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Geometric Random Variable: Agenda

1. The document discusses the geometric random variable and the negative binomial distribution. The geometric random variable models the number of trials until the first success in a sequence of Bernoulli trials. The negative binomial models the number of failures until the r-th success. 2. Key properties of the geometric distribution include its probability mass function p(1-p)^x, expected value of (1-p)/p, and variance of (1-p)/p^2. The memoryless property is also discussed. 3. The negative binomial distribution generalizes the geometric to model the number of failures until the r-th success. Its probability mass function is given in terms of r, p, x failures and x+r

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66 views4 pages

Geometric Random Variable: Agenda

1. The document discusses the geometric random variable and the negative binomial distribution. The geometric random variable models the number of trials until the first success in a sequence of Bernoulli trials. The negative binomial models the number of failures until the r-th success. 2. Key properties of the geometric distribution include its probability mass function p(1-p)^x, expected value of (1-p)/p, and variance of (1-p)/p^2. The memoryless property is also discussed. 3. The negative binomial distribution generalizes the geometric to model the number of failures until the r-th success. Its probability mass function is given in terms of r, p, x failures and x+r

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Lecture 13

Agenda
1. Geometric Random Variable
2. Negative Binomial Distribution

Geometric Random Variable


Consider an experiment which consists of repeating independent Bernoulli
trials until a success is obtained. Assume that probability of success in each
independent trial is p.
Let X be the number of trials before the first success.
Range(X) = {0, 1, 2, 3, . . .}
P (X = x) = P ( first x trials are failure and x + 1-th trial is success)
= (1 p)x p
= p(1 p)x
Hence, we get the following equality

p(1 p)x = 1

x=0

Distribution function
Lets calculate the probability distribution function.
F (x) =
=
=
=

P (X x)
P ( you get a success at or before the (x + 1)th trial )
1 P ( first (x + 1) trials are all failures)
1 (1 p)(x+1)

Expectation and Variance


E(X) =

xp(1 p)x

x=0

= pq + 2pq 2 + 3pq 3 + 4pq 4 + . . . where q = 1 p

Multiplying both sides by q,


qE(X) = pq 2 + 2pq 3 + 3pq 4 + . . .
Hence subtracting the two equations we get,
E(X) qE(X) = pq + (2pq 2 pq 2 ) + (3pq 3 2pq 3 ) + (4pq 4 3pq 4 ) + . . .
(1 q)E(X) = pq + pq 2 + pq 3 + pq 4 + . . .
pq
p(1 p)
pE(X) =
=
= (1 p)
1q
p
(1 p)
E(X) =
p
Arguing along the same line V (X) =

(1p)
.
p2

Example
I am new to basketball and so I am practising to shoot the ball through
the basket. If the probability of success at each throw is 0.2,
how many times would I fail on average before a success occurs.
Let X denote the number of failures before I get a success. Now I assume
that the individual throws are independent of each other, which might not
be exactly true in real life. Under that assumption, X Geometric(0.2).
So the average number of times I would fail before a success = E(X) = 10.2
0.2
= 4.

Memoryless Property of the Geometric Distribution


Theorem 1. Let i, j be positive integers. X Geometric(p). Then
P (X i + j|X i) = P (X j)
2

Proof. First we notice that for x > 0,


P (X x) = 1 P (X x 1)
= 1 (1 (1 p)(x1)+1 )
= (1 p)x

Note that the formula holds for x = 0 also.

P (X i + j|X i) =
=
=
=
=

P ({X i + j} {X i})
P (X i)
P (X i + j)
P (X i)
(1 p)(i+j)
(1 p)i
(1 p)j
P (X j)

In other words, if I told you that there have been i failures initially, the
chance of atleast j more failures before the the first success; is exactly same
as if you started the experiment for the first time and the information of
initial i failures is not given to you.
CAUTION The textbook defines Geometric Random Variable in a slightly
different way. You dont have to worry about this, but if you are following
the textbook then you may remember that if we say X Geometric(p) then
textbook will say Y Geometric(p), where Y = X + 1. Its a matter of
definition.

Negative Binomial Distribution


The Geometric random variable corresponds to the number of failures before
the first success in a sequence of independent Bernoulli trials. The Negative
Binomial Random Variable corresponds to the number of failures before
the r-th success, for some positive integer r. So let the Bernoulli trials have
probability of success p.
3

X = number of failures before the r-th success


X is our Negative Binomial random variable with parameters r and p.
We observe that, Range(X) = {0, 1, 2, 3, . . .}.

Pmf
For x 0,
P (X = x) = P ( there will be x failures before the r-th success )
= P ( in the first x + r 1 trials there will be x failures and r 1 successes
and x + r-th trial is a success )


x + r 1 (r1)
=
p
(1 p)x p
x


x+r1 r
=
p (1 p)x
x

Homework ::

We shall follow our definition of Geometric Distribution.

For X Geometric(p), find E(X(X1)) using methods similar


for E(X); then deduce the formula for V (X).
3.72, 3.78
For 3.76, the expression should be P (Y y0 ) 0.1
For 3.77, you have to show P (Y = an even integer ) =

p
1q 2

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