Chapter 6

Probability Distribution
6.1 Definition of Random Variable and Probability
distribution

 Definition: A random Variable is variable whose

values are determined by chance.
It is a numerical description of the outcomes of the
experiment or a numerical valued function defined on
sample space, usually denoted by capital letters.

 Example: If X is a random variable, then it is a

function from the elements of the sample space to the
set of real numbers. i.e. X is a function X: S→R.
 6.1 Definition of Random Variable and Probability
distribution
 Flip a coin three times, let X be the number of heads in three
tosses.
S = {HHH, THH, HTH, HHT, TTH, THT, HTT, TTT}
 X (HHH) =3
 X (HHT) =X (HTH) =X (THH) =2
 X (HTT) =X (THT) =X (TTH) =1
 X (TTT) =0
X= {0, 1, 2,3}
Random Variables are of two types:
1. Discrete random variable: are variables which can assume
only a specific number of values which are clearly separated and
they can be counted.
Example:
Toss coin n times and count the number of heads.
Number of Children in a family.
Number of car accidents per week.
Number of defective items in a given company
2. Continuous random variable: are variables that can assume
any in an interval.
Example:
Height of students at certain college.
Mark of a student.
 Definition: A probability distribution is a complete list of all
possible of values of a random variable and their corresponding
probabilities.
 Discrete probability distribution: is a distribution whose random

variable is discrete.
 Example: Consider the possible outcomes for the exp't of tossing

three coins together.

Sample space, S = {HHH, THH, HTH, HHT, TTH, THT, HTT, TTT}
 Let the r.v. X be the No of heads that will turn up when three coins
tossed
X = {0, 1, 2, 3}
P(X = 0) = P (TTT) = 1/8,
P(X=1) = P (HTT) +P (THT) + P (TTH) =1/8+1/8+1/8 = 3/8
P(X=2) = P (HHT) +P (HTH) +P (THH) = 1/8+1/8+1/8 = 3/8,
P(X=3) = P (HHH) = 1/8 X=x 0 1 2 3
P(X=x) 1/8 3/8 3/8 1/8
 Probability density function(continuous probability
distribution): is a probability distribution whose random variable
is continuous.
 Probability of a single value is zero and probability of an interval

is the area bounded by curve of probability density function and

interval on x-axis.
 Let a and b be any two values; a <b. The prob. that X assumes a

value that lies b/n a and b is equal to the area under the curve a
and b.
 Since X must assume some value, it follows that the total area

under the density curve must equal 1.

 If f(x) is a probability density functions:
Then f(x) ≥0
And 


f ( x ) dx  1
6.3 PROBABILITY MASS FUNCTION, EXPECTATION
AND VARIANCE OF A DISCRETE RANDOM VARIABLE
 Every discrete random variable X has a point associated with it.
The points collectively are known as a probability mass function
which can be used to obtain probabilities associated with the
random variable.
 Let X be a discrete random variable, then the probability mass

function is given by
 f(x) = P(X=x), for real number x.
 A function is probability mass function
f(x) ≥0 and  f ( x)  1
all x
Expected Value (Mean)
 Let X be a discrete random variable X whose possible values
are X1, X2 …., Xn with the probabilities P(X1), P(X2),P(X3),
…….P(Xn) respectively.
 Then the expected value of X, E(X) is defined as:
 E(X) =X1P(X1) +X2P(X2) +……..+XnP (Xn)
n
E( X )   X PX
i 1
i  xi 

 Properties of expected value

If C is a constant then E(C) = C
E (CX) =CE(X), Where C is constant.
E (X+C) =E(X) +C, Where C is a constant.\
E(X + Y)= E(X) +E(Y)
Variance
 If X is a discrete random variable with expected value µ (i.e.
E(X) = µ), then the variance of X, denoted by Var (X), is defined
by
 Var (X) = E(X- µ) 2

= E (X2) - µ2
n 2
=  ( xi ) P  xi  - µ2
i 1
n
( xi   X ) P  xi 
2

Alternatively, Var (X) = 

i 1
Properties of Variances
 For any r.v X and constant C, it can be shown that
Var (CX) = C2 Var (X)
Var (X +C) = Var (X) +0 = Var (X)
 If X and Y are independent random variables, then

Var (X + Y) = Var (X) + Var (Y)

 More generally if X 1, X2 ……, Xk are independent random

variables,
 Then Var(X1 +X2 +k …..+ Xk)k = Var(X1) +Var(X2) +…. + var(Xk)
 
 i.e Var ( x)    xi  
 i 1 
 Var X 
i 1
i

 If X and Y are not independent, then

 Var (X+Y) = Var(X) + 2Cov(X,Y) + Var(Y)
 Var(X-Y) = Var(X) – 2Cov(X,Y) + Var(Y)
 6.3 COMMON DISCRETE PROBABILITY
DISTRIBUTIONS
 Binomial Distribution
 The origin of binomial experiment lies in Bernoulli trial.

Bernoulli trial is an experiment of having only two mutually

exclusive outcomes which are designated by “success(s)”
and “failure (f)”. Sample space of Bernoulli trial {s, f}
 Notation: Let probability of success and failure are p and q

respectively
P (success) = P(s) = p and P (failure) = P (f) = q, where q= 1- p
 Definition: Let X be the number of success in n repeated
Binomial trials with probability of success p on each trial,
then the probabilities distribution of a discrete random
variable X is called binomial distribution.
 Let P = the probability of success
q= 1-P= the probability of failure on any given trial.
 A binomial random variable with parameters n and p represents
the number of r successes in n independent trials, when each
trial has P probability of success
 If X is a random variable, then for i= 0, 1, 2… n
n! nr
P(x=r)= r !n  1! P r
(1  P ) X  Binomial probability distribution formula

n!
Pr q 
nr
whereq  1  P
r ! n  r !
ASSUMPTIONS
 A binomial experiment is a probability experiment that satisfies the
following requirements called assumptions of a binomial distribution.
1. The experiment consists of n identical trials.
2. Each trial has only one of the two possible mutually
exclusive outcomes, success or a failure.
3. The probability of each outcome does not change from trial
to trial.
4. The trials are independent.
 If X is a binomial random variable with two parameters n
and P, then
E (X) = n.p.
Var ( X) = npq
2.Poisson distribution
 Itis a discrete probability distribution which is used in
the area of rare events such as
number of car accidents in a day,
arrival of telephone calls over interval of times,
number of misprints in a typed page
natural disasters Like earth quake, etc,
 A Poisson model has the following assumptions
The expected occurrences of events can be estimated from
past trials ( records)
The numbers of success or events occur during a given
regions / time intervals are independent in another.
 Definition: Let X be the number of occurrences in a Poisson
process and λ be the actual average number of occurrence of an
event in a unit length of interval, the probability function for
Poisson distribution is,


 e  x
P(X=x)= 
X!
forX  0,1, 2,....


 0, otherwise

Remarks
 Poisson distribution possesses only one parameter λ

 If X has a Poisson distribution the parameter λ, then E (X) =λ

and Var (X) =λ

i.e. E (X) = Var (X) = λ

 And  P( X
x 0
 x)  1
6.4 COMMON CONTINUOUS PROBABILITY DISTRIBUTIONS

6.4.1 Normal Distributions

 It is the most important distribution in describing a continuous
random variable and used as an approximation of other
distribution.
 A random variable X is said to have a normal distribution if its

probability density function is given by

1
1   x 
2

f ( x)  e 2 2
 2

 Where X is the real value of X,

i.e. - ∞ <x< ∞, -∞<µ<∞ and σ>0
 Where µ=E(x) (σ) 2 = variance(X)
 µ and (σ) 2 are the Parameters of the Normal Distribution.
Properties of Normal Distribution:
 It is bell shaped and is symmetrical about its mean. The
maximum coordinate is at x =  X
 The curve approaches the horizontal x-axis as we go either

direction from the mean.

 Total area under the curve sums to 1, that is
  1
1   x   2
 f ( x)dx  
 2
e

2
dx  1

 The Probability that a random variable will have a value

between any two points is equal to the area under the curve
between those points.
 The height of the normal curve attains its maximum at this

implies the mean and mode coincides(equal)

6.4.2 Standard normal Distribution
 It is a normal distribution with mean 0 and variance 1.
 Normal distribution can be converted to standard normal
distribution as follows:
 If X has normal distribution with mean X
and standard
x
Z
deviation , then the standard normal distribution Z is given by 
2
1 z
P(Z)= 2
e 2

 Properties of the standard normal distribution:

The same as normal distribution, but the mean is zero and the
variance is one.
Areas under the standard normal distribution curve have been
tabulated in various ways.
The most common ones are the areas between Z = 0 and a
positive value of Z.
 Given a normal distributed random variable X with mean µ and
standard deviation σ

b x a

P(b<x<a)  P(





)

 x a   a

P( X  a)  P    P Z  
      
NOTE:
i ) P ( a  X  b)  P ( a  X  b)
 P ( a  X  b)
 P ( a  X  b)
ii ) P(  X  )  1
iii ) P(a  Z  b)  P( Z  b)  P( Z  a ) for b  a
Examples:
1. Find the area under the standard normal distribution which lies
Z  0 and Z  0.96
a) Between
Area  P(0  Z  0.96)  0.3315
Solution:
Z  1.45 and Z  0
b) Between
Area  P (1.45  Z  0)
Solution:  P (0  Z  1.45)
 0.4265
Z  0.35
c) To the right of
SOLUTION : Area  P ( Z  0.35)
 P ( 0.35  Z  0)  P ( Z  0)
 P (0  Z  0.35)  P ( Z  0)
 0.1368  0.50  0.6368
  Example : A random variable X has a normal distribution with mean 80 and
standard deviation 4.8. What is the probability that it will take a value?
a. Less than 87.2
b. Greater than 76.4
c. Between 81.2 and 86
 Solution: X is normal with mean, µ=80, standard deviation, δ=4.8
a. P(X<87.2)=P()=P(Z<)=P(Z<1.5)
 = P (Z<0) + P (0<Z<1.5) = 0.5 + 0.4332 = 0.9332
a. P(X>76.4)=P()=P(Z>)=P(Z>-0.75)
 = P (Z>0) + P (0<Z<0.75) = 0.5 + 0.2734 = 0.7734
a. P(81.2<X<86.0) = P() = P()
 = P (0.25<Z<1.25) = P (0<Z<1.25) – P (0<Z<0.25)
 = 0.3934-0.0987= 0.2957