Chapter 3 - Discrete Random Variables

Chapter 3 Discrete Random Variables
Universit du Qubec INRS-EMT
Processos Estocsticos
Outline

The Notion of a Random Variable Discrete Random Variables and Probability Mass Function Expected Value and Moments of Discrete Random Variables Conditional Probability Mass Function Important Discrete Random Variables Generation of Discrete Random Variables
The Notion of a Random Variable

A random variable X is a function that assigns a real number, X(), to
each outcome in the sample space of a random experiment. element of a set.
A function is simply a rule for assigning a numerical value to each
The sample space S is the domain of the random variable, and the set
SX of all values taken on by X is the range of the random variable.
Examples:
The above example shows that a function of a random variable produces another random variable.
For random variables, the function or rule that assigns values to each
outcome is fixed and deterministic.
The randomness in the observed values is induced by the

underlying random experiment.
Discrete RVs and PMF

A discrete RV X is defined as a RV that assumes values from a
countable set, that is, SX = {x1, x2, x3,...}.
For finding the probabilities of events involving a discrete RV X, we only

need to obtain the probabilities for the events Ak = {: X() = xk}.
The probability mass function (pmf) of a discrete RV X is defined as
All events involving the RV X can be expressed as the union of the events Ak s.
Properties of the pmf
Remarks: The pmf of X gives us the probabilities for all the elementary events
from SX.
The probability of any subset of SX is obtained from the sum of the

corresponding elementary events.
Examples:
In general, the graph of the pmf of a discrete RV has vertical arrows of height pX (xk) at the values xk in SX.
We may view the total probability as one unit of mass and pX (x) as the amount of probability mass that is placed at each of the discrete points x1, x2,.
Relationship between relative frequencies and the pmf:
1000 repetitions of an experiment that generates a uniform random variable from the set {0,1,, 7}.
n = 1000; p=1/2
Expected Values and Moments

In some situations, we are interested in a few parameters that
summarize the information provided by the pmf.
The expected value or mean of a discrete RV is defined by
Note: The expected value E[X] is defined only if the above sum converges absolutely, that is
Examples:
Remarks: Suppose we perform n independent repetitions of the experiment

that generates X, and we record the observed values x(1), x(2),, x(n). Let Nk(n) be the number of times xk is observed, and let fk(n) = Nk(n)/n be the corresponding relative frequency. The arithmetic average, or sample mean, of the observations is
As n becomes large
Examples:
Expected Values of Functions of a RV
Let X be a discrete RV, and let Z = g(X). Since X is discrete, Z = g(X) will
assume a countable set of values of the form g(xk), where xk SX.
Examples:
Properties:
Variance of a RV
The expected value E[X], by itself, provide us with limited information

about X.
Let the deviation of the RV X about its mean be X - E[X], which can take
on positive and negative values. Since we are interested in the magnitude of the variations only, it is convenient to work with the square of the deviation, which is always positive, D(X) = (X - E[X])2.
The variance of the RV X is defined by
The standard deviation of the RV X is defined by An alternative expression for the variance can be obtained as follows
E[X2] is called the second moment of X. The nth moment of X is defined as E[Xn].
Properties:
Examples:
Conditional Probability Mass Function

In many situations we have partial information about a RV X or about
the outcome of its underlying random experiment.
The conditional pmf of X is defined by
Many random experiments have natural ways of partitioning the sample

space S into the union of disjoints events B1, B2,, Bn.
Conditional Expected Value
Let X be a discrete RV, and suppose that we know the event B has
occurred. The conditional expected value of X given B is defined by
The conditional variance of X given B is defined by
Let B1, B2,, Bn be the partition of S, and let pX(x|Bi) be the conditional pmf
of X given event Bi. E[X] can be calculated as
similarly,
Important Discrete RVs

Bernoulli Random Variable It is the value of the indicator function IA for some event A; X =1 if A
occurs and 0 otherwise.
Example: coin tossing
Binomial Random Variable It is the number of successes in n Bernoulli trials and hence the sum
of n independent, identically distributed Bernoulli RVs.
Arises in applications where there are two types of objects, and we

are interested in the number of type 1 objects in a randomly selected batch of size n.
Geometric Random Variable First Version It is the number of failures before the first success in a sequence of
independent Bernoulli trials
It is the only discrete RV with the memoryless property. Applications: number of trials (or time) that elapses between the
occurrence of events in a sequence of independent experiments.
Geometric Random Variable Second Version It is the number of trials until the first success in a sequence of
independent Bernoulli trials.
Application: number of costumers awaiting service in a queueing

system
Poisson Random Variable It is the number of events that occur in one time unit when the time
between events is exponential distributed with mean 1/. defects in a semiconductor chip.
Arises in counts of demands for telephone connections, in counts of
< 1: k = 0 > 1: [] > 1 and integer: k = and k = -1
One of the applications of the Poisson probabilities is to approximate

the binomial probabilities in the case where p is small and n is very large, that is, where the event A of interest is very rare but the number of Bernoulli trials is very large.
If = np is fixed, then as n becomes large:
The Poisson pmf can be used to approximate the binomial pmf for large n and small p, using = np.
Uniform Random Variable Occurs whenever outcomes are equally likely. It plays a key role in
the generation of random variables.

Chapter 3 - Discrete Random Variables

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Chapter 3 - Discrete Random Variables

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Chapter 3 Discrete Random Variables

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

The Notion of a Random Variable

A function is simply a rule for assigning a numerical value to each

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

The randomness in the observed values is induced by the

Universit du Qubec INRS-EMT

Discrete RVs and PMF

For finding the probabilities of events involving a discrete RV X, we only

The probability mass function (pmf) of a discrete RV X is defined as

Properties of the pmf

The probability of any subset of SX is obtained from the sum of the

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Relationship between relative frequencies and the pmf:

Universit du Qubec INRS-EMT

Expected Values and Moments

Universit du Qubec INRS-EMT

The expected value or mean of a discrete RV is defined by

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Remarks: Suppose we perform n independent repetitions of the experiment

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Expected Values of Functions of a RV

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

The expected value E[X], by itself, provide us with limited information

The variance of the RV X is defined by

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Conditional Probability Mass Function

The conditional pmf of X is defined by

Many random experiments have natural ways of partitioning the sample

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Conditional Expected Value

The conditional variance of X given B is defined by

Universit du Qubec INRS-EMT

Important Discrete RVs

Example: coin tossing

Universit du Qubec INRS-EMT

Arises in applications where there are two types of objects, and we

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Application: number of costumers awaiting service in a queueing

Universit du Qubec INRS-EMT

Arises in counts of demands for telephone connections, in counts of

Universit du Qubec INRS-EMT

< 1: k = 0 > 1: [] > 1 and integer: k = and k = -1

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

Universit du Qubec INRS-EMT

One of the applications of the Poisson probabilities is to approximate