• Random Variable
• Random Variable Probability is a mathematical concept that assigns numerical
values to outcomes of a sample space. They can describe the outcomes of
objective randomness (like tossing a coin) or subjective
randomness(results of a cricket game).
For example: if you roll a die, you can assign a number to each possible outcome.
• There are two basic types of random variables,
• Discrete Random Variables (which take on specific values)
• Continuous Random Variables (assume any value within a given range)
• A random variable is considered a discrete random variable when it takes
specific, or distinct values within an interval. Conversely, if it takes a continuous
range of values, then it is classified as a continuous random variable.
• Example 1
• If two unbiased coins are tossed, then find the
random variable associated with that event.
• Solution:
• Suppose Two (unbiased) coins are tossed
• X = number of heads. [X is a random variable or
function]
• Here, the sample space S = {HH, HT, TH, TT}
• Example 2
• Suppose a random variable X takes m different values i.e. sample space
• X = {x1, x2, x3………xm} with probabilities
• P(X = xi) = pi
• where 1 ≤ i ≤ m
• The probabilities must satisfy the following conditions :
• 0 ≤ pi ≤ 1; where 1 ≤ i ≤ m
• p1 + p2 + p3 + ……. + pm = 1 Or we can say 0 ≤ pi ≤ 1 and ∑pi = 1
• Hence possible values for random variable X are 0, 1, 2.
• X = {0, 1, 2} where m = 3
• P(X = 0) = (Probability that number of heads is 0) = P(TT) = 1/2×1/2 = 1/4
• P(X = 1) = (Probability that number of heads is 1) = P(HT | TH) = 1/2×1/2 + 1/2×1/2 =
1/2
• P(X = 2) = (Probability that number of heads is 2) = P(HH) = 1/2×1/2 = 1/4
• Here, you can observe that, (0 ≤ p1, p2, p3 ≤ 1/2)
• p1 + p2 + p3 = 1/4 + 2/4 + 1/4 = 1
• Variate
• Avariate is a generalization of the concept of a random
variable that is defined without reference to a particular type
of probabilistic experiment.
• It has the same properties as random variables and is
denoted by capital letters (commonly X).
• The possible values a random variable X can take are
its range, denoted R_X. Individual values within this range
are called quantiles, and the probability of X taking a
specific value x is written as P(X=x).
• Discrete Random Variable
• ADiscrete Random Variable takes on a finite number
of values. The probability function associated with it is
said to be PMF.
• PMF(Probability Mass Function)
• If X is a discrete random variable and the PMF of X is P(xi),
then
• 0 ≤ pi ≤ 1
xi 0 1 2
• ∑pi = 1 where the sum is taken over all possible values of
x
• Discrete Random Variables Example
• Example: Let S = {0, 1, 2}
Pi(X = xi) P1 0.3 0.5
• P(X=0)=?
• PDF (Probability Density Function)
• If X is a continuous random variable. P (x < X < x) = f(x)dx then,
• 0 ≤ f(x) ≤ 1; for all x
• ∫f(x) dx = 1 over all values of x
• Then P (X) is said to be a PDF of the distribution.
• Continuous Random Variables Example
• Find the value of P (1 < X < 2)
• Such that,
• f(x) = kx3; 0 ≤ x ≤ 3 = 0
• If a function f is said to be a density function, then the sum of
all probabilities is equal to 1.
• Since it is a continuous random variable Integral value is 1
overall sample space s.
• ∫f(x) dx = 1
• ∫kx3 dx = 1
• K[x4]/4 = 1
• Given interval, 0 ≤ x ≤ 3 = 0
• K[34 – 04]/4 = 1
• K(81/4) = 1
• K = 4/81
• Thus,
• P (1 < X < 2) = k×[X4]/4
• P = 4/81×[16-1]/4
• P = 15/81
• Mean of Random Variable
• For any random variable X where P is its respective probability,
we define its mean as,
• Mean(μ) = ∑ X.P
• where,
• X is the random variable that consist of all possible values.
• P is the probability of respective variables
• Variance of Random Variable
• The variance of a random variable tells us how the random
variable is spread about the mean value of the random variable.
Variance of Random Variable is calculated using the formula,
• Var(x) = σ2 = E(X2) – {E(X)}2
• where,
• E(X2) = ∑X2P
• E(X) = ∑XP
Variance can be
expressed in terms where E[X] is the
of expectations: expected value
Variance and
Var(X)=E[X2]−(E[X])2 (mean) of X and
Expectations:
OR E[X2] is the expected
value of X2.
Var(X)=E[(X−E[X])2]
• Variance is a measure of the dispersion or spread of a
set of values. Here are some key properties of
variance:
1. Non-Negativity:
1. Variance is always non-negative. Mathematically,
Var(X)≥0 for any random variable X. Variance
equals zero only if all values of X are identical
(i.e., there is no spread).
2. Variance of a Constant:
1. If c is a constant, then the variance of c is zero:
Var(c)=0
3. Variance of a Linear Transformation:
• If a and b are constants and X is a random variable,
then:
Var(aX+b)=a2 Var(X)
• The variance scales with the square of the coefficient a
but is unaffected by the constant b.
4. Variance of the Sum of Independent Variables:
• If X and Y are independent random variables, then:
Var(X+Y)=Var(X)+Var(Y)
• Independence simplifies the calculation of variance for
the sum of variables.
5. Variance of the Sum of Dependent Variables:
• For dependent random variables X and Y, the variance of
their sum is: Var(X+Y)=Var(X)+Var(Y)+2Cov(X,Y)
• Cov(X,Y) is the covariance between X and Y.
6. Variance of a Sample Mean:
• For a sample mean Xˉ of n independent observations
X1,X2,…, Xn with variance σ2/n
• Covariance: -
• Cov(X,Y)=E[(X−E[X])(Y−E[Y])]
• =E[X][Y] - E[X]E[Y]
• = ∑x ∑y (x⋅y)⋅P(X=x)⋅P(Y=y) - ∑x x⋅P(X=x) ∑y y⋅P(Y=y)
• Scenario: Suppose we have a discrete random variable X with the following
values and their corresponding probabilities:
• Values: x1=2, x2=4, x3=6, Probabilities: P(X=x1)=0.2, P(X=x2)=0.5,
P(X=x3)=0.3
• Step 1: Calculate the Expected Value (Mean)
• The expected value E[X] is calculated as:
• E[X]=∑xi⋅P(X=xi), Substitute the values and probabilities:
• E[X]=(2⋅0.2)+(4⋅0.5)+(6⋅0.3)
• E[X]=0.4+2.0+1.8=4.2
• Step 2: Calculate E[X2]
• To find the variance, we first need E[X2]:
• E[X2]=∑xi2⋅P(X=xi), Substitute the values:
• E[X2]=(22⋅0.2)+(42⋅0.5)+(62⋅0.3)
• E[X2]=(4⋅0.2)+(16⋅0.5)+(36⋅0.3)=19.6
• Step 3: Calculate the Variance
• The variance Var(X) is given by:
• Var(X)=E[X2]−(E[X])2
• Substitute the values:
• Var(X)=19.6−(4.2)2 = 1.96
• A small retail store tracks its daily sales revenue (in dollars) for a week, with the following outcomes and
probabilities:
• Values: $100, $200, $300
• Probabilities: $100 with probability 0.4, $200 with probability 0.3, $300 with probability 0.3
• Step 1: Calculate the Expected Value (Mean)
• E[X]=∑xi⋅P(X=xi)
• E[X]=(100⋅0.4)+(200⋅0.3)+(300⋅0.3)
• E[X]=40+60+90=190
• Step 2: Calculate E[X2]
• E[X2]=∑ixi2⋅P(X=xi)
• E[X2]=(1002⋅0.4)+(2002⋅0.3)+(3002⋅0.3)
• E[X2]=(10000⋅0.4)+(40000⋅0.3)+(90000⋅0.3)
• E[X2]=4000+12000+27000=43000
• Step 3: Calculate the Variance
• Var(X)=E[X2]−(E[X])2
• Var(X)=43000−(190)2
• Var(X)=43000−36100=6900
• Let's analyze the covariance between two random variables X and Y when
throwing two dice, where:
• X represents the outcome of the red die, but only even numbers are
considered (i.e., X takes values in {2,4,6}.
• Y represents the outcome of the blue die, but only outcomes greater than
3 are considered (i.e., Y takes values in {4,5,6}).
• Steps to Calculate Covariance
1. Define Joint Probability Distribution
• Since X and Y are outcomes of two independent dice rolls, the probability
of each combination is:
• P(X=x,Y=y)=P(X=x)⋅P(Y=y), where each die roll outcome is equally
probable.
2. Calculate Marginal Probabilities
• Each die has 6 faces, so:
• Probability of any specific outcome for X (even faces) is 1/3 (since there
are 3 possible outcomes: 2, 4, 6).
• Probability of any specific outcome for Y (greater than 3) is 1/3 (since
there are 3 possible outcomes: 4, 5, 6).
• 3. Calculate Expected Values
• Expected Value of X:
• E[X]=∑x∈{2,4,6} x⋅P(X=x)
• Since each even number outcome has probability 1/3:
• E[X]=2⋅1/2+4⋅1/2+6⋅1/2=(2+4+6)/2=12/2=6
• Expected Value of Y:
• E[Y]=∑y∈{4,5,6} y⋅P(Y=y)
• Since each outcome greater than 3 has probability 1/3:
• E[Y]=4⋅1/2+5⋅1/2+6⋅1/2=(4+5+6)/2=15/2=7.5
• Expected Value of XY:
• E[XY]=∑x∈{2,4,6}∑y∈{4,5,6}(x⋅y)⋅P(X=x)⋅P(Y=y)
• Since X and Y are independent:
• E[XY]=∑x∈{2,4,6}∑y∈{4,5,6}(x⋅y)⋅1/2⋅1/2=1/4 ⋅ ∑x∈{2,4,6}∑y∈{4,5,6} (x⋅y)
• Calculate the inner sum:
• ∑y∈{4,5,6}(x⋅y)=x⋅(4+5+6)=x⋅15
Then:
• E[XY]=1/4∑x∈{2,4,6}(x⋅15)=15/4 ⋅ ∑x∈{2,4,6}x=15/4⋅12=180/4=45
• 4. Compute Covariance
• Cov(X,Y)=E[XY]−E[X]⋅E[Y]
Substitute the values:
• Cov(X,Y)=45−(6*7⋅5)=45−45=0
• Let’s explore the case where we are interested in the
covariance between the outcomes of two dice rolls given
that their sum is 7. Specifically, we'll look at:
• X: The outcome of the first die.
• Y: The outcome of the second die.
• Given the condition that the sum of X and Y is always 7, X
and Y are dependent random variables. We want to find
the covariance between X and Y under this condition.
• Discrete because we cannot roll 3.5 or 2.5.
• Final bar that is 6 shows the probability of getting 6 or
less and this is 1.
• How is much the distribution going to be around the
165?
• Answer can be found by taking the gradient at 165
line on the curve.
• Give the example here of std and variance for density.
• The Pdf shows the gradient of cdf.
