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Lect 3 PDF
Lect 3 PDF
Lect 3 PDF
Random Variables
• Definition
– If | X ( ) x is an event ( F ) for every x in R,
– Random Variable is a finite single valued function X ( ) that maps
the set of all experimental outcomes into the set of real
numbers R
Random Variable
• The specification of a random variable can also imply a redefinition
of the sample space.
Example
• Notation:
– RV will always be denoted with uppercase letters
– The realized values of the variable (its range) will be denoted by
the corresponding lowercase letter.
– Thus, the random variable X can take the value x.
Borel collection
• X :r.v, X −1 ( B ) F
• B represents semi-infinite intervals of the form {− x a }
• The Borel collection B of such subsets of R is the smallest σ-field of
subsets of R that includes all semi-infinite intervals of the above
form.
• if X is a r.v, then
| X ( ) x = X x
is an event for every x.
Probability Distribution Function(PDF)
(Cumulative Distribution Function )
P | X ( ) x = FX ( x ) 0 .
• FX ( x ) is said to the Probability Distribution Function associated
with the r.v X.
– g ( + ) = 1, g ( − ) = 0 ,
– If x1 x2 , then g ( x1 ) g ( x 2 ),
+
– g ( x ) = g ( x ), for all x.
Properties of a PDF - Proof
• The probability distribution function is:
– nonnegative
– monotone nondecreasing.
• Proof - We have: FX ( + ) = P | X ( ) + = P ( ) = 1
FX ( − ) = P | X ( ) − = P ( ) = 0 .
• X ( ) x1 implies X ( ) x 2 . So,
| X ( ) x1 | X ( ) x 2 ,
FX ( x1 ) = P ( X ( ) x1 ) P ( X ( ) x 2 ) = FX ( x 2 )
Properties of a PDF - Proof
• Let x x n x n −1 x 2 x1 ,
• Since x X ( ) x k X ( ) x = X ( ) x k ,
• We get P ( Ak ) = P ( x X ( ) x k ) = FX ( x k ) − FX ( x ).
(mutually exclusive property)
+
• But lim xk = x , the right limit of x, and hence FX ( x ) = FX ( x ),
+
k →
• P X ( ) x = 1 − FX ( x ).
since X ( ) x X ( ) x =
• P x1 X ( ) x 2 = FX ( x 2 ) − FX ( x1 ), x 2 x1 .
The events X ( ) x1 and { x1 X ( ) x 2 } are mutually exclusive and
their union represents the event X ( ) x 2 .
Additional Properties
P ( X ( ) = x ) = FX ( x ) − FX ( x − ).
• Let x1 = x − , 0, and x 2 = x.
Solution
• For x c , X ( ) x = , so that FX ( x ) = 0, F
• For x c , X ( ) x = , so that FX ( x ) = 1.
FX ( x )
1
x
c
• at a point of discontinuity we get
P X = c = FX ( c ) − FX ( c − ) = 1 − 0 = 1 .
Example
• In tossing a coin, = H ,T . Suppose the r.v X is
such that X (T ) = 0 , X ( H ) = 1 . Find FX (x ).
Solution
• For x 0, X ( ) x = , so that FX ( x ) = 0 .
0 x 1, X ( ) x = T , so that FX ( x ) = P T = 1 − p,
x 1, X ( ) x = H , T = , so that FX ( x) = 1.
FX ( x )
1
q
• at a point of discontinuity we get x
P X = 0 = FX ( 0 ) − FX ( 0 − ) = q − 0 = q.
1
Example
• A fair coin is tossed twice, and let the r.v X represent the number of heads.
Find FX (x ).
Solution
X ( HH ) = 2 , X ( HT ) = 1, X ( TH ) = 1, X ( TT ) = 0 .
x 0, X ( ) x = FX ( x) = 0,
0 x 1, X ( ) x = TT FX ( x) = P TT = P (T ) P (T ) = ,
1
4
1 x 2, X ( ) x = TT , HT , TH FX ( x) = P TT , HT , TH = ,
3
4
x 2, X ( ) x = FX ( x) = 1.
FX (x )
1
3/ 4
1/ 4
x
1 2
Probability Density Function (p.d.f)
(Probability Mass Function - for discrete RVs)
dFX ( x )
f X ( x) =
dx
dFX ( x ) FX ( x + x ) − FX ( x )
Since = lim 0,
dx x → 0 x
f X ( x)
pi
f X ( x ) = pi ( x − xi ), x
i xi
Fig. 3.5
x1
x1 x2 x x1 x2 x
(a) (b)
Continuous-type Random Variables
X can take any value in the real line within a bounded or
unbounded interval.
x 1 x−
FX ( x) = e − ( y − ) 2 / 2 2
dy = G ,
−
2 2
x 1 − y2 / 2
Where, G ( x ) =
− 2
e dy
f X (x )
• Notation: X ~ N ( , ) 2
mean variance x
Normal Distribution
The normal distribution is symmetrical around mean.
p.d.f PDF
Normal Table
• The Normal Distribution illustrated in the table.
• With mean of 0 and a standard deviation of 1.
• Notation: X ~ U ( a , b ), a b ,
1
, a x b,
f X ( x) = b − a
0, otherwise.
p.d.f PDF
Application
• Sampling from arbitrary distributions.(random number generation)
• inverse transform sampling method, which uses the cumulative distribution
function (CDF) of the target random variable.
Exponential distribution
1 −x /
e
• Notation: X ~ ( ) , x 0,
f X ( x) =
0, otherwise.
f X ( x)
x
Here, X =
Exponential distribution
p.d.f PDF
Exponential Distribution
q (t ) = e − t
Hence
FX (t ) = P( X t ) = 1 − q (t ) = 1 − e −t
• Notation: X ~ G ( , ) ( 0, 0 )
x −1 −x /
e , x 0, f X (x )
f X ( x ) = ( )
0, otherwise.
( ) = e dx
−1 − x
x
0
p.d.f PDF
Beta Distribution
• Notation: X ~ ( a , b ) ( a 0, b 0 )
1
x a −1 (1 − x ) b −1 , 0 x 1,
f X ( x ) = ( a , b)
0, otherwise.
1
where, ( a, b) =
0
u a −1 (1 − u ) b −1 du.
( a ) (b)
= f X ( x)
( a + b)
p.d.f
Applications
• chi-square tests for goodness of fit
PDF
Rayleigh
• Notation:
p.d.f
Applications
• Used to model attenuation of wireless
signals traversing multiple paths.
PDF
Cauchy Distribution
• Notation:
p.d.f
PDF
Laplace Distribution
PDF
Student’s t-Distribution
p.d.f PDF
Fisher’s F-Distribution
• A random variate of the F-distribution arises as the ratio of two chi-
squared variates
p.d.f PDF
Discrete-type Random Variables
X can take only a finite (or countably infinite) number of values
• Bernoulli
• Binomial
• Poisson
• Hypergeometric
• Geometric
• Negative Binomial
• Discrete-Uniform
• Polya’s distribution
Bernoulli Distribution
P ( X = 0) = q, P ( X = 1) = p .
Binomial Distribution
• Notation: X ~ B ( n , p ),
n k n −k
P( X = k ) =
k p q , k = 0,1,2, , n.
The probability of k successes in n experiments with replacement (in ball
drawing)
p.d.f PDF
Poisson Distribution
• Notation: X ~ P ( ) ,
− k
P( X = k ) = e , k = 0,1,2, , .
k!
p.d.f PDF
Poisson Distribution - Applications
• The Poisson distribution applies to various phenomena of discrete
nature.
• The probability of the phenomenon should be constant in time or
space.
m N −m
k n −k
P( X = k ) =
N
, max(0, m + n − N ) k min( m, n )
n
Application
• The classical application of the hypergeometric distribution is sampling
without replacement.
Geometric Distribution
• Notation:
P ( X = k ) = pq k , k = 0,1,2 , , , q = 1 − p.