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lec 4 2022

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sgk5h9zfvh
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Lecture 4

PROBABILITY THEORY
RANDOM VARIABLES
Suppose that to each point of a sample space we assign a number. We then have a
function defined on the sample space. This function is called a random variable or
more precisely a random function . It is usually denoted by a capital letter such as
X or Y. In general, a random variable has some specified physical, geometrical, or
other significance.
Probability distribution We associate with each value taken by the random
variable the probability that it takes this value. In other words:
The relation between x and p (x) is called the probability law
Discrete random variable its values are countable
Continuous Random Variable Its values are real numbers
1- Discrete random variable
Example: If you throw a coin 3 times in the same time, you get the following results:
Ω = {(H, H, H), (H, H, T), (H, T, H), (T, H, H), (T, T, T), (T, T,H ) , (T, H, T), (H,T,T)}

Instead of looking at each of these results, we are interested, for example, in the
following numerical characteristic: the number of heads We will assume the
Random Variable X associating the number of heads The values taken by
X = {0,1,2,3}
Probability distribution and distribution function of X are in the table

x 0 1 2 3 check

P(x) 1/8 3/8 3/8 1/8 Sum=1

F(x)=P(X≤x) 1/8 4/8 7/8 1


Example
You play the following game: Imagine a raffle consisting of 20 tickets
4 tickets carry 10 € and 4 tickets carry 20 € and the rest are losing tickets. To play
this raffle if you have a 5 € ticket
We will say: Let X be the Random Variable associating the player's gain .What
are the values taken by X. What is the probability law of X
What is the distribution function of X

Solution
What are the values taken by X. X = {-5 (if he draws a losing ticket); 5 if he draws
a € 10 bill; 15 if he draws a ticket of € 20} X = {- 5,5,15}

X -5 5 15 check

P(x) 12/20 4/20 4/20 Sum=1

F(x)=P(X≤x) 12/20 16/20 1

Example
You play the following game: by throwing a coin twice, you win in dollars the
number of times that head is released. But if Tail comes out twice, you pay to the
organizer 3 dollars.

Solution Let's interpret this exercise in terms of a random variable.


We know that the set Ω expressing the experience is Ω = {TT, TH, HT, HH}.
If we obtain: TT, we associate the real number -3 (we lose 3 euros); TH or HT, 1
is associated; HH, we associate 2. The random variable X is equal to the player's
gain takes the values X = {- 3, 1, 2}
The distribution function of X defined by the following table:
Xi -3 1 2 check
P(X=xi) 1/4 2/4 1/4 Sum=1
P(X≤xi) 1/4 3/4 4/4=1
Expectation and variance for discrete Random Variable
𝒏

𝑬(𝑿) = ∑ 𝒙𝒊 𝑷(𝒙𝒊 )
𝒊=𝟏
Variance of X

𝑽𝒂𝒓(𝑿) = 𝑬(𝒙𝟐 ) − (𝑬(𝑿))𝟐


Standard Deviation

𝝈(𝑿) = √𝑽𝒂𝒓(𝑿) = √𝑬(𝒙𝟐 ) − (𝑬(𝑿))𝟐


For the above example
𝒏
𝟏 𝟐 𝟏 −𝟑 + 𝟐 + 𝟐
𝑬(𝑿) = ∑ 𝒙𝒊 𝑷(𝒙𝒊 ) = ∗ (−𝟑) + ∗ 𝟏 + ∗ 𝟐 = = 𝟏/𝟒
𝟒 𝟒 𝟒 𝟒
𝒊=𝟏
𝒏
𝟏 𝟐 𝟏 𝟗+𝟐+𝟒
𝑬(𝒙𝟐 ) = ∑ 𝒙𝒊 𝟐 𝑷(𝒙𝒊 ) = ∗ (𝟗) + ∗ 𝟏 + ∗ 𝟒 = = 𝟏𝟓/𝟒
𝟒 𝟒 𝟒 𝟒
𝒊=𝟏
𝟐 𝟏𝟓 𝟏 𝟓𝟗 √𝟓𝟗
𝑽𝒂𝒓(𝑿) = 𝑬(𝒙𝟐 ) − (𝑬(𝑿)) = − = → 𝝈(𝑿) =
𝟒 𝟏𝟔 𝟏𝟔 𝟒

Properties of the expectation


• Let a and b be two constants and X and Y of R .V :
• 1)E(a)=a 2) E(a.X)=a.E(X)
• 3) E(X+Y)=E(X)+E(y) 4) E(aX+b)=aE(X)+b
• 5) E(X.Y)=E(X). E(Y) (if X and Y are independent)
• Variance properties:
• Let a and b be two constants and X; Y of R.V. :

1) Var(a)=0 2) var (𝒂𝑿)=𝒂𝟐 𝒗𝒂𝒓 (𝑿)


3) var (𝒂𝑿 + 𝒃)=𝒂𝟐 𝒗𝒂𝒓 (𝑿) 4) Var(X+Y)=Var(X)+Var(Y) (if X and Y are
independent)
Example
A sample of 3 items is selected from a box containing 12 items of which 3 are
defective. Let X be a R V that represents the number of defective items
1) Find the distribution of X
2) Find P(X≥1), P(X<0), P(0≤X<3)
3) Calculate E (x) , 𝑬(𝑿𝟐 ), 𝝈(𝑿)
4) If Y= 5X – 1. find E(Y)
Solution
The random variable values are X={0;1;2;3} To find the total number of the
n!
fundamental set, one uses Cnr =
(n−r)!r!

3 12!
Hence Ω = C12 = = 220
(9)!3!

9!
𝐶93 (9 − 3)! 3! 84
𝑃(𝑋 = 0) = 𝑃(𝑁𝐷; 𝑁𝐷; 𝑁𝐷) = 3 = =
𝐶12 220 220
𝐶93 𝐶93 108
𝑃(𝑋 = 1) = 𝑃(𝐷; 𝑁𝐷; 𝑁𝐷) = 3 =
𝐶12 220
3 3
𝐶9 𝐶9 27
𝑃(𝑋 = 2) = 𝑃(𝐷; 𝐷; 𝑁𝐷) = 3 =
𝐶12 220
3
𝐶3 1
𝑃(𝑋 = 3) = 𝑃(𝐷; 𝐷; 𝐷) = 3 ==
𝐶12 220

X 0 1 2 3 Check

P(X=xi) 84/220 108/220 27/220 1/220 ∑=1

P(X≤xi) 84/220 192/220 219/220 220/220

Example Let X be the random variable that characterizes the number of boys in
a family of four children.
Find the probability distribution of X. Calculate E (x) , 𝑬(𝒙𝟐 ), 𝝈(𝑿)
Continuous Random Variable
Definition
Continuous Random Variable is a variable that takes its value in a range
of R
FOR EXAMPLE
-Variable X corresponding to the size of a pupil
-Variable X corresponding to waiting time at a cash desk
-The birth weight of a baby, expressed in kg,
The random variable X equal to the duration of telephone communication,
expressed in hours, of a young person from 16 to 25 years old,
Soit X une R V C ; on appelle fonction de répartition de X la fonction définie sur R
par
𝒙
F(𝒙)=P(X≤ 𝒙) = ∫−∞ 𝒇(𝒙)𝒅𝒙
𝒃

𝑷(𝒂 ≤ 𝑿 ≤ 𝒃) = ∫ 𝒇(𝒙)𝒅𝒙 = 𝑭(𝒃) − 𝑭(𝒂)


𝒂

where f(x) is called the function of density


 Properties
 𝑭(𝒙) = 𝑷(𝑿 ∈ ]−∞; 𝒙])
 𝑷(𝒂 ≤ 𝑿 ≤ 𝒃) = 𝑷(𝑿 ≤ 𝒃) − 𝑷(𝑿 ≤ 𝒂) = 𝑭(𝒃) − 𝑭(𝒂)
̅̅̅̅̅̅̅̅
 𝑷(𝒙 > 𝒃) = 𝑷(𝑿 ≤ 𝒃) = 𝟏 − 𝑭(𝒃)

 for all 𝒙 ∈ 𝑹 𝟎 ≤ 𝑭(𝒙) ≤ 𝟏

 lim𝒙→−∞ 𝑭(𝒙) = 𝟎 𝒆𝒕 lim𝒙→−∞ 𝑭(𝒙) = 𝟏


 Remark
 We admit that for a VAC, for every α∈R P (X = α) = 0
 So we have
 𝑷(𝒂 ≤ 𝑿 ≤ 𝒃) = 𝑷(𝒂 < 𝑿 ≤ 𝒃) = 𝑷(𝒂 ≤ 𝑿 < 𝒃)
 = 𝑷(𝒂 < 𝑿 < 𝒃) = 𝑭(𝒃) − 𝑭(𝒂)
 𝑷(𝒙 ≤ 𝒂) = 𝑷(𝒙 < 𝒂)
 𝑷(𝒙 > 𝒃) = 𝑷(𝒙 ≥ 𝒃)
Example
Let X be a RVC with a value in the interval [0,1] and a density function f be
defined by 𝑓 (𝑥 ) = 3𝑥 2
Calculate P (X = 0.5); P (X≤0.5); P (X > 0.5); P (0.3≤X≤0.5)

Expectation and variance for Continuous Random Variable


𝒃 𝒃

𝑬(𝑿) = ∫ 𝒙𝒇(𝒙)𝒅𝒙 , 𝑬(𝑿𝟐 ) = ∫ 𝒙𝟐 𝒇(𝒙)𝒅𝒙


𝒂 𝒂

Variance of X
𝑽𝒂𝒓(𝑿) = 𝑬(𝑿𝟐 ) − (𝑬(𝑿))𝟐 or
Var(X)= 𝝈𝟐 =E([𝒙 − 𝑬(𝒙)]𝟐 ) = ∑𝒏𝒊=𝟏[𝒙 − 𝑬(𝒙)]𝟐 𝒑 (𝒙𝒊 )

Standard Deviation 𝝈(𝑿) = √𝑽𝒂𝒓(𝑿) = √𝑬(𝒙𝟐 ) − (𝑬(𝑿))𝟐


Example

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