Badji Mokhtar University - Annaba

Faculty of Technology ‫كلية التكنولوجيا‬

Common Core Technology Engineer Department

2023/2024 Dr Khodja and Dr Talhi

E-mail [email protected]

CHAPTER 2

Random Variables

Definition: A random variable, X is defined as a function from the sample space to the real
numbers: X: Ω → R.
A random variable therefore assigns a real number to every possible outcome of
a random experiment.
The distribution function:
Definition: The cumulative distribution function of a random variable X is given by
FX(x) = P(X ≤x)
FX(x) is often referred to as simply the distribution function.

Properties of the distribution function:

1. ∀𝑡 ∈ 𝑅: 0 ≤ 𝐹𝑋 ≤ 1.
2. FX(x) is a non-decreasing function of x: if x 1< x2 then FX(x 1) ≤ FX(x2).
3. lim FX (t) = 0 and lim FX (t) = 1.
𝑡→−∞ 𝑡→+∞
4. If a ≤ b then P (a ≤ X ≤ b) = FX (b) - FX (a).

I. Discrete random variables :

Definition: The random variable X is discrete if X takes values in a finite or countable subset
of R: thus, X: Ω → {x1, x2 . . . xn.}. When X is a discrete random variable, the distribution
function FX(x) is a step function.
 Badji Mokhtar University - Annaba
Faculty of Technology ‫كلية التكنولوجيا‬

Common Core Technology Engineer Department

Probability distributions for discrete random variables

Definition The probability distribution of a discrete random variable X is a list of each
possible value of X together with the probability that X takes that value in one trial of the
experiment.
i.e P: X(Ω)→[0;1]
xi → [X=xi] such X(Ω) = {x1, x2 . . . xn}

The probabilities in the probability distribution of a random variable X must satisfy the
following two conditions:

1. Each probability P(x) must be between 0 and 1: 0≤P(x) ≤1.

2. ∑𝑛𝑖=1 P(xi) =1.

Distribution function: ∀𝑥 ∈ 𝑅 FX(x) = ∑𝑥𝑖≤𝑥 P(X ≤ xi)

Example1: we roll a coin 3 times; the random variable X represents the number of piles

1. Find the probability law of X.

2. Determine the distribution function.

Answer: X (Ω) = {0.1.2.3}

The probability law of X:

Xi X1= 0 X2 = 1 X3 = 2 X4 =3 Total
P [X=xi] 1/8 3/8 3/8 1/8 ∑4𝑖=1 P(xi)
=1

The distribution function:

 Si x<0 →F(X) = 0
 Si 0≤X<1 → F(X) = 1/8
 Si 1≤X<2 → F(X) = 1/8+3/8 = 4/8
 Si 2≤X<3 → F(X) = 4/8+3/8 =7/8
 Si x≥3 → F(X) = 7/8+1/8 =1

The Mean and Standard Deviation of a Discrete Random Variable

Definition: The mean (also called the expected value) of a discrete random variable X is
the number
E(X) = ∑𝑛𝑖=1 xi P(X = xi)

The mean of a random variable may be interpreted as the average of the values assumed by
the random variable in repeated trials of the experiment.
 Badji Mokhtar University - Annaba
Faculty of Technology ‫كلية التكنولوجيا‬

Common Core Technology Engineer Department

Definition: The variance (we note it V(X) or σ2) of a discrete random variable X is the
number
V(X) = E(X2) – [E(X)] 2

V(X) = ∑𝑛 2 𝒏
𝑖=1 xi P(X = xi) - [ ∑𝒊=𝟏 𝐱 𝐢 𝐏(𝐗 = 𝐱𝐢)]
2

Definition: The standard deviation, σ, of a discrete random variable X is the square root of its
variance, hence is given by the formulas
σ(X) = √𝑉(𝑋)
The variance and standard deviation of a discrete random variable X may be interpreted as
measures of the variability of the values assumed by the random variable in repeated trials of
the experiment. The units on the standard deviation match those of X.

Example: A discrete random variable X has the following probability distribution:

Xi X1= -1 X2 = 0 X3 = 1 X4 = 4
P [X=xi] 0.2 0.5 a 0.1

1. Compute each of the following quantities: a, P (X = 0), P (X > 0),

P (X ≥ 0) and P (X ≤ -2).
2. Calculate the mean and the standard deviation.

Example: A pair of fair dice is rolled. Let X denotes the sum of the number of dots on the top
faces.

1. Construct the probability distribution of X.

2. Find P(X ≥ 9).
3. Find the probability that X takes an even value.

Answer:

1. X(Ω) = {2,3,4,5,6,7,8,9,10,11,12}

Xi 2 3 4 5 6 7 8 9 10 11 12
P [X=xi] 1/36 2/36 3/36 4/36 5/36 6/36 5/36 4/36 3/36 2/36 1/36

2. P(X≥9)=P(9) +P(10) +P(11) +P(12)

3. P(X is even)=P(2)+P(4)+P(6)+P(8)+P(10)+P(12).
 Badji Mokhtar University - Annaba
Faculty of Technology ‫كلية التكنولوجيا‬

Common Core Technology Engineer Department

II. Continuous Random Variables

Definition: The probability distribution of a continuous random variable X is an assignment
of probabilities to intervals of decimal numbers using a function f(x), called a density
function, in the following way: the probability that X assumes a value in the interval [a; b] is
equal to the area of the region that is bounded above by the graph of the equation y=f(x),
bounded below by the x-axis, and bounded on the left and right by the vertical lines through a
and b, as illustrated in Figure 2.1 .

Figure 2.1"Probability Given as Area of a Region under a Curve"

Every density function f(x) must satisfy the following two conditions:

1. For all numbers x, f(x)≥0, so that the graph of y = f(x)

2. The area of the region under the graph of y =f(x) and above the x-axis is 1.

Definition: The random variable X is continuous if the distribution function F X(x) is a

continuous function.

In practice, this means that a continuous random variable takes values in a continuous subset
of R
 Badji Mokhtar University - Annaba
Faculty of Technology ‫كلية التكنولوجيا‬

Common Core Technology Engineer Department

Probability Density Function for continuous random variables

Definition: the function f is said to be the probability density of X if and only if:

∗ 𝑓 ≥ 0 , ∀𝑥 ∈ 𝑅
∗ 𝑓 𝑖𝑠 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠
+∞

∗ ∫ 𝑓 (𝑥)𝑑𝑥 = 1
{ −∞

The distribution function FX(x) : It can be written in terms of the probability density
function, f(x), as follows:
𝑋

∀𝑥 ∈ 𝑅: 𝐹(𝑋) = ∫ 𝑓(𝑡)𝑑𝑡
−∞
Remark
For continuous random variables, every point x has P(X = x) = 0. This means that the
endpoints of intervals are not important for continuous random variables.
Thus, P (a ≤ X ≤ b) = P (a < X ≤ b) = P (a ≤ X < b) = P (a < X < b). This is only true for
continuous random variables.

Calculating probabilities for continuous random variables

To calculate P (a≤ X ≤ b), use either
𝑏
P (a≤ X ≤ b) = FX (b) – FX (a) or P (a≤ X ≤ b) =∫𝑎 𝑓 (𝑥 )𝑑𝑥.

The Mean and Standard Deviation of a Discrete Random Variable:

+∞
 The mean: E(X) = ∫−∞ 𝑥𝑓 (𝑥 )𝑑𝑥
 The Variance: V(X) = E(X2) – [E(X)] 2

+∞ +∞
V(X) = ∫−∞ 𝑥 2 𝑓 (𝑥 )𝑑𝑥 – [∫−∞ 𝑥𝑓(𝑥 )𝑑𝑥]2

 The standard deviation: σ(X) = √𝑉(𝑋)

Example 1: Let the function

2
f(x) = {3𝑥 𝑖𝑓 0 ≤ 𝑥 ≤ 1
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

1. F(x) is it a density function?.

2. Find the distribution function
3. Calculate E(X), V(X) and σ(X)

Example 2.
 Badji Mokhtar University - Annaba
Faculty of Technology ‫كلية التكنولوجيا‬

Common Core Technology Engineer Department

Let the function

𝛼
𝑖𝑓 𝑥 > 1
f(x) = { 𝑥3
0 𝑖𝑓 𝑥 < 1

for some constant 𝛼.

a) Find the value of 𝛼.
b) Find the mean and the variance of X.