15ma301 U1

Lecture Notes
15MA301-Probability & Statistics
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Prepared by
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S ATHITHAN
Assistant Professor
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Department of of Mathematics
Faculty of Engineering and Technology
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SRM UNIVERSITY
Kattankulathur-603203, Kancheepuram District.
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SRM UNIVERSITY
Kattankulathur-603203, Kancheepuram District.

Probability & Statistics S.ATHITHAN
Contents
1 Probability 3
1.1 Defintion of Probability and Basic Theorems . . . . . . . . . . . . . . . . . . 3
1.1.1 Random Experiment . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.1.2 The Approaches to Define the Probability . . . . . . . . . . . . . . . . 3
1.2 Conditional Probability and Independents Events . . . . . . . . . . . . . . . . 4
1.3 Total Probability and Bayes’ Theorem . . . . . . . . . . . . . . . . . . . . . . 4
2 Discrete and Continuous Distributions 5
3 Mathematical Expectation 5
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3.1 Properties of Expectation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
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3.2 Variance and its properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
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4 Moments and Moment Generating Function 6
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4.1 Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
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4.2 Moment Generating Function (MGF) . . . . . . . . . . . . . . . . . . . . . . 8
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5 Example Worked out Problems 10
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6 Exercise/Practice/Assignment Problems 33
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Page 1 of 36 https://sites.google.com/site/lecturenotesofathithans/home
Unit-1
Probability and Random Variables
T OPICS :
? Probability Concepts and Problems
? Random Variables (Discrete and Continuous)
? General Probability Distributions and Problems
? Moments and Moment Generating Functions
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1 Probability
1.1 Defintion of Probability and Basic Theorems
1.1.1 Random Experiment
An Experiment whose outcome or result can be predicted with certainty is called a deterministic
experiment.
An Experiment whose all possible outcomes may be known in advance, the outcome of a
particular performance of the experiment cannot be predicted owing to a number of unknown
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cases is called a random experiment.
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Definition 1.1 (Sample Space). Set of all possible outcomes which are assumed to be equally
likely is called the sample space and is usually denoted by S. Any subset A of S containing
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favorable outcomes is called an event.
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1.1.2 The Approaches to Define the Probability
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Definition 1.2 (Mathematical or Apriori Definition of Probability). Let S be a sample space and
A be an event associated with a random experiment. Let n(S) and n(A) be the number of elements
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of S and A. Then the probability of event A occurring, denoted by P(A) and defined as
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n(A) Number of cases favorable to A

P (A) = =
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n(S) Exhaustive number of cases in S(Set of all possible cases)

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Definition 1.3 (Statistical or Aposteriori Definition of Probability). Let a random experiment

n1
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be repeated n times and let an event A occur n1 times out of n trials. The ratio is called
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n1
the relative frequency of the event A. As n increases, shows a tendency to stabilize and to
n
approach a constant value and is denoted by P(A) is called the probability of the event A. i.e.,
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n1
P (A) = lim
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n→∞ n
Definition 1.4 (Axiomatic Approach/Definition of Probability). Let S be a sample space and A

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be an event associated with a random experiment. Then the probability of the event A is denoted
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by P(A) is defined as a real number satisfying the following conditions/axioms:

(i) 0 ≤ P (A) ≤ 1
(ii) P(S)=1
(iii) If A and B are mutually exclusive events, then P (A ∪ B) = P (A) + P (B)
Axiom (iii) can be extended to arbitrary number of events. i.e., If A1 , A2 , . . . , An , . . . be mutually
exclusive, then P (A1 ∪ A2 ∪ A3 · · · ∪ An . . . ) = P (A1 ) + P (A2 ) + P (A2 ) + P (A3 ) + · · · +
P (An ) + . . .
Theorem 1. The probability of the impossible event is zero. i.e., if φ is a subset of S containing
no event, then P (φ) = 0.
Theorem 2. If A be the complimentary event of A, then P (A) = 1 − P (A) ≤ 1.
Theorem 3 (Addition Theorem of Probability). If A and B be any two events, then P (A ∪ B) =

P (A) + P (B) − P (A ∩ B) ≤ P (A) + P (B).
The above Theorem can be extended for 3 events which is given by P (A ∪ B ∪ C) = P (A) +
P (B) + P (C) − P (A ∩ B) − P (B ∩ C) − P (C ∩ A) + P (A ∩ B ∩ C)
Theorem 4. If B ⊂ A, then P (B) ≤ P (A).
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1.2 Conditional Probability and Independents Events
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The conditional probability of an event B, assuming that the event A has happened, is denoted
by P (B/A) and is defined as
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P (B/A) =
P (A ∩ B)
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, provided P (A) 6= 0
P (A)
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Theorem 5 (Product Theorem of Probability). P (A ∩ B) = P (A) · P (B/A)

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The product theorem can be extended to three events such as

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P (A ∩ B ∩ C) = P (A) · P (B/A) · P (C/A and B)

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There are few properties for the conditional distribution. Please go through it in the textbook.
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When two events A and B are independent, we have P (B/A) = P (B) and the Product
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Theorem takes the form P (A ∩ B) = P (A) · P (B). The converse of this statement is also. i.e.,
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If P (A ∩ B) = P (A) · P (B), then the events A and B are said to be independent.

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This result can be extended to any number of events. i.e., If A1 , A2 , . . . , An be n no. of events,
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then
P (A1 ∩ A2 ∩ A3 ∩ · · · ∩ An ) = P (A1 ) · P (A2 ) · P (A3 ) · · · · P (An )
Theorem 6. If the events A and B are independent, then the events A and B (and similarly A
and B, A and B) are also independent.
1.3 Total Probability and Bayes’ Theorem
Theorem 7 (Theorem of Total Probability). If B1 , B2 , . . . , Bn be the set of exhaustive and

mutually exclusive events and A is another event associated with(or caused by)Bi , then
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P (A) = P (Bi )P (A/Bi )
i=1
Theorem 8 (Bayes’ Theorem of Probability of Causes). If B1 , B2 , . . . , Bn be the set of exhaustive

and mutually exclusive events associated with a random experiment and A is another event
associated with(or caused by)Bi , then
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P (Bi )P (A/Bi )
P (Bi /A) = P
n , i = 1, 2, . . . , n
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P (Bi )P (A/Bi )
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2 Discrete and Continuous Distributions AT
For the problems on Discrete and Continuous Random Variables(RV’s) we have to note down
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the following points from the table for understanding.

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Discrete ] RV Continuous ] RV
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(Probability Distribution Function) (Probability Density Function)

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Operator Σ
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Takes Values of the form (Eg.) 1, 2, 3, . . . 0<x<∞

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Standard Notation P (X = x) f (x)

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CDF∗ F (X = x) = P (X ≤ x) F (X = x) = P (X ≤ x)
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∞
X Z∞
Total Probability P (X = x) = 1 f (x)dx = 1
−∞ −∞
]
RV-Random Variable, *CDF-Cumulative Distribution Function or Distribution Function
3 Mathematical Expectation
Definition 3.1 (Expectation). An average of a probability distribution of a random variable X
is called the expectation or the expected value or mathematical expectation of X and is denoted
by E(X).
Definition 3.2 (Expectation for Discrete Random Variable). Let X be a discrete random vari-
able taking values x1 , x2 , x3 , . . . with probabilities P (X = x1 ) = p(x1 ), P (X = x2 ) =
X∞
p(x2 ), P (X = x3 ) = p(x3 ), . . . , the expected value of X is defined as E(X) = xi p(xi ),
i=−∞
if the right hand side sum exists.
Definition 3.3 (Expectation for Continuous Random Variable). Let X be a continuous ran-
dom variable with pdf f (x) defined in (−∞, ∞), then the expected value of X is defined as
Z∞
E(X) = xf (x)dx.
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−∞
Note: E(X) is called the mean of the distribution or mean of X and is denoted by X or µ.
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3.1 Properties of Expectation
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1. If c is any constant, then E(c) = c.
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2. If a, b are constants, then E(aX + b) = aE(X) + b.
3. If (X, Y ) is two dimensional random variable, then E(X + Y ) = E(X) + E(Y ).
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4. If (X, Y ) is two dimensional independent random variable, then E(XY ) = E(X)E(Y ).

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3.2 Variance and its properties

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Definition 3.4. Let X be a random variable with mean E(X), then the variance of X is defined
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as E(X 2 ) − [E(X)]2 and id denoted by V ar(X) or σX2

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Properties of Variance
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1. V ar(aX) = a2 V ar(X)
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2. V ar(aX ± b) = a2 V ar(X).
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4 Moments and Moment Generating Function
4.1 Moments
Definition 4.1 (Moments about origin). The rth moment of a random variable X about the
origin is defined as E(X r ) and is denoted by µ0r . Moments about origin are known as raw
moments.
Note:By moments we mean the moments about origin or raw moments.
The first four moments about the origin are given by
1. µ01 = E(X)=Mean
2. µ02 = E(X 2 )
3. µ03 = E(X 3 )
4. µ04 = E(X 4 )
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Note: V ar(X) = E(X 2 ) − [E(X)]2 = µ02 − µ01 =Second moment - square of the first moment.
Definition 4.2 (Moments about mean or Central moments). The rth moment of a random variable
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X about the mean µ is defined as E[(X − µ)r ] and is denoted by µr .
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The first four moments about the mean are given by
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1. µ1 = E(X − µ) = E(X) − E(µ) = µ − µ = 0
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2. µ2 = E[(X − µ)2 ] = V ar(X)
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3. µ3 = E[(X − µ)3 ] AT
4. µ4 = E[(X − µ)4 ]
Definition 4.3 (Moments about any point a). The rth moment of a random variable X about
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any point a is defined as E[(X − a)r ] and we denote it by m0r .

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The first four moments about a point ‘a’ are given by

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1. m01 = E(X − a) = E(X) − a = µ − a

2. m02 = E[(X − a)2 ]
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3. m03 = E[(X − a)3 ]

4. m04 = E[(X − a)4 ]
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Relation between moments about the mean and moments about any arbitrary point a
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Let µr be the rth moment about mean and m0r be the rth moment about any point a. Let µ be the
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mean of X.
∴ µr = E[(X − µ)r ]
= E[(X − a) − (µ − a)]r
= E[(X − a) − m01 ]r
E (X − a)r − r C1 (X − a)r−1 m01 + r C2 (X − a)r−2 (m01 )2 − · · · + (−1)r (m01 )r

=
= E(X − a)r − r C1 E(X − a)r−1 m01 + r C2 E(X − a)r−2 (m01 )2
−r C3 E(X − a)r−3 (m01 )3 + r C4 E(X − a)r−4 (m01 )4 − · · · + (−1)r (m01 )r
= m0r − r C1 m0r−1 m01 + r C2 m0r−2 (m01 )2 − r C3 m0r−3 (m01 )3 + r C4 m0r−4 (m01 )4
− · · · + (−1)r (m01 )r
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We define(fix) m00 = 1, then we have
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µ1 = m01 − m00 m01 = 0
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µ2 = m02 − 2 C1 m01 · m01 + (m01 )2
= m02 − (m01 )2
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µ3 = m03 − 3 C1 m02 · m01 + 3 C2 m01 · (m01 )2 − (m01 )3 ·
= m03 − 3m02 · m01 + 2(m01 )3
µ4 = m04 − 4 C1 m03 · m01 + 4 C2 m02 · (m01 )2 − 4 C3 m01 · (m01 )3 + (m01 )4 ·
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= m04 − 4m03 · m01 + 6m02 · (m01 )2 − 3(m01 )4

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4.2 Moment Generating Function (MGF)

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Definition 4.4 (Moment Generating Function (MGF)). The moment generating function of a
random variable X is defined as E(etX ) for allt ∈ (−∞, ∞). It is denoted by M (t) or MX (t).
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etx P (X = x) if X is discrete
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 x=0
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
MX (t) = E(etX ) =
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
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 Z∞
etx f (x)dx if X is continuous
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
x=0
If X is a random variable. Its MGF MX (t) is given by

tX (tX)2 (tX)3 (tX)r

tX
MX (t) = E(e ) = E 1 + + + + ··· + + ...
1! 2! 3! r!
t (t)2 (t)3 (t)r
= 1 + E(X) + E(X 2 ) + E(X 3 ) + · · · + E(X r ) + . . .
1! 2! 3! r!
t (t)2 0 (t)3 0 (t)r 0
= 1 + µ01 + µ2 + µ3 + · · · + µ + ...
1! 2! 3! r! r
i.e.
µ01 = Coefft. of t in the expansion of MX (t)

t2
µ02 = Coefft. of in the expansion of MX (t)
2!
..
.
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µ0r = Coefft. of in the expansion of MX (t)
r!
..
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∴ MX (t) generates all the moments about the origin. (That is why we call it as Moment
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Generating Function (MGF)).
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Another phenomenon which we often use to find the moments is given below:
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(r)
µ0r = MX (0)
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We have
t 0 (t)2 0
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(t)3 0 (t)r 0
MX (t) = E(etX ) = 1 + µ1 + µ2 + µ3 + · · · + µ + ...
1! 2! 3! r! r
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Differentiate with respect to t, we get

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(t)2 0 (t)r−1 0
MX0 (t) = µ01 + tµ02 + µ3 + · · · + µ + ...
(r − 1)! r
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2!
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(t)2 0 (t)r−2 0
MX00 (t) = µ02 + tµ03 + µ4 + · · · + µ + ...
2! (r − 2)! r
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...
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(r)
MX (t) = µ0r + terms of higher powers of t
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..
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Putting t = 0, we get
MX0 (0) = µ01

MX00 (0) = µ02
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(r)
MX (0) = µ0r
..
.
The Maclaurin’s series expansion given below will give all the moments.
t 0 t2 00
MX (t) = MX (0) + MX (0) + MX (0) + . . .
1! 2!
The MGF of X about its mean µ is MX−µ (t) = E et(X−µ) .

Similarly, the MGF of X about any point a is MX−a (t) = E et(X−a) .

Properties of MGF
1. McX (t) = MX (ct)

2. MX+c (t) = ect MX (t)
3. MaX+b (t) = ebt MX (at)
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4. If X and Y are independent RV’s then, MX+Y (t) = MX (t) · MY (t).
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5 Example Worked out Problems
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Example: 1. From 6 positive and 8 negative numbers, 4 are chosen at random(without replace-
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ment) and multiplied. What is the probability that the product is negative?
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Hints/Solution: If the product is negative(-ve), any one number is -ve (or) any 3 numbers are
-ve.
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No. of ways choosing 1 negative no. = 6 C3 ·8 C1 = 20 · 8 = 160.

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No. of ways choosing 3 negative nos. = 6 C1 ·8 C3 = 6 · 56 = 336.

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Total no. of ways choosing 4 nos. out of 14 nos. =14 C4 = 1001.

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160 + 336 496

∴ P (the product is -ve) = = .
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1001 1001
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Example: 2. A box contains 6 bad and 4 good apples. Two are drawn out from the box at a time.
One of them is tested and found to be good. What is the probability that the other one is also
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good.
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Hints/Solution: Let A be an event of first drawn apple is good and let B be an event that the
other one is also good.
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P (A ∩ B) C2 /10 C2 6/45 1
∴ The required probability is P (B/A) = = 4 = =
P (A) 10
4/10 3
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Aliter: Probability of the first drawn apple is good= .
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Once the first apple is drawn, the box contains only 9 apples in total and 3 good apples.
3 1
∴ Probability of the second drawn apple is also good= = .
9 3
Example: 3. The chances of A, B and C become the general manager of a certain firm is in the
ratio 4:2:3. The probabilities that the bonus scheme will be introduced in the company if A, B
and C become general manager is 0.3, 0.7 and 0.8 respectively. Find the probability that the
bonus scheme is introduced. If the bonus scheme has been introduced, what is the probability
that B has been appointed as general manager?.
Hints/Solution: Let B be an event of the bonus scheme is introduced. Let A1 , A2 , A3 be the
event of A, B, C becoming the general manager respectively.
4 2 3
Given, P (A1 ) = , P (A2 ) = , P (A3 ) = and
9 9 9
3 7 8
P (B/A1 ) = 0.3 = , P (B/A2 ) = 0.7 = , P (B/A3 ) = 0.8 =
10 10 10
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∴ By Total Probability Theorem and Bayes’ Theorem, the required probabilities are
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n
12 14 24 50
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P (B) = P (Ai )P (B/Ai ) = + + =
90 90 90 90
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and
P (A2 )P (B/A2 ) 14/90 14
P (A2 /B) = P = =
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50/90 50
P (Ai )P (B/Ai ) AT
i=1
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Example: 4. A bag contains 5 balls and if it not known that how many of them are white. Two
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balls are drawn at random from the bag and they are noted to be white. What is the probability
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that the bag contains at least 2 white balls and all the balls in the bag are white?
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Hints/Solution: Let B be an event that two balls are drawn, they turns to be white. i.e., the
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bag contains at least 2 white balls. Let A1 , A2 , A3 , A4 be the event that the bag contains 2,3,4,5
white balls respectively. Here we may imagine that there are 4 different bags with 2w,3w,4w,5w
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balls. If we choose the bag that may be any one of these bags, so all the events A1 , A2 , A3 , A4
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are equally likely.

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1 1 1 1
∴ P (A1 ) = , P (A2 ) = , P (A3 ) = , P (A4 ) = and
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2 3
C2 1 C2 3
P (B/A1 ) = 5 = , P (B/A2 ) = 5 = ,
C2 10 C2 10
4 5
C2 6 C2
P (B/A3 ) = 5 = , P (B/A4 ) = 5 = 1.
C2 10 C2
∴ By Total Probability Theorem and Bayes’ Theorem, the required probabilities are
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X 1 1 3 6 10 1
P (B) = P (Ai )P (B/Ai ) = + + + =
i=1
4 10 10 10 10 2
and
P (A2 )P (B/A2 ) 1/4 1
P (A2 /B) = P
n = =
1/2 2
P (Ai )P (B/Ai )
i=1
Example: 5. 1% of women at age forty who participate in routine screening have breast cancer.
80% of women with breast cancer will get positive mammographies. 9.6% of women without
breast cancer will also get positive mammographies. A woman in this age group had a positive
mammography in a routine screening. What is the probability that she actually has breast
cancer?
The same problem can get the form by changing the percentages to real numbers as
follows:
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100 out of 10,000 women at age forty who participate in routine screening have breast cancer.
80 of every 100 women with breast cancer will get a positive mammography. 950 out of 9,900
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women without breast cancer will also get a positive mammography. If 10,000 women in this age
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group undergo a routine screening, about what fraction of women with positive mammographies
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will actually have breast cancer?
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Hints/Solution:
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Now we pass both groups through the sieve; note that both sieves are the same; they just behave
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differently depending on which group is passing through.
Let A be an event that a Woman with/having cancer.
Let B be an event of showing a positive mammography.
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Finally, to find the probability that a positive test actually means cancer, we look at those who
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passed through the sieve with cancer, and divide by all who received a positive test, cancer or
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not.
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P(B/A)P (A) 1% ∗ 80%

P(A/B) = = = 7.8%
P(B/A)P (A) + P(B/A)P (A) (1% ∗ 80%) + (99% ∗ 9.6%)
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All women
In measuring, we find:
Women with can-
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cer P(A) = 1% Women
without cancer
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P(A) = 99%
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P(B/A) = 0.8 AT P(B/A) = 0.096
1% ∗ 80% 99% ∗ 9.6%

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Example: 6. A random variable X has the following distribution

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X 0 1 2 3 4 5 6 7
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2 2 2
P[X=x] 0 k 2k 2k 3k k 2k 7k + k
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Find (i) the value of k,(ii) the Cumulative Distribution Function (CDF) (iii) P (1.5 < X <
1
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4.5/X > 2) and (iv) the smallest value of α for which P (X ≤ α) > .
2
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Hints/Solution:
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∞
X
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(i) We know that P [X = x] = 1.

−∞
Here,
P [X = 0] + P [X = 1] + P [X = 2] + P [X = 3]+
P [X = 4] + P [X = 5] + P [X = 6] + P [X = 7] = 1
i.e. 0 + k + 2k + 2k + 3k + k 2 + 2k 2 + 7k 2 + k = 1
i.e. 10k 2 + 9k − 1 = 0
i.e. (10k − 1)(k + 1) = 0
1
=⇒ k = or k = −1
10
1
Since the probability is not negative, we take the value k = .
10
∴ The probability distribution is given by
X 0 1 2 3 4 5 6 7
P [X = x] 0 k 2k 2k 3k k2 2k 2 2
7k + k
1 2 2 3 1 2 17
P [X = x] 0
10 10 10 10 100 100 100
(ii) The Cumulative Distribution Function (CDF)
F (x) = P (X ≤ x)
F (0) = P (X ≤ 0) = P (X = 0) = 0
1 1
F (1) = P (X ≤ 1) = P (X = 0) + P (X = 1) = 0 + =
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10 10
1 2 3
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F (2) = P (X ≤ 1) = P (X = 0) + P (X = 1) + P (X = 2) = 0 + + =
10 10 10
A
..
.
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F (7) = P (X ≤ 7) = P (X = 0) + P (X = 1) + P (X = 2) + P (X = 2)
+P (X = 4) + P (X = 5) + P (X = 6) + P (X = 7)
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100 AT
= =1
100
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The detailed CDF F (X = x) is given in the table.

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X 0 1 2 3 4 5 6 7
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P [X = x] 0 k 2k 2k 3k k2 2k 2 7k 2 + k
1 2 2 3 1 2 17
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P [X = x] 0
10 10 10 10 100 100 100
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1 3 5 8 81 83 100
F [X = x] 0 =1
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10 10 10 10 100 100 100

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(iii)
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P [(1.5 < X < 4.5) ∩ (X > 2)]

P (1.5 < X < 4.5/X > 2) =
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P (X > 2)
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5
P (1.5 < X < 4.5) = P (X = 3) + P (X = 4) =
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P (X > 2) = 1 − P (X ≤ 2)
= 1 − {P (X = 0) + P (X = 1) + P (X = 2)}
3 7
= 1− =
10 10
5
10 5
P (1.5 < X < 4.5/X > 2) = 7 =
10
7
1
(iv) The smallest value of α for which P (X ≤ α) > = 0.5.
2
5
From the CDF table, we found that P (X ≤ 3) = = 0.5. But we need the probability which
10
8
is more than 0.5, for this we have P (X ≤ 4) = = 0.8 > 0.5. ∴ α = 4 satisfies the given
10
condition.
Example: 7. A random variable X has the following distribution

X 0 1 2 3 4 5 6 7 8
P[X=x] k 3k 5k 7k 9k 11k 13k 15k 17k
Find (i) the value of k,(ii) the Distribution Function (CDF) (iii) P (0 < X < 3/X > 2) and (iv)
S
1
the smallest value of α for which P (X ≤ α) > .
2
N
A
Hints/Solution:
H
X 0 1 2 3 4 5 6 7 8
IT
P [X = x] k 3k 5k 7k 9k 11k 13k 15k 17k
1 3 5 7 9 11 13 15 17
H
P [X = x]
81 81 81 81 81 AT81 81 81 81
1
(i) The value of k =
81
F
O
(ii) the Distribution Function (CDF)

X 0 1 2 3 4 5 6 7 8
S
TE
P [X = x] k 3k 5k 7k 9k 11k 13k 15k 17k

1 3 5 7 9 11 13 15 17
P [X = x]
O
81 81 81 81 81 81 81 81 81
1 4 9 16 25 36 49 64 81
N
F [X = x] =1
81 81 81 81 81 81 81 81 81
E
(iii) P (0 < X < 3/X > 2)

R
TU
P [(0 < X < 3) ∩ (X > 2)]

P (0 < X < 3/X > 2) =
P (X > 2)
C
8
P (0 < X < 3) = P (X = 1) + P (X = 2) =
LE
81
P (X > 2) = 1 − P (X ≤ 2)
= 1 − {P (X = 0) + P (X = 1) + P (X = 2)}
9 72
= 1− =
81 81
8
81 8
P (1.5 < X < 4.5/X > 2) = 72 =
81
72
1
(iv) The smallest value of α for which P (X ≤ α) > = 0.5.
2
36
From the CDF table, we found that P (X ≤ 5) = < 0.5. But we need the probability which is
81
49
more than 0.5, for this we have P (X ≤ 6) = > 0.5. ∴ α = 6 satisfies the given condition.
81


 kx, when 0 ≤ x ≤ 1

k, when 1 ≤ x ≤ 2
Example: 8. Find the value of k for the pdf f (x) = . Also find


 3k − kx, when 2 ≤ x ≤ 3

0, otherwise
S
(a) the CDF of X (b) P (1.5 < X < 3.2/0.5 < X < 1.8)
N
Hints/Solution:
A
H
IT
Z∞
H
We know that
AT f (x)dx = 1
−∞
Z0 Z1 Z2 Z3 Z∞
F
i.e. f (x)dx + f (x)dx + f (x)dx + f (x)dx + f (x)dx = 1

O
−∞ 0 1 2 3
S
Z0 Z1 Z2 Z3 Z∞
TE
i.e. 0 · dx + kx · dx + k · dx + (3k − kx)dx + 0 · dx = 1

O
−∞ 0 1 2 3
N
1 3
x2 x2

E
i.e. 0 + k +k [x]21 + 3k · x − k · +0 = 1
R
2 0 2 2
TU
i.e. 2k = 1
1
C
=⇒ k=
2
LE
x
 , when 0 ≤ x ≤ 1


 2

1


 , when 1 ≤ x ≤ 2


1
(a) Since k = , f (x) = 2
2  1
(3 − x), when 2 ≤ x ≤ 3






 2


0, otherwise
Zx
The CDF of X is F (x) = P (X ≤ x) = f (x)dx
−∞
When x < 0, F (x) = 0, since f (x) = 0 for x < 0

Zx
When 0 ≤ x < 1, F (x) = f (x)dx
−∞
Zx Zx
x x2
= f (x)dx = dx =
2 4
S
0 0
N
Zx
A
When 1 ≤ x < 2, F (x) = f (x)dx
H
0
IT
Z1 Zx
x 1 1
H
= dx + dx = (2x − 1)
2 AT 2 4
0 0
F
Zx
O
When 2 ≤ x < 3, F (x) = f (x)dx

S
0
TE
Z1 Zx Zx
x 1 1 1
O
= dx + dx + (3 − x) dx = (−x2 + 6x − 5)
2 2 2 4
N
0 0 0
E
When x ≥ 3, F (x) = 1
R
TU


 0 whenx < 0
C



x2

LE

when 0 ≤ x ≤ 1


 ,



 2
1

∴ F (x) = (2x − 1), when 1 ≤ x ≤ 2


 4
1


(−x2 + 6x − 5),


 when 2 ≤ x ≤ 3



 4


1, when x ≥ 3
P [(1.5 < X < 3.2) ∩ (0.5 < X < 1.8)]

(b) P (1.5 < X < 3.2/0.5 < X < 1.8) =
P (0.5 < X < 1.8)
P [(1.5 < X < 3.2) ∩ (0.5 < X < 1.8)] = P (1.5 < X < 1.8)
Z1.8
1 3
= dx =
2 20
1.5
Z1 Z1.8
x 1 3
P (0.5 < X < 1.8) = dx + dx =
2 2 16
0.5 1
P [(1.5 < X < 3.2) ∩ (0.5 < X < 1.8)]
S
P (1.5 < X < 3.2/0.5 < X < 1.8) =
P (0.5 < X < 1.8)
N
16
=
A
20
H
IT
H
AT
Example: 9. Experience has shown that while walking in a certain park, the time X (in minutes)
duration between seeing two people smoking has a density function
F
(
kxe−x , when x > 0
O
f (x) =
0, otherwise
S
TE
Find the (a) value of k (b) distribution function of X (c) What is the probability that a person,
who has just seen a person smoking will see another person smoking in 2 to 5 minutes, in at least
O
7 minutes?
N
Hints/Solution: Given the pdf of X is

E
(
kxe−x , when x > 0
R
f (x) =
0, otherwise
TU
C
∴ f (x) ≥ 0 ∀ x =⇒ k > 0.
LE
Z∞
(a) We know that f (x) dx = 1
−∞
Z∞
i.e. kxe−x dx = 1
0
−x
∞
e−x

e
i.e. k x − = 1
−1 (−1)2 0
=⇒ k = 1
(
xe−x , when x > 0
∴ f (x) =
0, otherwise
(b) The distribution function (CDF) is given by
Zx
F (x) = P (X ≤ x) = f (x) dx
−∞
Zx
S
Here we have x > 0, F (x) = xe−x dx = 1 − (1 + x)e−x , x > 0
N
0
A
(c)
H
Z5
IT
P (2 < X < 5) = f (x) dx
H
2 AT
Z5
= xe−x dx
F
2
O
= −6e−5 + 3e−2
S
= −0.04 + 0.406 = 0.366

TE
and
O
N
Z∞
P (X > 7) = f (x) dx
E
7
R
Z∞
TU
= xe−x dx
C
7
LE
= 8e−7
= 0.007
Example: 10. The sales of convenience store on a randomly selected day are X thousand
dollars, where X is a random variable with a distribution function



 0, when x < 0
2
x


, when 0 ≤ x < 1
F (x) = 2



 k(4x − x2 ) − 1, when 1 ≤ x < 2

1, when x ≥ 2
Suppose that this convenience store’s total sales on any given day is less than 2000 units(Dollars
or Pounds or Rupees). Find the (a) value of k (b) Let A and B be the events that tomorrow the
S
store’s total sales between 500 and 1500 units respectively. Find P (A) and P (B). (c) Are A
and B are independent events?
N
A
Hints/Solution: The pdf of X is given by
H

0, when x < 0
IT



d  x, when 0 ≤ x < 1
f (x) = F 0 (x) = F (x) =
H
dx 
 k(4 − 2x), AT when 1 ≤ x < 2

when x ≥ 2

0,
F
Since f (x) is a pdf,

O
S
Z∞
TE
we have f (x)dx = 1
O
−∞
N
Z0 Z1 Z2 Z∞
i.e. f (x)dx + f (x)dx + f (x)dx + f (x)dx = 1
E
R
−∞ 0 1 2
TU
Z0 Z1 Z2 Z∞
i.e. 0 · dx + x dx + k(4 − 2x) dx + 0 · dx = 1
C
−∞ 0 1 2
LE
1
x2

2
+ k 4x − x2 1 + 0 = 1

i.e. 0 +
2 0
1
=⇒ k =
2


 0, when x < 0

x, when 0 ≤ x < 1
f (x) =


 (2 − x), when 1 ≤ x < 2
when x ≥ 2

0,
Since the total sales X is in thousands of units, the sales between 500 and 1500 units is the event
1 3
A which stands for = 0.5 < X < = 1.5 and the sales over 1000 units is the event B which
2 2
stands for X > 1. =⇒ A ∩ B = 1 < X < 1.5
Now
Z1.5
P (A) = P (0.5 < X < 1.5) = f (x)dx
0.5
Z1 Z1.5
S
3
= x dx + (2 − x) dx =
4
N
0.5 1
A
H
Z2
IT
P (B) = P (X > 1) = f (x)dx
H
1
Z2
AT 1
= (2 − x) dx =
2
F
1
O
Z1.5
S
P (A ∩ B) = P (1 < X < 1.5) = f (x)dx

TE
1
O
Z1.5
3
N
= (2 − x) dx =
8
1
E
R
The condition for independent events: P (A) · P (B) = P (A ∩ B)

TU
3 1 3
Here, P (A) · P (B) = · = = P (A ∩ B)
4 2 8
∴ A and B are independent events.
C
LE
Example: 11. If a random variable X has the following probability distribution, find
x −1 0 1 2
E(X), E(X 2 ), V ar(X), E(2X + 1), V ar(2X + 1).
p(x) 0.3 0.1 0.4 0.2
Hints/Solution: Here X is a discrete RV. ∴

X∞
E(X) = xi p(xi )
i=−∞
= (−1) × 0.3 + 0 × 0.1 + 1 × 0.4 + 2 × 0.2
= −0.3 + 0 + 0.4 + 0.4 = 0.5
∞
X
2
E(X ) = x2i p(xi )
i=−∞
= (−1) × 0.3 + 02 × 0.1 + 12 × 0.4 + 22 × 0.2

2
= 0.3 + 0 + 0.4 + 0.8 = 1.5
V ar(X) = E(X 2 ) − [E(X)]2

= (1.5) − (0.5)2
S
= 1.5 − 0.25 = 1.25
N
A
H
E(2X + 1) = 2E(X) + 1
IT
= 2 × (0.5) + 1
H
= 1+1= 2 AT
V ar(2X + 1) = 22 V ar(X)
F
= 4 × (1.25) = 5
O
S
TE
O
Example: 12. If a random variable X has the following probability distribution, find
N
x 0 1 2 3 4
2
E(X), E(X ), V ar(X), E(3X − 4), V ar(3X − 4). 1 3 5 7 9
E
p(x)
25 25 25 25 25
R
TU
Hints/Solution: Here X is a discrete RV. ∴

∞
C
X
E(X) = xi p(xi )
LE
i=−∞
14
=
5
∞
X
E(X 2 ) = x2i p(xi )
i=−∞
46
=
5
V ar(X) = E(X 2 ) − [E(X)]2
2
46 14
= −
5 5
34
=
25
E(3X − 4) = 3E(X) − 4
22
= =
S
5
N
V ar(3X − 4) = 32 V ar(X)
A
H
306
=
IT
25
H
AT
Example: 13. A test engineer found that the distribution function of the lifetime X (in years) of
F
an equipment follows is given by

O
(
S
0, when x < 0
F (x) =
TE
− x5
1 − e , when x ≥ 0
O
Find the pdf, mean and variance of X.

N
Hints/Solution: The pdf of X is given by

E

R
d 0, when x < 0

0
f (x) = F (x) = F = 1 −x
TU
dx  e 5 , when x ≥ 0
5
C
LE
Z∞
The Mean E(X) = xf (x)dx
−∞
Z0
1 x
= x e− 5 dx
5
−∞
1 x ∞
= − (5x + 25)e− 5 0 = 5
5
V ar(X) = E(X 2 ) − [(X)]2
Z∞
Now E(X 2 ) = x2 f (x)dx
−∞
Z0
1 x
= x2 e− 5 dx
5
−∞
1 2 x ∞
= − (5x + 50x + 250)e− 5 0 = 50
5
S
∴ V ar(X) = 50 − [5]2 = 25
N
A
H
Example: 14. Find the mean and standard deviation of the distribution
IT
(
H
kx(2 − x), when 0 <≤ x ≤ 2
f (x) = AT
0, otherwise
Hints/Solution: Given that the continuous RV X whose pdf is given by

F
O
(
kx(2 − x), when 0 <≤ x ≤ 2
f (x) =
0, otherwise
S
TE
Since f (x) is a pdf,

O
N
Z∞
we have f (x)dx = 1
E
−∞
R
Z0 Z2 Z∞
TU
i.e. f (x)dx + f (x)dx + f (x)dx = 1

C
−∞ 0 2
LE
Z0 Z2 Z∞
i.e. 0 · dx + kx(2 − x) dx + 0 · dx = 1
−∞ 0 2
2
x3

2
i.e. 0 + k x − +0 = 1
3 0
3
=⇒ k =
4
Z∞
The Mean E(X) = xf (x)dx
−∞
Z0
3
= x x(2 − x)dx
4
−∞
2
3 x 3 x4

= − 2 − = 1
4 3 4 0
S
N
V ar(X) = E(X 2 ) − [(X)]2
A
H
Z∞
IT
2
Now E(X ) = x2 f (x)dx
H
−∞
Z0
AT
3
= x2 x(2 − x)dx
4
F
−∞
O
2
3 x4 x5

6
= − 2 − =
S
4 4 5 0 5
TE
r
6 1 1
O
∴ V ar(X) = − [1]2 = =⇒ S.D. =

5 5 5
N
E
R
TU
Example: 15. If X has the distribution function

C


 0, when x < 1
LE


1


, when 1 ≤ x < 4





 3
1

F (x) = , when 4 ≤ x < 6

 2

 5

 , when 6 ≤ x < 10
6





1, when x ≥ 10


Find (a) the probability distribution of X (b) Find the mean and variance of X.
Hints/Solution: Given that the CDF of X is



 0, when x < 1

1


, when 1 ≤ x < 4





 3
1

F (x) = , when 4 ≤ x < 6

 2

 5

 , when 6 ≤ x < 10
6





1, when x ≥ 10


S
N
We know that P (X = xi ) = F (xi ) − F (xi−1 ), i = 1, 2, 3, . . . , where F is constant in
A
xi−1 ≤ x ≤ xi .
H
The CDF changes its values at x = 1, 4, 6, 10. ∴ The probability distribution takes its values as
IT
follows:
H
AT 1 1
P (X = 1) = F (1) − F (0) = −0=
3 3
F
1 1 1
O
P (X = 4) = F (4) − F (1) = − =
2 3 6
S
5 1 1
TE
P (X = 6) = F (6) − F (4) = − =
6 2 3
O
5 1
P (X = 10) = F (10) − F (6) = 1 − =
N
6 6
E
x 1 4 6 10
R
TU
∴ The probability distribution is given by 1 1 1 1

p(x)
3 6 3 6
C
14
LE
Mean=E(X) = Σxp(x) = .
3
2 2 95
E(X ) = Σx p(x) = .
3
285 196 89
V ar(X) = E(X ) − [E(X)]2 =
2
− = .
9 9 9
Example: 16. If X has the distribution function



 0, when x < 0

1


, when 0 ≤ x < 2





 6
1

F (x) = , when 2 ≤ x < 4

 2

 5

 , when 4 ≤ x < 6
8





1, when x ≥ 6


S
Find (a) the probability distribution of X (b) Find the mean and variance of X.
N
A
Hints/Solution: Given that the CDF of X is
H


 0, when x < 0
IT


1

, when 0 ≤ x < 2


H



 6
1
 AT
F (x) = , when 2 ≤ x < 4

 2

 5
 , when 4 ≤ x < 6
F

8


O



1, when x ≥ 6


S
TE
We know that P (X = xi ) = F (xi ) − F (xi−1 ), i = 1, 2, 3, . . . , where F is constant in

xi−1 ≤ x ≤ xi .
O
N
The CDF changes its values at x = 1, 4, 6, 10. ∴ The probability distribution takes its values as
follows:
E
R
TU
1
P (X = 0) =
6
C
1 1 1
LE
P (X = 2) = F (2) − F (0) = − =
2 6 3
5 1 1
P (X = 4) = F (4) − F (2) = − =
8 2 8
5 3
P (X = 6) = F (6) − F (4) = 1 − =
8 8
x 0 2 4 6
∴ The probability distribution is given by 1 1 1 3
p(x)
6 3 8 8
37
Mean=E(X) = Σxp(x) = .
12
2 2 101
E(X ) = Σx p(x) = .
6 2
2 101
2 37
V ar(X) = E(X ) − [E(X)] = − = 16.83 − 9.51 = 7.32.
6 12
Example: 17. The first four moments about X = 5 are 2,5,12 and 48. Find the first four central
moment.
S
Hints/Solution: Let m01 , m02 , m03 , m04 be the first four moments about X = 5. Given m01 =
1, m02 = 5, m03 = 12, m04 = 48 be the first four moments about X = 5 m01 = E(X − 5) =
N
1 =⇒ E(X) − 5 = 1 =⇒ E(X) = µ1 = 6
A
H
µ2 = m02 − (m01 )2 = 5 − 1 = 4
IT
µ3 = m03 − 3m02 · m01 + 2(m01 )3
H
= 12 − 3 × 5 × 1 + 2(1) = −1
AT
µ4 = m04 − 4m03 · m01 + 6m02 · (m01 )2 − 3(m01 )4
= 48 − 4(12)(1) + 6(5)(1) − 3(1) = 27
F
O
S
TE
Example: 18. The first four moments about x = 4 are 1,4,10 and 45. Find the first four moments
about the mean.
O
Hints/Solution:
N
Let m01 , m02 , m03 , m04 be the first four moments about X = 4. Given m01 = 1, m02 = 4, m03 =
E
10, m04 = 45 be the first four moments about X = 4 m01 = E(X − 4) = 1 =⇒ E(X) − 4 =
R
1 =⇒ E(X) = µ1 = 5
TU
µ2 = m02 − (m01 )2 = 4 − 1 = 3
µ3 = m03 − 3m02 · m01 + 2(m01 )3
C
LE
= 10 − 3 × 4 × 1 + 2(1) = 0
µ4 = m04 − 4m03 · m01 + 6m02 · (m01 )2 − 3(m01 )4
= 45 − 4(10)(1) + 6(4)(1) − 3(1) = 26
Example: 19. A random variable X has the pdf f (x) = kx2 e−x , x ≥ 0. Find the rth moment
and hence find the first four moments.
Hints/Solution: We know that
Z∞
f (x) dx = 1
−∞
Z∞
i.e., kx2 e−x dx = 1
0
Z∞
i.e., k e−x x3−1 dx = 1
0
S
Z∞
 
i.e., kΓ(3) = 1 ∵ Γ(n) = e−x xn−1 dx
N
0
A
1
H
i.e., k · 2! = 1 =⇒ k = . [∵ Γ(n) = (n − 1)!]
2
IT
H
Now, The rth moment is given by AT
µ0r = E(X r )
Z∞
F
= xr f (x) dx
O
−∞
Z∞
S
xr kx2 e−x dx
TE
=
0
O
Z∞
N
= k e−x xr+3−1 dx
0
E
1 1
R
= Γ(r + 3) = (r + 2)!
2 2
TU
C
1
Now, First Moment µ01 = (3)! = 3
LE
2
1
Second Moment µ02 = (4)! = 12
2
1
Third Moment µ03 = (5)! = 60
2
1
Fourth Moment µ04 = (6)! = 360
2
1 x
Example: 20. A random variable X has the pdf f (x) = e− 2 , x ≥ 0. Find the MGF(Moment
2
Generating Function) and hence find its mean and variance.
Hints/Solution: The MGF of X is given by
Z∞
MX (t) = E(etX ) = etx f (x) dx
−∞
Z∞
1 x
= etx e− 2 dx
2
0
Z∞
1 1
= e− 2 (1−2t)x dx
2
"0
S
1
#∞
1 e− 2 (1−2t)x
N
=
2 − 21 (1 − 2t)
A
0
1 1
H
∴ MX (t) = if t < .
1 − 2t 2
IT
H
= (1 − 2t)−1 = 1 + 2t + 4t2 + 8t3 + . . .
AT
Now, Differentiating w.r.to t, we get
F
MX0 (t) = 2 + 8t + 24t2 + . . .

O
MX00 (t) = 8 + 48t + . . .

S
Now, First Moment=Mean= E(X) = µ01 = MX0 (0) = 2

TE
Second Moment= E(X 2 ) = µ02 = MX00 (0) = 8

O
∴ V ar(X) = E(X 2 ) − [E(X)]2 = 8 − 4 = 4.

N
E
R
1
TU
Example: 21. A random variable X has the pdf p(x) = x , x = 1, 2, 3, . . . . Find the
2
MGF(Moment Generating Function) and hence find its mean and variance.
C
LE
∞
X
tX
MX (t) = E(e ) = etx p(x)
x=−∞
∞ ∞ t x ∞ t x
X 1 tx
X e X e
= e x = =
x=1
2 x=1
2 x=1
2
" #
2
et et et

= 1+ + + ...
2 2 2
t −1
et

e
= 1−
S
2 2
N
et
∴ MX (t) = if et 6= 2.
A
2 − et
H
IT
H
Now, Differentiating w.r.to t, we get AT
2et
MX0 (t) =
(2 − et )2
F
O
2[(2 − et )et + 2e2t ]

MX00 (t) =
S
(2 − et )3
TE

O
Second Moment= E(X 2 ) = µ02 = MX00 (0) = 6

N
∴ V ar(X) = E(X 2 ) − [E(X)]2 = 6 − 4 = 2.

E
R
TU
Example: 22. A random variable X has the rth moment of the form µ0r = (r + 1)!2r . Find the
C
MGF(Moment Generating Function) and hence find its mean and variance.
LE
Given µ0r = (r + 1)!2r

∴ µ01 = 2!2
µ02 = 3!22
µ03 = 4!23
..
.
t 0 t2 t3 tr
S
∴ MX (t) = E(etX ) = 1 + µ1 + µ02 + µ03 + · · · + µ0r + . . .
1! 2! 3! r!
N
t t2 t3
A
= 1+ 2 + 3!22 + 4!23 + . . .
1! 2! 3!
H
IT
= 1 + 2(2t) + 3(2t)2 + 4(2t)3 + . . .
H
∴ MX (t) = (1 − 2t)−2 .
AT
Now, Differentiating w.r.to t, we get
F
O
MX0 (t) = −2(1 − 2t)−3 (−2)

S
MX00 (t) = 6(1 − 2t)−4 (−2)2

TE

Second Moment= E(X 2 ) = µ02 MX00 (0) = 24
O
=
N
∴ V ar(X) = E(X 2 ) − [E(X)]2 = 24 − 16 = 8.

E
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TU
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6 Exercise/Practice/Assignment Problems
1. Find the probability of drawing two red balls in succession from a bag containing 3 red
and 6 black balls when (i) the ball that is drawn first is replaced, (ii) it is not replaced.
2. A bag contains 3 red and 4 white balls. Two draws are made without replacement; what is
the probability that both the balls are red.
3. Box 1 contains 1000 bulbs of which 10% are defective. Box 2 contains 2000 bulbs of
which 5% are defective. Two bulbs are drawn (without replacement) from a randomly
selected box. (i) Find the probability that both balls are defective and (ii) assuming that
both are defective, find the probability that they came from box 1.
S
4. The chance of a doctor D will diagnose a disease Z correctly is 60%. The chance that
N
the patient will survive by his treatment after wrong diagnosis is 40% and the chance
A
of survive for correct diagnosis is 70%. Find the probability of the patient survival. A
H
patient of doctor D, who has disease Z, survives. What is the chance that his disease was
IT
diagnosed wrongly?
H
5. A random variable X has the following distribution
AT
X -2 -1 0 1 2 3
P[X=x] 0.1 k 0.2 2k 0.3 3k
Find (i) the value of k,(ii) the Distribution Function (CDF) (iii) P (0 < X < 3/X < 2)
F
1
and (iv) the smallest value of α for which P (X ≤ α) > .
O
2
1
S
Ans: k =
15
TE
6. A random variable X has the following distribution

O
X 0 1 2 3 4
P[X=x] k 2k 5k 7k 9k
N
Find (i) the value of k,(ii) the Distribution Function (CDF) (iii) P (0 < X < 3/X < 2)
1
E
and (iv) the smallest value of α for which P (X ≤ α) > .

R
3
1
TU
Ans: k =
24
7. A random variable X has a pdf
C
LE
(
3x2 , when 0 ≤ x ≤ 1
f (x) =
0, otherwise
Find the (i) Find a, b such that P (X ≤ a) = P (X > a) and P (X > b)r= 0.05,(ii) r the
3 1 3 19
Distribution Function (CDF) (iii) P (0 < X < 0.5/X < 0.8). Ans: a = ,b=
2 20
8. The amount of bread (in hundred kgs) that a certain bakery is to sell in a day is a random
variable X with a pdf

Ax,
 when 0 ≤ x < 5
f (x) = A(10 − x), when 5 ≤ x < 10

0, otherwise

Find the (i) the value of A,(ii) the Distribution Function (CDF) (iii) P (X > 5/X <
5), P (X > 5/2.5 < X < 7.5). (iv) the probability that in a day the sales is (a) more than
1
500 kgs (b) less than 500 kgs (c) between 250 and 750 kgs. Ans: A =
25
9. The cumulative distribution function (CDF) of a random variable X is given by

1 − 4 , when x > 2
F (x) = x2
0, otherwise
Find the (i) the pdf of X,(ii) P (X > 5/X < 5), P (X > 5/2.5 < X < 7.5) (iii)
S
P (X < 3), P (3 < X < 5).
N
10. A coin is tossed until a head appears. What is the expected value of the number of tosses?.
Also find its variance.
A
H
11. The pdf of a random variable X is given by
IT
(
a + bx, when 0 ≤ x ≤ 1
H
f (x) =
0, otherwise
AT
Find the (i) the value of a, b if the mean is 1/2,(ii) the variance of X (iii) P (X > 0.5/X <
0.5)
F
O
12. The first three moments about the origin are 5,26,78. Find the first three moments about
the value x=3. Ans: 2,5,-48
S
TE
13. The first two moments about x=3 are 1 and 8. Find the mean and variance. Ans: 4,7
O

N
(
k(1 − x), when 0 ≤ x ≤ 1
f (x) =
E
0, otherwise
R
TU
Find the (i) the the value of k,(ii) the rth moment about origin (iii) mean and variance.
Ans: k = 2
C
15. An unbiased coin is tossed three times. If X denotes the number of heads appear, find the
LE
MGF of X and hence find the mean and variance.

16. Find the MGF of the distribution whose pdf is f (x) = ke−x , x > 0 and hence find its
mean and variance.

x,
 when 0 ≤ x ≤ 1
f (x) = 2 − x, when 1 < x ≤ 2

0, otherwise

For this find the MGF and prove that mean and variance cannot be find using this MGF
and then find its mean and variance using expectation.
−|x|
18. The pdf of a random variable X is given by f (x) = ke , −∞ < x < ∞ Find the (i) the
the value of k,(ii) the rth moment about origin (iii) the MGF and hence mean and variance.
1
Ans: k =
2
19. Find the MGF of the RV whose moments are given by µ0r = (2r)!. Find also its mean and
variance.
S OLVE M ORE P ROBLEMS FROM THE T EXTBOOK AND R EFERENCE B OOKS
S
N
A
H
IT
Figure 1: Values of e−λ .
H
AT
Contact: (+91) 979 111 666 3 (or) athithan.s@ktr.srmuniv.ac.in
Visit: https://sites.google.com/site/lecturenotesofathithans/home
F
O
S
TE
O
N
E
R
TU
C
LE
S
N
A
H
IT
H
AT
F
O
S
TE
O
N
E
R
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Figure 2: Area under Standard Normal Curve.

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Lecture Notes

15MA301-Probability & Statistics

Kattankulathur-603203, Kancheepuram District.

2 Discrete and Continuous Distributions 5

1.1 Defintion of Probability and Basic Theorems

1.1.1 Random Experiment

n(A) Number of cases favorable to A

n(S) Exhaustive number of cases in S(Set of all possible cases)

Definition 1.3 (Statistical or Aposteriori Definition of Probability). Let a random experiment

Definition 1.4 (Axiomatic Approach/Definition of Probability). Let S be a sample space and A

by P(A) is defined as a real number satisfying the following conditions/axioms:

Theorem 2. If A be the complimentary event of A, then P (A) = 1 − P (A) ≤ 1.

Theorem 3 (Addition Theorem of Probability). If A and B be any two events, then P (A ∪ B) =

Theorem 4. If B ⊂ A, then P (B) ≤ P (A).

Theorem 5 (Product Theorem of Probability). P (A ∩ B) = P (A) · P (B/A)

The product theorem can be extended to three events such as

P (A ∩ B ∩ C) = P (A) · P (B/A) · P (C/A and B)

If P (A ∩ B) = P (A) · P (B), then the events A and B are said to be independent.

1.3 Total Probability and Bayes’ Theorem

Theorem 7 (Theorem of Total Probability). If B1 , B2 , . . . , Bn be the set of exhaustive and

Theorem 8 (Bayes’ Theorem of Probability of Causes). If B1 , B2 , . . . , Bn be the set of exhaustive

the following points from the table for understanding.

(Probability Distribution Function) (Probability Density Function)

Takes Values of the form (Eg.) 1, 2, 3, . . . 0<x<∞

Standard Notation P (X = x) f (x)

4. If (X, Y ) is two dimensional independent random variable, then E(XY ) = E(X)E(Y ).

3.2 Variance and its properties

as E(X 2 ) − [E(X)]2 and id denoted by V ar(X) or σX2

4 Moments and Moment Generating Function

any point a is defined as E[(X − a)r ] and we denote it by m0r .

The first four moments about a point ‘a’ are given by

1. m01 = E(X − a) = E(X) − a = µ − a

3. m03 = E[(X − a)3 ]

= m04 − 4m03 · m01 + 6m02 · (m01 )2 − 3(m01 )4

4.2 Moment Generating Function (MGF)

If X is a random variable. Its MGF MX (t) is given by

µ01 = Coefft. of t in the expansion of MX (t)

Differentiate with respect to t, we get

MX0 (0) = µ01

Similarly, the MGF of X about any point a is MX−a (t) = E et(X−a) .

1. McX (t) = MX (ct)

No. of ways choosing 1 negative no. = 6 C3 ·8 C1 = 20 · 8 = 160.

No. of ways choosing 3 negative nos. = 6 C1 ·8 C3 = 6 · 56 = 336.

Total no. of ways choosing 4 nos. out of 14 nos. =14 C4 = 1001.

160 + 336 496

are equally likely.

P(B/A)P (A) 1% ∗ 80%

Women with can-

1% ∗ 80% 99% ∗ 9.6%

Example: 6. A random variable X has the following distribution

(i) We know that P [X = x] = 1.

The detailed CDF F (X = x) is given in the table.

10 10 10 10 100 100 100

P [(1.5 < X < 4.5) ∩ (X > 2)]

Example: 7. A random variable X has the following distribution

(ii) the Distribution Function (CDF)

P [X = x] k 3k 5k 7k 9k 11k 13k 15k 17k

(iii) P (0 < X < 3/X > 2)

P [(0 < X < 3) ∩ (X > 2)]

i.e. f (x)dx + f (x)dx + f (x)dx + f (x)dx + f (x)dx = 1

i.e. 0 · dx + kx · dx + k · dx + (3k − kx)dx + 0 · dx = 1

When x < 0, F (x) = 0, since f (x) = 0 for x < 0

When 2 ≤ x < 3, F (x) = f (x)dx