UNIT 1

PROBABILITY AND RANDOM VARIABLES

Introduction
Probability Concepts
Random Variables
Expectation and Moments
Moment Generating Functions
Binomial Distribution
Poisson Distribution
Geometric Distribution
Uniform Distribution
Exponential Distribution
Normal Distribution
Functions of Random Variable

1.1 INTRODUCTION

Probability theory is an important part of contemporary mathematics. It plays a key role

in the insurance industry, in the modeling of financial markets, and in statistics generally
including all those fields of endeavor to which statistics is applied (e.g. health,
physical sciences, engineering, economics). The 20th century has been an important
period for the subject, because we have witnessed the development of a solid
mathematical basis for the study of probability, especially from the Russian school of
probability under the leadership of A N Kolmogorov. We have also seen many new
applications of probability from applications of stochastic calculus in the financial
industry to Internet gambling. At the beginning of the 21st century, the subject offers
plenty of scope for theoretical developments, modern applications and computational
problems. There is something for everyone in probability!

1.2 LEARNING OBJECTIVES

The students will acquire

Knowledge to define experiment, outcome, event, probability and equally likely.

State the formula for finding the probability of an event.
Knowledge to evaluate outcomes and probabilities for several simple
experiments.
 Knowledge to Recognize the difference between outcomes that are, and are not,
equally likely to occur.
Knowledge to apply basic probability principles to solve problems.
Knowledge to analyze each problem to identify the given information.
Knowledge to identify the concepts and procedures needed to solve each problem.
Knowledge to apply probability concepts to solve complex problems.
Knowledge to identify connections between probability and the real world.
Develop strong problem-solving skills.
Familiarity with some of the distributions commonly used to represent real-life
situations.

First of all let us go through some basic concepts in probability. Try to be thorough in the
basics so you may feel comfortable with the subject.

1.3 PROBABILITY CONCEPTS

1.3.1 Random Experiment

If an experiment is repeated under the same conditions , any number of times, it does not
give unique results but may result in any one of several outcomes. Thus an action which
can produce any result or outcome is called a RANDOM EXPERIMENT. When a
random experiment is performed each time it is called a TRIAL and the outcomes are
known as EVENTS or CASES.

An experiment whose outcome or result can be predicted is called a Deterministic

Experiment.

Sample Space : The sample space is an exhaustive list of all the possible outcomes of an
experiment. Each possible result of such a study is represented by one and only one point
in the sample space, which is usually denoted by S.

Examples
Experiment Rolling a die once:
Sample space S = {1,2,3,4,5,6}
Experiment Tossing a coin:
Sample space S = {Heads,Tails}
Experiment Measuring the height (cms) of a girl on her first day at school:
Sample space S = the set of all possible real numbers
An event whose occurrence is inevitable when an experiment is performed is called as
Certain event or Sure event.

An event which can never occur when an experiment is performed is called an Impossible
event. Events may be simple or compound.

An event is called simple if it corresponds to a single possible outcome of the experiment

otherwise it is called compound event or composite event.

For example: In drawing cards from a pack of 52 cards, the chance of getting spade 5 is a
simple event and the chance of getting a king is compound event. Occurrence of getting
two 8 diamond cards is an impossible event.

Favorable Events: The number of cases favorable to an event in a trial is the number of
outcomes which entail the happening of the event.

Equally likely events: The outcomes are said to be equally likely if none of them is
expected to occur in preference to other. Thus two or more events are said to be equally
likely if each one of them has an equal chance of happening.
For example : when a coin is thrown, the head is as likely to turn up as tail. Hence H and
T are equally likely events.

Mutually exclusive events or Incompatible events. : If event A happens, then event B

cannot, or vice-versa. The two events "it rained on Tuesday" and "it did not rain on
Tuesday" are mutually exclusive events. Both cannot happen in a single trial or we can
say that the occurrence of any one of them excludes the occurrence of other.

Formally, two events A and B are mutually exclusive if and only if AB =

Exhaustive events: Outcomes are said to be exhaustive when they include all possible
outcomes. For example, while rolling a die, the possible outcomes are 1,2,3,4,5 and 6 and
hence the exhaustive number of cases is 6.

Independent Events: Two events are independent if the occurrence of one of the events
gives us no information about whether or not the other event will occur; that is, the events
have no influence on each other.
For example, if a coin is thrown twice, the result of the second throw is no way affected
by the result of the first throw. Thus the events are independent events.

Dependent events: Two events are said to be dependent if the occurrence or

nonoccurrence of an event in any trial affects the occurrence of the other event in other
trials.
Complementary events: A is called complementary event of B if A and B are mutually
exclusive and exhaustive. When a die is thrown, occurrence of an even number and odd
number are complementary events.
1.3.2 Probability of an event :

Classical definition: The outcomes of a random experiment are termed as events.

The probability for the occurrence of an event A is defined as the ratio between the
number of favorable outcomes for the occurrences of the event and the total number of
possible outcomes.
P(A) = No: of favorable cases
Total no: of cases

Also the probability of non-happening of event A is

P() = 1 m/n

i.e, P() = 1 P(A).

Note: If P(A) = 1 the event A is called a certain event and if P(A) = 0, the event is called
an impossible event.`

Also P(A) + P() = 1

Examples

1. The probability of drawing a spade from a pack of 52 well-shuffled playing cards

is 13/52 = 1/4 = 0.25 since
event E = 'a spade is drawn';
the number of outcomes corresponding to E = 13 (spades);
the total number of outcomes = 52 (cards).

1.3.2.1. Statistical definition:

If a trial results in n cases and m of them are favorable to the happening of the event
then

P(A) = lim (m/n)

n

1.3.2.2 Axiomatic approach to probability:

Definition of probability :
Let S be a sample space associated with an experiment. To each event A, there is a real
number P(A) associated , called the probability of A satisfying the following axioms:
i) P(A) 0
ii) P(S) = 1
iii) If A1,A2,A3,-----are mutually exclusive events, then
P(A1 U A2 U A3 ---- U An) = P(A1) + P(A2) +-------- P(An)
Theorem : The probability of the impossible event is zero, i.e, if is the subset ( event )
containing no sample point , P ( ) = 0

Proof The certain event S and the impossible event are mutually exclusive

Hence P (S U ) = P (S) + P ( ) [ Axiom (iii)]

But S U = S

Thus P (S ) = P(S) + P( )

Thus P( ) = 0

Theorem : If is the complimentary event of A, P ( ) = 1 P (A ) 1

Proof : A and are mutually exclusive events, such that A U = S

Thus P (A U ) = P (S)
= 1 [ Axiom (ii)]
i.e. (PA) + P() = 1 [ Axiom (iii)]

Thus P( ) = 1 P (A)

Since P(A) 0, It follows that P( ) 1.

Theorem : If A and B are any 2 events,

P (A U B ) = P(A) + P(B) P(A B ) P(A) + P(B)

Proof : A is the union of the mutually exclusive events AB and AB and b is the union of
the mutually exclusive events B and AB
Thus P(A) = P(AB) + P(AB ) [ Axiom (iii) ]

and P(B) = P( B) + P(AB) [ Axiom (iii) ]

AB AB
B

A B
Thus P(A) + P(B) = [P(AB) + P(AB) + P(B) + P(AB)]
= P(A U B ) + P (A B)

This result follows. Clearly, P(A) +P(B) P ( A B) P(A) + P(B)

Theorem : If B C A, P(B) P(A)

Proof:

AB

B and AB are mutually exclusive events such that B U AB = A

Thus P(B U A B ) = P(A)

i.e. P(B) + P AB ) = P(A) { Axiom (iii) ]

Thus P(B) P(A)

Note: The above theorem can be extended as

P( A U B U C) = P (at least one A, B anc C occurs)
= P(A) +P(B) + P(C) - P (A B) - P (B C) - P (C A) + P (A B C)
1.3.3 Laws of Probability
1.3.3.1 Addition Rule :

The addition rule is a result used to determine the probability that event A or event B
occurs or both occur.
The result is often written as follows, using set notation:
P(A U B) = P(A) +P(B) P(AB)
where:
P(A) = probability that event A occurs
P(B) = probability that event B occurs
P(A U B) = probability that event A or event B occurs
P(AB ) = probability that event A and event B both occur

For mutually exclusive events, that is events which cannot occur together:
P(AB) = 0

The addition rule therefore reduces to

P(A U B) = P(A) + P(B)

For independent events, that is events which have no influence on each other:
P(AB) = P(A)P(B)

The addition rule therefore reduces to

P(A U B) = P(A) +P(B) P(A)P(B)

Example
Suppose we wish to find the probability of drawing either a king or a spade in a single
draw from a pack of 52 playing cards.
We define the events A = 'draw a king' and B = 'draw a spade'
Since there are 4 kings in the pack and 13 spades, but 1 card is both a king and a spade,
we have:
P(A U B) = P(A) +P(B) P(AB)
= 4/52 + 13/52 - 1/52 = 16/52
So, the probability of drawing either a king or a spade is 16/52 (= 4/13).

Theorem: Additive law of probability:

If A and B are any two events (subsets of sample space S) are not disjoint, then

P(A U B) = P(A) +P(B) P(AB)

Proof: We have A U B = A U (B)

Since A and (B) are disjoint,

P(A U B) = P(A) + P( B)
= P(A) +[P( B) + P(AB)] P(AB)
 = P(A) +P[( B) U (AB)] P(AB)
= P(A) + P(B) P(AB)(since B and AB are disjoint )

1.3.3.2 Multiplication Rule

The multiplication rule is a result used to determine the probability that two events, A and
B, both occur.

The Conditional Probability of an event B, assuming that the event A has happened, is
denoted by P(A/B) and defined as

P(B/A) = P( AB) / P(A)

The multiplication rule follows from the definition of conditional probability.

The result is often written as follows, using set notation:

P(AB) = P(A/B)P(B) OR P(AB) = P(B/A)P(A)
where:
P(A) = probability that event A occurs
P(B) = probability that event B occurs
P(AB) = probability that event A and event B occur
P(A | B) = the conditional probability that event A occurs given that event B has
occurred already
P(B | A) = the conditional probability that event B occurs given that event A has
occurred already

For independent events, that is events which have no influence on one another, the rule
simplifies to:
P(AB) = P(A)P(B) OR P(A and B ) = P(A).P(B)

That is, the probability of the joint events A and B is equal to the product of the
individual probabilities for the two events.

Theorem: Multiplication Law of Probability or Theorem of compound probabilities.

For two events A and B P(AB) = P(A/B)P(B) , P(A)>0
= P(B/A)P(A), P(B)>0

Proof : We have

P(A) = n(A) , P(B) = n(B) and P(AB) = n(AB) -----------(1)

n(S) n(S) n(S)
For the conditional event A/B, favorable outcomes be one of the simple points of B, i.e,
for the event A/B, the sample space is B and out of the n(B) of sample points, n(AB)
pertain to the occurrence of event A. Hence

P(A/B) = n(AB)
n(B)

Rewriting (1) as P(AB) = n(B) . n(AB)

n(S) n(B)

= P(B) P(A/B)

Similarly we can prove P(AB) = n(A) . n(AB)

n(S) n(A)

= P(A) P(B/A)
Note:
Conditional probabilities P(B/A)and P(A/B) are defined if and only if P(A) 0 and
P(B) 0 respectively.
P(A/A) = 1
If A and B are independent, then P(A/B) = P(A) and P(B/A) = P(B).
If A and B are independent their compliments are also independent.

Theorem: If the events A and B are independent, the events and B (and similarly A
and B )are also independent.
Proof:
The events A B and B are mutually exclusive such that (A B) U ( B) = B

P (A B) + P ( B) = P (B) by addition theorem

P ( B) = P (B) P (A B)
= P (B) P(A)P(B) by product theorem
= P(B)[ 1 P(A) ]
= P(B)P()

Based on the above discussed theory some problems are illustrated. Most of the examples
are dealing with real life experiments so that it will be interesting for you .

Example 1: An integer is chosen from 2 to 15 . What is the probability that it is prime?

Solution: Since there are 14 numbers from 2 to 15 the total number of numbers is 14. Out
of 14 numbers 2,3,5,7,11,13 are prime numbers. Hence the number of favourable
numbers is 6. Hence the probability that the number chosen is prime is
 No: of favorable cases = 6 = 3
Total no: of cases 14 7

Example 2: What is the chance that a) leap year selected at random will contain 53
Sundays b)a non-leap year selected at random will contain 53 Sundays?

Solution:
a) In a leap year, there are 366 days i.e, 52 weeks and 2 days, remaining 2 days can be
any two days of the week. The different possibilities are: Sunday and Monday, Monday
and Tuesday, Tuesday and Wednesday, Wednesday and Thursday, Thursday and Friday,
Friday and Saturday, Saturday and Sunday.
In order to have 53 Sundays, out of remaining two days one must be Sunday.
No: of favorable cases = 2
Total no: of cases = 7
Required Probability = 2/7

b) In a non leap year, there are 365 days i.e, 52 weeks and 1 day. The remaining 1 day
can be any day of the week.
Total no: of cases = 7
There will be 53 Sundays if the remaining one day is Sunday.
No: of favorable cases = 1
Required probability = 1/7.

Example 3: If we draw a card from a well shuffled pack of 52 cards, what is the
probability that the card is either an ace or a king?

Solution:
The events that the card drawn is either an ace or a king are mutually exclusive. Let the
event of the ace drawn be denoted by A and the king drawn be denoted by K. A pack has
4 aces and a kings.
Thus P(A) = 4/52 and P(K) = 4/52
The probability that the card is either ace or a king =
P(A or K) = P(A U K) = P(A) + P(K) = 4/52 + 4/52 = 2/13.

Example 4: A,B and C toss a coin. The one who get the head first wins. What are their
respective chances?
Solution: The probability that A may win in the first round = . He may win in the
second round, after all of them failed in the first round, with the probability = (. ).
= ()3, iin the third round with probability = ()6 ..and so on.
Now by addition theorem the chance of As success = + ()3 + ()6 + - - - - which
is a G P with first term and common ratio = ()2.
Therefore the above expression is = . . = 4/7.
1 - ()3
B may win the first round after As failure with probability = ()( )= , the second
round with probability = ()3 and so on.
Therefore Bs chances of success = + ()3 + - - - = . . = 2/7
1 - ()3
Similarly, the chance of winning the game for C = . 1/8 . = 1/7
1 - ()3

Example 5: If from a lottery of 30 tickets numbered 1, 2, 3, - - - - 30 four tickets are

drawn, what is the chance that those marked 1 and 2 are among them?
Solution:
Out of 30 tickets 4 tickets can be chosen in 30C4 ways. In the 4 tickets 1 and 2 should be
present. The remaining 2 tickets should be chosen from tickets numbered 3, 4, - - - -30
i.e. 28 tickets which can be done in 28C2 ways. Thus the required probability is
28C2 = 2
30C4 145

Example 6: A problem in mathematics is given to five students A1, A2, A3, A4 and A5.
Their chances of solving it are 1/6, 1/5, , 1/3, respectively. What is the probability
that the problem will be solved?

Solution:
The probability that A1 fails to solve the problem = 1 1/6 = 5/6.
The probability that A2 fails to solve the problem = 1 1/5 = 4/5.
The probability that A3 fails to solve the problem = 1 1/4 = 3/4.
The probability that A4 fails to solve the problem = 1 1/3 = 2/3.
The probability that A5 fails to solve the problem = 1 1/2 = 1/2.
The probability that the problem is not solved by all five students
=5 4 3 2 1 = 1
6 5 4 3 2 6
Therefore the probability that the problem will be solved 1 1 = 5
6 6

Example 7: A lot consists of 10 good articles, 4 with minor defects and 2 with majoe
defects. Two articles are chosen from the lot at random (without replacement). Find the
probability that i) both are good, ii)both have major defects, iii) at least 1 is good, iv) at
most 1 is good v)exactly 1 is good vi)neither has major defects and vii) neither is good?

Solution:
Since the articles are drawn without replacement, we can consider that both the articles
are drawn simultaneously.
i) P(both are good) = No : of ways of drawing 2 articles from good articles
Total no : of ways of drawing 2 articles.
= 10C2 = 3
16C2 8
ii) P(both have major defects) = No : of ways of drawing 2 articles with major defects
Total no : of ways of drawing 2 articles.
= 2C2 = 1
16C2 120

iii) P(atleast 1 is good) = P (exactly 1 is good and 1 is bad or both are good)
= 10C1 x 6C1 + 10C2 = 7
16C2 8

iv)P(atmost 1 is good) = P(none is good or 1 is good and 1 is bad)

= 10C0 x 6C2 + 10C1 x 6C1 = 5
16C2 8

v) P(exactly 1 is good) = P(1 is good and 1 is bad)

= 10C1 x 6C1 =
16C2

vi) P(neither has major defects) = P(both are non-major defective articles)
= 14C2 = 91
16C2 120

vii)P(neither is good) = P(both are defective)

= 6C2 = 1
16C2 8

Example 8: A and B throw alternately with a pair of dice. A wins if he throws (sum of
numbers on top two faces) 6 before B throws 7, and B wins if he throws 7 before A
throws 6. If A begins, find his chance of winning.

Solution:

The sum 6 can he got in 5 ways.[(1,5), (2,4),(3,3)(4,2)(5,1)]

The probability of A throwing 6 is 5/36.

Therefore the probability A throwing 6 = 1 5/36 = 31/36

Similarly, the probability of B throwing 7 is 6/36.

Therefore the probability of B not throwing 7 = 1 6/36 = 5/6.

Now A can win if he throws 6 in the 1st, 3rd , 5th , - - - - -throws.

Hence the chance of A winning

= 5 + 31 5 5 + 31 5 31 5 5. + ----
36 36 6 36 36 6 36 6 36
= . 5 1 + 31 5 + 31 5 2 + 31 5 3 + - - - - -
36 36 6 36 6 36 6
 = 5 1 = 30
36 1 31 5 61
36 36

Example 9: A box contains 4 bad and 6 good tubes. Two are drawn out from the box at a
time. One of them is tested and found to be good. What is the probability that the other
one is also good?

Solution:
Let A= one of the tubes drawn is good and B = the other tube is good..
P(AB) = P(both tubes drawn are good)
= 6C2 = 1
10C2 3
With the condition that one is good, we have to find the conditional probability that the
other tube is also good is required. i.e P(B/A) is required.
P(B/A) = P(AB) = 1/3 = 5
P(A) 6/10 9

Example 10: The odds against the student X solving a problem in mathematics are 8:6
and odds in favour the student Y solving the same problem are 14:16 i) What is the
chance that the problem will be solved if they both try? ii) what is the probability that
both working independently will solve the problem? Iii) What is the probability that
neither solves the problem?

Solution:
Let A be the event that the student X solves the problem, and B be the evnt that the
student Y solves the problem. Then by data
P() = 8/14 and P(B) = 14/30.
Thus, P(A) = 1 - P() = 1 8/14 = 6/14
P( B ) = 1 P(B) = 1 14/30 = 16/30
i)Probability that the problem will be solved
= P( any one solves the problem)
= P(A or B)
= P(A) +P(B) P(AB) = P(A) +P(B) P(A)P(B)
= 6/14 + 14/30 (6/14 x 14/30)

ii) Probability of solving the problem if they work independently is P(A and B)
= P(AB) = P(A)P(B) = 6/14 x14/30
iii) Probability that both will not solve the problem is
= P( A and B ) = P(A)P(B) = 1/14 x 16/30
1.3.4 Theorem of total probability
If B1,B2, - - - Bn be a set of exhaustive and mutually exclusive events, and A is another
associated with Bi , then
n
P(A ) = P(Bi)P(A /Bi)
i=n

1.3.5 Bayes Theorem or Theorem of probability of causes

If B1,B2, - - - Bn be a set of exhaustive and mutually exclusive events associated with a
random experiment and A is another event associated with Bi, then

P(Bi / A) = P(Bi)P(A /Bi) . , i = 1,2,3, - - n

n
P(Bi)P(A /Bi)
i=n
Proof:
P(Bi A) = P(Bi) x P(A /Bi) = P(A) x P(Bi / A)
P(Bi / A) = P(Bi) x P(A /Bi)
P(A)
= P(Bi) x P(A /Bi)
n
P(Bi)P(A /Bi)
i=n

Example 1: Bolts are manufactured by three machines A, B, C. A turns out twice as

many bolts as B and machines B and C produce equal number of bolts. 2% of bolts
produced by A and by B are defective and 4% of bolts produced by C are defective. All
bolts are put into one stock pile and one is chosen from this pile. What is the probability
that it is defective?

Solution:
Let E1, E2, E3 be the events that the bolts are manufactured by machines A, B,C
respectively.

Hint: given A turns out twice as many bolts as B and machines B and C produce equal
number of bolts.
P(A) = 2P(B) & P(B) = P(C)
But P(A) + P(B) + P(C) = 1
2P(B) + P(B) + P(B) = 1
4P(B) = 1
P(B) =
P(C) =
P(A) =
Therefore P(E1) = , P(E2) = , P(E3) =

Let D be the event of chosing a defective bolt.

P(D/E1) = Probability of choosing a defective bolt from machine A = 2/100
P(D/E2) = Probability of choosing a defective bolt from machine B = 2/100
P(D/E3) = Probability of choosing a defective bolt from machine C = 4/100

Probability of choosing a defective bolt

3
P(A) = P(Ei) P(A /Ei) by total probability theorem
i =1
= 1 2 + 1 2 + 1 4 = 1
2 100 4 100 4 100 40

Example 2: The contents of urns I, II, and III are as follows: 2 white, 3blacks and 4 red
balls; 3 white , 2 black and 2 red balls and 4 white, 1 black and 3 red balls. An urn is
chosen at random and two balls are drawn. They happen to be white and red. What is the
probability that they come from urns I, II, and III?

Solution:
Let E1, E2 and E3 denote the events that the urn I, II, and III be chosen respectively and
let A be the event that the two balls taken from the urn be white and red.

P(E1) = P(E2) = P(E3) =1/3

P(A/E1) = 2C1 x 4C1 = 2/9

9C2
P(A/E2) = 3C1 x 2C1 = 2/7
7C2
P(A/E3) = 4C1 x 3C1 = 3/7
8C2
Now we have to calculate P(E1/A), P(E2/A) and P(E3/A)
P(E1 / A) = P(E1)P(A / E1) . ,
3
P(Ei)P(A /Ei)
i=n
= . (1/3 )(2/9) .
(1/3.2/9) + (1/3.2/7) + (1/3.3/7)

P(E2 / A) = P(E2)P(A / E2) . ,

3
P(Ei)P(A /Ei)
i=n
 = . (1/3 )(2/7) .
(1/3.2/9) + (1/3.2/7) + (1/3.3/7)

P(E3 / A) = 1 (P(E1 / A) + P(E2 / A))

Example 3: An urn contains5 white and 3 green balls and another urn contains 3 white
and 7 green balls. Two balls are chosen at random from the first urn and put into the
second urn . Then a ball is drawn from the second urn. What is the probability that it is a
white ball?

Solution:
The two balls drawn from the first urn can be
i)both white which is denoted byE1
ii) both green which is denoted byE2
iii)one white and one green which is denoted by E3

P(E1) = 5C2 = 5
8C2 14

P(E2) = 3C2 = 3
8C2 28

P(E3) = 5C13C1 = 15
8C2 28

After the balls are transferred from the first urn to the second urn, the second urn will
contain
i) 5 white and 7 green balls
ii) 3 white and 9 green balls
iii)4 white and 8 green balls

Let A be the event of drawing a white ball from the second urn. Then

P(A / E1) = 5C1 = 5

12C1 12

P(A / E2) = 3C2 = 3

12C2 12

P(A / E3) = 4C1 = 4

12C2 12

Required probability of choosing a white ball = P (A )

3
= P(Ei) P(A / Ei) (by total probability theorm )
i =1
= 5 x 5 + 3 x 3 + 15 x 14
14 12 28 12 28 12

= 125 = 0.372
336

Example 4: A toy is rejected if the design is faulty or not. The probability that the design
is faulty is 0.1 and that the toy is rejected if the design is faulty 0.95 and otherwise 0.45.
If a toy is rejected, what is the probability that it is due to faulty design?

Solution:
Let D1, D2 denote the events that the design is faulty or not. Let A denote the event that
the toy is rejected.

P(D1) = 0.1 P(D2) = 1 0.1 = 0.9

P(A/D1) = 0.95 and P(A/D2) = 0.45

P(of rejection due to faulty design) =

P(D1/A) = . P(D1) P(A/D1) .

P(D1) P(A/D1 P(D2) P(A/D2)

=. 0.1 x 0.95 . = 0.19

0.1 x 0.95 + 0.9 x 0.45

Example 5: For a certain binary communication channel, the probability that a

transmitted 0 is received as a 0 is 0. 95 and the probability that a transmitted 1 is
received as 1 is 0.90. If the probability that a 0 is transmitted is 0.4, find the
probability that
i) a 1 is received and
ii) a 1 was transmitted given that a 1 was received

Solution :

Let A = the event of transmitting 1. = the event of transmitting0,

B = the event of receiving 1 and B = the event of receiving 0.

Given: P ( ) = 0.4, P (B/A) = 0.9 and P ( B / ) = 0.95

Thus P(A) = 0.6 and P(B / ) = 0.05

By the theorem of total probability

P(B) = P(A) x P(B/A) + P() x P(B/ )
= 0.6 x 0.9 + 0.4 x 0.05
= 0.56

By Bayes theorem P(A/B) = P(A) x P(B/A) = 0.6 x 0.9 = 27

P(B) 0.56 28

1.3.6 Bernoullis Trials

Let us consider n independent repetitions of a random experiment. If A is an event
associated with E such that P(A) remains the same for the repetitions, the trials are called
Bernoullis trial.

Theorem: If the probability of occurrence of an event in a single trial of Bernoullis

experiment is p, then the probability that the event occurs exactly x times out of n
independent trials is equal to nCr qn-xpx, where q = 1 p, the probability of failure of the
event.

Example: A die is tossed until 6 appears. What is the probability that it must be tossed
more than 4 times.

Solution:
P(X = x) = (1/6) (5/6)x 1 x = 1,2,3, - - - -

P(x>4) = 1 P(x 4)
4
= 1 - (1/6) (5/6)x 1
x=1
= 1 (1/6)[1 + 5/6 + 25/36 + 125/216] = 0.48225

Have you understood ?

1)Which of the following is an experiment?

a) Tossing a coin.
b)Rolling a single 6-sided die.
c)Choosing a marble from a jar.
d)All of the above
2) Which of the following is an outcome?

a)Rolling a pair of dice.

b)Landing on red.
c)Choosing 2 marbles from a jar.
d)None of the above.

3)Which of the following experiments does NOT have equally likely outcomes?

a)Choose a number at random from 1 to 7.

b)Toss a coin.
c)Choose a letter at random from the word SCHOOL.
d)None of the above

4)A number from 1 to 11 is chosen at random. What is the probability of choosing an odd
number?

a)

b)

c)

d) None of the above.

Answers: 1) d. 2)b. 3)c. d)c.

Short answer questions:

1.What is random experiment? Give an example.

2.Give the axiomatic definition of probability.
3.State axioms of probability.
4.State addition theorem as applied to any 2 events .Extend it to any three events.
5.In a random experiment P(A ) = 1/12, P(B) = 5/12 and P(B/A) = 1/15 find P (AUB)
(Solution: 89/180)
6.If P(A) = 0.5, P(B) = 0.3 and P(AB) = 0.15, find P(A/ B )
7.State the theorem of total probability.
8.Satate Bayes theorem.
TRY YOURSELF !

1. From a bag containing 3 red and 2 black balls, 2 balls are drawn at random.
Find the probability that they are of the same colour?
(Solution:2/5)

2. Event A and B are such that P(A + B) =3/4, P(AB) = and P() = 2/3 find
P(B).
(Solution:2/3)
3. In a random experiment P(A ) = 1/12, P(B) = 5/12 and P(B/A) = 1/15.
Find P (AUB)
(Solution: 89/180)
4. If P(A) = 0.5, P(B) = 0.3 and P(AB) = 0.15, find P(A/ B )

(Solution: 0.5)
5. Probability that India wins a cricket match against Australia is known to be 2/5.
If India and Australia play 3 test 3 matches what is the probability that i) India
will loose all the three matches ii) India will win all the tests iii) India will win
atmost one match.
(Solution: i) 27/125 ii) 98/125 iii) 8/125 iv) 81/125 )

6. Two weak students attempt to write a program. Their chances of writing the
program successfully is 1/8 and 1/12 and the chance of making a common error
is 1/10001.Find the chance that the program is correctly written.
(Solution: 0.9924)

7. A fair dice is rolled 5 times. Find the probability that 1 shows twice, 3 shows
twice and 6 shows once. (Solution: 0.0039)

8. One integer is chosen at random from the numbers 1,2,3,....100.what is the

probability that the chosen number is divisible by (i)6 or 8 and (ii) 6 or 8 or both.
(Solution: 1/5 , 6/25)

9. Urn I has 2 white and 3 black balls, urn II contains 4 white and 1 black balls and
urn III contains 3 white and 4 black balls. An urn is selected at random and is
found to be white. Find the probability that urn I was selected.
(Solution: 14/57)
1.4 RANDOM VARIABLES
You have seen a number of examples of sample spaces associated with various
experiments. In some, the outcomes were numerical and in some others the outcomes
were non numerical.

For example in the experiment concerned with tossing a dice, we may have any one of
the following outcome as 1,2,3,4,5 and 6 which is numerical in nature. While the result of
a coin tossing experiment in which a coin is tossed once, we have the outcome and head
or tail which is non numerical in nature.

As it is often convenient to describe the outcome of a random experiment by a number,

we will assign a number to each non numerical outcome of the experiment..
For example in the coin tossing experiment, we can assign the value of 0 to the outcome
of getting heads and 1 to the outcome of getting tails.
Thus in any experimental situation we can assign a real number x to every element s of
the sample spaces.

Random Variable Let E be an experiment and S a sample space associated with the
experiment. A function X assigning to each element s S, a real number X is called a
random variable.
The set of values which the random variable X takes is called the spectrum of the random
variable.

1.4.1 Types of Random Variable

a) Discrete Random Variable
b) Continuous Random Variable

1.4.1.1 Discrete Random Variable A random variable is said to be discrete if it

assumes only a finite or countably infinite values of X, that is the range space R contains
a finite or countably infinite points. The possible values of x may be listed as x1, x2 .

In the finite cases the list terminates. In the countably infinite cases, the list continues.

Let x1,x2 . be possible values of a discrete random variable X. Then P(xi ) is called the
probability function or probability mass function or point probability function of the
discrete random variable X if

i) P(xi) 0 or i=1,2
ii) P(xi) = 1
i

The collection of pairs ( xi, P(xi)), i=1,2. is called the probability distribution.
1.4.1.2 Continuous Random Variable A random variable X is called a continuous
random variable if X takes all its possible values of an interval (or) equivalently. If the
range space Rx of the random variable X is an interval or a collection of intervals, X is
called continuous random variable.

Probability Density function (p.d.f)

If x is a continuous random variable such that P{ x dx/2 X x + dx/2 } = f(x)dx,
then f(x) is called the probability density function ( p.d. f ) of X provided f(x) satisfies the
following conditions

i) f(x) 0 for all x Rx

ii) f(x) dx = 1
Rx
Where Rx is the range of X

1.4.1.3 Properties

1) f(x) >= 0 for all x Rx

2) f(x) dx = 1 or f(x) dx = 1
Rx

b
3) P( a < x < b ) = f(x) dx
a
4) Probability at a particular point is zero. i.e it is impossible that a continuous random
a
variable assumes a specific value since, P(X = a) = P ( a X a ) = f(x) dx =0
a
This means that it is almost impossible that a continuous random variable assumes a
specific value. Hence

P(aX b) = P ( a X< b ) = P( a< Xb) = P( a<X<b)

1.4.2 Cumulative Distribution function (c.d.f)

If X is a random variable, discrete or continuous, then P ( Xx) is called the cumulative

distribution function of X or distribution fn of X and denoted a F(x)

If X is discrete,

F(x) = Pj
j
xj x
1.4.2.1 Properties

1) F(x) is a non decreasing function of x, i.e if x1 < x2 then F(x1) F( x2)

2) F( - ) = 0 and F( ) = 1

3) P ( a X b ) can also be expressed in terms of distribution function as

P ( a X b ) = F(b) F(a)

4) If F(x) is a Cumulative Distribution function of a continuous random variable X then

the Probability Density function of X, f (x) is given by
f (x) = d [ F(x) ]
dx
5) If X is a discrete random varianble taking values x1, x2 .
.where x1< x2< x3 .. <xi-1<xi< - - - then P(X = xi ) = F(xi) F ( xi-1)

Example1: The probability function of a random variable X is given by

P(x) = for x = 2
= for x = 0
= for x = 10.
Verify that the total probability is 1.Evaluate the following probabilities
a)P(X0) b)P(X<0) c) P(|X|2) and d) P(0X10).

Solution:

pj = + + = 1
j=1
Hence the total probability is 1

a) P(X0) = P(X= -2) + P(X= 0) = + =

b) P(X<0) = P(X= -2) = .

c) P(|X|2) = P(-2X2) = P(X= -2) + P(X= 0) = .

d) P(0X10) = P(X= 0) + P(X= 10) = .

Example 2: Consider a random experiment of tossing three times a fair coin. Let X
denote the number of tails and Y denotes the number of consecutive tails.

Find
i)The probability distribution of X and Y
ii)the distribution function of x
iii)the probability distribution of X + Y and XY.

Solution:
The sample space of the random experiment is

S= {HHH, HHT, HTH,THT,HTT,THH,TTH,TTT}

Each element of S occurs with probability 1/8. The values of X, Y, X + Y and XY for
each outcome is tabulated.

Event HHH HHT HTH HTT THH THT TTH TTT

X 0 1 1 2 1 2 2 3

Y 0 0 0 2 0 0 2 3

X+Y 0 1 1 4 1 2 4 6

XY 0 0 0 4 0 0 4 9

i)Probability distribution of X

Value of X, x 0 1 2 3

p(x) 1/8 3/8 3/8 1/8

ii)Probability distribution of Y

Value of Y, y 0 2 3

P(y) 5/8 2/8 1/8

iii)distribution function of X

Value of X+Y 0 1 2 4 6

p(x) 1/8 3/8 1/8 2/8 1/8

iv)Probability distribution of X + Y
Value of XY 2 4 9

p(x) 5/8 2/8 1/8

v) Probability distribution of XY

X [-,0) [0,1) [1,2) [2,3) [3,)

F(X) 0 1/8 4/8 7/8 1

Example 3: Find the constant c so that the function

f(x) = cx,2, 0<x<3

= 0, otherwise is a pdf . Find the distribution function and evaluate
P(1<x<2).

Solution:
Given f(x) = cx,2, 0<x<3
= 0, otherwise
By the property of pdf

f(x)dx = 1
-

3 3
cx,2dx = 1 => [cx3/3] = 1 => 9c =1 => c = 1/9.
0
0
The distribution function is given by
x
F(x) = P(Xx) = f(x)dx
-
x
When x0, F(x) = P(X0) = f(x)dx = 0 since f(x) is not defined for x<0.
-
0 x x x
When 0<x<3, F(x) = P(Xx) = f(x)dx + f(x)dx = x 2/9 dx = x3/27] = x3/27.
0
- 0 0

When x3
0 3 x 3 3
F(x) = P(Xx) = f(x)dx + f(x)dx + f(x)dx = x 2/9 dx = x3/27] = 1
0
- 0 3 0

F(x) = 0, x0
3
x /27, 0<x<3
1, x 3.

2 2 2
P(1<x<2) = f(x)dx = x2/9dx = 1/9(x3/3) = 7/27.
1
1 1

Example 4: A random variable has the following probability distribution

X : 0 1 2
p(x) : 3c2 4c 10c2 5c - 1

Find i)the value of c ii) P(0<X<2/X>0) and iii) the distribution function of X iv)the
largest value of X for which F(x) < and v) largest value of X for which F(x) >

Solution:
i)since p(x) = 1, 3c2 + 4c 10c2 + 5c -1 = 1
7c2 -9c + 2 = 0
c= 2/7, 1
The value c = 1makes some p(x) negative which is meaningless.
Therefore c = 2/7

ii) P(0<x<2/x>0)
We know P(A/B) = P(AB)
P(B)
P(0<x<2/x>0) = P(0<x<2 x>0) = 4c 10c2 = 4c 10c2 where c =2/7
P(x>0) P(x=1) + P(x=2) 4c 10c2 + 5c - 1
 = 4c 10c2 = 8/7 - 40/49 = 16/37
10c2 + 9c 1 -40/9 +18/7 -1

iii)cdf is defined as F(x) = P(Xx)

when x<0 F(x) = 0
when 0 x<1 F(x) = P(X = 0) = 12/49.
when 1 x<2 F(x) = P(X = 0) + P(X = 1) = 4/7
when x 2 F(x) = P(X = 0) + P(X = 1) + P(X = 2) = 1
iv) form the above cdf it is clear that the largest value of X for which F(x) < is x = 0

v) Similarly form the above cdf it is clear that the largest value of X for which F(x) > is
x=1

Example 5: The probability function of an infinite discrete distribution is given by

P(X =j) = 1/2j(j = 1,2,). Verify that the total probability is 1 and find the mean and
variance of the distribution. Find also P(X is even). P(X5) and P(X is divisible by 3).

Solution:
Let P(X =j) = pj

pj = +1/22 1/23 + - - - - - which is geometric series
j =1

= = 1
1-

The mean of X is defined as E(X) = j pj
j =1
Therefore E(X) = a +2a2 +3a3 + - - - - where a = 1/2
= a(1 + 2a + 3a2 + - - - - )
= a(1 - a)-2

= = 2.
()2

The variance of X is defined as V(X) = E(X2) [E(X)]2

Where [E(X)]2 = j2 pj
j=1

[E(X)] = j2 aj , where a = 1/2
2

j =1

= [j(j + 1) j] aj = j(j + 1) aj - jaj
j=1 j =1 j =1

= a(1.2+2.3a+3.4a2+ - - - -) a(1 + 2a +3a3 + - - - )

= a x 2(1-a)3 a x (1-a)-2

= 2a - a (where a =1/2)
3
(1-a) (1-a)2

= 8-2 = 6

Variance = E(X2) [E(X)]2 = 6 - 4 = 2

P(X is even) = P(X = 2 or X = 4 or X= 6 or- - - - - - )

= P(X = 2 )+P(X = 4) + P( X= 6) +- - - - - -

=()2 +()4 +()6 + +- - - - - -

=
1-
= 1/3

P(X5) = P(X = 5 or X = 6 or X= 7 or- - - - - - )

= P(X = 5 )+P(X = 6) + P( X= 7) +- - - - - -

= ()5
1-
= 1/16

P(X is divisible by 3) = P(X = 3 or X = 6 or X= 9 or- - - - - - )

= P(X = 3 )+P(X = 6) + P( X= 9) +- - - - - -

= ()3 +()6 +()9 + +- - - - - -

= 1/8
1 1/8
= 1/7
Example 6: The diameter of an electric cable X is a continuous RV with pdf
f(x) = kx(1 -x), 0X1. Find i)the value of k, ii)cdf of X, iii) the value of a such that
P(X<a) = 2P(X>a) and iv) P(X/1/3<X<2/3)

Solution
i) If f(x) is pdf f(x)dx = 1

1 1 1
kx(1 -x)dx = 1 => k(x x2)dx = 1 => k[x2/2 - x3/3] = 1
0
0 0

=> k/6 =1 => k =6

x
ii) F(x) = P(Xx) = f(x)dx
-
x
When x0, F(x) = P(X0) = f(x)dx = 0 since f(x) is not defined for x<0.
-
0 x x x
When 0x1, F(x) = P(Xx) = f(x)dx + f(x)dx = k(x x2) dx =k[x2/2 - x3/3 ] =.
0
- 0 0
2 3
= 3x 2x

When x1 0 1 x 1 1
F(x) = P(Xx) = f(x)dx + f(x)dx + f(x)dx = k(x x2) dx = k[x2/2 - x3/3 ]
0
- 0 1 0

= 1
Therefore cdf is given by

F(x) = 0, x0
3x2 2x3, 0x1
1, x 1.

iii) P(X<a) = 2P(X>a)

a
=> f(x)dx = 2 f(x)dx
0 a

a 1
=> f(x)dx = 2 f(x)dx
0 a
 a 1
=> k(x x2)dx = 2 k(x x2)dx
0 a

a 1
2 3 2 3
=> k[x /2 - x /3 ] = 2 k[x /2 - x /3 ]
0 a

=> a /2 - a /3 = 2[1/2 1/3 - a /2 + a3/3 ]

2 3 2

=> 3a2/2 - 3a3/3 - 1/3 = 0

=> 9a2 6a3 -2 = 0
6
The value of a is the solution of the cubic equation 6a3 -9a2 + 2 = 0, which lies between o
and 1.

iv) P(0X1/2 1/3 < X < 2/3) = P(1 /3 < X < 1/2)
P(1 /3 < X < 2/3) P(1 /3 < X < 2/3) 0 1/3 2/3 1

1/2 1/2
k(x x2) dx [x2/2 - x3/3 ] 1/8 1/24 - 1/18 + 1/81
1/3
1/3 = =
2/3
k(x x2) dx [x2/2 - x3/3 ] 4/18 - 8/81 -1/18 +1/81
1/3
1/3

= (13/24) / (13/162) =

Example 7: Suppose that the life of a certain radio tube (in hours) is a continuous R V
with pdf

f(x) = 100/x2 , x 100

= 0, elsewhere
i) Find the distribution function
ii) If 3 such tubes are inserted in a set what is the probability that none of the
three tubs will be replaced during the first 150 hours of operation.
iii) What is the probability that exactly one tube will have to be replaced after
150 hours of service?
iv) What is the probability that all the tubes will be replaced after 150 hours of
service?
v) What is the maximum number of tubes that may be inserted into a set so that
there is probability of 0.1 that after 150 hour of service all of them are still
functioning?

Solution:
The distribution function is given by P(Xx)

When x 100
F(x) = P(Xx) = 0 since f(x) is 0

When x>100 x x x
F(x) = P(Xx) = f(x)dx = 100/x2 dx = 100 [-1/x] = 1 - 100/x
100
100 100

The distribution function is

F(x) = 0 , x 100
= 1 - 100/x , x > 100

ii) Let the random variable X be the life of a radio tube.

Probability of a tube will last for 150 hours = P(X 150)
150
= (100/x2) dx = 1/3.
100
Therefore the probability that one tube will not be replaced in the first 150 hours is 1/3.
The probability of two will not be replaced in the first 150 hours is (1/3)2. Probability
that none of the three tubes will have to replaced during first 150 hours is (1/3)3

iii)The probability that a tube will not last for 150 hours = 1-1/3 = 2/3.
Probability that two tubes last for 150 hours = (1/3)2.Since there are 3C1 ways of
choosing 1 tube from the 3 tubes, the required probability that exactly after 150 hours
= 3C1(1/3)2(2/3) = 2/9.

iv)Probability that 1 tube will be replaced after 150 hours = 2/3

Thus the probability that all the tubes will be replaced after 150 hours = (2/3)3 = 8/27.

v)Suppose there are n tubes. The probability that all the n tub4es are functioning after
150 hours is(2/3)n. Since this probability is given t be 0.1, we have (2/3)n = 0.1. if we
substitute values for n we can see that n = 5 is the maximum value of n that satisfies the
equation. Hence 5 tubes are to be inserted so that all of them are functioning after 150
hours.

Example 8: The c.d.f of a continuous R.V X is given by

F(x) = 0, x < 0
= x2 , 0 x <
= 1 - 3/25(3-x)2, x < 3
Find the pdf of X and evaluate P(|X| 1) and P(1/3 X < 4) using both the pdf and cdf.

Solution:
The points x = 0,1/2 and 3 are points of continuity
we know that if X is a continuous random variable
d F(x) = f(x)
dx

therefore f(x) = 0, x<0

= 2x, 0x<
=6/25(3 - x), x<3
= 0, x3.

Although the points x = 1/2 , 3 are points of discontinuity for f(x), we may assume that
f(1/2) = 3/5 and f(3) = 0.

P(|X|1) = P(-1x1)
1 1
= f(x)dx = 2x dx + 6/25(3 - x)dx = 13/25
-1 0
If we use property of cdf
P(|X|1) = P(-1x1) = F(1) - F(-1) = 13/25

If we use property of pdf

3
P(1/3X<4) = 2x dx + 6/25(3 - x)dx = 8/9
1/3
If we use property of cdf
P(1/3X<4) = F(4) - F(1/3) = 1 1/9 = 8/9.

Have you understood ?

Say true or false. Justify your answer.

1. A random variable is a multi valued function.

2. Probability distribution function and probability density function of a continuous
random variable are continuous.
3. For a discrete random variable, the probability density function represents the
probability mass function.
4. The probability mass function can take negative values.
5.A discrete random variable can be considered as a limiting case of continuous random
variable with impulse distribution.

Answers:(1.False, 2. True, 3.True, 4. False, 5.True)

Short answer questions.
1.Define a random variable?
2.What is discrete random variable? Give an example.
3. What is continuous random variable? Give an example.
4.What is a probability distribution function?
5.Give the properties of probability distribution function?
6.What is a probability density function?
7. Give the properties of probability density function?

TRY YOURSELF !

1..A continuous random variable X has probability density function given by

f(x) = 3x2 0 x1. Find K such that P(X >K) = 0.05. (Solution: k = 0.7937).
2. If the density function of a continuous RV X is given by
f(X) = ax , 0 x1
= a, 1 x2
= 3a ax, 2 x3
= 0, elsewhere
i)Find the value of a
ii) find the cdf of X
iii)If x1, x2 and x3 are 3 independent observations of X, what is the probability that
exactly one of these 3 is greater than 1.5.(Solution: i)a = ii) x4/4, 0 x1;
x/2 , 1 x2 ; 3x/2 x2/4 5/4, 2 x3; 1 x >3. iii) 3/8 )

3. A random variable X has the following probability function

X: 0 1 2 3 4

P(X): K 3K 5K 7K 9K

i) Find the value of K

ii) Find P(X<3), P(X3), P(0<X<4)
iii) Find the distribution function of X.
(Solution: i) K = 1/25 ii)9/25, 16/25, 3/5, iii) 1/25,4/25,9/2516/25,1)

1.5 EXPECTATION AND MOMENTS

1.5.1 Expectation
If X is a discrete random variable, then the expected value or the mean value of g(x)
defined as

E (g(x)) = g(xi) pi
i

Where,
pi = P(X = xi) is the probability mass function of X.

If X is a continuous random variable with pdf. f(x) then

E (g(x)) = g(x) f(x) dx

Rx

Mean x = E(x) = xi pi if X is discrete

i

= x f(x) dx if X is continuous
Rx

Var(x) = x2 = E ((x- x )2 )

= (xi - x) 2 pi , if X is a discrete

= (x- x )2 f(x)dx , if X is continuous

The square root of variance is called Standard Deviation.

Note:
E(a) = a
E (aX) = a E (X)
E (aX + b) = a E (X) + b
Var (X) = E(X2) (E(X))2
Var (aX) = a2 Var(X)
Var (aX + bY) = a2 Var(X) + b2 Var(Y)

1.5.2 Moments:
If X is a discrete or continuous random variable the n th moment about the origin
is defined as the expected value of the n th power of X and is denoted by n'
n' = E (Xn)
= xi n pi

= x n f(x) dx
-

The n th central moment of a random variable X is its moment about its mean
value X and is defined as
E[(X - X)n]
= (xi X )n pi = n , if X is discrete

= (x- x )n f(x) dx = n , if X is continuous
-
Since the first and second moments about the origin are given by 1' = E (X) and
2' = E (X2) we have
mean = first moment about the origin
Var(X) = 2' (1')2

Note:
E(|X|n) and E ( |X - x|n ) are called absolute moments of X.

E { | X - a|n } and E {(X - a)n } are called generalized moments of X.

1.6 MOMENT GENERATING FUNCTION:

The moment generating function (m g f) of a random variable X about the origin whose
probability distribution function f(x) is given by E(etX) and is denoted by MX (t)

Hence MX(t) = E(etX)

= etx f(x), if X is a discrete

= etx f(x) dx , if X is continuous
-
Moment generating function will exist only if the sum or integral of above definition
converges.

Moment generating function generates the moments n' about origin.

Consider MX(t) = E(etX)
= E 1 + tx + t2X2 + - - - - + tnXn + - - - -
2! n!
= 1 + tE(x) + t2E(X2) + - - - - + tn E(Xn) + - - - -
2! n!
2 n
= 1 + t 1' + t 2' + - - - - + t n ' + - - - -
2! n!
where n ' is the n moment about the origin. Thus we see that the coefficient of tn / n!
th

in Mx(t) gives n '.

1' = d MX (t)
dt t=0

2' = d2 MX(t)
dt2 t=0

n' = dn MX(t)
dtn t=0
Theorem: McX(t) =MX(ct) where c is a constant.
Proof:
By definition of m g f
McX(t) = E(etcX) = E(ectX) = MX(ct)

Theorem: The m g f of the sum of independent random variables is equal to the product
of their respective m g fs. i.e If X1, X2, - - - Xn are n independent random variables then
the m g f of X1+ X2 + - - - + Xn is given by
M X1+ X2 + - - - + Xn (t) = M X1(t)M X2(t) - - -M Xn (t).

Proof:
By the definition of ,m g f
M X1+ X2 + - - - + Xn (t) = E [et (X1+ X2 + - - - + Xn )]
= E [etX1 et X2 - - - et Xn )]
= E [etX1][ et X2] - - - [et Xn )]
= M X1(t)M X2(t) - - -M Xn (t).

Theorem: (Effect of change of origin and scale on m g f):

Let X be transformed to a new variable U by changing both the origin and scale in X as
U = (X - a)/ h where a and h are constants .Then m g f (about the origin) of U is given by
MU(t) = e-at/h MX(t/h)

Proof:
MU(t) = E[etU] = E[et(X - a)/h]
= E[et(X/h e-at/h]
= e-at/h E[et(X/h]
= e-at/h MX(t/h)

Note: in the above theorem putting a = E(X) = and h = (standard deviation),

U = [X E(X)] / S.D(X) = (X ) / = Z is called the standard variate.

The m g f of Z is MZ(t) = e- t/h MX(t / )

Theorem: Uniqueness theorem

If two random variables have the same moment generating function then thy must have
the same distribution.

Example1:
Find the m g f for f(x) = 2/3 at x = 1
1/3 at x = 2
0 otherwise
And also find 1' & 2'
Solution:
MX(t) = etx f(x) = et(2/3) + e2t(1/3)

Mean = 1' = d MX(t) = d et(2/3) + e2t(1/3)

dt t=0 dt t=0

= et(2/3) + e2t(2/3) = 4/3

t=0

2' = d2 MX(t) = d2 et(2/3) + e2t(2/3) = 2

dt2 t=0 dt2 t=0

Example 2: A r.v is uniformly distributed in the interval (a,b)with p d f

f(x) = 1/(b - a) , a< x<b

= 0 elsewhere
Find the m g f of X . Using this find the mean and variance in two different ways .

Solution:
By definition

tX
MX(t) = E(e ) = etx f(x) dx ,
-
b
= etx (1/b-a) dx , = etb - eta
a t (b- a)

MX(t) = 1 1 + tb + t2b2 + t3b3 + . . . . - 1 + ta + t2a2 + t3a3 + - -

t(b - a) 2! 3! 2! 3!

= 1 t (b - a) + t2(b2 a2) + t3(b3 a3) +----

t (b - a) 2! 3!

MX(t) = 1 + t (b + a) + t2(b2 + ab + a2) + - - -

2! 3!

Mean = 1' = d MX(t)

dt t=0

= d 1 + t (b + a) + t2(b2 + ab + a2) + - - -
dt 2! 3! t=0
 = 0 + (b + a) + remaining terms will contain t in the numerator
2

Mean = E(X) = (b+ a) / 2

E(X2) = 2' = d2 MX(t)

dt2 t=0

= d2 1 + t (b + a) + t2(b2 + ab + a2) + - - -
dt2 2! 3! t=0

= 2 (b2 + ab + a2)
3!

Var(X) = E(X2) [E(X)]2

= 2 (b2 + ab + a2) - [(b+ a) / 2]2

3!

= (b - a)2
12
Another method to find mean and variance:

As you know the coefficient of tn / n! in the expansion of Mx(t) gives n '.

Mean = 1 ' th coefficient of t /1! or t

We have MX(t) = 1 + t (b + a) + t2(b2 + ab + a2) + - - -

2! 3!
= 1 + t (b + a) + t2(b2 + ab + a2) + - - -
2 2! .3
1 ' = (b + a)
2

2 ' = (b2 + ab + a2)

3

Variance = 2 ' (1 ')2 = (b - a)2

12

Example 3: Show that m g f of the random variable X having p d f

f(x) = 1/3, -1<x<2
= 0 , elsewhere is given by
MX(t) = e2t e-t , t 0
 3t
= 1, t=0

Solution:
2 2
MX(t) = e f(x)dx = 1/3 e dx = 1/3 [e /t] = 1/3[e2t/t e-t/t] = e2t - e-t , t 0
tx tx tx
-1
- -1 3t

When t = 0 MX(0) = 0
0
Applying LHospital rule

MX(0) = 2e2t + e-t = 1

3 t=0

Therefore mg f of the random variable X is given by

MX(t) = e2t e-t , t 0
3t
= 1, t=0

Example 4:
Lt X be the random variable which assumes the value x with the probability
P(X = x) = qx-1p, x = 1,2,- --. Find the m g f of X and find its mean and variance.

Solution:

MX(t) = etx f(x) = etx qx-1p = p (qet)x = p (qet) (qet)x-1
x=1 q x =1 q x =1

= pet (1 - qet)-1 = pet

1 - qet
MX(t) = pet
1 - qet

Mean = 1' = d MX(t) = d pet

dt t=0 dt 1 - qet t = 0

= (1- qet) pet - pet(-qet) = (1 - q) p - p(-q) = p = p = 1 (p+ q = 1)

t 2
(1 - qe ) t=0 (1 - q)2 (1 - q) 2
p2 p

Var(X) = 2' (1')2

 2' = d2 MX(t) = d2 pet = d (1- qet) pet + pqe2t)
dt2 t=0 dt2 1 - qet t=0 dt (1 - qet)2 t=0

= (1 - qet)2 [(1- qet) pet + pet(-qet) + 2pqe2t] {[(1- qet) pet + pqe2t)]2(1 - qet) (-qet)}
(1 - qet)4 t=0

= (1 - q)2 [(1- q) p + p(-q) + 2pq] {[(1- q) p + pq)]2(1 - q) (-q)}

(1 - q)4

2' = (1 - q)2p + 2pq(1 - q) = (1 - q)p + 2pq = p(1 + q) = 1+q

(1 - q)4 (1 - q)3 p3 p2

Var(X) = 2' (1')2 = 1/p - (1+q)/p2 = q

p2

Example 5:
Let X have the probability mass function
f(x) = 6 1 , k = 1, 2,- - -
2 k2
0 otherwise.

Find the m g f ?

Solution:

tx
MX(t) = e f(x) = etk 6 1 (as k , etk )
k=1
2 k2
MX(t) is infinity for any t>0

Therefore m g f does not exist.

We will be discussing about the m g f of different distributions in the coming topics.

Have you understood ?

1. Define expectation of a random variable.
2.Define nth central moment about its origin.
3.Define mgf of a random variable?
4.State the properties of mgf of a random variable.

TRY YOURSELF !
1. Find the mgf for the distribution where
f(x) = 2/3 at x = 1
= 1/3 at x = 2
= 0, otherwise
Also find the mean and variance?
(Solution: et 2/3 + e2t 1/3, 4/3, 2)

2. A random variable X has density function given by

f(x) = 2 e-2x, x 0
= 0, x<0
Obtain the mgf and the mean?
(Solution: 2/(2 - t), )

While constructing probabilistic models for observable phenomena, certain probability

distributions arise more frequently than do others. We treat such distributions that play
important roles as special probability distributions. Here we will be discussing discrete as
well as continuous distributions in considerable detail.

1.7 DISCRETE DISTRIBUTIONS

1.7.1 BINOMIAL DISTRIBUTION

Many random processes can be mapped into two outcomes. For example:

win or lose
success or failure
heads or tails

These either-or situations are called binary outcomes.

Suppose I am at a party, and I ask a girl to dance. There are two outcomes. She can agree
to dance with me, or she can turn me down.

At the party, I can ask any number of girls to dance with me. Each girl has the same two
choices: agree to dance with me, or turn me down.
Assume that each girl's decision is independent of one another, and that my probability of
success with each girl is the same. These are the iid assumptions that we described at the
end of the last lecture.

Let n be the number of girls I ask to dance. Let X be the number of girls who agree to
dance with me. We say that X is a binomial random variable, because it is the sum of
binary outcomes.

Suppose that when I ask a girl to dance with me, the probability that she will agree to do
so is .15. We call this p, the probability of success.

The distribution of the random variable X--my overall number of dance partners--will
depend on the number of girls I ask, n, and my probability of success, p.

It is a distribution associated with repetition of independent trial of an experiment. Each

trial can result in a success with probability p and a failure with probability q = 1-p.

Such a trial is know as a Bernoulli trial. Some examples of Bernoulli trials are

1) Toss of a single coin ( head or tail )

2) Performance of a student in an examination ( pass or fail )

A random variable X which takes only 2 values 0 and 1 with probability q and p
respectively ie P ( X = 1 ) = p, P (x = 0 ) = q. Then q = 1 p is called a Bernoulli variable
and X is said to have Bernoulli distribution. P is called the parameter of Bernoulli
variate.

A Bernoulli random variable with parameter rp has probability mass function given by P
( X x ) = px q 1 x where x = 0,1 .

An experiment consisting of repeated number of Bernoulli trails is called Binomial

experiment. A binomial experiment must posses the following properties

1) there must be a fixed number of trials

2) all trails must have identical probabilities of success
3) the trials must be independent of each other

1.7.1.1 Binomial distribution

Let X be the number of success in a repeated independent Bernoulli trials with

probability p of success for each trial .Then X is called the Binomial random variable
with parameters p and n or symbolically B ( n, p)

The probability mass function of a binomial random variable given by

P ( X= x ) = n Cx pxq n - x, where x = 0,1,2 n where p + q = 1
Note:
1) The name binomial distribution is given since the probabilities
nCx q n-x p x ( x = 0,1,2.n ) are the successive terms in the expansion of the binomial
expression ( p + q ) n
2) Binomial distribution is a legitimate probability distribution since
n n
P (X = x ) = nCx q n-x px
x=0 x=0
3) If we assume that n trials constitute a set and if we consider N sets, the frequency
function of the binomial distribution is given by
f(x) = Np(x) = N nCxrpxqn-x: x = 0,1,2, - - -n

In many scientific and engineering applications the Binomial distribution finds

application.

1.7.1.2 Additive property of a Binomial distribution

If X1 and X2 are 2 input binomial random variable with parameter ( p1, n1 ) and p1, n2 )
then X1 + X2 is a Binomial random variable with parameters ( p, n1 + n2)

In many scientific and engineering applications the Binomial distribution finds

application.
1) it is used in quality control statistics to count the number of defects of an item
2) in biology to count the number of bacteria
3) in insurance problems to count the number of causalities

1.7.1.3 Mean and variance of the binomial distribution

E(X) = xipi
n
= x. nCxpxqn-x
x=0
n
= x. n! pxqn-x (1)
x = 0 x!(n - x)!

n
= np (n-1)! px-1q(n-1) (x 1)
x = 0 (x-1)!{(n - 1) (x - 1)}!
n
= np (n - 1)Cx 1. px-1q(n - 1) (x - 1)
x=1
= (q + p)n-1
= np. (2)
 n
2 2
E(X ) = xi pi = x2px
0

n
= {x(x-1) + x} n! pxqn-x
x=0 x! (n - x)!

n n
= x(x-1) n! pxqn-x + x n! pxqn-r
x=0 x! (n - x)! x = 0 x! (n - x)!
n
= n(n - 1)p2 (n - 2)! px-2q(n - 2) (x - 2) + np
x = 2 (x - 2)!{(n-2) (x - 2)}!
n
= n(n - 1)p2 (n - 2)Cx-2px-2 qn-x + np
x=2

= n(n - 1)p2 (q + p)n-2 + np

= n(n - 1)p2 + np

Var (X) = E(X2) + { E(X)}2

= n(n - 1)p2 + np - n2p2

= np(1 - p)
= npq

1.7.1.4 M G F of the binomial distribution:

n
Mx(t) = etxpx
x=0
n
= etx n Cxpxqn-x
x=0

n
= n Cxr(pet) xqn-x
x=0
= (pet +q)n

1.7.1.5 Recurrence formula for the central Moments of the binomial distribution.
By definition , the kth order central moment k = E{X E(X)}k.
For the binomial distribution B(n,p)
 n
k = (x - np)kn Cxpxqn-x (1)
x=0

By differentiating (1) with respect to p,

n
dk = nCx [-nk(x - np)k -1.pxqn-x + (x - np)k{xpx-1qn-x + (n - x)pxqn-x-1(-1)}]
dp x=0
n
= -nk-1 + nCx (x - np)kpx-1qn-x-1[xq (n - x)p]
x=0
n
= -nk-1 + nCx(r - np)kpr-1qn-x-1(x - np) (since p +q = 1)
x=0
n
= -nk-1 + 1 nCxpxqn-x (x - np)k+1
q x=0

= -nk-1 + 1 k+1
pq

i.e., k+1 = pq dk + nk-1 (2)

dp

using recurrence relation (2) we may compute moments of higher order, provided
moments of lower order are known
Putting k = 1 in (2), we get

2 = pq d1 + n0
dp

= npq (since the values 0 = 1 and 1 = 0)

Putting k = 2 in (2), we get

3 = pq d2 + 2n1
dp

= pq d [np(1 - p)]
dp
= npq[1 2p] = npq(q p)

Putting k = 2 in (2), we get

4 = pq d3 + 3n2
dp
 = npq d {p(1-p) (1- 2p)} + 3npq
dp
= npq [1- 6p + 6p2 + 3npq ]
= npq [1 6pq + 3npq]
= npq [1 + 3pq(n-2)]

Note: 2 is the variance, 3 is a measure of skewness and 4 is a measure of kurtosis.

1.7.1.6 Recurrence formula for Binomial distribution distribution:

P(X = x) = nCxpxqn-x

P(X = x + 1) = nCx+1px+1qn-(x+1)

P(X = x + 1) = nCx+1px+1qn-(x+1)
P(X = x) nCxpxqn-x

P(X = x + 1) = (n - x). p . P(X = x)

( x +1) . q

Example 1:
For a binomial distribution with parameter n = 5 and p, the probability of success = 0.3,
find the probabilities of getting i) at least 3 success ii) at most 3 success iii)exactly 3
failures.

Solution:
Let X denote the success.
Probability distribution is given nCxpxqn-x
Given n = 5. p= 0.3, q = 1 p = 1 0.3 = 0.7
i)the probability of atleast 3 successes
= P(X = 3) + P(X = 4) + P(X = 5)
= 5C3(0.3)3(0.7)2 + 5C4(0.3)4(0.7)1 + 5C5(0.3)5(0.7)0
= 0 .1631

ii)The probability of atmost 3 successes

= P(X = 0) + P(X = 1) + P(X = 2) + P(X = 3)
= (0.7)5 + 5C1(0.3)1(0.7)4 + 5C2(0.3)2(0.7)3 + 5C3(0.3)3(0.7)2
= .9692

iii)The probability of exactly 3 failures

= the probability of exactly 2 successes
= P(X = 2)
= 5C2(0.3)2(0.7)3
= .3807
Example 2 :
The mean of a binomial distribution is 5 and standard deviation is 2. Determine the
distribution.
Solution:
Mean of the Binomial distribution is % i.e, np = 5
S D is 2. Therefore npq = 2 or npq = 4

npq = 4
np 5
q = 4/5, p = 1 q = 1 4/5 = 1/5
We have np = 5, but p = 1/5
Therefore n = 25
Hence the Binomial distribution is nCxpxqn-x = 25Cx(1/5)x(4/5)n-x, x = 0,1,2, - - - -25

Example 3:
The mean and variance of a Binomial variate are 8 and 6.Find P(X2).
Solution:
Given np = 8 and npq = 6.
npq = 6 = 3
np 8 4
Therefore q = , hence p = 1 =
But np = 8 i.e, n = 8 => n = 32
The Binomial distribution is nCxpxqn-x = 32Cx()x( )32 x, x = 0,1,2, - - -32
P(X2) = 1 [p(0) + p(1)]

= 1 ()32 + 32C1()( )31

= 1 - ()31 +3 2/4

= 1 (35/4)( )31

Example 4:
If on an average one vessel in every ten is wrecked, find the probability that out of five
vessels expected to arrive, at least four will arrive safely.
Solution:
Let p denote the probability that a vessel will arrive safely
Then p = 9/10 and q = 1/ 10

Therefore probability for at least 4 out of 5 vessels to arrive safely

= P( X= 4) + P(X = 5)

= 5C4(9/10)4(1/10) + (9/10)5
= 0.9185
Example 5:
In a Binomial distribution consisting of 5 independent trials, the probabilities of 1 and 2
successes are 0.4096 and 0.2048 respectively. Find the parameter p of the distribution.

Solution:
The Binomial distribution is p(x) = nCxpxqn-x
p(1) = 5C1pq4 = 0.4096 (1)
p(2) = 5C2p2q3 = 0.2048 (2)

Dividing (2) by (1)

10p2q3 = 0.2048
5pq4 0.4096
2p = 1
q 2
2p = 1
(1 - p) 2
4p = 1- p
p = 1/5.

Example 6:
If X and Y are independent Binomial variables with parameters B1(5, )
And B2(7, ), find P(X + Y = 3)

Solution:
Since X and Y are independent binomial variables with parameters (5, ) and (7, ),
(X + Y) is a binomial variable with parameters (12, )
Therefore the probability distribution of the binomial variable X + Y is given by,
P[X + Y = x] = 12 Cx ()x()12-x
P[X + Y = 3] = 12 C3 ()3()9 = 55/ 704

Example 7:
Ten coins are tossed simultaneously, find the probability of getting i) at least seven heads
ii) exactly seven heads iii) at most seven heads.

Solution:
n = 10
p = probability of head in the toss of a coin =
q = 1 p = 1 =
p(x) = nCxpxqn-x
p(x) = 10Cxpxq10 x
p(x) = 10Cx()x()10-x
= 10Cx (1/210)
i)Probability of getting at least 7 heads
P(x7) = P(X = 7) + P(X = 8) + P(X = 9) + P(X = 10)
= ()10 [10C7 + 10C8 + 10C9 + 10C10 ]

= [120 + 45 +10 +1] = 11

1024 64

ii)Probability of getting exactly 7 heads

= P(7) = 10C7()10 = 15
128

iii)Probability of getting at the most 7 heads

P(x 7) = P(X = 0) + P(X = 1) + P(X = 2) + - - - - + P(X = 7)

= 1 [P(X = 8) + P(X = 9) + P(X = 10)]
= 1 . 1 . [10C8 + 10C9 + 10C10]
210
= 1 56/1024
= 121/128.

Example 8:
If 10% of the screws produced by an automatic machine are defective, find the
probability that out of 20 screws selected at random, there are
i)exactly two defectives
ii)at most three defectives
iii)at least two defectives
iv)between one and three defectives(inclusive).
Find also mean and variance.

Solution:
p = probability that a screw is defective
= 0.1
q = 0.9
p(x) = 20Cx(1/10)x(9/10)20-x x = 0,1,2, - - - 20
i)probability exactly two are defectives
p(x) = 20C2(1/10)2(9/10)18
= 190 .918
1020
ii) probability that there are at most three defectives
= P(X = 0) + P(X = 1) + P(X = 2) + P(X = 3)
= (9/10)20 + 20C1(1/10)(9/10)19 + 20C2 (1/10)2(9/10)18 + 20C3(1/10)3(9/10)17
= (9/10)17 [(9/10)3 + 20(1/10)(9/10)2 + 190 (1/10)2(9/10) + 1140(1/10)3]
= 917/1020 [729 + 1620 + 1710 + 1140]
iii)Probability that there are atleast two defectives
P(X2) = 1 P(X<2)
= 1 [P(X = 0) + P(X = 1)]
 = 1 [ (9/10)20 + 20C1(1/10)(9/10)19]
= 1 (919/1020)(9 +20)
= 1 (919/1020)(29)

iv)Probability that the number of defectives is between one and three (inclusive)
P(1X3) = P(X = 1) + P(X = 2) + P(X = 3)
= 20C1(1/10)(9/10)19 + 20C2 (1/10)2(9/10)18 + 20C3(1/10)3(9/10)17
= (917/1020)(4470)
v)Mean = np = 20 .(1/10) = 2
variance = npq = 20.(1/10)(9/10) = 9/5

Example 9:The probability of a successful rocket launching is p. If launching attempts

are made until 3 successful launchings have occurred, what is the probability that
exactly 5 attempts are necessary? what is the probability that fewer than 5attempts will
be necessary?
iii)If the launching attempts are made until 3 consecutive successful launchings occur,
what are the probabilities?

Solution:
p(x) = nCxpxqn-x
i)Exactly 5 attempts will be required to get 3 successes, if 2 successes occur in the first
four attempts and third success in the fifth attempt.
Therefore P(exactly 5 attempts are required )
= P(2 successes in 4 attempts) x P(success in the single fifth attempt)
Now, P(2 successes in 4 attempts = 4C2p2q2 (since it follows binomial distribution)
P(success in the single fifth attempt) = p (given)
Therefore P(exactly 5 attempts are required ) = 4C2p2q2 x p = 6p3q2.

ii)P(fewer than 5attempts are required)

= P(exactly 3 or 4 attempts are required)
= [P(2 successes in first 2 attempts) x P(success in the 3 rd attempt)] +
[P(2 successes in first 3 attempts) x P(success in the 4 th attempt]
= 2C2p2q0 x p + 3C2p2q1 x p
= p3 + 3p3q = p3(1 + 3q)

iii)Five attempts will be required to get 3 consecutive successes, if the first 2 attempts
result in failures and the last 3 attempts result in success.
Therefore required probability = q.q.p.p.p = q2p3

Three attempts will be required to get 3 consecutive success, if each attempt result in a
success.
Therefore required probability =p.p.p = p3

Four attempts will be required to get 3 consecutive success, if first attempt result in a
failure and the remaining attempts result in a success each.
Therefore required probability = q.p.p.p = qp3

Therefore, if the launching attempts are made until 3 consecutive successful launchings
occur, probability = q2p3 + p3 + qp3 = p3 (1 + q)

Example 10: Fit a binomial distribution for the following data:

x: 0 1 2 3 4 5 6 total
f: 5 18 28 12 7 6 4 80

Solution:
To find the binomial distribution which fits the given data, we require N, n and p. We
assume N = total frequency = 80 and from the given data n = 6.
To find p :
We know mean = np. From the given data we will find the mean and then equate to np
so that we can find the value of p.
x: 0 1 2 3 4 5 6 total
f : 5 18 28 12 7 6 4 80
fx: 0 18 56 36 28 30 24 192
mean = fx = 192
f 80

= 2.4
i.e, np = 2.4, hence p = 0.4 and q = 0.6

Now we will find the theoretical frequencies which is given by Np(x)

We have p(x) = nCxpxqn-x
When x = 0, 80p(0) = 6C0p0q6 = 3.73
When x = 1, 80p(0) = 6C1p1q5 = 14.93
When x = 2, 80p(0) = 6C2p2q4 = 24.88
When x = 3, 80p(0) = 6C3p3q3 = 22.12
When x = 4, 80p(0) = 6C4p4q2 = 11.06
When x = 5, 80p(0) = 6C5p5q1 = 2.95
When x = 6, 80p(0) = 6C6p6q0 = 0.33

Thus we have
x: 0 1 2 3 4 5 6
f: 3.73 14.93 24.88 22.12 11.06 2.95 0.33

Converting these values into whole numbers consistent with the condition that the total
frequency distribution is 80, the corresponding binomial frequency distribution is as
follows
x: 0 1 2 3 4 5 6
Theoretical f: 4 15 25 22 11 3 0
Example 11: Assume that half of the population is vegetarian so that the chance of an
individual being a vegetarian is . Assuming that 100 investigators take samples of 10
individuals each to see whether they are vegetarians, how many investigators would you
expect the reports that 3 people or less were vegetarians.
]
Solution
p = probability that an individual is a vegetarian =

q=1p=

n = Number of individuals for each investigator = 10

N = Number of investigators
The expected number of investigators reporting x persons as vegetarians
= N. n Cx px q n x
= 100. 10 Cx ( ) x . ( ) 10 x
= 100. 10 Cx ( ) 10

Therefore the number of investigators reporting three or less as vegetarians

= N [ p (0) + p(1) + p(2) + p(3) ]

= 100. ( ) 10 [ 10C0 + 10C1 + 10C2 + 10C3 ]

= (100/1024) [ 1 + 10 + 45 +120 ]

= 176 x 100 = 275 = 17

1024 16

Example 12: In a certain town, 20% samples of the population is literate and assume that
200 investigators take samples of ten individuals to see whether they are literate. How
many investigators would you expect to report that three people or less are literates in the
samples.
Solution
p = probability that an individual is literate = 20% = 0.2
q = 1 p = 0.8
n = 10
p (x) = 10Cx (0.2)x ( 0.8 ) 10 x

Therefore number of investigators reporting 3 or less as literate

= N [ p(0) + p(1) + p(2) + p(3) ]

= 200 [ (0.8 )10 + 10C1 (0.2) (0.8)9 + 10C2 (0.2)2 (0.8)8 + 10C3 (0.2)3 (0.8)7 ]
= 176
Example 13An irregular six faced die is thrown and the probability that in 10 throws it
will give five even numbers is twice the probability that it will give four even numbers.
How many times in 10,000 sets of 10 throws would you expect it to give no even
numbers.

Solution
Let p = probability of getting an even number in a throw of a die.

Therefore p(x) = 10Cx px q10 - x

Given p = (5) = 2 p (4)

Therefore 10C5 p5 q5 = 2.10 C4 p4 q6

10C5 . p = 2q
10C4

10 -5 + 1 . p = 2q . nCr = nr+1
5 nCr-1 r
6p = 10 ( 1 p )

p= 5 , q= 3
8 8

Therefore p( x ) = 10Cx (5/8 )x (3/8 )10 - x , x = 0,1,2, . . .. 10

Number of times no even number occurs in 10,000 sets of 10 throws
= 10,000 p(0)

= 10,000 ( 3 /8 )10 = 1

1.7.2 POISSON DISTIBUTION

The Poisson distribution is used to model the number of events occurring within a given
time interval.

The Poisson distribution is a discrete probability distribution that expresses the

probability of a number of events occurring in a fixed period of time if these events occur
with a known average rate, and are independent of the time since the last event.
It is also called as counting random variable.

17.2.1 Poisson distribution

If X is a discrete r v that can assume the values 0,1,2 - - -such that its probability mass
function is given by

P(X = x) = e- x ; x = 0,1,2 - - -: >0

x!
then is said to follow a Poisson distribution with parameter or symbolically X is said to
follow P()

1.7.2.2 Properties:

The number of outcomes occurring during a time interval is independent of the number
that occurs in any other disjoint time interval. So it is memory less.
The probability that a single outcome will occur during a very short time interval is
proportional to the length of the time interval. It does not depend on the number of
outcomes that occur outside this time interval.
The probability that mere then one outcome will occur in such a short time interval is
negligible.

1.7.2.3 Mean and variance of Poisson distribution

E(X) = xr pr
x

= x e- x (1)
x=0 x!

= e- x - 1
x = 0 (x - 1)!

= e- e = (2)

E(X2) = xx2 px
x

= {x(x - 1) + x} e- x
x=0 x!

= 2 e- x 2 +
x = 2 (x - 2)!

= 2e- e + = 2 +

Var (X) = E(X2) + { E(X)}2

= 2+ - 2 =

1.7.2.4 MGF of Poisson distribution:

MX(t) = etx e- x
x=0 x!

= e- (et)x
x=0 x!

= e- [ 1 + et + (et)2 + --]
1! 2!
t
- ( e )
= e e or e - exp(et) = exp((et -1))

1.7.2.5 Recurrence formula for Poisson distribution:

P(X = x) = e- x ; x = 0,1,2 - - -: >0

x!
P(X = x + 1) = e- x+1
(x +1)!

P(X = x + 1) = .
P(X = x) (x +1)

P(X = x + 1) = P(X = x) , x>0

(x +1)

1.7.2.6 Additive property of Poisson Random Variables

If X and Y are two independent Poisson Random Variables with means 1 & 2
Respectively, then X + Y is also a Poisson Random Variable with mean 1 + 2.

1.7.2.7 Poisson distribution as a limiting form of Binomial Distribution

Poisson distribution as a limiting form of Binomial Distribution under the following

conditions.
i) n, the number of trials is indefinitely large i.e, n
ii) p, the constant probability of success in each trial is very small, i.e, p .
iii) np = is finite or p = /n and q = 1 - /n, where is a positive real number.

Proof:
If X is a binomially distributed r v with parameters n and p then,
P(X = x ) = nCx pxqn-x, x = 0,1,2,- - -

= n(n-1) (n-2) - - - (n-(x -1)) px(1 -p)n -x

x!
= n(n-1) (n-2) - - - (n-(x -1)) (/n)x (1 (/n))n x (on putting p = /n)
x!
 = x 1 (1 1/n)(1 2/n) - - - (1 (x -1)/n) (1 - /n )n. (1 - /n) -x
x!

lim(P(X = x ) = x lim (1 1/n)(1 2/n) - - - (1 (x -1)/n) .lim(1 - /n )n.lim(1 - /n) -x

n x! n n n
np = = finite

= x e-, which is the probability mass function of Poisson RV

x!

since lim (1 k/n) = 1 when k is finite, lim(1 - /n )n = e-, lim(1 - /n) -x =1

n n n

Therefore we may compute binomial probabilities approximately by using the

corresponding Poisson probabilities, whenever n is large and p is small.

Some examples of Poisson variables are

i)the number trains arriving in a railway station in a given time interval.

ii)the number of alpha particles emitted by a radio active source in a given time interval
iii) the number of accidents reported in a town per day.
iv)to count the number of causalities in insurance problems.

Example1: The number of accidents in a year to taxi-drivers in a city follows a Poisson

distribution with mean equal to 3. Out of 1000 taxi drivers, find approximately the
number of drivers with i) no accidents in a year ii) more than 3 accidents in a year
Solution:
Here mean = = 3
The probability function is given by
P(X = x) = e- x ; x = 0,1,2 - - -: >0
x!
where is the number of accidents in a year.

i)Probability of no accidents in a year P(0) = e-3 = 0.0498

therefore out of 1000 drivers, the number of drivers with no accidents in a year is
1000 x 0.0498 = 49.8 50.

ii) Probability of more than 3 accidents in a year

= 1 - Probability of not more than 3 accidents in a year
= 1 P(X3) = 1 [P(0) + P(1) + P(2) + P(3) ]
P(1) = e-3.3
P(2) = e-3.32/2! = 4.5e-3
P(3) = e-3.33/2! = 4.5e-3
Therefore Probability of more than 3 accidents in a year
= 1 [P(0) + P(1) + P(2) + P(3) ]
= 1 e-3 [1 + 3 + 4.5 + 4.5]
= 1 - 0.6474 = 0.3526.
therefore out of 1000 drivers, the number of drivers with more than 3 accidents in a year
is 1000 x 0.3526 = 352.6 353.

Example 2: Fit a Poisson distribution for the following data.

x: 0 1 2 3 4 5 total
f(x): 142 156 69 27 5 1 400

Solution
To find the poisson distribution which fits the given data, we require N and . We assume
N = total frequency = 400
To find :
We know mean =
. From the given data we will find the mean and hence .
x: 0 1 2 3 4 5
f : 142 156 69 27 5 1
fx: : 0 156 138 81 20 5

mean = fx = 400 = 1
f 400

= 1

Theoretical frequencies are given by

N e- x , x = 0, 1,2,3,4,5 where N = 400
x!
Thus we get
x: 0 1 2 3 4 5
f: 147.15 147.15 73.58 24.53 6.13 1.23
Converting these values into whole numbers consistent with the condition that the total
frequency distribution is 400, the corresponding binomial frequency distribution is as
follows
x: 0 1 2 3 4 5
Theoretical f: 147 147 74 25 6 1

Example 3: It is known that the probability of an item produced by a certain machine

will be effective is 0.05. If the produced items are sent to the market in packets of 20,find
the number of packets containing at least , exactly and atmost 2 defective items in a
consignment of 1000 packets using i) binomial distribution ii) poisson approximation to
binomial distribution
Solution:
Using Binomial
i) p = probability that an item is defective = 0.05
q = 0.95
n = Number of independent trials considered
P(X = x) = nCxpxqn-x
a) P (exactly 2 defectives) = P(X = 2) = 20C2p2q18 = 0.1887
If N is the number of packets, each packet containing 20 items, then the number of
packets containing exactly 2 defectives is given by N x P(X = 2)
= 1000 x 0.1887 = 189, approximately

b)P(at least 2 defectives) = P(X2)

= 1 [p(0) + p(1)]
= 1 [20C0(0.05)0(0.95)20 + 20C1(0.05)1(0.95)19 ]
= 0.2641
If N is the number of packets, each packet containing 20 items, then the number of
packets containing at least 2 defectives is given by N x P(X 2)
= 1000 x 0.2641 = 264, approximately

c) P(at most 2 defectives) = P(X2)

= p(0) + p(1) + p(2)
= 20C0(0.05)0(0.95)20 + 20C1(0.05)1(0.95)19 + 20C2(0.05)2(0.95)18
= 0.9246
If N is the number of packets, each packet containing 20 items, then the number of
packets containing atmost 2 defectives is given by N x P(X2)
= 1000 x 0.9246 = 925, approximately

Using Poisson
ii) since p = 0.05 is very small and n = 20 is sufficiently large, binomial distribution
may be approximated by poisson distribution with parameter
= np = 1
therefore P(X = x) = e- x = e -1
x! 1!

a) P (exactly 2 defectives) = P(X = 2) = e -1 = 0.1839

2!
If N is the number of packets, each packet containing 20 items, then the number of
packets containing exactly 2 defectives is given by N x P(X = 2)
= 1000 x 0.1839 = 184, approximately

b) P(at least 2 defectives) = P(X2)

= 1 [p(0) + p(1)]
= 1 [e -1 + e -1]
= 0.2642
If N is the number of packets, each packet containing 20 items, then the number of
packets containing at least 2 defectives is given by N x P(X 2)
= 1000 x 0.2642 = 264, approximately

c) P(at most 2 defectives) = P(X2)

= p(0) + p(1) + p(2)
= 0.9197
If N is the number of packets, each packet containing 20 items, then the number of
packets containing atmost 2 defectives is given by N x P(X2)
= 1000 x 0.9197 = 920, approximately

Example 4: Assume that the number of planes crossing Indian border during war
between 5p.m and 6p.m is a Poisson random variable with parameter 3 and the number
between 6p.m and 7p.m is a Poisson random variable with parameter 4. If these two
random variables are independent what is the probability that more than 5 planes cross
the border between 5p.m and 7 p.m?

Solution:
Let X1 be the number of planes crossing the border between 5p.m and 6p.m
X2 be the number of planes crossing the border between 6p.m and 7p.m. Since X1 and X2
are independent Poisson random variables with parameters 3 and 4 respectively, X1 + X2
is a Poisson random variable with parameter 7.
P(X1 + X2 > 5) = 1 P(X1 + X2 5)
5
= 1- e-7 7x
x = 0 x!
= 1 0.3007 = 0.6993

Example 5: After correcting the proofs of the first 50 pages of a book, it is found that on
the average there are 3 errors per 5 pages. Use Poisson probabilities and estimate the
number of pages with 0,1,2,3 errors in the whole book of 1000 pages(e-6 = 0.5488)
Solution:
= mean = average no : of errors per page = 3/5 = 0.6
The probability that there are x errors per page is
p(x) = e- x = e-0.6 (0.6)x , x = 0,1,2 - - -- -
x! x!

i)Number of pages containing no error

N x p(0) = 1000 e-0.6 = 1000 x .5488 549 pages
ii)Number of pages containing one error
N x p(1) = 1000 e-0.6 x 0.6 = 329 pages
1!
iii)Number of pages containing 2 error
N x p(1) = 1000 e-0.6 x (0.6)2 = 1000 x 98.7 99 pages
2!
iv)Number of pages containing 3 error
N x p(1) = 1000 e-0.6 x (0.6)3 = 20 pages
3!
Example 6: Assume that the chance of an individual coal miner being killed in a Smine
accident during a year is 1/1400 . Use Poisson distribution to calculate the probability
that in a mine employing 350 miners, there will be atleast one fatal accident in a year
(e-.25 = 0.7788)
Solution:
p(x) = e- x , x = 0,1,2 - - -- -
x!
p = 1/1400; n = 350
= np = 350/1400 = 0.25

p(x) = e-0.25(0.25)x , x = 0,1,2 - - -- -

x!
The probability that there will be atleast one fatal accident
= P(X1) = 1 P(0) = 1- e-0.25 = 1- 0.7788 = 0.2212

Example 7: If X and Y are independent poisson random variables, show hat the
conditional distribution of X, given the value of X + Y, is a Binomial distribution.
Solution:
Let X and Y follow Poisson distributions with parameters 1& 2 respectively.
Now
P[X =x / (X + Y) = n] = P[X = x and(X + Y) = n] = P[X = x ;Y = n x]
P[ (X + Y) = n] P[ (X + Y) = n]

= P[X = x ].P[X = n x] (by independence of X and Y)

P[ (X + Y) = n]

= [e- 1. 1x/ x!][ e- 2. 2n-x/(n - x)!]

e-( 1+ 2).( 1 + 2)n/ n!
r n-r
= n! 1 2
x!(n x)! (1 + 2) (1 + 2)

= nCr prqn-r
r n-r
Where p = 1 2
(1 + 2) q= (1 + 2)

Example 8: One-fifth of the blades produced by a blade manufacturing factory turn out
to be defective. The blades are supplied in packets of 10. Use Poisson distribution to
calculate the approximate number of packets containing no defective and two defective
blades in a consignment of 1,00,000 packets.
Solution:
p = (1/5)/100 = .002
n = 10 = np = 0.2
p(x) = e- x = e-0.2 (0.2)x
x! x!

i)Number of packets containing no defective

= Np(0) = 1,00,000e-0.2 = 98020

ii) Number of packets containing one defective

= Np(1) = 1,00,000e-0.2(0.2) = 1960
1!

iii) Number of packets containing two defectives

= Np(2) = 1,00,000e-0.2(0.2)2 = 20
2!

1.7.3 GEOMETRIC DISTRIBUTION

Suppose that I am at a party and I start asking girls to dance. Let X be the number of girls
that I need to ask in order to find a partner. If the first girl accepts, then X=1. If the first
girl declines but the next girl accepts, then X=2. And so on.

When X=n, it means that I failed on the first n-1 tries and succeeded on the nth try. My
probability of failing on the first try is (1-p). My probabilty of failing on the first two tries
is (1-p)(1-p).

My probability of failing on the first n-1 tries is (1-p)n-1. Then, my probability of

succeeding on the nth try is p. Thus, we have

P(X = n) = (1 - p)n-1p

This is known as the geometric distribution

17.3.1 Geometric distribution

Definition : Let RV X denote the number of trial of a random experiment required to
obtain the first success ( occurrence of an event A ). Obliviously X can assume the values
1,2,3 .

Now X= x, if and only if the first ( x-1) trails result in failure ( occurrence of ) and
the xth trial results in success ( occurrence of A ) Hence

P ( X = x ) = q x - 1 p; x = 1,2,3.,
Where P ( A ) = p and P () = q

If X is a discrete RV that can assume the values 1,2,3,.. such that its probability mass
function is given by

P ( X = x ) = q x - 1 p; x = 1,2,3., where p + q = 1

Then X is said to follow a geometric distribution.

Note Geometrics distribution is legitimate probability distribution since

P (X = x ) = q x 1 p
x =1 x =1

= p ( 1 + q + q2 + . )

p =1
1-q

1.7.3.2 Mean and variance of Geometric distribution

E(X) = xx Px
x

= xq x 1 p
x=1

= p ( 1 + 2q + 3q2 + ..... + )

= p ( 1 q ) -2 = 1/p

E ( X2 ) = x2 px
x

= x2 q x 1 p
x=1

= p { x ( x + 1 ) x} q x - 1
x=1
= p [{1 X 2 + 3 X 3q + 3 X 4q2 + ..... + } { 1 + 2q + 3q2 + ...... + }]

= p [ 2 ( 1 q ) -3 - ( 1 q ) -2 ]

=p{ 2/p3 - 1/p2 } = 1/p2 ( 2 p ) = 1/p2 ( 1 + q )

Var ( X ) = E ( X2 ) - { E (X) } 2

= 1/p2 ( 1 + q ) - 1/p2 = q/p2

Note Sometimes the probability mass function of a geometric RV X is taken as

P ( X = x ) = qx p; x = 0,1,2,. where p + q = 1

If this definition is assumed then

E ( X ) = q/p and Var ( X ) = q/p2

1.7.3.3 MGF of Geometric distribution:

Mx(t) = E(etx) = etx p qx-1
x=1

= pet (etq)x-1

= pet(1 - qet)-1
= pet
1 - qet

1.7.3.4 Recurrence formula for Geometric distribution

We have
P ( X = x ) = q x-1 p
P ( X = x + 1 ) = qx p
So P ( X = x + 1) = q
P(X=x)
P ( X = x + 1) = q P ( X = x )
Example:1 If the probability is 0.05 that a certain kind of measuring device will show
excessive drift, what is the probability that the sixth of these measuring devices tested
will be the first to show excessive drift?

Solution:
If the sixth device should show excessive drift then there should be 5 failures before the
sixth trial, which is geometric distribution.
P ( X = x ) = q x - 1 p; x = 1,2,3.,
P ( X = 6) = q 6 - 1 p
Given p = 0.05, q = 0.95
P ( X = 6) =(0.95)5 0.05 = 0.039

Example:2 A and B shoot independently until each has hit its own target. The
probabilities of their hitting the target at each shot are 3/5 and 5/7 respectively.
Find the probability that B will require more shots than A.

Solution:
Let X denote the number of trials required by A to get his first success.
p = 3/5 q = 2/5
Then X follows a geometric distribution given by
P ( X = x ) = q x - 1 p; x = 1,2,3.,
= 3/5. (2/5) x 1 ; x = 1,2,3.,
Let Y denote the number of trials required by B to get his first success.
p = 5/7 q = 2/7
Then X follows a geometric distribution given by
P ( Y = x ) = q x - 1 p; x = 1,2,3.,
= 5/7. (2/7) x 1 ; x = 1,2,3.,

Probability that B will require more shots than A. i.e, B requires more trials to get his first
success than A requires to get his first success . i.e, probability of A getting his success
in the xth trial and B getting his success in x + 1th or x + 2th or - - - trial.

= P[X = x and Y = x + 1th or x + 2th or - - - ]
x=1

= P[X = x ].P[Y = x + 1th or x + 2th or - - - ]
x=1

= (3/5)(2/5)x-1 . (5/7)(2/7)x + k -1
x=1 k=1

= (3/7) (2/5)x-1 (2/7) k(2/7)x-1
x=1 k=1

= (3/7) (2/5) (2/7) . (2/7) k
x-1 x-1

x=1 k=1

= (3/7) (4/35)x-1 (2/7) k
x=1 k=1

= (3/7) (4/35)x-1 (2/7)
x=1 1 2/7

= 6/35 (4/35)x-1 = (6/35) 1
x=1 1 - 4/35

= 6/31

Example:3 A die is thrown until 1 appears. Assuming that the throws are independent
and the probability of getting 1 is p, find the value of p so that the probability that an odd
number of throws is required is equal to 0.6. Can you find a value of p so that the
probability is 0.5 that an odd number of tosses is required?

Solution:
Let X denote the number of throws required to get the first success (getting 1). Then the
distribution of X is geometric
P ( X = x ) = q x - 1 p; x = 1,2,3.,
P(X = an odd number) = P( X = 1 or 3 or 5 - - - -)

= P(X = 2x - 1)
x=1

= pq2x-2
x=1

= (p/q ) q2k
2

x=1
= (p/q2)[q2 + q4 + - - ]
= (p/q2)(q2/1-q2) = p/(1 +q)

Given 1/1 + q = 0.6

That is1/(2-p) = 0.6 => p = 1/3
If 1/1 + q = 0.5 then 1/(2-p) = 0.5 => p = 0
P = 0 is meaningless because

P(X = an odd number) = pq2x-2 = 0
x=1
Hence the value of p cannot be found.
Example 4: Establish memoryless property of geometric distributions, that is , if X is a
discrete random variable following a Geometric distribution,
then P{X>m +n / X>m} = P{X>n}, where m and n are any two positive integers. Prove
the converse also, if it is true.

Since X follows geometric distribution,

P ( X = x ) = q x - 1 p; x = 1,2,3., , p + q = 1

P(X>k) = q x - 1 p = p(qk + qk+1 + qk+2 + - - - + )
x=k+1

= pqk = qk.
1 q
P{X>m +n / X>m} = P{X>m +n and X>m}
P{X>m}

= P{X>m +n} = q m + n = q n = P(X>n)

m
P{X>m} q
The converse of the above result is also true i.e, if P{X > m+n / X>m} = P{X>n}, where
m and n are an y two positive integers, then X follows a geometric distribution.
Since X takes the values 1,2,3, - - - -, P{X 1} = 1

Let P(>1) = q
Now P{X = (x +1)} = P(X > x) - P(X > (x +1)) (1)

P{X = (x +1)} = 1 P(X > (x +1))

P(X > x) P(X > x)
= 1 P{X > (x+1)/X>x}
= 1 P{X > 1} = 1 q
P{X = (x +1)} = (1 - q) P(X > x) (2)
= (1 - q)[P{ X > (x -1} - P{X = x}
(from (1), on changing x to x -1 )
= (1 - q)[P{ X > (x -1} - (1 - q) P(X > x-1)]
(from (2), on changing x to x -1 )
= (1 - q)q P(X > x-1)
= (1 - q)q2 P(X > x-2)
= (1 - q)qx-1 P(X > 1)

P{X = (x +1)} = (1 - q)qx

P{X = x } = (1 - q)qx-1 where p = 1 q and x = 1,2 -, -

That is X follows geometric distribution.

Have you understood ?

Say true or false. Justify your answer.

1.Binomial distribution id continuous .

2.For binomial distribution variance < mean.
3.Mean and variance are different for Poisson distribution.
4.Poisson distribution is a symmetrical distribution.
5.Mean is always greater or equal to the variance for a geometric distribution.
6. Geometric distribution has no memory.

(Answers: 1.False, 2.True, 3.False. 4.False,5.False, 6.True)

Short answer questions

1. Derive the moment generating functions of all the distributions discussed above.
2. Derive the mean and variance of Poisson distribution.
3. State the additive property of Poisson distribution

Try yourself !
1. Determine the binomial distribution for which the mean is 4 and variance is 3.
(Solution: 16 Cx (1/4)x(3/4)16 x, x = 0,1,2,- - -)

2.A and B playas game in which their chance of winning is in the ratio 3:2. Find As
chance of winning atleast three games out of five games played.
(Solution: 0.68)

3.If X is a poisson variate such that P(x =2) = 9 P(X = 4) + 90 P( X = 6), find the
Variance. (Solution: 1 )

4.A manufacturer of cotter pins knows that 5% of the product is defective. If he sells
cotter pins the boxes of 100 and guarantees that not more than 4 pins will be defective.
What is the approximate probability that a box will fail to meet the guaranteed quality.
(Solution: P(X>4) = 0.5620)

5.If X is a geometric variate taking values 1,2, - - find P(X is odd)

(Solution: 1/(1 +q))

6.If the probability that an applicant for a drivers license will pass the road test on any
given trial is 0.8, what is the probability that he will finally pass the test a) on the fourth
trial b) in fewer than 4 trials?
(Solution: 0.0064, 0.9984)
1.8 CONTINUOUS DISTRIBUTION
1.8.1 UNIFORM OR RECTANGULAR DISTRBUTION

A uniform distribution is a distribution of a continuous variable in which the probability

of X falling within a given interval is proportional to the size of the interval.

For example, if X is uniformly distributed between 0 and 1, then the probability that X
will be between 0.3 and 0.4 is .1, because there are ten intervals of width .1 each. The
probability of X falling between 0.1 and 0.25 is .15.

If X is uniformly distributed between 0 and 2, then what is the probability that X will fall
between 0.3 and 0.4? Between 0.1 and 0.25?

Uniform distributions do not occur very often in nature. However, random number
generators often are built to simulate the uniform distribution.

We can use a uniform random number generator to determine the winner of a raffle.
Suppose that we have 247 entries, numbered one through 247. We can choose a random
number between 0 and 1, multiply it by 247, and then round it to the the nearest integer in
order to pick the winner.

1.8.1.1 Uniform distribution

A continuous RV X is said to follow a uniform rectangular distribution over an interval
(a,b) if its pdf is given by

f(x) = 1/(b - a) a < x < b

0, otherwise
Here a and b (b>a) are the parameters of the distributions
.
Distribution function
x x
F(x) = f(x)dx = 1/(b - a) dx = (x - a)/(b-a)
- a

Hence F(x) = 0; x<a

(x - a)/(b-a); 0 < x < b
1; x>b
1.8.1.2 Mean and Variance
b
Mean = E(X) == xf(x)dx = [x/(b - a)]dx
- a
b
= 1/ (b-a) x2/2 = b 2 a2 = b+a
a 2(b - a) 2
b
E(X2) == x2f(x)dx = [x2/(b - a)]dx
- a
b
= 1/ (b-a) x3/2 = b 3 a3 = b2 + ab + a2
a 3(b - a) 3
Varaiance = E(X2) (E(X))2 = b2 + ab + a2 (a2 + 2ab + b2) = b2 2ab + a2
3 4 12
= (b - a)2
12
Mean = (b +a)/2; Variance = [(b - a)2]/12

1.8.1.3 Moment Generating function

b b
Mx(t) = E(etx) = 1 etx dx = 1 etx = ebt - eat
(b a) a (b a) t b-a
a

Moments
b b
r
r' = E(X ) = 1 xr dx = 1 x r+1
= br+1 ar+1
(b a) a (b a) r +1 (r +1)(b a)
A

Example 1:
If X is uniformly distributed over (-3,3), find the probability that a)X<2
b)|x|<2 , c)|X - 2|<2 and find k such that P[X>k] = 1/3.

Solution:
f(x) = 1/(b - a) a < x < b
0, otherwise
f(x) = 1/6 -3 < x < 3
0, otherwise
2 2
a) P(X<2) = 1/6 dx = x/6 = 5/6
-3 -3
 2 2
b) P(|X|<2) = P(-2 < x <2 ) = 1/6 dx = x/6 = 4/6 = 2/3
-2 -2
c) P(|X-2|<2) = P(-2 < x-2 <2 ) = P(0 < x < 4) = P(0 < x < 3) [since interval is (-3,3)]
3 3
1/6 dx = x/6 = 3/6 =
0 0

d) P(X>k) = 1/3

3 3
=> 1/6 dx = x/6 = (3 k)/6 = 1/3 (given)
k k

=> 3k=2 => k = 1

Example 2: A passenger arrives at a bus stop at 10am knowing that the bus will arrive at
some time uniformly distributed between 10am and 10.30am. What is the probability that
he will have to wait longer than 10min? If at 10.15am the bus has not arrived, what is the
probability that he will have to wait atleast 10 additional minutes?

Solution:

Let X denote the waiting time.

Then pdf of X is

f(x) = 1 0 < x < 30

30
= 0 otherwise
P ( he will have to wait longer than 10 min)

= P( X > 10 )

30
= dx= 2
10 30 3

P ( he has to wait 25 min / he has already waited 15 min )

= P ( X > 25 / X > 15 )

= P ( X > 25 X > 15 )
P (X > 15 )
 = P ( X > 25 )
P ( X > 15 )

30
= dx
25 30
30
dx
15 30

= 5 = 1
15 3

Example 3: Show that the mgf about origin for the rectangular distribution on ( -a, a ) is
1 sinh at. Also show that moments of even order are given by 2n = a2n and all
at (2n + 1)
moments of odd order vanish ( i.e 2n +1 = 0 )

Solution:
Mgf about origin is given by

a
MX (t) = E [ e ] = 1 etx dx
tX

2a -a

= 1 ( eat e at )
2at
= sin hat
at

= 1 [at + (at )3 + (at )5 + .. ]

at 3! 5!

= 1 + ( at )2 + (at )4 ..
3! 5!

Since there are no terms with odd powers of t in MX (t), all moments of odd order vanish
i.e 2n +1 = 0. in particular 1' = 0 . Thus r = r' . Hence 2n +1 = 0 . The moments of
even
order are given by 2n +1 = coefficient of t 2n = a2n .
(2n)! 2n + 1

x
Example 4: If RV has the density function f (x ) prove that y = f (x) = f (x) dx has a
-
rectangular distribution over ( 0 , 1 ). If

f (x) = x-1 ,1 x 3
2
0 , otherwise

Determine what interval for Y will correspond to the interval 1.1 X 2.9

Solution:
The RV Y is defined as Y = FX (x) the distribution function of Y is

Fy (y ) = P ( Y y )

= P ( FX (x) y )

= P ( X f -1x (y)

= F x [ F-1x (y ) ] ( since P ( X x ) = Fx ( x) )
= y

Thus the density function of y is given by

Fy (y) = d [ FY (y) ] = 1
dy

The range of Y is 0 y 1 since the range of Fx ( x) is ( 0, 1 ). Thus Y follows a uniform

distribution in ( 0, 1 )

The distribution function of X is

x
Fx(x) = x 1 dx = (x 1 )2
1 2 4

Since Y = Fx (x) , Y = 1 ( X 1 )2
4
Thus when 1.1 X 2.9,
 1 ( 1.1 1 )2 Y 1 ( 2.9 1 )2
4 4
0.0025 Y 0.9025.

Example 5: Buses arrive at a specified stop at 15 min. intervals starting at 7 a m. i.e. they
arrive at 7, 7:15. 7:30,7:45and so on . If a passenger arrives at the stop between 7 and
7.30 am, find the probability that he waits
a)less than 5 min for a bus and
b)atleast 12 min for a bus.

Solution
Let X denotes the time in minutes past 7 a.m, when the passenger arrives at the stop.
Then X is uniformly distributed over (0,30)
f(x) = 1 0 < x < 30
30
= 0 otherwise
a) The passenger will have to wait less than 5 min. if he arrives at the stop between
7:10 and 7:15 or 7:15 and 7:30.
Therefore the required probability= P(10<x<15) + P(25<x<30)

15 30
= dx + dx = 1/3
10 30 25 30

b)The passenger will have to wait atleast 12 minutes. if he arrives between 7 and 7:03
or 7:15 and 7:18
Therefore the required probability= P(0<x< 3) + P(15<x<18)
3 18
= dx + dx = 1/5
0 30 15 30

Example 6: Let two independent random variables X and Y have the geometric
distribution. Show that the conditional distribution of X/(X + Y= k) is uniform.

Solution:
P(X = x) = P(Y = y) = pqx-1
P{X/(X + Y= k)} = P{X = x and (X + Y= k)}

= P{X = x },P (Y= k - x)} = pqx-1. pq k x-1

k1 k1
P{X = x },P (Y= k - x)} pqx-1. pq k x-1
x =1 x =1

= qk 2 = 1/(k 1); x = 1,2,3, - - (k - 1)

k-1
 qk - 2
x=1

Thus the conditional distribution of X , given that X + y = k , is a discrete uniform

distribution.

1.8.2 EXPONENTIAL DISTRIBUTION

1.8.2.1Exponential distribution

A continuous random variable X assuming non-negative values is said to have an

exponential distribution with parameter > 0, if its pdf is given by

f(x) = e x x0
0, otherwise

Distribution function:
The distribution function F(x) is given by
x
F(x) = e x dx = 1 - e x
0
Therefore F(x) = 1 - e x x 0
0 otherwise

1.8.2.2 Mean and variance

r r x
r' = E[x ] = x e dx = x r e x dx
0 0
Put x = y

r
r' = E[x ] = (y/ ) r e x (dy/ )
0

= (1/ r) (r + 1) = r! / r

Mean = E(X) = 1' = 1/

2' = E(X2) = 2 / 2

Var(X) = 2 = 2' ( 1')2 = 2/ 2 1/ 2 = 1/ 2

Mean = 1/ and variance = 1/ 2

1.8.2.3 Moment generating function

Mx(t) = E[e ] = etx e x dx
tx

0
1
( - t)x
= e = = 1 t
-( - t) -t

1.8.2.4 Memoryless property

If X is exponentially distributed then

P(X>s +t/X>s) = P(X>t) for any s,t >0

x x
Proof: P(X >s) = e dx = e = e s
0 S
P(X>s +t/X>s) = P(X>s +t X>s) = e (s + t) = e t = P(X>t)
P(X > s) e s

Example 1:If X is exponentially distributed prove that the probability that X exceeds its
expected value is less than .

Solution:
Let X be exponentially distributed with parameter . Then
f(x) = e x x0 E(X) = 1/

P(X > 1/) = e x dx = e 1 = 0.3679 < =
1/

Example 2: The time in hours required to repair a machine is exponentially distributed

with parameter =
i)What is the probability that the repair time exceeds 2 hours.
ii) what is the conditional probability that a repair takes atleast 10 hours given that its
duration exceeds 9 hours.
Solution:
Given =
Let X denote the time to repair the machine.
The density function of X is given by
f(x) = e x x0
= e x/2
i) the probability that the repair time exceeds 2 hours.

x
P(X>2) = e = e x/2 dx = e1 = 0.3679
2 2
ii) the conditional probability that a repair takes atleast 10 hours given that its duration
exceeds 9 hours is given by
P(X>10/X>9) = P(X>9 + 1>X>9)= P(X >1) (using memoryless property)

= e x/2 dx = e0.5 = 0.6065
1

Example 3:The daily consumption of milk in excess of 20,000 liters in a town is

approximate exponentially distributed with parameter 1/3000. The town has a daily
stocks of 35,000 liters. What is the probability that of 2 days selected at random the stock
is insufficient for both days?
Solution:
If Y denotes daily consumption of milk then X = Y 20000 follows an exponential
distribution with parameter 1/3000. Then

f(x) = 1/3000 . e x/3000 , x>0

P(stock insufficient for one day) = P(Y>35000) = P(X + 20000 > 35000)
= P(X>15000)

= 1/3000 e x/3000 dx
15000

= e 5
P(Stock insufficient for 2 days) = (e 5)2 e 10

Example 4: The mileage which car owners get with a certain kind of radial tire is a
random variable having an exponential distribution with mean 40,000 km. Find the
probabilities that one of these tires will last i) at least 20,000 km and ii) at most 30,000
km.

Solution:
Let X denotes the mileage obtained with the tire.
Mean = 1/ = 40,000 = > = 1/40000
The density function of X is given by
f(x) = e x x0

= 1/40000 e (1/40000)x
i)The probability that one of these tires will last atleast 20,000 km is given by
P(X20,000)
= 1/40000 e (1/40000)x dx
 20,000

= e (1/40000)x = e0.5
40000 20,000

ii)The probability that one of those tires will last atmost 30,000 km is given by

P(X30,000) 30,000
= 1/40000 e (1/40000)x dx
0
30,000
= e (1/40000)x = e0.75 +1 = 0.5270
40000
0

Example 5: A company decides to manufacture a specialized type of fuse whose

lifetime is a exponential distribution. On a survey it was found that there were two
processes by which the fuse may be manufactured. If a process I is used, the fuse made
will have an expected length of 100hrs whereas those made by process II have an
expected life length of 150 hrs. Process II is twice as costly per fuse process I which will
cost Rs. 6 per fuse. Further more, if a fuse lasts for less than 200 hrs for which period it is
guaranteed, a loss of Rs. 40 is assessed against the manufacturer. Which process should
the company adopt?

Solution:
The density function of X is given by
f(x) = e x x0

If process I is used , given Expected value as 100, i.e. 1/ = 100 = > = 1/100
Then f(x) = (1/100)e (x /100) x0
P(X200)
= (1/100)e (x /100) dx = e 2
200
P(X<200) = 1 - P(X200) = 1 -e 2

If process II is used , given Expected value as 150, i.e. 1/ = 150 = > = 1/150
Then f(x) = (1/100)e (x /100) x0
P(X200)
= (1/150)e (x /150) dx = e 4/3
200
P(X<200) = 1 - P(X200) = 1 -e 4/3

Let C1 and C2 be the costs per fuse corresponding to process I and II respectively.
Then
C1 = 6 X200
46 X<200 (loss of Rs.40 + manufacturing cost Rs. 6)

Therefore E(C1) = 6P(X200) + 46 P(X < 200)

= 6 e2 + 46(1 e--2) = 40.5866

Similarly,

C2 = 12 X200
52 X<200 (loss of Rs.40 + manufacturing cost Rs. 6)

Therefore E(C2) = 6P(X200) + 46 P(X < 200)

= 12 e4/3 + 52(1 e4/3) = 41.456

Since E(C1) < E(C2) process I should be adopted.

1.8.3 Normal or Gaussian distribution

The normal distribution is almost the opposite of the uniform distribution. The uniform
distribution is mathematically simple but occurs rarely in nature. The normal distribution
is mathematically complex but occurs frequently in nature.

1.8.3.1 Normal distribution

A continuous random variable X is said to follow a normal distribution or Gaussian
distribution with parameters and , if its probability density function is given by

f(x) = ; - < x <

- < < , >0 (1)

Or f(x) = 1 exp(-(x - )2/22) ; - < x <

2 - < < , >0

Symbolically X follows N(, ). Some times it is also given as N(, 2).

1.8.3.2 Standard Normal distribution
The normal distribution N(0, 1) is called the standardized or simply the standard normal
distribution, whose density function is given by

(z) = 1 exp(-z2/2) ; - < z <

2

This is obtained by putting = 0 and = 1 and by changing x and f respectively into z

and . If X has distribution N(, ) and if Z = X - , then we can prove that Z has
distribution N(0,1)

1.8.3.3 Normal Probability curve

Normal probability curve

1.8.3.4 Characteristics of the Normal Distribution:

1. It is bell shaped and is symmetrical about its mean.

2. It is asymptotic to the axis, i.e., it extends indefinitely in either direction from the
mean.
3. It is a continuous distribution.
4. It is a family of curves, i.e., every unique pair of mean and standard deviation defines a
different normal distribution. Thus, the normal distribution is completely described by
two parameters: mean and standard deviation.
5. Total area under the curve sums to 1, i.e., the area of the distribution on each side of
the mean is 0.5.
6. It is unimodal, i.e., values mound up only in the center of the curve.
7. The probability that a random variable will have a value between any two points is
equal to the area under the curve between those points.

1.8.3.5 Mean and variance of Normal distribution

E(X) = x f(x) dx
-

 = 1 x exp(- (x - )2/ 2 2) dx
2 -

= 1 ( + 2 t) exp (-t2)dt (on putting t = x - )
- 2

= exp (-t2)dt + 2 t exp (-t2)dt
- -
(the integrand in the second part is an odd function hence it reduces to 0)

= =

Mean =

E(X ) = x2 f(x) dx
2

-

= 1 x2 exp(- (x - )2/ 2 2) dx
2 -

= 1 ( + 2 t)2exp (-t2)dt (on putting t = x - )
- 2

= 1 exp (-t )dt + 22 t exp (-t )dt + 2 t2 exp (-t2)dt
2 2 2 2

- - -

= 2 + 0 + 2 2 2 t.t exp (-t2)dt ; (since t2exp(-t2) is an even function)
0

= 2 + 2 2 t exp (-t2) 2t dt
0

Put u = t2; du = 2tdt

= 2 + 2 2 u1/2 exp (-u) du
0

2 2
= + 2 (3/2) (by definition of gamma function | n = xn-1e-xdx )
0
= 2+ 2 2 (1/2) | (1/2) ( | n = (n - 1) |(n -1) )

= 2 + 2 ( | (1/2) = )

= 2 + 2
Var (X) = E(X2) [ E(X)]2 = 2

1 .8.3.6 Median of the normal distribution N (, )

IF X is a continuous random variable with density function f(x), then M is called the
median value of X, provided that
M
f(x) dx = f(x) dx =
M

For the normal distribution N (, ), the median is given by

1 exp(- (x - )2/ 2 2) dx =
M 2

1 exp(- (x - )2/ 2 2) dx + 1 exp(- (x - )2/ 2 2) dx =
M 2 2

But 1 exp(- (x - )2/ 2 2) dx = 1 and the normal curve is symmetrical
- 2
about x = 1 exp(- (x - )2/ 2 2) dx =
2

1 exp(- (x - )2/ 2 2) dx + =
M 2

f(x) dx = 0
M

M=

Therefore median =

1.8.3.7 Mode of the normal distribution N (, )

Mode of a continuous random variable X is defined as the values of x for which the
density function f(x) is maximum.
For the normal distribution N (, )

f(x) = 1 x exp(- (x - )2/ 2 2) dx
2 -
log f(x) = k - 1 (x - )2
 2 2
Differentiating with respect to x,
f '(x) = - (x - )
f (x) 2
f '(x) = - (x - ) f(x)
2
= 0 when x =
f '' (x) = -{(x - ) f '(x) + f(x)}
2

f '' (x) = - f() <0

x= 2
Therefore f(x) is maximum at x = . Therefore mode is

Note: Have you noticed anything while finding the mean, median and mode?
Yes! For normal distribution mean, median and mode are same

1.8.3.8 Central moments of the normal distribution N (r, )

Central moments r of N (, ) are given by r = E( x - )r

= 1 (x - )r exp(- (x - )2/ 2 2) dx
2 -

= 1 (2 t)r exp (-t2)dt
-

= 2r / 2 r tr exp (-t2)dt
-
Case i) r is an odd integer, that is r = 2n + 1

Therefore 2n+1 = 2(2n +1)/2 2n +1 t2n+1exp (-t2)dt
-
= 0, (since the integrand is an odd function)

Case ii) r is an even integer, i.e. r = 2n

2n = 2n2n t2nexp(-t2) dt
-

= 2 2 t2nexp(-t2) dt
n 2n
(since t2nexp(-t2) is an even function of t)
0
(put t2 = u; 2tdt = du)

n 2n
=2 u n- e-u du
0
= 2n 2n |( n+ ) (1)

= 2n 2n (2n -1 ) ( 2n - 1)
2 2
= 2n 2n (2n -1 ) ( 2n 3) ( 2n - 3)
2 2 2
= 2n 2n (2n -1 ) ( 2n 3) - - - - 1 |
2 2 2
( There are n terms in the series 1 . 3. 5.. . . . .(2n - 3)(2n - 1) )
For example consider 1.3.5.7 we have 4 terms i.e. 7 -1 + 1
i.e in general (n - 1)/2 + 1. 2
Therefore in the series 1 . 3. 5.. . . . .(2n - 3)(2n - 1) )
there are 2n 1 1 + 1 = n)
2
n 2n
= 2 1.3.5. ...... (2n - 1) ( | = )
2n
2n = 2n 1.3.5. ...... (2n - 1)

Form (1) we get

2n-2 = 2n - 1 2n - 2 |( n - ) (2)

From (1) and (2) we get

2n = 2 2 (n )
2n-2

2n = 2 2 (n ) 2n-2

which gives a recurrence relation for the even order central moments of the normal
distribution.
1.8.3.9 Mean deviation about the mean of the normal distribution

The central moment of the first order of a random variable X is called the mean deviation
(MD) about the mean X .i.e. E{| X E(X)| }
For the normal distribution N(, )

MD = |x - | 1 exp(-(x - )2/22) dx
- 2

 = 1 | 2 t | exp(-t2) 2 dt
2 -

= 2 |t| exp(-t2) dt
-

= 22 |t| exp(-t2) dt (since |t| exp(-t2) is an even function. )
0

= 2 (exp(-t2))
0

= 2

1.8.3.10 Moment generating function of N(, ) and N(0,1)

The moment generating function of N(, )

Mx(t) = M Z + (t) = e t Z( t) = e t exp(2t2/2) = exp[t( + 2t / 2 )]

Now Mx(t) = 1 + t ( + 2t / 2 ) + t 2 ( + 2t / 2 )2 + t 3 ( + 2t / 2 )3 + - - - - -
1! 2! 3!

E(X) = Coefficient of t / 1! =
E(X2) = Coefficient of t2 / 2! = 2 + 2
E(X3) = Coefficient of t3 / 3! = 3 2 + 3 and so on.

Moment generating function of N(0,1)

Mz(t) = E(etz)

= etz (z)dz
-

= 1 exp(-z2/2) etz dz
- 2

= 1 [exp-(z2 2tz)/2] dz
- 2

 = 1 [exp-[(z-t)2 t2)/2]] dz
- 2

Put u = z t ; du = dz/2
2

= 1 exp(t2/2)2 exp(-u2)du
2 -

= 1 exp(t2/2) | ( | = )

= exp(t2/2)

Note: If X has the distribution N(,) then Y = aX + b has the distribution N(a + b, a )
with mgf

MY(t) = exp{[(a + b)t] + [(a2 2)t2/2]}

1.8.3.11 Additive property of normal distribution

If Xi (i = 1,2 .. n) be n independent normal random variables with mean i and

variance i2 then
n n n
aixi is also a normal random variable with mean ai i and variance ai i2.
i=1 i=1 i=1
Mn (t) = M a1x1 (t). M a2x2 (t) . - - - - - Man xn(t)
aixi
i=1
= exp( a11t) exp(a1212t2/2) x exp( a22t) exp(a2222t2/2) x - - - -
x exp( annt) exp(an2n2t2/2) x

= exp[( aii)t} exp( ai2i2t2/2 ) which is the mgf of normal random variable
with mean aii and variance ai2i2.

Note: Putting a1 = a2 = 1 and a3 = a4 = - - - - = an = 0, we get the following result, in

particular:

If X1 is N(1, 1) and X2 is N(2, 2), then X1 + X2 is N(1 + 2, 12+ 22 ).

Similarly X1 - X2 is N(1 - 2, 12+ 22 ).

1.8.3.12Normal distribution as limiting form of binomial distribution.

When n is very large and neither p and q is very small, the standard normal distribution
can be regarded as the limiting from of the standardised binomial .
When X follows the binomial distribution B(n,p), the standrdised binomial variable Z is
given by Z = (X np) /npq with step size1, Z varies from np/ npq to np/ npq
with step size 1/npq . When neither p nor q is very small and n is very large, Z varies
from - to with infinite small step size. Hence, in the limit, the distribution of Z may
be expected to be a continuous distribution extending from - to , having mean 0 and
SD 1.

If X follows B(n ,p), then mgf of X is given by MX(t) = (q + p et)n

If Z = (X np) /npq then

MZ(t) = e(-npt / npq ) {q + pe t/ npq }

log MZ(t) = - npt + n log {q + pe t/ npq }
npq
= - npt + nlog q + p 1 + t + t2 + t3 + - - - - -
npq npq 2npq 6 (npq)3/2

= - npt + nlog 1+ p t + p t2 + p t3 + - - - - -
npq npq 2npq 6 (npq)3/2

= - npt + n p t 1+ t + t2 + - - - - --
2 2 2
npq npq 2npq 6n p q

- 1 p2 t 2 1 + t + t2 + 2
+--
2 npq 2npq 6n2p2q2

= t2 / 2 + terms containing 1/n and lower powers of n.

lim log MZ(t) = t2 /2

n

loge [ lim MZ(t) ] = t2 /2

n

lim MZ(t) = exp(t2/2)

n

which is the mgf of the standard normal distribution. Hence the limit of the standardized
binomial distribution, as n , is the standardized normal distribution.
Areas of application: Normal distribution is the most important continuous probability
distribution in the field of statistics. It describes many phenomena that occur in industry ,
in error calculations of experiments, statistical quality control, in nature like rainfall and
meteorological studies etc.

Example1: The marks obtained by a number of students in a certain subject are assumed
to be approximately normally distributed with mean 55 and SD(standard deviation) 5. If 5
students are taken at random from this set, what is the probability that 3 of them would
have scored marks above 60?

Solution:
If X represents the marks obtained by the students, X follows the distribution N(55, 5).
P(a student scores above 60)

= P(X >60) = P(60 < X < )

= P[(60 )/ < (X )/ < ]

= P[(60 55)/5 < Z < ](where Z is the standard normal variate.)

= P[1 < Z < ]
In the problem we are converting to standard normal distribution N(0,1)
i.,e mean = 0 and = 1.Now to find the values we will be using the normal distribution
table .it will be better if you draw the normal curve to find the area. Remember the the
total area under the normal curve is 1. Area to the left of = 0 is and to the right is .

P[1 < Z < ] = 0.5 P(0 < Z < 1)

=0.5 - .3413 (from the table of areas)
= .1587
Therefore P(a student scores above 60) = 0.1587
Let p = P(a student scores above 60) = 0.1587
q = .8413
Since p is the same for all the students, the number Y, of students scoring above 60
follows a binomial distribution.
P( 3 of the students scoring above 60 among the five students) = nCxpxqn-x
= 5C3(0.1587)3(0.8413)2 = 0.0283

Example 2: The mean and SD of a certain group of 1000 high school grades, that are
normally distributed are 78% and 11% respectively. Find how many grades were above
90%?
Solution:
Let X represents the no: of grades. Given = 78% = 0.78 & = 11% = 0.11
P(X>90%) =P(X>0.09) = P(0.09 < X < ])
= P[(0.09 0.78)/ 0.11 < (X )/ < ]
= P[1.090 < Z < ]

= 0.5 P( 0< Z < 1.090) = 0.5 0.3621 = 0.1379

Therefore out of 1000 high school grades the no : of grades above 90% will be
0.1379 x 1000 = 137.9 138

Example 3: The local authorities in a certain city install 10,000 electric lamps in the
streets of the city. If these lamps have an average life of 1000 burning hours with a SD of
200h, how many lamps might be expected to fail i) in the first 800 burning hours?ii)
between 800 and 1200 burning hours. After how many burning hours would you expect
iii)10% of the lamps to fail? iv) 10% of the lamps to be still burning? Assume that the
life of lamps is normally distributed.

Solution:
If X represents life of the electric lamps , X follows the distribution
N(1000, 200)

Total no: of electric lamps in the city, N = 10,000

i)P(X < 800) =P(- <X < 800) = P(- < (X )/ < (800 1000)/200 )
= P(- < Z < -1)

= 0.5 - P(-1< Z< 0) = 0.5 P(0 < Z <1) (by symmetry)

= 0.5 0.3413 = 0.1587
The number of lamps expected to fail in the first 800 burning hours out of 10,000 electric
lamps are 10,000 x 0.1587 = 1587.

ii)P(800<x<1200) = P[(800 1000)/200 < (X )/ < (1200 1000)/200 ]

= P ( -1 < Z < 1) = 2 x P(0 < Z < 1) = 2 x 0.3413 = 0.6826
The number of lamps expected to fail in between 800 and 1200 burning hours out of
10,000 electric lamps are 10,000 x 0.6826 = 6826.

iii) P(X< x1) = 0.1, we have to find x1

=>P(-< X < x1) = P(- < (X )/ < (x1- 1000)/200 ) = 0.1
=>P(- < Z < (x1- 1000)/200 ) = 0.1
Let a = (x1- 1000)/200)
From - to a the area is given as 0.1, but we know that - to 0 the area is 0.5. therefore a
will be lying in the left half of the normal curve.
=>P(- < Z < (x1- 1000)/200 ) = 0.1

=>0.5 P((x1- 1000)/200) < Z < 0) = 0.1

=>0.5 P(0< Z < (1000 - x1)/200 ) = 0.1

=> P(0< Z < (1000 - x1)/200)) = 0.4 (search for the value nearer to 0.4 inside the table )

Therefore (1000 - x1)/200) = 1.29

x1 = 744

iv) P(X>x2) = 0.1

=> P(x2 < X < )= 0.1

=>P[(x2 1000)/200 < (X )/ < ] = 0.1

=>P[(x2 1000)/200 < Z < ] = 0.1

Let (x2 1000)/200 = b

=> 0.5 P(0 < Z < (x2 1000)/200 ) = 0.1

P(0 < Z < (x2 1000)/200 ) = 0.4

Therefore ( x2 - 1000 )/200) = 1.29

x2 = 1256
Example 4: The marks obtained by the students in Mathematics, Physics and Chemistry
in an examination are normally distributed with the means 52, 50 and 48 and with
standard deviations 10,8 and 6 respectively. Find the probability that a student selected at
random has secured a total of i) 810 or above and ii) 135 or less.

Solution:
Let X,YZ Denote the marks obtained by students in mathematics, physics and chemistry
respectively.
X follows N(52,10), Y follows N(50,8) and Z follows N(48,6)
By the additive property of normal distribution U = X + Y+ Z follows the distribution

N{52 + 50 + 48, 102 + 82 + 62}

i.e. N(150, 14.14)

i) P(U180) = P{ (180 -150/14.14 < (U-150)/14.14 < }

= P {2.12 < Z < }
= 0.5 P(0 < Z < 2.12)
= 0.5 0.4830
= 0.0170
ii) P(U 135) = P{- < U < 135}
= P(- < (U-150)/14.14 < (135 - 150)/14.14 }
= P(- < Z < -1.06)
= 0.5 P(-1.06< Z < 0)
= 0.5 P(0 < Z <1.06)
= 0.5 0.3554
= 0.1446

Example 5: In a normal population with mean 15 and SD 3.5, it is found that 647
observations exceeds 16.25. What is the total number of observations in the population?

Solution:
Let N be the no: of observation.

Given that N x P(X> 16.25) = 647 (1)

P(X> 16.25) = P(16.25 < X < ) = P(16.25 -15/3.5 < (X )/ < )

= P(0.3571 < Z < ) = 0.5 P(0 < Z < 0.3571)

= 0.5 0.1406 = 0.3594

Therefore P(X> 16.25) = 0.3594

Substituting in (1)

N x 0.3594 = 647
N = 647 / 0.3594 = 1800
Example 6: In a normal distribution, 7% of the items arte under 35 and 89% are under
63. what are the mean and standard deviation of the distribution? What percentage of the
items are under 49?

Solution:
P(X < 35) = 0.07 P(X <63) = 0.89
P(- <X<35) = 0.07 P(- <X<63) = 0.89
P(- <(X )/ < (35- )/ ) = 0.07 P(- <(X )/ < (63 )/ ) = 0.89
P(- < Z < (35- )/ ) = 0.07 P(- < Z < (63 )/ ) = 0.89
{Let (35- )/ = a and (63 )/ = b.}

0.5 P((35- )/ <Z< 0 ) = 0.07 0.5 + P((63- )/ < Z< 0 ) = 0.89

0.5 P(0 < Z < ( -35)/ ) = 0.07 0.5 + P((63- )/ < Z< 0 ) = 0.89

P(0 < Z < ( -35)/ ) = 0.43 P((63- )/ < Z< 0 ) = 0.39

( -35)/ = 1.47 (1) (63- )/ = 1.23 (2)

From 1 & 2
35 = -1.47
63 = 1.23

Solving these two equations we will get = 50.24 = 10.37

Therefore mean = 50.24 and SD = 10.37

P (X <49) = P(- <X< 49) = P(- <(X )/ < (49 -50.24)/10.37)
= P(- < Z < 0.12)
= 0.5 P(0.12 < Z < 0)
= 0.5 P(0 < Z < 0.12) = 0.5 0.0478 = 0.4522 = 45.22%

P (X <49) = 45.22%

Example 7: There are 400 students in the first year class of an engineering college. The
probability that any student requires a copy of a particular mathematics book from the
college library on any day is 0.1. How many copies of the book should be kept in t he
library so that the probability may be greater than 0.95 that one of the students requiring a
copy from the library has to come back disappointed?
(Use normal approximation to the binomial distribution)

Solution:
p = P(a student require book from) = 0.1
q = 0.9, n = 400

If X represents the number of students requiring the book, then X follows a binomial
distribution with mean = np = 400 x 0.1 = 40 and SD =npq = 6

In the problem it is given that X follows the distribution N(40,6)

Let x1be the required number of books, satisfying the given condition
i.e P(X < x1) >0.95

P{- < X < x1}>0.95

=> P(- < (X-40)/6 < (x1 - 40)/6 ) > 0.95

=> 0.5 + P(0 < Z < (x1 - 40)/6) > 0.95

=> P(0 < Z < (x1 - 40)/6) ) > 0.45

From the table of areas under normal curve, we find that

P(0 < Z < 1.65) > 0.45

Therefore (x1 - 40)/6 = 1.65

m = 49.9 50
Therefore atleast 50 copies of the book should be kept in the library.

Example 8: If X and Y are independent random variables following N(8,2) and N(12,
43) respectively find the value of such that
P(2X Y 2) = P(X +2Y )
Solution:

Given X follows N(8,2) and Y follows N(12, 43)

Let A = 2X Y and B = X + 2Y

If X1 is N(1, 1) and X2 is N(2, 2) then

X1 - X2 is N(1 - 2, 12+ 22 ). (By additive property)

2X Y is N( 2x8 12, 4 x 4 + 1 x 48

[since E(aX) = a E(X), Var(aX) = a2 Var(X)]]

i.e.A follows N(4,8)

X + 2Y is N( 8 + 2 x 12, 4x4 x 48)

i.e B follows N(32,14)

Given P(2X Y 2) = P(X +2Y )

=> P(A 2) = P(B )

=> P[(A-4)/8 (2 4)/8]= P[(B- 32)/14 ( 32)/14)]

=> P[ Z (2 4)/8] = P[ Z ( 32)/14)]

=> P[- (2 4)/8] = P[( 32)/14) ]

=> P[- (2 4)/8] = P[- - ( 32)/14) ] (bu symmetry)

=> (2 4)/8 = - ( 32)/14

Therefore = 8.67
Normal
Deviate .00 .01 .02 .03 .04 .05 .06 .07 .08 .09
z
0.0 .0000 .0040 .0080 .0120 .0160 .0199 .0239 .0279 .0319 .0359
0.1 .0398 .0438 .0478 .0517 .0557 .0596 .0636 .0675 .0714 .0753
0.2 .0793 .0832 .0871 .0910 .0948 .0987 .1026 .1064 .1103 .1141
0.3 .1179 .1217 .1255 .1293 .1331 .1368 .1406 .1443 .1480 .1517
0.4 .1554 .1591 .1628 .1664 .1700 .1736 .1772 .1808 .1844 .1879
0.5 .1915 .1950 .1985 .2019 .2054 .2088 .2123 .2157 .2190 .2224
0.6 .2257 .2291 .2324 .2357 .2389 .2422 .2454 .2486 .2518 .2549
0.7 .2580 .2612 .2642 .2673 .2704 .2734 .2764 .2794 .2823 .2852
0.8 .2881 .2910 .2939 .2967 .2995 .3023 .3051 .3078 .3106 .3133
0.9 .3159 .3186 .3212 .3238 .3264 .3289 .3315 .3340 .3365 .3389
1.0 .3413 .3438 .3461 .3485 .3508 .3531 .3554 .3577 .3599 .3621
1.1 .3643 .3665 .3686 .3708 .3729 .3749 .3770 .3790 .3810 .3830
1.2 .3849 .3869 .3888 .3907 .3925 .3944 .3962 .3980 .3997 .4015
1.3 .4032 .4049 .4066 .4082 .4099 .4115 .4131 .4147 .4162 .4177
1.4 .4192 .4207 .4222 .4236 .4251 .4265 .4279 .4292 .4306 .4319
1.5 .4332 .4345 .4357 .4370 .4382 .4394 .4406 .4418 .4429 .4441
1.6 .4452 .4463 .4474 .4484 .4495 .4505 .4515 .4525 .4535 .4545
1.7 .4554 .4564 .4573 .4582 .4591 .4599 .4608 .4616 .4625 .4633
1.8 .4641 .4649 .4656 .4664 .4671 .4678 .4686 .4693 .4699 .4706
1.9 .4713 .4719 .4726 .4732 .4738 .4744 .4750 .4756 .4761 .4767
2.0 .4772 .4778 .4783 .4788 .4793 .4798 .4803 .4808 .4812 .4817
2.1 .4821 .4826 .4830 .4834 .4838 .4842 .4846 .4850 .4854 .4857
2.2 .4861 .4864 .4868 .4871 .4875 .4878 .4881 .4884 .4887 .4890
2.3 .4893 .4896 .4898 .4901 .4904 .4906 .4909 .4911 .4913 .4916
2.4 .4918 .4920 .4922 .4925 .4927 .4929 .4931 .4932 .4934 .4936
2.5 .4938 .4940 .4941 .4943 .4945 .4946 .4948 .4949 .4851 .4952
2.6 .4953 .4955 .4956 .4957 .4959 .4960 .4961 .4962 .4963 .4964
2.7 .4965 .4966 .4967 .4968 .4969 .4970 .4971 .4982 .4973 .4984
2.8 .4974 .4975 .4976 .4977 .4977 .4978 .4979 .4979 .4980 .4981
2.9 .4981 .4982 .4982 .4983 .4984 .4984 .4985 .4985 .4986 .4986
3.0 .4865 .4987 .4987 .4988 .4988 .4989 .4989 .4989 .4990 .4990
4.0 .4997
Have you understood ?

Say true or false. Justify your answer.

1.Exponential random variable is not memoryless.

2.Mean of uniform distribution is (b a) /2.
3.Mean, median and mode of normal distribution are same.

(Answers:1.False,2.False,3.True)

Short answer questions.

1.Waht do you mean by memoryless property of exponential distribution?

2.Discuss uniform distribution and explain its mean and variance.
3.State the reproductive property of normal distribution.
4.why is normal distribution considered as an important distribution.
5.Write down the mgf of exponential distribution and hence derive its mean.

Try yourself !

1.Electric trains on a certain line run every half hour between mid-night and six in
morning, What is the probability that a man entering that station at a random time
during this period will have to wait atleast twenty minutes.
(Solution: 1/3)
2. If X has uniform distribution in(-a, a), a>0 find a such that P(|X| < 1) = P(|X| >1)
(Solution: a = 2)
3. The length of the shower in a tropical island in rainy season has an exponential
distribution with parameter 2, time being measured in minutes. What is the probability
that it will last for atleast one more minute?
(Solution: 0.1353 )
4.The marks obtained by a number of students in a certain subject are approximately
normally distributed with mean 65 and standard deviation 5. If 3 students are selected at
random from this group, what is the probability that atleast 1 of them would have
scored above 75.
(Solution: 0.0667)
5.In an examination, a student is considered to have failed, secured second class, first
class and distinction, according as he scores less than 45%, between 45% and 60%,
between 60% and 75% and above 75% respectively. In a particular year 10% of the
students failed in examination and 5% of the students get distinction. Find the
percentage of students who have got first class and second class.
(Assume normal distribution of marks)
(Solution: 38, 47s)
1.9 FUNCTIONS OF RANDOM VARIABLES
1.9.1 Transformation of one dimensional random variable
Let X be a continous random variable with pdf fx ( X ). We determine the density
function of a new random variable Y = g (x ) where g is a function. Further let y = g (x)
be strictly monotonic function of x.

Now fY (y) the pdf of Y is given

fY (y) = fX(x) | dx | or fX (x) F1 (x) = f (x)

| dy | | g1 (x)|

g(x) is a strictly increasing function of x

case i : g (x) is a strictly increasing function of x.

FY (y) = P ( Y y), where FY(y) is the cdf of Y

= P[g(x) y]
= P[X g-1(y)]
= Fx(g-1(y))
Differentiating on both sides with respect toy,
fY(y) = fX (x) dx where x = g-1(y) (1)
dy
case ii) g(x) is a strictly decreasing function of x.
FY (y) = P ( Y y), where FY(y) is the cdf of Y
= P[g(x) y]
= P[X g-1(y)]
= 1 - P[X g-1(y)]
= 1 - Fx(g-1(y))
fY(y) = fX(x) dx (2)
dy

combining (1) and(2), we get

fY(y) = fX(x) | dx | = fX (x)

| dy | | g1 (x)|
-1
When x = g (y) takes finitely many values x1,x2,x3, - - xn, then

fY(y) = fX(x1) | dx1 | + fX(x2) | dx2 | + - - - - -+ fX(xn) | dxn |

| dy | | dy | | dy |
Example 1: Consider a random variable X with probability density function fX(x) = e-x,
x0 with the transformation y = e-x. Find the transformed density function?
Solution:
fY(y) = fX(x) | dx |
| dy |

Given fX(x) = e-x and y = e-x

=> dy = e-x
dx
Therefore fY(y) = e-x | 1 | = 1
| e-x|
fY(y) = 1, 0< y 1
= 0, otherwise.
Example: If X is uniformly distributed in the interval ( /2, 2), find the
pdf of Y = tanX ?
Solution:
As X exists in the range ( /2, 2), Y = tan X exists in the range to .
As X is uniformly distributed its pdf is given by
f(x) = 1/(b - a) a < x < b
0, otherwise
There fX(x) = 1/
Y = tanX => dy/dx = sec2x
fY(y) = fX(x) | dx |
| dy |
= 1/ (1 / sec2x )
= (1/ ) (1/1 + y2) , <y< . [ as sec2x tan2x = 1 => sec2x = 1 + tan2x]

Example 2: The random variable Y is defined as (X + |X|), where X is a random

variable. Find the density and distribution function of Y ?

Solution:
Given Y = (X + |X| )
y = 0 when x < 0
y = x when x 0
Now, distribution function
FY(y) = P(Y y)
For y < 0, FY(y) = 0
For y 0 , FY(y) = P(Y y)
= P[(X y)/ X 0]
= P( 0 X y) = P( 0 X y)
P(X 0) 1 - P(X < 0)
= Fx(y) Fx(0)
1 - Fx(0)

To find the density function, F1 (x) = f (x)

So fY(y) = fx(y) Fx(0)
1 - Fx(0)
Example 3: If Y = x2, where X is a Gaussian random variable with zero mean and
variance 2, find the pdf of the random variable Y.

Solution:
F Y(y) = P( Y y) =P(X2 y)
= P(y X y), if y 0
= Fx(y) Fx(y)
Differentiating with respect to y,
fY(y) = 1 .{fX(y) + fX(y) }, if y 0 (1)
2y
= 0, if y < 0.
It is given that X follows N(0,)
Therefore fX(x) = 1 . exp(-x2 / 22), <x<
2
using this value in (1) , we get
fY(y) = 1 . exp(-y / 22), y >0
2y

Example 4: Find the density function of Y = aX + b in terms of the density function of

X?
Solution
i)Let a > 0
FY(y) = P(Y y) = P(aX + b y )
= P X ( y b ) (since a>0)
a
= FX y b (1)
a
ii)Let a< 0
FY(y ) = P(Y y) = P(aX + b y )
= P(aX y - b)
=PX y - b
a
=1- PX<(yb)
a
= 1 - FX y b (2)
a

from (1) fY(y) = 1 fX y b (3)

a a
from (2) fY(y) = 1 fX y b (4)
a a
combining (3) & (4)
fY(y) = 1 fX y b
|a| a
Try yourself !
1.If Y = X2 find the pdf of Y if X has pdf fX(x) = 1/3, -1 < x < 2
= 0, elsewhere
(Solution: fY(y) = 1/(3y), 0 < y< 1
1/(6y), 1 < y< 4
0, otherwise

2.If the density function of a continuous random variable X is given by

fX(x) = 2/9 (x +1), for -1< x < 2, and = 0, otherwise find the density function of
Y = (X + |X|)

Solution:
fY(y) = (y +1) /4, 0<y<2
0, otherwise

REFERENCES:

1. T.Veerarajan, Probability, statistics and Random Process , Tata McGraw Hill, 2002.
2.P.Kandasamy, K. Thilagavathi and K. Gunavathi,Probability, Random Variables and
Random processors, S. Chand, 2003.