Introduction to Probability

Distributions
 Random Variable
• A random variable x takes on a defined set of
values with different probabilities.
• For example, if you roll a die, the outcome is random (not
fixed) and there are 6 possible outcomes, each of which
occur with probability one-sixth.
• For example, if you poll people about their voting
preferences, the percentage of the sample that responds
“Yes on Proposition 100” is a also a random variable (the
percentage will be slightly differently every time you poll).

• Roughly, probability is how frequently we

expect different outcomes to occur if we
repeat the experiment over and over
(“frequentist” view)
 Random variables can be
discrete or continuous
 Discrete random variables have a
countable number of outcomes
 Examples: Dead/alive, treatment/placebo, dice,
counts, etc.
 Continuous random variables have an
infinite continuum of possible values.
 Examples: blood pressure, weight, the speed of
a car, the real numbers from 1 to 6.
 Probability functions
 A probability function maps the possible
values of x against their respective
probabilities of occurrence, p(x)
 p(x) is a number from 0 to 1.0.
 The area under a probability function is
always 1.
Discrete example: roll of a
die

p(x)

1/6

x
1 2 3 4 5 6

 P(x) 1
all x
Probability mass function
(pmf)
x p(x)
1 p(x=1)=1
/6
2 p(x=2)=1
/6
3 p(x=3)=1
/6
4 p(x=4)=1
/6
5 p(x=5)=1
/6
6 p(x=6)=1
/6
1.0
Cumulative distribution
function (CDF)

1.0 P(x)
5/6
2/3
1/2
1/3
1/6
1 2 3 4 5 6 x
Cumulative distribution
function
x P(x≤A)
1 P(x≤1)=1/6

2 P(x≤2)=2/6

3 P(x≤3)=3/6

4 P(x≤4)=4/6

5 P(x≤5)=5/6

6 P(x≤6)=6/6
 Practice Problem:
 The number of patients seen in the ER in any given hour
is a random variable represented by x. The probability
distribution for x is:

x 10 11 12 13 14
P(x .4 .2 .2 .1 .1
)
Find the probability that in a given hour:
a. exactly 14 patients arrive p(x=14)= .1
b. At least 12 patients arrive p(x12)= (.2 + .1 +.1) = .4
c. At most 11 patients arrive p(x≤11)= (.4 +.2) = .6
 Review Question 1
If you toss a die, what’s the probability that you
roll a 3 or less?

a. 1/6
b. 1/3
c. 1/2
d. 5/6
e. 1.0
 Review Question 1
If you toss a die, what’s the probability that you
roll a 3 or less?

a. 1/6
b. 1/3
c. 1/2
d. 5/6
e. 1.0
 Review Question 2
Two dice are rolled and the sum of the face
values is six? What is the probability that at
least one of the dice came up a 3?

a. 1/5
b. 2/3
c. 1/2
d. 5/6
e. 1.0
 Review Question 2
Two dice are rolled and the sum of the face
values is six. What is the probability that at least
one of the dice came up a 3?

a. 1/5 How can you get a 6 on

b. 2/3 two dice? 1-5, 5-1, 2-4, 4-
c. 1/2 2, 3-3
d. 5/6 One of these five has a 3.
e. 1.0 1/5
 Continuous case
 The probability function that
accompanies a continuous random
variable is a continuous
mathematical function that
integrates to 1.
 For example, recall the negative
exponential function (in probability,
f ( x) e  x this
is called
 This anintegrates
function “exponential
to 1: distribution”):
 

e
x x
 e 0  1 1
0
0
 Continuous case:
“probability density
function” (pdf)

p(x)=e-x

The probability that x is any exact particular value (such as 1.9976) is 0;

we can only assign probabilities to possible ranges of x.
 For example, the probability of x falling within 1 to 2:

Clinical example: Survival

times after lung transplant
may roughly follow an p(x)=e-x
exponential function.
Then, the probability that a 1
patient will die in the second
year after surgery (between
years 1 and 2) is 23%.

x
1 2

2 2


x x
P(1 x 2)  e  e  e  2   e  1  .135  .368 .23
1
1
 Expected Value and Variance

 All probability distributions are

characterized by an expected
value (mean) and a variance
(standard deviation squared).
 Expected value of a random variable

 Expected value is just the average or mean (µ)

of random variable x.

 It’s sometimes called a “weighted average”

because more frequent values of X are
weighted more highly in the average.

 It’s also how we expect X to behave on-

average over the long run (“frequentist” view
again).
 Expected value, formally
Discrete case:

E( X )   x p(x )
all x
i i

Continuous case:

E( X )   xi p(xi )dx
all x
Symbol Interlude
 E(X) = µ
 these symbols are used
interchangeably
 Example: expected value

 Recall the following probability

distribution of ER arrivals:

x 10 11 12 13 14
P(x .4 .2 .2 .1 .1
)

 x p( x) 10(.4)  11(.2)  12(.2)  13(.1)  14(.1) 11.3

i 1
i
 Sample Mean is a special case of
Expected Value…

Sample mean, for a sample of n subjects: =

n

x i n
1
X i 1
n


i 1
xi ( )
n

The probability (frequency) of each

person in the sample is 1/n.
 Variance/standard
deviation
2=Var(x) =E(x-)2

“The expected (or average) squared

distance (or deviation) from the
mean”
 2 Var ( x) E[( x   ) 2 ]   ( xi   ) 2 p(xi )
all x
 Variance, continuous
Discrete case:

Var ( X )   (x
all x
i
2
  ) p(xi )

Continuous case?:


2
Var ( X )  ( xi   ) p(xi )dx
all x
Symbol Interlude
 Var(X)= 2
 SD(X) = 
 these symbols are used
interchangeably
 Similarity to empirical
variance

The variance of a sample: s2 =

 ( xi  x ) 2 N
1
i 1
n 1

 ( xi  x ) (
i 1
2
n 1
)

Division by n-1 reflects the fact that we have

lost a “degree of freedom” (piece of
information) because we had to estimate the
sample mean before we could estimate the
 Variance

   ( xi   ) p(xi )
2 2

all x

 2   ( xi   ) 2 p(xi ) 
all x

(1  200,000) 2 (.5)  (400,000  200,000) 2 (.5) 200,000 2

  200,000 2 200,000

Now you examine your personal risk

Practice Problem
On the roulette wheel, X=1 with
probability 18/38 and X= -1 with
probability 20/38.
 We already calculated the mean to be
= -$.053. What’s the variance of X?
Answer
   ( xi   ) p(xi )
2 2

all x
(1   .053) 2 (18 / 38)  ( 1   .053) 2 (20 / 38)
(1.053) 2 (18 / 38)  ( 1  .053) 2 (20 / 38)
(1.053) 2 (18 / 38)  ( .947) 2 (20 / 38)
.997

  .997 .99
Standard deviation is $.99. Interpretation: On average,
you’re either 1 dollar above or 1 dollar below the mean,
which is just under zero. Makes sense!