Addis Ababa Institute of Technology(AAiT)

Department of Electrical & Computer Engineering

Probability and Random Process (EEEg-2114)

Chapter 2: Random Variables

 Random Variables
Outline
 Introduction
 The Cumulative Distribution Function
 Probability Density and Mass Functions
 Expected Value, Variance and Moments
 Some Special Distributions
 Functions of One Random Variable

Semester-I, 2017 By Habib M. 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

Semester-I, 2017 By Habib M. 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.
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 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}.
 : HHH HHT HTH THH THT HTT TTH TTT
X ( ) : 3 2 2 2 1 1 1 0
Semester-I, 2017 By Habib M. 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 
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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.

Semester-I, 2017 By Habib M. 6

Semester-I, 2017 By Habib M. 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

Semester-I, 2017 By Habib M. 8

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,……

Semester-I, 2017 By Habib M. 9

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

Semester-I, 2017 By Habib M. 10

The Probability Mass Function
 The probability mass function (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

Semester-I, 2017 By Habib M. 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 )

Semester-I, 2017 By Habib M. 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.
Semester-I, 2017 By Habib M. 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 equation, we will get:

 2
X  Var ( X )  E ( X )  [ E ( X )]
2 2

Semester-I, 2017 By Habib M. 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 ) 2 PX ( xk )
k

 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

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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 1
n

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

Semester-I, 2017 By Habib M. 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:
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
  
x 1 y /2
where G ( x)   e dy
2


2
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Some Special Distributions Cont’d……

 The normal or Gaussian distribution is the most common

continuous probability distribution.
f X (x)

x

Fig. Normal or Gaussian Distribution

Semester-I, 2017 By Habib M. 18

 Some Special Distributions Cont’d……

2. Uniform Distribution f X (x)

1
 1 ba
 , a xb
f X ( x)   b  a a b
x

 0, otherwise. Fig. Uniform Distribution

3. Exponential Distribution
f X (x)
 1
 e  x /  , x  0,
f X ( x)    x

 0, otherwise. Fig. Exponential Distribution

Semester-I, 2017 By Habib M. 19

 Some Special Distributions Cont’d……

4. Gamma Distribution

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


 0, otherwise.
5. Beta Distribution
 1
 x a 1 (1  x) b 1 , 0  x  1,
f X ( x )    ( a, b)

 0, otherwise.
where
1
 ( a , b)  0
u a 1 (1  u ) b 1 du.

Semester-I, 2017 By Habib M. 20

 Some Special Distributions Cont’d……

6. Rayleigh Distribution

 x  x 2 / 2 2
 2e , x  0,
f X ( x )  

 0, otherwise.

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

8. Laplace Distribution
1 |x|/ 
f X ( x)  e ,    x  .
2
Semester-I, 2017 By Habib M. 21
Some Special Distributions Cont’d….

i. Discrete Probability Distributions

1. Bernoulli Distribution
P ( X  0)  q, P( X  1)  p.
2. Binomial Distribution
 n  k n k
P( X  k )  
k p q , k  0,1,2,  , n.
 
3. Poisson Distribution
k
P ( X  k )  e  , k  0,1,2, , .
k!

Semester-I, 2017 By Habib M. 22

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 )  pqk , 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
Semester-I, 2017 By Habib M. 23
Random Variable Examples

Example-1:
The pdf of a continuous random variable is given by:
kx , 0  x 1
f X ( x)  
0 , otherwise

whe re 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 .

Semester-I, 2017 By Habib M. 24
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
Semester-I, 2017 By Habib M. 25
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

Semester-I, 2017 By Habib M. 26

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


Semester-I, 2017 By Habib M. 27

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
Semester-I, 2017 By Habib M. 28
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

Semester-I, 2017 By Habib M. 29

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 .

Semester-I, 2017 By Habib M. 30

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

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

Semester-I, 2017 By Habib M. 31

 Class Work
1.

2.

3.

4.

5.

Semester-I, 2017 By Habib M. 32

 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)

Semester-I, 2017 By Habib M. 33

 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.

FY ( y)  P( g ( X )  y)  P(Y  y)

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

dFY ( y )
fY ( y ) 
dy

Semester-I, 2017 By Habib M. 34

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

Semester-I, 2017 By Habib M. 35

 Functions of a Random Variable Cont’d…..

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

i.e. ,
dxi
g ( xi ) 
dy
iii. Find the pdf of Y by using the following formula.

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

Semester-I, 2017 By Habib M. 36

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 .

Semester-I, 2017 By Habib M. 37

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 

Semester-I, 2017 By Habib M. 38

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 
Semester-I, 2017 By Habib M. 39
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 

Semester-I, 2017 By Habib M. 40

 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
dh y   y b
f X h( y )   f Y ( y ) 
dx 1
f Y ( y)  f X ( x)  fX  
dy dy a  a 

Semester-I, 2017 By Habib M. 41

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

Semester-I, 2017 By Habib M. 42

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
Semester-I, 2017 By Habib M. 43
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

dh y  1
f X h( y )   f Y ( y )  2 f X  
dx 1
f Y ( y)  f X ( x) 
dy dy y  y

1
IR /0
1
 f Y ( y)  2
f X 
  ,
y y
Semester-I, 2017 By Habib M. 44
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

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

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

Semester-I, 2017 By Habib M. 45

Examples on Functions of One Random Variable…..
Solutions:

Semester-I, 2017 By Habib M. 46

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

whe re 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 .

Semester-I, 2017 By Habib M. 47
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

whe re k is a constant.

Determine :

a. the value of k .

b. the pdf of X .

c. the mean and variance of X .

Semester-I, 2017 By Habib M. 48
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.

Semester-I, 2017 By Habib M. 49