Statistical Techniques B Notes

Discrete Random Variables and Probability Distributions

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A random variable is a variable that takes on numerical values realized by the outcomes in the
sample space generated by a random experiment.
A random variable is discrete if it can take on no more than a countable number of values.
A random variable is continuous if it can take any value in an interval.
The probability distribution function, P(x), of a discrete random variable X represents the
probability that X takes the value x, as a function of x.
The probability distribution function of a discrete random variable must satisfy the following two
properties:
1. 0 P(x) 1 for any value of x.
2. The individual probabilities sum to 1.
The cumulative probability distribution of a random variable X represents the probability that
X does not exceed a value, i.e. F(x 0 ) = P(X x 0 ).

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The properties of cumulative probability distributions for discrete random variables are quite similar
to that of the normal one.
The expected value of a discrete random variable X is defined as:
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E[X ] = = xP(x).
x

The variance of a discrete random variable is defined as:

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2 = E[(X )2 ] = E[X 2 ] 2 = (x )2 P(x).

x

Summary of properties for linear functions of a random variable:

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Y2 =Var(a + bX ) = b 2X2

Summary results for the mean and variance of special linear functions:
- If a random variable always takes the value a, it will have mean a and variance 0.
The number of sequences with x successes in n independent trials is:
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Y = E[a + bX ] = a + bX

C xn =

n!
x !(n x)!

If n independent trials are carried out, the distribution of the number of resulting successes, x, is
called the binomial distribution:
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P(x) =

n!
x !(n x)!

P x (1 P)nx for x = 0,1,2,,n.

Let X be the number of successes in n independent trials, each with probability of success P. Then X
follows a binomial distribution with mean and variance follows:
= E[X ] = nP
X2 = E[(X X )2 ] = nP(1 P)

Assumptions of the Poisson distribution:

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Statistical Techniques B Notes

The probability of the occurrence is constant for all subintervals.

There can be no more than one occurrence in each subinterval.
Occurrences are independent; that is, an occurrence is one interval does not influence the probability of an occurrence in another interval.
A random variable X is said to follow the Poisson distribution if it has the probability distribution:

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e x

, for x = 0,1,2,
x!
- The constant is the expected number of successes per time or space unit. And it is the mean
and variance of the distribution.
The Poisson distribution can be used to approximate the binomial probabilities when n is large and
P is small (preferably such that = nP 7 ):
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P(x) =

enP (nP)x

for x = 0,1,2,
x!
It can also be shown that when n 20 and P 0.05 , and the population mean is the same, both the
binomial and the Poisson distributions generate approximately the same probability values.
Suppose that random sample of n objects is chosen from a group of N objects, S of which are succeses. The distribution of X (number of successes) is the hypergeometric distribution:
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P(x) =

N s
P(x) = C xsC nx
/C nN

Let X and Y be a pair of discrete random variables. Their joint probability distribution expresses the probability that simultaneously X takes the value x and Y takes the value y:
- P(x,y) = P(X = x Y = y).

In jointly distributed random variables, the probability distribution of the random variable X is its
marginal probability distribution, which is obtained by summing the joint probabilities over all
possible values: P(x) = P(x,y).
y

The conditional probability distribution of Y given that X takes the value x is defined as:
- P(y | x) = P(x,y) / P(x).

The jointly distributed random variables X and Y are independent if: P(x, y) = P(x)P(y).

The conditional mean is computed using the following: Y |X = E[Y | X ] = (y | x)P(y | x).
y

The expectation of any function g(X, Y) of these random variables is defined as follows:
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E[g(X,Y )] = g(x,y)P(x,y).
x

The expected value of (X X )(Y Y ) is called the covariance between X and Y.

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Cov(X,Y ) = E[(X X )(Y Y )] = (x X )(y Y )P(x,y).

x

Cov(X,Y ) = E[XY ] X Y .

The correlation between X and Y is as follows: = Corr(X,Y ) = Cov(X,Y ) / X Y .

If two random variables are statistically independent, the covariance between them is 0. However, the converse is not necessarily true.
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