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BSC-301 - Probability - Distribution 1

This document discusses random variables and their classification as discrete or continuous. It defines a random variable as a function that maps outcomes of a random experiment to real numbers. Discrete random variables take on countable values, while continuous random variables take on values within an interval. The probabilities of discrete random variables are given by a probability mass function (PMF), while continuous random variables are defined by a probability density function (PDF). The document provides examples and properties of PMFs and PDFs, and explains how probabilities are calculated for intervals of continuous random variables using integrals of the PDF.

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91 views

BSC-301 - Probability - Distribution 1

This document discusses random variables and their classification as discrete or continuous. It defines a random variable as a function that maps outcomes of a random experiment to real numbers. Discrete random variables take on countable values, while continuous random variables take on values within an interval. The probabilities of discrete random variables are given by a probability mass function (PMF), while continuous random variables are defined by a probability density function (PDF). The document provides examples and properties of PMFs and PDFs, and explains how probabilities are calculated for intervals of continuous random variables using integrals of the PDF.

Uploaded by

Precisive One
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Course Name: Mathematics & Statistics III (BSC-M301)

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Random Variable

Consider the random experiment E of tossing a coin twice in succession.


The sample space S is given by S ={HH, HT, TH,TT} (∵ 22 = 4)
Let us define a variable X as
X – ‘Number of heads obtained’
We see that X(HH) = 2 , X(HT) = 1 = X(TH), X(TT) = 0

Thus we see that X takes the values 0,1 and 2 based on the outcomes of
the sample space.

Hence we observe the following things:


X acts like a function from sample space(S) to the set of real numbers(R)
The domain of X is S while the range of X is {0,1,2}
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Such a real valued function X defined over the sample space of any
random experiment is called a random variable.
The word ‘random’ used here refers to the fact that one cannot predict its
value at the first.

There are two types of random variables:

 Discrete random variable

 Continuous random variable

A random variable is denoted by a capital English alphabet


For example: X – ‘Number of heads obtained’
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Discrete random variable


A random variable is said to be discrete if its range consists of a finite or at
most countably infinite number of mass/isolated points from the real axis.
For example a random variable X is discrete if it takes up the mass points
𝑥1 , 𝑥2 , 𝑥3 , … … 𝑥𝑛 where n is a finite natural number. Here the range of X is
finite i.e. n
The points 𝑥1 , 𝑥2 , 𝑥3 , … … 𝑥𝑛 are called mass/isolated points.
In the previous example X was a discrete random variable whose range
consist of 3 points and they were 0,1,2.
Since the no. of mass points taken by a discrete random variable is finite or at
most countably infinite so it is possible for us to determine
𝑃 𝑋 = 𝑥1 = 𝑝1 = 𝑓(𝑥1 )
𝑃 𝑋 = 𝑥2 = 𝑝2 = 𝑓(𝑥2 )
⋮ ⋮ ⋮
𝑃 𝑋 = 𝑥𝑛 = 𝑝𝑛 = 𝑓(𝑥𝑛 )
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

where 𝑝1 , 𝑝2 , … … 𝑝𝑛 are probabilities that the random variable takes the


values 𝑥1 , 𝑥2 , … … 𝑥𝑛 respectively.
We see that a new function 𝑓 𝑥 is defined which is depended on the mass
points of X and is known as probability mass function(pmf).
For example in the previous example the probability mass function can be
written as
1
𝑃 𝑋=0 = =𝑓 0
4
1
𝑃 𝑋 = 1 = = 𝑓(1)
2
1
𝑃 𝑋 = 2 = = 𝑓(2)
4
It is very easy to observe that for a pmf f(x),
(i) 𝑓 𝑥 ≥ 0
(ii) 𝑥 𝑓 𝑥 = 1 5
INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

The distribution of the probability values 𝑝1 , 𝑝2 , … … 𝑝𝑛 over the mass


points 𝑥1 , 𝑥2 , … … 𝑥𝑛 of a discrete random variable X can be written in a
tabular form as:

𝑃(𝑋 = 𝑥𝑖 ) 𝑥1 𝑥2 ………… 𝑥𝑛 Total

𝑓(𝑥𝑖 ) 𝑝1 𝑝2 …………. 𝑝𝑛 1

Such a distribution of the probabilities over the mass points of a discrete


random variable X is known as discrete probability distribution.

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Thus the discrete probability distribution of the random variable X of the


previous example is given by

𝑃(𝑋 = 𝑥𝑖 ) 0 1 2 Total

𝑓(𝑥𝑖 ) 1 1 1 1
4 2 4
Clearly we see that 𝑓 𝑥 ≥ 0
And also we find that,
1 1 1
𝑓 𝑥 = + + =1
4 2 4
𝑥
Hence f(x) is a possible probability mass function(pmf)

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Continuous Random variable

A random variable is said to be continuous if the range of X is an interval


i.e. if X is defined within an interval
For example (say) a < X < b or 𝑎 ≤ 𝑋 < 𝑏 𝑜𝑟 𝑋 ≥ 𝑎 𝑜𝑟 𝑋 ≤ 𝑏 𝑒𝑡𝑐.
Thus the number of mass points taken by a continuous random variable X
is uncountably infinite.
Let us consider a continuous random variable X defined as a < X < band let
a < c < b.
Now to find P (X = c ) is impossible since the number of mass points for a
cont. random variable being uncountably infinite.
Hence as a result we assume P( X = c ) = 0
Thus for each and every mass points in the interval (a , b) the probability
that X takes a specific value is assumed to be zero.
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Thus, the question is whether a probability function corresponding to


continuous random variable can be defined or not?
If we consider a continuous random variable X defined in the interval (a , b)
𝑑𝑥 𝑑𝑥
and let (𝑥 − , 𝑥 + ) be an infinitesimal small sub interval of (a, b) then
2 2
we see that
𝑑𝑥 𝑑𝑥
P (𝑥 − < X <𝑥 + ) >0
2 2
This is so because if we use the concept of definite integral as a limit of sum
then we will get
𝑑𝑥
𝑑𝑥 𝑑𝑥 𝑥+ 2
P (𝑥 − < X <𝑥 + ) = 𝑑𝑥 𝑓 𝑥 𝑑𝑥 > 0 , the function f(x) is known as
2 2 𝑥− 2
probability density function (pdf)
It is easy to see that if dx = 0 then P ( X = x) = 0, where x is a specific point in
the interval (a , b) as we have noticed earlier.
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Continuous Random Variable (Contd.)

Thus we are able to define a probability function corresponding to a


continuous random variable and is known as probability density
function(pdf).
We observe two important properties of a pdf and they are
 𝑓(𝑥) ≥ 0

∞
 −∞
𝑓 𝑥 𝑑𝑥 = 1
Thus for any continuous random variable X the probability that it lies in an
𝑏
interval (a , b) is given as 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝑎 𝑓 𝑥 𝑑𝑥.
This actually refers to the bounded area under the curve f(x), x = a , x = b
and x axis.
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Geometrically 𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) represents the shaded area in the figure

But the question is whether 𝑃 𝑎 < 𝑋 < 𝑏 𝑎𝑛𝑑 𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) are equal or
not?

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

To prove this, we consider a continuous random variable X in [a , b]


Then we can write
𝑎 ≤𝑋 ≤𝑏 =𝑎 <𝑋 <𝑏+𝑋 =𝑎+𝑋 =𝑏
Now taking probability on both sides we get,
𝑃 𝑎 ≤𝑋 ≤𝑏 =𝑃 𝑎 <𝑋 <𝑏 +𝑃 𝑋 =𝑎 +𝑃 𝑋 =𝑏
(since the events 𝑎 < 𝑋 < 𝑏, X = a and X = b are pairwise mutually exclusive)
As X is a continuous random variable so P(X= a) = P( X = b) = 0
∴ 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝑃(𝑎 < 𝑋 < 𝑏)
Similarly we can show that 𝑃 𝑎 ≤ 𝑋 < 𝑏 = 𝑃(𝑎 < 𝑋 < 𝑏)&
𝑃 𝑎 < 𝑋 ≤ 𝑏 = 𝑃(𝑎 < 𝑋 < 𝑏)

Thus we have the following result


𝑏
𝑃 𝑎 ≤𝑋 ≤𝑏 =𝑃 𝑎 <𝑋 <𝑏 =𝑃 𝑎 ≤𝑋 <𝑏 =𝑃 𝑎 <𝑋 ≤𝑏 = 𝑎
𝑓 𝑥 𝑑𝑥
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Thank You

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