Random Variables and

Probability Distributions
• A random variable (stochastic variable) is a function
defined on a sample space of interest.
– This function is a rule which assigns a number to each
point of the sample space.
– A random variable is denoted by a capital letter such as
X or Y.
• Example 1. A coin is tossed three times and the sample
space S = {HHH, HHT, HTH, THH, HTT, THT, TTH,
TTT}. If X is the number of heads then X is a random
variable. Find the values of X.
 Random Variables can be
• discrete
– finite number of values
– countably infinite
number of values
• Example 1. The number
of Heads in three tosses of
a coin
• Example 2. The number
of defective silicon chips
in a lot
• nondiscrete
– noncountably infinite
number of values
• Example 1. The time to
failure for automobile tires
• Example 2. The weight of
a carton of milk
 Discrete probability distributions
• X is a discrete random variable and its possible values are
x1, x2, x3,… arranged in some order.
• We denote P(X = xk) = f(xk) k = 1, 2, …
• Function f is a probability function (probability
distribution) for X if P(X = x) = f(x).
• Note that for x = xk , f(xk ) = P(X = xk ) and for other
values of x, f(x) = 0.
• In general, f(x) is a probability function if 1) f(x) ≥ 0
and 2) ∑ f ( x ) = 1
x
• Example 1. X is the number of heads in three tosses of a
coin. Obtain the probability distribution for X and its
graph.
 Distribution functions for random variables

• Function F is a cumulative distribution function (briefly

distribution function) for a random variable X if
F ( x) = P( X ≤ x) , x ∈ R
• Note 1. F(x) is non-decreasing i.e. F ( x) ≤ F ( y ) if x≤ y
• Note 2. xlim F ( x) = 0 , lim F ( x) = 1
→ −∞ x →∞

• Note 3. F(x) is continuous from the right i.e.

lim F ( x + h) = F ( x) , for all x
h →0 +
 Distribution functions for discrete random
variables
• There is a connection between the distribution function F
for a discrete random variable X and its probability
function f : F ( x) = P( X ≤ x) = ∑ f (u )
u≤x

• If the values of X are x1 , x2 ,..., xn and x1 < x2 < ... < xn

then the distribution function is ⎧0 , − ∞ < x < x1
⎪ f (x ) , x ≤ x < x
⎪⎪ 1 1 2

F ( x) = ⎨ f ( x1 ) + f ( x2 ) , x2 ≤ x < x3
⎪...
⎪
⎪⎩ f ( x1 ) + ... + f ( xn ) , xn ≤ x < ∞

• Example 1. X is the number of heads in three tosses of a

fair coin. Find the distribution function for X and obtain its
graph.
 Continuous random variables

• A non-discrete random variable X is said to be absolutely

continuous (briefly continuous) if its distribution function
may be presented as x
F ( x) = P ( X ≤ x) = ∫ f (u )du
−∞
, x∈R
where the function f(x) has the properties
1) f ( x) ≥ 0
∞

2) ∫ f (u )du = 1
−∞

• The function f is called a probability function or probability density

function or density function or probability distribution for X
• Example 1. An individual is selected at random from a
large group of adults. We denote his height by X. Find the
difference between P(X = 1,7000…m) and
P(1,695 m < X < 1,705 m).
• Note x

1) P( X = x ) = ∫ f ( u)du = 0
x
2) P ( a < X < b ) = P ( X < b ) − P ( X ≤ a ) =
b a b

∫ f ( u)du − ∫ f ( u)du = ∫ f ( u)du

−∞ −∞ a
3) P ( a < X < b ) = P ( a ≤ X < b ) = P ( a ≤ X ≤ b ) = P ( a < X ≤ b )
• Example 2. a) Find the constant c such that the function
⎧c
⎪ , x ≥1
f (x) = ⎨ x2
⎪⎩0 , x < 1
is a density function of a random variable X, and
b) compute the value of a such that P( X > a ) = 3 .
1

• Example 3. Find the distribution function for the random

variable X of Example 2 and find P(2 < X < 3) using the
distribution
x
function.
• Note. d ∫ f ( u )du = f ( x ) if f is continuous for all x ≥ a
dx a
x
d d
∴
dx
F(x) =
dx ∫ f ( u )du =
−∞
f (x)
• Example 4. Find f(x) if ⎧0 , x < 0
⎪ 3
⎪x
F( x) = ⎨ , 0 ≤ x < 3
⎪ 27
⎪⎩1 , x ≥ 3

• Note. Random variables exist that are neither discrete nor

continuous. Let´s consider for example a random variable
X for which ⎧0 , x < 1
⎪⎪ x
F(x) = ⎨ , 1≤ x < 2
⎪2
⎪⎩1 , x ≥ 2

Find the density function f(x) for X. Determine P( X ≤1) .