2.

Random variables

 Introduction
 Distribution of a random variable
 Distribution function properties
 Discrete random variables
 Point mass
 Discrete uniform
 Bernoulli
 Binomial
 Geometric
 Poisson

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2. Random variables

 Continuous random variables

 Uniform
 Exponential
 Normal
 Transformations of random variables
 Bivariate random variables
 Independent random variables
 Conditional distributions
 Expectation of a random variable
 kth moment

2
2. Random variables

 Variance
 Covariance
 Correlation
 Expectation of transformed variables
 Sample mean and sample variance
 Conditional expectation

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Introduction

Random variables assign a real number to each

outcome:

X : 
  X ( )

Random variables can be:

 Discrete: if it takes at most countably many

values (integers).
 Continuous: if it can take any real number.

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Distribution of a random variable

Distribution function

F ( x)  FX ( x)  P( X  x)

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 Distribution function properties

(i) F ( x )  0 when x  

(ii) F ( x)  1 when x  

(iii) F (x ) is nondecreasing.
x1  x2  F ( x1 )  F ( x2 )
(iv) F (x ) is right-continuous.
F ( x)  F ( x0 ) when x  x0
x  x0

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 Distribution of a random variable

For a random variable, we define

Probability function

Density function,

depending on wether is either discrete or continuous

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Distribution of a random variable

Probability function

p( x)  pX ( x)  P( X  x)

verifies

(i ) p( x)  0
(ii )  p ( x)  1
x

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Distribution of a random variable

Probability density function

f (x )

verifies
(i ) f ( x)  0

(ii )  
f ( x)dx  1
We have
x
F ( x)   f (t )dt and f ( x)  F ' ( x).


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Distribution of a random variable

F completely determines the distribution

of a random variable.

  p( x)
a  x  b
P(a  X  b)  F (b)  F (a)   b
 f (t )dt
a

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Discrete random variables

Point mass

X  a
P( X  a)  1

0 if xa
1--
F ( x)  
1 if xa
0 a

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Discrete random variables

Discrete uniform
X  U (1,2,..., k )
1
P( X  i )  i  1,2,..., k
k

1 2 3 k 1 2 3 k-1 k

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Discrete random variables

Bernoulli
X  B(1, p)
P( X  1)  p
P( X  0)  1  p
p

1-p p

1-p

0 1 0 1

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Discrete random variables

Binomial
Successes in n independent Bernoulli trials with
success probability p
X  B(n, p)
n x
P( X  x)    p (1  p) n  x x  0,1,2,..., n
 x
n n!
with   
 x  x!(n  x)!

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Discrete random variables

Geometric

Time of first success in a sequence of independent

Bernoulli trials with success probability p

X  G( p)
P( X  x)  (1  p) x1  p x  1,2,3,...

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Discrete random variables

Poisson

X expresses the number of “ rare events”

X  P( ),   0
e   x
P( X  x)  x  0, 1, 2,...
x!

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Continuous random variables

Uniform
 1
 for a  x  b
X  U [ a, b] f ( x)   b  a
0 otherwise
0 for x  a
 x  a
F ( x)   for a  x  b
b  a
1 for x  b
F(x)
f(x)
a b a b

RANDOM VARIABLES 17
Continuous random variables

Exponential
 1 x
 e for x  0
X  exp(  ) f ( x)   
0 for x  0
0 for x  0
F ( x)   x

 1  e 
for x  0
1/ 1
F(x)
f(x)
0 

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Continuous random variables

Normal

X  N ( ,  2)
1  ( x   )2 
f ( x)  exp   
 2  2 2

x

 2 0
f(x) F(x)


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 Continuous random variables

Properties of normal distribution

X 
(i)  N (0,1) standard normal

(ii) Z  N (0,1)   Z    N ( ,  2 )

(iii) X i  N (  i ,  i2 ) independent i=1,2,...,n

n n
  X i  N (  i ,   i2 )
i i i

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 Transformations of random variables

X random variable with FX ;

Y = r(x); distribution of Y ?

r(•) is one-to-one; r -1(•).

1 1
FY ( y )  P(Y  y )  P(r ( X )  y )  P( X  r ( y ))  FX (r ( y ))
pY ( y )  P(Y  y )  P(r ( X )  y )  P( X  r 1 ( y ))  p X (r 1 ( y ))
1 1 d r 1 ( y )
fY ( y )  d
dy FX (r ( y ))  f X (r ( y ))  dy

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Bivariate random variables

(X,Y) random variables;

 If (X,Y) is a discrete random variable

p ( x, y )  probability joint function
verifies : p ( x, y )  0
 p( x, y)  1
x, y

 If (X,Y) is continuous random variable

f ( x, y )  probability density joint function
verifies : f ( x, y )  0

 f ( x, y)dxdy  1
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Bivariate random variables

The marginal probability functions for X and Y are:

p X ( x )   p ( x, y )
y

pY ( y )   p( x, y )
x

For continuous random variables, the marginal

densities for X and Y are:
f X ( x)   f ( x, y)dy
fY ( y)   f ( x, y )dx

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Independent random variables

Two random variables X and Y are independent if

and only if:
p( x, y )  p X ( x) pY ( y )

f ( x, y )  f X ( x) fY ( y ),

for all values x and y.

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Conditional distributions

Discrete variables
p ( x, y )
p( x | y )  P( X  x | Y  y ) 
p( y )
Continuous variables
f ( x, y)
f ( x | y) 
f ( y)
If X and Y are independent:
p( x | y )  p ( x)
f ( x | y )  f ( x)

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 Expectation of a random variable

EX   X   xp( x)
x

EX   X   xf ( x)dx

Properties:

(i) E 
i
i X i   i E X i
i
i  1,..., n

(ii) If X i , i  1,..., n are independent then:

E X i   EX i
i i
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Moment of order k

EX   x p( x)
k k

EX   x f ( x)dx
k k

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Variance

Given X with   EX :

VX    E ( X   )
2
X
2

 X  VX  ( E ( X   ) )
2 1/ 2

standard deviation

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 Variance

Properties:

(i) V (aX  b)  a V ( X )
2

(ii) If X i are independent then

V ( ai X i )   ai V ( X i )
2

i i
(iii) VX  EX  (EX )
2 2

(iv) VX  0
VX  0  P( X  a)  1

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 Covariance

X and Y random variables;

Cov( X , Y )  E ( X  EX )(Y  EY )
Properties

(i) If X, Y are independent then cov( X , Y )  0

(ii) Cov( X , Y )  EXY  EXEY

(iii) V(X + Y) = V(X) + V(Y) + 2cov(X,Y)

V(X - Y) = V(X) + V(Y) - 2cov(X,Y)

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Correlation

X and Y random variables;

Cov( X , Y )
 ( X ,Y ) 
VX VY

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 Correlation

Properties

(i)  1   ( X , Y )  1

(ii) If X and Y are independent then  ( X , Y )  0

(iii)  ( X , Y )  1   a  0 : Y  aX  b
 ( X , Y )  1   a  0 : Y  aX  b

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Expectation of transformed variables

Y  r ( X );

Er ( X )   r ( x) p X ( x)
x

Er ( X )   r ( x) f X ( x)dx

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Sample mean and sample variance

Sample mean
1
EX  X   X i
n i

Sample variance

1
V (X )  S 
2

n 1 i
(Xi  X ) 2

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 Sample mean and sample variance

Properties

X random variable; EX   , VX   ;
2

X 1 ,..., X n i. i. d. sample,

Then:

(i) EX  
2
(ii) VX 
n
(iii) ES 2   2

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Conditional expectation

X and Y are random variables; X | Y  y.

Then:

E ( X | Y  y )   x  p( x | Y  y )
x

E ( X | Y  y)   x  f ( x | y)dx

Properties:

EE ( X | Y )  EX

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