

 and P(B) is simply P(B)=p. Finally, we obtain mean and variance

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Example (Negative Binomial ): )
a curbside parking facility has a capacity for three cars.
Determine the probability that it will be full within 10
minutes. It is estimated that 6 cars will pass this parking
space within the time span and, on average, 80% of all cars
will want to park there.
Solution: the desired probability is simply the probability
that the number of trials to the third success (taking the
parking space) is less than or equal to 6. If X is this number,
it has a negative binomial distribution with r =3 and p =0.8.

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Some Special Distributions with their Special application
II. Continuous Probability Distributions
1. Uniform Distribution
 When an experiment results in a finite number of “equally
likely” or “totally random” outcomes, we model it with a
uniform random variable
 pdf & cdf of X which is constant over interval (a, b) has the form

Its mean and variance are

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Example 1 (Uniform Distribution)
owing to unpredictable traffic situations, the time required by a
certain student to travel from her home to her morning class
is uniformly distributed between 22 and 30 minutes.
If she leaves home at precisely 7.35 a.m., what is the
probability that she will not be late for class, which begins
promptly at 8:00 a.m.?
Solution: let X be the class arrival time of the student in minutes
after 8:00 a.m. It then has a uniform distribution given by

We are interested in the probability

27
Example 2 (Uniform Distribution)

In coherent radio communications, the phase difference

between the transmitter and the receiver, denoted by Θ,
is modeled as having a density f ∼ uniform[−π, π].
Find P(Θ ≤ 0) and P(Θ ≤π/2).

Solution:

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2. Exponential Distribution
 RV X is called exponential written
f ∼ exp(λ ) with parameter λ >
0 if

As λ increases, the height

increases and the width decreases.
It is often used to model lifetimes,
lifetimes such as how long a cell-
phone call lasts or how long it takes a computer network to
transmit a message from one node to another.
It also arises as a function of other random variables. For example

if U ∼ uniform(0,1), then X = ln(1/U) is exp(1).

if U and V are independent Gaussian RVs, then is
exponential & is Rayleigh
Its mean and variance are 29
Example 1 (Exponential)

Assume that the length of a phone call in minutes is an

exponential r.v. X with parameter λ = 0.1.
If someone arrives at a phone booth just before you arrive, find
the probability that you will have to wait
(a) less than 5 minutes, and (b) between 5 and 10 minutes.

30
Example 2(Exponential)
All manufactured devices and machines fail to work sooner or
later. Suppose that the failure rate is constant and the time to
failure (in hours) is an exponential r.v. X with parameter λ.
Measurements show that the probability that the time to failure for
computer memory chips in a given class exceeds l04 hours is .368.
Calculate the value of the parameter λ.
Using the value of the parameter λ determined in part (a), calculate
the time x0, such that the probability that the time to failure is less
than x0, is 0.05.

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 3. Laplace / double-sided exponential
For λ > 0, we write f ∼ Laplace(λ ) if its pdf is

As λ increases, the height increases and

the width decreases.
Pdf of Laplace

Example (Laplace ): An Internet router can send packets via

route 1 or route 2. The packet delays on each route are
independent exp(λ ) random variables, and so the difference in
delay between route 1 and route 2, denoted by X, has a Laplace(λ )
density. Find P(−3 ≤ X ≤−2 or 0 ≤ X ≤ 3).

32
 Solution. The desired probability can be written as
P({−3 ≤ X ≤−2}∪{0 ≤ X ≤ 3}).
Since these are disjoint events, the probability of the union
is the sum of the individual probabilities.
We therefore need to compute P(−3 ≤ X ≤−2) and P(0 ≤ X ≤ 3).

Since X has a Laplace(λ ) density, these probabilities are equal

to the areas of the corresponding shaded regions . We first
compute

The desired probability is then

33
4. Cauchy Distribution
The pdf of a Cauchy random variable X∼ Cauchy(λ ) with
parameter λ > 0 is given by

As λ increases, the height decreases

and the width increases.
The Cauchy random variable arises as the tangent of a uniform
random variable and also as the quotient of independent
Gaussian random variables

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5. Gaussian or normal distribution
The most important density is the Gaussian or normal. For
σ2 > 0, we write X ∼ N(m,σ2) if its pdf is given by

The density is concave for x ∈ [m−σ,m+σ]

and convex for x outside this interval
As σ increases, the height of the density decreases and it becomes
wider as illustrated in Figure below.
If m = 0 and σ2 = 1, we say that f is a standard normal density.
Its mean and variance are

35
Due to central limit theorem, the Gaussian density is a good
approximation for computing probabilities involving a sum of
many independent random variables. For example, let
X = X1+· · ·+Xn,
where the Xi are i.i.d. with common mean m and common
variance σ2. For large n, if the Xi are continuous random
variables, then

while if the Xi are integer-valued,

Noise current which results from the sum of forces of many

independent collisions on an atomic scale is well-described by the
Gaussian density.
For this reason, Gaussian random variables are the noise model of
choice in electronic communication and control systems. 36
 if X ∼ N(μ, σ2), then
is a normal random variable with mean 0 and variance 1.
Such a random variable Z is said to have a standard, or unit,
normal distribution.
distribution Let φ(x) denote its distribution function. i.e

This conversion is quite important for it enables us to write all

probability statements about X in terms of probabilities for Z.
For instance, to obtain P{X < b}, we note that X will be less than b
if and only if (X − μ)/σ is less than (b − μ)/σ, and so

37
Similarly, for any a < b,

φ(x) is computed by an approximation and

the results are tabulated for a wide range
of nonnegative values of x.
Standard normal probabilities.
φ(x) is tabulated for nonnegative values of x only, but we can also obtain
φ(-x) from the table by making use of the symmetry (about 0) of the standard
normal probability density function

For x > 0, if Z represents a standard normal random variable, then

38
Example 1 (normal): If X is a normal random variable
with mean m = 3 and variance σ2 = 16, find
(a) P{X < 11}; (b) P{X > −1}; (c) P{2 < X < 7}.

39
Example 2 (normal): A production line manufactures 1000-ohm
(R) resistors that have 10 percent tolerance. Let X denote the
resistance of a resistor. Assuming that X is a normal r.v. with
mean 1000 and variance 2500, find the probability that a resistor
picked at random will be rejected.
Solution: Let A be the event that a resistor is rejected. Then
A = {X < 900) u {X > 1100). Since (X < 900) n{X > 1100) = Φ, we have

40
Location & scale parameters and
the gamma densities

In the exponential and Laplace densities, λ is a scale

parameter,
parameter while in the Cauchy density, 1/λ is a scale
parameter.
In the Gaussian, m is a location parameter and 1/σ is a scale
parameter. As σ increases, the density becomes shorter and
wider, while as σ decreases, the density becomes taller and
narrower

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6. Gamma Distribution
An important application of the scale parameter arises with
the basic gamma density with parameter p > 0. This density is
given by

When p = m is a positive integer, gm,λ is called an Erlang(m,λ )

density . The sum of m i.i.d. exp(λ ) random variables is an
Erlang(m,λ ) random variable.
For example, if m customers are waiting in a queue, and the service
time for each one is exp(λ ), then the time to serve all m is
Erlang(m,λ ). The Erlang densities for m=1,2,3 and λ =1 are g1(x),
g2(x), and g3(x) shown below. 42
The gamma densities gp(x) for p = 1, p = 3/2, p = 2, and p = 3.

When p = k/2 and λ = 1/2, gp,λ is called a chi-squared density with

k degrees of freedom.
 The chi-squared random variable arises as the square of a normal
random variable.
In communication systems employing noncoherent receivers, the
incoming signal is squared before further processing.
Since the thermal noise in these receivers is Gaussian, chi-
squared random variables naturally appear.
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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 .
44
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
45
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

46
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


47
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
48
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

49
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 .

50
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

51
 Functions of random variables
Most modern systems today are composed of many subsystems in

which the output of one system serves as the input to another.

another
When the input to a system or a subsystem is random, so is the
output.
output To evaluate system performance,
performance it is necessary to take
into account this randomness.
The first step in this process is to find the cdf of the system
output if we know the pmf or density of the random input.
We consider systems modeled by real-valued functions g(x).
The system input is a random variable X, and the system output
is the random variable Y = g(X). To find FY (y), observe that

52
 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)

53
 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

54
 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. If Y=g(x) is not one-to-one function,

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

55
 Functions of a Random Variable Cont’d…..

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

dx
g ( xi ) 
iii. Find the pdf of Y by using the followingi formula.

dy

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

56
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 .

57
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 

58
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 

59
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 

60
 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 

61
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

62
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
63
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
64
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

65
Examples on Functions of One Random Variable…..

Solutions:

66
 Transform methods
We will see two transforms that help us recover probability
mass functions and densities and that greatly simplify finding
expectations, variances & moments of o random variables.
1. Moment generating functions
The moment generating function (mgf) of a real-valued random
variable X is defined by

To see why MX is called the moment generating function,

we differentiate it with respect to s and obtain

Taking s = 0, we have

Differentiating k times and

67
then setting s = 0 yield
68
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 .
69
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 .
70
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.

71
 Functions That Give Moments
 Two functions can be defined that allow moments to be
calculated for a random variable X.
 They are the characteristic function and the moment
generating function.
Characteristic Function
The characteristic function of a random variable X is defined by

Where it is a function of the real number - If (3.11) is

written in terms of the density function , is seen to be the
Fourier transform (with the sign of w reversed of .)

72
Because of this fact, if is known, can be found from the
inverse Fourier transform (with sign of x reversed).

By formal differentiation of (3.12) n times with respect to w

and setting w=0 in the derivative, we may show that the
nth moments of X is given by

A major advantage of using to find moments is that

always exists, so the moments can always be found if is
known, provided, of course, the derivatives of exists.
73
It can be shown that the maximum magnitude of a
characteristic function is unity and occurs at w=0; that is,

Example :consider the random variable with the exponential

density given below and find its characteristic function
and first moment.

By substituting the density function into (3.12), we get

74
The derivative of is

So the first moment becomes

75
Example :To illustrate the calculation and use of the
moment generating function, let us reconsider the
exponential density of the earlier example.

By differentiation we have the first moment

76
 Moment Generating Function
 Another statistical average closely related to the
characteristic function is the moment generating function,
defined by

 The main advantage of the moment generating function

derives from its ability to give the moments. Moments are
related to by the expression
:

77