Basic Statistics Notes

Lecture 10
Reasoning: Random Variables

A.Vinciarelli
Artificial Intelligence 4 (AI4)
School of Computing Science
University of Glasgow (UK)
Lecture 10: Reference

This lecture corresponds to Appendix A of the
following textbook:
Machine Learning for Audio, Image and Video
Analysis
F.Camastra and A.Vinciarelli
www.dcs.gla.ac.uk/vincia/textbook.pdf
Artificial Intelligence
Slide 2 of 27
The Intelligent Agent

Sensors
Actuators
Percepts
Actions
Environment
Agent
Program and reasoning
Slide 3 of 27
Outline
Random Variables
Mean, Variance, Covariance
Slide 4 of 27
Outline
Random Variables
Slide 5 of 27
Random Variables
= ()
I
A variable is said to be a random variable

when its values depend on the events of a
sample space
A variable that takes the value of the
number printed on the face of a dice is a
random variable
Slide 6 of 27
Probability Distribution
I
Random variables are associated to

functions called Probability Distributions that
provide the probability of falling between xi
and xj (with xi xj )
Probability distributions are different
depending on whether the random variable
is discrete or continuous
Slide 7 of 27
Discrete Random Variables
P(xi xj ) =
xj
X
p ()
=xi
I
The values of a discrete variable belong to a

finite set X = {x1 , x2 , . . . , xN }
It is possible to know the probability that
takes a specific value xk : P( = xk ) = p (xk )
p () is the probability distribution
Slide 8 of 27
Cumulative Distribution (I)

Hay un error. La xi dentro de los parentesis deberia ser Xi. Es el ndice
del sumatorio. La xi que va justo despus de la p es para indicar que
variable aleatoria.
x
X
F (x) = P( x) =
p ()
=
I
The cumulative distribution F (x) provides

the probability that x
When
/ X , p() = 0
F(3.7) = P(xi <= 3.7) = p xi (1) + p xi (2) + p xi (3)
Slide 9 of 27
Cumulative Distribution (II)
F () =
X
=
p () =
N
X
p (xk ) = 1
k =1
The probability of being less than is the

probability that takes any of the values in X
When
/ X , p() = 0
Slide 10 of 27
Continuous Random Variables

Z
x2
P(x1 x2 ) =
p (x)dx
x1
The values of a continuous variable belong

to a continuous interval [a, b]
It is possible to know the probability p (x)dx
that falls between x and x + dx
p (x) is the probability density function
x + dx is a value infintitely close to x.
Slide 11 of 27
F (x) = P( x) =
p (x 0 )dx 0
The cumulative distribution F (x) provides

the probability that x
When < a or > b, p() = 0
x prime is the integration variable
Slide 12 of 27
F () =
p (x)dx =
p (x)dx = 1
a
The probability of being less than is the

probability that takes any of the values in
[a, b]
When < a or > b, p() = 0
Slide 13 of 27
Discrete Joint Probability Distribution (I)
P(1 = x, 2 = y ) = p1 2 (x, y )
I
The joint probability distribution p1 2 (x, y )

provides the probability that = x and = y
1 X {x1 , . . . , xN } and 2 Y = {y1 , . . . , yM }
are discrete random variables
Slide 14 of 27
Discrete Joint Probability Distribution (II)

xi1 y xi2 dentro del parentesis son los indices del sumatorio
x: de i a j
y: de k a l
xj ,yl
P(xi 1 xj , yk 2 yl ) =
p1 2 (1 , 2 )
1 =xi ,2 =yk
The joint probability distribution allows one to

estimate the probability that xi 1 xj and
yk 2 yl , with xi xj and yk yl
Slide 15 of 27
Discrete Joint Cumulative Distribution
F (x, y ) = P(1 x, 2 y ) =
x,y
X
p1 2 (1 , 2 )
1 =,2 =
The joint cumulative distribution allows one

to estimate the probability that 1 x and
2 y , with F (, ) = 1
Slide 16 of 27
Joint Probability Density Function
P(x 1 x+dx, y 2 y +dy ) = p1 ,2 (x, y )dxdy
The values of 1 and 2 belong to continuous

intervals: 1 [a, b] and 2 [c, d]
The joint Probability Density Function
p (1 , 2 ) allows one to estimate
P(x 1 x + dx, y 2 y + dy )
Slide 17 of 27

F (x, y ) = P(1 x, 2 y )
Z x Z y
p (x 0 , y 0 )dx 0 dy 0
The cumulative distribution F (x, y ) provides

the probability that 1 x and 2 y
When 1
/ [a, b] or 2
/ [c, d], p(1 , 2 ) = 0
Slide 18 of 27

Z
p (x 0 , y 0 )dx 0 dy 0 = 1
F (, ) =
The cumulative distribution F (, )

provides the probability that 1 and 2 take
any of the values in [a.b] and [c, d],
respectively.
When 1
/ [a, b] or 2
/ [c, d], p(1 , 2 ) = 0
Slide 19 of 27
Outline
Random Variables
Slide 20 of 27
Mean Value (Discrete)
E() =
X
x=
xp (x) =
N
X
xk p (xk )
k =1
E() is the Mathematical Expectation or

Mean Value of p ()
The mean E() is not necessarily in
X = {x1 , . . . , xN }
Slide 21 of 27
Mean Value (Continuous)
E() =
xp (x)dx =
xp (x)dx
a
E() is the Mathematical Expectation or

Mean Value of p ()
Slide 22 of 27
Variance (Discrete)
[x E()] p (x) =
x=
I
I
N
X
[xk E()]2 p (xk )
k =1
2 is the variance or dispersion of p ()

The variance is the mean of [ E()]2 , the
square of the difference between the
variable and the mean
Slide 23 of 27
Variance (Continuous)
2
[x E()]2 p (x)dx =
[x E()]2 p (x)dx
a
I
I
2 is the variance or dispersion of p ()

The variance is the mean of [ E()]2 , the
square of the difference between the
variable and the mean
Slide 24 of 27
Covariance
1 2 = E{[1 E(1 )][2 E(2 )]}

I
The covariance is a measurement of how

much two variables covariate, i.e., tend to
jointly increase or jointly decrease
Slide 25 of 27
Covariance (Discrete)
1 2 =
[10 E(10 )][20 E(20 )]p1 2 (10 , 20 )
10 = 20 =

Slide 26 of 27
Covariance (Continuous)
1 2 =
Z
[10 E(10 )][20 E(20 )]p1 2 (10 , 20 )d10 d20

Slide 27 of 27

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Lecture 10

Reasoning: Random Variables

Lecture 10: Reference

The Intelligent Agent

Program and reasoning

Mean, Variance, Covariance

Mean, Variance, Covariance

A variable is said to be a random variable

Random variables are associated to

Discrete Random Variables

The values of a discrete variable belong to a

Cumulative Distribution (I)

The cumulative distribution F (x) provides

F(3.7) = P(xi <= 3.7) = p xi (1) + p xi (2) + p xi (3)

Cumulative Distribution (II)

The probability of being less than is the

Continuous Random Variables

The values of a continuous variable belong

Cumulative Distribution (I)

The cumulative distribution F (x) provides

Cumulative Distribution (II)

The probability of being less than is the

Discrete Joint Probability Distribution (I)

The joint probability distribution p1 2 (x, y )

Discrete Joint Probability Distribution (II)

The joint probability distribution allows one to

Discrete Joint Cumulative Distribution

The joint cumulative distribution allows one

Joint Probability Density Function

P(x 1 x+dx, y 2 y +dy ) = p1 ,2 (x, y )dxdy

The values of 1 and 2 belong to continuous

Cumulative Distribution (I)

The cumulative distribution F (x, y ) provides

Cumulative Distribution (II)

The cumulative distribution F (, )

Mean, Variance, Covariance

Mean Value (Discrete)

E() is the Mathematical Expectation or

Mean Value (Continuous)

E() is the Mathematical Expectation or

[xk E()]2 p (xk )

2 is the variance or dispersion of p ()

2 is the variance or dispersion of p ()

1 2 = E{[1 E(1 )][2 E(2 )]}

The covariance is a measurement of how

[10 E(10 )][20 E(20 )]p1 2 (10 , 20 )

The covariance is a measurement of how

[10 E(10 )][20 E(20 )]p1 2 (10 , 20 )d10 d20

The covariance is a measurement of how

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