Random Variables(Review)

Random variables are functions on S such that

𝑋: 𝑆 → ℝ
and probability of 𝑋 −1 𝐼 is defined for every
interval 𝐼 in ℝ.
Note: 𝑋 −1 𝐼 = 𝜔 ∈ 𝑆: 𝑋(𝜔) ∈ 𝐼

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 Cumulative Distribution Function𝐹𝑋
𝐹𝑋 : ℝ → 0,1 such that
𝐹𝑋 𝑎 = 𝑃(𝑋 −1 (−∞, 𝑎] )
= 𝑃(𝑋 ≤ 𝑎)
Short hand notation

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 Discrete Random Variable
Random Variable with its range either finite of
countable.
The values in the range 𝑥1 , 𝑥2 , … are called
possible values and the respective probabilities
at each point is given by probability mass
function 𝒇𝑿 .
𝑃(𝑋 = 𝑥𝑖 ), 𝑖𝑓𝑥 = 𝑥𝑖
𝑓𝑋 (𝑥) = ቊ
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

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 Example 1
Toss 2 coins and define a random variable as number
of heads appear

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 Properties of pmf and cdf
Let X be a discrete random variable with pmf 𝑓𝑋 and
cdf as 𝐹𝑋 then,
1. 𝑓𝑋 ≥ 0
2. σ𝑖 𝑓𝑋 𝑥𝑖 = σ𝑖 𝑝𝑖 = 1
3. 0 ≤ 𝐹𝑋 ≤ 1
4. lim 𝐹𝑋 𝑥 = 0
𝑥→−∞
5. lim 𝐹𝑋 𝑥 = 1
𝑥→∞
6. 𝑃 𝑎 < 𝑋 ≤ 𝑏 = 𝐹 𝑏 − 𝐹(𝑎)

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 Expectation of a Discrete Random
Variable
𝐸 𝑋 = ෍ 𝑥𝑓𝑋 (𝑥)
𝑥

= ෍ 𝑥𝑖 𝑝𝑖
𝑖
𝐸 𝑋 is often denoted by 𝜇

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 Variance of a Discrete Random
Variable
2
𝑉𝑎𝑟 𝑋 = 𝐸 𝑋 − 𝐸 𝑋
2
Or 𝐸 𝑋 − 𝜇
= ෍ 𝑥𝑖 − 𝜇 2 𝑝𝑖
𝑖
Var 𝑋 is often denoted by 𝜎 2

Also standard deviation of a random variable is

square root of the variance
𝜎 = √𝑉𝑎𝑟(𝑋)
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Example 1
Toss 2 coins and define a random variable as number
of heads appear. Find expectation and variance of
this random variable.

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Properties of Expectation and Variance
Discrete Case
• 𝐸𝑔 𝑋 = σ𝑖 𝑔(𝑥𝑖 )𝑝𝑖 , 𝑔 is a function on ℝ

• 𝐸 𝑎𝑋 + 𝑏 = 𝑎𝐸 𝑋 + b, a, b ∈ ℝ

• 𝑉𝑎𝑟 𝑎𝑋 + 𝑏 = 𝑎2 𝑉𝑎𝑟 𝑋 , a, b ∈ ℝ

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Example 2:
Four independent flips of fair coin are made. Let 𝑋
denotes the number of heads obtained. Find expectation
of the random variable 𝑋 − 2 2 .

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