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6/29/2014

QuantitativeAnalysisforManagement I

RandomVariable

https://sites.google.com/a/iiml.ac.in/ggarg/home/teaching/qam1

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

AReviewofProbabilityTheory
RandomExperiment isanexperimentwhichresultsin
anyoneofthepossibleoutcomes,thoughrepeated
underidenticalconditions.Actualresultcannotbe
predicted.
SampleSpace isanexhaustivelistofallthepossible
outcomesofarandomexperiment.
Theoutcomesfavorabletoaneventinatrialarecalled
asfavorableoutcomes.
Therepetitionsoftheexperimentareknownastrials.

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

EquallyLikelyEvents
Ifthereisnoreasontoexpectoneinpreferencetotheothers.

ExhaustiveEvents
Asetofeventsiscalledcollectivelyexhaustiveifatleastone
outofthemmustoccur.
MutuallyExclusiveorDisjointEvents
Eventsarecalledmutuallyexclusiveifoccurrenceofoneof
themimpliesnonoccurrenceoftheremainingevents.
ComplementaryEvent
ThecomplimentaryeventofsomeeventA istheeventA
doesnotoccur,denotedbyAc orA.
A andAaremutuallyexclusiveaswellasexhaustive.
IndependentEvents
Occurrenceofaneventdoesnotaffecttheoccurrenceofthe
otherevent.

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

ClassicalDefinitionofProbability

S isasamplespace
A issomeeventinS. (A S )
nA isthenumberofoccurrencesofA
n isthetotalnumberofoutcomes.
TheProbabilityofeventA is

P( A)

nA
n

Limitations:
outcomesshouldbeequallylikely
totalno.ofoutcomesshouldbefinite.
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

AxiomaticDefinitionofProbability

S isasamplespace
A issomeeventinS. (A S )
AnumberP(A) isassignedtotheeventA
P(A) iscalledtheprobabilityoftheeventA ,ifit
satisfiesfollowing3axioms:

(i) P ( A) 0
(ii) P ( S ) 1
(iii) P ( A B ) P ( A) P ( B )
for any event B , provided A B
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

AdditionLawofProbability
P(AUB) = P(A) + P(B) P(A B)
P(AUB) = P(A) + P(B), providedAB =
AB = meansA andB aremutuallyexclusive
Conditionalprobability
Probability ofA giventhatB hasalreadyoccurredis
P(A|B) = P(AB)/ P(B)
JointProbability ofA andB is
P(AB) = P(A|B) . P(B) or
P(AB) = P(B|A) . P(A)
WhenA andB areindependentevents,then
P(A|B)=P(A)
P(AB)=P(A).P(B)

ImportantProbabilityRules
IfS isasamplespace,then
P(S) = 1
P() = 0
IfA issomeeventinS,then
A Ac = , so P(A Ac) = 0
AUAc = S so P(AUAc) = 1
P(Ac) = 1 P(A)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
Eachyear,ratingsarecompliedconcerningtheperformanceof
newcarsduringfirst90daysofuse.
Carsarecategorizedaccordingto
ifthecarneedswarrantyrelatedrepair
IfthecarismanufacturedinUSA
Basedonthedatacollected,itwasfoundthat
P(Carneedswarrantyrepair)=0.04
P(CarmanufacturedinUSA)=0.60
P(needswarrantyrepairandmanufacturedinUSA)=0.025
Makecontingencytable
Obtaintheprobabilitythat
AnewcarneedswarrantyrepairormanufacturedinUSA
AnewcarneedswarrantyrepairandnotmanufacturedinUSA

Example:
Inalotofusedcars
70%haveairconditioning(AC)
40%haveaCDplayer(CD)
20%ofthecarshaveboth.
WhatistheprobabilitythatacarhasaCDplayer,given
thatithasAC?
WewanttofindP(CD|AC).

CD

NoCD

Total

AC

0.2

0.5

0.7

NoAC

0.2

0.1

0.3

Total

0.4

0.6

1.0

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

0 .2
0 .4
0 .2
0 .7

Given AC or
no AC:

All
Cars

0 .5
0 .7
0 .2
0 .3

P(AC and CD) = 0.2

P(AC and CD/) = 0.5

Given CD or
no CD:

All
Cars

0 .2
0 .4
0 .5
0 .6

P(CD and AC) = 0.2

P(CD and AC) = 0.2

P(CD and AC) = 0.5

P(AC and CD) = 0.2


P(CD and AC) = 0.1

0 .1
0 .3

P(AC and

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

CD/)

= 0.1

0 .1
0 .6

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

IdeaofRandomVariable
Considerarandomexperimentoftossingafair
cointwice.
Supposeapersonplaysagamewhere
hewinsRs.100ifhegetsatleastoneheadin
twotosses,and
helosesRs.200otherwise.
Ifthepersonkeepsplayingthegameforalong
time,ishegoingtogainsomemoneyorloose?
Whatisthelongtermgainorlosstotheperson.

Theprobabilityofgettingatleastoneheadin
twotossesis
P({HH, HT ,TH})=3/4.
Sohehas75%chanceofwinningRs.100.
But,atthesametime,hecouldloseRs.200with
25%chance.
Nowhowtoincorporatethisideaofhisgain(or
loss)alongwiththeprobability.
Inmanysituations,Probabilityfailstoprovide
thequantitativemeasurementofthe
uncertainty.

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Whatislackinginpreviousexample,issome
quantitativemeasurementofhisgain.
WedefineX ashisgainorprofitinthesame
game,then
X takesthevalue100whenhewins.
X takesthevalue200whenhelooses.
Noweachoftheseoutcomesisapartofthe
samplespace.
Soeachofthemhassomespecificprobabilityto
happen.

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Wewriteitmoresystematicallyasfollows

Usingthecorrespondingprobabilities,wewrite
thesameideaas

Or
ThisvariableX iscalledrandomvariable.

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

MathematicalDefinition
Variablechangesitsvaluesdependingon
someotherfactor(unlikeconstant).
RandomVariablechangesitsvaluedepending
onwhatwegetasanoutcomeofarandom
experiment.
Thus,eachvalueofarandomvariableis
associatedwithaprobability.
Inotherwords,randomvariabletakesavalue
withsomeprobability.

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Arandomvariableisafunctionthatassignsanumeric
valuetotheoutcomesofarandomexperiment
i.e.,
X : S R,
whereS isthesamplespace,R istherealline(-, ).

Example:
Considertherandomexperimentoftossingtwocoins
Samplespace:
S = {HH, HT, TH, TT }
X isnumberofHeadsappeared
X isarandomvariable
X cantakeanyvalueoutof0,1and2.
P(X =0) = P{TT} = 1/4,
P(X =1) = P{HT ,TH} = 2/4,
P(X =2) = P{HH} = 1/4.
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

Example:
Considertherandomexperimentoftossingafairdie.
Samplespace:
S = {1, 2, 3, 4, 5, 6}
P(getting1) = 1/6 P(getting2) = 1/6
P(getting3) = 1/6 P(getting4) = 1/6
P(getting5) = 1/6 P(getting6) = 1/6
LetX bethevalueontheupperfaceofthedie
X couldbe1, 2, 3, 4, 5 or6
Theeventofgetting1 issameassayingX=1
So,
P(getting 1) = P(X=1) = 1/6
Similarly,
P(X=2) =1/6,

P(X=3) = 1/6,
P(X=4) = 1/6,

P(X=5) = 1/6,
P(X=6) = 1/6
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Considerthesameexampleagain.
S = {HHH, HHT, HTH, THH, HTT, THT, TTH, TTT}
X: no.ofheadsappearinginthreetosses
X belongsto{0, 1, 2, 3}
EventofgettingatleastoneheadissameasX 1
P(X 1) = P(HHH, HHT, HTH, THH, HTT, THT, TTH)
= 7/8
Similarly,wecanwrite
P(X 1) = P(HTT, THT, TTH, TTT) = 4/8
P(X < 2) = P(HTT, THT, TTH, TTT) = 4/8
P(X 2) = P(HHT, HTH, THH, HTT, THT, TTH, TTT)= 7/8
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
Metrotrainsruneveryhalfhourbetween7:00AMto
7:00PMonacertainline.
Amanentersthestationatarandomtimeduringthis
period.
LetX betherandomvariablewhichdenotesthewaiting
timeinminutes.
X cantakeanyvaluebetween0 and30.
Samplespace: S = [0,30].
Theeventthathehastowaitforatmost10minutes
issameasX 10
P(X 10) = (10 0)/ (30 0) = 1/3
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
Considertherandomexperimentoftossingafaircoin
thrice.
Samplespace
S={HHH, HHT, HTH, THH, HTT, THT, TTH, TTT}
X: no.ofheadsappearinginthreetosses
X isarandomvariable.
X couldbe0, 1, 2, or3.
P(X = 0) = P(TTT) = 1/8
P(X=1) = P(HTT, THT, TTH) = 3/8
P(X=2) = P(HHT, HTH, THH) = 3/8
P(X=3) = P(HHH) = 1/8
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
Considertherandomexperimentofdrawingtwocardsat
randomfromawellshuffledpackof52cards.
Thesamplespace:
S = { CC, CD, CH, CS,
DC, DD, DH, DS,
HC, HD, HH, HS,
SC, SD, SH, SS
}
X: numberofDiamondCardsselected
X isarandomvariable.
X 1 istheeventthatatmostonediamondisselected
P(X 1) = 15/16
P(X = a) istheprobabilitythatX takesonthevaluea
P(X a) istheprobabilitythatX takesonavaluethatisless
thanorequaltoa
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

TypesofRandomVariables
RandomVariablesareoftwotypes:
DiscreteRandomVariable
ContinuousRandomVariable

DiscreteRandomVariable takesonlyacountable(finite
orcountablyinfinite)numberofvalues.
no.ofaccountsopened,
no.ofcarssold,
Fridaynightattendanceatacinema,
no.ofdefectivebulbsinabox,etc.
Discreterandomvariablesusuallycounttheitems.is
RangesetofX isthecollectionofallpossiblevaluesofX
Rangesetofadiscreterandomvariableiscountable.
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

ContinuousRandomVariable takesonanyvalueswithin
aninterval.
weightoffertilizerpackedinabag,
amountofsugarinanorange,
timerequiredtorunamile,
priceofastock,etc.
Continuousrandomvariableisusuallyameasurement.
Itcantakeanuncountablyinfinitenumberofvalues.
Rangesetofacontinuousrandomvariableisan
interval.
Itcanbeoftypes(-, ), (-, 0), (0, ) or (a, b).

MoreExamples
RandomVariable

Values

Type

Flipacointhreetimes;
X = thetotalnumberofheads.

{0,1,2,3}

RangeSetisFinite
DiscreteRandomVariable

Selectamutualfund;
X = thenumberofcompaniesinthe
fundportfolio.
Measurethelengthofanobject;
X = itslengthincentimeters.

{2,3,4,...}

RangeSetisCountably Infinite
DiscreteRandomVariable

Anypositive
number

RangeSetisUncountable
Continuous RandomVariable

{1,2,3,4,...}

RangeSetisCountably Infinite
DiscreteRandomVariable

{0,1,2,3,4,...,
100}

RangeSetisFinite
DiscreteRandomVariable

{$0,$1,$2,
$3,}

RangeSetisCountably Infinite
DiscreteRandomVariable

Anypositive
number

RangeSetisUncountable
Continuous RandomVariable

Throwtwodiceoverandoveruntil
yourolladoublesix;
X = thenumberofthrows.
Takeatruefalsetestwith100
questions;X = no.ofquestions
answeredcorrectly.
Invest$10,000instocks;
X = thevalue,tothenearest$1,of
yourinvestmentafteranyear.

Selectagroupof50peopleat
random;
X = exactaverageheight(inm)ofthe
group.

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

ProbabilityDistributionofaDiscreteRandom
Variable
AlsocalledasProbabilityMassFunction(pmf).
Itisamutuallyexclusivelistingofallpossiblevaluesof
thediscreterandomvariablealongwithcorresponding
probabilities.

Example:
Xisthenumberofheadsappearedintwocoinstossing
experiment.
Xisadiscreterandomvariablehavingtheprobabilitydistribution
probability mass function of X is

1 / 4, if x 0

p ( x) 2 / 4, if x 1
1 / 4, if x 2

All possible values of random variable X


Corresponding probabilities

Probabilities

0.6

p1,p2,p3,.arenonnegative.
Togethertheysumupto1.

0.5
0.4
0.3
0.2
0.1
0

x=0

x=1

x=2

QAM - I by Prof. Gaurav Garg (IIM Lucknow)


QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
Inthrowingadie,Xisthevaluesappeared
Xisadiscreterandomvariablehavingtheprobabilitydistribution

probability mass function of X is


p ( x) 1 / 6,
if x 1,2,3,4,5,6.

RecallthefirstexamplewhereX istherandomvariable
denotingthegainandisgivenby

Intabularformat,theprobabilitydistributionofX is
givenby

Probabilities

0.2
0.15

ProbabilitymassfunctionofX iswrittenas

0.1
0.05
0

x=1

x=2

x=3

x=4

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

x=5

x=6

3 / 4 if x 100
p( x)
1 / 4 if x 200
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

Sometimes,thepmf canbeexpressedasa
mathematicalfunction.
Example:
Xdenotesthenumberoftossesneededtoget
thefirsttail.
Xisadiscreterandomvariable.

SotherandomvariableXhastheprobabilitydistribution
probability mass function of X is
1/ 2
1 / 22

p( x)
3
1 / 2

if x 1
if x 2
if x 3

probabilitymassfunctionp(x) canalsobewrittenas

Also,

1
x
2
3
1 1 1
1
p ( x ) 2 1

1
2 2 2
x 1
x 1 2
1
2
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
Considerthepreviousexampleagain.
Thediscreterandomvariablehasthepmf

Theprobabilityofgettingatailinlessthan3tossesis
givenby
P(X<3)=P(X=1)+P(X=2)
=p(1)+p(2)
=(1/2)+(1/2)2
=1/2+1/4
=3/4
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

ExpectationofaDiscreteRandomVariable
X isadiscreterandomvariablehavingthe pmf p(x)
ExpectationorExpectedvalueormeanofXisgivenby

RecallthefirstexamplewhereX istherandomvariable
denotingthegain
pmfofX is
3 / 4 if x 100
p( x)
1 / 4 if x 200

Expectedgainofthepersonis
E(X) =(100)(3/4)+(200)(1/4)=25Rupees
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
Supposeanindividualpurchasestwoelectronic
components
Eachofwhichmayeitherbedefectiveoracceptable.
Samplespace:S = {DD, DA, AD, AA}
Giventhat
P(DD) = 0.09,
P(DA) = 0.21,

P(AD) = 0.21,
P(AA) = 0.49.
X: numberofacceptablecomponents.
ObtaintheprobabilitydistributionofX.
Whatistheprobabilityofgettingatleastone
acceptablecomponents?
Ans:0.91
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Expectationofarandomvariablecanbeinterpreted
assomesortofaverage ofallthevaluesthatthe
randomvariabletakes.
So,expectedvalueofarandomvariableisthecenter
ofitsdistribution.
Theconceptofexpectationisanalogoustothe
physicalconceptofthecenterofgravityofa
distributionofmass.
Ifa andb areconstants;andX andY arerandom
variables,thenwehave
E(a)=a,
E(aX)=aE(X),
E(aX+bY)=aE(X)+bE(Y).
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

Example
SupposeX isadiscreterandomvariablehavingfollowing
probabilitydistribution
x
p(x)

0.4

0.2

0.3

Example
Considertherandomexperimentoftossingafair
coin.
Whatistheexpectednumberoftossesneededtoget
thefirsttail.
Recalltheexamplediscussedearlier.
RandomvariableX isthenumberoftossesneededto
getthefirsttail.
pmf ofX isgivenas

FindE(X).

Ans:0.6

Example

Ashipmentof6televisionsetscontains2defectivesets.
Ahotelmakesarandompurchaseof3ofthesets.
IfX istheno.ofdefectivesetspurchasedbythehotel.
Howmanydefectivesetsareexpected?
Ans:1

WehavetofindE(X)
Ans:2

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

VarianceofaDiscreteRandomVariable
Theideaofcenterisnotenoughtosummarizea
probabilitydistribution.
Weneedsomeideaofvariabilityalso.
VarianceofarandomvariableX isdefinedas

Var ( X ) X2 E

X E ( X )
2

E X 2 E ( X )

Itistheexpectedsquareddeviationofpossible
valuesofX fromitsmean.

E ( X 2 ) x 2 p( x) and E ( X ) x p( x),
x

wherep(x) isthepmf ofX.


NotethatVarianceisalwaysnonnegative.
StandardDeviationofX=x =[Var (X)]
Ifa andb areconstants,X andY arerandomvariables,
thenwehave
Var(a)=0,
Var(aX)=a2Var(X),
Var(aX +bY)=a2Var(X)+b2Var(Y)+2ab XY

XYisthecovariancebetweenX andY.
(willbediscussedlater)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example
SupposeX isadiscreterandomvariablehavingfollowing
probabilitydistribution
x
p(x)

0.4

0.2

0.3

JointProbabilityDistributionoftwoDiscrete
RandomVariables
LetX andY betwodiscreterandomvariable
Jointprobabilitydistributionorjointprobabilitymass
functionofX andY is

FindVar(X).

XY b1

Ans:1.64

a1
a2
.
.
an

Example

Ashipmentof6televisionsetscontains2defectivesets.
Ahotelmakesarandompurchaseof3ofthesets.
IfX istheno.ofdefectivesetspurchasedbythehotel.
FindVar(X).
Ans:2/5
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Possible values of Y

b2

bm

Total

p11
p21

p12
p22

p1m
p2m

p1.
p2.

.
.
pn1

.
.
pn2

.
.
.
.
pnm

.
.
pn.

Marginal pmf of X

Total p.1

p.2

p.m

Marginal pmf of Y

Possible values of X

pij P( X a i and Y b j ), i 1,2,, n; j 1,2, , m.


QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

Example:
Afaircoinistossedonce.
LetX denotethenumberofheads.
Y denotethenumberoftails.
FindthejointprobabilitymassfunctionofX and
Y.
Y
Ans

Total

Total

1/2

1/2

1/8

2/8

1/8

4/8

1/2

1/2

1/8

2/8

1/8

4/8

1/2

Total 1/8

3/8

3/8

1/8

Total 1/2

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

CovariancebetweentwoDiscrete
RandomVariables
X andY aretwodiscreterandomvariables.
Covarianceisameasureofstrengthofrelationship
betweenX andY.
Itisgivenby

XY

E { X E ( X )}{Y E (Y )}
E ( XY ) E ( X ) E (Y )
n

Here,

E ( XY ) ai b j pij
i 1 j 1

E ( X ) a i p i ,
i 1

E (Y ) b j p j

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
Afaircoinistossedthreetimesindependently.
LetX denotetheno.ofheadsonthefirsttoss;
Y denotethetotalno.ofheads.
ObtaincovariancebetweenX andY.
Example:
Afaircoinistossedonce.
LetX denotethenumberofhead.
Y denotethenumberoftail.
ObtaincovariancebetweenX andY.

j 1

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

IndependenceoftwoDiscreteRandomVariables

Example:
Giventhefollowingprobabilitydistributionforthe
randomvariablesX andY

Example:
Afaircoinistossedthreetimesindependently.
X: no.ofheadsonthefirsttoss;
Y: totalno.ofheads.
Findthejointpmf ofX andY.
Ans

P(XiYi)
0.2
0.4

X
100
50

Y
50
30

0.3

200

20

0.1

300

20

Compute
E(X), E(Y), E(X+Y)
X ,Y , XY
Var (X+Y) = Var (X) + Var (Y) + 2 XY = ?
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

TwodiscreterandomvariablesX andY aresaid


tobeindependentofeachotherwhen
pij =(pi.)(p.j)for i=1,2,,nand j=1,2,,m.
WhenX andY areindependent,thencovariance
betweenthemiszero.
i.e.,XY = 0.
ThisimpliesthatwhenX andY areindependent,
E(XY)=E(X).E(Y)
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

ProbabilityDistributionofaContinuousRandom
Variable

X iscontinuousrandomvariable.
RangesetRx ofXisanintervalontherealline.
X cantakeinfinitenumberofvaluesandtheyare
alwaysuncountable.
Wecannotassignaprobabilitytoeachpossible
value.
pmf isdefinedonlyforpointsx1,x2,
Pointprobabilityp(x) becomesmeaninglessin
thiscase.

Theprobabilitydistributionofacontinuousrandom
variableisgivenbyprobabilitydensityfunction(pdf)
pdf isdefinedas

f ( x) lim h0
Provided

f ( x) 0, for all x and

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

f ( x)dx

f(x) dx 1.

RX

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

ConsideracontinuousrandomvariableX.
pdf of X isf(x) withrangesetRx
ProbabilitythatX takesthevaluesonaninterval
(a,b) or(a,b] or[a,b) or[a,b] isgivenby

1
h
h
P x X x
2
2
h

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
LetX isarandomvariablewithprobabilitydensity
functiongivenby
Showthatf(x) isavalidpdf.
FindP(X>2)andP(1<X<2).
Example:
LetX isarandomvariablewithpdf
Showthatf(x) isavalidpdf.
FindP(X>1/2)andP(0<X<1/2).

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

ExpectationofaContinuousRandomVariable

IfX isacontinuousrandomvariable.
TheprobabilitydensityfunctionofX isf(x).
TherangespaceofX isRX.
ThentheExpectationofX isgivenby

E( X )

xf ( x)dx

RX

Example:
IfX isacontinuousrandomvariablewithpdf

f(x) = a e-ax, a > 0, x > 0.


FindE(X).
Ans:1/a
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
IfX isacontinuousrandomvariablewithpdf
FindE(X).
Ans:3/4

Example:
IfX isacontinuousrandomvariablewithpdf
f(x)=k,0<X<2,
Findk
FindE(X)
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

6/29/2014

VarianceofaContinuousRandomVariable

X isacontinuousrandomvariable.

Var ( X ) X2 E X E ( X )

E ( X )

E X

where
E( X 2 )

f ( x) dx and

E( X )

RX

xf ( x)dx

RX

f(x)ispdf ofX,
RX istherangespaceofX.
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Example:
IfX isacontinuousrandomvariablewithpdf
FindVar(X).
Example:
IfX isacontinuousrandomvariablewithpdf
f(x)=1/2,0<X<2,
FindVar(X)
Example:
IfX isacontinuousrandomvariablewithpdf
f(x) = a e-ax, a > 0, x > 0.
FindVar(X).
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

Summary
RandomVariable
DiscreteRandomVariable
o Probabilitymassfunctionofadiscreterandomvariable
o Expectationofadiscreterandomvariable
o Varianceofadiscreterandomvariable
o Jointprobabilitymassfunction
o Covariancebetweentwovariables
o Independenceoftworandomvariables

ContinuousRandomVariable
o Probabilitydensityfunctionofacontinuousrandomvariable
o Expectationofacontinuousrandomvariable
o Varianceofacontinuousrandomvariable
QAM - I by Prof. Gaurav Garg (IIM Lucknow)

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