MATH-361

Probability and Statistics

Lecture 9

Random Variables, CDF, PDF

A/P Kamran Aziz Bhatti | Assistant Professor | Dept. of Electrical Engg. | NUST College of Electrical & Mechanical Engineering | Pakistan
Random Variables
Random Variable

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 Random Variables

• Numerical Attribute of the outcome

• A measurement assigns a numerical value to the outcome of
the random experiment
• Probabilities of the numerical values
• A Random Variable (RV) X is a function that assigns a real
number 𝑿 𝝃 to each outcome 𝝃 in the SS of a random
experiment
• Similar to other functions by concept

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 Random Variable

A and B are equivalent events

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 Random Variables

• Mapping of S and SX
• Three time Coin Toss Example
• Randomness lies in the observed values (argument of X), the
rule is fixed and deterministic
• Mapping of events from observations to numbers
• P[X in B] = P[𝜉 in A], since X is in B only when 𝜉 is in A, where
A = [𝜉; X(𝜉) in B]
• A and B are equivalent events

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Cumulative Distribution
Function (CDF)
 Cumulative Distribution Function

• Events {X = x}, {X in I}, {X ≤ x}

• cdf is defined as the probability that the random variable X
takes on a value in the set −∞, 𝑥 .
𝐹𝑋 𝑥 = 𝑃 𝑋 ≤ 𝑥 for −∞ < 𝑥 < ∞
• Probability of semi-infinite intervals of the real line
• Properties of cdf
• 0 ≤ 𝐹𝑋 𝑥 ≤ 1

• lim 𝐹𝑋 (𝑥) = 1
𝑥→∞

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 Cumulative Distribution Function

• lim 𝐹𝑋 (𝑥) = 0
𝑥→−∞

• 𝐹𝑋 (𝑥) is a non-decreasing function of x

• 𝐹𝑋 (𝑥) is continuous from the right
• 𝑃 𝑎 < 𝑋 ≤ 𝑏 = 𝐹𝑋 𝑏 − 𝐹𝑋 𝑎
• 𝑃 𝑋 = 𝑏 = 𝐹𝑋 𝑏 − 𝐹𝑋 𝑏 − (Magnitude of cdf jump). If cdf is
continuous at a point b, 𝑃 𝑋 = 𝑏 will be zero
• 𝑃 𝑋 > 𝑥 = 1 − 𝐹𝑋 (𝑥)

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 Cumulative Distribution Function

• Discrete Random Variable

• Right continuous and stair case function
• Probability Mass Function (pmf)
• cdf is written as sum of the weighted unit step
functions

• Continuous Random Variable

• Continuous everywhere

• Mixed Random Variable

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Probability Density
Function (PDF)
 Probability Density Function

• Useful alternative to specify the information

contained in cdf
• Represents density of probability at the point x
𝐹𝑋 𝑥 + ℎ − 𝐹𝑋 (𝑥)
𝑃 𝑥 <𝑋 ≤𝑥+ℎ = ℎ ≅ 𝑓𝑋 𝑥 ℎ
ℎ
• Formally
𝑑𝐹𝑋 (𝑥)
𝑓𝑋 𝑥 =
𝑑𝑥
• Existence of pdf???
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 Probability Density Function

• 𝑓𝑋 (𝑥) ≥ 0
𝑏
•𝑃 𝑎≤𝑋≤𝑏 = 𝑓
𝑎 𝑋
𝑥 𝑑𝑥
𝑥
• 𝐹𝑋 𝑥 = 𝑓
−∞ 𝑋
𝑡 𝑑𝑡
• The pdf completely specifies the behavior of
continuous random variables
∞
•1= 𝑓
−∞ 𝑋
𝑡 𝑑𝑡
• Normalization property

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Probability Density Function

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 Probability Density Function

• The pdf definition cannot be applied to discrete RVs

• The pdf of a discrete RV is

𝑓𝑋 𝑥 = 𝑝𝑋 (𝑥𝑘 )𝛿(𝑥 − 𝑥𝑘 )
𝑘

• The relation between step function and delta

function is used
• Example: Coin toss

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 Conditional cdf and pdf

• Conditional cdf:

𝑃 {𝑋 ≤ 𝑥} 𝐴
𝐹𝑋 𝑥|𝐴 =
𝑃[𝐴]
• Condition pdf:
𝑑𝐹𝑋 𝑥|𝐴
𝑓𝑋 𝑥|𝐴 =
𝑑𝑥

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