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3-1 Introduction
Experiment measurement
Random component the measurement might differ

in day-to-day replicates because of small variations in
variables that are not controlled in our experiment
Random experiment an experiment that can result
in different outcomes, even though it is repeated in the
same manner every time.
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3-1 Introduction
No matter how carefully our experiment is designed,

variations often occur.
Our goal is to understand, quantify, and model the type

of variations that we often encounter.
When we incorporate the variation into our thinking

and analyses, we can make informed judgments from
our results that are not invalidated by the variation.
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3-1 Introduction
Physical universe
Newtons laws
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3-1 Introduction
We discuss models that allow for variations in the

outputs of a system, even though the variables that we
control are not purposely changed during our study.
A conceptual model that incorporates uncontrollable

variables (noise) that combine with the controllable
variables to produce the output of our system.
Because of the noise, the same settings for the

controllable variables do not result in identical outputs
every time the system is measured. 7
3-1 Introduction
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3-1 Introduction
Example: Measuring current in a copper wire
Ohms law: Current = Voltage/resistance
A suitable approximation
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3-1 Introduction
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3-2 Random Variables
In an experiment, a measurement is usually

denoted by a variable such as X.
In a random experiment, a variable whose

measured value can change (from one replicate of
the experiment to another) is referred to as a
random variable.
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3-2 Random Variables
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3-3 Probability
Used to quantify likelihood or chance
Used to represent risk or uncertainty in engineering

applications
Can be interpreted as our degree of belief or

relative frequency
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3-3 Probability
Probability statements describe the likelihood that

particular values occur.
The likelihood is quantified by assigning a number

from the interval [0, 1] to the set of values (or a
percentage from 0 to 100%).
Higher numbers indicate that the set of values is

more likely.
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3-3 Probability
A probability is usually expressed in terms of a

random variable.
For the part length example, X denotes the part
length and the probability statement can be written
in either of the following forms
Both equations state that the probability that the

random variable X assumes a value in [10.8, 11.2] is
0.25. 15
3-3 Probability
Complement of an Event
Given a set E, the complement of E is the set of
elements that are not in E. The complement is
denoted as E.
Mutually Exclusive Events

The sets E1 , E2 ,...,Ek are mutually exclusive
if the
intersection of any pair is empty. That is, each
element is in one and only one of the sets E1 , E2
,...,Ek . 16
3-3 Probability
Probability Properties
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3-3 Probability
Events
A measured value is not always obtained from an
experiment. Sometimes, the result is only classified
(into one of several possible categories).
These categories are often referred to as events.
Illustrations
The current measurement might only be
recorded as low, medium, or high; a manufactured
electronic component might be classified only as
defective or not; and either a message is sent through a
network or not. 18
3-4 Continuous Random Variables
3-4.1 Probability Density Function

The probability distribution or simply distribution
of a random variable X is a description of the set of
the probabilities associated with the possible values
for X.
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3-4.2 Cumulative Distribution Function
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3-4.3 Mean and Variance
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3-5 Important Continuous Distributions
3-5.1 Normal Distribution

Undoubtedly, the most widely used model for the
distribution of a random variable is a normal
distribution.
Whenever a random experiment is replicated, the

random variable that equals the average result over
the replicates tends to have a normal distribution as
the number of replicates becomes large.
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That is,
Given random variables X1,X2,,Xk, Y = (1/n)iXi
tends to have a normal distribution as k.
Central limit theorem

Gaussian distribution
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P(Z>1.26) P(Z<-4.6)
P(Z<-0.86) Find z s.t. P(Z>z)=0.05
P(Z>-1.37) Find z s.t. P(-z<Z<z)=0.99
P(-1.25<Z<0.37)
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3-5.2 Lognormal Distribution
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3-5.2 Lognormal Distribution
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3-5.3 Gamma Distribution
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3-5.4 Weibull Distribution
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3-6 Probability Plots
3-6.1 Normal Probability Plots
How do we know if a normal distribution is a reasonable
model for data?
Probability plotting is a graphical method for

determining
whether sample data conform to a hypothesized
distribution based on a subjective visual examination of the
data.
Probability plotting typically uses special graph paper, known

as probability paper, that has been designed for the
hypothesized distribution. Probability paper is widely
available for the normal, lognormal, Weibull, and various chi-
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square and gamma distributions.
Construction
Sample data: x1,x2,..,xn.
Ranked from smallest to largest: x(1),x(2),..,x(n).
Suppose that the cdf of the normal probability paper
is F(x).
Let F(x(j))=(j-0.5)/n.
If the resulting curve is close to a straight line, then

we say that the data has the hypothesized probability
model.
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An ordinary graph probability
Plot the standarized normal scores zj against x(j)
Z: standardized normal distribution

z1,..,zn: P(Z zj) = (j-0.5)/n.
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3-6.2 Other Probability Plots
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3-7 Discrete Random Variables
Only measurements at discrete points are

possible
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Example 3-18 (Finite case)

There is a chance that a bit transmitted through a
digital transmission channel is received in error. Let X
equal the number of bits in error in the next 4 bits
transmitted. The possible value for X are {0,1,2,3,4}.
Based on a model for the errors that is presented in the
following section, probabilities for these values will be
determined.
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3-7.1 Probability Mass Function
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3-7.1 Probability Mass Function (Infinite case)
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3-7.1 Probability Mass Function
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3-8 Binomial Distribution
Consider the following random experiments and random

variables.
Flip a fair coin 10 times. X = # of heads obtained.
A worn machine tool produces 1% defective parts. X = #

of defective parts in the next 25 parts produced.
Water quality samples contain high levels of organic

solids in 10% of the tests. X = # of samples high in organic
solids in the next 18 tested.
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A trial with only two possible outcomes is used so

frequently as a building block of a random experiment
that it is called a Bernoulli trial.
It is usually assumed that the trials that constitute the

random experiment are independent. This implies
that
the outcome from one trial has no effect on the
outcome to be obtained from any other trial.
Furthermore, it is often reasonable to assume that the

probability of a success on each trial is 73
constant.
Consider the following random experiments and
random variables.
Flip a coin 10 times. Let X = the number of heads obtained.
Of all bits transmitted through a digital transmission
channel, 10% are received in error. Let X = the number of
bits in error in the next 4 bits transmitted.
Do they meet the following criteria:
1. Does the experiment consist of
Bernoulli trials?
2. Are the trials that constitute the
random experiment are
independent?
3. Is probability of a success on each
trial is constant? 74
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3-9 Poisson Process
Consider e-mail messages that arrive at a mail server
on a computer network.
An example of events (message arriving) that occur
randomly in an interval (time).
The number of events over an interval (e.g. # of messages
that arrive in 1 hour) is a discrete random variable that is
often modeled by a Poisson distribution.
The length of the interval between events (time between
two messages) is often modeled by an exponential
distribution.
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3-9 Poisson Process
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3-9 Poisson Process
3-9.1 Poisson Distribution
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3-9 Poisson Process
Example 3-27
Flaws occur at random along the length of a thin copper
wire.
Let X denote the random variable that counts the number
of flaws in a length of L mm of wire and suppose that the
average number of flaws in L mm is .
Partition the length of wire into n subintervals of small
length.
If the subinterval chosen is small enough, the probability
that more than one flaw occurs in the subinterval is
negligible.
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3-9 Poisson Process
Example 3-27
We interpret that flaws occur at random to imply that every
subinterval has the same probability of containing a flaw
say p.
Assume that the probability that a subinterval contains a
flaw is independent of other subintervals.
Model the distribution X as approximately a binomial
random variable.
E(X)==np p= /n.
With small enough subintervals, n is very large and p is

very small. (similar to Example 3-26).
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3-9 Poisson Process
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3-9 Poisson Process
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3-9 Poisson Process
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3-9 Poisson Process
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3-9 Poisson Process
3-9.2 Exponential Distribution
The discussion of the Poisson distribution defined a random
variable to be the number of flaws along a length of copper wire.
The distance between flaws is another random variable that is
often of interest.
Let the random variable X denote the length from any starting
point on the wire until a flaw is detected.
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3-9 Poisson Process
X: the length from any starting point on the wire until a flaw
is detected.

As you might expect, the distribution of X can be obtained from
knowledge of the distribution of the number of flaws. The key to
the relationship is the following concept:
The distance to the first flaw exceeds h millimeters if and only
if there are no flaws within a length of h millimeterssimple,
but sufficient for an analysis of the distribution of X.
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3-9 Poisson Process
Assume that the average number of flaws is per mm.
N: number of flaws in x mm of wire.
N is a Poisson distribution with mean x.
e x (x ) 0
Pr(X>x) = P(N=0) = e x
0!
So F(x) = Pr(Xx) =1-e-x.
Pdf f(x)= e-
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3-9 Poisson Process
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3-9 Poisson Process
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3-9 Poisson Process
Example 3-30:
In a large corporate computer net work, user log-ons to the
system can be modeled as a Poisson process with a mean of
25 log-ons per hour.
What is the probability that there are no log-ons in an
interval of 6 minutes?
Solution:
X: the time in hours from the start of the interval until the
first log-on.
X: an exponential distribution with =25 log-ons per hour.
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3-9 Poisson Process
Example 3-30:
6 min = 0.1 hour.

25 x 2.5
P ( X 0. 1) 25e dx e 0.082
0. 1
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3-9 Poisson Process
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3-9 Poisson Process
The exponential distribution is often used in reliability studies as
the model for the time until failure of a device.
For example, the lifetime of a semiconductor chip might be

modeled as an exponential random variable with a mean of 40,000
hours.
The lack of memory property of the exponential distribution

implies that the device does not wear out.
The lifetime of a device with failures caused by random shocks

might be appropriately modeled as an exponential random variable.
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3-9 Poisson Process
However, the lifetime of a device that suffers slow mechanical
wear, such as bearing wear, is better modeled by a distribution that
does not lack memory.
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3-10 Normal Approximation to the Binomial
and Poisson Distributions
Normal Approximation to the Binomial
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Normal Approximation to the Poisson
Poisson distribution is developed as the limit of a binomial
distribution as the number of trials increased to infinity.
The normal distribution can also be used to approximate

probabilities of a Poisson random variable.
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3-11 More Than One Random Variable
and Independence
3-11.1 Joint Distributions
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and Independence
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and Independence
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and Independence
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and Independence
3-11.2 Independence
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and Independence
3-11.2 Independence
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and Independence
3-11.2 Independence
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and Independence
3-11.2 Independence
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3-12 Functions of Random Variables
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3-12.1 Linear Combinations of Independent
Random Variables
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Normal Random Variables
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Normal Random Variables
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3-12.2 What If the Random Variables Are Not
Independent?
Recall that the inner product!
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3-12.2 What If the Random Variables Are Not
Independent?
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3-12.3 What If the Function Is Nonlinear?
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3-13 Random Samples, Statistics, and
The Central Limit Theorem
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Central Limit Theorem
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1

Random component the measurement might differ

No matter how carefully our experiment is designed,

Our goal is to understand, quantify, and model the type

When we incorporate the variation into our thinking

We discuss models that allow for variations in the

A conceptual model that incorporates uncontrollable

Because of the noise, the same settings for the

Example: Measuring current in a copper wire

Ohms law: Current = Voltage/resistance

In an experiment, a measurement is usually

In a random experiment, a variable whose

Used to quantify likelihood or chance

Used to represent risk or uncertainty in engineering

Can be interpreted as our degree of belief or

Probability statements describe the likelihood that

The likelihood is quantified by assigning a number

Higher numbers indicate that the set of values is

A probability is usually expressed in terms of a

Both equations state that the probability that the

Mutually Exclusive Events

3-4.1 Probability Density Function

3-4.1 Probability Density Function

3-4.1 Probability Density Function

3-4.1 Probability Density Function

3-4.1 Probability Density Function

3-4.2 Cumulative Distribution Function

3-4.3 Mean and Variance

3-5.1 Normal Distribution

Whenever a random experiment is replicated, the

3-5.1 Normal Distribution

Central limit theorem

P(Z<-0.86) Find z s.t. P(Z>z)=0.05

P(Z>-1.37) Find z s.t. P(-z<Z<z)=0.99

Probability plotting is a graphical method for

Probability plotting typically uses special graph paper, known

If the resulting curve is close to a straight line, then

Z: standardized normal distribution

Only measurements at discrete points are

Example 3-18 (Finite case)

Consider the following random experiments and random

Flip a fair coin 10 times. X = # of heads obtained.

A worn machine tool produces 1% defective parts. X = #

Water quality samples contain high levels of organic

A trial with only two possible outcomes is used so

It is usually assumed that the trials that constitute the

Furthermore, it is often reasonable to assume that the

With small enough subintervals, n is very large and p is

3-9.1 Poisson Distribution

For example, the lifetime of a semiconductor chip might be

The lack of memory property of the exponential distribution

The lifetime of a device with failures caused by random shocks

Normal Approximation to the Binomial

The normal distribution can also be used to approximate

Recall that the inner product!

Central Limit Theorem

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