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STATISTICS
COMPLEMENTARY COURSE
For
I SEMESTER B.Sc. MATHEMATICS
(2011 Admission)
UNIVERSITY OF CALICUT
SCHOOL OF DISTANCE EDUCATION
CALICUT UNIVERSITY P.O. MALAPPURAM, KERALA, INDIA - 673 635
415
ProbabilityTheory
Page1
UNIVERSITY OF CALICUT
SCHOOL OF DISTANCE EDUCATION
Study Material
STATISTICS
COMPLEMENTARY COURSE
I SEMESTER B.Sc. MATHEMATICS
Probability Theory
Prepared by :
Sri.Z.A.Ashraf
Department of Mathematics,
Govt. Arts & Science College,
Calicut - 18
Edited & scrutinized by :
Dr.C.P.Mohammed (Retd.),
Poolakkandy House,
Nanmanda P.O.
Calicut District.
Reserved
ProbabilityTheory
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1PROBABILITY
1.1INTRODUCTION
1.3RANDOMEXPERIMENT
1.3.1SampleSpace
1.2EXPERIMENT
1.3.2Samplepoints
1.3.3Event
1.4CLASSICALDEFIp[NITION
1.4.1Definition
1.4.2LimitationsOfClassicalDefinition
1.5FREQUENCYDEFINITION
1.10.1PairwiseandMutualIndependents
2RANDOMVARIABLES
2.1 DEFINITION:2.1.1 Types of Random Variables
2.2 PROBABILITY MASS FUNCTION
2.3 PROBABILITY DENSITY FUNCTION
2.4 DISTRIBUTION FUNCTION OF A R.V
3MATHEMATICALEXPECTATION
3.1INTRODUCTION
3.2DEFINITION
3.2.1ExpectationOfFunctionOfR.V
3.2.2PropertieOfExpectation
3.3MOMENTS
3.3.1MomentsaboutA
3.3.2Momentsaboutorigin
3.3.3CentralMoments
3.3.4MeasuresOfCentralTendency
3.3.5MeasuresOfVariation
3.3.6MeasuresOfSkewness
3.4MOMENTGENERATINGFUNCTION
3.3.7MeasuresOfKurtosis
3.4.1Definition
3.4.2Propertiesofmgf
3.4.3CharacteristicFunction
3.5MULTIPLECHOICEQUESTIONS
3.6EXAMPLES
3.7PROBLEMS
4CHANGEOFVARIABLES
4.1THEOREM
4.2MULTIPLECHOICEQUESTIONS
4.3EXAMPLES
4.4PROBLEMS
ProbabilityTheory
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SYLLUBUS
Semester I- PROBABILITY THEORY
Module 1. Probability concepts: Random experiment, sample space, event, classical definition,
axiomatic definition and relative frequency definition of probability, concept of probability measure.
Addition and multiplication theorem (limited to three events). Conditional probability and Bayes
Theorem-numerical problems. (25 hours)
Module 2. Random variables: Definition- probability distribution of a random variable, probability
mass function, probability density function and (cumulative) distribution function and their properties.
(15 hours)
Module 3. Mathematical Expectations: Expectation of a random variable, moments, relation between
raw and central moments, moment generating function (mgf) and its properties. Measures of
skewness and kurtosis in terms of moments. Definition of characteristic function and its simple
properties. ( 20 hours )
Module 4 Change of variables: Discrete and continuous cases (univariate only), simple problems.
(12 hours)
Book for Reference
1. V.K. Rohatgi: an Introduction to Probability theory and Mathematic Statististics, Wiley Eastern.
2. S.C. Gupta and V.K.Kapoor: Fundamentals of Mathematical Statistics, Sultan Chand and
sons
3. Mood A.M., Graybill. F.A and Boes D.C: Introduction to Theory of Statistics McGraw Hill.
4. John E Freund: Mathematical Statistics (Sixth Edition), Pearson Education (India),New Delhi.
ProbabilityTheory
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Chapter 1
PROBABILITY
1.1 INTRODUCTION
In our day to day life, we may face many situations where uncertainty plays a vital role. We usually
use statements like there is a chance for rain today or probably I will get A grade in university
examination etc. In all these contexts the term chance or probably is used to indicate uncertainty.
The word Probability is related with the occurrence of uncertainty, and Probability theory is the
discipline which tries to quantify the concept of chance or likelihood.
1.2 EXPERIMENT
An experiment is an activity which can be repeated in more or less same condition and will have
some specific outcome or outcomes. By combining hydrogen with oxygen under certain conditions
results in formation of H2O or tossing a coin and checking whether the face value is Head or Tail are
examples of experiments. Generally, experiment are of two types:
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1.3.3 Event
Those subsets of the sample space to which probabilities are assigned by probability set
function under consideration are called an Event. Eg: Consider the random experiment of
throwing a die and the sample space will be, S = {1, 2,3,4,5, 6}. One can define an event E
as getting odd number. Then E = {1, 3, 5}. Note that the event E is a subset of sample
space S.
Types of Events
Simple and Compound Event :- If an event has only one outcome, that is, only one
sample point it is called simple event. Eg: The event of getting head in the experiment of
tossing a coin.
If an event has more than one sample points then it is called compound event.
Eg: The event of getting odd or even when rolling a die.
Mutually Exclusive Event :- Two events A and B are said to be mutually exclusive if the
occurrence of any one of the events exclude the occurrence of the other.
Exhaustive Event:- Let E1, E2, E3. . . En are n events of sample space then E0 is are said
to be exhaustive if [n i=1Ei = S.
1.4.1 Definition
If a random experiment results in n exhaustive, mutually exclusive and equally likely cases,
m of them are favourable (m n) to the occurrence of an event A, then the probability of A,
denoted as P(A), is defined as P(A) =
Note:1. We can also say the above statement as the odds in favour of A are m : (n - m) or odds against A
are
(n - m) : n.
Page6
of the event A .
1.6.1 Borel field or -algebra of events:Let S be a non-empty set and F be a collection of subsets of S. Then F is called borel field
(- field) if
1.
is non-empty
2. The elements of
are subsets of S
thenAc
3. IfA
= 1, 2,... then A1
A2
is an element of
. i.e. if Ai
...
2. P(S)=1
3. If A1, A2,... is a sequence of mutually exclusive events in A thenP[
A ] = P(A ).
B) = P (A)+P (B) - P (A
(Ac B)
B =A
B) = P (A) + P (Ac
therefore P (A
B)
B) ................. (1)
B) ie; P (Ac
B) = P
B) = P (A) + P (B) - P (A
B). proved
B)=P(A)+P(B)
An) =
P(A )- P(A
A ]) P(A1)+P(A2)+...
i.e.
Ai
A1(Ac1 A2)
(Ac 1 Ac 2 A3)
A)
P(A
Ac 2 A3)+....
Page8
,P(B) =
and P(A
B) = =
sample space of NB occurrences. Out of which NAB occurrences pertaining to the occurrence
of A Therefore P(A|B) =
Now P(A B) =
P(A
B) =
AB
AB
/N = N
AB
AB
Thus we get
P(A
ProbabilityTheory
P(Bj)P(A/Bj)
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P(A B )
P(A)
P(Bi)P(A/Bi)
P(A)
But A=A
Therefore P(A) = P[U
(A
. .
)=
S =A (U
B )] =
P(Bi)P(A/Bi
(1)
(A
B)
(2)
P(B )P(A/B )
10/55
(b)
6/55
(c)
10/25
(d)
None of thsese
Page10
(a) 1/4
(b) 1/2
(c) 1/3
(d) None of these
7. Sangeetha speaks truth in 20% cases and Jaseena speaks truth in 30% cases, what is
the probability that they will contradict each other in a particular issue.
(a) 1/4
(b) 1/2
(c) 1/3
(d) None of these
8. If A and B are independent events, what is P(A/B)
(a) P(B/A)
(b) P(A)
(c) P(B)
(d) None of these
9. Which one of the following statement(s) are true
(a) If A and B are mutually exclusive P(B [ B) = P(A) + P(B)
(b) If A and B are mutually independent P(B \ B) = P(A)P(B)
(c) Both of these are true
(d) None of these
10. If A and B are independent events then which of the following statements are true
(a) A and Bc are independent
(b) Ac and Bc are independent
(c) Ac and Bc are independent
(d) All the above
1.13 EXAMPLES
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Example 1
Three coins are tossed. What is the probability of getting
1. All Heads
2. Exactly one Head
3. Exactly two Heads
4. Atleast one head
Solution
Here the sample space is: S= (HHH,HHT,HTH,THH,TTH,THT,HTT,TTT) Therefore total
number of cases is 8.
1. There is only one case with all heads as (HHH), therefore, number of favourable cases is1.
Hence P (All heads) = .
2. There are three cases with exactly one head as (HTT ,THT ,TTH) Hence P (exactly one
head) = .
3. There are three cases with exactly two heads, as (HHT, HTH, THH) Hence P (exactly two
heads) =
4. In all 7 cases except (TTT) there is atleast one Head, Hence P(atleast one head)=
Example 2
A box contains 5 red,3 white 6 blue balls.If 3 balls are drawn at random, determine the
probability that
1. All 3 are blue
2. 2 are red 1 is white
3. One of each colour is drawn
Solution
Given that the box contains 5 red, 3 white 6 blue balls. If three balls are drawn at random, there
will be 14C3 possible outcomes.
1.
Here, since there are 6 blue balls the number of favourable cases will be 6C3 .
6C3
14C3
= 915
5C2X3C1 15
= 182
14C3
5C2X3C1X6C1
And P( One red, One blue and oOne white balls) =
=
14C3
45
182
Example 3
A card is drawn from a well shuffled pack of playing cards.Find the probability that
1. A club
2. A king
3. The ace of spade
Solution
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There are 52 different cards in a pack of playing cards. Total number of cases= 52C1 = 52
1. There will be 13 club cards in a packet. Therefore favourable cases= 13C1 = 13.
Hence probability of getting a club will be
2. There are 4 kings in a packet. Therefore number of favourable cases = 4C1 and
probability of getting a king will be
3. In a pack of cards there will be only one ace of spade and hence probability of getting
an ace of spade will be =
Example 4
Given P(A) = 0.30, P(B) = 0.78, P(A
1. P(Ac
B) = 0.16.. Evaluate
Bc)
2. P(Ac[ Bc)
3. P(A
Bc)
Solution
Given P(A)=0.30, P(B)=0.78, P(A B)=0.16
1. P(Ac Bc) = P(A B)c = 1 - P(A B) =1-P(A)+P(B)P(A B)
=1-0.30+0.78-0.16
=0.08
2. P(Ac Bc) = P(A B)c = 1 - P(A B) =1-0.16=0.84
3. P(A
=0.30-0.16=0.14.
Example 5
The probability that a student passes Statistics course is
passes both Statistics and mathematics course is
one course is
Solution
Let A be the event of a student passes Statistics course and B be the same student passes
Mathematics course.
Given P(A) =
, P(A
ProbabilityTheory
B) =
- +
Example 6
A problem in statistics is given to 3 students A,B and C whose chances of solving it are , and
respectively. What is the probability that the problem will be solved?
Solution
Let us define the events as
A
= 1 - P(A B C)c
= 1 - P(Ac Bc
Cc)
Example 7
If two dice are thrown, what is the probability that the sum is equal to 9?
Solution
When two dice are thrown, there will be 36 mutually exclusive and equally likely cases like (1, 1),
(1,2), (1,3) .. . (6,6).
Among these cases, exactly 4 cases viz. (3, 6), (6, 3), (4, 5), (5,4) are favourable to the event sum
equal to 9.
Therefore P(sum equal to9) =
Example 8
What is the probability of getting 53 Sundays in a leap year
Solution
We have in a leap year there will be 366 days. So there will be 52 complete weeks and two days
remaining. These two days may be any one from following 7 pairs:
(Sunday, Monday), (Monday, Tuesday), (Tuesday, Wednesday), (Wednesday, Thursday),
(Thursday, Friday), (Friday, Saturday) and (Saturday, Sunday). Here two pairs are favourable
towards sunday. Hence probability of a leap year containing 53 sudnay will be
Example 9
Let A and B be two events associated with an experiment and suppose P(A) = 0.5 while P(AorB) =
ProbabilityTheory
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0.5p= 0.3 p=
Example 10
Suppose there are two bags with first bag contains 3 white and 2 black balls, second bag contains 2
white and 4 black balls. One ball is transferred from bag I to bag II and then a ball is drawn from the
latter. It happens to be white. What is the probability that the transferred ball is white?
Solution
Let A be the event f drawing a white ball; B1 is the event of transferring a white ball from bag I and
B2 is the event of transferring a black ball from bag I to bag II.
Then P(B1) =
and P(B2) =
Also P(A/B1) =
and P(A/B2) =
P[transefered ball was white given that the ball drawn is white] = P(B1/A)
From Bayes theorem, P(B1/A) =
,
, ,
1.14 PROBLEMS
1.
For two events A and B, if P(A) = 0.3 ,P(B) = 0.2 and P(AB) = 0.1 , find the probability that exactly one of the
events will happen.
2.
and
A box contains 2 silver and 4 gold coins and a second box contains 4 silver and 3 gold coins. If a coin is
selected at random from one one box, what is the probability that it is a gold coin?
4.
An integer is chosen at random from the first hundred integers. What is the probability that the integer chosen
is divisible by 3 or 5?
5.
A, B and C tosses a coin in order. The first one to toss head will win. What are their respective probabilites.
6.
A box contains 5 red, 6 white and 3 blue balls. If three balls are drawn at random what is the probability that
all are blue?
7.
Sunitha and Saleena stand in a circle with 10 other girls. If the arrangement of 12 girls are at random, find the
chance that there are exactly three girls between Sunitha and Saleena?
8.
Two dice are thrown at random and face value is noted, If A is the event that first die shows 2 or 5 or 6 and B
is the event of sum of the face values is 9, check whether A and B are independent. ?
9.
Three firms A, B, and C supply 25%, 35% and 40% of chairs needed to a college. Past experience shows that
5%, 4%, and 2% of the chairs produced by these companies are defective. If a chair was found to be
defective, what is the probability that chair was supplied by firm A?
10. Three urns are given each containing red and white balls. Urn I contains 6 red and 4 white balls, Urn II
contains 2 red and 6 white balls and Urn III contains 1 red and 2 white balls. An urn is selected at random and
a ball is drawn. If the ball is red what is the chance that it is from first Urn?
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Chapter 2
RANDOM VARIABLES
By the term random variable we mean a variable which takes real values in accordance with the
change in the outcome of the random experiment. Or in other words, it is a real valued function
defined over the sample space . Hence its domain will be and its range will be real line R.
Random variable is also known as stochastic variable and it is denoted as X() or simply X.
2.1 Definition:Let (,S) be a sample space. A finite single-valued function that maps into is called a random
variable, denoted by , if the inverse images under of all Borel sets in are events.
i. e. X-1(B) = [
space
B] S for all B .
For example, let us consider a coin tossing experiment. Here the sample
= will be = (H, T). Now define a variable X() such that X() 8
0if Head
Here X takes real values either 0 or 1, in accordance with the outcome Head or
1if Tail
Tail. Thus X is a random variable.
2.1.1 Types of Random Variables:Random variable (r.v ) can be either discrete or continuous.
1. Discrete :A r.v is said to be discrete if its range includes finite number of values or countable infinite number
of values. For example, Number of road accidents occurs in a day in a city.
2. Continuous :A r.v which can assume any value from a specified interval of the form [a,b] is known as continous
r.v. For example, Lifetime of mobile phone or height of a randomly selected student from your
college etc can be treated as continuous r.vs.
Note:If X is a rv on (, S) then aX + b will also be a r.v on (, S) where a, b are constants. Also noted
that If X is r.v, then X2 and
is a probability function,
0.
= 1.
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If X is a continuous random variable, then the probability density function or probability distribution
of X is defined as
X + d ) Properties:-
= P(
is a probability function,
1. As
= 1.
= if X is discrete and
if X is continuous.
, lim
) = F(
5.
) - F(
-1)
Positive integer
(b)
(c)
Real Number
(d)
None of these
kxif0
2
0otherwise
(b)
1/2
(c)
1/4
(d)
None of thsese
4.
(a)
(b)
(c)
(d)
None of thsese
ProbabilityTheory
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(a) 0
(b) -1
(c)
(d) 1
5.
6.
7.
(b)
(c)
(d)
8.
F(a) - F(b)
F(b) - F(a)
a-b
x:
(x) : k
2k
None of these
( ) = 2 if 0 1
0 otherwise
0.5
1
0
None of these
If X1 and X2 are two r.vs which one of the following statements are true
(a) X1 + X2 will be a rv.
(b) cX1 & cX2 will be a rv where c is a cont.
(c) X1 - X2 will be a rv.
(d) All the above
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2.6 EXAMPLES
EXAMPLE 1
Check whether the following function is a pdf or not
0
2
0otherwise
=
Solution
If
( ) is a pdf, we have
Here ( ) d =
( )d = 1
|
2
0
EXAMPLE 2
Check whether following is a pdf.
for
( )=
= 1,2, 3,
0 elsewhere
Solution
If
( ) is a pdf, we have
Here ( ) =
( )=1
if
= 1,2, 3,4, 5
0 elsewhere
Solution
The Distribution function is defined as F(x) = P(X x) Therefore the Distribution function of
given pdf is
F(x) =
if < 1
if 1 < 2
if 2
<3
if 3
<4
if 4
<5
X 5
EXAMPLE 4 Obtain the distribution function of the total number of heads occuring in 3
ProbabilityTheory
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Solution
Let X denotes the number of heads turning up in 3 tosses. Then its pdf f(x)
will be f (x) = 0
F (x)
if
=0
if
=1
if
=2
if
=3
< 2u
2 <3
3
1
EXAMPLE 5
k2
2k2
k2
+ 2k2 + k2
=1
4 k2 + 3k - 1 = 0
k = (-3 9
1. P(X a)=P(X>a)
2. P(X > b) = 0.05
ProbabilityTheory
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Solution
1.
P(X )=P(X> )
a3 = 1-a3
2 a3 = 1
a3 =
2.
3x2dx
3x2dx
EXAMPLE 7
Let the distribution function of X be
0
if < 0
F (x)
0 1
1
>1
Find P(2X+3 3.6)
Solution
P(2X + 3 3.6) = P(X =
P(X 0.3)
= F(0.3) = 0.3
EXAMPLE 8
If a continous r.v X has the pdf
2x
if 0 < x 1
( )
elsewhere
F(x) =
(t) dt =
2tdt = [t2] = x2
What is the probability that none of three such computers will have to be replaced during the first
ProbabilityTheory
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Solution
Probability that a computer will last for first 150 weeks is given by P(X 150) = P(0 <X <
100) + P(100 < 150)
150
100
(x) dx = 150
d = . Hence the probability that none of the three computers will have to
100
EXAMPLE 10
The amount of sugar (in kg), a certain shop is able to sell is given with the probability density :
1
0 <5
25
( )
< 10
Find the probablity that the sales is between 2.5 kg and 7.5 kg.
Solution
If X is defined as the random variable, amount of sugar sales, we have to find P(2.5 X 7.5)
( 7.5 (x) dx
2.5
5
2.5
7.5
5
[10- dx
5
+
2.5
= 10
7.5
= 0.75
5
2.7 PROBLEMS
1. A r.v X has the pdf f(x)=k if x = 0,f(x)=2k if x =1 f(x)=3k if x = 2 f(x) = 0 otherwise. Find the value of k?
2. If f(x) = for x = 1, 2, 3,4 and5 and 0 other wise, find P(X = 1 or 2) .
3. Find the value of k so that f(x) = kx (1 - x) for 0 X 1 is a pdf of a continuous random variable.
4. A r.v X has pdf f(x) = A for 0 X 10, find the value of A. Also find P(2 X 5).
5. For a r.v X f(x) =
6. If f(x) =
e - , 0
<0
if 0
<1
if 1
<
8. Find the mean, variance and coefficients 1 and 2 of the distribution f(x) = kx2 e- x, for 0 X 1
9. If a continous r.v X has the pdf
2
for -
<
( )
10.
ProbabilityTheory
Page22
Chapter 3
MATHEMATICAL EXPECTATION
3.1 INTRODUCTION
Mathematical expectation is a statistical concept originated from games of chance, but widely used
in different contexts.
3.2 DEFINITION
If X is a discrete r.v with pdf
E(X) =
( )d
( )d =
( )d =k.1 = k.
proved
2. E(kg(x)) = kE(g(x)),where k is a constant and g(x) is a function of X Proof:
Let X be a r.v having pdf ( ).,Let g(x) be any function of X. Thus E[k(g(x)]=
( )d
(ax + b) ( )d = a
( )d + b
( )d
Page23
Proof:
E(g(X) + h(X)) =
( )d =
( )d
( )d
5.
Proof:
Consider X + tY , for real X, Y and t.
Then (X+tY)2 0 E(X+tY)2 0
E(X2+2t XY+ t2Y2) 0
t2E(Y2) + 2tE(XY) + E(X)2 0
The LHS is a quadratic expression in t and it will be non-negative if discriminant is 0.
i.e. [2E(XY)]2 - 4E(X2)E(Y2) 0
4E(XY)2 - 4E(X2)E(Y2) 0
E(XY)2 E(X2)E(Y)2) proved
3.3 MOMENTS
Moments play vital role in the discussion of characterisation of probability distributions. The nature
of the distribution can be identified by looking on various moments. Moments can be defined in
different forms :
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( ),
( )d
, if X is
-11 + rC2
2
1
- . . . + (-1)r( )r.
1
( )d , if X is continuous. it is denoted as
2. Median:- Median is the middle most observation. Therefore for a random variable X
we can define median as the value Md such that
( )d = or
( )d =
3. Mode :- Mode is the value of the r.v, for which the probability is maximum. Hence in
the case of discrete r.v, one can find mode in such way that it the value x which
satisfies ( ) > ( ( -1) and ( )> ( + 1). If X is a continuous r.v mode will be the
value of x such that
( ) = 0 and
( ) < 0.
|x - | ( )d , if X is
2. Quartile Deviation:- If Q1 and Q3 are first and third quartiles of a distribution, quartile deviation
can be defined as QD =
3. Variance or Standard Deviation :- The variance of r.v, X is defined as: V(X) = E(X2) - (EX)2.
The square root of variance is known as standard deviation and it is denoted as . That is =
4.
If left and right tails of a probability curve are not equally distributed, the curve is said to be
asymmetric curve or skewed curve. The lack of symmetry is known as skewness. If the left tail of the
curve is longer than right tail, curve is said to be negatively skewed and if right tail is more elongated
than left the curve is said to be positively skewed. There are different methods for measuring
skewness. A very popular measure for skewness in terms of moments is: 1 =
or 1 =
1.
Page25
>0,
<0 or
=0.
or
= 2 -3
3.4.1 Definition
The moment generating function (mgf) for a random variable X is defined as:
MX(t) = E(etx), - < t < , provided expectation exists.
=x etx ( , if X is discrete
= etx ( ) d , if X is continuous
The mgf generates the raw moments about the orgin. For any fixed t, we can write, Mx(t) =
E(etx)
=E[1+
)+
+ ] E(1)+ E( )+
!
E( 2) +
E( 3) + . . .
=1+ + + +...
! 1
! 2
! 3
Here , ,
1 2 3
wrt t
..............
(t) = +
1
+ +
2 ! 3
(t) = +(6t/3!) +
3
2
(t) when t = 0 gives
ProbabilityTheory
(t)
Page26
Definition
tX
For a random variable X, the characteristic function, X(t) is defined as : X(t) = E(e ), where t is a
tx
e
( ) if X is discrete and
real number and = 1. If ( ) is a pdf of a r.v X then X(t) =
X(t) =
( ) d if X is continuous.
E(X - E(X))2
(c)
E(X2) - (E(X))2
Page27
(a) btMX(at)
bt
(b) e MX(at)
(c) (a+b)MX(t)
(d) None of thsese
5. If X(t) is the characteristic fuction of X , What is the value of (0)
(a) 0
(b) 1
(c)
(d) None of these
6. If and are mean and s. d of a r. v X, M
(t)
(a) /
(b) e-t/MX( )
(c) e-tMX(t)
(d) None of these
7. If 0 ris the rth raw moment 0 3 is obtained as
(a)
Mx(t)
(b)
Mx(t) at t = 0
(c)
Mx(3)
(d)
3.6 EXAMPLES
ProbabilityTheory
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= (
)=
(1+2+3+4+5+6) =
2. If two dice are thrown, what is the expected value of sum of the face values?
Solution
Let X be the sum of the face value of the dice. Therefore X takes values 2, 3, . .. 12 with
following probabilities.
X:
= 2.
+ 3.
10
11
12
( ):
. . +
12.
= 7.
Let first
probability of failure,
= 30 4(1 - ), 0
4. If
(1- p) p=p(1- p)
(1- p)
-1
Solution:
1
30
0
By definition, E(X) =
d =
= 30 [
= 30
5. If
Solution:
By definition, E(X) =
log
6.
= when x = 1, 2, 3 and
Solution
.
ProbabilityTheory
2
.
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)=
= (qet)x
1
8. If
Solution:
By definition, mgf , MX(t)= E(et ) = et 1
tx 1
-|x|
= e ( 2)e d
etx+xd +
etx+xd
e(1+t)xd +
e-(1-t)xd
Solution:
We have Variance= E(X2) - [E(X)]2
i.e. V(X) = (
M
But,
=
=
e 18e 18e
2
12
=
=
=
2
1
12
2
24
+ 2
15
12
60
e 6e 3e
e 6e 3e
1 |t=0
|t=0 =
15
Now
2
|t
e 6e 3e
15
36e 90e
|t=0
|t=0 =
2
2
0
0
= E(X)r =
( )d
= 1,
Hence we get
, and
so on.
= 6 5 -1 = 1
3 =
-3
+2
4 =
-4
+6
=0
-3
(a)
(b)
coefficient of kurtosis 2 =
3.7 PROBLEMS
1. Find E(X) for the following pdf:
X:
1
2
3
4
5
( ):
0.1
0.1 0.3
0.3
0.2
2. If X has the pdf
X:
-3
-2
-1 0
1
( ) :
0.05
0.10
0.30
0.30
Find E(4X +5)
3. Find mean and variance of teh distribution with pdf
( )=
2
0.15
3
0.10
<.
10. If ( ) = e-ax
ProbabilityTheory
> 0,
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Chapter 4
CHANGE OF VARIABLES
There will be situations where we know the distribution of a random variable and we have to find the
distribution of some functions of the given random variable. In this chapter we will discuss the
method of finding the probability distribution of a function of a variable. Note that if X is a random
variable defined over a sample space and let g(x) is a function of X then Y = g(X) is also a
random variable defined on .
4.1 THEOREM
Let X be a continuous random variable with p.d.f. ( ). Also let Y = g( ) be a function of X, which is
differentiable. Then the pdf of the random variable Y is given by
hY ( ) = x( )|
|, where
is expressed in terms of .
The following is the working rule for change of variable in case of a continuous random
variable when the transformation is one to one.
Note:-
(a) Find
(b) Find inverse function
= g-1 ( )
-1
p( )
1
4
1
2
1
4
ii.
iii.
-1
p( )
1
4
1
2
1
4
-2
p( )
1
4
1
2
1
4
-2
1
4
1
1
2
4
1
4
-2
Y
p( )
iv.
Y
p( )
>0
=e
-x
Page32
e-x
1
i.
ii.
iii.
iv.
(c) If X is a continuous rv with p.d.f. ( )and Y is a function of X, then the pdf of Y is given by
g( ) = ( )|
g( ) = ( )|
g( ) = ( )|
g( ) = ( )|
4.3 EXAMPLES
EXAMPLE 1
Suppose that the random variable X takes three values -1, &0&and&1 with probabilities
,
Solution
If X take on three values -1,0 and 1, and Y = 2X + 1 the random variable Y can take on values -1,
1, and 3 respectively. Now P(Y = -1) = P(2X +1 = -1) = P(X = -1) =
P(2X+1=1)=P(X=0)=
.Similarly P(Y = 1) =
Y is
Y
-1
11
32
p( )
1
16
32
3
5
32
Total
1
EXAMPLE 2
1
Solution
Let g( )) is the pdf of Y. If X takes the values 0, 1, 2, . n; Y will take the values 0, 3, 6, ...3n.
Since ( ) =
, =0,1,2,...,n and x=
, =0,3,6,.............3n
EXAMPLE 3
Let X has the pdf ( ) =
Solution
Let g( ) is the pdf of Y. If X takes the values 0, 1, 2 ..; Y will take the values 0, 1, 4, 9....
g( ) = P(Y = ) = P(X2 = ) = P(X =
,
0,1,2,... and
Since ( )= !
g( )=
y = 0, 1, 4, 9, . . .
EXAMPLE 4
If X is a continuous r.v with pdf ( )=
ProbabilityTheory
2 0
0
1
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( )d
0
Ie. G( ) =
2 d(
= (
if 0 <
< 1
is given by g(
EXAMPLE 5
-x
If ( ) = e , x 0 find the pdf of
2
9
1 ,1
0, otherwise
= .
Solution
So, h( ) =
| Given
2 = 2
0.
4.4 PROBLEMS
1. If X has pdf
( )=
2.
= -1
when
=0
when
=1
otherwise
If X has pdf
( )=
0
3.
when
If X follows
( )=
when
= -2
when
when
= 0,1,2
when
=3
otherwise
4.
If X follows
( )=
2 0
0
5.
If X follows
( )=
2 0
0
ProbabilityTheory
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