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Week 6 - Random Variables, CDF, PDF

The document covers concepts related to Random Variables, Cumulative Distribution Functions (CDF), and Probability Density Functions (PDF) in the context of probability and statistics. It explains the definitions, properties, and relationships between these concepts, including how they apply to discrete and continuous random variables. Additionally, it introduces conditional CDF and PDF, providing a foundational understanding for further study in the field.

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20 views16 pages

Week 6 - Random Variables, CDF, PDF

The document covers concepts related to Random Variables, Cumulative Distribution Functions (CDF), and Probability Density Functions (PDF) in the context of probability and statistics. It explains the definitions, properties, and relationships between these concepts, including how they apply to discrete and continuous random variables. Additionally, it introduces conditional CDF and PDF, providing a foundational understanding for further study in the field.

Uploaded by

ummarrizwan675
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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MATH-361

Probability and Statistics

Lecture 9

Random Variables, CDF, PDF

A/P Kamran Aziz Bhatti | Assistant Professor | Dept. of Electrical Engg. | NUST College of Electrical & Mechanical Engineering | Pakistan
Random Variables
Random Variable

3
Random Variables

• Numerical Attribute of the outcome


• A measurement assigns a numerical value to the outcome of
the random experiment

• Probabilities of the numerical values


• A Random Variable (RV) X is a function that assigns a real
number 𝑿 𝝃 to each outcome 𝝃 in the SS of a random
experiment

• Similar to other functions by concept

4
Random Variable

A and B are equivalent events

5
Random Variables

• Mapping of S and SX
• Three time Coin Toss Example
• Randomness lies in the observed values (argument of X), the
rule is fixed and deterministic

• Mapping of events from observations to numbers


• P[X in B] = P[𝜉 in A], since X is in B only when 𝜉 is in A, where
A = [𝜉; X(𝜉) in B]
• A and B are equivalent events

6
Cumulative Distribution
Function (CDF)
Cumulative Distribution Function

• Events {X = x}, {X in I}, {X ≤ x}


• cdf is defined as the probability that the random variable X
takes on a value in the set −∞, 𝑥 .
𝐹𝑋 𝑥 = 𝑃 𝑋 ≤ 𝑥 for −∞ < 𝑥 < ∞
• Probability of semi-infinite intervals of the real line
• Properties of cdf
• 0 ≤ 𝐹𝑋 𝑥 ≤ 1

• lim 𝐹𝑋(𝑥) = 1
𝑥 →∞

8
Cumulative Distribution Function

• lim 𝐹𝑋(𝑥) = 0
𝑥 →−∞

• 𝐹𝑋(𝑥) is a non-decreasing function of x


• 𝐹𝑋(𝑥) is continuous from the right
• 𝑃 𝑎 < 𝑋 ≤ 𝑏 = 𝐹𝑋 𝑏 − 𝐹𝑋 𝑎
• 𝑃 𝑋 = 𝑏 = 𝐹𝑋 𝑏 − 𝐹𝑋 𝑏− (Magnitude of cdf jump). If cdf is
continuous at a point b, 𝑃 𝑋 = 𝑏 will be zero
• 𝑃 𝑋 > 𝑥 = 1 − 𝐹𝑋(𝑥)

9
Cumulative Distribution Function

• Discrete Random Variable


• Right continuous and stair case function
• Probability Mass Function (pmf)
• cdf is written as sum of the weighted unit step
functions

• Continuous Random Variable


• Continuous everywhere

• Mixed Random Variable

10
Probability Density
Function (PDF)
Probability Density Function

• Useful alternative to specify the information


contained in cdf

• Represents density of probability at the point x


𝐹𝑋 𝑥 + ℎ − 𝐹𝑋 (𝑥)
𝑃 𝑥 < 𝑋 ≤ 𝑥+ℎ = ℎ ≅ 𝑓𝑋 𝑥 ℎ
ℎ
• Formally
𝑑𝐹𝑋(𝑥)
𝑓𝑋 𝑥 =
𝑑𝑥
• Existence of pdf???
12
Probability Density Function

• 𝑓𝑋(𝑥) ≥ 0

• 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = ∫𝑏 𝑓𝑋 𝑥 𝑑𝑥
𝑥
• 𝐹𝑋 𝑥 = ∫−∞ 𝑓𝑋 𝑡 𝑑𝑡
• The pdf completely specifies the behavior of
continuous random variables

∞
•1= ∫−∞ 𝑓𝑋 𝑡 𝑑𝑡
• Normalization property

13
Probability Density Function

14
Probability Density Function

• The pdf definition cannot be applied to discrete RVs


• The pdf of a discrete RV is

𝑓𝑋 𝑥 = ∑ 𝑝𝑋(𝑥𝑘)𝛿(𝑥 − 𝑥𝑘)
𝑘
• The relation between step function and delta
function is used

• Example: Coin toss

15
Conditional cdf and pdf

• Conditional cdf:

𝑃 {𝑋 ≤ 𝑥} ß 𝐴
𝐹𝑋 𝑥|𝐴 =
𝑃[𝐴]
• Condition pdf:
𝑑𝐹𝑋 𝑥|𝐴
𝑓𝑋 𝑥|𝐴 =
𝑑𝑥

16

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