Probability and Statistics

B Madhav Reddy

madhav.b@srmap.edu.in

B Madhav Reddy Probability and Statistics 1 / 17

Definition
For a random variable X , the function F defined by

F (x) = P {X ≤ x} , −∞ < x < ∞

is called the cumulative distribution function or, more simply, the

distribution function of X .

Definition
A random variable that takes only countable number of values is said to be
a discrete random variable.

Definition
For a discrete random variable X , we define the probability mass
function (p.m.f), p(a), of X by

p(a) = P {X = a}

B Madhav Reddy Probability and Statistics 2 / 17

Some properties of p.m.f

Note that, as a function, p ∶ R → [0, 1]

For a given b ∈ R, if the random variable does not take the value b,
then p(b) = P {X = b} = 0
Thus, if X can take one of the values x1 , x2 , . . . , then

p(xi ) ≥ 0 for i = 1, 2, . . .
p(x) = 0 for all other values of x

Since X must take one of the values xi , we have

∞
∑ p(xi ) = 1
i =1

B Madhav Reddy Probability and Statistics 3 / 17

 We often present p.m.f in a graphical format by plotting p(xi ) on the
y -axis against xi on the x-axis

Example: Consider the experiment of rolling a pair of dice and the

random variable X be the sum of the dice
We have the following

x 2 3 4 5 6 7 8 9 10 11 12
1 2 3 4 5 6 5 4 3 2 1
p(x) 36 36 36 36 36 36 36 36 36 36 36

B Madhav Reddy Probability and Statistics 4 / 17

 x 2 3 4 5 6 7 8 9 10 11 12
1 2 3 4 5 6 5 4 3 2 1
p(x) 36 36 36 36 36 36 36 36 36 36 36

B Madhav Reddy Probability and Statistics 5 / 17

Problem: Five men and five women are ranked according to their scores
on an examination. Assume that no two scores are alike and all 10!
possible ranking are equally likely. Let X denote the highest ranking
achieved by a woman.
Find P{X = i } for i = 1, 2, . . . , 10.
Solution: First of all, note that the lowest possible position is 6, which
means that all five women score worse than the five men.
So P{X = i } = 0 for i = 7, 8, 9, 10
Now let’s find how many different ways there are to arrange the 10 people
such that the women all scored lower than the men.
There are 5! ways to arrange the women and 5! ways to arrange the men,
so P{X = 6} = 5!⋅5!
10!

B Madhav Reddy Probability and Statistics 6 / 17

Now consider the top woman scoring 5th on the exam.

There are 5 possible positions for the lower scoring women, and we have 4
women that must be assigned to these ranks, which can be accomplished
in (54) different ways
Additionally, these 5 women can be arranged in 5! ways, and the men can
be arranged in 5! ways. Thus,

(54) ⋅ 5! ⋅ 5!
P{X = 5} =
10!

Similarly for P{X = 4}, there are 6 positions for the 4 remaining women.
The women can be arranged in 5! ways and the men can be arranged in 5!
ways.
(64) ⋅ 5! ⋅ 5!
P{X = 4} =
10!
B Madhav Reddy Probability and Statistics 7 / 17
By exactly same argument, we get

(74) ⋅ 5! ⋅ 5!
P{X = 3} =
10!

(84) ⋅ 5! ⋅ 5!
P{X = 2} =
10!
(94) ⋅ 5! ⋅ 5!
P{X = 1} =
10!

B Madhav Reddy Probability and Statistics 8 / 17

Problem: The p.m.f of a random variable X is given by p(i ) = cλi
i! ,
i = 0, 1, 2, . . ., where λ is some positive number.
Find the value of c and calculate (a) P{X = 0} (b) P{X > 2}.
∞
Solution: We have ∑ p(i ) = 1
i =1
∞
λi
Ô⇒ c ∑ =1
i =1 i !
∞
xi
since e x = ∑ i! , we get
i =1
ce λ = 1 or c = e −λ
0
Thus, (a) P{X = 0} = e −λ λ0! = e −λ
(b) P{X > 2} = 1 − P{X ≤ 2} = 1 − P{X = 0} − P{X = 1} − P{X = 2}

λ2 e −λ
Ô⇒ P{X > 2} = 1 − e −λ − λe −λ −
2

B Madhav Reddy Probability and Statistics 9 / 17

 We have the cumulative distribution function F (a) = P{X ≤ a}

Ô⇒ F (a) = ∑ P{X = x} = ∑ p(x)

all x≤a all x≤a

This gives the relation between the p.m.f and cumulative distribution
function

Average winnings: Suppose in a game of chance, we have a chance of

winning xi rupees with the probability p(xi ), for i = 1, 2, . . . , n.
What will be our average winnings per game?
n
Answer: ∑ xi p(xi )
i =1
n
So ∑ xi p(xi ) is the expected value of the amount we win!
i =1

B Madhav Reddy Probability and Statistics 10 / 17

Definition
If X is a discrete random variable having a p.m.f p(x), then the
expectation, or the expected value, of X , denoted by E [X ], is defined
by
E [X ] = ∑ xp(x)
x∶p(x)>0

Problem: Find E [X ], where X is the outcome when we roll a fair die

1
Solution: We have p(1) = p(2) = p(3) = p(4) = p(5) = p(6) = 6

1 1 1 1 1 1 7
Thus, E [X ] = 1 ( ) + 2 ( ) + 3 ( ) + 4 ( ) + 5 ( ) + 6 ( ) =
6 6 6 6 6 6 2

B Madhav Reddy Probability and Statistics 11 / 17

 Suppose we are given a discrete random variable X along with its
p.m.f
How do we compute expected value of some function of X , say,
g (X )?
Since g (X ) itself is a discrete random variable, it has a p.m.f, which
can be determined from the p.m.f of X
Once this is done, we can compute E [g (X )] by the definition we gave

Example: Let X denote a random variable that takes on any of the values
−1, 0, and 1 with respective probabilities

P{X = −1} = 0.2, P{X = 0} = 0.5, P{X = 1} = 0.3

Compute E [X 2 ]

B Madhav Reddy Probability and Statistics 12 / 17

Example: Let X denote a random variable that takes on any of the values
−1, 0, and 1 with respective probabilities

P{X = −1} = 0.2, P{X = 0} = 0.5, P{X = 1} = 0.3

Compute E [X 2 ]
Solution: Let Y = X 2
Then, Y can take on values 0 and 1 only
Further, Y = 1 when X = −1 or X = 1
Ô⇒ P{Y = 1} = P{X = −1} + P{X = 1} = 0.5
Also, P{Y = 0} = P{X = 0} = 0.5
Thus, E [X 2 ] = E [Y ] = 1 × (0.5) + 0 × (0.5) = 0.5

☀ Observe that, 0.5 = E [X 2 ] ≠ (E [X ])2 = 0.01

Thus, in general, E [g (X )] ≠ g (E [X ])!

B Madhav Reddy Probability and Statistics 13 / 17

Fact 7. If X is a discrete random variable that takes on one of the values
xi , i ≥ 1, with respective probabilities p(xi ), then, for any real-valued
function g ,
E [g (X )] = ∑ g (xi )p(xi )
i

Example: Let X denote a random variable that takes on any of the values
−1, 0, and 1 with respective probabilities

P{X = −1} = 0.2, P{X = 0} = 0.5, P{X = 1} = 0.3

Compute E [X 2 ]
Solution: E [X 2 ] = (−1)2 (0.2) + 02 (0.5) + 12 (0.3) = 0.5

B Madhav Reddy Probability and Statistics 14 / 17

Fact 8. If a and b are constants, then

E [aX + b] = aE [X ] + b

Proof.
E [aX + b] = ∑ (ax + b)p(x)
x∶p(x)>0

=a ∑ xp(x) + b ∑ p(x)
x∶p(x)>0 x∶p(x)>0

= aE [X ] + b

B Madhav Reddy Probability and Statistics 15 / 17

The probability concept of expectation is analogous to the physical
concept of the center of gravity of a distribution of mass
Consider a discrete random variable X having probability mass
function p(xi ), i = 1, 2, . . .
Imagine a weightless rod in which weights with mass p(xi ) are
located at the points xi , i = 1, 2, . . .
The point at which the rod would be in balance is known as the
center of gravity
It turns out that center of gravity is given by E [X ]

B Madhav Reddy Probability and Statistics 16 / 17

Definition
Given a random variable X , its expected value, E [X ], is also referred to as
the mean or the first moment of X .
The quantity E [X n ], n ≥ 1, is called the nth moment of X

B Madhav Reddy Probability and Statistics 17 / 17