9/27/22

Part 1 Random Variables

random person
R =
population a-

( discrete
✗ )
gender
→
w =

Y/ ) w
=

height → continuous

¥iÉ×
pmf (prob mass function ) :
pcx )
= Pr(X=×)

'±??{"
.

uniform

✗ pcx]
~

be uniform
have to
:
Doesn't pmf
txi biased die

¥¥ÉÉ
property
.

pcx)
=

I
Pk )
P( ✗ c-
(gb)) =
£
✗ c- ( arb )
✗ c- A
Generation : Inversion method

→
can also make a
graph
◦ ↓ {
↓
} & & & ,
,

Unif ( r)
-
w

uniform random number

"

✗( ) w
= k if it falls into the let interval

¥-7777
w
- Unit (r )
✗( ) w
- k if w E tin bin

smmaryitiˢ average/ mean

f( × ) pay
§
×
Expectation
.

=
:

(1) population average

f- xD N balls w/ a designated number

É②⑥
✗ (a) =
# carried by ball WEN
PCX ) =p ( x )
Nµ
=
= x

×
NCX 7- # of balls carrying
NH)
N¥ f- §
×

f- ( x )
§ pcx )
§
=
* =
= ✗

✗ 4) average
=

tn
=
population
times
(2) average repeat n

long
run ,

7 ,
2 3 4 5 6
pcx )

nlx)
=
# of times ✗ =
✗ µ%ge
n¥ Ex pH )
§
-

nlx )
§
→
=

t
× × .

assume n →
•

I →
Efx) in probability
later
↳
prove
pmf physics
:

÷É•
I 2 3 ↑4 S 6

Elx)
center of mass
 casino
FX )
. game

pփ
pnyaqhlx
) -20 - 10 0 20 30 100

number drawn
" $ not expected
interested in profit average ,

ECHIX))
=

§ hfxjplx )

(-2%1)+(-10747+01.2)
+ . . . .

Fx ) 2 offers

t.pk#-oHer2ipYgE-FItlx)=
offer

100 I -

= 100 f- (x ) = 0 -
± +200-1-2--100

value
utility
renei-8÷%◦
Face value

100
f- ( hcx )) 100 I =

offer 1 =
-

offer 2 : C- ( hlx ) ) = 0 -

± + 150.1-2=75
 Variance i Varlx ) =
f ( (x -
c- Cx ) ) 2)

spec
ia¥Éx to reflect

fluctuation /variation/volatility /
spread
offers
fxi back to

var(X1=E( (100-10012) (100-100)

2
0
otter 1 :
= -

I =

? $100002
Offer 2 :
Var (X ) =
(0-100) 1-2+(200-100) £
.
=

standard Deviation :
Fran =
Toooo = 100

µ
: C- ( x )

02 : Varlx )
0 : SD ( x)

propertiesofl-CXJ-andvarc.li
) if Y = a ✗ tb

c- ( Y ) =
Flax + b) =

§ ( ax + b) pox ]

pcx ) pcx ) C- G) b
§ b
§
= a ✗ t = a +

var ( Y) = Varlaxt b) =
E ( ( axtb -

flax b)5) +

2) (x E ( XP ) =a2Var(×)
2
ECX) ) E
f(a2(
-

✗ a
=
= -
2.) Standardization X÷
:
2 =

C- (2) = C-
l×) = 0

Var (2) Varlx ) I

to
-
=

3.) C- ( had tgcx)) =

fchcx) ) + C- (ga) )
( MT) E( ✗ µ 2)
2-
var ( X) =
C- (X - =
2µx +

'

2m C- (x )
+
=
fly 2) -
µ

( x)
2

C- ≥ 0
E( 2)
-

=
✗

If hlx ) = axtb #
ffhlx) ) = flax + b) =
aflx ) + b =
h(ECX ) )
can
change
order w/ linear transformations

If h (x ) x2
-

Elhlx) )
=

C- ( x2 ) ≥
h( C- ( x ) ) = C- (x )

hlx )
#
µ"¥
If function is convex

f-
Jensen ≈ inequality
c- ( had ≥ h( (x) )
c-

C- ( HH ) ) ≥ c- Call + b)
a
ECX)tb = ✗

amtb = hfu)=h ( Efx ) ) =

µ
 More offers
Ex )

:2°
offer 2
offer I
:#
plx) I
,
C- ( x) -
µ fcx )=m

lfhlx ) convex
tchlx) ) hfu ) -

f(h( xD ≥hlµ )

inrrpka.at?.!TP#=soroodebngth
f(p( D) { pcxdiog.pk
-
=

¥:¥÷:÷ coin to
generate
:
Use fair

A- "
A AT
¥ ,
C D

Ex ) Coding 01001101000
given
;

%de.to#oo 3
BCABD

length /
2 3
I
Random sequence
~
plx )
1 00 I 0 1
01
.
_ .

D →

B C A
. .
.

random sequence
completely