Univariate Random Variables
W E R
Consider the experiment of tossing 3 coins
A HAH HTH TTT
Consider
the function X which counts the number of heads obtained
X R R
X w number of heads in
X AHH Wi 3
X HTT
etc X is basically a random variable
Definition A random variable is a function X A R
Definition i If S is a set and Y ES we denote the
indicator function of Y as
I 5 k
Iy w
to
if we 4
otherwise
Indicator Random Variable
Definition Lef R be the sample space and A E R
be an eventWe define the indicator
random variable of A as
Ia P R
Iain
to Ine
I
This is also called a Bernoulli random variable with parameter
p PLA
Probability distribution of a random variable
X is a random variable
B E R
We are interested in calculating Pr X C B
Act EB P wer X w c B
Eg Tossing a con 3 times X number of heads
f X 1 P wer Mw I
I
P HTT THT ITH lD 38
Definition If X is a random variable we define the
probability distribution or law of X as
PhxEB BER
Example Consider the of tossing 3 coins numberofheads
experiment X
f X cB P WER X w c B
The law of total probability gives us
Pdx EB P X EB n f a
IE PLEX a Iola
Definition Let X be a random variable The cumulative
distribution function of X is the function
E R 0,1
defined by
Else Pr Xen
IP Xue the ER
Theorem The CDF characterizes the distribution of a random
variable If you know the calf then know
you
the distribution and use versa
Example
X number of heads in 3 fair corn tosses
Fx a PLEX ex
IIa Ge t
III be IIa be ftp.agbe
Theorem If Fx is a calf then Fx is
1 Increasing ie
Ney Fx a E Fxly Vu y c IR
2 Rightcontinuous ie fxCx the C R
ylz fxCy
3 I fxCn O and L fix 1
Recovering some probabilities from the CDF
Theorem Let X be any random variable Then
Cis for any acb IP a axe to Ecb fx a
ii if celR then IPEX c file ECE
I
ii implies that the of the jump of the CDF at
size
the point c is equal to the probability that X i
Fx is continuous at cell lPC X c O
A point c such that IP X c 0 is called
an atom of Fx
Types of Random Variables
Definition A random variable X is discrete if there
exists a countable set Ni Nz such
that
Ep xn3 1
We write Ronge X Ni Nz
for a discrete random variable X we define he
probability mass function PMF of to be the
function IR 0,1 such that
p
pin PC X se for NER
A discrete rv is one that has countably many atoms
whose probabilities add
up to
1
Definition A random variable is said to be continuous
if Fx is a continuous function We
say
that X is absolutely continuous if
FX is an absolutely continuous function
in the that there exists and integrable
sense
function f such that i
Ecb fx a
fabfxlnldnVa.be R
The function fx above is called a probability density
function PDF
for continuous random variables IP X c 0 However
this does not imply that X never takes the value C
Normal Gaussian distribution
A random variable
X is normally distributed if X
is continuous with density
absolutely
1 ICTY
Aca FE e KEIR
L
r
y n N Lte 62
If we have U O and 6 then X is 1
said to have the standard normal distribution Its
density is denoted by and its CDF by OI
th
0cal e NER
Ela f.IO dt seek
Note OI is the Cdf of the STANDARD NORMAL ONLY
not just any normal distribution
Uniform distribution
let AER have positive total
length We say
X is uniformly distributed on A if X is
absolutely continuous with density
Ata t.tw ofIItGe
We write X n
U Ca b for A a b
the density can
simply be written as
frfr Ica b be
b a
Gamma distribution
Definition We define the gamma function P an IR by
Ma foot e tdt se 0
Properties D Mi I
2 Platt Nra N O
1
3 f n n l n c IN
4 PFE Tn
Definition A randomvariable X has a
gamma
distribution with shape parameter
2 0 and scale parameter 1 0
if X is absolutely continuous with
density
en
lira
Aca nca
e
Ico a N ne IR
We write Xn Gamma x l
If 2 1 then Gamma 1,1 Exp t
If l I and a Z the Gamma EE X
Chi squared distribution with n degrees of freedom
If a _n is an integer then Gamma nit is called
the Erlang distribution and is the distribution of the
arrival time of the nth event when events arrive according
to a Poisson
process
Beta Distribution
Definition
B 0 a x o.o IR is defined by
B mm
fit Li tf dt
Properties i B Min Bhim
2 B Min Cm Th
r ntm
Definition
X has a Beta distribution with parameters
p
Min 0 if
frfr Nm Ct 2e
Ico Ca
Fy
A random variable with Beta 1,1
distribution is
actually the uniform distribution between Omd 2 Uco17
Other Random Variables
Consider
X Exp I
Y XI x 53
Find the CDF of Y and state whether 4 is discrete
Solution
Y X if x 5
0 if NES
Fy y lPC
Yey
we use the LOTP
IP Yey n Ex 53 t PC yey3n sees
y y
when zess we know that X Y so we can write
IP xey3n x 53 t PC
yey3n sees
when N S 4 0 so we can substitute into the 2ndterm
IP xey3n x 53 t P n sees
oey
P sixty Phooey n sees
H scxey3 0 yes
Fxly fils y
S
p oey3n nests
pquesz by
o
L c
i We have Fy y O y co
lie
1 e
i
T
e s
e O s
S
y
The CDF has one atom at y O for it to be
discrete it must have a countable number of
atoms whose probabilities add up to 1
We can conclude that 4 is not discrete
Since the CDF is not continuous we
may
conclude that Y is not absolutely continuous
