RANDOM VARIABLES

Week – 3
MKT3802 Statistical and Experimental Methods for Engineers

March 16, 2023

Outline

1 Random Variables and Probability Distributions

Concept of random variable
Types of random variables
Cumulative distribution function (CDF)
Discrete random variables and distributions
Continuous random variables and distributions

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Concept of random variable

Definition
if E is and experiment having sample space S, and X is a function that
assigns a real number X(e) to every outcome e ∈ S, then X(e) is called
a random variable.

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Remark!

The central concept of probability theory are so-called random

variables.
Unfortunately, this term can lead to confusion, because
Random variables are not random and
Random variables are not variables
A random variable is in fact a function, often denoted by, X, that
maps a sample space S into range space, Rx .

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Sample Space or Range Space

Definition
If a sample space contains a finite number of possibilities or an
unending sequence with as many elements as there are whole numbers,
it is called a discrete sample space (Range space).

Definition
If a sample space contains an infinite number of possibilities equal to
the number of points on a line segment, it is called a continuous sample
space (Range space).

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Types of random variables

1 Discrete Random Variables

A random variable is called a discrete random variable if its set of
possible outcomes is countable
Examples: number of defectives items, number of traffic accidents,
number of students

2 Continuous Random Variables

When a random variable can take on values on a continuous scale,
it is called a continuous random variable.
Examples: height, weight, temperature, distance, life period

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Example

Example
Three coin tossed three times and we are interested in number of heads
showing. Write sample space and range space.

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Probability Correspondence

Definition
If S is the sample space of an experiment E and a random variable X
with the range space RX is defined on S, and furthermore is event A is
an event in S while event B is an event in Rx then A and B are
equivalent events if
A = {e ∈ S : X(e) ∈ B} (1)

Definition
If A is an event in the sample space and B is an event in the range
space Rx of the random variable X, then we define the probability of B
as
Px (B) = P (A) where A = {e ∈ S : X(e) ∈ B} (2)

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Probability Correspondence

Example
Consider tossing of two fair dice. Suppose we define a random variable
Y as the sum of the "up" faces. Write the events in S and in Rx and
the corresponded probabilities.

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Cumulative Distribution Function (CDF)

There are many problems where we may wish to compute the

probability that the observed value of a random variable X will be
less than or equal to some real number x.

Writing F (x) = P (X ≤ x) for every real number x, we define F (x)

to be
Distribution function or
Cumulative function or
Cumulative distribution function (CDF)

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Properties of CDF

1 0 ≤ Fx (x) ≤ 1 −∞ < x < ∞

2 limx→∞ Fx (x) = 1
−→
3 limx→−∞ Fx (x) = 0
−→
4 The function is non-decreasing: x1 ≤ x2 then Fx (x1 ) ≤ Fx (x2 )
5 Continuous from right, for all x and δ > 0

lim [Fx (x + δ) − Fx (x)] = 0 (3)

−→
δ→0

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Discrete random variables and distributions

May result from variety of experimental situations

Often associated with counting
F (x) have jumps

Example
Suppose that the number of working days in a year is 250 and the
records of the employees are marked for each day they are absent from
work. An experiment consists of randomly selecting a record to observe
the days marked absent. Define random variable.

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Discrete random variables and distributions

Definition
If X is a discrete random variable, we associate a number
px (xi ) = Px (X = xi ) with each come xi in Rx for i = 1, 2, ..., n, ...
where the numbers px (xi ) satisfy the following:
1 px (xi ) ≥ 0 for all i
�∞
i=1 px (xi ) =1
2

Note that
px (xi ) = Fx (xi ) − Fx (xi−1 ) (4)
and �
Fx (xi ) = Px (X ≤ xi ) = px (x) (5)
x≤xi

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Discrete random variables and distributions

px is called as:
probability function or
probability mass function or
probability law

{xi , px (xi )} ; i = 1, 2, ... (6)

pairs are called as probability distribution of discrete random variable
X and px is usually represented in either tabular, graphical, or
mathematical form

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Example

Example
Suppose that you have following experiment: "Toss a true coin three
times and observe the sequence of heats and tails". If you are
interested in the number of heads find
i Sample space, S
ii Range space, Rx
iii probability distribution of random variable X: "the number of
heads"

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Example

Example
A shipment of 20 similar laptop computers to a retail outlet contains 3
that are defective. If a school makes a random purchase of 2 of these
computers, find the probability distribution for the number of
defectives.

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Continuous random variables and distributions

Many random variables in engineering are actually continuous,

(i.e. current flux, resistance etc.)
Can take infinite number of values
Sum of probability of that values = 1
Probability of single point = 0

Px (X = x) = lim (Fx (x + δ) − Fx (x)) = 0 (7)

δ→0

Generally probability of intervals are considered

Probability distribution of a continuous random variable cannot be
presented in tabular form, it can be stated as a formula.

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Continuous random variables and distributions

We define the probability density function f (x) as

d
fx (x) = Fx (x) (8)
dx
and it follows that cumulative distribution function
�x
Fx (x) = fx (t) dt (9)
−∞

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Continuous random variables and distributions

PDF, probability density function, has following properties

1 fx (x) ≥ 0 for all x ∈ Rx
∞
�
2 fx (x) dx = 1
−∞
3 fx (x) is piece-wise continuous
4 fx (x) = 0, if x is not in the range Rx

�b
P {e ∈ S : a ≤ X(e) ≤ b} = Px (a ≤ X ≤ b) = fx (x) dx (10)
a

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Continuous random variables and distributions

Example
A random variable X has the triangular probability density function
given below.

fx (x) = x 0≤x<1
=2−x 1≤x<2
=0 otherwise
a Verify that f (x) is a probability density function.
b Calculate following probabilities
� �
i Px �−1 < X� < 12
ii Px X < 32
iii Px (X ≤ 3)
iv Px (X
� ≥ 2.5) �
v Px 14 < X < 32

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End of Lesson

Questions?

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