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LECTURE 5 Readings: Sections 2.1-2.3, start 2.

.4 Lecture outline Random variables Probability mass function (PMF) Expectation Variance

Random variables An assignment of a value (number) to every possible outcome Mathematically: A function from the sample space to the real numbers discrete or continuous values Can have several random variables dened on the same sample space Notation: random variable X numerical value x

Probability mass function (PMF) (probability law, probability distribution of X ) Notation: pX (x) = P(X = x) = P({ s.t. X ( ) = x}) pX (x) 0
x pX (x) = 1

How to compute a PMF pX (x) collect all possible outcomes for which X is equal to x add their probabilities repeat for all x Example: Two independent rools of a fair tetrahedral die F : outcome of rst throw S : outcome of second throw X = min(F, S )

Example: X =number of coin tosses until rst head assume independent tosses, P(H ) = p > 0 pX (k) = P(X = k) = P(T T T H ) = (1 p)k1p, geometric PMF pX (2) = k = 1, 2, . . .

4 3 S = Second roll 2 1 1 2 3 4

F = First roll

Binomial PMF X : number of heads in n independent coin tosses P(H ) = p Let n = 4 pX (2) = P(HHT T ) + P(HT HT ) + P(HT T H ) +P(T HHT ) + P(T HT H ) + P(T T HH ) = 6p2(1 p)2 = 4 2 p (1 p)2 2 Denition:

Expectation

E[X ] =
x

xpX (x)

Interpretations: Center of gravity of PMF Average in large number of repetitions of the experiment (to be substantiated later in this course) Example: Uniform on 0, 1, . . . , n
pX(x )
1/(n+1)

In general: n k pX (k) = p (1p)nk , k

k = 0, 1, . . . , n
0 1

...
n- 1 n

E[X ] = 0

1 1 1 +1 + +n = n+1 n+1 n+1

Properties of expectations Let X be a r.v. and let Y = g (X ) Hard: E[Y ] =


y

Variance Recall:

E[g (X )] =
x

g (x)pX (x)
2 x x pX (x)

ypY (y ) g (x)pX (x)

Easy: E[Y ] =
x

Second moment: E[X 2] = Variance var(X ) = E (X E[X ])2 =


x

Caution: In general, E[g (X )] = g (E[X ])

(x E[X ])2pX (x)

Prop erties: E[] = E[X ] =

If , are constants, then: Properties: var(X ) 0

= E[X 2] (E[X ])2

E[X + ] =

var(X + ) = 2var(X )

MIT OpenCourseWare http://ocw.mit.edu

6.041 / 6.431 Probabilistic Systems Analysis and Applied Probability


Fall 2010

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