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Chapter 4 RANDOM Variables: Experiments Whose Outcomes Are Numbers
Chapter 4 RANDOM Variables: Experiments Whose Outcomes Are Numbers
Chapter 4 RANDOM Variables: Experiments Whose Outcomes Are Numbers
VARIABLES
EXAMPLE:
Select items at random from a batch of size
N until the first defective item is found.
Record the number of non-defective items.
Sample Space: S = {0, 1, 2, . . . , N }
Abbreviation: rv
EQUIVALENCES
Unstructured Random
Experiment Variable
E X
Sample space range of X
Outcome of E One possible value x for X
Event Subset of range of X
Event A x ∈ subset of range of X
e.g., x = 3 or 2 ≤ x ≤ 4
Pr(A) Pr(X = 3), Pr(2 ≤ X ≤ 4)
REMINDER:
The set of possible values that a random
variable (rv) X can take is called the range
of X.
DEFINITION:
A rv X is said to be discrete if its range
consists of a finite or countable number of
values.
Event Probability
X = x1 Pr(X = x1)
X = x2 Pr(X = x2)
... ...
X = xn Pr(X = xn)
p(x) = Pr(X = x)
for all values x in the range of X.
Abbreviation: pf
Range of X : {0, 1, 2, . . .}
Pr(X = 0) = p
Pr(X = 1) = (1 − p)p
...
Pr(X = x) = (1 − p)xp
...
pX (x) = (1 − p)xp, x = 0, 1, 2, . . . .
Probability function:
1 , x = 1, 2, . . . , n ,
pX (x) = n
0 elsewhere.
Cumulative distribution function:
0, x < 1,
[x]
FX (x) = n , 1 ≤ x ≤ n,
1, x ≥ n,
and so on.
Properties of cdfs:
All cdfs
p1(x)
x
6
mean
p2(x)
x
6
mean
(x − µ)2 Pr(X = x)
X
Var(X) =
x
x2 Pr(X = x) − 2µ · µ + µ2 · 1
X
=
x
= E(X 2) − {E(X)}2
X
Reminder: The notation means the sum
x
over all values x in the range of X.
P
E(X) = x x Pr(X = x), so
√
Standard deviation of X: 1.45, or 1.20.
Notes
Introduction
{X ≤ a} ∪ {a < X ≤ b} = {X ≤ b} .
So the addition law of probability (axiom A3)
gives:
d FX (x) F (x + h) − FX (x)
Recall: ' X .
dx h
So Pr(x < X ≤ x + h) = FX (x + h) − FX (x)
d FX (x)
' h .
dx
Interpretation
• When multiplied by a small number h,
the pdf gives, approximately, the probability
that X lies in a small interval, length h, close
to x.
• If, for example, fX (4) = 2 fX (7), then
X occurs near 4 twice as often as near 7.
Properties of probability density functions
DEFINITION:
For a continuous rv X with pdf fX (x), the
expectation of a function g(x) is defined as
Z ∞
E{g(X)} = g(x) fX (x) dx
−∞
1
b−a
a b
Because fX (x) is constant over [a, b] and
Z ∞ Z b
fX (x) dx = fX (x) dx = 1,
−∞ a
1 , a < x < b,
b−a
fX (x) =
0
elsewhere.
Uniform Distribution: cdf
FX (x)
1
-
0
a b
Uniform Distribution: Mean and Variance
Z b
1
E(X) = µ = x dx
a b−a
= 1
2 (a + b).
Var(X) = σ 2 = E(X 2) − µ2
(a + b)2
Z b
1
= x2 dx −
a b−a 4
1
= (b − a)2.
12
That is,
0, x < 0,
fX (x) =
ke−λx , x ≥ 0 ,
Hence
Z ∞ Z ∞
fX (x) dx = ke−λx dx
−∞ 0
kh −λx
i∞
= −e
λ 0
k
=
λ
Z ∼ N(0, 1).
Special notation φ(z) is used for the pdf of
N(0, 1). We write
1 − 1 z2
φ(z) = √ e 2 , −∞ < z < ∞.
2π
The cdf of Z is denoted by Φ(z). We write
Z z
Φ(z) = φ(x) dx
−∞
1 − 1 x2
Z z
= √ e 2 dx
−∞ 2π
Z Φ(z)
0.0 0.5000
0.5 0.6915
1.0 0.8413
1.5 0.9332
2.0 0.9772
Φ(z) = 1 − Φ(−z).
This equation can be used to obtain Φ(z) for
negative values of z.
For example, Φ(−1.5) = 1 − 0.9332 = 0.0668.