Random Variable and

Probability
Post-Graduate Diploma in Data
Science in Health and Climate
Change for Social Impact
Random Variable

•A random variable X takes on a defined set of

values with different probabilities.
• For example, if you roll a die, the outcome is random (not fixed)
and there are 6 possible outcomes, each of which occur with
probability one-sixth.
• For example, if you poll people about their voting preferences,
the percentage of the sample that responds “Yes on Proposition
100” is a also a random variable (the percentage will be slightly
different every time you poll).

•Roughly, probability is how frequently we expect

different outcomes to occur if we repeat the
experiment over and over (“frequentist” view)
Random variables can be discrete or
continuous

• Discrete random variables have a countable

number of outcomes
• Examples: Dead/alive, treatment/placebo, dice,
counts, etc.
• Continuous random variables have an
infinite continuum of possible values.
• Examples: blood pressure, weight, the speed of a
car, the real numbers from 1 to 6.
 Probability functions

• A probability function maps the possible values of x

against their respective probabilities of occurrence,
p(x)
• p(x) is a number from 0 to 1.0.
• The area under a probability function is always 1.
Discrete example: roll of a die

p(x)

1/6

x
1 2 3 4 5 6

 P(x)  1
all x
Probability mass function (pmf)

x p(x)
1 p(x=1)=1/6

2 p(x=2)=1/6

3 p(x=3)=1/6

4 p(x=4)=1/6

5 p(x=5)=1/6

6 p(x=6)=1/6
1.0
Cumulative distribution function (CDF)

1.0 P(x)
5/6
2/3
1/2
1/3
1/6
1 2 3 4 5 6 x
Cumulative distribution function

x P(x≤A)
1 P(x≤1)=1/6

2 P(x≤2)=2/6

3 P(x≤3)=3/6

4 P(x≤4)=4/6

5 P(x≤5)=5/6

6 P(x≤6)=6/6
 Examples

1. What’s the probability that you roll a 3 or less?

P(x≤3)=1/2

2. What’s the probability that you roll a 5 or higher?

P(x≥5) = 1 – P(x≤4) = 1-2/3 = 1/3
 Practice Problem

Which of the following are probability functions?

a. f(x)=.25 for x=9,10,11,12

b. f(x)= (3-x)/2 for x=1,2,3,4

c. f(x)= (x2+x+1)/25 for x=0,1,2,3

 Answer (a)

a. f(x)=.25 for x=9,10,11,12

x f(x) Yes, probability

function!
9 .25
10 .25
11 .25

12 .25
1.0
 Answer (b)

b. f(x)= (3-x)/2 for x=1,2,3,4

x f(x)
Though this sums to 1,
1 (3-1)/2=1.0 you can’t have a negative
probability; therefore, it’s
2 (3-2)/2=.5 not a probability
function.
3 (3-3)/2=0

4 (3-4)/2=-.5
 Answer (c)

c. f(x)= (x2+x+1)/25 for x=0,1,2,3

x f(x)

0 1/25
1 3/25
Doesn’t sum to 1. Thus,
2 7/25 it’s not a probability
function.
3 13/25
24/25
Practice Problem:

• The number of times that Rohan wakes up in the night is a random

variable represented by x. The probability distribution for x is:

x 1 2 3 4 5
P(x) .1 .1 .4 .3 .1

Find the probability that on a given night:

a. He wakes exactly 3 times p(x=3)= .4
b. He wakes at least 3 times p(x3)= (.4 + .3 +.1) = .8
c. He wakes less than 3 times p(x<3)= (.1 +.1) = .2
Important discrete distributions in
epidemiology…
• Binomial (coming soon…)
• Yes/no outcomes (dead/alive, treated/untreated, smoker/non-smoker,
sick/well, etc.)
• Poisson
• Counts (e.g., how many cases of disease in a given area)
 Review: Continuous case

 The probability function that accompanies a continuous random

variable is a continuous mathematical function that integrates to 1.
 For example, recall the negative exponential function (in probability, this is
called an “exponential distribution”):

f ( x)  e  x
 This function integrates to 1:
  1
e
x x
 e  0 1 1
0 x
0
 Review: Continuous case

 The normal distribution function also integrates to 1 (i.e., the area under
a bell curve is always 1):

 1 x 2
1  ( )

 2
 e 2  dx 1
 Review: Continuous case

 The probabilities associated with continuous functions are just areas

under the curve (integrals!).
 Probabilities are given for a range of values, rather than a particular
value (e.g., the probability of getting a math SAT score between 700
and 800 is 2%).
 Expected Value and Variance

• All probability distributions are characterized by an expected value

(=mean!) and a variance (standard deviation squared).
For example, bell-curve (normal) distribution:

One standard
deviation from the
Mean ()
mean ()
 Expected value, or mean

• If we understand the underlying probability function of a certain

phenomenon, then we can make informed decisions based on
how we expect x to behave on-average over the long-run…(so
called “frequentist” theory of probability).

• Expected value is just the weighted average or mean (µ) of

random variable x. Imagine placing the masses p(x) at the points
X on a beam; the balance point of the beam is the expected
value of x.
Example: expected value

• Recall the following probability distribution of

Rohan’s night waking pattern:

x 1 2 3 4 5
P(x) .1 .1 .4 .3 .1

 x p( x)  1(.1)  2(.1)  3(.4)  4(.3)  5(.1)  3.2

i 1
i
Expected value, formally

Discrete case:

E( X )     x p(x )
all x
i i

Continuous case:

E( X )     xi
all x
p(xi )dx
 Sample Mean is a special case of Expected
Value…

Sample mean, for a sample of n subjects: =

n

x i n
1
X i 1
n
 
i 1
xi ( )
n

The probability (frequency) of each

person in the sample is 1/n.
Expected Value

• Expected value is an extremely useful concept for good decision-

making!
Example: the lottery

• The Lottery (also known as a tax on people who are

bad at math…)
• A certain lottery works by picking 6 numbers from 1
to 49. It costs $1.00 to play the lottery, and if you
win, you win $2 million after taxes.

• If you play the lottery once, what are your expected

winnings or losses?
 Lottery

Calculate the probability of winning in 1 try:

1 1 1 “49 choose 6”
   7.2 x 10-8
 49  49! 13,983,816
  Out of 49
6 43!6!
numbers, this is
the number of
distinct
The probability function (note, sums to 1.0): combinations of 6.

x$ p(x)
-1 .999999928

+ 2 million 7.2 x 10--8

 Expected Value

The probability function

x$ p(x)
-1 .999999928

+ 2 million 7.2 x 10--8

Expected Value
E(X) = P(win)*$2,000,000 + P(lose)*-$1.00
= 2.0 x 106 * 7.2 x 10-8+ .999999928 (-1) = .144 - .999999928 = -$.86

Negative expected value is never good!

You shouldn’t play if you expect to lose money!
 Expected Value

If you play the lottery every week for 10 years, what are your
expected winnings or losses?

520 x (-.86) = -$447.20

Gambling (or how casinos can afford to give so many
free drinks…)

A roulette wheel has the numbers 1 through 36, as well as 0 and 00. If you bet $1
that an odd number comes up, you win or lose $1 according to whether or not that
event occurs. If random variable X denotes your net gain, X=1 with probability
18/38 and X= -1 with probability 20/38.

E(X) = 1(18/38) – 1 (20/38) = -$.053

On average, the casino wins (and the player loses) 5 cents per game.

The casino rakes in even more if the stakes are higher:

E(X) = 10(18/38) – 10 (20/38) = -$.53

If the cost is $10 per game, the casino wins an average of 53 cents per game. If
10,000 games are played in a night, that’s a cool $5300.
Practice Problem

If a disease is fairly rare and the antibody test is fairly expensive, in a

resource-poor region, one strategy is to take half of the serum from
each sample and pool it with n other halved samples, and test the
pooled lot. If the pooled lot is negative, this saves n-1 tests. If it’s
positive, then you go back and test each sample individually,
requiring n+1 tests total.
a. Suppose a particular disease has a prevalence of 10% in a third-world
population and you have 500 blood samples to screen. If you pool 20
samples at a time (25 lots), how many tests do you expect to have to run
(assuming the test is perfect!)?
b. What if you pool only 10 samples at a time?
c. 5 samples at a time?
Answer (a)

a. Suppose a particular disease has a prevalence of 10% in a third-world

population and you have 500 blood samples to screen. If you pool 20 samples at
a time (25 lots), how many tests do you expect to have to run (assuming the test
is perfect!)?

Let X = a random variable that is the number of tests you have to run per lot:

E(X) = P(pooled lot is negative)(1) + P(pooled lot is positive) (21)

E(X) = (.90)20 (1) + [1-.9020] (21) = 12.2% (1) + 87.8% (21) = 18.56

E(total number of tests) = 25*18.56 = 464

Answer (b)

b. What if you pool only 10 samples at a time?

E(X) = (.90)10 (1) + [1-.9010] (11) = 35% (1) + 65% (11) = 7.5 average per lot

50 lots * 7.5 = 375

Answer (c)

c. 5 samples at a time?

E(X) = (.90)5 (1) + [1-.905] (6) = 59% (1) + 41% (6) = 3.05 average per lot

100 lots * 3.05 = 305

Variance/standard deviation

“The average (expected) squared distance (or deviation) from the

mean”

  Var ( x)  E[( x   ) ] 
2 2
 (x   )
all x
i
2
p(xi )

**We square because squaring has better properties than

absolute value. Take square root to get back linear average
distance from the mean (=”standard deviation”).
Variance, formally

Discrete case:

Var ( X )   2
 (x   )
all x
i
2
p(xi )

Continuous case:

Var ( X )     ( xi   ) p ( xi )dx
2 2


Sample variance is a special case…

The variance of a sample: s2 =

 ( xi  x ) 2 N
1
i 1
n 1
 
i 1
( xi  x ) (2
n 1
)

Division by n-1 reflects the fact that we have lost a

“degree of freedom” (piece of information) because
we had to estimate the sample mean before we could
estimate the sample variance.
Practice Problem

A roulette wheel has the numbers 1 through 36, as

well as 0 and 00. If you bet $1.00 that an odd
number comes up, you win or lose $1.00 according
to whether or not that event occurs. If X denotes
your net gain, X=1 with probability 18/38 and X= -1
with probability 20/38.
• We already calculated the mean to be = -$.053. What’s
the variance of X?
Answer

 2
 (x   )
all x
i
2
p(xi )
 (1  .053) 2 (18 / 38)  (1  .053) 2 (20 / 38)
 (1.053) 2 (18 / 38)  (1  .053) 2 (20 / 38)
 (1.053) 2 (18 / 38)  (.947) 2 (20 / 38)
 .997

  .997  .99
Standard deviation is $.99. Interpretation: On average, you’re either 1
dollar above or 1 dollar below the mean, which is just under zero.
Makes sense!
 Handy calculation formula!

Handy calculation formula (if you ever need to calculate by hand!):

 (x   ) x p(xi )  (  )
2
Var ( X )  i
2
p(xi )  i
2

all x all x

Intervening algebra!  E ( x )  [ E ( x)]

2 2
For example, what are the mean and standard
deviation of the roll of a die?
x p(x)
1 p(x=1)=1/6 p(x) average distance from the mean
2 p(x=2)=1/6
3 p(x=3)=1/6
4 p(x=4)=1/6
1/6
5 p(x=5)=1/6 x
1 2 3 4 5 6
6 p(x=6)=1/6
1.0
mean

1 1 1 1 1 1 21
E ( x)  
all x
xi p(xi )  (1)( )  2( )  3( )  4( )  5( )  6( ) 
6 6 6 6 6 6 6
 3 .5

1 1 1 1 1 1
2
E(x )  
all x
2
xi p(xi )  (1)( )  4( )  9( )  16( )  25( )  36( )  15.17
6 6 6 6 6 6

 x2  Var ( x)  E ( x 2 )  [ E ( x)]2  15.17  3.52  2.92

 x  2.92  1.71
 Practice Problem

Find the variance and standard deviation for Rohan’s night wakings (recall that
we already calculated the mean to be 3.2):

x 1 2 3 4 5
P(x) .1 .1 .4 .3 .1
Answer:

x2 1 4 9 16 25
P(x) .1 .1 .4 .3 .1
5
E ( x 2 )   xi p ( x i ) (1)(.1)  (4)(.1)  9(.4)  16(.3)  25(.1)  11 .4
2

i 1

Var ( x)  E ( x 2 )  [ E ( x)]2  11 .4  3.2 2  1.16

stddev( x)  1.16  1.08

Interpretation: On an average night, we expect Rohan to

awaken 3 times, plus or minus 1.08. This gives you a feel for
what would be considered an unusual night!
Bonus: Covariance

• The covariance measures the strength of the linear relationship

between two variables
• The covariance:

E[( x   x )( y   y )]

N
σ xy   ( xi   x )( yi   y ) P ( xi , yi )
i 1
 Interpreting Covariance

• Covariance between two random variables:

cov(X,Y) > 0 X and Y are positively correlated

cov(X,Y) < 0 X and Y are inversely correlated

cov(X,Y) = 0 X and Y are independent

Sample Covariance is a special case…

• The sample covariance:

 ( x  X )( y
i i Y )
cov ( x , y )  i 1
n 1