Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd Logo
Upload

Welcome to Scribd!

  • 50 views

    Lecture - 2: Instructor: Dr. Arabin Kumar Dey

    Uploaded by

    amanmatharu22
    The document defines and provides examples of random variables, discrete random variables, continuous random variables, probability density functions, and cumulative distribution functions. It explains that a random variable is a numerical quantity whose value cannot be predicted with certainty. Discrete random variables can take on only a finite or countable number of possible values, while continuous random variables can take any value in an interval. The probability density function defines the probability of a continuous random variable taking on a given value, and the cumulative distribution function gives the probability that a random variable is less than or equal to a particular value.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd

    Lecture - 2: Instructor: Dr. Arabin Kumar Dey

    Uploaded by

    amanmatharu22
    50 views4 pages
    The document defines and provides examples of random variables, discrete random variables, continuous random variables, probability density functions, and cumulative distribution functions. It explains that a random variable is a numerical quantity whose value cannot be predicted with certainty. Discrete random variables can take on only a finite or countable number of possible values, while continuous random variables can take any value in an interval. The probability density function defines the probability of a continuous random variable taking on a given value, and the cumulative distribution function gives the probability that a random variable is less than or equal to a particular value.

    Original Title

    Lecture 2

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    The document defines and provides examples of random variables, discrete random variables, continuous random variables, probability density functions, and cumulative distribution functions. It explains that a random variable is a numerical quantity whose value cannot be predicted with certainty. Discrete random variables can take on only a finite or countable number of possible values, while continuous random variables can take any value in an interval. The probability density function defines the probability of a continuous random variable taking on a given value, and the cumulative distribution function gives the probability that a random variable is less than or equal to a particular value.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    50 views4 pages

    Lecture - 2: Instructor: Dr. Arabin Kumar Dey

    Uploaded by

    amanmatharu22
    The document defines and provides examples of random variables, discrete random variables, continuous random variables, probability density functions, and cumulative distribution functions. It explains that a random variable is a numerical quantity whose value cannot be predicted with certainty. Discrete random variables can take on only a finite or countable number of possible values, while continuous random variables can take any value in an interval. The probability density function defines the probability of a continuous random variable taking on a given value, and the cumulative distribution function gives the probability that a random variable is less than or equal to a particular value.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    You are on page 1of 4

    Lecture - 2

    Instructor: Dr. Arabin Kumar Dey

    A random variable is a numerical quantity whose value cannot be predicted or measured with certainty. For example a quantity such as the change in stock price is random when it can take on many possible values, But only one of those values will occur. We call such quantities random variables. If X is such a random variable, we use upper case letter to use those random variables. If X is such random variable, we use the lower case x to denote possible values or empirical observation or sample realization of the random variable X. Denition 1.1. Random Variable: Suppose the function X : R is dened on the probability space (, F, P ). X is said to be a real-valued F- measurable random variable if for each real number x, we have {w : X(w) x} F Example 1.2. Let = {H, T } and = class of all subset of . Dene X by X(H) = 1, X(T ) = 0 if x 0 1 {T } if 0 x < 1 X (, x] = {H, T } if x 1 Therefore, X is an r.v. Denition 1.3. Borel -eld: Class of all semiclosed intervals (a, b] generates a class or -eld B1 on R. This -eld is called Borel -eld. 1

    Denition 1.4. Borel set: A set in Borel -eld is called Borel set.

    Every Borel set B B1 can be obtained by a countable number of operations of unions, intersections and dierences on intervals. The following relations will be frequently used in subsequent section : {x} =
    n=1 (x 1 n , x]

    (x, y) = (x, y] {y} [x, y] = (x, y] + {x} [x, y) = {x} + (x, y] {y} [x, +) = (, x]c Therefore all the above type of sets are Borel sets. Example 1.5. X is not a random variable = {a, b, c}, = {a, b, c}, {a, b}, {c}, A

    dene three random variables X, Y, Z as follows; W a b c X 1 1 2 Y 1 2 2 Z 1 7 4

    Which of the random variables X, Y, Z are -measurable. A X is -measurable because {X 1} = {a, b} A A and {X 2} = {a, b, c} A A Y is not r.v. as {Y 1} = {a} . A Z is not r.v. as {Z 1} = {a}

    Denition 1.6. Let X a be random variable on a probability space (, F, P ). The distribution measure is the probability measure x that assigns to each Borel subset B of R that means x (B) = P X B .

    Discrete and Continuous Random Variables : Consider a simple example occur n random walk mpdel for a stock price. Assume that each time step the price can either increase or decrease by a xed amount > 0. Suppose,P1 , where 0 < P1 < 1 is the probability of an increase and P2 = 1 P1 is the probability of a decrease. If X is the change in a single step,then set of possible values of X is {x1 = , x2 = } and their probability are {P1 , P2 }. A random variable such as this one with only a nite number of values is called discrete. This discrete random variable can take innite sequence of numbers, For example let N be the total number of steps in random walk until a downn1 step. Assume steps are independent and the probability that N = n is P1 P2 , which the

    probability of (n 1) up-steps and then a down-step. Clearly N can take on any value in the sequence {1, 2, 3, }, so N is discrete. Note that : If we consider N as number of increases of stock price until a down-step.
    n In that case probability that N = n is P1 P2 . Clearly N can take any value in the sequence

    {0, 1, 2, , }. These are two forms of well-known geometric distribution. Denition 1.7. A random variable X taking on any value in some interval is called Continuous random variable. For example, loss of a bank can take any value in some interval or can take any real number.

    A continuous random variable has a probability density function (P DF ), often called

    simply a density, fX such that P [X A] =


    A

    fX (x)dx

    Cumulative distribution function : The cumulative distribution function(CDF) of X is dened as FX (x) = P [X x] If X has a PDF fX then
    x

    FX (x) =

    fX (x)dx

    The CDF is often more useful for nding probabilities than the PDF. For example suppose that we want the probability that X is between a and b for some pair of numbers a < b. For simplicity assume that X is continuous so that the probability of X equaling exactly a or exactly b is zero. Then P [a X b] = FX (b) FX (a) which is easily calculated assuming that FX can be evaluated. Note that: For discrete distribution, FX (x) is dened as FX (x) =
    z:zx

    P (X = z).

    You might also like