Subject - Statistics

Paper - Probability I
Module -Random Variable and Measurable Transformation

Statistics is all about randomness. So the one concept which lies at the heart of statistics
is random variable. As the name suggests ’random’ and ’variable’, here ’variable’ means it will
vary, it will take some values, it will belong to some intervals with some law or rule that is gov-
erned by this process ’random’. So in this module we try to get a feel of the concept of ’random
variable’. We start by defining random variable.

1 Definition of Random Variable

In many cases we shall find the elements of Ω,i.e. the elementary events are themselves
expressed as real numbers. For example while throwing a die once any of the numbers 1, 2, . . . , 6
can appear. Therefore the sample space is Ω  t1, 2, . . . , 6u. Even when the elementary events
themselves are not numbered we can associate some definite real number to each elementary
events according to some given rule. In tossing a coin once the sample space Ω is tH , T u. If
we assign the number 1 to H and 0 to T then the sample space can also be written as Ω  t0, 1u.
Often when an experiment is performed our main interest lies in the function of the outcome
rather than the actual outcome itself. For example, in a dice throwing game a gambler is more
interested in his gains rather than his number of wins and loses. It is therefore desirable to
introduce a point function on the sample space. these quantities of interest or more formally
these real valued functions defined on the sample space are known as random variables. We
give here the formal definition of random variable:

p q
Definition 1 By a random variable with respect to the probability space Ω, F , P we mean a
finite real valued function, say X such that

tω : X pωq ¤ x u P F @x P R

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Example 1 A coin is tossed twice. Denoting the occurence of ’head’ and ’tail’ by ’H’ and ’T’
respectively we have here the sample space Ω as:

Ω  tH H , H T, T H , T T u  tω1, ω2, ω3, ω4u,

F  class of all subsets of Ω

Define X ω p q  number of heads. Then

$
'' 0  ω4
& if ω
X pωq   ω2 or ω3
'' 1 if ω
%2 if ω  ω1

$
'
' φPF  0
'
&
if x
tT T u P F if 0 ¤ x   1
tω : X pωq ¤ x u  '
'
' tT H , H T, T T u P F if 1 ¤ x   2
% tT H , H T, T T, H H u P F if x ¥ 2

So by definition of random varaible we can say that the number of heads is a random variable
since it satisfies all the conditions that is mentioned in Definition 1.

p q
Definition 2 A real valued function X defined on the probability space Ω, F , P is called a
random variable if

X
1 B
p q  tω : X pωq P B u P F @B P B, where B Borel σ
field
This is the definition where we use the concept of Borel σ-field. Following are equivalent state-
ments: X is a random variable if and only if

(i) tω : X pωq ¡ x u P F @x P R
(ii) tω : X pωq ¥ x u P F @x P R
(iii) tω : X pωq   x u P F @x P R
(iv) tω : a   X pωq   b u P F @x P R,
8   a ¤ b   8

2
2 Examples: Random Variable or not

Example 2 Suppose A be an arbitrary event in Ω. Then 1 A is a random variable if and only

P
if A F . Since,
$
'
' φ  0
'
'
if x

'
&A
{ if 0 ¤ x   1

tω : X pωq ¤ x u  ' Ω if x ¥ 1
'
'
'
'
%

Example 3 Suppose a fair dice is rolled once. Here the sample space is: Ω  t1, 2, 3, 4, 5, 6u.
X :Ω Ñ R be such that: X p1q  X p3q  X p5q  0 and X p2q  X p4q  X p6q  1. Here X is a r.v.
if and only if t1, 3, 5u P F . Since,
$
'
' φ  0
'
'
if x

'
& t1, 3, 5u if 0 ¤ x   1

tω : X pωq ¤ x u  ' Ω if x ¥ 1
'
'
'
'
%

3 Some results

Now that we have defined a random variable, for example X is a random variable, the obvi-
ous question that comes to our mind is: What will happen to any function of X i.e. f X ? p q
Whether f X p q is also a random variable? If f be any aerbitrary function will it be a random
p q is also a random variable?
variable? If not then what sort of condition we require so that f X
Our next theorems are going to shed some light upon such questions.

Theorem 1 Let X be a random variable. Then

(a) X 2 is a random variable.

p q be any continuous function of X . Then f pX q is a random variable.

(b) Let f X

3
P ROOF :
(a)
$
'
& φPF
' if x  0
tω : X 2 pωq ¤ x u  ' tω : X pωq  0u P F if x  0
'
% tω :
?x   X pωq   ?x u P F if x ¡ 0

(b) The function f is continuous if and only if for every open set G in R, the set f
1 G p q is
open.

So let us begin with an arbitrary open set G in R.

tω : f pX pωqq P G u
 tω : X pωq P f
1pG qu P F rSince f is continuous, G is open ô f
1pG q is open
ñ f
1pG q P B since any open set is a Borel set.s 

Theorem 2 Let Y and Z be two random variables. Then

(a) Y p q
Z (b) cY (c) Y Z (d) max Y , Z (e) min Y , Z (f)X p q  maxpX , 0q (g) X

minpX , 0q
are also random variables.

P ROOF :
(a) Note that Y Z ¡x if and only if there is a rational number q in the interval Y ¡q¡
x
Z so that Y ¡q and Z ¡ x
q. i.e.
¤ £
rY Z ¡ xs  rloomoon
Y ¡ q s looooomooooon
rZ ¡ x
q s
P
q Q
PF PF
∴ rY Z ¡ xs P F

(b) In case c ¡ 0, rcY   x s  rY   xc s P F .

In case c   0, rcY   x s  rY ¡ xc s P F .
(c) Y Z  12 rpY Z q2
Y 2
Z 2 s .
Now, Y p q
Z 2 , Y 2 , Z 2 are all random variables [By (a) of theorem 1]

Therefore using (a) and (b) of theorem 2 we see that Y Z is also a random variable.

4
 p
(d) We can write max Y , Z q  12 p|Y
Z | Y q
Z . Since Y|
Z| is a continuous function
of Y
Z it is a r.v. Hence the result follows using (a) and (b) of theorem 2.

p
(e) We can write min Y , Z q  12 p|Y
Z |
pY qq
Z . The proof of this result is now similar to
part (d).

(f) The proof of this part is similar to that of part (d).

(g) The proof of this part is similar to that of part (e). 

Theorem 3 Let X n t u be a sequence of random variables. Then

(a) inf X n (b) lim inf X n (c) sup X n (d) lim sup X n are also random variables.

P ROOF :
¥ x  “ rX n ¥ x s. In order to prove part (b) we
8
In order to prove part (a) we can write inf X n
n 1
can write lim inf X n ¥ x  r X n ¥ x
1{m for all but finite ns for all m  1, 2, . . .. For the last two
cases replace X n by
X n . 

4 Transformation

p q
Let X be random variable on Ω, F , P and f : R Ñ R be a function. The question that one will
eventually ask: Is f Xp q a random variable? We give the answer as follows:

If f is arbitrary, f Xp q may not be a random variable. If f is Borel-measurable, that is pre-

p q
images of Borel sets under f are also Borel sets then and only then f X is a random variable.
It is clear that the pre-images of Borel sets under the composite function f  X p.q are events.

5
 Then f X p q is a random variable. We can extend this concept from univariate to multivari-
ate setup. For a Borel measurable function f : Rn ÑR and random variables X 1 , X 2 , ..., X n ,
p q
f X 1 , X 2 , ..., X n is also a random variable.

5 Random Experiment

The concept of random variable has high correspondence to random experiment. A random
experiment is a process characterized by the following properties:

(a) It is performed according to some set of rules,

(b) It can be repeated arbitrarily often,

(c) The result of each performance depends on chance and cannot be predicted uniquely.

Example 4 Tossing of a coin– The outcome of a trial can be either head or tail showing up. So
we do ont know which one will come whenever we are tossing a coin.

Example 5 Whenever we are throwing a die we donot know which one will come but we know
t u
that one of the numbers 1, 2, 3, 4, 5, 6 will come.

Sequential Random Experiments: By sequential random experiment we mean performing a

sequence of simple random sub-experiments e.g. first toss a coin, then throw a dice. Some-
times, the second sub-experiment depends on the outcome of the first; e.g. throw a dice first,
if it is even, then toss a coin. A random experiment may involve a continuum of measurements
say, the height of a student which takes some value between 165 cm to 170cm.

6 Sample Space

Whatever be the random variable corresponding to the random variable we will have sample
space. Sample space Ω of a random experiment is defined as the set of all possible outcomes.
These Outcomes are mutually exclusive in the sense that they cannot occur simultaneously.
A sample space can be finite, countably infinite or uncountably infinite. We give below some
examples of sample space.

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(a) Toss a coin two times
Ω1 tpH , H q, pH , T q, pT, H q, pT, T qu. Ω1 is countable. Ω1 is called a discrete sample space.
Define B  t H , T u, then Ω1  B  B .

(b) Toss a dice until a ’six’ appears and count the number of times the dice was tossed.
Ω2  t1, 2, 3, . . .u is discrete and countably infinite (one-to-one correspondence with
positive integers)

(c) Pick a number X at random between zero and one, then pick a number Y at random between
zero and X
Ω3  tpx, y q : 0 ¤ y ¤ x ¤ 1u is a continuous (uncountably infinite) sample space.

7 Coin Example

Suppose a coin is tossed twice. Here the sample space is Ω  tH H , H T, T H , T T u and

F  σpX q. Define X Number of heads.
$
'' 0  ω4
& if ω
X pωq   ω2 or ω3
'' 1 if ω
%2 if ω  ω1

From the above figure we can say that H H corresponds to 2, H T, T H corresponds to 1 and T T
corresponds to 0. So here the random variable X is mapping from the sample space to the real
line. Here X is taking only three values 0,1 and 2.

8 A Mathematical Model for Tossing a Coin N Times

In order to construct a mathematical model for tossing a coin N times, let

Ω  tω  pω1, . . . , ωn q|ω j  0, 1 for j  1, 2, . . . , N u and F  S pΩq. Then Ω has 2N points

7
and F has 22
N
sets. For a typical ω  pω1, . . . , ωn q put

° ωi ¸
N

 p pω qq p1q, Pr As  P  S pΩq p2q

N
pω 1 ω2 ... ωn i 1 Pω, A F
ω AP
°N ω
° ωi
N

p  ¥ 0. Obviously PrΩs  1.
N
1
i
Now p ω i 1 q i

r Y Bs  °
P A pω  ° p ω ° p ω if A and B are disjoint  Pr A s r s
PB .
P Y
ω A B ω A P ω BP
Obviously, P is additive and since F is finite, P is σ-additive also.
°N ω
° ωi
P rΩ s 
° p  ° ° ...° p i 1 q
i N
i
N

1 , p q 1
ω ω1 ω2 ωn
Pω Ω
°


° ωi °
 ° ° ° 
N 1
ωi N 1
N

1 ωn
q 1
ωn
...ω1
p ω2 ωN
i 1 q i
ωN 0.1 p
°


° ωi
1

 ° ° ...° p  °
N 1 N
ωi
1 . . .  q 1
ω1  pp q  1.
N 1
ω1
ω1 ω2 ω N
1
i 1 q i
ω1 p q

p q  ωj , 1 ¤ j ¤ N
Define X j ω P
for ω Ω. X j ’s are called coordinate r.v.s in this model.