ECE316

Handout 5

Key concepts: 1-Random Variable, 2-Probabaility density function (pdf), 3-Cumulative

Distribution Function (cdf), 4-Expected Value, 5-Variance

I- Random variable X: X : S → R.
II- Continuous random variables: Take on uncountable number of values
b
III- pdf: a non-negative function such that Pr{a  X  b} =  f ( x)dx
a
b
IV- cdf: F (b) = Pr{ X  b} =
−
 f ( x)dx
+
V- Expected value:  = E[ X ] =  xf ( x)dx
−

VI- Expected value of a function of a random variable:

+
E[Y ] = E[ g ( X )] =  g ( x) f ( x)dx.
−

VII- Variance: Var( X ) = E[( X −  ) 2 ] = E[ X 2 ] −  2 .

VIII- Standard deviation: SD( X ) = Var( X )

Properties:

+
I- Valid pdf: 0  f ( x) and 
−
f ( x)dx =1.

II- F ( x) is a nondecreasing function that converges to 1 as x goes to

infinity.
III- Pr{ a< X  b} = F(b)-F(a).
IV- Linearity of expectation: E[aX + b] = aE[ X ] + b
V- Non-linearity of variance: Var[aX + b] = a 2 Var[ X ]
VI- Indicator function technique: X =  X i  E[ X ] =  E[ X i ].
i i
Table of important continuous random variables:

Random Parameter pdf E[ X ] Variance Description

Variable
Uniform X U ( a, b)  1 a+b (b − a ) 2 Equally likely
 x  [ a, b] outcomes
f ( x) =  b − a 2 12
 0 otherwise
Normal, X N ( , 2 ) −
( x −  )2  2 Central limit
1
Gaussian f ( x) = e 2 2
theorem
2 2
Exponential X Exp( )  e −  x x  0 1 1 memoryless
f ( x) = 
0 x0  2 random
variable

The Normal Approximation to the Binomial Distribution: (a special case of the central limit theorem)
Let X Bin(n, p ) and Y N (0,1) ,
X − np
Then as n goes to infinity, Pr{a   b} → Pr{a  Y  b} =  (b) −  (a).
np(1 − p)
Memoryless Random Variable:
Random variable X is memoryless if
Pr{ X  s + t | X  t} = Pr{ X  s}.

The Distribution of a Function of a Random Variable

Let Y be a random variable, related to random variable X by Y = g ( X ) , where g(.) is a strictly
monotone and differentiable function. Then the pdf of Y and the pdf of X are related to
each other by fY ( y )dy = f X ( x)dx.