Mixed Random Variables | Examples

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0 Preface

1 Basic Concepts Video Available

2 Combinatorics: Counting Methods
3 Discrete Random Variables
4 Continuous and Mixed Random
Variables
4.0 Introduction
4.1 Continuous Random Variables
4.3.1 Mixed Random Variables
Here, we will discuss mixed random variables. These are random variables that are neither discrete nor continuous, but
are a mixture of both. In particular, a mixed random variable has a continuous part and a discrete part. Thus, we can use
our tools from previous chapters to analyze them. In this section, we will provide some examples on how we can do this.
Then in section 4.3.2, we will revisit the concept of mixed random variables using the delta "function."

4.2 Special Distributions

Example 4.14
4.3 Mixed Random Variables
Let X be a continuous random variable with the following PDF:
4.3.1 Mixed Random Variables

4.3.2 Using the Delta Function

2x 0≤x≤1
f X (x) = {
0 otherwise
4.3.3 Solved Problems
Let also
4.4 Problems

5 Joint Distributions X 0≤X≤ 1

2
Y = g(X) = {
6 Multiple Random Variables 1 X> 1
2 2
7 Limit Theorems and Convergence of
Random Variables
Find the CDF of Y .

8 Statistical Inference I: Classical Solution

Methods

9 Statistical Inference II: Bayesian

Inference
First we note that R X = [0, 1] . For x ∈ [0, 1], 0 ≤ g(x) ≤ 1
2
. Thus, R Y = [0, 12 ] , and therefore

10 Introduction to Random Processes F Y (y) = 0,  for y < 0,

11 Some Important Random
Processes
1
https://www.probabilitycourse.com/chapter4/4_3_1_mixed.php[9/22/2019 6:41:07 PM]
Mixed Random Variables | Examples

F Y (y) = 1,  for y > .

2
12 Introduction to Simulation Using
MATLAB Now note that
13 Introduction to Simulation Using R
1 1
P (Y = 2
) = P (X > 2
)
14 Recursive Methods
=∫
1 3
1 2xdx = 4
.
Appendix 2

Bibliography 1 ,
Also, for 0 <y< 2
F Y (y) = P (Y ≤ y)
= P (X ≤ y)
= ∫ 0y 2xdx
= y2 .

Thus, the CDF of Y is given by

⎪⎧⎪ 1 y≥ 1
2
F Y (y) = ⎨ y 2 0≤y< 1
⎪⎩ 2
0 otherwise
Figure 4.9 shows the CDF of Y . We note that the CDF is not continuous, so Y is not a continuous random variable. On
the other hand, the CDF is not in the staircase form, so it is not a discrete random variable either. It is indeed a mixed
random variable. There is a jump at y= 1 , and the amount of jump is
2
1− 1
4
= 3 , which is the probability that
4
Y = 1 . The CDF is continuous at other points.
2

https://www.probabilitycourse.com/chapter4/4_3_1_mixed.php[9/22/2019 6:41:07 PM]

Mixed Random Variables | Examples

Fig.4.9 - CDF of a Mixed random variable, Example 4.12.

The CDF of Y has a continuous part and a discrete part. In particular, we can write

F Y (y) = C(y) + D(y),

where C(y) is the continuous part of F Y (y) , i.e.,

⎧⎪ 14 y≥ 1
2
C(y) = ⎨ y 2 0≤y< 1
⎪⎪⎩ 2
0 y<0
The discrete part of F Y (y) is D(y) , given by

3
4
y≥ 1
2
D(y) = {
0 y< 1
2

In general, the CDF of a mixed random variable Y can be written as the sum of a continuous function and a staircase
function:

https://www.probabilitycourse.com/chapter4/4_3_1_mixed.php[9/22/2019 6:41:07 PM]

Mixed Random Variables | Examples

F Y (y) = C(y) + D(y).

We differentiate the continuous part of the CDF. In particular, let's define

dC(y)
c(y) = ,  wherever C(y) is differentiable.
dy
Note that this is not a valid PDF as it does not integrate to one. Also, let {y1 , y2 , y3 , . . . } be the set of jump points of
D(y) , i.e., the points for which P (Y = yk ) > 0 . We then have
∞
∫ c(y)dy + ∑ P (Y = yk ) = 1.
−∞ yk

The expected value of Y can be obtained as

∞
EY = ∫ yc(y)dy + ∑ yk P(Y = yk ).
−∞ yk

Example 4.15
Let Y be the mixed random variable defined in Example 4.14.

a. Find P ( 1
4
≤Y ≤ 3) .
8
b. Find P (Y ≥ 1 ) .
4
c. Find EY .

Solution

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Introduction to Probability by Hossein Pishro-Nik is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License

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