Random Variables

Random variables are functions on S such that

𝑋: 𝑆 → ℝ
and probability of 𝑋 −1 𝐼 is defined for every interval 𝐼 in ℝ.
Note: 𝑋 −1 𝐼 = 𝜔 ∈ 𝑆: 𝑋(𝜔) ∈ 𝐼

Thus, if 𝑋 is a random variable then 𝑃 𝑋 −1 (−∞, 𝑎] is defined for every 𝑎 ∈ ℝ

8/9/2019 MAT205, MONSOON 2019, SHIV NADAR UNIVERSITY 1

Cumulative Distribution Function𝐹𝑋
𝐹𝑋 : ℝ → 0,1 such that
𝐹𝑋 𝑎 = 𝑃(𝑋 −1 (−∞, 𝑎] )
= 𝑃(𝑋 ≤ 𝑎)

Short hand notation

8/9/2019 MAT205, MONSOON 2019, SHIV NADAR UNIVERSITY 2

Examples of random Variables
Example 1: Toss 2 coins and define a random variable as number of heads
appear

S
HH
HT
TH
TT

8/9/2019 MAT205, MONSOON 2019, SHIV NADAR UNIVERSITY 3

Discrete Random Variable
Random Variable with its range either finite or countable.
The values in the range 𝑥1 , 𝑥2 , … are called possible values and the
respective probabilities at each point is given by probability mass
function 𝒇𝑿 .
𝑝, 𝑖𝑓𝑥 = 𝑥𝑖
𝑓𝑋 (𝑥) = ቊ 𝑖
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

8/9/2019 MAT205, MONSOON 2019, SHIV NADAR UNIVERSITY 4

Discrete Random Variable
In discrete case the cdf 𝐹𝑋 can be written as

𝐹𝑋 𝑥 = 𝑃 𝑋 ≤ 𝑥
= σ𝑥𝑖 ≤𝑥 𝑓 𝑥𝑖 = σ𝑥𝑖 ≤𝑥 𝑝𝑖

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Example 1
Toss 2 coins and define a random variable as number of heads appear

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Example 2
In tossing a fair coin, number of trials until first head comes

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Properties of pmf and cdf
Let X be a discrete random variable with pmf 𝑓𝑋 and cdf as 𝐹𝑋 then,
1. 𝑓𝑋 ≥ 0
2. σ𝑖 𝑓𝑋 𝑥𝑖 = σ𝑖 𝑝𝑖 = 1
3. 0 ≤ 𝐹𝑋 ≤ 1
4. lim 𝐹𝑋 𝑥 = 0
𝑥→−∞

5. lim 𝐹𝑋 𝑥 = 1
𝑥→∞

6. 𝑃 𝑎 < 𝑋 ≤ 𝑏 = 𝐹 𝑏 − 𝐹(𝑎)

8/9/2019 MAT205, MONSOON 2019, SHIV NADAR UNIVERSITY 8

Expectation of a Discrete Random Variable
𝐸 𝑋 = ෍ 𝑥𝑓𝑋 (𝑥)
𝑥
= ෍ 𝑥𝑖 𝑝𝑖
𝑖
𝐸 𝑋 is often denoted by 𝜇

8/31/2020 MAT205, MONSOON 2020, SNU 9

Variance of a Discrete Random Variable
𝑉𝑎𝑟 𝑋 = 𝐸 𝑋 − 𝐸 𝑋 2

Or 𝐸 𝑋 − 𝜇 2

= ෍ 𝑥𝑖 − 𝜇 2 𝑝𝑖
𝑖
Var 𝑋 is often denoted by 𝜎 2

Also standard deviation of a

random variable is square root
of the variance
𝜎 = √𝑉𝑎𝑟(𝑋)

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Attendance
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Example 3:
Toss 2 coins and define a
random variable as
number of heads appear.
Find expectation and
variance of this random
variable.

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Properties of Expectation and Variance
Discrete Case

•𝐸 𝑔 𝑋 = σ𝑖 𝑔(𝑥𝑖 )𝑝𝑖 , 𝑔 is a function on ℝ

•𝐸 𝑎𝑋 + 𝑏 = 𝑎𝐸 𝑋 + b, a, b ∈ ℝ

•𝑉𝑎𝑟 𝑎𝑋 + 𝑏 = 𝑎2 𝑉𝑎𝑟 𝑋 , a, b ∈ ℝ

•𝑉𝑎𝑟 𝑋 = 𝐸 𝑋 − 𝐸 𝑋 2 = 𝐸 𝑋 2 − (𝐸[𝑋])2

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Example 4:
Four independent flips of fair
coin are made. Let 𝑋
denotes the number of
heads obtained. Find
expectation of the random
variable 𝑋 − 2 2 .

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