Unit II

Random Variables and

Probability Distributions
Random Variable
•A random variable, usually written as X, is a variable
whose possible values are numerical outcomes of a
random phenomenon.
•For example, if you roll a die, the outcome is random (not fixed) and
there are 6 possible outcomes, each of which occur with probability one-
sixth.
• For example, if you poll people about their voting preferences, the
percentage of the sample that responds “Yes on a given Proposition”
is a also a random variable (the percentage will be slightly differently
every time you poll).
•Roughly, probability is how frequently we expect
different outcomes to occur if we repeat the
experiment over and over (“frequentist” view)
Random variables can be
discrete or continuous
Discrete random variables have a countable number
of outcomes
◦ Examples: Dead/alive, treatment/placebo, dice,
counts, etc.
Continuous random variables have an infinite
continuum of possible values.
◦ Examples: blood pressure, weight, the speed of a
car, the real numbers from 1 to 6.
Random variables can be
discrete or continuous
https://www.menti.com/yc2rm9jkjt
Probability functions
A probability function maps the possible values of x
against their respective probabilities of occurrence,
p(x)
p(x) is a number from 0 to 1.0.
The area under a probability function is always 1.
Discrete example: roll of a
die
p(x)

1/6

x
1 2 3 4 5 6

 P(x)  1
all x
Probability mass function
(pmf)
Probability mass function
(pmf)
The probabilities associated with all values
must be non-negative and sum up to 1.
Probability mass function
(pmf)
x p(x)
1 p(x=1)=1/6

2 p(x=2)=1/6

3 p(x=3)=1/6

4 p(x=4)=1/6

5 p(x=5)=1/6

6 p(x=6)=1/6
1.0
Problem-PMF
Let X be a discrete random variable with the
following PMF
Problem - PMF: Solution
Problem - PMF: Solution
Cumulative distribution
function (CDF)
• The cumulative distribution function (CDF) of a random
variable is another method to describe the distribution of
random variables.
• The advantage of the CDF is that it can be defined for any
kind of random variable (discrete, continuous, and
mixed).
• The cumulative distribution function (CDF) of random
variable X is defined as:

• Note that the subscript X indicates that this is the CDF of

the random variable X.
• Also, note that the CDF is defined for all x∈R.
Cumulative distribution
function (CDF)

1.0 P(x)
5/6
2/3
1/2
1/3
1/6
1 2 3 4 5 6 x
Cumulative distribution
function (CDF)
x P(x≤A)
1 P(x≤1)=1/6

2 P(x≤2)=2/6

3 P(x≤3)=3/6

4 P(x≤4)=4/6

5 P(x≤5)=5/6

6 P(x≤6)=6/6
Problem-CDF and Solution
If you toss a coin twice. Let X be the number of
observed heads. Find the CDF of X.
Problem-CDF:Solution
Additional Examples
1. What’s the probability that you roll a 3 or less?
P(x≤3)=1/2

2. What’s the probability that you roll a 5 or higher?

P(x≥5) = 1 – P(x≤4) = 1-2/3 = 1/3
 Practice Problem
Which of the following are probability functions?

a. f(x)=.25 for x=9,10,11,12

b. f(x)= (3-x)/2 for x=1,2,3,4

c. f(x)= (x2+x+1)/25 for x=0,1,2,3

 Answer (a)
a. f(x)=.25 for x=9,10,11,12

x f(x) Yes, probability

function!
9 .25
10 .25
11 .25

12 .25
1.0
 Answer (b)
b. f(x)= (3-x)/2 for x=1,2,3,4

x f(x)
Though this sums to 1,
1 (3-1)/2=1.0 you can’t have a negative
probability; therefore, it’s
2 (3-2)/2=.5 not a probability
function.
3 (3-3)/2=0

4 (3-4)/2=-.5
 Answer (c)
c. f(x)= (x2+x+1)/25 for x=0,1,2,3

x f(x)

0 1/25
1 3/25
Doesn’t sum to 1. Thus,
2 7/25 it’s not a probability
function.
3 13/25
24/25
 Practice Problem:
The number of ships to arrive at a harbor on any given day is a random
variable represented by x. The probability distribution for x is:

x 10 11 12 13 14
P(x) .4 .2 .2 .1 .1

Find the probability that on a given day:

a. exactly 14 ships arrive p(x=14)= .1

b. At least 12 ships arrive p(x12)= (.2 + .1 +.1) = .4

c. At most 11 ships arrive p(x≤11)= (.4 +.2) = .6

Practice Problem:
You are talking to a group of 1000 students. You ask
them to each randomly pick an integer between 1 and
10. Assuming, their picks are truly random:
• What’s your best guess for how many students picked the
number 9?
Since p(x=9) = 1/10, we’d expect about 1/10th of the 1000 students to
pick 9. 100 students.

• What percentage of the students would you expect picked a

number less than or equal to 6?
Since p(x≤ 6) = 1/10 + 1/10 + 1/10 + 1/10 + 1/10 + 1/10 =.6 60%
Important discrete
distributions
Binomial
◦ Yes/no outcomes (dead/alive,
treated/untreated, smoker/non-smoker,
sick/well, etc.)
Poisson
◦ Counts (e.g., how many cases of disease
in a given area)
 Continuous case
 The probability function that accompanies a
continuous random variable is a continuous
mathematical function that integrates to 1.
 The probabilities associated with continuous
functions are just areas under the curve (integrals!).
 Probabilities are given for a range of values, rather
than a particular value (e.g., the probability of
getting a math SAT score between 700 and 800 is 2%).
Continuous case
 For example, recall the negative exponential function (in
probability, this is called an “exponential distribution”):

f ( x)  e  x

 This function integrates to 1:

 

e
x x
 e  0 1 1
0
0
 Continuous case: “probability
density function” (pdf)

p(x)=e-x

The probability that x is any exact particular value (such as 1.9976) is 0;

we can only assign probabilities to possible ranges of x.
For example, the probability of x falling within 1 to 2:

p(x)=e-x

x
1 2

2 2


x x
P(1  x  2)  e  e  e  2  e 1  .135  .368  .23
1
1
 Cumulative distribution
function
As in the discrete case, we can specify the “cumulative
distribution function” (CDF):

The CDF here = P(x≤A)=

A A


x x
e  e  e  A  e 0  e  A  1  1  e  A
0
0
Example
p(x)

2 x

2
P(x  2)  1 - e  1 - .135  .865
Expected Value and Variance

All probability distributions are

characterized by an expected value
and a variance (standard deviation
squared).
For example, bell-curve (normal) distribution:

One standard
deviation from the
Mean ()
mean ()
Expected value, or mean
If we understand the underlying probability function of a certain
phenomenon, then we can make informed decisions based on
how we expect x to behave on-average over the long-run…(so
called “frequentist” theory of probability).

Expected value is just the weighted average or mean (µ) of

random variable x.
Imagine placing the masses p(x) at the points X on a beam; the
balance point of the beam is the expected value of x.
Example: expected value
Recall the following probability distribution of ship
arrivals:
x 10 11 12 13 14
P(x) .4 .2 .2 .1 .1

 x p( x)  10(.4)  11(.2)  12(.2)  13(.1)  14(.1)  11.3

i 1
i
Expected value, formally
Discrete case:

E( X )   x p(x )
all x
i i

Continuous case:

E( X )  
all x
xi p(xi )dx
 Empirical Mean is a special case of
Expected Value…

Sample mean, for a sample of n subjects: =

n

x i n
1
X i 1
n
 
i 1
xi ( )
n

The probability (frequency) of each

person in the sample is 1/n.
Expected value, formally
Discrete case:

E( X )   x p(x )
all x
i i

Continuous case:

E( X )  
all x
xi p(xi )dx
Extension to continuous case:
uniform distribution

p(x)

x
1

1
x2 1
1 1

E ( X ) x(1)dx 
0
2 0

2
0
2
Symbol Interlude
E(X) = µ
◦these symbols are used
interchangeably
Expected Value
Expected value is an extremely
useful concept for good decision-
making!
Example: the lottery
The Lottery
A certain weekly lottery works by picking 6
numbers from 1 to 49. It costs Rs. 1.00 to play the
lottery, and if you win, you win Rs. 2 lakhs after
taxes.

If you play the lottery once, what are your expected

winnings or losses?
 Lottery
Calculate the probability of winning in 1 try:

1 1 1 “49 choose 6”
   7.2 x 10-8
 49  49! 13,983,816
  Out of 49
6 43!6!
numbers, this is
the number of
The probability function (note, sums to 1.0): distinct
combinations of 6.
X (Rs) p(x)
-1 .999999928

+ 2 lakhs 7.2 x 10--8

 Expected Value
The probability function
X (Rs) p(x)
-1 .999999928

+ 2 lakhs 7.2 x 10--8

Expected Value
E(X) = P(win)* Rs 2,000,00 + P(lose)*- Rs 1.00
= 2.0 x 106 * 7.2 x 10-8+ .999999928 (-1) = .144 - .999999928 = -$.86
Negative expected value is never good!
You shouldn’t play if you expect to lose money!
Expected Value
If you play the lottery every week for 10 years, what are your
expected winnings or losses?

520 x (-.86) = -Rs 447.20

A few notes about Expected Value as a
mathematical operator:
If c= a constant number (i.e., not a variable)
and X and Y are any random variables…
E(c) = c
E(cX)=cE(X)
E(c + X)=c + E(X)
E(X+Y)= E(X) + E(Y)
 Expected value
isn’t everything
though…
Variance/standard
deviation
“The average (expected) squared distance (or deviation) from the mean”

  Var ( x)  E[( x   ) ] 
2 2
 (x   )
all x
i
2
p(xi )

**We square because squaring has better properties than

absolute value. Take square root to get back linear average
distance from the mean (=”standard deviation”).
Variance, formally
Discrete case:

Var ( X )    2
 (x   )
all x
i
2
p(xi )

Continuous case:

Var ( X )     ( xi   ) p ( xi )dx
2 2


Similarity to empirical
variance

The variance of a sample: s2 =

 ( xi  x ) 2 N
1
i 1
n 1
 
i 1
2
( xi  x ) (
n 1
)

Division by n-1 reflects the fact that we have lost a

“degree of freedom” (piece of information) because
we had to estimate the sample mean before we could
estimate the sample variance.
Symbol Interlude
Var(X) = 2
◦these symbols are used
interchangeably
Practice Problem
A roulette wheel has the numbers 1 through 36,
as well as 0 and 00. If you bet Rs 1.00 that an odd
number comes up, you win or lose Rs 1.00
according to whether or not that event occurs. If
X denotes your net gain, X=1 with probability
18/38 and X= -1 with probability 20/38.
What is the mean (Expectation) of X?
Practice Problem
A roulette wheel has the numbers 1 through 36,
as well as 0 and 00. If you bet Rs 1.00 that an odd
number comes up, you win or lose Rs 1.00
according to whether or not that event occurs. If
X denotes your net gain, X=1 with probability
18/38 and X= -1 with probability 20/38.
◦ The mean is = -Rs.053. What’s the variance of X?

E(X) = P(win)* Rs 1.00 + P(lose)*- Rs 1.00

 Answer
  2
 (x   )
all x
i
2
p(xi )
 (1  .053) 2 (18 / 38)  (1  .053) 2 (20 / 38)
 (1.053) 2 (18 / 38)  (1  .053) 2 (20 / 38)
 (1.053) 2 (18 / 38)  (.947) 2 (20 / 38)
 .997

  .997  .99
Standard deviation is $.99. Interpretation: On average, you’re either 1 dollar
above or 1 dollar below the mean, which is just under zero. Makes sense!
 Handy calculation formula!

Handy calculation formula (if you ever need to calculate by hand!):

 (x   ) x p(xi )  (  )
2
Var ( X )  i
2
p(xi )  i
2

all x all x

Intervening algebra!  E ( x )  [ E ( x)]

2 2
 Var(x) = E(x-)2 = E(x2) – [E(x)]2
(your calculation formula!)
Proofs (optional!):
E(x-)2 = E(x2–2x + 2) remember “FOIL”?!

=E(x2) – E(2x) +E(2) Use rules of expected value:E(X+Y)= E(X) + E(Y)

= E(x2) – 2E(x) +2 E(c) = c

= E(x2) – 2 +2 E(x) = 

= E(x2) – 2
= E(x2) – [E(x)]2
For example, what’s the variance and
standard deviation of the roll of a die?
x p(x) p(x)
average distance from the mean
1 p(x=1)=1/6
2 p(x=2)=1/6
1/6
3 p(x=3)=1/6
4 p(x=4)=1/6 x
1 2 3 4 5 6

5 p(x=5)=1/6
mean
6 p(x=6)=1/6

1.0
 For example, what’s the variance and
standard deviation of the roll of a die?
x p(x)
1 p(x=1)=1/6 p(x) average distance from the mean
2 p(x=2)=1/6
3 p(x=3)=1/6
4 p(x=4)=1/6
1/6
5 p(x=5)=1/6 x
1 2 3 4 5 6
6 p(x=6)=1/6
1.0
mean

1 1 1 1 1 1 21
E ( x)  
all x
xi p(xi )  (1)( )  2( )  3( )  4( )  5( )  6( ) 
6 6 6 6 6 6 6
 3 .5

1 1 1 1 1 1
2
E(x )  
all x
2
xi p(xi )  (1)( )  4( )  9( )  16( )  25( )  36( )  15.17
6 6 6 6 6 6

 x2  Var ( x)  E ( x 2 )  [ E ( x)]2  15.17  3.52  2.92

 x  2.92  1.71
**A few notes about Variance as a
mathematical operator:
If c= a constant number (i.e., not a variable) and X and Y are
random variables, then
Var(c) = 0
Var (c+X)= Var(X)
Var(cX)= c2Var(X)
Var(X+Y)= Var(X) + Var(Y) ONLY IF X and Y are
independent!!!!
{Var(X+Y)= Var(X) + Var(Y)+2Cov(X,Y) IF X and Y are
not independent}
Var(c) = 0
Var(c) = 0

Constants don’t vary!

Var (c+X)= Var(X)
Var (c+X)= Var(X)
Adding a constant to every instance of a random variable doesn’t
change the variability.
It just shifts the whole distribution by c. If everybody grew
5 inches suddenly, the variability in the population would
still be the same.

+c
Var (c+X)= Var(X)
Var (c+X)= Var(X)
Adding a constant to every instance of a random variable doesn’t
change the variability. It just shifts the whole distribution by c. If
everybody grew 5 inches suddenly, the variability in the population
would still be the same.

+c
Var(cX)= c2Var(X)
Var(cX)= c2Var(X)
Multiplying each instance of the random variable by c makes it c-
times as wide of a distribution, which corresponds to c2 as much
variance (deviation squared).
For example, if everyone suddenly became twice as tall, there’d be twice
the deviation and 4 times the variance in heights in the population.
Var(X+Y)= Var(X) + Var(Y)
Var(X+Y)= Var(X) + Var(Y) ONLY IF X and Y are independent!!!!!!!!

With two random variables, you have more opportunity for variation,
unless they vary together (are dependent, or have covariance):
Var(X+Y)= Var(X) + Var(Y) + 2Cov(X, Y)
Practice Problem
You toss a coin 100 times. What’s
the expected number of heads?
What’s the variance of the number
of heads?
 Answer: expected value
Intuitively, we’d probably all agree that we expect around 50 heads, right?
Another way to show this
Think of tossing 1 coin. E(X=number of heads) = (1) P(heads) +
(0)P(tails)
E(X=number of heads) = 1(.5) + 0 = .5
If we do this 100 times, we’re looking for the sum of 100 tosses,
where we assign 1 for a heads and 0 for a tails. (these are 100
“independent, identically distributed (i.i.d)” events)
E(X1 +X2 +X3 +X4 +X5 …..+X100) = E(X1) + E(X2) + E(X3)+ E(X4)+ E(X5) …..+
E(X100) =
100 E(X1) = 50
 Answer: variance
What’s the variability, though? More tricky. But, again, we
could do this for 1 coin and then use our rules of variance.
Think of tossing 1 coin.
E(X2=number of heads squared) = 12 P(heads) + 02 P(tails)
E(X2) = 1(.5) + 0 = .5
Var(X) = .5 - .52 = .5 - .25 = .25
Then, using our rule: Var(X+Y)= Var(X) + Var(Y) (coin tosses are independent!)
Var(X1 +X2 +X3 +X4 +X5 …..+X100) = Var(X1) + Var(X2) + Var(X3)+ Var(X4)+ Var(X5) …..+ Var(X100) =

Interpretation: When we toss a coin 100

100 Var(X1) = 100 (.25) = 25 times, we expect to get 50 heads plus or
SD(X)=5 minus 5.
Or use computer
simulation…
Flip coins virtually!
◦ Flip a virtual coin 100 times; count the number of heads.
◦ Repeat this over and over again a large number of times (we’ll try 30,000
repeats!)
◦ Plot the 30,000 results.
Coin tosses…
Mean = 50
Std. dev = 5
Follows a normal
distribution
95% of the time, we
get between 40 and
60 heads…
Covariance: joint probability
The covariance measures the strength of the linear relationship between two
variables
The covariance:

E[( x   x )( y   y )]

N
σ xy   ( xi   x )( yi   y ) P ( xi , yi )
i 1
The Sample Covariance
The sample covariance:

 ( x  X )( y
i i Y )
cov ( x , y )  i 1
n 1
 Interpreting Covariance
Covariance between two random variables:

cov(X,Y) > 0 X and Y are positively correlated

cov(X,Y) < 0 X and Y are inversely correlated

cov(X,Y) = 0 X and Y are independent

Thank You