Chapter 03 Random Variables

Definition of a Random Variable
Random Variable [m-w.org]

: a variable that is itself a function of the result of a statistical
experiment in which each outcome has a definite
probability of occurrence
Copyright © Syed Ali Khayam 2009 3

A random variable is a mapping from an outcome s of a
random experiment to a real number
X : S → SX ⊂
domain range
SX is called the image of X

X : S → SX ⊂
Random
R d
Sample Space X(s) Random
Experiment
Variable
head
0 1 R
tail
Sx

X : S → SX ⊂
X(s)
1 2 3 4 5 6 R
Random
Experiment
Sample Space, S Sx
Random Variable
Image courtesy of www.buzzle.com/

More than one outcomes can be mapped to the same real
number
X : S → SX ⊂
X(s)
0 1
Random Sx
E
Experiment
i t
Random Variable
Sample Space
Image courtesy of www.buzzle.com/

Types of Random Variables
Discrete random variables: have a countable (finite or infinite)
image
Sx = {0, 1}
Sx = {…, -3, -2, -1, 0, 1, 2, 3, …}
Continuous random variables: have an uncountable image
Sx = (0, 1]
Sx = R
Mixed random variables: have an image which contains
continuous and discrete parts
Sx = {0} U (0, 1]
We will mostly focus on discrete and continuous random

variables
i bl

Di
Discrete R
Random
d V
Variables
i bl

Probability Mass Function
The Probability Mass Function (pmf) or the discrete probability
density function provides the probability of a particular point in
the sample space of a discrete random variable (rv)
For a countable SX={a0, a2, …, an}, the pmf is the set of
probabilities
pX (ak ) = Pr {X = ak }, k = 1, 2, …, n
pX(a
( k)
SX={a0=0, a1=1, …, a5=5},
0 1 2 3 4 5 X

Properties of a PMF
P1: 0 ≤ pX (ak ) ≤ 1
P2: ∑p
ak ∈S X
X (ak ) = 1
pX(ak)
SX={a0=0, a1=1, …, a5=5},
0 1 2 3 4 5 X

Cumulative Distribution Function (CDF) of Discrete
Random Variable
The Cumulative Distribution Function (CDF) for a discrete rv is
defined as:
FX (t ) = Pr {X ≤ t } = ∑ pX (x )
x ≤t
pX(x) FX(x)
pmf
CDF
1 2 3 4 X 1 2 3 4 X

Cumulative Distribution Function (CDF) of Discrete
Random Variable
CDF can be used to find the probability of a range of values in a
rv’s image:
Pr {a < X ≤ b } = Pr {X ≤ b } − Pr {X ≤ a }
= FX (b ) − FX (a )
pX(x) FX(x)
pmf
CDF
1 2 3 4 X 1 2 3 4 X

Properties of a CDF
F1: 0 ≤ FX (x ) ≤ 1 ∀ −∞ < x < ∞
F2: a ≤ b ⇒ FX (a ) ≤ FX (b )
pX(x) FX(x)
pmf
CDF
1 2 3 4 X 1 2 3 4 X

Properties of a CDF
limx →−∞ FX (x ) = 0
F3:
li x →∞ FX (x ) = 1
lim
F4: FX (x i +1 ) = FX (x i ) + pX (x i +1 )
pX(x) FX(x)
pmf
CDF
1 2 3 4 X 1 2 3 4 X

Expected Value of a Discrete Random
Variable
The expected value, expectation or mean of a discrete rv is the
“average” value of the random variable
What is the average value of a random variable whose image is

SX={1,
{ , 6,, 7,, 9,, 13}?
}

Variable
What is the average value of the following random variable
whose image is SX={1, 6, 7, 9, 13}?
If your answer is 7.2 then you assumed that all of the values in the
rv’s image
g have equal
q weights
g
1 1 1 1 1 1
1 × + 6 × + 7 × + 9 × + 13 × = (1 + 6 + 7 + 9 + 13) = 7.2
5 5 5 5 5 5

Variable
Mathematically, the expected value of a discrete random
variable is:
Ε {X } = µX = ∑a
ak ∈S X
k Pr {X = ak }
In some cases
cases, the expected value does not converge
In such cases, we say that the expected value does not exist

Variance of a Random Variable
Variance of a rv is a measure of “the amount of variation of a rv
around its mean”
Intuitively, which of the following discrete rvs has a higher

variance?
pX(x) qX(x)
E{X}=3.87 E{X}=5.2
0.5 0.4
0.4
0.2
0.1
0.033
1 6 7 9 13 X 1 6 7 9 13 X

Intuitively, which of the following discrete rvs has a higher
variance?
qX(x) has a higher variance because it varies more around its mean
than pX(x)
pX(x) qX(x)
E{X}=3.87
E{X} 3.87 E{X}=5.2
0.5
0 04
0.4
0.4
0.2
0.1
0.033
1 6 7 9 13 X 1 6 7 9 13 X

Mathematically, the variance of a discrete rv is defined as:
∑ (a
2
var {X } = σ = 2
X k − Ε {X }) Pr
P {X = ak }
ak ∈S X

pX((x)) qX((x))
E{X}=3.87 E{X}=5.2
0.5 0.4
0.4 var{X}=15.36
var{X}=9.91 0.2
0.1
0.033
1 6 7 9 13 X 1 6 7 9 13 X
2 2
var {X } = (1 − 3.87) × 0.5 + var {X } = (1 − 5.2) × 0.4 +
2 2 2 2
(6 − 3.87) × 0.4 + (7 − 3.87) × 0.033 + (6 − 5.2) × 0.2 + (7 − 5.2) × 0.2 +
2 2 2 2
(9 − 3.87) × 0.033 + (13 − 3.87) × 0.033 (9 − 5.2) × 0.1 + (13 − 5.2) × 0.1
= 9.91
9 91 = 15.36
15 36

Standard Deviation of a Random Variable
In many scenarios, we use the square root of the variance
called its standard deviation
σX = var {X }

Standard Deviation of a Random Variable
pX(x) qX(x)
E{X}=3.87 E{X}=5.2
05
0.5 0.4
0
0.4 σX=3.92
σX=3.14 0.2
01
0.1
0.033
1 6 7 9 13 X 1 6 7 9 13 X
σX = var {X } = 9.91 = 3.14 σX = var {X } = 15.36 = 3.92

Discrete Uniform Random Variable
A discrete uniform rv, D, has a finite image and all the elements
of the image have equal probabilities
Pr{D=k}
1/n
x1 x2 x3 xn
k
What do you think are the expected value and standard

deviation of this random variable?

Bernoulli Random Variable
A Bernoulli Random Variable is defined on a single event A
This rv is based on an experiment called a Bernoulli trial
The experiment is performed and the event A either happens or does not
happen
Thus the sample space of a Bernoulli rv is binary
Bernoulli Random
Variable
Sample Space X(s)
Bernoulli Trrial: Toss a
B
A=head
coin
Ac = Not head 0 1 R
= tail
Sx
This rv is based on a the experiment called a Bernoulli trial
happen
Bernoulli Random
Variable
Pa
X(s)
akistan criccket team
plays Au
A=Pak wins
R
ustralia
Ac=Pak losses
0 1
Sample Space
Image Courtesies of http://www.tribuneindia.com and
images.google.com

This rv is based on a the experiment called a Bernoulli trial
happen
Of course the Pr{A} = 0 for this
p
experiment Bernoulli Random
Variable
Pakistan
X(s)
playss Australia
A=Pak wins
n cricket te
R
Ac=Pak losses
0 1
a
eam
Sample Space
Image Courtesies of http://www.tribuneindia.com and
Copyright © Syed Ali Khayam 2009 images.google.com 29
Typical examples of Bernoulli rvs in communication:
Transmit a bit over a wireless channel
Outcomes:
0 −> bit is received error-free
1 −> bit received is not received error-free => bit is received with errors
Transmit a packet over the Internet
Outcomes:
0 −> packet is received
1 −> p
packet is not received => p
packet is lost en-route due to congestion
g

Sample space of a Bernoulli rv, I, is binary
Both outcomes are mapped to real numbers,
Traditionally: I(A) = 1 and I(Ac) = 0 are used to represent a Bernoulli rv’s
outcomes
The pmf of I is:
Pr{I = 1} = p
Pr{I = 0} = 1 − p
Pr{I=k}
p
1-p
I
0 1

Example:
Consider the experiment of a fair coin toss. What is the expected
value and the variance of this Bernoulli rv?
Pr{I=k}
0.5
I
0 1

Discrete Random Variables
Example:
Consider the experiment of a fair coin toss. What is the expected
value
l and d th
the variance
i off thi
this B
Bernoulli
lli rv??
Since the coin toss is fair: Pr{I = 1} = 0.5 and Pr{I = 0} = 0.5
E{I} = (1)x(0
(1)x(0.5)
5) + (0)x(0
(0)x(0.5)
5) = 0
0.5
5
var{I} = (1−0.5)2x(0.5) + (0−0.5)2x(0.5) = 0.25
Pr{I=k} σI=0.5
µI=0.5
0.5
0.5
I
0 1

Example:
Consider a binary symmetric channel with probability of bit-error
0.1. What is the expected value and the variance of this Bernoulli
rv?
Pr{I=k}
0.9
0.1
I
0 1

Example:
Consider a binary symmetric channel with probability of bit-error 0.1. What is the
expected
p value and the variance of this Bernoulli rv?
The event of interest here is a bit-error:
=> Pr{I = 1} = 0.9 and Pr{I = 0} = 0.1
E{I} = (1)x(0
(1)x(0.9)
9) + (0)x(0
(0)x(0.1)
1) = 0
0.9
9
var{I} = (1−0.9)2x(0.9) + (0−0.9)2x(0.1) = 0.09
Note that the variance of this pmf is smaller than the variance of the coin toss
pmff
Pr{I=k} σI=0.3
0.9
µI=0.9
0.1
I
0 1

Binomial Random Variable
Consider a collection of n independent Bernoulli trials
A Binomial Random Variable is the total number of occurrences

of an event A in this independent Bernoulli collection
Send n bits, count the number of bits that are received with errors
Send n packets, count the number of packets that are not lost

If Ij(A)=1 and Ij(Ac)=0, j=1,2,…,n, are used to represent the
outcomes of the Bernoulli trials then the Binomial Random
V i bl X,
Variable, X is
i
n
X = ∑Ij
j =1
So what is the image

g of X?

If Ij(A)=1 and Ij(Ac)=0, j=1,2,…,n, are used to represent the
outcomes of the Bernoulli trials then the Binomial Random
Variable X,
Variable, X is
n
X = ∑Ij
j =1
So what is the image of X?

SX = {0, 1, 2, 3, …, n}

Pr{Ij(A)=1} = p and Pr{Ij(A)=0} = 1-p
Then a Binomial rv X is defined as:

n
X = ∑Ij
j =1
A d the
And h pmff off a bi
binomial
i l rv is
i
n  k
 
P {X = k } =   p (1 − p )
Pr
n −k
k 

The pmf of a Binomial rv X is:
n  k
b (k ; n, p ) = Pr  
P {X = k } =   p (1 − p )
n −k
k 
This pmf gives the probability that exactly k out of a total of n

Bernoulli trials were successes
Be very careful about the definition of a success

Pr{X=k}
Image courtesy of Wikipedia article on Binomial Distribution

Example:
Consider a binary symmetric channel with probability of bit-error p.
Fi d th
Find the probability
b bilit th
thatt a packet
k t off n bits
bit iis received
i d with
ith one
or more errors?

Example:
Fi d th
b bilit th
thatt a packet
k t off n bits
bit iis received
i d with
ith one
or more errors?
Pr{Ij = 1} = 0.1 and Pr{Ij = 0} = 0.9, j=1,2,…,n

Then the probability that a packet is received with errors is
Pr {(X = 1) ∪ (X = 2) ∪ (X = 3) ∪ … ∪ (X = n )}

Example:
Fi d th
b bilit th
thatt a packet
k t off n bits
bit iis received
i d with
ith one
or more errors?
Pr {pkt with errs} = Pr {(X = 1) ∪ (X = 2) ∪ (X = 3) ∪ … ∪ (X = n )}

= Pr {X = 1} + Pr {X = 2} + Pr {X = 3} + … + Pr {X = n }
n  1 n  2 n  3  n
=   p (1 − p ) +   p (1 − p ) +   p (1 − p ) + … + n  p n (1 − p )
n −1 n −2 n − 3 n −n
 1   2   3   
n n 
= ∑   p i (1 − p )
n −i
i =1  i 

Example:
Fi d th
b bilit th
thatt a packet
k t off n bits
bit iis received
i d with
ith one
or more errors?
nn  i
ith errs} = ∑   p (1 − p )
n −i
P {pkt
Pr kt with
 i 
i =1 
There is an easier way to compute the same probability by noting

that:
Pr {pkt with errs} = Pr {X > 0} = 1 − Pr {X < 0} = 1 − Pr {X = 0}
n  0
= 1 −   p (1 − p )
n −0
 0 
n
= 1 − (1 − p )

Connection Between Bernoulli and Binomial
RVss
I(A)=1, I(A)=0 n Bernoulli trials
S SI SX
A
Pr{I=1}=p n  k
Pr {X = k } =   p (1 − p )
n −k
Pr{A} k 
Pr{I=0}=1-p
Bernoulli Trial Bernoulli RV Binomial RV

Geometric Random Variable
A Geometric Random Variable, M, is the number of Bernoulli
trials until the first occurrence of an event A
The experiment is stopped as soon as event A is observed
The image of a Geometric random variable is infinite but

countable
SM = {1,
{1 22, 3
3, …}}

Also callled the mo

The pmf of a Geometric Random Variable, Z, is
geo
k −1
pZ (k ) = Pr {Z = k } = (1 − p ) p
ometric pm
OR
k
pZ (k ) = Pr
P {Z = k } = (1 − p ) p
mf
odified
Depending on whether the success trial is included in the total
count or not

Image courtesy of Wikipedia article on Geometric Distribution

Connection between Geometric and Binomial
RVss
Can we find the probability of a Geometric random variable
using the Binomial random variable?
k Geometric
Pr {Z = k } = (1 − p ) p
n  k
 
Pr {Z = k } =   p (1 − p )
n −k
Binomial
k 

RVs
Can we find the probability of a Geometric random variable using
the Binomial random variable?
k  k 

 
Pr {X = k } =   p (1 − p )
1 k −1  
1 1
 
k −1
Pr {X = k } = (1 − p ) p = Pr {Z = k }

RVs
In k Bernoulli trials, there are k ways in which you can have 1
success and k-1 failures
Since the Binomial random variable counts successes and

failures,, it sums and considers all the k outcomes together
g

RVs
For k=4, a Binomial random variable X jointly considers the
outcomes 0001, 0010, 0100, 1000
Pr{X = 1} = Pr{(0001) U (0010) U (0100) U (1000)}
Pr{X = 1} = Pr{0001} + Pr{0010} + Pr{0100} + Pr{1000}
Since the underlying Bernoulli trials are independent:
Pr{X = 1} = (k)Pr{one success in k trials}
For the Geometric random variable

variable, we are only interested in
one of these outcomes, 0001
=> Pr{Z = 1} = Pr{X = 1} / k

Memoryless Property
It can be shown that the Geometric rv satisfies the memoryless
property
The memoryless property is satisfied when:
Pr {Z = j + k Z ≥ k } = Pr {Z = j }
This property is also called the Markov Property

Memoryless Property
The memoryless property is satisfied when:
Pr {Z = j + k Z ≥ k } = Pr {Z = j }
For the Geometric rv, RHS of the above equation is:

j
P {Z = j } = (1 − p ) p
Pr
Thus to prove that the Geometric rv satisfies the memoryless

property, we need to show that
Pr {Z = j + k Z ≥ k } = (1 − p ) p
j

Memoryless Property
To prove that the Geometric rv satisfies the memoryless
property, we need to show that
Pr {Z = j + k Z ≥ k } = (1 − p ) p
j
Let’s expand the LHS using the definition of conditional

probability
Pr {Z = j + k ∩ Z ≥ k }
Pr {Z = j + k Z ≥ k } =
Pr {Z ≥ k }
Pr {Z = j + k }
=
Pr {Z ≥ k }
j +k
(1 − p ) p
= k k +1 k +2
(1 − p ) p + (1 − p ) p + (1 − p ) p + …

Memoryless Property
Continued from last page
j +k
(1 − p ) p
Pr {Z = j + k Z ≥ j } = k k +1 k +2
(1 − p ) p + (1 − p ) p + (1 − p ) p + …
j +k
(1 − p ) p
=
(1 − p ) ((1 − p ) p + (1 − p ) p + (1 − p ) p + …)
k 0 1 2
j +k
(1 − p ) p
= k
(1 − p )
j
= (1 − p ) p
Summation over all possible values
of the Geometric pmf

Memoryless Property
It can also be shown that the Geometric rv is the only discrete
random variable that satisfies the memoryless property
Because of the memoryless property, the Geometric rv can be

thought of as the number of failures between two successes
OR the inter-arrival time between successes

Poisson Random Variable
A Poisson Random Variable, N, is the number of occurrences or
arrivals of an event A in a time interval of fixed length
EE.g.:
g : The number of packets that arrive at a wireless access point per
second
The Poisson rv assumes that:

The average number of arrivals per time interval, denoted by λ, is known
The arrivals are independent of each other
Poisson time interval
Poisson arrivals

A good way of understanding Poisson rv is through the Binomial
rv
Let us divide the fixed Poisson time interval into n very small
sub-intervals of length
g ∆t
∆t is so small that only one arrival is possible within each sub-interval
1 2 3 4 … … n
t
∆t Poisson arrivals

Now the experiment can be treated as Binomial rv where a
success corresponds to the presence of an arrival in a sub-
interval
Given that λ is the average

g arrival rate,, what is the probability
p y of
success (success corresponds to an arrival)?
1 2 3 4 … … n
t

Now the experiment can be treated as Binomial rv where a
success corresponds to the presence of an arrival in a sub-
interval
Given that λ is the average

g arrival rate,, what is the probability
p y of
success (success corresponds to an arrival)?
Pr{success} = p = λ/n
1 2 3 4 … … n
t

Now the experiment can be treated as Binomial rv with
parameter λ/n
λ  n   λ  
k n −k
 λ 
Pr {X = k } = b k ; n,  =  
  

1 − 
 n  k   n   n 
k n −k
n!  λ   λ
=   1 − 
(n − k ) ! k !  n   n 
 n − k + 1  λk  
n −k
 n   n − 1
 n − 2  λ   λ 

=    
       1 −  1 − 
 n  n  n   n  k !  n  n
1 2 3 4 … … n
t
Thus for large n, the Binomial pmf approaches the Poisson pmf
 λ  λk −λ
lim Pr {X = k } = lim b k ; n,  = e
n →∞ n →∞  n k !
This is called the Poisson approximation of Binomial random

variable
1 2 3 4 … … n
t
In general, the pmf of a Poisson random variable is
λk exp {−λ }
Pr {N = k } =
k!
where λ is the average arrival rate (arrivals/time interval)

End of Discrete Random Variables
At this point, we conclude our discussion on examples of
discrete random variables
We will cover some other aspects of discrete rvs after looking at

examples of continuous rvs

C i
Continuous R
Random
d V
Variables
i bl

Continuous Random Variables
Recall that a Continuous random variable has an uncountable
image
Sx = (0, 1]
Sx = R

Probability Density Function (pdf) of a
Continuous Random Variable
The Probability Density Function (pdf) of a continuous random
variable, fX(x), is a continuous function of the x є Sx
Properties of pdf:
f1: fX (x ) ≥ 0, ∀x
∞
f2: ∫ fX (x )dx = 1
−∞
fX(x)
SX=(0, n]
0 n x

Probability Density Function (pdf) of a
f3:
Pr {a ≤ X ≤ b } = Pr {a ≤ X < b } = Pr {a < X ≤ b } = Pr {a < X < b }
b
= ∫f X (x )dx
a
fX(x)
0 n x
a b

Cumulative Distribution Function (CDF) of a
CDF of a continuous rv is computed by integrating the pdf
t
FX (t ) = Pr {X ≤ t } = ∫ fX (x )dx
x =−∞
Conversely,
y, we also have:
d
fX (x ) ≡ FX (t )
dx
FX(x)
x
Properties of the CDF of a Continuous
Random Variable
F1: 0 ≤ FX (x ) ≤ 1, −∞ < x < ∞
F2: a ≤b ⇒ FX (a ) ≤ FX (b )
limx →−∞ FX (x ) = 0
F3:
limx →∞ FX (x ) = 1
FX(x)

Random Variable
a
F4: Pr {X = a } = Pr {a ≤ X ≤ a } = ∫f X
(x ) dx =0
a
FX(x)

Random Variable
F4:
a +ε 2
{
ε
Pr a − ≤ X ≤ a +
2
ε
2 }
= ∫ fX (x ) dx ≈ ε fX (a )
a −ε 2
for small values of ε.
FX(x)
a-ε/2 a a+ε/2 x

Random Variable
F5:
Pr {a ≤ X ≤ b } = Pr {a ≤ X < b } = Pr {a < X ≤ b } = Pr {a < X < b }
= FX (b ) − FX (a )
FX(x)
FX(b)
Pr{a<x<b}
FX(a)
x
a b

Expected Value of a Continuous Random
Variable
The expected value of a continuous random variable is:
∞
Ε {X } = µX = ∫ xffX
(x ) d
dx
−∞
fX(x) fX(x) E{X}

E{X}
x x

Variance of a Continuous Random Variable
The variance of a continuous random variable is:
∞
2
var {X } = σ = ∫ (x − µ ) fX (x )dx
2
X X
−∞
σX > σY
fX(x) σX fY(y) σY
x y

Exponential Random Variable
An exponential random variable measures the inter-arrival time
between two occurrences of an event
E g the inter-arrival
E.g., inter arrival time of packets arriving in a router’s
router s queue
Recall that a Poisson distribution counts the total number of

arrivals
In that sense
sense, the exponential rv is the inter-arrival
inter arrival time
between two Poisson arrivals
τ1 τ2 τ3 τ4 τ5 τ6
Poisson arrivals
inter-arrival time λ=60
1 2 3 4 … … 60 t
inter-arrival time λ=20
1 2 3 4 … … 60 t
inter-arrival
inter arrival time λ=6
1 2 3 4 … … 60 t

Exponential rv is the inter-arrival time between two Poisson
arrivals
Remembering the definition of a Poisson rv, what should be the

average
g (expected)
( p ) inter-arrival time for an exponential
p rv,, E?
τ1 τ2 τ3 τ4 τ5 τ6
Poisson arrivals
Exponential rv is the inter-arrival time between two Poisson
arrivals
Remembering the definition of a Poisson rv, what should be the

average
g (expected)
( p ) inter-arrival time for an exponential
p rv,, E?
E{E} = 1/λ
τ1 τ2 τ3 τ4 τ5 τ6
Poisson arrivals
An exponential rv is the inter-arrival time between two Poisson
arrivals
Let’s look at a sub-interval (0,t] of the Poisson window
On average, how many arrivals will take place in the (0,t]
subinterval?
t t t t t t
τ1 τ2 τ3 τ4 τ5 τ6
T
On average, how many arrivals will take place in the (0,t]
subinterval?
Arrivals in the (0
(0,t]
t] sub
sub-interval
interval = λt/T
In other words, λt arrivals will take place in a (0,t] subinterval per
window T
t t t t t t
τ1 τ2 τ3 τ4 τ5 τ6

λt arrivals will take place in a (0,t] subinterval per window T
( )
0
λt T e −(λt /T )
Pr {E > t } = Pr {N = 0} = = e −λt /T
0!
⇒ FE (t ) = 1 − e −λt /T
d λ
fE (t ) = FE (t ) = e −λt /T
dt T
t t t t t t
τ1 τ2 τ3 τ4 τ5 τ6
t
T

Considering a window of T=1 unit time, the probability density
and cumulative distribution functions of an exponential rv are:
d
fE (t ) = FE (t ) = λe −λt
dt
FE (t ) = 1 − e −λt
Like the Poisson rv, the Exponential rv is characterized by a

single parameter λ
τ1 τ2 τ3 τ4 τ5 τ6
Copyright © Syed Ali Khayam 2009 Poisson arrivals 90

Exponential rv is a limiting case of a geometric rv
Like the geometric rv, the exponential rv also possess the

memoryless Markov property (see textbook, Pg. 113)
Pr {E > j + k E ≥ k } = Pr {E > j }
It can be shown that exponential

p is the onlyy continuous
distribution with the memoryless property

LHS = Pr {E > j } = 1 − Pr {E ≤ j }
= 1 − (1 − e −λ j )
= e −λ j
ess properrty
Pr {E > j + k ∩ E ≥ k }
RHS = Pr {E > j + k E ≥ k } =
Pr {E ≥ k }
Memoryle
Pr {E > j + k } 1 − FE (E ≤ j + k )
= =
Pr {E ≥ k } 1 − FE (E < k )
1 − (1 − e −λ( j +k ) ) e −λ je −λk
= =
1 − (1 − e −λk ) e −λk
= e −λ j
Uniform Distribution
A uniform rv has a uniform distribution over an interval [a, b]
 1
 , a ≤ x ≤b
fU (x ) = b − a
 0 otherwise

 0 x <a

 x − a
FU (x ) =  a ≤ x ≤b
 b − a
 1 x >b

This distribution is also called the Rectangular distribution

Uniform Distribution
fU (x)
1/(b-a)
a b x

Gaussian or Normal Distribution
Gaussian or Normal Distribution is by far the most famous
continuous distribution
It has the famous bell-shaped curve which can be used to

approximate
pp manyy other distributions

Gaussian Distribution
The Gaussian rv is defined as:
1  x −µ 2
1 − 
2  σ 

fN (x ) = e
σ 2π
The Gaussian distribution is completely characterized by its mean
and variance and is generally written as
2
N (µ, σ )
A Gaussian distribution with zero mean and unit variance is
called a standard normal distribution

fN (x)
Image Courtesy of Wikipedia

The CDF of a Gaussian rv does not have a closed form
∞ 1  x −µ 2
1 −  
∫e 2 σ 

FN (x ) = dt
σ 2π −∞
∞
Tables of CDF values are provided for each(μ, σ) pair

Gaussian distribution does not deviate from its mean by more
than 3 standard deviations 99.7% of the times
Image
g Courtesy
y of Wikipedia
p

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Chapter 03 Random Variables

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Definition of a Random Variable

Random Variable [m-w.org]

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We will mostly focus on discrete and continuous random

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SX={a0=0, a1=1, …, a5=5},

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SX={a0=0, a1=1, …, a5=5},

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What is the average value of a random variable whose image is

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Intuitively, which of the following discrete rvs has a higher

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σX = var {X } = 9.91 = 3.14 σX = var {X } = 15.36 = 3.92

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What do you think are the expected value and standard

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A Binomial Random Variable is the total number of occurrences

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So what is the image

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So what is the image of X?

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Then a Binomial rv X is defined as:

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This pmf gives the probability that exactly k out of a total of n

Be very careful about the definition of a success

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Image courtesy of Wikipedia article on Binomial Distribution

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Pr{Ij = 1} = 0.1 and Pr{Ij = 0} = 0.9, j=1,2,…,n

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Pr {pkt with errs} = Pr {(X = 1) ∪ (X = 2) ∪ (X = 3) ∪ … ∪ (X = n )}

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There is an easier way to compute the same probability by noting

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I(A)=1, I(A)=0 n Bernoulli trials

Bernoulli Trial Bernoulli RV Binomial RV

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