2.

Random variables

Introduction
Distribution of a random variable
Distribution function properties
Discrete random variables
Point mass
Discrete uniform
Bernoulli
Binomial
Geometric
Poisson

2. Random variables

Continuous random variables

Uniform
Exponential
Normal
Transformations of random variables
Bivariate random variables
Independent random variables
Conditional distributions
Expectation of a random variable
kth moment

2. Random variables

Variance
Covariance
Correlation
Expectation of transformed variables
Sample mean and sample variance
Conditional expectation

Introduction
Random variables assign a real number to each
outcome:

X :
X ( )
Random variables can be:
Discrete: if it takes at most countably many
values (integers).
Continuous: if it can take any real number.

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Distribution of a random variable

Distribution function

F ( x) FX ( x) P ( X x)

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Distribution function properties

(i)

F ( x) 0 when

(ii)

F ( x) 1 when

(iii) F (x)

is nondecreasing.

x1 x2 F ( x1 ) F ( x2 )
(iv) F (x)

is right-continuous.

F ( x) F ( x0 ) when

x x0
x x0

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Distribution of a random variable

For a random variable, we define

Probability function
Density function,
depending on wether is either discrete or continuous
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Distribution of a random variable

Probability function

p ( x) p X ( x) P( X x)
verifies

(i ) p ( x) 0
(ii ) p ( x) 1
x

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Distribution of a random variable

Probability density function

f (x)
verifies

(i )
(ii )

f ( x) 0

f ( x)dx 1

We have
x

F ( x) f (t )dt and f ( x) F ' ( x).

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Distribution of a random variable

F completely determines the distribution

of a random variable.

p( x)

a x b

P (a X b) F (b) F (a )

f (t )dt

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Discrete random variables

Point mass

X a
P( X a) 1

0 if
F ( x)
1 if

1--

xa
xa

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Discrete random variables

Discrete uniform

X U (1,2,..., k )
1
P( X i)
i 1,2,..., k
k

k-1

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Discrete random variables

Bernoulli

X B (1, p )
P ( X 1) p
P ( X 0) 1 p
p
p

1-p
1-p
0

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Discrete random variables

Binomial
Successes in n independent Bernoulli trials with
success probability p

X B ( n, p )
n x
P ( X x) p (1 p ) n x
x
n
n!
with
x!(n x)!
x

x 0,1,2,..., n

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Discrete random variables

Geometric
Time of first success in a sequence of independent
Bernoulli trials with success probability p

X G ( p)
x 1
P ( X x) (1 p ) p

x 1,2,3,...

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Discrete random variables

Poisson
X expresses the number of rare events

X P ( ), 0

e
P( X x)
x!

x 0, 1, 2,...

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Continuous random variables

Uniform

X U [ a, b]

for a x b
f ( x) b a
0 otherwise
0 for x a
x a
F ( x)
for a x b
ba
1 for x b
F(x)
f(x)

b
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Continuous random variables

Exponential

1 x
for x 0
e
f ( x)
0 for x 0
0 for x 0
x
F ( x)

e
for x 0

X exp( )

1/

1
F(x)
f(x)

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Continuous random variables

Normal

X N ( , 2)
( x )2
1

f ( x)
exp
2
2
2

2 0
f(x)

F(x)

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Continuous random variables

Properties of normal distribution

(ii)

X
N (0,1) standard normal

Z N (0,1) Z N ( , 2 )

(iii)

X i N ( i , i2 )

(i)

independent i=1,2,...,n
n

X i N ( i , )
i

2
i

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Transformations of random variables

X random variable with

FX

Y = r(x); distribution of Y ?
r() is one-to-one; r -1().
1

FY ( y ) P(Y y ) P(r ( X ) y ) P( X r ( y )) FX (r ( y ))
pY ( y ) P(Y y ) P(r ( X ) y ) P( X r 1 ( y )) p X (r 1 ( y ))
fY ( y )

d
dy

FX (r ( y )) f X (r ( y ))

d r 1 ( y )
dy

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Bivariate random variables

(X,Y) random variables;

If (X,Y) is a discrete random variable

p( x, y ) probability joint function

verifies : p ( x, y ) 0

p( x, y) 1
x, y

If (X,Y) is continuous random variable

f ( x, y ) probability density joint function

verifies : f ( x, y ) 0

f ( x, y)dxdy 1
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Bivariate random variables

The marginal probability functions for X and Y are:

p X ( x ) p ( x, y )
y

pY ( y ) p ( x, y )
x

For continuous random variables, the marginal

densities for X and Y are:

f X ( x) f ( x, y )dy
fY ( y ) f ( x, y )dx

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Independent random variables

Two random variables X and Y are independent if

and only if:

p ( x, y ) p X ( x) pY ( y )
f ( x, y ) f X ( x) fY ( y ),
for all values x and y.

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Conditional distributions
Discrete variables

p ( x, y )
p( x | y ) P( X x | Y y )
p( y )

Continuous variables

f ( x, y )
f ( x | y)
f ( y)

If X and Y are independent:

p ( x | y ) p ( x)
f ( x | y ) f ( x)
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Expectation of a random variable

EX X xp( x)
x

EX X xf ( x)dx
Properties:
(i) E

X i i E X i

i 1,..., n

(ii) If X i , i 1,..., n are independent then:

E X i EX i
i

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Moment of order k

EX x p ( x)
k

EX x f ( x)dx
k

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Variance
Given X with

EX

VX E ( X )
2
X

X VX ( E ( X ) )

2 1/ 2

standard deviation

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Variance
Properties:
(i)

V (aX b) a V ( X )
2

(ii) If X i are independent then

V ( ai X i ) ai V ( X i )
2

(iii)

VX EX (EX )

(iv)

VX 0

VX 0 P ( X a) 1
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Covariance
X and Y random variables;

Cov ( X , Y ) E ( X EX )(Y EY )
Properties
(i) If X, Y are independent then
(ii)

cov( X , Y ) 0

Cov ( X , Y ) EXY EXEY

(iii) V(X + Y) = V(X) + V(Y) + 2cov(X,Y)

V(X - Y) = V(X) + V(Y) - 2cov(X,Y)
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Correlation
X and Y random variables;

Cov ( X , Y )
( X ,Y )
VX VY

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Correlation
Properties
(i) 1 ( X , Y ) 1
(ii) If X and Y are independent then ( X , Y ) 0
(iii)

( X , Y ) 1 a 0 : Y aX b
( X , Y ) 1 a 0 : Y aX b

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Expectation of transformed variables

Y r ( X );
Er ( X ) r ( x) p X ( x)
x

Er ( X ) r ( x) f X ( x)dx

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Sample mean and sample variance

Sample mean

1
EX X X i
n i
Sample variance

1
2
V (X ) S
(Xi X )

n 1 i
2

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Sample mean and sample variance

Properties
X random variable; EX , VX ;
X 1 ,..., X n i. i. d. sample,
2

Then:

EX
2
(ii) VX
n
(iii) ES 2 2
(i)

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Conditional expectation
X and Y are random variables; X | Y y.
Then:

E ( X | Y y ) x p( x | Y y )
x

E ( X | Y y ) x f ( x | y )dx
Properties:

EE ( X | Y ) EX

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