Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Topic 7
Random Variables and Distribution Functions
Distribution Functions

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Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Outline

Definition of a Random Variable

Distribution Functions
Discrete Random Variables
Continuous Random Variables

Properties of Distribution Functions

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Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Introduction
statistics probability

universe of sample space - Ω

information and probability - P
⇓ ⇓
ask a question and define a random
collect data variable X
⇓ ⇓
organize into the organize into the
empirical cumulative cumulative
distribution function distribution function
⇓ ⇓
compute sample compute distributional
means and variances means and variances

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Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Definition of a Random Variable

A random variable is a real valued function from the probability space.
X : Ω → R.
Typically, we shall use capital letters near the end of the alphabet, e.g., X , Y , Z for
random variables. The range of a random variable is called the state space.
Exercise. Give some random variables on the following probability spaces, Ω.
1. Roll a die 3 times and consider the sample space
Ω = {(i, j, k); i, j, k = 1, 2, 3, 4, 5, 6} .
2. Flip a coin 10 times and consider the sample space Ω, the set of 10-tuples of
heads and tails.
We can create new random variables via composition of functions:
ω 7→ X (ω) 7→ g (X (ω))
Thus, if X is a random variable, then so are
p
X 2 , exp αX , X 2 + 1, tan2 X , bX c 4 / 11
Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Distribution Functions
A (cumulative) distribution function of a random variable X is defined by
FX (x) = P{ω ∈ Ω; X (ω) ≤ x} = P{X ≤ x}.
For the complement of {X ≤ x}, we have the survival function
F X (x) = P{X > x} = 1 − P{X ≤ x} = 1 − FX (x).

Choose a < b, then the event {X ≤ a} ⊂ {X ≤ b}. Their set theoretic difference
{X ≤ b} \ {X ≤ a} = {a < X ≤ b}.
Consequently, by the difference rule for probabilities,
P{a < X ≤ b} = P({X ≤ b} \ {X ≤ a}) = P{X ≤ b} − P{X ≤ a} = FX (b) − FX (a).
In particular, FX is non-decreasing.
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and less than or equal to b. Consequently, by the difference rule for probabilities,
Definition of a Random Variable Distribution Functions Properties of Distribution Functions
P {a < X  b} = P ({X  b} \ {X  a}) = P {X  b} P {X  a} = FX (b) FX (a). (7.2)

Thus, we can compute the probability that a random variable takes values in an interval by subtracting the distri-
Distribution Functions
bution function evaluated at the endpoints of the intervals. Care is needed on the issue of the inclusion or exclusion of
the endpoints of the interval.
Let X be the sum of the values on two fair dice,
Example 7.8. To give the cumulative distribution function for X, the sum of the values for two rolls of a die, we start
with the table
x 2 3 4 5 6 7 8 9 10 11 12
2 3 4 5 6 7 8 9 10 11 12
P{X = x} 1/36P {Xx2/36
= x} 1/363/36
2/36 4/36 5/36 6/36
3/36 4/36 5/36 6/36 5/36 5/36
4/36 3/36 4/36
2/36 1/36 3/36 2/36 1/36
Here is FX and
thecreate
cumulative
the graph. distribution function.

6 r r
r
1

r
3/4 r
r

r
1/2

r
r
1/4

r
r -
1 2 3 4 5 6 7 8 9 10 11 12

Figure 7.1: Graph of FX , the cumulative distribution function for the sum of the values for two rolls of a die. 6 / 11
Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Distribution Functions
Notice that the distribution function
• is constant in between the possible values for X ,
• has a jump size at x is equal to P{X = x}, and
• is right continuous.
Call X a discrete random variable if its distribution function FX has these properties.
Examples.
3 6 3
= P{X = 4} = FX (4) − FX (4−) = −
36 36 36
21 6 15 5
P{4 < X ≤ 7} = FX (7) − FX (4) = − = = .
36 36 36 12
21 3 18 1
P{4 ≤ X ≤ 7} = FX (7) − FX (4−) = − = = .
36 36 36 2
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Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Distribution Functions

Exercise.
1. Flip a fair coins 3 times. Let X be the number of heads. Under equally likely
outcomes, find
P{X = x} for x = 0, 1, 2, and 3.
and use this to sketch a graph of the distribution function FX .
2. Deal 5 cards out of a deck of 52. Let X be the number of ♦. Under equally likely
outcomes, use the choose function in R to determine

P{X = x} for x = 0, 1, 2, 3, 4, and 5.

and use this to sketch a graph of the distribution function FX .

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Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Distribution Functions
1

For a dart board with radius 1, assume that 0.8

the dart lands randomly uniformly. Let X be 0.6

0.4

the distance from the center. For x ∈ [0, 1], 0.2

0
x
!0.2

FX (x) = P{X ≤ x} !0.4

!0.6

area inside circle of radius x !0.8

= !1

area of circle !1 !0.8 !0.6 !0.4 !0.2 0 0.2 0.4 0.6 0.8 1

πx 2
= = x 2.
π12

1.0
0.8
Thus, we have the distribution function

0.6
probability

 0 if x ≤ 0,

0.4
FX (x) = x2 if 0 < x ≤ 1,

0.2
if x > 1.

0.0
1

0.0 0.5 1.0

x
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Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Distribution Functions

Exercise.
1. Find the probability that the dart no more than 1/2 unit from the center.
2. Find the probability that the dart lands further 1/3 unit but no more than 2/3
unit from the center.
3. Find the median, x1/2 so that P{X ≤ x1/2 } = 1/2.

Definition. X is continuous random variable if it has a cumulative distribution function

FX that is differentiable.

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Definition of a Random Variable Distribution Functions Properties of Distribution Functions

Properties of Distribution Functions

A distribution function FX has the property that it is right continuous, starts at 0, ends
at 1, and does not decrease with increasing values of x.

1.0
In mathematical terms,

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• For every a, limx→a+ FX (x) = FX (a).

distribution function
• limx→−∞ FX (x) = 0.

0.6
• limx→∞ FX (x) = 1.

0.4
• For every a, b satisfying a < b,

0.2
FX (a) ≤ Fx (b).

0.0
0 5 10 15 20 25

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