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ELEMENTARY PROBABILITY THEORY

Probability functions of random variables are some of the most


important concepts of probability theory. Thus, an understanding
of these concepts must be emphasized. This chapter will explore
the probability distributions and densities as well as their related
terms. This is deemed important before we proceed in discussing
probability functions which involve specific distributions.
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1
ELEMENTARY PROBABILITY THEORY
4.1 Probability Functions of Discrete Random Variables
We have been introduced to the concept of random variables
earlier. However, let us revisit the definition of a random variable.
A random variable is an outcome of the sample space S from a
random experiment with a given function X that assigns each
element s in S a real number X(s) x. It can be written as
{x: X(s) x, s S} in which sS refers to an element s that
belongs to the set S. For a discrete random variable X, the
probability P(Xx) is normally written as f(x). f(x) is known as the
probability density function (p.d.f). Sometimes, it is also called
the probability function, the frequency function or the probability
mass function.
Theorem 4.1
The probability function of a discrete random variable f(x) has the
following properties:
a) f(x) 0, x R.
b) xR f(x) 1.
c) P(XA) xA f(x) , where A R.
Example 4.1
Let
55
) (
x
x f
for x1,2,3,,10 be the probability function of a
discrete variable X. It is said to be a probability function because it
satisfies the following conditions:
f(x) 0, x R such that:
.
55
10
) 10 ( ,...,
55
3
) 3 ( ,
55
2
) 2 ( ,
55
1
) 1 ( f f f f
xR f(x) 1 such that:

. 1 ) 10 ( ... ) 3 ( ) 2 ( ) 1 ( + + + + f f f f
63
PROBABILITY FUNCTIONS OF RANDOM VARIABLES
Example 4.2
A fair coin is tossed three times with the probability of obtaining a
Head is P(H) and the probability of obtaining a Tail is P(T)
.
The sample space formed from these three tosses is
S{HHH, HHT,HTH,HTT,TTT,TTH,THT,THH}.
while the probability of obtaining each sample point is:
P(HHH)
1
/8 P(HHT)
1
/8
P(HTH)
1
/8 P(HTT)
1
/8
P(TTT)
1
/8 P(TTH)
1
/8
P(THT)
1
/8 P(THH)
1
/8
Let X be a random variable in the sample space S for obtaining a
Tail in the tossing of a coin. Then,
X(HHH) 0
X(HHT)1, X(HTH)1 , X(THH)1
X(HTT)2, X(TTH)2, X(THT)2
X(TTT)3
The image of set S is X(S){0,1,2,3}. Then the probability
function of X is :
f(0) P(HHH)
1
/8
f(1) P(HHT,KHTH,THH)
1
/8 +
1
/8 +
1
/8
3
/8
f(2) P(HTT,TTH,THT)
1
/8 +
1
/8 +
1
/8
3
/8
f(3) P(TTT)
1
/8
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ELEMENTARY PROBABILITY THEORY
The probability function of X can be represented in a tabular form
as follows:
xi 0 1 2 3
f(xi)
Example 4.3
A fair die is tossed two times. Let X represents the sample point
(a,b) in the sample space S where X(a,b) a + b - 2. X is also a
random variable in S with the image set of X(S)
{0,1,2,3,4,5,6,7,8,9,10}. Consequently, a probability function f(x)
is obtained as follows:
xi 0 1 2 3 4 5 6 7 8 9 10
f(xi)
The graph of the probability function X is shown in diagram 4.2.
65
36
3
36
4
36
5
36
6
36
3
36
4
36
5
36
2
36
1
36
1
36
2
8
1
8
3
8
3
8
1
Diagram 4.1
Probability Function X
0
1/8
1/4
3/8
0 1 2 3
x
f(x)
0 1 2 3 x
PROBABILITY FUNCTIONS OF RANDOM VARIABLES
0
1/36
1/18
1/12
1/9
5/36
1/6
0 1 2 3 4 5 6 7 8 9 10
x
f(x)
Example 4.4
Find the value of k for each of the following probability function
of the random variable X:
a)
k
x
x f
2
) ( x1, 2, 3, 4.
b)
2
) 1 ( ) ( + x k x f x 2, 3, 4, 5.
c)
x
k x f
,
_

2
1
) ( x1, 2, 3.
Solution
The values of k can be obtained if the following condition is
satisfied
xR f(x) 1.
a) f(1) + f(2) + f(3) + f(4) 1.
66
Dig 4.2:
Probability Function X
x
ELEMENTARY PROBABILITY THEORY
( )
. 30
1 16 9 4 1
1

+ + +
k
k
b) f(2) + f(3) + f(4) + f(5) 1.

( )
.
86
1
1 36 25 16 9

+ + +
k
k
c) f(1) + f(2) + f(3) 1.
( )
.
7
8
1
8
1
4
1
2
1

+ +
k
k
Example 4.5
For the probability function
x
x
k x f
,
_

1
) ( , x 0, 1, 2, obtain
the value of k and find P(X10).
Solution
The function
x
k x f
,
_

2
1
) ( , is a geometric series with a k and
r . The following formulae shall be used:
1 ,
1
<

r
r
a
S and
( )
.
1
1
r
r a
S
n
n

The infinite sum of the series 1


1 2
1
) (

,
_

r
a
is k x f
x
then,
.
2
1
1
2
1
1

k
k
67
PROBABILITY FUNCTIONS OF RANDOM VARIABLES
4.2 Distribution Function or the Cumulative Distribution of
the Discrete Random Variable
Definition
In general, the distribution function or the cumulative distribution
of the discrete random variable X with F: R R is defined as
follows:
x) P(X F(x)
The distribution function F(x) of the discrete random variable X is
defined as follows:

x x
i
i
) f(x F(x)
-< x<
Theorem 4.2
If F(x) is the distribution function of the discrete random variable
X, then it must satisfy the following conditions:
1. F(-)0;
2. F()1;
3. If p < q, then F(p) F(q) for any real numbers p and q.
68
ELEMENTARY PROBABILITY THEORY
Example 4.6
Let X represents the random variable with the probability function
and the distribution function as follows:
x 1 3 5 7
f(x)
16
1
16
3
16
5
16
7
F(x)
16
1
16
4
16
9
16
16
Graphically, the distribution function of the random variable is X
is shown below :
0
1/ 8
1/ 4
3/ 8
1/ 2
5/ 8
3/ 4
7/ 8
1
Example 4.7
Show that the function
19
3
) (
2
+

x
x F for x1, 2, 3, 4 satisfies
the conditions of a distribution function of X.
Solution
,
19
4
1 ) F( ,
19
7
2 ) F( ,
19
12
3 ) F(
. 1 4 ) F(
69
1 3 5 7

x
F(x)
Diagram 4.3:
Distribution Function X
PROBABILITY FUNCTIONS OF RANDOM VARIABLES
F(-)0;
F()1;
F(1)< F(2)< F(3)< F(4).
Theorem 4.3
For the random variable X with the probability function f(x) and
the distribution function F(x), and also
, x . x x x
n 3 2 1
< < < < ..
then
) ( )
1 1
x F f(x
and ( ) ( ) ( )
i i i
x F x F x f
+ + 1 1
for i 1, 2, 3,
, n.
Example 4.8
The distribution function of X is as follows::

'

<
<
<
<
<

10 1
10 7
10
9
7 5
5
3
5 3
5
2
3 1
5
1
1 0
) (
x
x
x
x
x
x
x F

Find the probability function of X, P(X=3) and P(4 X 7)
70
ELEMENTARY PROBABILITY THEORY
Solution
The probability function of X is :
x 1 3 5 7 10
f(x)
5
1
5
1
5
1
10
3
10
1
.
5
1
) ( ) 3 (
3
3


x
x f X P
.
2
1
10
3
0
5
1
0 ) 7 ( ) 6 ( ) 5 ( ) 4 ( ) ( ) 7 4 (
7
4
+ + + + + +

f f f f x f X P
x
4.3 Joint and Marginal Probability Functions of Discrete
Random Variables
We have been dealing with probability functions involving just a
single random variable. However, if two or more variables are
involved, then the probability function is known as the joint
probability function.
Definition
If X and Y are discrete random variables with a probability
function f(x,y)P(Xx,Yy) for every (x,y) in the ranges of X and
Y, then this function is known as the joint probability function of
X and Y.
Theorem 4.4
The discrete bivariate function becomes a joint probability
function if it satisfies the following conditions:
a) f(x,y) 0 for every pair (x, y) in the domain.
b)
( ) 1 ,

x y
y x f
, for all pairs in the domain.
71
PROBABILITY FUNCTIONS OF RANDOM VARIABLES
The joint probability function of the pairs (xi , yi) is given below in
a tabular form:
Y
X y1 y2 ym Jumlah
x1 f(x1,y1) f(x1,y2) ... f(x1,ym) f1 (x1)
x2 f(x2,y1) f(x2,y2) ... f(x2,ym) f1(x2)
... ... ... ... ... ...
xn f(xn,y1) f(xn,y2) ... f(xn,ym) f1(xn)
Total f2(y1) f2(y2) ... f2(ym)
Definition
Given X and Y are discrete random variables, then the joint
distribution function or joint cumulative distribution is as follows:
< < < <
x a y b
y x b a f y Y x X P y x F . , ; ) , ( ) , ( ) , (
where f(a, b) is the value of the joint probability function of X and
Y at (a,b).
Definition
If f(x,y) is the value of the joint probability functions of the
discrete random variables X and Y, then the marginal probability
function of the random variable X is:

y
y x f x f ) , ( ) (
1
while the marginal probability function of the discrete random
variable Y pula is :

x
y x f y f ) , ( ) (
2
72
ELEMENTARY PROBABILITY THEORY
Example 4.9
The joint probability function of the discrete random variables X
andY is given as:

'
+

otherwise. 0
3; y 0 , 4 x 0 3y)k (x
y) f(x,
Construct a joint probability function of X and Y. Find the value of
k, marginal distribution of X, marginal distribution of Y,
P(X=4,Y=3) and P(X >1, Y 2)

Solution
The joint probability function of X and Y table is given below:
Y
X 0 1 2 3 Total
0 0 3k 6k 9k 18k
1 k 4k 7k 10k 22k
2 2k 5k 8k 11k 26k
3 3k 6k 9k 12k 30k
4 4k 7k 10k 13k 34k
Jumlah 10k 25k 40k 55k 130k
The marginal probability function of X table is given below
X 0 1 2 3 4
f1(x) 18k 22k 26k 30k 34k
The marginal probability function of Y table is given below
Y 0 1 2 3
f2(y) 10k 25k 40k 55k
73
PROBABILITY FUNCTIONS OF RANDOM VARIABLES
.
130
1
1 130
1 ) , (

k
k
y x f
x y
.
130
13
13 ) 3 , 4 ( k Y X P
130
54
1 2
54
10 7 4 9 6 3 8 5 2
) , ( ) 2 , 1 (

+ + + + + + + +
>
>
k
k k k k k k k k k
y x f Y X P
x y
4.4 Conditional Probability Function of a Discrete Random
Variable
We have already known that a conditional probability is defined
as:
) (
) (
) (
Y P
Y X P
Y X P

which is the probability of X given Y.


Similarly, the probability of Y given X is:
) (
) (
) (
X P
Y X P
X Y P

.
We will use a similar concept to define the conditional probability
function of a discrete random variable.
Definition
If two joint random variables X and Y have a joint probability
function
) , ( y x f
and marginal probability functions
) (
1
x f

74
ELEMENTARY PROBABILITY THEORY
and
) (
2
y f
respectively. Then, the conditional probability
function of X given Y is:
( )
) (
) , (
2
y f
y x f
y x f
with the condition
0 ) (
2
> y f
Similarly, the conditional probability function of Y given X is:
( )
) (
) , (
1
x f
y x f
x y f
with the condition
0 ) (
1
> x f
Example 4.10
The joint probability function of the discrete random variables X
and Y is given as:

'

otherwise
; , , , , , , , , 4 3 2 1 0 y ; 4 3 2 1 0 x
0
130
) y x 3 (
) y , x ( f
Find:
a)
), ( y x f

b)
), ( x y f

c)
), 3 (x f

d)
( ), 1 2 Y X P

e)
( ). 2 3 X Y P

75
PROBABILITY FUNCTIONS OF RANDOM VARIABLES
Solution
a)

y
y x f x f ) , ( ) (
1
( )


+
+
3 0
130
1
1
130
6 12
3 ) (
y
x
y x x f
is written as:

and

x
y x f y f ) , ( ) (
2

( )


+
+
4 0
2
130
30 5
3 ) (
x
y
y x y f
is written as
otherwise
; 3 , 2 , 1 , 0 y
0
130
30 y 5
) y ( f
2

'
+

then
30 5
3
) (
) , (
) (
2
+
+

y
y x
y f
y x f
y x f
is written as:
otherwise
; 4 , 3 , 2 , 1 , 0 x
0
30 y 5
y x 3
) y x ( f

'

+
+

76
otherwise.
4; 3, 2, 1, 0, x
0
130
6 12x
(x) f
1

'
+

ELEMENTARY PROBABILITY THEORY


b)
6 12
3
) (
) , (
) (
1
+
+

x
y x
x f
y x f
x y f
otherwise
; 3 , 2 , 1 , 0 y
0
6 x 12
y x 3
) x y ( f

'

+
+

c)
.
45
3 3
30 5
3
) (
) , (
) 3 (
2
+

+
+

x
y
y x
y f
y x f
x f
d) ( ) .
35
7
30 5
1 6
) 1 2 ( 1 2
+
+
f Y X P
e) ( ) .
30
9
6 24
3 6
) 2 3 ( 2 3
+
+
f X Y P
77
Exercise 4.1
1..4ohonto
Ch
PROBABILITY FUNCTIONS OF RANDOM VARIABLES
1. Show that
) 1 (
2
) (
+

m m
x
x f
for x1,2,,m is
probability function that satisfies the conditions of
probability function of a discrete random variable.
2. Show that
( )
30
1
) (
2
+

x
x f for x0,1,2,3. is probability
function that satisfies the conditions of probability
function of a discrete random variable.
3.
4. Sketch the graph of the probability function
x x f
15
1
) (
, x1, 2, 3, 4, 5 of the random variable X.
5. Find the value of q in each of the following probability
functions of X that satisfy the conditions of a discrete
random variable:
a)
x
q
x f
2
) (
x 1, 2, 3, 4.
b)
,
_

+
3
1
) ( x q x f
x 2, 3, 4, 5.
c)
2
1
) (
,
_

x
q x f x 1, 2, 3.
6. Construct a table for the probability function given below:
( )

'
+

otherwise
y x k y x
y x f
0
3 0 , 3 0 2
) , (
2
Find
a) k,
b) P(X2)
78
ELEMENTARY PROBABILITY THEORY
c) P(X2, Y1)
The joint probability function of the random variables X
and Y is given as:

'


,
_

otherwise
y x m
y x
y x f
0
3 0 , 3 0
3
) , (
Find:
a) the value of m,
b) the marginal probability function of X,
c) the marginal probability function of Y,
d)
) 3 , 2 ( Y X P
,
e)
) 2 , 1 ( > > Y X P
.
7. The joint probability function of the random variables X
and Y is given as:

'

,
_

otherwise.
2; y 0 , 3 x 0
0
96
5y 2x
y) f(x,
Find:
a)
( ) y x f
b)
( ) x y f
c)
( ) 2 Y X P
d)
( ) 2 1 Y X P
e)
( ) 1 2 X Y P
79