Chapter I

SET THEORY
A. General Learning Objectives
Understanding basic concepts of set theory and able to apply it in sigma field
concept and function set.
B. Specific Learning Objectives
After learning this chapter, you are expected able to:
1. Determining whether a given set is a field or not.
2. Determining whether a given set is a-algebra or not.
3. Determining the value of a function set
1.1 Some Definition and Notation
We already know the general term of the set (S), that is a (well dened) collection
of distinct objects which we denote by s. The fact that s is a member of S, an
element of S, or that it belongs to S is expressed by writing s S. The negation
of the statement is expressed by writing s S. We say that S is a subset of S,
or that S is contained in S, and write S S, if for every s S , we have s S.
S is said to be a proper subset of S, and we write S S, if S S and there
exists s S such that s S . Sets are denoted by capital letters, while lower case
letters are used for elements of sets.

These concepts can be illustrated pictorially by a drawing called a Venn diagram

(Fig. 1.1). From now on a basic, or universal set, or space (which may be different
from situation to situation), to be denoted by S , will be considered and all other
sets in question will be subsets of S .

Definition 1.1

Power set of the set X is the set of all subsets of X. Power set usually denoted by
P(X) or 2 X
Example:
If X={a,b} then P( X ) {,{a},{b}, X }
In set theory we have to know some operations involving two or more sets, for
example:
1. The complement (with respect to S ) of the set A, denoted by Ac ,
is dened by Ac = {s S ; s A}
2. The union of the sets Aj , j = 1, 2, . . . , n, to be denoted by A 1 A 2
A3

An

A j = { x : x
j 1

or A j difined by
j 1

A j for at least one j }

3. The intersection of the sets Aj , j = 1, 2, . . . , n, to be denoted by

A1 A 2

A3 An

A
j 1

or A
j 1

difined by

= { x : x A j foe every j }

4. The difference A B is dened by A B = { x : x A and x B }

5. The symmetric difference is dened by A B = (A B) (B A)
1.2 Properties Of Set Operations

1. A

B=B
B=B

A
A

( B C ) =
A ( B C ) =

2. A

(commutative)
(A B )

C
( A B ) C

(Associative)

( B C ) = (A B ) (A C )
A ( B C ) = (A B ) (A C )

3. A

De Morgan Law

(Distributive)

i.

A j

(
=
j

A j )c

ii.

A j

(A j )c
j

proof of (i) We wish to establish

c

A j
j

A j )c

(
j

(
and
j

A j )c

A j
j

We will then, by denition, have veried the desired equality of the two
sets.
c

A j

a. let s

. Thus, s

. Therefore, s Aj for every j. In

A j

(
other word, s A cj for every j. therefore, s
j
(
b. Let s
j

A j )c

, then s

A cj

A j )c

for every j and hence s Aj for every

j. Then

A j

. and therefore s

A j
j

The proof of (ii) is quite similar.

1.3 Set Function
In calculus you have studied the function of such
f ( x ) = 2x + 6 , - < x <

The value of f (x) at the point x = 1 is f (1) = 8. Functions as above is called a

function of the point or briefly called function point because those function can be
evaluated at a given point. There is function where the value of the function is not

defined by a single point but is determined by the entire set of points. Such
function is called set function
1.4 Field and

-Field

Definisi 1.2
A class (set) of subsets of
a.

F is non-empty class

b.

if A F then Ac F

c.

if A1 , A2 , , An
A1 , A2 ,

is said to be a eld, and is denoted by F, if

F then
then

i 1

i 1

A i

A i

F. if ( c ) replace by

F then

F is called by

(c ) that is, if

-field

example:
let A is subset of S, and let F = { , , A ,

}., we will show is it field or not

condition (a) and (b) are satisfied. A i =

i 1

(condition c is satisfied) then F is field and also condition (c) is satisfied

-field

therefore F is

Definition 1.3
let measurable space (S, F F). A measurable ( . )is set function that difined in F
satisfied
(i ) (A) 0 , A F .
(ii)

if A1 , A2 , is sequence of disjoint sets in F

then

i 1

A i

i 1

A i

Tripel (S , F, ) is called measurable space.

Exercise 1

1. Let A1 {S , } show that A1 is field , is it A1 -field?

2. Let A2 {all subset of S } is a -field
c
3. Let A3 {S , , A, A } for some A A is a -field
c
4. F A S : Aor A finite , is it F field or not?

5. Let S 1, 2,3, 4 and define the class of C of subsets of S as follows:

C ,{1},{2},{3},{4},{1, 2},{1,3},{1, 4},{2,3},{2, 4},{3, 4},{1, 2,3},
{1, 2, 4},{1,3, 4},{2,3, 4},{1, 2,3, 4}, S

Determine whether or not C is a field.

Chapter II
PROBABILITY
A. General Learning Objectives
Understanding the concept of probability and able to applied those concepts
to calculate the probability of an event.
B. Specific Learning Objectives
After learning this chapter, you are expected able to:
4. Calculate probabiity of events with or without replacement
5. Calculate conditional probability of the given event
2.1 Introduction
Historically, the oldest way of measuring probabilities, the clasical probability
concept, applies when all possible outcomes are equally likely, as is presumbly the
case in most games of chance. We can then say that if there are N equally likely
possibilities, of which one must occur and n are regarded as favorable, or as a
success then the probability of a succes is given by the ratio Nn .
Example:
What is probability of rolling a 3 with a die?
Solution;

n 1 and N 6 , thus, the probability of rolling a 3 is

1
6

Although equally likely possib ilities are found mostly in games of chance, the
classical probability concept applies also in a great variety of situations where
gambling devices are used to make random selections...
2.2 Sample Space
In probability theory, the sample space of an experiment or random trial is
the set of all possible outcomes or results of that experiment. A sample space is
usually denoted using set notation, and the possible outcomes are listed

as elements in the set. It is common to refer to a sample space by the labels S, ,

or U. For example, if the experiment is tossing a coin, the sample space is
typically the set {head, tail}. For tossing two coins, the corresponding sample
space would be {(head,head), (head,tail), (tail,head), (tail,tail)}. For tossing a
single six-sided die, the typical sample space is {1, 2, 3, 4, 5, 6} (in which the
result of interest is the number of pips facing up)
2.3 Events
In many problems we are interested in the occurence of events that are not given
directly by a spesific element of a sample space.
Example:
As the experiment of rolling a die, describe the event A that the number of points
rolled with a die is odd.
Solution
The number of points rolled will odd if the outcome is 1,3 or 5 ; namely, if the
outcomes is an element of the subset A {1,3,5} of the sample space
Example
As the experiment of rolling two dice, describe the event B that the total number
of points rolled with a die wiyh pair of dice is 9
Solution
This will occur if the outcomes is an element of the subset
B {(3, 6), (4,5), (5, 4), (6,3)} of the sample space.

2.4 The probability of an Event

Probability are values of a set function, also called a probability measure, for as
we shall see, this function assigns real numbers to the various subsets of a sample
space S. As we shall formulate them here, the postulate of probability apply only
when the sample space S is discrete.

Postulate 1. The probability of an event is a nonnegative real number; that is P( A) 0 for any
subset A of S
Postulate 2. P( S ) 1
Postulate 3. If A1 , A2 ,... is a finite or infinite
sequence of mutually exclusive event of S, then

P ( A1 A2 ...) P ( A1 ) P ( A2 ) ...

Postulate above doesnt need to proof but if the resulting theory is to be applied,
we must show that the postulates are satisfied when we give probabilities a real
meaning.
Example:
For each of the following, explain why it is not a permissible way of assigning
probabilities to the four possible and mutually exclusive outcomes A,B,C and D
a. P ( A) 0.12, P ( B ) 0.55, P (C ) 0.2, P( D) 0.1
b. P( A) 0.12, P ( B ) 0.55, P (C ) 0.01, P ( D ) 0.1
Solution:
In (a) we find that P ( D) 0.1 violates postulate 1, and in (b) we get
P ( S ) P( A B C D ) 0.12 0.55 0.01 0.1 0.78 which violates postulate

2.
Theorem 2.1
If A is an event in a discrete sample space S, then P(A) equals the sum of the
probabilities of the individual outcomes comprising A.
Proof:
Let M 1 , M 2 , M 3 ,... be the finite or infinite sequence of outcomes which comprise
the event A, Thus

A M 1 M 2 M 3 ...
And since the individual outcomes, the Ms are by definition mutually exclusive,
the third postulate of probability yields
P ( A) P ( M 1 ) P( M 2 ) P( M 3 ) ...
This complete the proof.
Example
If a balance coin is tossed twice, what is the probability of getting at least one
head?
Solution
The sample space for this experiment is
S {HH , HT , TH , TT }

Since the coin is balanced, we assume that each of these outcomes is equally
likely to occur, and we therefore assign a probability of

1
4

to each sample point. If

A is the event that we will get at least one head, then A{HH , HT , TH } and
P( A) P( HH ) P ( HT ) P (TH )
14 14 14

3
4

Theorem 2.2
If experiment can result in any one of N different equally likely outcomes, and if n
of these outcomes together constitute event A, then the probability of event A is
P( A)

n
N

Proof:
Let M 1 , M 2 , M 3 ,...M N represent the individual outcomes is S, each with
probability

1
N

. If event A is the union of the mutually exclusive outcomes, and it

does not matter which ones, then

P ( A) P ( M 1 M 2 M 3 ... M n )
P ( M 1 ) P ( M 2 ) P( M 3 ) ... P( M n )
P ( A)

1 1 1
1
...
N4 4
N 4 2N4 4 43N
1
nterms

P( A)

n
N

2.5 Some Rules of Probabilities

By using the three postulate of probability, we can derive many other rules which
have important applications. Among the immediate consequences of the
postulates, we prove the following theorems:
Theorem 2.3
If A and A' are complementry events in a sample space S, then
P ( A' ) 1 P( A)
Proof:
According to which A and A' are mutually exclusive and A A' S
1 P(S )
P( A A' )
P( A) P ( A' )

Thus, P( A' ) 1 P ( A)

Theorem 2.4
P () 0 for any sample space S

Proof:
Since S S and the events S and are mutually exclusive , it follows that
P( S ) P( S )
P ( S ) P ()

And, hence, that P () 0

Theorem 2.5
If A and B are events in a sample space S and A B , then P ( A) P ( B)
Proof:
Since A B , we can write
B A ( A' B )
As can easily be verified by means of a Venn diagram. Then, since A and A' B
are mutually exclusive , we get
P ( B) P ( A) P ( A' B )
P ( B) P ( A)
Therem 2.6
0 P( A) 1 for any event of A

Proof:
Using theorem 2.5 and the fact that A S for any event A in S , we have

P() 0 and P ( S ) 1 leads to the result that

0 P( A) 1

The third postulate of probability is sometimes referred to as a special addition

rule; it is special in that the events A1 , A2 , A3 ,... must all be mutually exclusive . for
two events A and B there exist the more general addition rule.
Theorem 2.7
If A and B are any two events in a sample space S, then
P ( A B) P ( A) P ( B ) P ( A B )

Proof:
Assigning the probabilities a,b,and c to the mutually exclusive events
A B, A B ' , and A' B as in the venn diagram of figure 2.5, we find that
P( A B) a b c
( a b ) (c a ) a
P ( A) P ( B) P ( A B )

B
b

Figure 2.5 venn diagram

Repeatedly appliying theorem 2.7 , this addition rule can be generalized so that it
applies to any given number of events, for three events we get

Theorem 2.8
If A,B, and C are any three events in a sample space S, then

P ( A B C ) P ( A) P ( B ) P (C ) P ( A B ) P ( A C ) P ( B C ) P ( A B C )
proof:
Writing A B C as A ( B C ) and using therem 2.7 twice , once for
P ( A ( B C )) and once for P ( B C ) , we get

P ( A B C ) P ( A ( B C ))
P ( A) P( B C ) P ( A ( B C ))
P ( A) P( B) P (C ) P ( B C ) P ( A ( B C ))

From the first distributive law, it follows that

P ( A ( B C )) P (( A B ) ( A C ))
P ( A B ) P ( A C ) P (( A B ) ( A C ))
P( A B ) P ( A C ) P ( A B C )

And, hence, that

P ( A B C ) P ( A) P ( B ) P (C ) P ( A B ) P ( A C ) P ( B C ) P ( A B C )

2.6 Conditional Probability

In this section we ask and answer the following question. Suppose we assign a
distribution function to a sample space and then learn that an event E has
occurred. How should we change the probabilities of the remaining events? We
shall call the new probability for an event F the conditional probability of F given
E and denote it by P( F | E ) .

Example : An experiment consists of rolling a die once. Let X be the outcome.

Let F be the event

X 6 ,

distribution function m( )

and let E be the event

X 4 .

We assign the

1
1
for 1, 2,3,..., 6 . Thus, P( F ) . Now suppose
6
6

that the die is rolled and we are told that the event E has occurred. This leaves
only two possible outcomes: 5 and 6. In the absence of any other information, we
would still regard these outcomes to be equally likely, so the probability of F
becomes

1
1
, making P( F | E ) .
2
2

Example:
A consumer research organization has studied the services under warranty
provided by the 50 new car dealers in a certain city, and its findings are
summarized in the following table:

Good service

Poor service

Under warranty
In business ten years or 16

Under warranty
4

more
In business less than ten 10

20

years

If a person randomly selects one of these new car dealers, what is the probability
that he gets one who provides good service under warranty? Also, if a person
randomly selects one of the dealer who has been in business for ten years or more
what is the probability that he gets one who provides good service under
warranty?
Solution:
By randomly we mean that, in each case , all possible selection are equally likely,
and we can therefore use the formula of theorem 2.2. if we let G denote the

selection of the dealer who provides good service under warranty, and if we let
n(G) denote the number of elements in G and n(S) the number of elements in the
whole sample space, we get
P (G )

n(G ) 16 10

0.52
n( S )
50

This answer the first question.

For the second question, we limit ourselves to the reduce sample space which
consists of the first line of the table, namely, the 16+4=20 dealers who have been
in business ten years or more. Of these, 16 provide good service under warranty,
and we get
P (G | T )

16
0.8
20

Where T denotes the selection of a dealer who has been in business ten years or
more. This answer the second question, and as should have been expected,
P(G | T ) is considerably higher than P(G).

Since the numerator of P(G | T ) is n(T G ) 16 the number of dealers who have
been in business for ten years or more and provide good service under warranty,
and the denominator is n(T) the number of dealer who have been in business ten
years or more, we can write symbolically
P(G | T )

n(T G )
n(T )

P (G | T )

n ( T G )
n(S )
n (T )
n(S )

P (T G )
P(T )

And we have, thus, expressed the conditional probability P(G | T ) in terms of two
probabilities defined for the whole sample space S.
Definition 2.1

If A and B are any two events in a sample space S and P( A) 0 , the conditional
probability of B given A is
P ( B | A)

P( A B)
P ( A)

Example:
With reference to previous example, what is the probability that one of the dealers
who has been in business less than ten years will provide good service under
warranty?
Solution:
'
Since P (T G )

10
10 20
0.2 and P (T ' )
0.6 substitution into the formula
50
50

yields

P(G | T ' )

P(T ' G ) 0.2 1

P(T ' )
0.6 3

Theorem 2.9
If A and B are any two events in a sample space S and P( A) 0 , then
P ( A B ) P ( A) P ( B | A)

2.7 Independent Events

If you ask the average person to calculate the probability that two consecutive
tosses of a fair die will both yield a 1 you will most likely get the response that
since the probability that each toss yields a 1 is 1/6 that the probability of two
consecutive 1's is (1/6)(1/6) = 1/36. The reasoning is that since probabilities
somehow are fractions of success to tries, the first try reduces the outcomes by
(1/6), so the probability of two consecutive 1's is 1/6 of 1/6, which is 1/36. If you
then suggest that somehow the dice are rigged so that the outcome of the first die
somehow influences that of the second, then you will be told that the previous
calculation will not hold. In probability theory this lack of influence is called

independence or sometimes statistical independence (to distinguish it from

independence in linear algebra)
Definition 2.2 two event A and B are independent if and only if
P ( A B ) P ( A) P ( B )

2.8 Bayes Theorem

Theorem 2.10
If the events B1 , B2 , B3 ,..., Bk constitute a partition of the sample space S and
P( Bi ) 0 for i 1, 2,..., k , then for any event A in S
k

P ( A) P ( Bi ) P ( A | Bi )
i 1

Theorem 2.11 Bayes theorem

If the events B1 , B2 , B3 ,..., Bk constitute a partition of the sample space S and
P( Bi ) 0 for i 1, 2,..., k , then for any event A in S such that P( A) 0
P( Br | A)

P( Br ) P( A | Br )
k

P( B ) P( A | B )
i 1

For r 1, 2,..., k

Exercise 2
1. A gum-ball machine gives out a red, a black, or a green gum ball
a. Describe an approrpite sample space
b. List all possible events
c. If R is the event red then list the outcomes in R
d. if G is the event green then what is R G
2. we obtain 100 gum balls from a machine, and we get 20 red (R), 30 black
gum balls (B) and 50 green (G) gum balls.

a. Can we use , as probability model for the color of a gum ball from the
machine,

one

given

by

p1 P ( R ) 0.2, p2 P ( B ) 0.3 and

p3 P(G ) 0.5 ?
b. Suppose we later notice that some yellow (Y) gum balls are also in the
machine . could we use as a model p1 0.2, p2 0.3, p3 0.5 and
p4 0.1 ?
3. A bag contains five blue balls and three red balls. A boy draws a ball, and
then draws another without replacement. Compute the following
probabilities:s
a. P(2 blueballs )
b. P(1blue and 1 red )
c. P (at least blue)
4. Suppose that in Singaraja , the probability that rainy fall day is followed
by a rainy day is 0.8 and the probability that a sunny fall day is followed
by a rainy day is 0.6. find the probabilities that a rainy day is followed by
a. a rainy day, a sunny day, and another rainny day
b. two sunny days and then a rainy day
c. two rainy days and then two sunny days
d. rain two days later.
5. A balanced die tossed twice. If A is the event that an even number comes
up on the first tossed, B is the event that an event number comes up on the
second toss, and C is the event that both tosses result in the same number,
are the event A,B,and C independent?

6.
CHAPTER III
RANDOM VARIABLES AND ITS DISTRIBUTION
A. General Learning Objectives
Construct a mathematical model to describe probability on event in a sample
space.
B. Specific Learning Objectives
After learning this chapter, you are expected able to:
1. Determine the density function of a random variable.
2. Determine the distribution function of a random variable.
3. Calculate the expected value of a random variable.
4. Using the properties of the expected value of random variables to
calculate the expected value of a random variable.
5. Determine the moment generating function of a random variable.

3.1 Random Variables.

Motivation example In an opinion poll, we might decide to ask 50 people whether
they agree or disagree with a certain issue. If we record a 1 for agree and 0 for
disagree, the sample space for this experiment has 250 elements. If we dene a
variable X = number of 1s recorded
out of 50, we have captured the essence of the problem. Note that the sample
space of X is the set of integers {1, 2, . . . , 50} and is much easier to deal with
than the original sample space. In dening the quantity X, we have dened a
mapping (a function) from the original sample space to a new sample space,
usually a set of real numbers. In general, we have the following denition.
Definition 3.1
If S is a sample space with probability measure and x is a real valued function
defined over the elements of S, then x is called a random variabl. In other word, A
random variable is a function from a sample space S into the real numbers.

There are two kinds of random variable, that are discrete random variable (defined
over discrete sample space) whose range is finite or countably infinite

and

continuous random variable (defined over continuous sample space)

3.2 Discrete Probability Function
Definition 3.2
If X is a discrete random variable, the function given by f ( x) P ( X x ) for each
x within the range of X is called probability function, or probability distribution of
X
Theorem 3.1
A function can serve as the probability distribution of a discrete random variable
X if and only if its values, f(x) satisfy the conditions
1.
2.

f ( x) 0 for each value within its domain

f ( x) 1 , where the summation extends over all the values within its
x

domain
We left the proof to the reader as exercise
Definition 3.3
If

is

discrete

random

variable,

the

function

given

by

F ( x) P ( X x) f (t ) for x
tx

Where f(t) is the value of the probability distribution of X at t, is called the

distribution function, or cumulative distribution of X.
Based on the postulates of probability and some of its immediate consequences, it
follows that
Theorem 3.2
The values, F(x), of the distribution function of a discrete random variable X
satisfy the conditions

1. F () 0
2. F () 1
3. If a b , then F (a) F (b) for any real numbur a and b
Theorem 3.3
If the range of a random variable X consists of the values x1 x2 x3 ... xn
then f ( x1 ) F ( x1 ) and
f ( xi ) F ( xi ) F ( xi 1 ),

for i 2,3,..., n

Definition 3.4
If X is discrete random variable
3.3 Continuous Random Variable
Definition 3.5
A function with values f(x), defined over the set of all real numbers, is called a
probability density function of the continuous random variable X if and only if
b

P(a X b) f ( x )dx
a

For any real constant a and b with a b

Probability density function are also refered to, more briefly, as probability
densities, density functions, densities, and pdfs
Theorem 3.4
A function can serve as a probability density function of continuous random
variable X if its values, f(x), satisfy the condition
1.

f ( x ) 0 for x

2.

Example:

f ( x) 1

The probability density function of the random variable X is given by

ke3 x
0

f ( x)

for x 0
elsewhere

Find k and P(0.5 X 1)

Solution
To satisfy the second condition of theorem 3.4, we must have

f ( x )dx ke 3 x dx
0

e 3 x
k lim
t 3

k
1
3

And It follows that k=3. For the probability we get

1

P (0.5 X 1)

3e

0.5

3 x

dx e 3 x

1
0.5

0.173

Definition 3.6
If X is a continuous random variable, the function given by
F ( x ) P ( X x)

f (t )dt for x

Where f(t) is the value of the probability density function of X at t, is called the
distribution function of comulative distribution of X.
Futheremore, it immediately follows from definition 3.6 that
Theorem 3.5
If f(x) and F(x) are, respectly, values of the probability distribution and the
distribution function of X at x, then

P (a X b) F (b ) F (a )

For any real constant a and b with a b, and

dF ( x)
dx

f ( x)

Where the derivative exist.

Example:
Find the distribution function which coresponds to the probability function of
previous

example.

Also,

use

this

distribution

function

to

reevaluate

P(0.5 X 1)

Solution:
For x 0

F ( x)

f (t )dt 3e 3t dt e 3t 1 e 3 x
0

And we can write

F ( x)

for x 0

3 x
for x 0
1 e

To find the probability P(0.5 X 1) we make use of the formula of the first part
of theorem 3.5, getting
P (0.5 X 1) F (1) F (0.5)
(1 e 3.1 ) (1 e 3.(0.5) )
0.173
This agrees with the result obtained by using the probability density function
Definition 3.7
If X is discrete random variable and f(x) is the value of its probability distribution
at x, the expected value of this random variable is

E ( X ) xf ( x)
x

Correspondingly, if X is a continuous random variable and f(x) is the value of its

probability density at x, the expected value of this random variable is
E( X )

xf ( x)dx

In this definition it is assumed, of course, that the sum or integral exists,

otherwise, the mathematical expectation does not exist.
Example:

3(1 x) 2
0

for 0 x 1
eslewhere

Let f ( x )

find the expected value of this random variable

1

E ( X ) x(1 x ) 2 dx
0

5
4

Properties of Expected Value

If a and b are constant, then
1. E (a) a
2. E (aX b ) aE ( X ) b
3. E ( f ( x ) g ( x)) E ( f ( x )) E ( g ( x ))

Proof:
1. E ( a)

Proof properties 2

af ( x )dx a f ( x )dx a

E (aX b)

(ax b) f ( x)dx

(axf ( x) bf ( x))dx

a xf ( x)dx b f ( x)dx
aE ( X ) b
Proof of properties 3 left to the readers
Definition 3.8
The variance of random variable X difined by

Var ( X ) 2 E ( X ) 2 E X 2 2

Dengan E ( X )
Theorem 3.6
If X has the variance 2 , then
Var (aX b) a 2 2
Proof

Var (aX b) E

aX b E aX b
2

E aX b a b

E a 2 ( X )2

a 2 E ( X )2

a
2

Definition 3.9
'
The nthmoment about the origin of the random variable X, denoted by n , is the

expected value of X n , symbolically,

n' E ( X n ) x n f ( x)
x

For n 0,1, 2,3,..., when X is discrete, and

n' E ( X n )

f ( x )dx

When X is continuous.
From definition above we can conclude that,
1. First moment obout the originis mean and notated by
2. First moment about the mean is 0
3. Second moment about mean is variance
Chebyshevs Theorem
Theorem 3.7
If and are, respectively, the mean and the standard deviation of the random
variable X, then for any positive constant k the probability is at least 1

1
that X
k2

will take on a value within k standard deviation of the mean, symbolically,

P (| X | k ) 1

1
k2

Proof:

2 E ( X )2

E (X )
2

(x )

f ( x)dx

( x ) f ( x)dx
2

(x )

k

f ( x)dx

(x )

f ( x) dx

Since the integrand ( x ) 2 f ( x) is non negative, we can form the inequality

( x ) 2 f ( x)dx

(x )

f ( x)dx

Now, since ( x ) 2 k 2 2 for x k or x k , it follows that

k 2 2 f ( x) dx

k

2

f ( x)dx

And hence that

1

k2

f ( x)dx

f ( x )dx

Provided 2 0 . Since the sum of the two integrals in this inequality represents
the probability that X will take on a value less than or equal to k or greater
than or equal to k , we have, thus, shown that
P | X | k

1
k2

And it follows that

P | X | k 1

3.3

1
k2

Moment Generating Function

Although

the moments of most distributions can be determined directly by

evaluating the necessary integrals or sums, there exists an alternative procedure

which sometimes provides considerable simplications. This technique utilizes
moment generating functions
Definition 3.10
The moment generating function of the random variable X, where it exists, is
given by
M x (t ) E (etX ) e tx f ( x )
x

When X is discrete, and

M x (t ) E (etX )

tx

f ( x )dx

When X is continuous
To explain why we refer to this function as amoment generating function , let us
substitute for etx its Maclaurins series expansions, namely,
etx 1 tx

t 2 x 2 t 3 x3
t n xn

...
...
2!
3!
n!

For the discrete case, we thus get

t 2 x 2 t 3 x3
t n xn
M x (t ) 1 tx

...
... f ( x )
2!
3!
n!
x

2
t
tn
f ( x) t f ( x) x x 2 f ( x) ... x n f ( x) ...
2! x
n! x
x
x
1 t 2'

t2
tn
... n' ...
2!
n!

And it can be seen that in the Maclaurins series of the moment generating
function of X the coefficient of

tn
'
is n , the nth moment about the origin of the
n!

random variable X. In the continuous case, the argument is the same.

Example:
Find the MGF of the random variable X , whose probability density is given by

e x
0

f ( x)

Solution
By definition

for x 0
elsewhere

M x (t ) E (etX )

tx x

e dx

x (1 t )

dx

1
for | t | 1
1 t

Theorem 3.8
d n M x (t )
n'
dt n t 0
Theorem 3.9
If a and b constant , then
( X a )t
1. M X a (t ) E e
eat M X (t )
bXt
2. M bX (t ) E e M X (bt )

3. M Xba (t ) E e

X a

t
b

a
t
b

t
e MX

The proof of this theorem will be left to the reader.

Exercise 3
1. Random variable X has density function f ( x) c(8 x ) for
x 0,1, 2,3, 4,5 , determine
a. The value of c
b. FX ( x )
c. Pr( X 2)
d. E ( X )
x 1

1
2. Suppose distribution function F ( x) 1 , for x 0,1, 2,3,...
2
a. Determine density function of X
b. Determine Pr(10 X 20)
c. Determine probability of X where X is even

3. Let X is random variable with density function f ( x)

x
, x 1, 2, 5 ,
8

determine
a. E ( X )
b. Var ( X )
c. E (2 X 3)
4. Let X is random variable with density function f ( x) 3 x 2 , 0 x 1 ,
determine
a. E ( X )
b. Var ( X )
c. E ( X 2 )
d. E (3 X 5 X 2 1)
5. Let X is random variable with density function f ( x) e ( x 2) , for

2 x , determine
a. MGF of X
b. Use the result in (a) to determine E ( X ) and E ( X 2 )

CHAPTER IV
SPECIAL PROBABILITY DISTRIBUTIONS

A. General Learning Objectives

Understanding the various forms of distribution and its special properties.
B. Specific Learning Objectives
After learning this chapter, you are expected able to:
1. Determine the mean of a special distribution given.
2. Determine the variance of a special distribution given.
3. Determine the probability of a random variable of special distribution.
4. Determine moment generating function of the given special distribution.
4.1 Discrete Probability Distribution
4.1.1 Bernoulli Distribution
If an experimenthas two possible outcome , success and failure, and their
probabilities are , respectively, and 1 , then the number of successes 0 or 1
has a bernoulli distribution, symbolically
Definition 4.1
A random variable X has a bernoulli distribution and it is reffered to as bernoulli
random variable , if and only if its probability distribution is given by
f ( x; ) x (1 )1 x

for x 0,1

4.1.2 Binomial Distribution

If the experiment in bernoulli trial repeated n times where the parameter is
thesame for each trial, the trials are all independent and its process is experiment
with replacement then its random variable will be Binomial random variabel

Definition 4.2

A random variable X has a binomial distribution and it is reffered to as binomial

random variable , if and only if its probability distribution is given by
n
b( x; n, ) x (1 ) n x
x

for x 0,1, 2,..., n \

Example
Find the probability of getting 5 heads and 7 tails in 12 flips of a balanced coin
Solution
Substituting

x 5, n 12, and 0.5 into

the

formula

for

the

binomial

distirbution, we get
12 5
12 5
0.19
(1 0.5)
5

b( x; n, )

Theorem 4.1
The mean and the variance of the binomial distribution are

n and 2 n (1 )
Proof:
To determine the mean, let us directly evaluate the sum
n
n
n x
x x 1
x 0 x

n!
n x
x 1
x 1 ( x 1)( n x )!

Where we omitted the term corresponding to x=0 , which is 0 and the canceled
n
the x againts the first factor of x!=x(x-1)! in the denominator on
x
Then, factoring out the factor n in n!=n(n-1)! And one factor , we get

 n 1
n x
x 1
1
x 1 x 1

And letting y=x-1 and m=n-1 , this becomes

m
m
m y
n y 1
n
y 0 y

(proved)
'
To find expression for 2 and then 2 , let us make use of the fact that

E ( X 2 ) E X ( X 1) E ( X ) and evaluate E X ( X 1) , duplicating for all

practical purposes the steps used above. We thus get
n
E X ( X 1) x ( x 1) x (1 ) n x
x 0
x
n

n!
x (1 )n x
x 2 ( x 2)!( n x )!

E X ( X 1)

n 2
x 2
n x
(1 )
x 2 x 2
n

E X ( X 1) n(n 1) 2

And letting y=x-2 and m=n-2, this becomes

m
m
E X ( X 1) n (n 1) 2 y (1 ) m y n(n 1) 2
y 0 y

Therefore,

2' E X ( X 1) E ( X ) n(n 1) 2 n
And, finally

2 2' 2
n( n 1) 2 n n 2 2
n (1 )

4.1.3 Poisson Distribution

Many experimental situations occur in which we observe the counts of events
within a set unit of time, area, volume, length etc. For example,

The number of cases of a disease in different towns

The number of mutations in set sized regions of a chromosome
The number of dolphin pod sightings along a ight path through a region
The number of particles emitted by a radioactive source in a given time
The number of births per hour during a given day

In such situations we are often interested in whether the events occur randomly in
time or space
Definition 4.3
A random variable X has a poisson distribution and it is reffered to as poisson
random variable , if and only if its probability distribution is given by
p ( x; )

x e
x!

for x 0,1, 2,...

Example:
If the probability is 0.005 that any one person attending a parade on a very hot day
will suffer from heat exhaustion, what is the probability that 18 of the 3000 person
attending the parade will suffer from heat exhaustion?
Solution
Substituting x=18 and 3000(0.005) 15 into the formula for the poissoon
distribution, we get
p (18;15)

1518 e 15
0.0706
18!

Theorem 4.2
The mean and the variance of the poisson distribution are

 and 2
Theorem 4.3
The moment generating function of the poisson distribution is given by
t

M X (t ) e ( e 1)
Proof:

x e
( e t ) x

M x (t ) e
e
x!
x!
x 0
x 0

xt

( e t ) x
Where
can be recognized as the maclaurins series of e z with z et .
x
!
x 0

Thus,
t

M x (t ) e e e e ( e 1)
Then, differentiating M X (t ) twice with respect to t, we get
t

M X' (t ) et e ( e 1)
t

M X'' (t ) et e ( e 1) 2e 2t e ( e 1)
So

that 1 M X (0) and

'

'

2' M X'' (0) 2 ,

thus

and

2 2' 2 .
4.1.4

Hypergeometric Distribution

he hypergeometric distribution is a discrete probability distribution that

describes the number of successes in a sequence of n draws from a finite
population without replacement. Suppose you are to draw "n" balls without
replacement from an basket containing "N" balls in total, "m" of which are white.
The hypergeometric distribution describes the distribution of the number of white
marbles drawn from the urn.
Definition 4.4

A random variable X has a hypergeometric distribution and it is reffered to as

hypergeometric random variable , if and only if its probability distribution is
given by
k N k

x n x

h( x; n, N , k )
N

n
for x 0,1, 2,..., n
x k and n x N k
Thus, for sampling without replacement, the number of success in n trials is a
random variable having a hypergeometric distribution with the parameter n,N,
and k.
Example:
Think an basket wich contains two types of balls, blacks and whites. Define
drawing a white ball as a success and drawing a black ball as a failure (analogous
to the binomial distribution). If the variable N describes the number of all balls in
the basket and k describes the number of white marbles, then N k corresponds to
the

number

of black

balls.

Now, assume (for example) that there are 5 white and 45 black balls in the basket.
Close your eyes and draw 10 balls without replacement.
What is the probability that exactly 4 of the 10 are white?
Solution:
N 50, k 5, n 10, x 4

5 50 5

4 10 4

P ( X 4)
0.00396
50

10

Theorem 4.4
The mean and the variance of the hypergeometric distribution are

nk
nk ( N k )( N n)
and 2
N
N 2 ( N 1)

Proof:
To determine the mean, let us directly evaluate the sum
k N k

n
x n x

x
N
x 0

n
N k

n
n x
k!

N
x 1 ( x 1)!( k x )!

n
Where we ommited the term corresponding to x=0, which is 0, and cancelled the x
k
against the first factor of x!=x(x-1)! In the denominator of , then factoring
x
k
out N , we get

n

k
N

n

k 1 N k

x 1 x 1
n x
n

And, letting y=x-1 and m=n-1, this becomes

k
N

n

k 1 N k

y m y
y 0
m

Finally ,

k N 1
k N 1 nk

N
N m N n 1


n
n

To obtain 2 , we use the following terms

E ( X 2 ) E X ( X 1) E ( X )

2 E X ( X 1) E ( X ) 2
E X ( X 1)

k (k 1)n(n 1)
N ( N 1)

We thus obtain
k (k 1)n(n 1) nk nk

N ( N 1)
N N
nk ( N k )( N n)

N 2 ( N 1)

4.1.5

Geometric Distribution

The geometric distribution is a discrete random variable distribution function.

Describes a random experiment with two possible outcomes (success - failure)
(Bernoulli trials) and probability of success p repeated until we have 1 success.
Definition 4.5
A random variable X has a geometric distribution and it is reffered to as
geometric random variable , if and only if its probability distribution is given by
x

g ( x; p ) p(1 p )i 1 1 (1 p ) x
i 1

Where p is probability of success.

Theorem 4.5

The mean and the variance of the hypergeometric distribution are

1
1 p
and 2 2
p
p

And its MGF is M X (t )

4.1.6

pet
1 (1 p)et

Discrete Uniform Distribution

If a random variable can take on k different values with equal probabilities, we

say that it has a discrete uniform distribution
Definition 4.6
A random variable X has a discrete uniform distribution and it is reffered to as
discrete uniform random variable , if and only if its probability distribution is
given by
f ( x)

1
n

for x x1 , x2 ,..., xn

Where xi x j , when i j
Theorem 4.6
The mean and the variance of the discrete uniform distribution are
n
1 1
1 (n 2 1)
2
xi (n 1) and xi
n 2
n
12
i 1
i 1
n

4.2 Continuous Distribution

4.2.1 Continuous Uniform Distribution
Definition 4.7

A random variable X has a continuous uniform distribution and it is reffered to as

continuous uniform random variable , if and only if its probability distribution is
given by

1
for x

0
elsewhere

f ( x)

Theorem 4.7
The mean and the variance of the discrete uniform distribution are

( )2
and 2
2
12

4.2.2 The Gamma, Exponential and Chi-Square Distribution

Definition 4.8
Gamma function which notated by ( ) of any 0 , difined by

( ) x 1e x dx
0

Gamma function satisfies the recursion formula

( ) ( 1)( 1) , 1
(n) (n 1)! n 1, 2

( 12 )

Definition 4.9
A random variable X has a Gamma distribution and it is reffered to as Gamma
random variable , if and only if its probability distribution is given by

f ( x)

x
1
1
x
e
( )
0

for x 0
elsewhere

Where , 0
To say that any variable random has distribution as above, we use notation
X ~ Gam( , )

M X (t ) E e

tX

tx

M X (t ) E etX
0

x
1
1
x
e
dx
( )

1
(t 1 ) x
x 1e dx
( )

1
Let, u (t ) x , thus

u
du
1

du t dx , and x 1
, dx 1
t
t , therefore,

M X (t )

1
u 1
1
eu 1
du

1
( ) 0 ( t )
( t)

M X (t )

1
1
u 1e u du ( 1 t )

1
( ) ( t ) 0

See that
M X' (t ) (1 t ) 1

M X'' (t ) ( 1) 2 (1 t ) 2
M X''' (t ) ( 1)( 2) 3 (1 t ) 3

.
.
.

M X( n ) (t ) ( 1)( 2)...( n 1) n (1 t ) n

n (1...( 2)( 1) ( 1)( 2)...( n 1)(1 t ) n

(1...( 2)( 1)

n ( n 1)!(1 t ) n
( 1)!

( n) n (1 t ) n
( )

M X( n ) (0)

( n) n
E(X n )
( )

For n=1 obtained E ( X )

( 1)
( )

( )
( )

For n=2 obtained

( 2) 2 ( 1)( 1) 2

( )
( )
( 1)( ) 2

( 1) 2
( )

E( X 2 )

Therefore we obtained variance

Var ( X ) E ( X 2 ) E ( X )

2 2 2 2 2 2
Definition 4.10
A random variable X has a exponential distribution and it is reffered to as
exponential random variable , if and only if its probability distribution is given by
1 x
e
f ( x)
0

for x 0
elsewhere

Where 0
Notation X ~ Exp( ) means that random variable X has distribution as above. If
in gamma distribution taken 1and , then obtained

f ( x)

1 11 x 1 x
x e e
(1)

Then we can see that exponential distribution is special cases of the gamma
distribution
X ~ Exp ( ) Gam( ,1)

By taking result that obtained in gamma distribution then it is easy to find its
mean and variance

, 2 2 and M X (t ) (1 t ) 1
Another special case of the gamma distribution arises when

v
and 2 .
2

Definition 4.11
A random variable X has a Chi-Square distribution and it is reffered to as ChiSquare random variable , if and only if its probability distribution is given by

v2 x
1
2
x
e 2 for x 0
f ( x) 2 2 ( v2 )
0
elsewhere

The parameter v is refered to as the number of degrees of freedom, or simply the

degrees of freedom
By taking result that obtained in gamma distribution then it is easy to find its
mean and variance of Chi-Square distribution

v , 2 2v and M X (t ) (1 2t ) v /2
4.2.3

Normal Distribution (gaussian)

The normal distribution is the most widely known and used of all distributions.
Because the normal distribution approximates many natural phenomena so well, it
has developed into a standard of reference for many probability problems.

Definition 4.12
A random variable X has a Normal distribution and it is reffered to as Normal
random variable , if and only if its probability distribution is given by
n( x; , )

1 x
1
e 2
2

for x

Where 0
Definition 4.13
A normal random variable Z with 0 and 1 is referred to as the standard
normal distribution, with density function ( Z )
Notated Z ~ N (0,1) , and its pdf is

(t )dt

(Z )

1 t22
e dt
2

Theorem 4.8
If X ~ N ( , 2 ) then,
X
~ N (0,1)

X
2. FX ( x) ( Z )

1. Z

Proof 1
X
z

P ( X z )

FZ ( z ) P( Z z ) P

1 x
1
e 2 dx
2
2

1 z22
e
2

x
dx
then dw

Let w

FZ ( z )

1 12 w 2
e
dw ( Z )
2

By Differentiating FZ ( z ) , we obtained
d ( FZ ( z ))
1 z22
fZ ( z)
e dz it means Z ~ N (0,1)
dz
2
Proof 2
FX ( x) P ( X x )
x
x
X x

P Z

Or
x

FX ( x)

Let z

12 w
1
e
dw

2
2

w
dw
x
then dz
, thus for w x , z

Therefore, FX ( x )

1 12 z 2
e
dz ( x )
2

Properties of normal distribution

( z ) 1 ( z )

( z )
Excercise 4
t
1. If X is bernoulli random variable , show that M X (t ) q pe
2. If the probability of picking a winning horse in a race is 0.2 , and if X is

the number of winning picks out of races, what is

a. Pr( X 4)
b. Pr( X 4)
c. E ( X ) and Var ( X )
3. The number of calls that arrive at a switchboard during one hour is poisson
distributed with mean 10 . Find the probability of occurence during an
hour of each of the following events:
a. Exactly seven calls arrive
b. At most seven calls arrive
c. Between three and seven calls (inclusive) arrive
4. The survival time (in days) of a white rat that was subjected to a ceratin
level of X-ray radiation is a random variable X ~ GAM (5, 4)
a. Determine Pr( X 15)
b. Pr(15 X 20)
c. Find the expected survival time , E ( X ) .
5. Assume that the time (in hours) until failure of a transitor is a random
variable X ~ EXP(100)
a. Find the probability that X 15
b. Find the probability that X 110
c. It is observed after 95 hours that the transitor still is working, find the
conditional probability that X 110 . How does this compare to (a)?
Explain this result.
d. What is Var ( X )
6. Suppose that X ~ N (10,16) find:
a. Pr X 14
b. Pr 4 X 18

c. Pr 2 X 10 18
d. X 0.95 , the 95th percentile of X

CHAPTER V
JOINT DISTRIBUTION

A. General Learning Objectives

Understanding concept of joint distribution, marginal distribution, conditional
distribution and expected value properties of a given function involving more
than one random variable.
B. Specific Learning Objectives
After learning this chapter, you are expected able to:
1. Determine joint density function of the given two or more random
2.

variables.
Determine the marginal density function of a random variable if its joint

3.
4.

distribution function is known

Determine the conditional density function of a random variable.
Determine expected value of a function involving more than one random

5.
6.

variable.
Determine the independence of he given trandom variables.
Determine the correlation coefficient of the given random variables.

In many applications there will be more than one random variable of intrest, say
X 1 , X 2 ,..., X k . It is convinient mathematically to regard these variables as
components of a k-dimensional vector, X ( X 1 , X 2 ,..., X k ) , which is capable of
assuming values x ( x1 , x2 ,..., xk ) in a k-dimensional euclidean space. As before
we will develop the discrete and continuous cases separately
5.1 Joint Discrete Distribution
Definition 5.1
The joint probability density function (joint pdf) of the k-dimensional discrete
random variable X ( X 1 , X 2 ,..., X k ) is defined to be
f ( x1 , x2 ,..., xk ) Pr X 1 x1 , X 2 x2 ,..., X k xk
For all possible values x ( x1 , x2 ,..., xk ) of X.

Example:
A box consists of 10 flower seeds. 4 of them is red, 4 white and 2 pink. Suppose 5
seeds taken randomly without replacement , X 1 is number of seeds picked up red
and X 2 is number of seeds picked up white , Then, the joint density function of
X 1 and X 2 defined by
2
4 4

x 1 x 2 5 x 1 x 2

f x1 , x2
, 0 x1 , 0 x2 dan x1 x1 10
10

5
(see hypergeometric distribution)
Probabilitas getting 2 red and 2 white is determined by f 2, 2 .
Definition 5.2
The Joint Cumulative distribution functions of the k random variables
X 1 , X 2 ,..., X k is the function defined by
F ( x1 , x2 ,..., xk ) Pr X 1 x1, X 2 x2 ,..., X k xk
On the pair X 1 , X 2 of discrete random variable, sometimes we interested in its
marginal probabiliy of X 1 or X 2 . The following is the definition of marginal
pdf of X 1 and X 2 .
Definition 5.3
If the pair X 1 , X 2 of discrete random variable has the joint pdf f ( x1 , x2 ,..., xk ) ,
then the marginal pdfs of X 1 and X 2 are

f1 ( x1 ) f ( x1 , x2 )
x2

And

f 2 ( x2 ) f ( x1 , x2 )
x1

Example :
let

random

f ( x1 , x2 )

variables

X 1 and

X2

having

joint

density

function

x1 x2
, x1 1, 2, 3 and x2 1, 2
21

Marginal density function of X 1 is

x1 x2 2 x1 3

21
21
x2 1
2

f1 ( x1 ) f ( x1 , x2 )
x2

Marginal density function of X 2 is

x1 x2 6 3 x2

21
21
x1 1
3

f 2 ( x2 ) f ( x1 , x2 )
x1

5.2 Continuous Joint Distribution

Definition 5.4
A k-dimensional vector-valued random variable X ( X 1 , X 2 ,..., X k ) is said to be
continuous if there is a function f ( x1 , x2 ,..., xk ) called the joint probability
function (joint pdf) of X , such that the joint CDF can be written as
F ( x1, x2 ,..., xk )

xk

x1

...

f (t1, t 2 ,..., t k )dt1...t k

For all x ( x1 , x2 ,..., xk )

Like in one dimension case , joint density function can be determined by its joint
distribution function by differentiating , that is
k
f ( x1, x2 ,..., xk )
F ( x1, x2 ,..., xk )
x1x2 ...xk
Example:

Let joint density function

f ( x1, x2 ) 4 x1x2 , 0 x1 1, 0 x2 1
Its Joint distribution function is
F ( x1, x2 )

x2 x1

f (t , t )dt t
1

1 2

0 0

x2 x1

4t t dt t
12

1 2

x12 x22

0 0

Like in discrete case , we also able to determine marginal density function by

using the following definition
Definition 5.5
If

the pair

X 1 , X 2 of

continuous random variable has the joint pdf

f ( x1 , x2 ,..., xk ) , then the marginal pdfs of X 1 and X 2 are

f1 ( x1 )

f ( x1 , x2 )dx2

And

f 2 ( x2 )

f ( x1 , x2 )dx1

Example :
By using the previous example, marginal density function of X 1 is
1

f1 ( x1 ) 4 x1 x2 dx2 4 x1 x2 dx2 2 x1
5.3 Independent Random Variabel
As in chapteer 2 we have discussed independent events. The concept on those
independence caan be extended in random variable. The following theorem

(without proof) can be used to determined the independence of a given random

variables.
Theorem 5.1
Random variables X 1 , X 2 ,..., X k are independent if and only if one of the
following properties hold:
F ( x1 , x2 ,..., xk ) F1 ( x1 ) F2 ( x2 )...Fk ( xk )
f ( x1 , x2 ,..., xk ) f1 ( x1 ) f 2 ( x2 )... f k ( xk )
Where Fi ( xi ) and f i ( xi ) are the marginal CDF and pdf of X i , respectively
Example:
Let random

variable X and Y

have joint density function f ( x, y )

( x, y ) ( 1, 1), ( 1,1), (1, 1), and (1,1)

1
for
4

1
f X ( x) f ( x, y ) , for x 1,1 and
2
y

1
fY ( x) f ( x, y ) , for x 1,1
2
x
f X ( x ) fY ( x ) f ( x , y )

1
, then X and Y independent.
4

Definition 5.6
Random variable X and Y are called identically distributed if X and Y have equal
distribution distribution , that is FX ( x) FY ( y )
Definiton 5.7
Random variables X 1 , X 2 ,..., X k said to be independent and identically distributed
(iid) if and only if

X 1 , X 2 ,..., X k and there is distribution function X thus

distribution function of X i (i 1, 2,..., k ) equal to distribution function of X

This properties of random variables have important role in sample random that
will discussed in the next discussion

5.4 Conditional Distribution

Definition 5.8
If X 1 and X 2 are discrete or continuous random variables with joint pdf f ( x1 , x2 )
then the Conditional probability density function of X 2 given X 1 x1 , is defined
to be
f ( x1 , x2 )
f1 ( x1 )

f ( x2 | x1 )

For values x1 such that f1 ( x1 ) 0 , and zero otherwise

Noted:
For discrete variables a conditional pdf is actually a conditional probability. For
example, if X 1 and X 2 are discrete, then f ( x2 | x1 ) is the conditional probability of
the event ( X 2 x2 ) given the event ( X 1 x1 ) . In the case of continuous random
variables, the intepretation of the conditional pdf is not obvious because
Pr( X 1 x1 ) 0 .
Example:
Given the joint density function

4 x1 x2
0

f ( x1 , x2 )

for 0 x1 1, 0 x2 1
elsewhere

Find the marginal densities of X 1 and X 2 and the contional density of X 1 given
X 2 x2
Solution

f1 ( x1 )

f ( x1 , x2 ) dx2

4 x1 x2 dx2
0

2 x1 x22 |10 2 x1
for 0 x1 1, and f1 ( x1 ) 0 elsewhere ;also
f 2 ( x2 )

f ( x1 , x2 )dx1

4 x1 x2 dx1
0

2 x2 x12 |10 2 x2
for 0 x2 1, and f 2 ( x2 ) 0 elsewhere, then substituting into the formula for
conditional density, we get
f ( x1 | x2 )

f ( x1 , x2 ) 4 x1 x2

2 x1
f 2 ( x2 )
2 x2

for 0 x1 1, and f ( x1 | x2 ) 0 elsewhere

5.5 Sample Random and Empirical Distribution
Definition 5.9
Set of random variable X 1 , X 2 ,..., X k is said to be sample random of size k from a
population which has density function f(x) if its joint density function can be
written as f ( X 1, X 2 ,..., X k ) f ( X 1 ) f ( X 2 )... f ( X k )
From the definition above, a sample random is an observed data that obtained
from an experiment such that in each obtained experimental data are independent
and each density function of the data following the density function of its
population. Thus, a sample random satisfy independent and identical distribution.

Sometimes in an experiment, even though obtained data

X 1 , X 2 ,..., X k

distributions of its population is unknown. Yet to make an inference (discussed in

Mathematical Statistics II) of distribution plays a important role. For this purpose
we can "approach" the population distribution based on the distribution of the
observed data by using Empirical Distribution (sample distribution) as stated in
the following definition.
Definition 5.10
Let x1 , x2 ,..., xk are data that obtained from sample random of size k. And also let
y1 , y2 ,..., yk are ordered data, that is y1 y2 ... yk . Empirical dsitribution of
those data is defined by
0
i

Fk ( X )
k
1

x y1
yi x yi 1
yk x

We have learnt the use of random variable and its probability distribution as a way
for expressing mathematical models of nondeterministic event. Next, we will
discuss the extended of properties and some descriptive measurement involving
more than one random variable.
5.6 Properties of Expected Value
Theorem 5.2
If X ( X 1 , X 2 ,..., X k ) has a joint pdf

f ( x1 , x2 ,..., xk ) and if Y u ( X 1 , X 2 ,..., X k )

is a function of X, then E (Y ) E X u ( X 1 , X 2 ,..., X k ) , where

E X u X 1 ,..., X k K
x1

If X is discrete

u X ,..., X f x , x ,..., x
1

x2

E X u X 1 ,..., X k

u X ,..., X f x ,..., x dx K dx
1

If X is continuous.
Theorem 5.3
If X 1 and X 2 are random variables with joint pdf f ( x1 , x2 ) , then

E X1 X 2 E X1 ) E ( X 2
Theorem 5.4
If X and Y independent random variables , g(x) and h(y) are function then

E g ( x ) h( y ) E g ( x )) E ( g ( y )
Definition 5.11
The Covariance of a pair random variable X and Y is defined by
Cov ( X , Y ) E X X Y Y

Another common notation for covariance is XY

Theorem 5.5
If X and Y are random variables and a and b are constants, then
a. Cov(aX , bY ) abCov ( X , Y )
b. Cov( X a, Y b) Cov( X , Y )
c. Cov( X , aX b) aVar ( X )
The proofs are left to the reader as exercises

Theorem 5.6
If X and Y are random variables, then
Cov ( X , Y ) E ( XY ) E ( X ) E (Y )

And Cov ( X , Y ) 0 , whenever X and Y are independent

proof are left to the reader as exercises
Theorem 5.7
if X and Y are random variables with joint pdf f ( x, y ) , then
Var ( X Y ) Var ( X ) Var (Y ) 2Cov( X , Y )

Proof:
Var ( X Y ) E X Y 1 2

E X 1 Y 2

2
2
E X x E Y y 2 E X x Y y

Var ( X ) Var (Y ) 2Cov( X , Y )

Definition 5.11
2
2
If X and Y are random variables with variances X and Y and covariance

XY Cov( X , Y ) , then the correlation coefficient of X and Y is

XY
XY

The random variables X and Y are said to be uncorelated if 0 , otherwise they

are said to be correlated.
Theorem 5.8
If is the correlation coeddicient of X and Y, then
1 1

And

1 if and only if Y aX b with probability 1 for some a 0 and b.

5.7 Conditional Expectation

Definition 5.12
If X and Y are jointly distributed random variables, then the conditional
expectation of Y given X x is given by
E Y | x yf ( y | x )
y

if X and y are discrete

E Y | x

yf ( y | x)dy

if X and y are continuous

Other common notations for conditional expectation are EY | x (Y ) and E (Y | X x )

Example:
X and Y is random variables have joint distribution with joint distribution
function
f ( x, y ) 1

if 0 y

x
2

f1 ( x) dy
0

f ( y | x)

E (Y | x )

x
2

f ( x, y ) 2

f1 ( x)
x

x
1
2
for 0 x 0

for 0 y

x
2

yf ( y | x )dy

x /2

E (Y | x)

2
x
y dy
x
4

for 0 x 2

Theorem 5.13
If X and Y are random variable have joint distribution then
E (Y | X ) E (Y )

Proof:
E (Y | X )

E (Y | x) f ( x)dx

yf ( y | x) f ( x)dydx

y f ( x, y )dxdy

yf ( y)dy E (Y )

Definiton 5.13
The conditional variance of Y given X x is given by

Var (Y | x) E Y E (Y | x ) | x

An equivalent form, which is analogous to definiton above is

Var (Y | x) E (Y 2 | x ) E (Y | x )

Example:
If X and Y are random variable with joint density function
f ( x, y )

4
if x 1, 2 and y 2,3 then
5 xy

3
4
20
f ( x, y ) 12

E
(
Y
|
x
)

and

30 x
f ( x)
5
y 2 5 xy
y 2

f1 ( x )

Var Y | x E Y 2 | x E Y | x
3

y2
y 2

f ( x, y ) 12
6

f ( x) 5
25

Theorem 5.14
If X and Y random variables with joint distribution then
Var (Y ) E X Var Y | X VarX E Y | X

proof :

2
E X Var Y | X E X E Y 2 | X E Y | X

EY EY E EY | X EY
E Y 2 EX E Y | X
2

Var (Y ) VarX E Y | X
Theorem 5.15

If X and Y are random variables with joint distribution and h(x,y) are function
then
E h( X , Y ) E X E h ( X , Y ) | X

Theorem 5.16
If X and Y are random variables with joint distribution and g(x) are function
then

E g ( X )Y | x g ( x ) E Y | x
5.8

Joint Moment Generating Function

The moment generatng function concept can be generalized to k-dimensional

random variables
Definition 5.14
The joint MGF of X ( X 1 , X 2 ,..., X k ) is defined to be
ti X i
M X (t ) E e i1

Where t (t1 , t2 ,..., tk ) and h ti h for some h 0

Theorem 5.17

If M X ,r (t1 , t2 ) exists, then the randomvariables X and Y are independent if and

only if
M X ,Y (t1 , t2 ) M X (t1 ) M Y (t 2 )

Exercise 5
1. Let X 1 , X 2 , X 3 and X 4 be independent random variables, each having the
same distribution with mean 5 and standard deviation 3, and let
Y X1 2 X 2 X 3 X 4
a. Find E (Y )
b. Var (Y )
2. Suppose X and Y are continuous random variables with joint pdf
f ( x, y ) 24 xy if 0 x, 0 y and x y 1 , and zero otherwise
a. Find E ( XY )
b. Cov( X , Y )
c. Find correlation coefficient of X and Y
d. Find Cov(3 X ,5Y )
e. Find Cov ( X 1, Y 2)
3. Let f ( x, y ) 6 x , 0 x y 1 , and zero otherwise, find:
a. f1 ( x )

b. f 2 ( y )
c. Cov( X , Y )
d.
e. f ( y | x)
f. E (Y | x )
4. Let X and Y have joint pdf f ( x, y ) e y if 0 x y and zero
otherwise. Find E ( X | y )

CHAPTER VI
FUNCTION OF RANDOM VARIABLE

A. General Learning Objectives

Understanding technique to derive distribution function of one or more of
random variable.
B. Specific Learning Objectives
After learning this chapter, you are expected able to:
1. Using the distribution function technique to determine the density function
of one or more random variables.
2. Using transformation method to determine density function or distribution
function of a random variable
3. Using moment generating function method to determine density function
or distribution function of a random variable.
4. Determine the marginal density function of a random variable.
5. Determine distribution ordered statistic.
On the 3 first sub bab we will discuss technique to determine term of distribution
of a given random variable which a fucntion of another random variable.
6.1 Distribution Function (CDF) Technique
Let random variable X has distribution function FX ( x) . And that some function
of X is of interest , say Y u ( X ) . the idea behind the CDF technique is to
express the CDF of Y in terms of the distribution of X.
Example:
2 x
Suppose that FX ( x ) 1 e , 0 x , and consider Y e x , we have

FY ( y ) Pr Y y

Pr e x y

Pr X ln y

 FX ln y 1 y 2

1 y

In this case, x1 and x2 ln y and the pdf of Y is

fY ( y )

d
FY ( y ) 2 y 3
dy

1 y

6.2 Transformation Methods

6.2.1 One-to-one Transformation
a. Discrete Case
Suppose that X is a discrete random variable with pdf f X ( x) and that Y u ( x )
defines a one-to-one transformation. In other words, the equation y u ( x) can
be solved uniquely,say x w( y ) . Then the pdf of Y is

fY ( y ) f X w( y )

yB

Where B y | fY ( y ) 0
Example:
Let X ~ GEO ( p ) so that
f X ( x) pq x 1

x 1, 2,3,...

Another frequently encountered random variable that also is called geometric

is of the form Y X 1 , so that u ( x ) x 1, w( y ) y 1 , and
fY ( y ) f X ( y 1) pq y

y 0,1, 2,...

b. Continuous Case
Suppose that X is a continuous random variable with pdf f X ( x ) and assume
that Y u ( x ) defines a one-to-one transformation from A x | f X ( x) 0 on
to B y | fY ( y ) 0 with inverse transformation x w( y ) . If the derivative

w y is continuous and nonzero on B , then the pdf of Y is

d
dy

fY ( y ) f X ( w( y ))

d
w( y )
dy

yB

Example;
2 x
Suppose that FX ( x ) 1 e , 0 x , if Y e x , find density function of Y.

Solution:
f X ( x) 2e 2 x , the term of its transformation inverse x w( y ) ln y , then

d
1
ln y
dy
y
fY ( y ) f X ( w( y ))
2e 2ln y

d
w( y )
dy

2 1
1
2eln y
2 y 3 ,1 y
y
y

6.2.2 Transformations That Are Not One-To-One

a. Discrete Case
Let discrete random variable X with density function f X ( x) and Y u ( X )
defined as transformations that are not one-to-one over A {x | f X ( x) 0} ,
although this means that no unique solution to the equation y u ( x) exists, it
ussually is possible to partition A into disjoint subsets A1 , A2 ,... such that u ( x)
is one-to-one over each Aj . Then, for each y in the range of

u ( x) , the

equation y u ( x ) has a unique solution x j w j ( y ) over the set A j . Density

function of Y is
fY ( y ) f X ( w j ( y)) or fY ( y ) f X ( x j )
j

Where the sum is over all x j such that u ( x j ) y

Example:

Suppose f X ( x )

4 1
, x 2, 1, 0,1, 2 , and let Y | X | . Partition A into
31 2

A1 {0,1, 2} and A2 {2, 1} . On A1 defined u ( x) x and on A2 defined

u ( x) x . The possible values of y are 0,1 and 2
Tabel 1: the value of x j and y u ( x ) over each partition

xj

On A1
u( x j ) y

0
1
2

0
1
2

xj

On A2
u( x j ) y

-1
-2

fY (0) f X ( x j ) f X (0)
j

1
2
4
31

fY (1) f X ( x j ) f X (1) f X (1)

j

4 1

31 2

4 1

31
2

4 1
4 1
fY (2) f X ( x j ) f X (2) f X (2)
31 2
31
2
j
b. Continuous Case
In continuous random variable case, density function can be found as in
discrete case, thus , its density function
dx
d
fY ( y ) f X ( w j ( y ))
w j ( y ) or fY ( y ) f X ( x j ) j
dy
dy
j
j
Example:
Suppose that X ~ UNIF (1,1) and Y X 2 . If we partition A (1,1) into
A1 (1,0) and A2 (0,1) , then y x 2 has unique solution x1 w1 ( y ) y
and x2 w2 ( y ) y over this interval. We can neglect the point x 0 in this
partition, because X is continuous. The pdf of Y is thus
1
1
1
fY ( y ) f X ( y )
fX ( y)

y B (0,1)
2 y
2 y 2 y
6.2.3 Joint Transformation
a. Discrete Case
If X is a vector of discrete random variables with joint pdf f X ( x) and
Y u ( X ) defines a one-to-one transformation, then the joint pdf of Y is

fY ( y1 , y2 ,..., yk ) f X ( x1 , x2 ,..., xk )

Where x1 , x2 ,..., xk are the solutions of y u ( x ) , and consequently depend on

y1 , y2 ,..., yk
Example:
Let X 1 and X 2 having joint density function f x1 , x2

x1 x2
, x1 1, 2,3 and
36

x2 1, 2,3 . Determine joint distribution of Y1 X 1 X 2 and Y2 X 2 . The

transformation is

y1 x1x2 and y2 x2 . Its unique solution is x1

y1
and
y2

y1
y
, y 2 1 , y1 1, 2,3, 4, 6,9 . Marginal
36
y2

x2 y 2 , therefore, fY ( y1, y 2 ) f X

density function of Y1 can be easy found by using the following table at first.
Tabel 2: the values of y1 , y2 of values x1 and x2
x1
1
2
3

y1 x1x2
1
2
3
2
4
6
3
6
9

x2
1
2
3
1
2
3
1
2
3

fY1 ( y1 )
y2

y2 x 2
1
2
3
1
2
3
1
2
3

y1
36

Thus,
for y1 1then y2 1 fY1 (1)

1
36

for y1 2 then y2 1, 2, thus fY1 (2)

2
2
4

36 36 36

for y1 3 then y2 1,3, thus fY1 (3)

for y1 4 then y2 2, thus fY1 (4)

4
36

for y1 6 then y2 2,3, thus fY1 (6)

for y1 9 then y2 3, thus fY1 (9)

3 3
6

36 36 36

6
6 12

36 36 36

9
36

Or
y1
36 ,
fY1 ( y1 )
2 y1 ,
36

untuk y1 1, 4,9
untuk y1 2,3, 6

b. Continuous Case
let X is a vector of continuous random variables with joint pdf f X ( x) 0 over
A and

vector random variable

Y defines a one-to-one transformation

Yi ui ( X 1 , X 2 ,..., X k ) , i 1, 2,..., k ,if its jacobian is continuous and non zero

of its transformation then the density function of Y is
fY ( y1 , y2 ,..., yk ) f X ( x1 , x2 ,..., xk ) | J |
Where x1 , x2 ,..., xk are the solutions of y u ( x ) , and consequently depend on
y1 , y2 ,..., yk
Jacobian J is determinant of matrix partial derivative size k k , that is
x1
y1

x1
y2

...

x1
yk

x2
J y1
M
xk
y2

x2
y2

...

x2
yk

M O
xk
...
y2

M
xk
yk

Example:
Consider random variables X 1 and X 2 , then defined new random variables
Y1 X 1 and Y2 X 1 X 2 .

This is coresspond with transformation y1 x1 and

y2 x1x2 which has unique solution x1 y1 and x2

x1
y1
x2
y1

x1
y2

1
y2
x2
y12
y2

y2
, its jacobian is
y1

0
1
1
y1
y1

Suppose random variable X has density function f ( x) 2 x, 0 x 1 . Let X 1 and

X 2 are sample random taken in those distribution, then, defined new random
variables Y1 X 1 and Y2 X 1 X 2 . From the previous example the transformation
jacobian is

1
.joint density function of X 1 and X 2 are f x1, x2 4 x1x2 ,
y1

0 x1 1 and 0 x2 1 , then
fY ( y1, y2 ) f X ( x1, x2 ) J

y 1
f X y1, 2
y1 y1

y 1
y
4 y1 2
4 2
y1 y1
y1
0 y1 1 and 0 y2 1
6.3 MGF Method
Theorem 6.1

If X 1 , X 2 ,..., X k are independent random variables with MGFs M X i (t ) then the

k

MGF of Y X i is
i 1

M Y (t ) M X1 (t )M X 2 (t )...M X k (t )

Example:
Let X 1 , X 2 ,..., X k be independent binomial random variables with repective
k

parameter ni , p, X i ~ BIN (ni , p ), and let Y X i . It follows that

i 1

M Y (t ) M X1 (t ) M X 2 (t )...M X k (t )

pe
pe q
pet q
t

n1

n2

... pet q

nk

n1 n2 ... nk

We recognize that this is the binomial MGF with parameters n1 n2 ... nk and
p , and thus Y ~ BIN (n1 n2 ... nk , p )

6.4 Order Statistic

Let X 1 , X 2 ,..., X n are sample random , then we ordered it from smallest to largest
thus we have ordered random variable X 1:n , X 2:n ,..., X n:n or can be written as
Y1 , Y2 ,..., Yn . Those random variable is called Order Statistic.
Theorem 6.2
If X 1 , X 2 ,..., X n is a sample random from a population with continuous pdf f ( x)
then the joint pdf of the order statistics Y1 , Y2 ,..., Yn is
g ( y1 , y2 ,..., yn ) n ! f ( y1 ) f ( y2 )... f ( yn )
If y1 y2 ... yn , and zero otherwise.
Theorem 6.3

Suppose that X 1 , X 2 ,..., X n denotes a sample random of size n from a continuous

f ( x) 0 for a x b . Then the pdf of the k-th order statistic

pdf, f ( x) , where
Yk is given by
g k ( yk )

n!
k 1
n k
F ( yk ) 1 F ( yk ) f ( yk )
(k 1)!(n k )!

If a yk b, and zero otherwise

Joint density function of arbitary Y1 and Y2 are
gi , j ( yi , y j )

n!
hi , j ( yi , y j ) with
(i 1)!( j i 1)!(n j )!

hi , j ( yi , y j ) F ( yi )

i 1

f ( yi ) F ( y j ) F ( yi )

j i 1

1 F ( y j )

n j

f (yj)

a yi y j b.

Special case:
The density function of order statistic minimum is
g1 ( y1 ) n 1 F ( y1 )

n 1

f ( y1 ) where a y1 b,

The density function of order statistic maximum is

g n ( yn ) n F ( yn )

n 1

f ( yn ) where a yn b,

Minimum and maximum order statistic also can be stated as

Y1 min X 1, X 2 ,..., X n
Yn max X 1, X 2 ,..., X n
Distribution function of order statistic minimum can be found by

G1 ( y1 ) Pr Y1 y1

1 Pr Y1 y1

1 Pr every X i xi
1 1 F ( y1 )

Distribution function of order statistic maximum can be found by

Gn ( yn ) Pr Yn yn

1 Pr Y1 y1

1 Pr every X i xn
F ( yn )

Example:
Suppose X 1 , X 2 , X 3 are random variable with size 3of population with density
function f ( x ) 2 x 0<x<1.
Joint density function of order statistic Y1 , Y2 , Y3 is
g ( y1, y2 , y3 ) 3! f ( y1 ) f ( y2 ) f ( y3 )
48 y1 y2 y3
0 y1 y2 y3 1
x

F ( x) 2tdt x 2
0

g1 ( y1 ) n 1 F ( y1 )
g n ( yn ) n F ( yn )

n 1

n 1

f ( y1 ) 6 y1 1 y12

Excercise 6

for 0 y1 1

f ( yn ) 6 yn5 for 0 yn 1

Gn ( yn ) F ( yn ) yn6 for 0 yn 1
n

1. Let X be a random variable with pdf f ( x) 4 x3 , if 0 x 1 and zero

otherwise. Use yhe CDF technique to determine the pdf of each of the
following random variables:
a. Y X 4
b. W e X
c. Z ln X
d. U ( X 0.5) 2
2. Rework exercise 1 using transformation methods
3. Let X and Y have joint pdf f ( x, y ) 4e 2( x y ) , 0 x , 0 y , and
zero otherwise
a. Find CDF of W X Y
X
and V X
Y
c. Find the marginal pdf of U
4. Suppose that X 1 and X 2 denote a sample random of size 2 from a gamma
b. Find the joint pdf of U

dsitribution, X i ~ GAM (2, 12 )

a. Find the pdf of Y

X1 X 2

X1
X2
5. Consider a sample random of size n from an exponential dsitribution
b. Find the pdf of W

X i ~ EXP(1) . Give the pdf of each of the following:

a. The smallest order statistic, Y1
b. The largest order statistic, Yn

CHAPTER VII
STATISTIC AND SAMPLING DISTRIBUTION

A. General Learning Objectives

Students understand statistics and sampling distributions.
B. Specific Learning Objectives
After learning this chapter, you are expected able to:
1. Determine probability of event of random variable that involve standard
distribution function.
2. Determine distribution of random variable that involve standard
distribution function.
3. Using the value of the t distribution table to solve problems related to
probability
4. Using the value of the F distribution table to solve problems related to
probability.

7.1 Statistic and Sampling Distribution

Definition 7.1
A function of observable random variables, T l X 1 , X 2 ,..., X n which does not
depend on only unknown parameters , is called a statistic
an observable random variables related the used of statistic is needed in inferential
process. Statistic also random variable where its distribution depend on sample
random and terms of function l X 1 , X 2 ,..., X n . Distribution of statistik is called
sampling distribution or derived distribution.

Definition 7.2

Let X 1 , X 2 ,..., X n represent a sample random from a population with pdf f ( x) ,

n

the sample mean X

i 1

Xi
1 n
2
S

and the sample variance

Xi X
n
n 1 i 1

Example:
Let

X 1 , X 2 ,..., X n are random variables which distribution is N ( , 2 ) then the

sample mean and the sample variance are statistic cause both of them do not
depend on value of and 2 . If taken T X then T is not statistic because T
contain unknown . However if the value of known (example =2) then T is
statistic.
The following theorem provides important properties of the sample mean and
sample variance
Theorem 7.1
If

X 1 , X 2 ,..., X n denotes a sample random from f(x) with

Var X 2 , then
1. E ( X )

2
n
2
3. Var ( S ) 2
2. Var ( X )

Proof:

n
X i
1
1

1. E ( X ) E E Xi n
n i 1
n
i 1 n
n
n
X

1
2. Var ( X ) Var i Var
Xi
i 1 n
n i 1
n

2 Var
n

1
2
2
X i 2 n

n
n
i 1

3. Var ( X ) E X

E X

E ( X ) and

2
2 , thus
n
2
1
1 n
Var ( S 2 ) E
Xi X
E

n 1
n 1 i 1

2
1 n 2

E X i E n X
n 1 i 1

then E X

X
i 1

2
i

2
nX

1
2
2
2
n
(

n
(
2 )

n 1
n

1
n 2 n 2 2 n 2 )
n 1
1

2 (n 1) 2
n 1
2
X
,
X
,...,
X
Let 1 2
n are sample random obtained on distribution N ( , ) , then we

will find the terms of sampling dsitribution of X .

2 t2
MGF of N ( , 2 ) is M x (t ) e t 2
1
X1 X 2 ... X n
n

Consider Y

E (etY ) E e n
t

X1 X 2 ... X n

Ee

t
n

X1

e n 2 ...e n

Xn

Since X 1 , X 2 ,..., X n are independent then

E e n 1 e n 2 ...e n

E e E e ...E e
X
E e M (t ) for Z
.
n
t
n

Xn

t
n

Noticed that

t
n

X1

t
n

X2

Xi

Xn

As properties of MGF then

n
t t

M Z (t ) M X e n 2 n2 , and M Y (t ) M X i
n

i 1
22

t
, since
n
n

X 1 , X 2 ,..., X n are

t 2t 2

2
t
t
M

exp

exp

identic thus, X i

Xi

2
n
n
n
i 1

n 2n

t2

2 t 2
2
2
M Y (t ) exp t
N

,
X
~
N

,

therefore

that is MGF of
n
n
n 2

Theorem 7.2
If Z ~ N (0,1) then Z 2 ~ 2 (1)
Proof:

M Z 2 (t ) E e tz

1 tz 2 z22
e
2

1 z2
e
2

1 2t
1 2t

dz

1 z2
e
2

1
1 2t

1 2 t
2

1
e
2

1 2 t
2

1 2 t z
2

1 2t z

1 2t z

12

Which is the MGF of Chi-square distribution with degree of freedom v =1.

Theorem 7.3
2
If Yi ~ (vi ) for i 1, 2,..., n are independent chi-square variables then

i 1

V Yi ~ 2

v
i

i 1

Corollary 7.1
Let X 1 , X 2 ,..., X n denotes a sample random from N ( , 2 ) then
n
X i ~ 2 ( n)
a.
2
i 1
b.

n X

~ 2 (1)

Proof
a. Let Yi

Xi
then

M Yi (t ) e

t M t e t e
X

t 2t 2
2

t2

e2

2
2
It means Yi ~ N (0,1) consequence Yi ~ (1) , thus,

Y
i 1

~ 2 ( n)

n X

b. Suppose Y

2
n
n . We know that X ~ N ,

X
n

2 t2

and M X (t ) e t n 2 consequence

M Y (t ) e

n
t

n
M X
t

n
t

n
2 2 n
t t

n 2 2

t2
2

e
e
e
Y
~
N
(0,1)
It means
therefore Y 2 ~ 2 (1)

( n 1) S 2
, first notice the following terms
2

Now we will find distribution of

n

X
i 1

i 1

i 1

X 2 X i 2
2

2
i

i 1
n

X i2 2n X n 2
i 1

2n X n

X i2 n X n X 2n X n 2

X i2 n X n X
i 1

i 1
n

i 1

i 1

X i2 X X i n X n X 2n X n 2
n

Xi X
i 1

n X

Thus,
n

i 1

Xi

i 1

i X

1 n
But, S
Xi X
n 1 i 1
2

i 1

Xi
2

n X

then we will use it to show the following term

(n 1) S 2 n X

2
2

Or V1 V2 V3

2
2
As corrolary 7.1 we have V1 ~ (n) and V3 ~ (1) , since V2 and V3 independent

then

Ee e
Ee Ee

M V1 (t ) E e t (V2 V3 )
tV2 tV3

tV3

tV2

M V2 (t ) M V3 (t )
Therefore, M V2 (t )

M V1 (t )
M V3 (t )

M V1 (t ) ~ 2 (n) thus M V 3 (t ) 1 2t 2 . Then,

1

1 2t
M V (t )

1 2t

n2

1
2

1 2t

2
Therefore, V2 ~ (n 1) so

n2 12

1 2t

( n21)

( n 1) S 2
~ 2 (n 1)
2

7.2 The t-(Student) Distribution

If Z ~ N (0,1) and V ~ 2 (v) and if Z and V independent then distribution of

Z
V is called t-Student distribution with degree of freedom v and notated by
v

T ~ t (v ) . Its density function is

v 1

2
f (t ; v )
v

2

The

table

of

1
v

t
1
v

( v21)

distribution

Pr(T t ) 1 Pr(T t ) .

, t ;0 v

gives

value

of

Pr(T t ) ,

and

The value of t (v) states the value of percentile that staisfies Pr(T t (v)) .
Example:
If T ~ t (17) , determine Pr(T 1.74)
Solution:
t table gives value of P(T t ) then
Pr(T 1.74) 1 Pr(T 1.74)
1 0.95 0.05

7.3 The F Distribution

If V1 ~ (v1 ) and V2 ~ (v2 ) are independent then random variable of X
2

V1
v1
V2
v2

is

called F(Snedecor) distribution with degree of freedom v1 and v2 , notated by

X ~ F (v1 , v2 ) . Its density function is
The table of F distribution gives value of Pr( X c) . Percentile of f (v1 , v2 )
state percentile that stisfies Pr( X f (v1 , v2 )) . The following is properties of
F distribution
If X ~ F (v1 , v2 ) then

1
~ F (v2 , v1 )
X

Pr X f (v1 , v2 )
1
1

f (v1 , v2 )
X

Pr

1
1 Pr Y

f (v1 , v2 )

1
Then 1 Pr Y

f (v1 , v2 )

In this case, since Y ~ F (v2 , v1 ) therefore 1 Pr Y f1 (v2 , v1 )

1
Thus, Pr Y
Pr Y f1 (v2 , v1 )
f (v1 , v2 )

So,

1
f1 (v2 , v1 )
f (v1 , v2 )

Example:
1.

f 0.1 (15, 7)

1
1

0.463
f 0.1 (7,15) 2.16
1

0.25 Pr X 4 0.975
X

2. If X ~ F (20,8) then Pr
Excercise 7.

1. Let X denote the weigth in pounds of a bag of feed, where X ~ N (101, 4) .

What is the probability that 20 bags will weigh at least a ton? (1 ton =2000
pounds)
2. Consider Z i ~ N (0,1), i 1, 2,...,16 , if Z is sample mean , determine
a. Pr( Z 0.5)
2
16

b. Pr Z i Z 25

i 1

T
~
t
(
v
)
3. Let
find the distribution of T 2
2
4. If X i ~ N ( , ), i 1, 2,..., n and Z i ~ N (0,1), i 1, 2,..., k , determine

n X

distribution of

SZ

5. If X i ~ N ( , ), i 1, 2,..., n and Z i ~ N (0,1), i 1, 2,..., k , determine

2

distribution of k Z
6. If T ~ t (3) calculate P (0.87 T 2.65)
7. If X ~ F (5,10) determine the value of a and b , then
a. Pr( X a ) 0.05 and Pr( X b) 0.95
b. Pr(a X b) 0.9

REFERENCE

Bain, L. J. and Engelhardt, M. 1992. Introduction to Probability and

Mathematical Statistics 2 th . California : Duxbury Press.
Freund, J.E and Walpole, R.E. 1980. Mathematical Statistics 3th edition. London :
Prentice-Hall International, Inc.
Hogg, R. V and Craig, A. T. 1978. Introduction to Mathematical Statistics 4
ed. New York : Macmillan Publishing Co., Inc.

th

Roussas, G. G. 1973. A First Course in Mathematical Statistics. California :

Addison Wesley Publishing Company.