Applied Statistics

Lecture (3)
Random Variables, Probability Distributions and
Mathematical Expectation
Presented by:
Dr. Hany Gomaa Ahmed Radwan
Associate Professor- Irrigation and Hydraulics Dept.
Faculty of Engineering- Cairo University
Lecture 3– Page 1

Course Outline
Chapter 1: Introduction
Chapter 2: Organizing and Graphing Data
Chapter 3: Basic Probability Concepts
Chapter 4: Random Variables, Probability Distributions
Chapter 5: Common Discrete Probability Distributions
Chapter 6: Common Continuous Probability Distributions
Chapter 7: Sampling Distributions
Chapter 8: Confidence Intervals
Chapter 9: Fundamentals of Hypothesis: Part I
Chapter 10: Fundamentals of Hypothesis: Part II
Chapter 11: Linear Regression Analysis
Chapter 12: Linear Regression and Correlation Analysis Lecture 3 – Page 2
 Course Outline
Chapter 1: Introduction
Chapter 2: Organizing and Graphing Data
Chapter 3: Basic Probability Concepts
Chapter 4: Random Variables, Probability Distributions
Chapter 5: Common Discrete Probability Distributions
Chapter 6: Common Continuous Probability Distributions
Chapter 7: Sampling Distributions
Chapter 8: Confidence Intervals
Chapter 9: Fundamentals of Hypothesis: Part I
Chapter 10: Fundamentals of Hypothesis: Part II
Chapter 11: Linear Regression Analysis
Chapter 12: Linear Regression and Correlation Analysis Lecture 3 – Page 3

Random Variable

 Random Variable
 Outcomes of an experiment expressed numerically
 e.g.: Toss a die twice; count the number of times
the number 4 appears (0, 1 or 2 times)

Lecture 3 – Page 4
 Discrete Random Variable

 Discrete random variable

 Obtained by counting (1, 2, 3, etc.)
 Usually a finite number of different values
 e.g.: Toss a coin five times; count the number of
tails (0, 1, 2, 3, 4, or 5 times)
 Examples of discrete RV
 the number of children in a family
 the number of patients in a doctor's clinic
 the number of defective light bulbs in a box of ten

Lecture 3 – Page 5

Continuous Random Variable

 Continuous random variable

 A continuous random variable is one which takes
an infinite number of possible values
 Continuous random variables are usually
measurements
 Examples of continuous RV
 The wind speed
 The yield stress of steel bars
 The water level in a lake
 The concentration of a chemical in river water
Lecture 3 – Page 6
 Discrete Probability
Distribution Example
Event: Toss two coins Count the number of tails

Probability Distribution
Values Probability

T 0 1/4 = 0.25
1 2/4 = 0.50
T 2 1/4 = 0.25

T T
Lecture 3 – Page 7

Discrete Probability Distribution

 List of all possible [Xj , P(Xj) ] pairs
 Xj = value of random variable
 P(Xj) = probability associated with value

 The expression P(X = Xj) considered as a function

of X is called the probability mass function of the
random variable X

0  P X j  1 P X  1
j

Lecture 3 – Page 8
 Discrete Probability Distribution
 f (X) is an appropriate probability density
function if the following two conditions are
satisfied:-
0  f ( X )  1.0 F ( x)   f ( X )  1.0
all X

Previous coins Example:

X f(X)
0  f ( X )  1.0 0 0.25
1 0.5
2 0.25
Lecture 3 – Page 9

Discrete Probability Distribution

 F(X):The Cumulative Probability Function
 The expression P(X  Xj) considered as a function of
X is called the distribution function (Cumulative
probability function) of the random variable X which
is denoted as F(X)
F(X )   f (X )
t X
Previous coins Example:
X f(X) F(X)
F ( X )   f ( X )  1.0 0 0.25 0.25
t X 1 0.5 0.75
2 0.25 1.0

Lecture 3 – Page 10
 Discrete Probability Distribution
Example:
Cumulative probabilities
Probability mass function of X (Distribution function of X)
Xj f (X ) = P (X=X j ) Xj F (X ) = P (X X j )
0 0.05 0 0.05
1 0.15 1 0.2
2 0.329 2 0.529
3 0.133 3 0.662
4 0.127 4 0.789
5 0.111 5 0.9
6 0.1 6 1

0  f ( X )  1.0 F ( X )   f ( X )  1.0
t X

Lecture 3 – Page 11

Probability Distribution of a Discrete

Random Variable
Distribution function Probability mass function
Cumulative probabilities Probability mass function of X
(Distribution function of X) Xj f (X ) = P (X=X j )
Xj F (X ) = P (X X j ) 0 0.05
0 0.05 1 0.15
1 0.2 2 0.329
2 0.529 3 0.133
3 0.662
4 0.127
4 0.789
5 0.111
5 0.9
6 0.1
6 1

Khaled H. Hamed
 Example 1

Check if f (x) is a probability function

x 1 2 3

f (x ) 0.1 0.5 0.4

F (x ) 0.1 0.6 1.0

1. ƒ(x) ≥ 0 for all x

2. Σ ƒ(x) = 1
It is a probability function

Lecture 3 – Page 13

Example 2
If f(x)= (x3 +1)/ 40 for x = 0, 1, 2, 3
Check if f(x) is a probability function
Solution
Check the two conditions
x 0 1 2 3

f (x) 1/40 2/40 9/40 28/40

F(x) 1/40 3/40 12/40 40/40

1.ƒ(x) ≥ 0 for all x

2.Σ ƒ(x) = 1
It is a probability function
Lecture 3 – Page 14
 Example 3

f (x) =1/x x = 1, 2, 3, 4
Check if f(x) is a probability function
Solution
x 1 2 3 4

f (x) 1 1/2 1/3 1/4

F (x) 1 1.5 …. …

Σ f (x) > 1  it is not a probability function

Lecture 3 – Page 15

Example 4

f (x) = 0.5( x-1)2 x = 0,1, 2

Check if f (x) is a probability function
Solution x 0 1 2

f (x) 0.5 0 0.5

F(x) 0.5 0.5 1.0

1.ƒ(x) ≥ 0 for all x
2.Σ f (x) = 1
it is a probability function
Lecture 3 – Page 16
 Example 5

f (x) = 0.25x -1 x = 0,4, 8

Check if f (x) is a probability function

Solution
x 0 4 8

f (x) -1

F(x)

f (0) = - 1 it is not a probability function

Lecture 3 – Page 17

Probability Distribution of a
Continuous Random Variable
 A continuous random variable is one which takes an
infinite number of possible values. Continuous
random variables are usually measurements.
 If the random variable X is of the continuous type, f
(X) is a continuous function and is called probability
density function (pdf)
b
P ( a  X  b)   f ( X ) dX
a
 A function can be a pdf under two conditions

f (X )  0 for all values of X and  f (X ) dX

 1.0
Lecture 3 – Page 18
 Probability Distribution of a
Continuous Random Variable

 The cumulative probability function or the

Distribution function F(X) is given by

Therefore d
X
f (X ) 
F(X )   f ( X ) dX

dX
F(X )

Lecture 3 – Page 19

Probability Distribution of a
Continuous Random Variable

Probability density function

(pdf)

Distribution function

a b x
Lecture 3 – Page 20
 Example 6
f (x) = x 0< x<1
2–x 1≤x< 2
0 elsewhere
Check if f (x) is a probability density function or not
Solution
x 0 1 2 >2

f (x) 0 1 0 0
1 2
 1 2
x2  x2


f ( x ) dx  0 x dx  1 (2  x ) dx 
2
  2x  
 2 1
0

 0.5  (4  2)  (2  0.5)   1

f (x) is a probability density function
Lecture 3 – Page 21

Example 7

If f ( x)  kx3 0  x 1
0 elsewhere

is a probability density function . Find k

Solution 

k x 1
3


1
1
 k x4  k
0  
   4  1
3
k x  4
 0  
k  4
Lecture 3 – Page 22
 Example 8
 The water level of a certain reservoir ( in meters ) can be described as a
random variable X with probability density function  ( continuous ):
f ( X ) = c ( X – 1 ) ( 2 – X ) if 1  X ≤ 2
= 0 elsewhere.
Find the value of the constant c and determine the distribution function of the
random variable X.
Solution 2

 c (X  1) (2  X ) dX  1.0
1

1
c 1.0
6
  c = 6.
 The distribution function F(X) is found by computing P ( X ≤ x )
F (X) = 0 for X 1
X
F ( X )   6 ( X  1) (2  X ) dX   2 X 3  9 X 2 12 X  5 for 1  X  2
1

 1.0 for X  2.
Lecture 3 – Page 23

Mathematical Expectation

 The expected value (or expectation value,

or mathematical expectation, or mean, or
first moment) of a random variable is the
integral of the random variable with respect to
its probability distribution

 For discrete random variables, the integral is

replaced by a summation

Lecture 3 – Page 24
 (Discrete Variables)

 Expected value (the mean)

  E  X    X jP X j 
j
 e.g.: Toss 2 coins, count the number of tails,
compute expected value X f(X)
0 0.25

   X j P( X j )
1 0.5
2 0.25
j

 (0) (0.25)  (1) (0.5)  (2) (0.25) 1

Lecture 3 – Page 25

(Discrete Variables)
(continued)

 Variance
 2  E  X        X j    P  X j 
2 2

 
 e.g. Toss two coins, count number of tails, compute
variance
X f(X)
0 0.25

 2   X j    P  X j 
2 1 0.5
2 0.25

  0  1 .25  1  1 .5   2  1 .25  .5

2 2 2

Lecture 3 – Page 26
 (Continuous Variables)

 Mean

  E ( X )   X f ( X ) dX


 Variance

 2  E [ ( X   ) 2 ]   ( X   ) 2 f ( X ) dX


Lecture 3 – Page 27

Properties of Mathematical
Expectation
 The expected value of a constant is equal to
the constant itself  E(C) = C
 If X and Y are random variables such that
XY, then E(X)  E(Y)
 The expected value operator (or expectation
operator) E is linear
 E(X+C) = E(X) + C
 E(X + Y) = E(X) + E(Y)
 E(aX) = a E(X)
2 2
 Prove that the variance of X = E(X ) - [E(X)]
Lecture 3 – Page 28
 Example 9
Compute the expected flow rate and the variance

P(Xi) Hydrologic condition Annual flow

0.2 Flooding 100 Bm3

0.5 Normal 80 Bm3

0.3 Drought 40 Bm3

Solution
E ( X )   X  (100)(0.2)  (80)(0.5)  (40)(0.3)  72 Bm3

 X2  (100  72)2 (0.2)  (80  72)2 (0.5)  (40  72)2 (0.3)  496
Or
E [X 2 ]  X j
2
P (X j )  1002 (0.2)  802 (0.5)  402 (0.3)  5, 680
 X2  E [X 2 ]  E [X ]  5, 680  722  496
2

Lecture 3 – Page 29

Example 10
 The water level of a certain reservoir ( in meters ) has
f ( X ) = 6 ( X – 1 ) ( 2 – X ), 1  X ≤ 2
Find the expected value of the random variable X and its variance.
Solution
2 2
E (X )   6 t (t  1) (2  t ) dt  6  (t 3  3t 2  2t )dt
1 1

 6  t / 4  t  t   6 (4  8  4)  (1/ 4  1  1)   6 1/ 4  1.5

4 3 2 2

2 2
E (X 2 )   6 t 2 (t  1) (2  t ) dt  6  (t 4  3t 3  2t 2 )dt
1 1

 6  t / 5  3t / 4  2t / 3  6 ( 32 / 5  12  16 / 3)  ( 1/ 5  3 / 4  2 / 3)

5 4 3 2

 6  (23 / 60)  2.3

 2 (X )  E (X 2 )  [E (X )]2  2.3 1.52  0.05

Lecture 3 – Page 30
Lecture 3 – Page 31