Maths Unit 1

RANDOM VARIABLE
21MAB203T - PROBABILITY AND STOCHASTIC

Random Variable in One Dimensional
PROCESSES
A random variable (R.V.) is a real valued function defined over the sample
space of an experiment.
Unit 1 - One Dimensional Random Variable and
A random variable Probability
is a functionDistributions
X (s) = x, which assigns a real number (x) to
every element (s) of the sample space (S) corresponding to random
experiment (E), i.e.
Department of Mathematics
College of Engineering and Technology
SRMIST Kattankulathur
X : S → R.
X (s) = x ∈ R.
Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

RANDOM VARIABLE
Random Variable in One Dimensional
A random variable (R.V.) is a real valued function defined over the sample
space of an experiment.
A random variable is a function X (s) = x, which assigns a real number (x) to

every element (s) of the sample space (S) corresponding to random
experiment (E), i.e.
X : S → R.
X (s) = x ∈ R.

Example
Example
Consider an experiment of tossing 2 coins simultaneously with a random
variable X denoting the number of heads. Then we define the following:
Let 2 coins be tossed simultaneously. Then
E : An experiment of tossing 2 unbiased coins.
S : Outcomes of the experiment E.
i.e. Sample space = {HH, HT , TH, TT }.
X : a random variable which denotes the number of heads.
X (HH) = 2 = x1 (say)
X (HT ) = 1 = x2
X (TH) = 1 = x2
X (TT ) = 0 = x3
Random variable X takes set values {0, 1, 2}, which is range space of X
denoted as RX .
Note: Here X is a discrete random variable.

Types of Random Variable
Types of random variables

There are two types of random variables according to their range space. They
are
1 Discrete random variable (D.R.V.)
2 Continuous random variable (C.R.V.)
Discrete Random Variable

If X is a random variable (R.V.) which can take a finite number or countably
infinite number of values, X is called a Discrete Random Variable. When the
R.V. is discrete, the possible values of X may be assumed as x1 , x2 , ..., xn , ....
In the finite case, the list of values terminates and in the countably infinite
case, the list goes upto infinity.
Continuous Random Variable

If X is an R.V. which can take all values (i.e. infinite number of values) in an
interval, then X is called Continuous Random Variable.

Discrete Random Variable
Example
1 The number of telephone calls received by the telephone operator.

2 The number of printing mistakes in a book.
Probability Mass Function

Let X be a discrete random variable which takes values x1 , x2 , · · · . Each value
is associated with probability pi = P (X = xi ), then pi is called the Probability
Mass Function of the random variable X , provided pi (i = 1, 2, · · · ) satisfies
the following two conditions:
1. pi ≥ 0, ∀i
X
2. pi = 1
i
Note: The pair {xi , pi } is called probability distribution of the discrete

random variable X .

Cumulative Distribution Function of D.R.V.
Cumulative Distribution Function (C.D.F.)
The function F (x) or FX (x) is called the Cumulative Distribution function of

the discrete random variable X and is defined as:
X
F (x) = P (X ≤ x) = p (xi )
xi ≤x
Properties of C.D.F.
1 0 ≤ F (x) ≤ 1
2 F (x) is a non- decreasing function of x,
i.e. F (x1 ) ≤ F (x2 ) if x1 < x2
3 F (−∞) = lim F (x) = 0 = P(X ≤ −∞)
x→−∞
F (∞) = lim F (x) = 1 = P(X ≤ ∞)
x→∞
4 If X is a discrete R.V. taking values x1 , x2 , ...., where x1 < x2 < ...., Then
P(X = xi ) = F (xi ) − F (xi−1 ).

Mathematical Expectation of Discrete Random
Variable
Mean value of X
The value E(X ) is called the Expectation of X (or) Expected value of X (or)
Mean value of X and is defined as:
P
Mean of X = E(X ) = X = xi p (xi ), if X is a discrete random variable.
i
Properties of Mean value of X

1 E(aX ) = aE(X ), where a is a constant.
2 E(aX + b) = aE(X ) + b, where a and b are constants.
3 E (k1 X1 + k2 X2 + · · · + kn Xn ) = k1 E (X1 ) + k2 E (X2 ) + · · · + kn E (Xn ),
where k1 , k2 , · · · , kn are constants.
4 If X1 , X2 , · · · , Xn , are independent random variables, then
E (X1 X2 · · · Xn ) = E (X1 ) E (X2 ) · · · E (Xn ) , Multiplication theorem on expectation

5 E X − X = E[X − E(X )] = E(X ) − E(X ) = 0. X = E(X ) = Mean of X

Variance and Properties of Discrete Random
Variable
Variance
Variance of X :
2
Var (X ) = V(X ) i.e. σX2 = E X − X , where X = E (X )
P 2
= x − X p (x) , if X is a D.R.V. and p(x) is P.M.F. ofX .
x
(or)σX = E X 2 − [E(X )]2

2

" #2
X X
= x 2 p(x) − xp(x) , if X is a D.R.V. and p(x) is P.M.F. of X .
x x
Properties of Variance
1 Var(X ) ≥ 0
2 Var(a) = 0, where a is a constant.
3 Var (a ± bX ) = Var (a) + b2 Var (X ) = b2 Var (X ), where a and b are
constants.
Standard Deviation and Moments of Discrete
Random Variable
Standard Deviation
Standard Deviation of p
X = Var (X ) = σX .
Moments
The expected value of an integral power of a random variable is called

its moments.
Moments are classified as two types.
1 Moments about mean (µ).
2 Moments about any point (a).

Examples of Discrete R.V.
Example 1
From a lot containing 25 items, 5 of which are defective, 4 items are
chosen at random. If X is the number of defective found, obtain the
probability distribution of X, when the items are chosen
(i) without replacement and
(ii) with replacement.
Solution: Since only 4 items are chosen, X can take the values 0, 1, 2, 3
and 4. The lot contains 20 non- defective and 5 defective items.
Case (i): When the items are chosen without replacement, we can assume
that all the 4 items are chosen simultaneously.
P(X = r ) = P (choosing exactly r defective items),

= P (choosing r defective and (4 − r ) good items),
5 20
Cr × C4−r
= 20 C
(r = 0, 1, .., 4)
4
Examples of Discrete R.V. Continued...
Case (ii): When the items are chosen with replacement, we note that the
probability of an item being defective remains the same in each draw.
5 1 4
p= = , q = and n = 4.
25 5 5
The problem is one of performing 4 Bernoulli’s trials and finding the probability
of exactly r successes.
4 4−r
1 44
P(X = r ) = Cr , (r = 0, 1, .., 4).
5 5
Example 2
A shipment of 6 television sets contains 2 defective sets. A hotel makes
a random purchase of 3 of the sets. If X is the number of defective sets
purchased by the hotel, find the probability distribution of X
Solution:
All the 3 sets are purchased simultaneously. Since there are only 2 defective
sets in the lot, X can take the values 0, 1 and 2.
P(X = r ) = P (choosing exactly r defective items),

= P (choosing r defective and (3 − r ) good items),
2
Cr × 4 C3−r
= 6C
, (r = 0, 1, 2)
3
The required probability distribution is represented in the form of the following

table.
X =4 pr
1
0
5
3
1
5
1
2
5
Total 1

Example 3
Let X denotes the number of heads in an experiment of tossing two
coins. Find
(a) probability distribution, (b) Cumulative distribution
(c) Mean of X (d) Variance of X
(e) P (X ≤ 1) (f) P (|X | ≤ 1)
(g) P (X ≥ 1) (h) find minimum value of c such that P (X ≤ c) > 1/2.
Solution
We know that, by tossing two coins, the sample space is
S = {HH, HT , TH, TT }
n(S) = |S| = 4
Given that X is a random variable which denotes the number of heads.

X (HH) = 2, X (HT ) = 1, X (TH) = 1, X (TT ) = 0
The range space of X is RX = 0, 1, 2. ⇒ X is a discrete random variable.

X (HH) = 2, X (HT ) = 1, X (TH) = 1, X (TT ) = 0 (1)

The range space of X is RX = {0, 1, 2}.
⇒ X is a discrete random variable.
(a) Probability distribution of X is {x, p(x)}:
1
P(X = 0) = [number of times X = 0 is 1 by (1)]
4
2
4
1
4
Probability distribution of X is
R.V. X 0 1 2
1 2 1 1
P.M.F. P(X = x) 4 = 2 4
4

(b) Cumulative distribution F (X = x) = P(X ≤ x) :
R.V. X 0 1 2
C.D.F. F (X = x) F (x = 0) = P(X ≤ 0) = 1
4
F (x = 1) = P(X ≤ 1) = 3
4
F (x = 2) = P(X ≤ 2) = 4 = 1
4
(c) Mean of X :
X
E(X ) = xP(X = x)
x
x=2
X
= x · P(X = x)
x=0
= 0 · P(X = 0) + 1 · P(X = 1) + 2 · P(X = 2)
1 2 1
= 0· +1· +2·
4 4 4
1 1
= 0+ +
2 2
E(X ) = 1

2
(d) Variance of X : V (X ) = E X 2 − [E(X )] then

X 2
E X2 = x · P(X = x)
x
x=2
X
= x 2 · P(X = x)
x=0
= 0 · P(X = 0) + 12 · P(X = 1) + 22 · P(X = 2)

2
2 1
=0+1· +4· [refer (2)]
4 4
1 3
= +1=
2 2
3 1
V (X ) = − 1 = [E(X ) = 1]
2 2

(e) P (X ≤ 1) = P(X = 0) + P(X = 1)

1 2 3
= + = [refer (2)]
4 4 4
(f) P (|X | ≤ 1) = P(−1 ≤ X ≤ 1) by the definition of |X | ≤ 1
= P(X = −1) + P(X = 0) + P(X = 1)

1 2 3
= 0+ + = [refer (2)]
4 4 4
(g)) P (X ≥ 1) = 1 − P (X < 1)
1
P(X = 0) = [refer (2)]
4

(h) Minimum value of c such that P (X ≤ c) > 1/2.
X P(X ≤ c) > 1 Remark
2
0 P(X ≤ 0) = P(X = 0) = 1 ≯ 1 c 6= 0
4 2
1 P(X ≤ 1) = P(X = 0) + P(X = 1) = 1 + 2 = 3 > 1 c = 1
4 4 4 2
2 P(X ≤ 2) = P(X = 0) + P(X = 1) + P(X = 2) = 1 + 2 + 1 = 1 > 1 c = 2
4 4 4 2
P(X ≤ c) > 12 satisfies for c = 1, 2.

Minimum value of c is 1.
Example 4
Let X takes values 1, 2, 3, 4 such that
2P (X = 1) = 3P (X = 2) = P (X = 3) = 5P (X = 4) .
Find the distributions of X .
Solution
Here X is a discrete random variable.
Let 2P (X = 1) = 3P (X = 2) = P (X = 3) = 5P (X = 4) = k
k
P(X = 1) =
2
k
P(X = 2) =
3
P(X = 3) = k
k
P(X = 4) =
5
We know that, by the property of probability
X
P(X = x) = 1
x
x=4
X
P(X = x) = 1
x=1
P(X = 1) + P(X = 2) + P(X = 3) + P(X = 4) = 1
k k k
+ +k + = 1
2 3 5
15k + 10k + 30k + 6k

=1
30
30
61k = 30 ⇒ k =
61
The probability and cumulative distributions table of X is
R.V. x 1 2 3 4
P.M.F. P(X = x) 15/61 10/61 30/61 6/61
When x < 1, F (x) = 0

When 1 ≤ x < 2, F (x) = P(X = 1) = 15
61
When 2 ≤ x < 3, F (x) = P(X = 1) + P(X = 2) = 25
61
When 3 ≤ x < 4, F (x) = P(X = 1) + P(X = 2) + P(X = 3) = 55
61
When x ≥ 4, F (x) = P(x = 1) + P(x = 2) + P(x = 3) + P(x = 4) = 1.

Example 5
A discrete random variable X has the probability function given below:
X 0 1 2 3 4 5 6 7
P(X ) 0 a 2a 2a 3a a2 2a2 7a2 + a
Find
(a) a (e)P (3 ≤ X < 6)
(b) cumulative distribution function (f) P (2X + 3 < 7)
(c) P (X < 6) (g) P (X > 1 / X < 3)
(d) find maximum value of c such that
P (X ≤ c) < 34 .
Solution
Given X is discrete R.V. with P.M.F. P(X ) with
P an unknown a.
(a) We know that, by the definition P.M.F. is P(X = x) = 1
x

x=7
X
P(X = x) = 1
x=0
2 2 2
0 + a + 2a + 3a + a + 2a + 7a + a = 1
2
10a + 9a = 1
2
10a + 9a − 1 = 0
2
10a + 10a − a − 1 = 0
10a(a + 1) − (a + 1) = 0
(10a − 1)(a + 1) = 0
a = 1 or − 1
10
But a 6= −1[ Probability ∈ [0, 1]]
a = 1
10
Probability distribution table becomes

R.V. x 0 1 2 3 4 5 6 7
P.M.F. p(x) 0 1/10 2/10 2/10 3/10 1/100 2/100 17/100
(b) Cumulative distribution function F (X = x) = P(X ≤ x) :
R.V. x: 0 1 2 3 4 5 6 7
C.D.F. F (x) : 0 1/10 3/10 5/10 8/10 81/100 83/100 1

(c) P(X < 6) = P(X = 0) + P(X = 1) + P(X = 2) + P(X = 3)

+ P(X = 4) + P(X = 5)
= 1 − [P(X ≥ 6)] (P(A) = 1 − P(A))
= 1 − [P(X = 6) + P(X = 7)] = 1 − [2/100 + 17/100]
100 − 19 81
= 1 − [19/100] = = = 0.81
100 100
(d) To find the maximum value of c such that P (X ≤ c) < 34 .
X P(X ≤ c) > 34 = 0.75 Remarks

0 P(X ≤ 0) = F (0) = 0 < 0.75 c=0
1
1 P(X ≤ 1) = F (1) = 10 = 0.1 < 0.75 c=1
3
2 P(X ≤ 2) = F (2) = 10 = 0.3 < 0.75 c=2
5
3 P(X ≤ 3) = F (3) = 10 = 0.5 < 0.75 c=3
8
4 P(X ≤ 4) = F (4) = 10 = 0.8 ≯ 0.75 c 6= 4
81
5 P(X ≤ 5) = F (5) = 100 = 0.81 ≯ 0.75 c 6= 5
X P(X ≤ c) > 34 = 0.75 Remarks

83
6 P(X ≤ 6) = F (6) = 100 = 0.83 ≯ 0.75 c 6= 6
100
7 P(X ≤ 7) = F (7) = 100 = 1 ≯ 0.75 c 6= 7
P(X ≤ c) < 34 satisfies for c = 0, 1, 2, 3.

Maximum value of c is 3.
(e) P(3 ≤ X < 6) = P(X = 3) + P(X = 4) + P(X = 5)

51
= 2/10 + 3/10 + 1/100 = = 0.51
100
(f) P(2X + 3 < 7) = P(2X + < 7 − 3)

= P(2X < 4)
= P(X < 2)
= P(X = 0) + P(X = 1)
1
= 0 + 1/10 = = 0.1
10

P[(X > 1) ∩ (X < 3)] P(A ∩ B)
(g) P(X > 7/X < 3) = P(A/B) =
P(X < 3) P(B)
P[(X = 2, 3, 4, 5, 6, 7) ∩ (X = 0, 1, 2)]
=
P(X = 0, 1, 2)
P[(X = 2)]
=
P(X = 0) + P(X = 1) + P(X = 2)
2 2
10 10
= 1 2
= 3
0+ 10 + 10 10
2
= = 0.666666
3
∼
= 0.667

Continuous Random Variable
Example
1 The duration of telephonic conversation.
2 The path of the aeroplane from Chennai to Hydarabad.
Probability Density Function

Let X be a continuous random variable such that

1 1
P x − dx ≤ X ≤ x + dx = f (x)dx
2 2
then f (x) is called the probability density function of X , provided f (x)

satisfies the following conditions:
1. f (x) ≥ 0, for all x ∈ Rx , and

R∞
2. f (x) dx = 1.
−∞

Cumulative Distribution Function of C.R.V.
Cumulative Distribution Function
The function F (x) or FX (x) is called the Cumulative Distribution function of
the continuous random variable X and is defined as:
Zx
F (x) = P(−∞ < X < x) = f (x) dx
−∞
Properties of C.D.F.
1 0 ≤ F (x) ≤ 1.
2 F (x) is a non-decreasing function of X i.e. F (x1 ) ≤ F (x2 ) ( if x1 < x2 )
3 F (−∞) = lim F (x) = 0 = P(X ≤ −∞), F (∞) = lim F (x) = 1 = P(X ≤ ∞)
x→−∞ x→∞
4 Moreover, P(a ≤ X ≤ b) or P(a < X < b) or etc. of a C.R.V. X (for curve f (x),
the probability curve of the R.V. X ) is defined as: Z b
P(a ≤ X ≤ b) = P(a < X < b) = P(a ≤ X < b) = P(a < X ≤ b) = f (x)dx
a
5 The relation between C.D.F. F (x) and P.D.F. f (x):

d
[F (x)] = f (x)
dx
Mathematical Expectation of Continuous R.V.
Mean value of X
The value E(X ) is called the Expectation of X (or) Expected value of X (or)
and is defined as:
Mean of X ,
Z∞
E(X ) = X = x f (x) dx,
−∞
if X is a continuous random variable.

Note: 1. E(X ) is the first moment of X .
2. In general, E [X r ] is the r th moment of the random variable X .

1 E(a) = a, where a is a constant.
2 E(aX ) = aE(X ), where a is a constant.
3 E(aX + b) = aE(X ) + b, where a and b are constants.

1 E (k1 X1 + k2 X2 + · · · + kn Xn ) = k1 E (X1 ) + k2 E (X2 ) + · · · + kn E (Xn ),
where k1 , k2 , · · · , kn are constants.
2 If X1 , X2 , · · · , Xn , are independent random variables, then
E (X1 X2 · · · Xn ) = E (X1 ) E (X2 ) · · · E (Xn )

(Multiplication theorem on expectation)

3 E X − X = E[X − E(X )] = E(X ) − E(X ) = 0.

∵ X = E(X ) = Mean of X
Variance
Variance of X : Var(X )=V (X ) i.e.
2
σX2 = E X − X , where X = E (X )
R 2
= R x − X f (x) dx, if X is a C.R.V. and f (x) is P.D.F. of X .
x
(or)
σX2 = E X 2 − [E(X )]2

" #2
2 R∞ 2 R∞
σX = x f (x) − xf (x) , if X is a C.R.V. and f (x) is P.D.F. of X .
−∞ −∞
Standard Deviation of X
p
X = Var (X ) = σX
Properties of Variance
1 Var(X ) ≥ 0
2 Var(a) = 0, where a is a constant.
3 Var(a ± bX ) =Var(a) + b2 Var(X ) = b2 Var(X ), where a and b are
constants.
4 Var(aX ± bY ) = a2 Var(X ) + b2 Var(Y ). If X and Y are independent.

Examples of Continuous R.V.
Example 1
Check whether the following functions are probability density function
(P.D.F.):
(a) f (x) = 6x(1 − x), 0 ≤ X ≤ 1 (b) f (x) = π1 1+x
1
2 , −∞ < X < ∞
100
2 , X > 100
(c) f (x) = x (d) f (x) = sin x, 0 < x < π
 0, X < 100
 0, x < 2
1
(e) f (x) = (3 + 2x) , 2≤x ≤4
 18
0, x > 4
Solution
Here f (x) is defined in the interval (a, b) which contains uncountably infinite
values.
X is a continuous random variable. If X is a continuous R.V. and f (x) is a
function defined in an interval of the form (a, b), then
Zb Zb
f (x)dx = 1, given f (x) is pdf in (a, b), f (x)dx 6= 1, given f (x) is not pdf.
a a
Examples of Continuous R.V. Continued...
(a) Given f (x) = 6x(1 − x) = 6 x − x 2 , 0 ≤ X ≤ 1.

R1
We have to prove f (x) dx = 1 (1)
0 Z1 Z1
LHS of (1) = f (x)dx = 6 x − x 2 dx

0 0
2 3 1

6x 6x 1
= 3x 2 − 2x 3 0

= −
2 3 0
= [(3 − 2) − (0 − 0)] = 1
= RHS of (1)
The given f (x) is P.D.F.
1
(b) Given f (x) = π1 1+x 2 , −∞ < X < ∞.
∞
R
We have to prove f (x)dx = 1 (2)
−∞

Z∞ Z∞
1 1
LHS of (2) = f (x) dx = dx
π 1 + x2
−∞ −∞
1 −1 ∞ 1 −1
tan (∞) − tan−1 (−∞)

= tan x −∞ =
π π
1 π −π
= −
π 2 2
1
= [π] = 1 = RHS of (2)
π
The given f (x) is
P.D.F.
100
x2
, x > 100
(c) Given f (x) =
0, x < 100
Z∞
−∞

Z100 Z∞ Z∞
100
LHS of (3) = f (x)dx + f (x)dx = 0 + dx
x2
−∞ 100 100
∞
−1 −1
= 100 = 100 0 −
x 100 100
= 1 = RHS of (3)

(d) Given f (x) = sin x, 0 < x < π
Zπ
We have to prove f (x) dx = 1 (4)
Z0π Zπ
π π
LHS of (4) = f (x)dx = sin xdx = [− cos x]0 = −[cos x]0
0 0
= −[(cos 0) − (cos π)] = −[1 − (−1)] = 2 6= 1 6= RHS of (4)
The given f (x) is not P.D.F.


 0, x < 2
1
(e) Given f (x) = 18 (3 + 2x) , 2 ≤ x ≤ 4
0, x > 4

R∞
−∞
Z 2 Z 4 Z ∞
LHS of (5) = f (x) dx + f (x) dx + f (x) dx
−∞ 2 4
1 4
=0+ 3x + x 2 2 + 0
18
1
= [(12 + 16) − (6 + 4)] = 1 = RHS of (5)
18

Example 2
A continuous random variable X has a p.d.f. f (x) = 3x 2 , 0 ≤ X ≤ 1. Find
k & α such that
(a) P (X ≤ k ) = P (X > k ) [(b)] P (X > α) = 0.1
(c) P (|X | ≤ 1) [(d)] P(X > β) = 0.05
Solution : Here X is a continuous random variable.

Given, pdf f (x) = 3x 2 , 0 ≤ x ≤ 1. (1)
(a). Find k from the given equation P (X ≤ k ) = P (X > k ) (2)
We know that, P (X ≤ k ) + P (X > k ) = 1

2P (X ≤ k ) = 1 [P (X ≤ k ) = P (X > k )]
1
P (X ≤ k ) =
2
1
(2) ⇒ P (X ≤ k ) = P (X > k ) = (3)
2

1
From (3), we have P(X ≤ k ) = 2 or P(X > k ) = 12 .
Method 1 Method 2
P(X ≤ k ) = 21 P(X > k ) = 21
Rk 1
R∞ 1
i.e. f (x)dx = 2 i.e. f (x)dx = 2
−∞ k
Rk 1
R1 1
3x 2 dx = 2 3x 2 dx = 2
0 k
3 1
[x 3 ]k0 = 21 x k = 21
k 3 = 21 1 − k 3 = 12
1 1
k = 12 3 k = 12 3
(b). Find α from given equation P(X > α) = 0.1
Z∞ Z1
i.e. f (x)dx = 0.1 ⇒ 3x 2 dx = 0.1 [ by (1)]
α α

3 1 1
x α = 0.1 =
10
1
1 − α3 =
10
3 1
−α = −1
10
9
α3 =
10
13
9
α=
10
(c). P(|X | ≤ 1) = P(−1 ≤ X ≤ 1)

Z1 Z0 Z1
= f (x)dx = (0)dx + 3x 2 dx [ by (1)]
−1 −1 0
1
= x3 0 = 1
(d). Find β from given equation P (X > β) = 0.05 :
i.e., P (X > β) = 0.05

Z1
f (x) dx = 0.05
β
Z1
3x 2 dx = 0.05
β
1
x3

3 = 0.05
3 β
3
1 − β = 0.05
β 3 = 1 − 0.05
β 3 = 0.95
β = 0.9830476

Example 3
For thetriangular distribution
 x, X ∈ [0, 1]
f (x) = 2 − x, X ∈ [1, 2] .
0, otherwise

Find mean and variance.
Solution : Here X is a continuous random variable with pdf

 x, X ∈ [0, 1]
f (x) = 2 − x, X ∈ [1, 2] (1)
0, otherwise

Mean of X :
Z∞
E(X ) = xf (x)dx
−∞
Z0 Z1 Z2 Z∞
= (0)dx + x · xdx + x · (2 − x)dx + (0)dx [ by (1)]
−∞ 0 1 0
Z1 Z2
2
= x dx + (2x − x 2 )dx
0 1
3 1
2
2x 2 x3

x
= + −
0 3 2 3 1

1 8 1
= −0 + 4− − 1−
3 3 3

1 7
= + 3−
3 3
1 2
= +
3 3
∴ E[X ] = 1 (2)

2
Variance of X : Var(X ) = E X 2 − [E(X )]

Now,
Z∞ Z0 Z1 Z2
2 2
E X = x f (x)dx = x (0) dx + x · xdx + x 2 · (2 − x)dx
2 2
−∞ −∞ 0 1
Z∞
+ x 2 (0) dx
0
Z1 Z2 4 1 3 2
3 x 2x x4
2x 2 − x 3 dx =

= x dx + + −
4 0 3 4 1
0 1

1 16 16 2 1
= [1 − 0] + − − −
4 3 4 3 4

1 14 15 1 56 − 45 1 11 14
= + − = + = + =
4 3 4 4 12 4 12 12
7 2 7 1
E X 2 = ⇒ Var(X ) = E X 2 − [E(X )] = − 1 =

6 6 6
Central Moments
1. Moments about Mean (Central Moments)

The r th moment about mean (µ) for a random variable X is defined as
r
µr = E (X − µ)
The first four moments about the mean are

1
µ1 = E (X − µ) = E(X ) − E(µ) = µ − µ = 0
h i2
2
µ2 = E (X − µ) = Variance of X = E X 2 − E(X )
3
µ3 = E (X − µ)
4
µ4 = E (X − µ)

Central Moment Continued...
2. Moments about Any Point

The r th moment about any point(a) for a random variable X is defined as
r
µ0r = E (X − a)
Moments about Origin (Raw Moments)

The r th moment about origin for a random variable X is defined as
µ0r = E (X r )
The first four moments about the origin are
µ01 = E X 1 , µ02 = E X 2 , µ03 = E X 3 , µ04 = E X 4


Central Moment Continued...
Central moments in terms of Raw Moments
µ1 = 0
2
µ2 = Var (X ) = µ02 − (µ01 )
3
µ3 = µ03 − 3µ02 µ01 + 2 (µ01 )
2 4
µ4 = µ04 − 4µ03 µ01 + 6µ02 (µ01 ) − 3 (µ01 )
2 3
In general, µr = µ0r − r C1 µ0r −1 (µ01 ) + r C2 µ0r −2 (µ01 ) − r C3 µ0r −3 (µ01 )
r
+ · · · + (−1)r (µ01 )
Note: µ00 = 1, µ01 = Mean of X = E(X ), µ02 = E X 2


Example of Continuous R.V. for Central Moments
Example 4
The density function of a random variable X is given by
f (x) = Kx(2 − x), 0 < x < 2.
(i) Find K .
(ii) r th moment
(i). To find K : Solution : Here X is continuous random variable with pdf has
unknown K . To find K :
Z2 Z2
2x − x 2 dx = 1

Kx (2 − x) dx = 1, K
0 0
2 2
x3

x 8
K 2 − = 1, K 4− − (0 − 0) = 1
2 3 0 3

4
K =1
3
3
K =
4
(ii). r th moment:
Z2 Z2
r r 3
E [X ] = x f (x) dx = x r x (2 − x) dx
4
0 0
Z2 2
3 2x r +2 x r +3

3 r +1 r +2

= 2x −x dx = −
4 4 r +2 r +3 0
0
2r +2 2r +3 3 2r +3 2r +3

3
= 2· − − (0 − 0) = −
4 r +2 r +3 4 r +2 r +3
3 2r +3

1 1
= −
4 r +2 r +3
3 2r +3

r +3−r −2
=
22 (r + 2) (r + 3)
r +1

3 2
=
(r + 2) (r + 3)
Binomial Distribution
Bernoulli trial
A Bernoulli trial (or binomial trial) is a random experiment in which there are
only two possible outcomes namely success (s) and failure (f ).
The sample space of a Bernoulli trial is S = {s, f }.
Bernoulli experiment
The experiment consists of ‘n’ independent repeated Bernoulli trials.
Bernoulli distribution
Let us consider an experiment consists of 0 n0 independent trials which results
successes(S) and failures (F ) of the random form
S S F S ··· F F S
Let X be a random variable which denotes the number of success, specifically

x ∈ X be the number of successes and hence we have 0 n − x 0 number of
failures.
Bernoulli distribution Continued...
Let p be the corresponding probability to get a success and q be the corre-
sponding probability to get a failure.
The probability to get this form S S F S · · · F F S is
P(S S F S · · · F F S) = P(S) · P(S) · P(F ) · P(S) · · · P(F ) · P(F ) · P(S)

[∵ independent trials]
= p · p · q · p···q · q · p
h i h i
= p · p···p q · q···q
(x times) (n−x times)
x n−x
=p q
This probability value is for ‘x’ successes in sequence above form SSFS · · · FFS
only.
But 0 x 0 successes in 0 n0 trials can occur in n Cx ways.
∴ Probability of 0 x 0 successes in 0 n0 trials is n Cx px q n−x , i.e.
n
P(X = x successes) = Cx px q n−x
where x = 0, 1, 2, · · · , n with p + q = 1.
Bernoulli distribution Continued...
Note
1 P(X = x) = n Cx px q n−x is the (x + 1)th term in the binomial expansion of
n
(p + q)
.
(p + q)n = n C0 p0 q n + n C1 p1 q n−1 + n C2 p2 q n−2 + · · · + n Cn pn q 0

n
X n
X
n
2 P(x) = Cx px q n−x = (p + q)n = 1n = 1.
x=0 x=0
Definition
The random variable X that counts the number of successes, in the ‘n’
Bernoulli trials is said to follow a Binomial distribution with parameters n
and p, written as B(n, p). Symbolically, X ∼ B(n, p), n ∈ N, p ∈ [0, 1].
The Probability mass function of the Binomial distributed discrete random
variable X is
n
P (X = x) = P(x) = Cx px q n−x , x = 0, 1, 2, 3, ...n, with p + q = 1.

Assumptions of the Binomial distribution
(1) The random experiments corresponds to two possible outcomes

(success or failure).
(2) Number of trials is finite.
(3) The trials are independent.
(4) The probability of success is constant in any trial.
Formula
(1) Probability mass function of X ∼ B(n, p) is
n
P(X = x) = Cx px q n−x
where x = 0, 1, 2, 3, ..., n with p + q = 1.

Continued...
where
n = number of trials.
X = Random variable (Discrete), represents number of successes,
which follows Binomial distribution.
x = value of random variable X .
p = probability of success in single trial.
q = probability of failure in single trial = 1 − p.
N = Number of times ‘n’ trials are repeated (or)
Total number of sets

Mathematical Expectation of Binomial distribution
The Probability mass function of the Binomial distributed discrete random vari-
able X is
n
P(X = x) = Cx px q n−x , x = 0, 1, · · · , n where p + q = 1
Characteristic function of X
φ(ω) = (1 − p + peiω )n = (q + peiω )n
Mean of X in terms of Characteristic Function

As we know that
n
P(X = x) = Cx px q n−x , x = 0, 1, 2, ...., n
Characteristic Function φ(ω) = E(eiωx )
Xn
= eiωx · n Cx px q n−x
x=0

Examples of Binomial Distribution
Example 1
Consider an example of tossing 2 coins. Then the way of finding the
same values of probability using,
(1) the ideas probability,
(2) random variable probability,
(3) and Binomial distribution probability.
Solution:
(1) (2) (3)
S.S. = {HH, HT , TH, TT } S.S. = {HH, HT , TH, TT } 1
1 1 P(X = 2) =
P(2 heads) = P(X = 2) = 4
4 4 2
2 2 P(X = 1) =
P(1 head) = P(X = 1) = 4
4 4 1
1 1 P(X = 0) =
P(0 head) = P(X = 0) = 4
4 4

Examples of Binomial Distribution Continued...
Importance of the table is to find probability of ‘x’ heads

We can write the sample space for 2 coins in limited time. But we cannot
write the sample space for 10 or more coins in limited time. That’s why, we
use Binomial distribution for any number of finite coins.
Example 2
Let X denotes the number of heads in an experiment of tossing two
coins. Find probability distribution by using Binomial distribution.
Solution:
X = a discrete R.V. which denotes the number of heads.
1
p = Probability of getting a head from a single coin =
2
1 1
q =1−p =1− =
2 2
n = number of coins = 2.
X ∼ B.D. (n, p).

We know that, the P.M.F. of the Binomial Distribution is

P(X = x) = n Cx px q n−x
0 2−0
1 2 1 1 1
When X = 0, P(X = 0) = C0 =1·1· =
2 2 4 4
1 2−1
1 1 1 1 2
When X = 1, P(X = 1) = 2 C1 =2· · =
2 2 2 2 4
2 2−2
1 1 1 1
When X = 2, P(X = 2) = 2 C2 =1· ·1=
2 2 4 4
X: 0 1 2
The probability distribution is
P(x): 1/4 2/4 1/4

Example 3
Find Binomial distribution and P(X = 4), for
(a) mean 4, variance = 3 (b) mean 4, variance = 5.
Solution : Given distribution is Binomial. We know that the P.M.F. of the
Binomial distribution is
n
P(X = x) = Cx px q n−x , x = 0, 1, 2, · · · , n (1)
Mean of B.D. = np (2)
Variance of B.D. = npq (3)
Relation between Mean & Variance is of B.D is Mean > Variance. (4)
(a) Mean = np = 4 (5)

Variance = npq = 3 (6)
4q = 3 [ by (5)]
3
q=
4

1 1
⇒ np = 4 ⇒ n =4 p= ⇒ n = 16
4 4
x 16−x
16 1 3
⇒ P(X = x) = Cx
4 4
4 12
1 3
i.e. P(X = 4) = 16 C4 = 0.22
4 4
(b) Here Mean < Variance, which is not possible for Binomial distribution.
Explanation:
Mean = np = 4
5
Variance = npq = 5 ⇒ 4q = 5 ⇒ q = >1
4
which is not possible. [0 ≤ Probability (p (or) q) ≤ 1.]
⇒ Given data in (b) is not applicable for Binomial distribution.

Example 4
An irregular 6-faced dice is such that the probability that it gives 3 even
numbers in 5 throws is twice the probability that it gives 2 even numbers
in 5 throws. How many sets of exactly 5 trials can be expected to give no
even number out of 2500 sets?
Solution: Let the probability of getting an even number with the unfair dice be
p. Let X denote the number of even numbers obtained in 5 trials (throws).
P(X = 3) = 2 × P(X = 2)
5
C3 p 3 q 2 = 2 × 5 C2 p 2 q 3
p = 2q = 2(1 − p)
2 1
3p = 2 or p = and q =
3 3
Now P (getting no even number)
1 1
= P(X = 0) = 5 C0 p0 q 5 = ( )5 =
5 243
Number of sets having no success (even number) out of N sets

= N × P(X = 0)
1
Required number of sets = 2500 ×
243
= 10, nearly

Poisson Distribution
Definition
If X is a discrete random variable that can assume the values
0, 1, 2, .... with the parameter λ > 0,then its probability mass
−λ x
function is given by P(X = x) = e x!λ
Poisson distribution as limiting form of binomial distribution

i) n, number of trials is indefinitely large, n → ∞
ii) p, the constant probability of success in each trial is very small,
p→ 0
iii) np = λ is finite or p = λ
n
and q = 1 − λn
Poisson distribution
Applications
The Poisson distribution may be useful to model events such as
i) birth defects and genetic mutations
ii) rare diseases.
iii) traffic flow and ideal gap distance.
Mean and variance

Mean and Variance of a Poisson distribution is λ
Example 1
In a certain factory turning razor blades there is a small chance of

1
500 for any blade to be defective. The blades are in packets of 10.
Use Poisson distribution to calculate the approximate number of
packets containing i) No defective blade , ii) one defective iii) two
defective blades, in a consignment of 10, 000 packets.
Solution:
Given p = 1/500, n= 10,
λ = np = 10/500 = 0.02
−λ x
P(X = x) = e x!λ
−λ 0
i) P( no defective) = P(X = 0) = e 0!λ = e 0!0.02 = 0.9802
−0.02 0
Number of packets containing no defective=

10, 000x0.9802 = 9802 packets
continuation
ii) P( one defective) = P(X = 1) = e 1!λ = e 1!0.02 = 0.0196

−λ 1 −0.02 1
Number of packets containing no defective= 10, 000x0.0196 = 196

packets
−λ 2
iii) P(X = 2) = e 2!λ = e 2!0.02 = 0.000196
−0.02 2
Number of packets containing no defective= 10, 000x0.000196 = 2

packets (approximately)
Example 2
In a company, the monthly breakdown of a machine is a random
variable with poisson distribution with an average of 1.8. Find the
probability that the machine will function for a month i) without
breakdown ii) with exactly one breakdown iii) with at least one
breakdown.
Solution:
−λ x
P(X = x) = e x!λ
Given λ = 1.8
−λ 0
i) P(without break down) = P(X = 0) = e 0!λ =
e−1.8 1.80 = 0.1653
0!
−λ 1
ii) P(with exactly one break down) = P(X = 1) = e 1!λ =
e−1.8 1.81 = 0.2975
1!
iii) P(with at least one break down) =
P(X ≥ 1) = 1 − P(X < 1) = 0.8347
Exponential distribution
Definition
A continuous random variable X is said to follow an exponential
distribution with parameter λ > 0 if its probability density function
λ e− λ x , x > 0, λ > 0
is defined by f (x) =
0, otherwise
Mean and variance of Exponential distribution
Mean and variance of Exponential distribution are 1 and 1

λ λ2
respectively.
Example 1
Suppose that during a rainy season in a tropical island, the length

of the shower has an exponential distribution with average 2 mins
i) Find the probability that the shower will be there for more than
three minutes ii) If the shower has already lasted for 2 min, what is
the probabiity that it will last for at least one more minute.
Solution: Let X be random variable representing the length of
shower in minutes. Since X follows exponential distribution, Mean
= λ1
1 = 1
λ = Mean 2
1
Now f (x) = λ e− λ x = 12 e− 2x , x ≥ 0
Continuation
i) P(shower will
∫ ∞ last more than 3 mins)=
1x
P[X > 3] = 3 2 e 2 dx = −[e− ∞ − e− 3/ 2 ] = 0.2231
1 −
ii) P(shower will last at least one more minute, given that it has
lasted 2 mins) = P[X > 3/ X > 2] = P[X > 1].
By memoryless∫ ∞ property, P(X > m + n/ X > m] = P[X > n] =
1 − 12x
P[X > 1] = 1 2 e dx = 0.6065
Example 2
The time required to repair a machine is exponentially distributed

with parameterλ = 1/2. i) What is the probability that repair time
exceeds 2 hours? ii) What is the conditional probability that the
repair time takes at least 10 hrs given that its duration exceeds 9
hrs?
Solution: Given∫ λ = 1/2
i) P(X > 2) = 2∞ λ e− λ x dx = e− 1 = 0.3679
∫
ii)P[X > 10|X > 9] = P[X > 1] = 1∞ λe −λx dx = e−1/2 = 0.6065
Normal distribution
Definition
A continuous random variable X is said to follow Normal
− 1 x− µ 2
distribution if its p.d.f is given by f (x) = σ √12π e 2 ( σ ) ,
−∞ < x < ∞, −∞ < µ < ∞, σ > 0 where µ and σ are
parameters which denotes mean and standard deviation
respectively. Normal distribution is denoted by N(µ, σ)
Characteristics
1. The curve is bell shaped and symmetrical bout the line x = µ
2. Mean=Median=Mode
3.As x increases numerically, f (x ) decreases rapidly. The
maximum probability occuring at the point x = µ, given by
p[x]max = σ √12π
4. Since f (x) is non-negative, the curve will not go below x axis
5. x-axis is an asymptote of the curve.
6.The points at which the curve changes from being concave up
to being concave down are called the inflection points. On a
normal density curve, the inflection points occur where x = µ ± σ.
Standard Normal distribution

If X is a random variable following normal distribution with mean
µ and standard deviation σ, and if z = x−σ µ , then z is called
− z2
standard normal variate and pdf is φ(z) = √1 e
2π
2 , −∞ < z < ∞
Properties
1. Total area under standard normal curve is 1
2. The standard normal curve is asymptotic to x axis.
3. The standard normal curve is symmetric about z=0
Note
The normal distribution whose mean is zero and variance is 1, (i.e)
N(0, 1) is called standard normal distribution.
Note
Note
Example 1
Mean yield for one acre plot is 662 kgs with standard deviation is
32. Assuming normal distribution how many one acre plots in a
batch of 1000 plots would you expect to yield i) over 700 kgs ii)
below 650 kgs.
Solution:
Z = x − µ = x−662
σ 32
i) P[X > 700] = P[x−σ µ > 700−
σ ]
µ
= P[Z > 700−662

32
= P[Z > 1.19]
=0.5 − P[0 < Z < 1.19]
= 0.5 − 0.383 = 0.117

Continuation
ii) P[X < 650] = P[x−σ µ < 650−

σ ]
µ
= P[Z < 650−662

32
= P[Z < −0.375]
=0.5 − P[0 < Z < 0.38]
= 0.5 − 0.148 = 0.352
Example 2
An electrical firm manufacturer light bulbs that have a length of
life which is normally distributed with µ = 800 hrs and σ = 40.
Find the probability that a bulb burns between 778 and 834 hrs?
Solution:
Z = x −σ µ = x−800
40
When X = 778, Z = 778− 800 = −0.55
40
When X = 835, Z = 835− 800 = 0.85
40
i) P[778 < X < 834] = P[−0.55 < Z < 0.85]
= P[0 < Z < 0.55] + P[0 < Z < 0.85]
= 0.2088 + 0.3023 = 0.5111
Example 3
In an examination, the marks obtained by the students in Maths,
Physics and Chemistry are normally distributed about mean 150
and standard deviation 25 respectively. Find the probability of
securing a total mark of i) 180 or above , ii) 90 or below.
Solution:
Given µ = 150 and σ = 25.
i )P(T > 180) = P( T −25150 > 180−25150 )
= P(Z > 1.2)
= 0.5 − P(0 < Z < 1.2)
= 0.5 − 0.3849 = 0.1151
ii) P(T < 90) = P( T − 150 < 90− 150 )
25 25
= P(Z < −2.4)
= 0.5 − P(0 < Z < 2.4)
= 0.5 − 0.4918 = 0.0082
Example 4
The marks obtained by a large group of students in a final exam in
statistics have a mean 58 and standard deviation 8.5. Assuming
that these marks are approximately normally distributed. What
percentage of the students can be expected to have obtained
marks 60 to 69, both inclusive?
Solution:
Given µ = 58, σ − 8.5, Z = x−σ µ = X8.5
− 58
P(60 < X < 69) = P( 60−58

8.5
< X−58
8.5
< 69−58
8.5
) = P(0.24 < Z <
1.29)
= P(0 < Z < 1.29) − P(0 < Z < 0.24)
= 0.4015 − 0.0948= 0.3069.
Hence 30.67 percentage of expected to have obtained marks
between 60 and 69.
Example 5
In a distribution exactly normal 7 percent of items are under 35

and 89 percent of the items are under 63. What are mean and
standard deviations of the distribution?
Example 6
Exampe 7
In a normal distribution, 31 percentage of items are under 45 and 8
percentage are over 64. Find the mean and standard deviation.
Solution:
We are given that P(X1 < 45) = 0.31 and P(X2 > 64) = 0.08. If
X has normal distribution with mean µ and standard deviation σ,
then the standard normal variates corresponding to X1 = 45 and
X2 = 64 are
When X1 = 45, Z = 45− σ
µ
= −Z1 and when
64− µ
X2 = 64, Z = σ = Z2.
From the figure, P(0 < Z < Z2) = 0.42 implies Z2 = 1.405 (from
normal tables).
64−µ
σ = 1.405
64 − µ = 1.405σ → (1)
Also P(−Z1 < Z < 0) = P(0 < Z < Z1) = 0.19 and Z1 = 0.496
(from normal tables). Hence
45− µ
σ
= −0.496
45 − µ = −0.496σ → (2)
Solving equations (1) and (2) we get µ = 49.95 ≈ 50 and
σ = 9.99 ≈ 10
Function of a random variable
Montonic increasing function

A monotonically increasing function is one that increases as x does
for all real x. A monotonically decreasing function, on the other
hand, is one that decreases as x increases for all real x. In
particular, these concepts are helpful when studying exponential
and logarithmic functions.
Uniform distribution
The probability density function of the continuous random variable
1
b− a , for a < x < b,
X defined in (a, b) is given by f (x) =
0, otherwise
Functions of a random variable
Let X be a random variable with the associated sample space Sx

and a known probability distribution. Let g be a scalar function
that maps each x ∈Sx into y = g (x ). The expression Y = g (X )
defines a new random variable Y. For a given outcome, X (s) is a
number x and g[X (s)] is another number specified by g(x). Hence
Y (s) = y = g(x).
fy (y), when fx (x) is known

dx |
fy (y)= f x (x)| dy
Examples
1. Let X be a continuous random variable with p.d.f

12 , in 1 < x < 5,
x
f (x) = , Find the probability density function

0, otherwise
of Y = 2X − 3.
Solution:
y = 2x − 3, since Y = 2X − 3, x = y +3 2
, i.e., x is a single valued
function of y.
dx |= (x/12) ∗(1/ 2) = y +3 in −1 < y < 7
fy (y)= f x (x)| dy
48
Examples
2. If the continuous random variable X has pdf

2
9(x + 1), in 1 < x < 2,
fx (x) = . Find the pdf of Y = X 2
0, otherwise
Solution: When 1 < x < 2, y = x 2 is strictly increasing, hence
dx |= (2/9)(x + 1) ∗1/(2x)= (1/9)(1 + √1 ), in
fy (y)= f x (x)| dy y
1 < y < 4,
Examples
3. If X is uniformly distributed in (−π/ 2, π/ 2) find the pdf

Y = tan −1X
Solution:
i) y = tan− 1(x) is a monotonic increasing function,
dx 1 2
fy (y)= f x (x)|dy |= π(1+x 2) sec (y), (since x = tany)
= π1 , −π/2 < y < π/2. i.e., Y is uniformly distributed in
(−π/ 2, π/ 2)
Examples
3. If X is uniformly distributed in ( −1, 1) find the pdf Y = sin πX

2
and Y = cos πX 2
Solution:
i) Y = sin πX 2
dx |= √ 1
fy (y)= f x (x)| dy for −1 ≤ y ≤ 1
π 2
1− y
ii) Y = cos πX 2
dx |= √ 2
fy (y)= f x (x)| dy for 0 ≤ y ≤ 1
π 1− y 2
1. Suppose that an airplane engine will fail, when in
flight, with probability 1 - p independently from
engine to engine; suppose that the airplane will
make a successful flight if at least 50 percent of its
engines remain operative. For what values of p is a
four-engine plane preferable to a two-engine plane?
Solution: Because each engine is assumed to fail or

function independently of what happens with the other
engines, it follows that the number of engines remaining
operative is a binomial random variable. Hence, the
probability that a four-engine plane makes a successful
flight is
whereas the corresponding probability for a two-engine

plane is
Hence the four-engine plane is safer if or equivalently if
which simplifies to
which is equivalent to
Hence, the four-engine plane is safer when the engine
success probability is at least as large as 2/3, whereas
the two-engine plane is safer when
this probability falls below 2/3.
2. The mean and variance of binomial distribution are 4
and 4/3 respectively. Find P (X ≥ l).
Solution:
3. Suppose that the amount of time one spends in a
bank is exponentially distributed with mean ten minutes,
that is, λ = 1/10 . What is the probability that a
customer will spend more than fifteen minutes in the
bank? What is the probability that a customer will spend
more than fifteen minutes in the bank given that he is
still in the bank after ten minutes?
Solution: If X represents the amount of time that the
customer spends in the bank, then the first probability is
just P[X > 15] = 𝑒 −15λ = 𝑒 −3/2 = 0.2200.
since the exponential distribution does not "remember"
that the customer has already spent ten minutes in the
bank, this must equal
the probability that an entering customer spends at least
five minutes in the bank. That is, the desired probability
is just
P(X>15/X>10)= P(X > 5) = 𝑒 −5λ = 𝑒 −1/2= 0.6040.
4. The number of monthly breakdowns of a computer is
a random variable having a Poisson distribution with
mean equal to 1.8. Find the probability that this
computer will function for a month
a) Without a breakdown
b) With only one breakdown and
c) With at least one breakdown
5. It is known that the probability of an item produced
by a certain machine will be defective is 0.05. If the
produced items are sent to the market in packets of 20,
find the number of packets containing at least and
exactly 2 defective items in a consignment of 1000
packets using binomial distribution.
6. Find the probability of 5 or more telephone calls arriving in a 9
min period in a college switch-board, if the telephone calls that
are received at the rate of 2 every 3 min follow a Poisson
distribution.
Solution:
7. Suppose that the amount of time that a light bulb works
before burning itself out is exponentially distributed with mean
ten hours. Suppose that a person enters a room in which a light
bulb is burning. If this person desires to work for five hours, then
what is the probability that he will be able to complete his work
without the bulb burning out?
8. Suppose that the amount of time one spends in a bank is
exponentially distributed with mean ten minutes, that is, A
=1/10. What is the probability that a customer will spend more
than fifteen minutes in the bank? What is the probability that a
customer will spend more than fifteen minutes in the bank given
that he is still in the bank after ten minutes?
However, since the exponential distribution does not
"remember" that the customer has already spent ten minutes
in the bank, this must equal the probability that an entering
customer spends at least five minutes in the bank. That is, the
desired probability is
9. The local authorities in a certain city install 10,000 electric lamps
in the streets of the city. If these lamps have an average life of
1,000 burning hours with a standard deviation of 200 hours,
assuming normality, what number of lamps might be expected to
fail (i) in the first 800 burning hours? (ii) between 800 and 1,2000
burning hours?
10. The marks obtained by a number of students for a certain
subject are assumed to be approximately normally distributed
with mean value 65 and with a standard deviation of 5. I 3
students are taken at random from this set, what is the
probability that exactly 2 of them will have marks over 70?
THANK YOU

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RANDOM VARIABLE

21MAB203T - PROBABILITY AND STOCHASTIC

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

Random Variable in One Dimensional

A random variable is a function X (s) = x, which assigns a real number (x) to

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

Note: Here X is a discrete random variable.

Types of random variables

Discrete Random Variable

Continuous Random Variable

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

1 The number of telephone calls received by the telephone operator.

Probability Mass Function

Note: The pair {xi , pi } is called probability distribution of the discrete

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

The function F (x) or FX (x) is called the Cumulative Distribution function of

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

Properties of Mean value of X

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

(or)σX = E X 2 − [E(X )]2

The expected value of an integral power of a random variable is called

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

P(X = r ) = P (choosing exactly r defective items),

P(X = r ) = P (choosing exactly r defective items),

The required probability distribution is represented in the form of the following

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

Given that X is a random variable which denotes the number of heads.

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

X (HH) = 2, X (HT ) = 1, X (TH) = 1, X (TT ) = 0 (1)

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

(b) Cumulative distribution F (X = x) = P(X ≤ x) :

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

= 0 · P(X = 0) + 12 · P(X = 1) + 22 · P(X = 2)

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

(e) P (X ≤ 1) = P(X = 0) + P(X = 1)

= P(X = −1) + P(X = 0) + P(X = 1)

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

P(X ≤ c) > 12 satisfies for c = 1, 2.

Find the distributions of X .

15k + 10k + 30k + 6k

When x < 1, F (x) = 0

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

Probability distribution table becomes

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

(c) P(X < 6) = P(X = 0) + P(X = 1) + P(X = 2) + P(X = 3)

(d) To find the maximum value of c such that P (X ≤ c) < 34 .

X P(X ≤ c) > 34 = 0.75 Remarks

X P(X ≤ c) > 34 = 0.75 Remarks

P(X ≤ c) < 34 satisfies for c = 0, 1, 2, 3.

(e) P(3 ≤ X < 6) = P(X = 3) + P(X = 4) + P(X = 5)

(f) P(2X + 3 < 7) = P(2X + < 7 − 3)

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

Probability Density Function

then f (x) is called the probability density function of X , provided f (x)

1. f (x) ≥ 0, for all x ∈ Rx , and

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

5 The relation between C.D.F. F (x) and P.D.F. f (x):

if X is a continuous random variable.

Properties of Mean value of X

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021

E (X1 X2 · · · Xn ) = E (X1 ) E (X2 ) · · · E (Xn )

σX2 = E X 2 − [E(X )]2

Dr. Anuradha Yadav (SRMIST, Chennai) Module 1 (18MAB203T) 8 February 2021