In application of probability, we are often interested in a number associated with the outcome

of a random experiment. Such a quantity whose value is determined by the outcome of a

random experiment is called a random variable. It can also be defined as any quantity or
attribute whose value varies from one unit of the population to another.
A discrete random variable is function whose range is finite and/or countable, Ie it can only
assume values in a finite or count ably infinite set of values. A continuous random variable is
one that can take any value in an interval of real numbers. (There are unaccountably many
real numbers in an interval of positive length.)

6.1 Discrete Random Variables and Probability Mass Function

A random variable X is said to be discrete if it can take on only a finite or countable number
of possible values x. Consider the experiment of flipping a fair coin three times. The number
of tails that appear is noted as a discrete random variable. X= “number of tails that appear in
3 flips of a fair coin”. There are 8 possible outcomes of the experiment: namely the sample
space consists of
S  HHH , HHT , HTH , HTT , THH , THT , TTH , TTT
X  0 1, 1, 2 , 1, 2, 2, 3
are the corresponding values taken by the random variable X.
Now, what are the possible values that X takes on and what are the probabilities of X taking a
particular value?
From the above we see that the possible values of X are the 4 values
X = 0, 1, 2, 3
Ie the sample space is a disjoint union of the 4 events { X = j } for j=0,1,2,3
Specifically in our example :
X  0 = HHH X  1 = HHT, HTH, THH
X  2 = TTH, HTT, THT X  3 = TTT
Since for a fair coin we assume that each element of the sample space is equally likely (with
probability 18 , we find that the probabilities for the various values of X, called the probability
distribution of X or the probability mass function (pmf). can be summarized in the following
table listing the possible values beside the probability of that value
x 0 1 2 3
1 3 3 1
P(X=x) 8 8 8 8
Note: The probability that X takes on the value x, ie p(X  x) , is defined as the sum of the
probabilities of all points in S that are assigned the value x.
We can say that this pmf places mass 83 on the value X = 2 .
The “masses” (or probabilities) for a pmf should be between 0 and 1.
The total mass (i.e. total probability) must add up to 1.

Definition: The probability mass function of a discrete variable is a, table, formula or graph
that specifies the proportion (or probabilities) associated with each possible value the random
variable can take. The mass function P(X  x) (or just p(x) has the following properties:
0  p(x)  1 and  p(x)  1
all x
More generally, let X have the following properties
i) It is a discrete variable that can only assume values x1 , x2 , .... xn

70
 ii) The probabilities associated with these values are P( X  x1 )  p1 , P( X  x2 )  p2 …….
P ( X  xn )  p n
n
Then X is a discrete random variable if 0  pi  1 and p
i 1
i 1

Remark: We denote random variables with capital letters while realized or particular values
are denoted by lower case letters.

Example 1
Two tetrahedral dice are rolled together once and the sum of the scores facing down was
noted. Find the pmf of the random variable ‘the sum of the scores facing down.’
Solution
+ 1 2 3 4 x 2 3 4 5 6 7 8
1 2 3 4 5 1 1 3 1 3 1 1
P(X=x) 16 8 16 4 16 8 16
2 3 4 5 6 This can also be written as a function
3 4 5 6 7  x161 for x  2 , 3, 4 , 5
4 5 6 7 8 P ( X  x )   9 x
X = 1, 2, 3, 4 , 5 , 6 , 7 , 8  16 for x  6 , 7, 8
Therefore the pmf is given by the table below
Example 2
The pmf of a discrete random variable W is given by the table below
w -3 -2 -1 0 1
P(W=w) 0.1 0.25 0.3 0.15 d
Find the value of the constant d, P 3  w  0 , Pw  -1 and P 1  w  1
Solution
 p(W  w)  1  0.1  0.25  0.3  0.15  d  1  d  0.2
all w

P 3  w  0  P(W  3)  P(W  2)  P(W  1)  0.65

Pw  -1  Pw  0  Pw  1  0.15  0.2  0.35
P 1  w  1  P(W  0)  0.15

Example 3
A discrete random variable Y has a pmf given by the table below
y 0 1 2 3 4
P(Y=y) c 2c 5c 10c 17c
Find the value of the constant c hence computes P1  Y  3
Solution
 p(Y  y)  1  c(1  2  5  10  17)  1  c  351
ally

P1  Y  3  P(Y  1)  P(Y  2)  352  355  15

Exercise
1. A die is loaded such that the probability of a face showing up is proportional to the face
number. Determine the probability of each sample point.
2. Roll a fair die and let X be the square of the score that show up. Write down the
probability distribution of X hence compute P X  15 and P3  X  30
3. Let X be the random variable the number of fours observed when two dice are rolled
together once. Show that X is a discrete random variable.

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4. The pmf of a discrete random variable X is given by P( X  x )  kx for x  1, 2 , 3, 4 , 5 , 6
Find the value of the constant k, P X  4 and P3  X  6
5. A fair coin is flip until a head appears. Let N represent the number of tosses required to
realize a head. Find the pmf of N c , PN  2 and PN  2
6. A discrete random variable Y has a pmf given by P(Y  y )  c 34 x for y  0 ,1, 2 , .....
Find the value of the constant c , PX  3 and PX  3
2x
7. Verify that f(x)  for y  0 ,1, 2 , .....k can serve as a pmf of a random variable X.
k (k  1)
8. For each of the following determine c so that the function can serve as a pmf of a random
variable X.
a. f(x)  c for x 1, 2 , 3 , 4 , 5 f. f(x)  ( x cx 1) for x 1, 2 , 3 , 4 , 5
2

g. f(x)  cx  1 for x  0 ,1, 2 , 3

b. f(x)  cx for x 1, 2 , 3 , 4 , 5 2

c. f(x)  cx for x  0 ,1, 2 , .....k h. g) f(x)  cx 3 C x  for x 1, 2 , 3

2

d. f(x)  2c for x   1, 0, 1, 2
i. f(x)  c 16 x for x  0 ,1, 2 , 3.....
( x  2)
e. f(x)  c for x 1, 2 , 3 , 4 , 5 x
j. f(x)  c2 for x  for x  0 ,1, 2 , ....

9. A coin is loaded so that heads is three times as likely as the tails.

a. For 3 independent tosses of the coin find the pmf of the total number of heads
realized and the probability of realizing at most 2 heads.
b. A game is played such that you earn 2 points for a head and loss 5 points for a
tail. Write down the probability distribution of the total scores after 4
independent tosses of the coin
10. For an on-line electronics retailer, X = “the number of Zony digital cameras returned per
day” follows the distribution given by
x 0 1 2 3 4 5
P(X=x) 0.05 0.1 t 0.2 0.25 0.1
Find the value of t and P(X > 3)
11. Out of 5 components, 3 are domestic and 2 are imported. 3 components are selected at
random (without replacement). Obtain the PMF of X =”number of domestic components
picked” (make a table).

6.2 Continuous Random Variables and Probability Density Function

A continuous random variable can assume any value in an interval on the real line or in a
collection of intervals. The sample space is uncountable. For instance, suppose an experiment
involves observing the arrival of cars at a certain period of time along a highway on a
particular day. Let T denote the time that lapses before the 1st arrival, the T is a continuous
random variable that assumes values in the interval [0 , )
Definition: A random variable X is continuous if there exists a nonnegative function f so that, for
every interval B, P X  B    f(x) dx. The function f = f(x) is called the probability density
B
function of X.
Definition: Let X be a continuous random variable that assumes values in the interval
( , ) , The f(x) is said to be a probability density function (pdf) of X if it satisfies the
following conditions

72
 b 
i) f(x)  0 for all x , ii) pa  x  b    f(x) dx  1 and iii)  f(x) dx  1
a -
The support of a continuous random variable is the smallest interval containing all values of x
where f(x) >= 0.

Remark A crucial property is that, for any real number x, we have P(X  x)  0 (implying
there is no difference between P(X  x) and P(X  x) ); that is it is not possible to talk about
the probability of the random variable assuming a particular value. Instead, we talk about the
probability of the random variable assuming a value within a given interval. The probability
of the random variable assuming a value within some given interval from x  a to x  b is
defined to be the area under the graph of the probability density function between
x  a and x  b .
Example
Let X be a continuous random variable. Show that the function
 1 x, 0  x  2
f(x)   2 is a pdf of X hence compute P0  X  1 and P 1  X  1
 0, elsewhere

Solution
2
2
 x2 
f(x)  0 for all x in the interval 0  x  2 and 
0
1
2 xdx     1 . Therefore f(x)is indeed a
 4 0
pdf of X.
1
1
 x2  1
Now P0  X  1   xdx    
1
2 and
0  0
4 4
P 1  X  1  P 1  X  0  P0  X  1  0  14  1
4

Exercise
cx, 0  x  1
1) Suppose that the random variable X has p.d.f. given by f(x)   Find the
0, elsewhere
value of the constant c hence determine m so that PX  m   12
 x  k, 0  x  3
2) Let X be a continuous random variable with pdf f(x)   5 Find the value
 0, elsewhere
of the constant k hence compute P1  X  3
k (1  y ), 4  x  7
3) 2. A continuous random variable Y has the pdf given by f(y)   Find
 0, elsewhere
the value of the constant k hence compute PY  5 and P5  Y  6
k (1  x) 2 ,  2  x  0

4) 3. A continuous random variable X has the pdf given by f(x)  4k 0  x  43
0, elsewhere

Find the value of the constant k hence compute P X  1 and P 1  X  1

73
  kx, 0  x  2

5) 4. A continuous random variable X has the pdf given by f(x)  k 4  x  2  x  4

 0 , elsewhere
Find the value of the constant k hence compute P X  3 and P1  X  3

6.3 Distribution Function of a Random Variables

Definition: For any random variable X, we define the cumulative distribution function (CDF), F(x)
as F(x)  P X  x  for every x.
x
If X is a discrete random variable with pmf f(x), then F(x)   f(t) \\ t is introduced to
t  
facilitate summation// However, if X is a continuous random variable with pdf f(x), then
x
F(x)   f(t)dt \\ Again here t is introduced to facilitate integration//
-
Properties of any cumulative distribution function
 lim F(x)  1 and lim F(x)  0
x  x 
 F(x) is a non-decreasing function.
 F (x) is a right continuous function of x. In other words lim F(t)  F(x)
t x

Reminder If the c.d.f. of X is F(x) and the p.d.f. is f(x), then differentiate F(x) to get f(x), and
integrate f(x) to get F(x);
Theorem: For any random variable X and real values a < b, Pa  X  b   F(b) - F(a)

Example 1
1
 1  x  for x 1, 2 , 3 , 4 , 5
Let X be a discrete random variable with pmf given by f(x)   20 .
 0 , elsewhere
Determine the cdf of X hence compute P X  3

Solution
x x
F(x)   f(t)  1
20  (x  1)  1
20 (2  3  ....  x)  1
20 2x 4  x  1  x( 40x3)
t   t 1

0 for x 1
 x  3)
F(x)   x ( 40 for x 1, 2 , 3 , 4 , 5 Recall for an AP S n n
2 2a  n  1d 
1 for x  5

P X  3  1  P X  3  1 
3(6) 11

40 20

Example 2
 12 x, 0  x  2
Suppose is a continuous random variable whose pdf f(x) is given by f(x)   .
 0, elsewhere
Obtain the cdf of X hence compute P X  23 

74
 Solution
2 x
0, x  0
x x
 t  x 2
 2
F(x)   f(t)dt   12 tdt     thus F(x)   x4 , 0  x  2
- 0  4 0 4 1, x  2

P X  3   1  P X  3   1  4  3   9
2 2 1 2 2 8

Exercise
C , 0  x  4
1. The pdf of a continuous random variable X is given by f(x)   x Find the
 0, elsewhere
value of the constant C, the cdf of X and P X  1
kx(1  x), 0  x  1
2. The pdf of a random variable X is given by g(x)   Find the value of the
 0, elsewhere
constant k, the cdf of X and the value of m such that G(x)  12
3. Find the cdf of a random variable Y whose pdf is given by;
1 , 0  x 1
x 2 , 0  x  1
3 1 , 1  x  2
1  2
a) f(x)   3 , 2  x  4 b) f(x)  (3 x )
 0, elsewhere  2, 2 x3
  0, elsewhere
9
4. If the cdf of a random variable Y is given by F(x)  1  2 for Y  3 and F(x)  0 for Y  3 ,
y
find P X  5 , P X  8 and the pdf of X.

6.3 Expectation and Variance of a Random Variable

6.2.2 Expected Values
One of the most important things we'd like to know about a random variable is: what value
does it take on average? What is the average price of a computer? What is the average value
of a number that rolls on a die? The value is found as the average of all possible values,
weighted by how often they occur (i.e. probability)
Definition: Let X be a discrete r.v. with probability function p(x). Then the expected value of

X, denoted E (X ) or  , is given by E(x)     xp( X  x).
x  

Similarly for a continuous random variable X with pdf f(x), E(x)     xf( x)dx.

Theorem: Let X be a discrete r.v. with probability function p(X=x) and let g(x) be a real-
valued function of X. ie 𝑔: ℝ → ℝ, then the expected value of g(x) is given by

Eg(x)    g ( x) p( X  x).
x  

Similarly for a continuous random variable X with pdf f(x), Eg(x)    g(x)  f( x)dx.



Theorem: Let X be a discrete r.v. with probability function p(x). Then
(i) E(c) = c, where c is any real constant;

75
(ii) Eax  b  a  b where a and b are constants
(iii) Ekg(x)  kEg(x) where g(x) is a real-valued function of X
n  n
(iv) Eag1 (x)  bg 2 (x)  aEg1 (x)  bEg 2 (x) and in general E  cig i (x)   ci Eg i (x)
 i 1  i 1
where gi' s (x) are real-valued functions of X.
This property of expectation is called linearity property
Remark: This theorem will also hold for a continuous random variable but we need to
replace all the summation signs with integral signs.
Proof
(i) Ec   cP( X  x)  c  P( X  x)  c(1)  c
all x all x

(ii) Eax  b   (ax  b) P( x)   axP( x)   bP( x)  a  xP( x)  b  P( x)  a  b

all x all x all x all x all x

(iii) Ekg(x)    kg ( x) P( X  x)  k  g ( x) P( X  x)  kEg(x) 

all x all x

(iv) Eag1 (x)  bg 2 (x)  Eag1 (x)  Ebg 2 (x)  aEg1 (x)  bEg 2 (x) from part iii

6.2.3 Variance and Standard Deviation

Definition: Let X be a r.v with mean E (X )   , the variance of X, denoted  2 or Var(X) , is
given by Var ( X )   2  E ( X   ) 2 . The units for variance are square units. The quantity that has
the correct units is standard deviation, denoted  . It’s actually the positive square root of
Var(X) .
  Var ( X )  E ( X   ) 2 .
Theorem: Var ( X )  E ( X   ) 2  E ( X ) 2   2
Proof:
 
Var ( X )  E ( X   )2  E X 2  2 X   2  E ( X )2  2E ( X )   2  E ( X )2   2 Since
E (X )  
Theorem: Var (aX  b)  a 2 var( X )
Proof:
Recall that EaX  b  a  b therefore
   
Var (aX  b)  E(aX  b)  (a  b)  Ea X     E a 2  X     a 2 E  X     a 2 var( X )
2 2 2 2

Remark
(i) The expected value of X always lies between the smallest and largest values of X.
(ii) In computations, bear in mind that variance cannot be negative!
Example 1
Given a probability distribution of X as below, find the mean and standard deviation of X.
x 0 1 2 3
P(X=x) 1/8 1/4 3/8 1/4
Solution
3
x 0 1 2 3 total E ( X )     xp( X  x)  1.75 and
p ( X  x) 1
8
1
4
3
8
1
4 1 x 0

xp( X  x) 0 1
4
3
4
3
4
7
4
standard deviation
x p ( X  x)
2
0 1
4
3
2
9
4 4   E ( X 2 )   2  4  1.752  0.968246

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Example 2
The probability distribution of a r.v X is as shown below, find the mean and standard
deviation of; a) X b) Y  12 X  6 .
x 0 1 2
P(X=x) 1/6 1/2 1/3
Solution
2
x 0 1 2 total E ( X )     xp( X  x)  7 6 and
p ( X  x) 1
6
1
2
1
3 1 x 0

xp( X  x) 2


1 2 7
0 2 3 6
E ( X 2 )  x 2 p( X  x)  11 6
x 2 p ( X  x) 0 1
2
4
3
11
6 x 0

Standard deviation   E ( X )   2  2 11
6  (7 6) 2  17
6  1.6833
Now E (Y )  12E( X )  6  12(7 6 )  6  20
Var (Y )  Var (12 X  6)  12 2  Var ( X )  144  17
6  242.38812

Example 3
 1 x, 0  x  2
A continuous random variable X has a pdf given by f(x)   2 , find the mean
 0, elsewhere
and standard of X
Solution
2 2

2
 x3  4 
2
 x4 
E(x)   xf( x)dx   1
2
x dx     and E(x 2 )   x 2f( x)dx   12 x3dx     2
2
 
0  6 0 3 0  8 0
Standard deviation   E ( X 2 )   2  2  ( 4 3 )2  32
Exercise
1. Suppose X has a probability mass 2. Suppose X has a probability mass
function given by the table below function given by the table below
x 2 3 4 5 6 x 11 12 13 14 15
P(X=x) 0.01 0.25 0.4 0.3 0.04 P(X=x) 0.4 0.2 0.2 0.1 0.1
Find the mean and variance of; X Find the mean and variance of; X
3. Let X be a random variable with P(X = 1) = 0.2, P(X = 2) = 0.3, and P(X = 3) = 0.5. What is the
expected value and standard deviation of; a)X b) Y  5 X  10 ?
4. A random variable W has the probability distribution shown below,
w 0 1 2 3
P(W=w) 2d 0.3 d 0.1
Find the values of the constant d hence determine the mean and variance of W. Also find
the mean and variance of Y  10 X  25
5. A random variable X has the probability distribution shown below,
x 1 2 3 4 5
P(X=x) 7c 5c 4c 3c c
Find the values of the constant c hence determine the mean and variance of X.
6. The random variable Z has the probability distribution shown below,
z 2 3 5 7 11
1 1 1
P(Z=z) 6 3 4 x y

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 If E ( Z )  4 23 , find the values of x and y hence determine the variance of Z
 36m , m  1, 2 , 3 , ...,8
7. A discrete random variable M has the probability distribution f(m)   ,
 0 , elsewhere
find the mean and variance of M
 510 y , y  1, 2 , 3 , 4
8. For a discrete random variable Y the probability distribution is f(y)   ,
 0 , elsewhere
calculate E(Y ) and var(Y)
kx for x  1, 2 , 3 , 4
9. Suppose X has a pmf given by f(x)   , find the value of the constant k
 0 , elsewhere
hence obtain the mean and variance of X
10. A team of 3 is to be chosen from 4 girl and 6 boys. If X is the number of girls in the team,
find the probability distribution of X hence determine the mean and variance of X
11. A fair six sided die has; ‘1’ on one face, ‘2’ on two of it’s faces and ‘3’ on the remaining
three faces. The die is rolled twice. If T is the total score write down the probability
distribution of T hence determine;
a) the probability that T is more than 4 b) the mean and variance of T

kr for 0  r  4
12. The pdf of a continuous r.v R is given by f(r)   , (a) Determine c. hence
 0 , elsewhere
Compute P(1 0  r  2) , E(X) and Var(X).
k (1  10m ) for M  10
13. A continuous r.v M has the pdf given by f(m)   , find the value of
 0 , elsewhere
the constant k, the mean and the variance of X
k (1  x) for 0  x  1
14. A continuous r.v X has the pdf given by f(x)   , findt the value of
 0 , elsewhere
the constant k. Also find the mean and the variance of X
 d 2 if x  1
15. The lifetime of new bus engines, T years, has continuous pdf f(t)   t find the
 0, if x  1
value of the constant d hence determine the mean and standard deviation of T
16. An archer shoots an arrow at a target. The distance of the arrow from the centre of the
k (3 + 2x - x 2 ) if x  3
target is a random variable X whose p.d.f. is given by f(x)   find
 0 , i f x  3
the value of the constant k. Also find the mean and standard deviation of X
k (1  x) ,  1  x  0

17. A continuous r.v X has the pdf given by f(x)  2k (1  x), 0  x  1 , find the value of the
 0 , elsewhere

constant k. Also find the mean and the variance of X
e  x for x  0
18. A continuous r.v X has the pdf given by f(x)   , find the mean and
 0 , elsewhere
3x
standard deviation of; a) X b) Y  e 4

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