Stochastic Processes

What We Will Study?
- 1
CME620 Stochastic Processes

Department of Telecommunications Engineering
CME620
2016
Week
1
f X ( x)
1
2
b g
0607
. a
X ~ N ,
3
px(k)
Lecture Guide
Prof. Okechukwu C. Ugweje

Prof. Okey Ugweje
Nigerian Turkish Nile University, Abuja
Topics
1.
2.
3.
4.
Course Introduction
Set Theory and Venn Diagrams
Unions, Intersections, Compliments, etc.
Probability Theory
Probability Space and Probability Measure
Axioms of Probability
Conditional Probability
Independence of Events (mutually exclusive events)
Partition- Law of total probability
Bayes' Rule
2
1. Definition and Characterization of One Random Variable
Probability Distribution Function (cdf) and their properties
Probability Density Function (pdf) and their properties
Probability Mass Function (pmf) and their properties
2. Conditional distributions and densities
3. Important Random Variables (Discrete and Continuous)
Discrete Binomial, Bernouli, Poisson, Hypergeometric,
- Uniform,
Exponential,
Rayleigh, Nakagami, 2
(c) Prof. Okey Ugweje Continuous Federal
University
of Technology,Gaussian,
Minna
What We Will Study? - 2

1. Statistical Properties of one Random Variable

Expected value (mean value)
Mean Square Value
Time Average
Statistical Average versus Time Average
Variance
2. Transformation of a Random Variable (cdf and pdf)
3. Calculating probabilities through cdf and pdf
END OF COMBINED COURSES
Set Theorem and Venn Diagram
Probability is too important to be left to the

mathematician
- Unknown Engineer
(c) Prof. Okey Ugweje
Federal University of Technology, Minna
Set Theory - 1
Set Theory - 2
Definition:
A set is a collection of distinct objects called elements
Usually written as a list of elements enclosed in
brace { }
Since elements must be distinct, 2 or more
elements in a set cannot be the same
Example 1:
{1,2,3} is a valid set whereas {1,1,3} is not
Set can be made up of elements which are
themselves sets
Set can be finite or infinite
Example 2:
The set of all positive integers {0,1,2,3, } is countably
infinite, whereas the set of all real number [0,1] is
uncountably infinite
All sets are subsets of the sample space
Definition:
The union of two sets A and B (denoted as A B) is a
set that contains all elements in either A or B
A B | A or B
For more than two elements
Set Theory - 3
Example 3:
If A = {1,2,4}, and B = {1,3,5}, then A B = {1,2,3,4,5},
Definition:
A set A is a subset of a set B (denoted as A B) if all the elements
of the set A are also in the set B.
Only one occurrence of an element in a set is allowed
Example 5:
Set A = {1, 2} is a subset of set B = {1, 2, 3, 5}
Definition:
The intersection of two sets A and B (denoted as A B) is a
set that contains only the elements that appear in both sets
Sometimes it is easier to describe a set by describing what is

not in the set. This leads to the concept of complement.
In general, if S contains n elements, then there are 2n subsets
A B | A and B
n
i 1
i 1
Definition: The complement of a set of all elements in the

universe that are not in the set.
A x|x A
Ai Ai
Example 6:
If ={1, 2, 3, 4, 5}, the complement of the set B = {1, 2, 3},
is the set Bc = {4, 5}
Example 4:
If A = {1, 2, 4}, and B = {1, 3, 5}, then A B = {1},
Set Theory - 4
For more than two elements
n
n
Ai Ai
i 1
i 1
Set Theory - 5
Set Theory - 6
Notice that c = and c =

With above definitions, we can describe complex
collection of objects
Some relationships with set are important enough
to have special names
Set Operators:
Definition: The sets A and B are said to be mutually

exclusive (or disjoint) if they have no elements in
common; i.e., A B =
Definition: The sets A and B are said to be mutually
exhaustive if they contain all the elements of the
universe; i.e., A B =
= universal set
= null set
= union
= intersection
, = subsets
element of
Venn Diagrams - 1
10
Venn Diagrams - 2
A Venn diagram is a geometric representation of sets

A
B
Union
All elements of both A and B
S
At least one of A or B occurs
A B A B
Parallel systems
Mathematical expression: AB = {x: x A or x B}
In a situation where one or more of the events A
occurs, we have
n
n
Ak A1 A2 An Ak
k 1
k 1
, = subsets and equality
= not a subset, = is an element of, not an
= S
Also for infinite union of sets, we have
Ak A1 A2 Ak ... Ak
k 1
k 1
Many more union relationships can be developed

especially when restrictions are placed on some sets
Some useful Union relationship:
A B B A
A A
A A A
A S S
A A S
A B C A B C
A B A if B A
11
12
Venn Diagrams - 3
Venn Diagrams - 4
Mathematical expression: A B = AB = {x: x A and x B}

In a situation where events occur in all experiment we have
Intersection (Product)
Elements common to all sets
Elements contained in all sets
Events occur in all experiment
Series systems
If A B = then A and B are said to be mutually exclusive

Some useful intersection relationship:
A B B A
A
A
B
C
AB
Ak A1 A2 Ak Ak
k 1
k 1
S
A
Also for infinite intersection of sets, we have
n
n
Ak A1 A2 Ak Ak
k 1
k 1
ABC
13
A A A
A S A
A A
A B C A B C
Venn Diagrams - 5
Partition: A partition of is a collection of mutually

exclusive subsets of such that their union is .
Ai A j , and
Mathematical expression: Ac = {x: x S and x A}

Some useful relationship:
i 1
A1
B
Aj
A2
Ai
An
Complements (Inversion, Opposite)

A
Ac
A A S
A A
A A
A B A B
A B A B
Consist of elements of set A not in set B

A - B = A Bc = A- (A B)
A
c
A-B
B - A = A B
B
Ac
S , S
Difference
A B
Ac
Mathematical expression: Ac = {x: x S and x A}

14
Venn Diagrams - 6
mutually
exclusive
B
B-A
S
15
16
Venn Diagrams - 7
Example 7 Venn Diagram
Subsets
B
A
S
B
C
EF
AB
ABC
De-Morgan's Law
A B A B ;
A
A B
A B
Ec
A B A B
A
E G
A
n
A B
i 1
17
i 1
F G
Aic ;
Example 8 Venn Diagram
k 1
E F G
E G F G
Bk Bkc
k 1
Federal University of
18 Technology, Minna
Example 8
Before launching a new academic program at the Federal

University of Technology (FUT) Minna, the office of the Vice
Chancellor conducted a survey of 130 engineering students to
determine the suitability of one of the following names:
A: Communications Engineering;
B: Communication Systems Engineering; and
C: Communications Technology
The findings of the survey are summarized as follows: 51 liked
name A; 25 liked name A and B; 63 liked name B; 18 liked name
A and C; 47 liked name C; 23 liked name B and C; 10 liked name
A and B and C.
a) Draw a Venn Diagram representing the above survey indicating
all the necessary numbers on the diagram.
b) If a participating FUT Minna student is selected at random, what
is the probability that he or she disliked all 3 program names?
a) The number in the sample space is 130 (i.e.,

N(S)=130) and the Venn diagram is shown below
Page 18
Page 19
b) Let Z = "people that like none of the names". From

Venn diagram in (a), we have N(Z)=25.
PZ
NZ
NS
25
130
0. 192
Page 20
Probability Theory - 1
Probability theory is concerned with the solution of

problems that involve uncertainty and randomness
It is important in the solution of many engineering
problems
Many of todays practical systems work in a chaotic
environment and in order to design efficient, reliable
and cost effective systems, probabilistic models must
be used
Through Random Variables and Random Processes,
we can talk about quantities and signals which are
unknown in advance
Review of Probability Theory

Probability is too important to be left to the
mathematician
- Unknown Engineer
21
Probability Theory - 2
22
Some Applications - 1
For example
Data sent through a communication system is
random since the outcome at the receiver is not
certain
Noise, interference and fading introduced by the
channel are random processes and can only be
modeled as such
The measure of performance (e.g., Bit Error Rate)
is probabilistic since it is an estimate of the received
signal compared to the transmitted signal
Random Input Signals

Input Signal
(Forcing Function)
System
Output Signal
Input of many physical systems involve a certain degree of

uncertainty/unpredictability that justifies random treatment,
e.g.,
Speech/music signal input of a communication system
Digits applied to a computer
Random signals applied to an aircraft flight control system
Random inputs to process control systems
Steering wheel movements in an automobile power-steering
system
23
24
Random Input Disturbances
Random Input Disturbances

System
s(t) + n(t)
System
Output Signal
Input
Output Signal
Noise n(t) is almost always random in nature and calls for the
use of probabilistic methods even if the signal s(t) is not, e.g.,
Thermal noise
Thermal motion of the conduction electrons in the amplifier
input circuit
Random variations in the number of electrons (or holes)
passing through a transistor
Since there are millions of electrons, one cannot calculate
the value of this kind of noise at every instant of time, but
can calculate:
Noise n(t) is almost always random in nature and calls for the
use of probabilistic methods even if the signal s(t) is not, e.g.,
Thermal noise
Thermal motion of the conduction electrons in the amplifier
input circuit
Random variations in the number of electrons (or holes)
passing through a transistor
Since there are millions of electrons, one cannot calculate
the value of this kind of noise at every instant of time, but
can calculate:
25
26
Quality Control
An important method of improving system reliability
is to improve quality of the individual elements.
This is often done by an inspection process since it
will be too costly to inspect every element
Information Theory (IT)

Information theory deals with the info content of
message signals such as printed pages, speech,
graphical data, velocity, radiation intensity, etc.
Since such messages and observations are
unknown in advance & random in nature, they can
only be described with probability/random process
The communication channels are subject to
random disturbances that limit their ability to
convey information. To analyze them, probabilistic
models are indispensable
Thus, it is very necessary to develop rules for

inspecting the elements selected at random. These
rules are based on probabilistic models
27
28
It is clear by now that almost any engineering

endeavor involves some degree of uncertainty and
randomness that makes the use of probability and
stochastic concepts a fundamental requirement.
In communication Systems, Randomness is a
CERTAINTY!!
Probability Concepts
We see that the theory of probability is at heart
only common sense reduced to calculations ...
- Laplace Pierre Simon
29
Probability Concepts
Probability Spaces
Probability theory deals with the study of random

phenomena
Experiment that do not yield the same outcome in
repeated trials or observations under the same
condition
Averages of phenomena occurring sequentially or
simultaneously
The observed averages approach a constant as
the number of experiments increases
When an experiment is performed, certain
elementary events, Ai occur in different but
completely uncertain ways
The triple (S, A, P) is called the probability space

where
S = sample space
A = event space
P = a mapping function
30
31
32
Probability Spaces
Example 9 Sample Spaces
Sample Space (S)

Set of all possible outcome of an experiment or trial or
observation
Individual outcomes are called elements or points in
the sample space, S = {s1,s2,s3,...}
Number of points in a sample space may be
a) finite (or bounded)
b) countable infinite (or discrete or can be
enumerated but not end)
c) simply infinite (continuous or unbounded)
Sometimes, S can include outcomes that are
impossible
Simple examples of sample spaces

Consider tossing a coin:
33
S = {head, tail} = {H, T} = {1, 0}
Consider tossing two coins:

S = {TT, TH, HT, HH} = {00, 01, 10, 11}
Consider tossing three coins:

S = {(000), (001), (010), , (111)}
Consider throwing a pair of dice:

S = {(1,1), (2,1),, (6,1), (5,6), (6,6)}
Consider two cards from a deck:

S = {(1,2), (2,1), , (51,52)}
= {(x,y): 1 x 52, 1 y 52, xy}
Example 10 Sample Spaces

Tossing of 2 Dice
a) Dice are distinguishable
S1 = {(1,1), (1,2), , (1,6); (2,1); (2,2), , (2,6);
(3,1); (3,2), , (3,6); (4,1); (4,2), , (4,6);
(5,1); (5,2), , (5,6); (6,1); (6,2), , (6,6)}
= {6}+{6}+{6}+{6}+{6}+{6} = 36 elements (or 62)
b) Dice are indistinguishable
S2 = {(1,1), (1,2), , (1,6); (2,1); (2,2), , (2,6);
(3,1); (3,2), , (3,6); (4,1); (4,2), (4,3), , (4,6);
(5,1); (5,2), , (5,6); (6,1); (6,2), (6,3), (6,4), (6,5), (6,6)}
= {6}+{5}+{4}+{3}+{2}+{1} = 21 elements
c) May also use Tabular method
34
Event - 1
In most experiments, we are interested in a specific outcome

that satisfies a given condition
Outcome of interest defines a Subset of the Sample Space
A
Definition:
An Event, A, is a set of outcomes;
a subset of the sample space
Event is any possible outcomes of
an experiment. It is the simplest random phenomenon
Event is usually known as the information space
Each Event has associated quantity which characterizes the
objective likelihood of occurrence of that event
That quantity is the probability of the event
36
Example 11 - Events
Event - 2
In toss of 3 coins, we are interested in the occurrence of

the following events:
A = {more heads than tail}
= {(111), (011), (101), (110)}
B = {same outcome}
= {(111), (000)}
C = {at least 2 heads}
= {[2 heads] or [3 heads]}
In throwing a pair of dice, sum of dots that show up to be
even
S = {2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12}
D = {sum is even} = {2, 4, 6, 8, 10, 12}
Special events
There are two special events of interest:
1) Universal Set ( or S)
Set containing all elements
The totality of all elementary event i, known a priori,
1 , 2 , , k ,
Also known as Certain Event

2) Impossible (or null) Event ()
- never occurs or contains no outcome
- arises when none of the outcomes satisfy the given
condition
37
38
Definition of Probability
Axiomatic Probability widely accepted definition

Probability based on a set of axioms or rules
Based on the concept of probability space sample space, elements of a sample space and set
theory
Axiomatic probability assigns a number to an event
Axioms of Probability
The theory of probability as a mathematical
discipline can and should be developed from axioms
in exactly the same way as geometry and algebra.
Andrey Kolmogorov
39
40
Axioms of Probability - 1
From Axiomatic Probability definition, we say that

the probability P(A), of an event A, is a number
assigned to the event satisfying the following axioms:
Note:
(iii) states that if A and B are mutually exclusive (M.E.)
events, the probability of their union is the sum of their
probabilities, i.e.,
P A 0 (Probability is a nonnegative number)

ii: P 1 (Probability of the whole set is unity)
iii: If A B , then P A B P A P B .
i:
P A B P A P B ,
If A and B cannot occur simultaneously
This is the minimum number of axioms required to
establish the remaining concept of probability.
These axioms allow us to view events as object
with properties.
iv: If A , A , ... is a sequence of events such that

1
A A = for all i j , then

i
k 1
k 1
P[ Ak ] P[ Ak ]
41
The following conclusions follow from these axioms:

a) Since A A , we have using (ii) that
c) Suppose A and B are not mutually exclusive (M.E.)?
P A A P 1 .
How does one compute P ( A B ) ?

To compute the above probability, we should re-express A B
in terms of M.E. sets so that we can make use of the
probability axioms.
From Figure, we have
A
AB
But since A A , and using (iii)
P A A P A P A 1
A B A AB ,
where A and A B are clearly M.E. events.
P A 1 P A .
42
These axioms provide us with consistent rules that

any valid probability assignment must satisfy.
b) Similarly, for any A, A .
Hence it follows that P A P ( A ) P ( ) .
But A A , and thus P 0 .
or
43
A B
44
Thus using axioms (iii)

P A B P ( A AB ) P ( A ) P ( AB ).
Additional useful properties (or rules) of probability

theory or direct consequence of the axioms can be
developed as "Corollaries".
To compute P ( AB ),we can express B as

B B B ( A A)
Here are some useful Corollaries:
( B A) ( B A) BA B A
Corollary 1:
P B P ( BA) P ( B A),
P[Ac] = 1 - P[A]
P[S] = P[A Ac] = P[A] + P[Ac] = 1
Thus P AB P ( B ) P ( AB )
since BA AB and B A AB are M.E. events.
Hence,
P A B P ( A) P ( B ) P ( AB ).
and using other relations
Corollary 2:
P[A] 1 (Directly from axiom I)
45
46
Corollary 3:
Corollary 5:
P[AB] = P[A] + P[B] - P[A B]
P[] = 0 or P[] = 1 - P[S] = 0
AcB
Corollary 4:
If A1, A2, , are pairwise mutually exclusive,

then
k 1
A B = A (Ac B)
P[A B] = P[A] + P[Ac B]
P[A] = P[A B] - P[Ac B];
Substituting in will yield
P[A B] = P[A] + P[B] - P[A B]
AB
A+B
PL A O P[ A ], n 2
MN PQ
k 1
47
B = (A B) (Ac B)
P[B] = P[A B] + P[Ac B]
P[Ac B] = P[B] - P[A B]
48
Corollary 5A: P[ABC] = ?
General expression for probability of union of events

involve
1) adding the probabilities of a single event
2) subtracting the probabilities of the intersection of
double events,
3) adding all the probabilities of the intersection of triple
events
4) Etc.
P[ABC] = P[(AB) C]
= P[AB] + P[C] - P[(AB) C]
= P[A] + P[B] - P[AB] + P[C] - P[AC] - P[BC]
= P[A] + P[B] + P[C] - P[AB] - P[AC] - P[BC]
+ P[ABC]
As the number of events increases, the probability of union

of events become very cumbersome to compute
49
Example 12
Corollary 6:
In general, for n events,
Determine the probability of obtaining at least one 1 in

2 tosses of a six-sided dice
n
n
P A P[ Ak ] P[ A j Ak ] ... ()n 1 P[ A1 ... An ]
k 1 k k 1
jk
S {11, 12, ... 16, 21, ... 26, ... 66}

62
36
P[ A j ]
j 1
Corollary 7:
If A B, then P[A] P[B]
B = A (Ac B)
AB
P[B] = P[A] + P[Ac B]
A
B
S
P[A], since P[Ac B] 0
These axioms and corollaries provide us with the rules (or
law) for computing the probability of events
c
50
51
P[11 12 ] P[11 ] P[12 ] - P[11 12 ]

6 / 36 6 / 36 - 1/ 36
11/ 36
52
Example 13
Probability Problems - 1
Determine the probability of obtaining at least one 1 in

3 tosses of a 6-sided dice
S = {111, 112, , 121, , 211, , 666}
= 63 = 216
Probability problems are classified into Discrete or

Continuous
Discrete Sample Space:
finite and countably infinite sample spaces
defined on {S, F}
S = {a1, a2, a3, an}; F = all subsets of S
all events are distinct
all events are mutually exclusive
P[1112 13] = P[11] + P[12] + P[13]

- P[1112] - P[1113] - P[12 13]
+ P[111213]
= 1/6 + 1/6 + 1/6
- 1/36 -1/36 - 1/36 + 1/216
= 91/216
53
P[ B] P[a1] P[a2 ] P[am ] P[ak ]

k 1
The probability of discrete sample space is the

probability of the elementary events, and is called
the probability mass function
If the events are equiprobable, then
1
P[a1] P[ a2 ] P[am ]
n
m
P[ B ]
n
P[ak] = pk is the weight attached to outcome ak , e.g.,

B = {a1, am}
Continuous Sample Space

Sample Space, S, is uncountable
Sample Space, S, is a domain on a line, plane or volume
and events are points within the domain
In other words, it is defined on a measurable region, R
F is a real valued function defined on a region R (such an F
gives rise to the probability density function)
Event of interest consist of experiments on
An interval of a real line
A 2-D region covered by a regular polygon and the
complements, unions, intersections of these events, e.g.,
y
y
x
y
x
Example 14
A voluminous region (3-D)

Areas or Volumes, of the domain A to the Length, Area
or Volume of the entire domain
Find the probability that sum is 8 in the toss of 2 dice

Find the probability of getting a 5, 7, or 8 in the toss of
2 dice.
L( A)
L(S ) , Length
( A)
, Area
P[ A]
(S )
V ( A)
V (S ) , Volume
Solution
Let S = {all possible occurrence}={36}
But a better understanding of the continuous sample

space is through the use of probability distribution and
density functions
(a)
(b)
E ={sum is 8}
F ={sum is 5}
T ={sum is 7}
5
4
6
P E ; P F ; P T ;
36
36
36
4
F
F
F
F
T
T
E
T
E
T
E
6
T
E
T
E
58
Example 16
Two dice are thrown

a) What is the probability that both show even numbers?
b) What is the probability that sum is odd?
Solution
Let S = {all possible occurrence}={36}
O ={sum is odd}
(a) P E 9 distinquishable
36
6
PE
indistinquishable
21
1 2 3 4 5
1
O
O
2 O E O E O
3
O
O
4 O E O E O
5
O
O
6 O E O E O
6
O
E
O
E
O
E
18
P O
36
4 6 5 15

36 36 36 36
Example 15
(b)
1
2
3
4
5
6
P F , T or E P F T E P F P T P E
59
A fair coin is tossed 3 times. What is the probability of the

following:
A = {1st toss is head}
B = {2nd toss is head}
C = {exactly 2 heads are tossed in a row}
Solution
Let 1 = Head; 0 = Tail
4
4
2
P A ; P B ; P C .
8
2
2
P A B ; P B C .
8
8
1
P A B C ;
8
1
2
3
4
5
6
7
8
X
0
0
0
0
1
1
1
1
Y
0
0
1
1
0
0
1
1
Z
0
1
0
1
0
1
0
1
OUTCOMES
B
B
A
A
A
A
B
B
C
C
60
Conditional Probability - 1
In many cases, we have only partial knowledge of outcome of

events
Conditional probability is the situation whereby probability
of one event is influenced by that of another event
We denote this conditional probability by
P[A|B] = Probability of event A given that B has occurred.
Conditional Probability
Theory
We define
The most important questions of life are, for

the most part, really only problems of
probability?
61
P (( A C ) B ) P ( AB CB )
.
P(B)
P( B)
But AB BC , hence P ( AB CB ) P ( AB ) P ( CB ).
P[A|C]
P[C]
P ( AB ) P (CB )
P ( A | B ) P (C | B ),
P( B)
P( B)
satisfying all probability axioms.
P( A C | B)
P[D]
Properties:
BC
P[A|D]
AD
P[B|D]
BD
P AB
P B
1,
P B
P B
in a dice tossing experiment.
P[B|C]
since if B A then occurrence of B implies automatic

occurrence of the event A. As an example, but
A {outcome is even}, B={outcome is 2},
P[A/B] is small
AC
1. If B A, AB = B, then P A|B
Thus the definition of conditional probability is a legitimate

probability measure
P(A) is sometimes called the a priori probability
P(A|B) is sometimes called the a posteriori probability
62
The idea of conditional probability can often be drawn

out in the form of a tree diagram (probability tree)
P( A C | B)
(iii) Suppose A C = , then
provided P(B) 0.
P[A|B] is large
P[ AB ]
,
P[ B ]
Note: Above definition satisfies all probability axioms discussed

earlier. That is,
P AB 0
P[ A | B ]
0,
(i)
P B 0
P[ B ] P[ B ]
P[ | B ]
1,
since B = B.
(ii)
P[ B ]
P[ B ]
- Laplace Pierre Simon

P[ A | B ]
63
64
2. If A B, AB = A, and
P AB
P A
P A|B
P A ,
P B
P B
But AiAj = BAiBAj = , so that we have

n
n
P( B ) P( BAi ) P( B|Ai ) P( Ai )
i 1
(In a dice experiment, A {outcome is 2}, B ={outcome is even},

so that A B. The statement that B has occurred (outcome is
even) makes the odds for outcome is 2 greater than without
that information).
3. We can use conditional probability to express the probability of
a complicated event in terms of simpler related events
Let A1, A2, An be pair wise disjoint and their union is . Thus
n
and AiAj = and
Ai .
i1
Thus B B ( A1 A2 An ) BA1 BA2 BAn .

65
i 1
For 3 events, the conditional probability equation can also be

written as follows
P( A B C ) P( B C )
P( A B C )
P( C )
P( B C ) P( C )
P A|( B C ) P( B | C )P( C )
If in an experiment the events A and B can both occur, then

P[A B] = P[A] P[B|A]
Since events A B and B A are equivalent, it follows that
P[A B] = P[B A] = P[B] P[A|B]
Example 17
Let A and B be events with P[A] = 1/2, P[B] = 1/3 and

P[AB] = 1/4. Find
a) P[A|B],
b) P[B|A],
c) P[AB],
d) P[Ac|Bc],
e) P[Bc|Ac]
Solution
1
3
P[ A B ]
4
a) Find P[A|B] P[ A | B]
P[ B ]
c) Find P[AB]
67
P[ A B ] P[ A] P[ B ] P[ A B ]
1
P[ B A]
1
4
1
2
P[ A]
2
b) Find P[B|A] P[ B | A]
d) Find P[Ac|Bc]
66
Example 17
1 1 1 7

2 3 4 12
P[ Ac | B c ]
P[ Ac B c ]
P[ B c ]
Example 17
But
P[ B c ] 1 P[ B ] 1
Example 18
1 2
3 3
A B c Ac Bc P Ac Bc P A B c
7
5
c
P A B 1 P A B 1
12 12
A test for cancer is 90% effective. That is, 90% of

those with the disease react positively. Also, 5% of
those without disease react positively. If 1% of the
patients have cancer, what is the probability that a
patient who reacts positively has cancer?
e) Find P[Bc|Ac]
P[ B c | Ac ]
5
5
P[ B c Ac ]
12
c
1
6
P[ A ]
2
Example 18
Example 18
Let
C+ = {has Cancer};
C- = {no Cancer};
R = {positive reaction}
Therefore,
P[R|C+] = 0.9; P[R|C-]= 0.05;
P[C+] = 0.01; P[C-] = 0.99
P R | C
P R | C
P S
P S
P C | R) P R
P R | C P C P R | C P C
(0.9)(0.01)
(0.9)(0.01) (0.05)(0.99)
0.154
S R C R C
P C | R) P R
P C | R) P R
P R | C
P C | R) P R
P S
Example 18
P R | C
P R | C ) P R
P S
P R | C ) P R
Independence
P R | C P C P R | C P C
(0.9)(0.01)
(0.9)(0.01) (0.05)(0.99)
If there is a 5050 chance that something can go

wrong, then 9 times out of 10 it will.
0.154
Paul Harvey
Independence - 1
Independence - 2
If the occurrence of an event B does not alter the

occurrence of event A, then A and B are said to be
independent
Definition: A and B are said to be independent if
Suppose A and B are independent, then
P [ AB ] P [ A ] P [ B ]
It is easy to show that if A, B are independent, then
AB ; A , B ; A , B
are all independent pairs.
If A and B are independent, so are A and Bc .

(A, B, independent A, Bc independent)
74
75
P[ A | B ]
P[ A B ]
P[ A ]P[ B ]
P[ A]
P[ B ]
P[ B ]
Thus if A and B are independent, the event that B has

occurred does not shed any more light into the event A.
It makes no difference to A whether B has occurred or not
Three events A, B and C are said to be independent iff
P[A B C] = P[A] P[B] P[C], and
P[A B]
= P[A] P[B], and
= P[A] P[C], and
P[A C]
= P[B] P[C]
P[B C]
All the pairwise intersection must be checked
76
Independence - 3
Example 19
We can express conditional probabilities as follows:
In an experiment, one card is selected from an ordinary

deck of cards. Define event A as select a king, B as
select a jack or queen, and C as select a heart. Is A, B
and C independent?
P[ A B ] P[ A | B ]P[ B ]
P[ A B ] P[ B | A]P[ A ]
P[ B A]
P[ A B ]
,
P[ A]
P[ A]
P [B |A [
P [A |B ]=
P [A ] B a y e s ' T h e o r e m
P [B ]
P[ B | A]
Drawing cards from a deck of 52 card
suit
Diamond
suit
Spade
suit
Heart
suit
10
11
12
13
Club
Jack
King
Queen
Ace
77
Example
Example
For each suit the sample space consist of ace, two, ...,
ten, jack, queen, king and it is indicated as {1, 2, ..., 13}
Let A = {king is drawn}, B = {club is drawn}
Describe the events
a) A B = {either king or club (or both i.e., king of
clubs)}
b) A B = {both king and club (king of clubs)}
c) Since B = {clubs}, Bc, = {not club} = {hearts, diamond,
spade}.
d) Ac Bc = {not king or not club}

e) A-B = {king but not club }. This is the same as
(A Bc) = {king and not club}
f) Ac-Bc ={not king or not club} = {not king and club} =
{any club except king}
g) (A B) (A Bc) = {king and club} or {king and
not club} = {king}
This can be seen by expanding the
(AB) (A Bc) = A
Hence A Bc = {king or hearts or diamond or spade}

Page 79
Page 80
Example
Example
Solution:
P[ A]
Also
4
8
13
; P[ B ] ; P[C ] ;
52
52
52
It is not possible to simultaneously select a King and a

Jack or Queen
This implies that
P[ A B ] 0
A and C are independent as a Pair

B and C are independent as a Pair
But A and B are NOT independent
Therefore
1
2
P[ A C ] ; P[ B C ] ;
52
52
This implies that

P[ A B] 0 P[ A] P[ B]
1
1
P[ A] P[C ] ;
52
52
2
2
P[ B C ]
P[ B] P[C ] ;
52
52
P[ A C ]
32
;
52 52
Thus, A, B and C are NOT independent
What you should learn in this Lecture

Counting Techniques & Markov

Chains
Partition Law
Bayes Rule
Laws of Total Probability
Introduction to Markov Chains
Counting Techniques
Sampling of Different Kinds
1. Sampling with replacement and with ordering
2. Sampling without replacement and with ordering
3. Sampling without replacement and without ordering
4. Sampling with replacement and without ordering
The 50-50-90 rule: Anytime you have a

50-50 chance of getting something right,
there's a 90% probability you'll get it wrong.
Andy Rooney
Binomial Coefficient and Theorem

83
84
Partition - 1
If a region is divided into non-overlapping (mutually

exclusive) parts, the parts are said to partition the
region
A partition of a set B, is a set {B1, B2, ... ,Bn} having the
following properties:
i) Bj B,
j = 1,2, , n
k, j = 1, 2, , n, k j
ii) Bj Bk = ,
iii) B = B1 B2 ... Bn
A partition of a set B is a set of subsets of B [property
i] that are disjoint [property ii] and mutually exhaustive
[property iii]
Partition
(Law of Total Probability)
The true logic of this world is the calculus of

probabilities.
James Clerk Maxwell
85
Partition - 2
86
Partition - 3
Every element of B is a member of one and only one

of the subsets in the partition
In the diagram below, the set {A Bi} partitions A and
from property (ii)
The expression above says that the total probability

of an event can be obtained by summing the set of
mutually exclusive and exhaustive ways of the
event occurring.
But since
P[A B] = P[A|B]P[B]
...
B3
B1
Bn-1
...
B2
Bn
i.e.,
A =A S
= A (B1 B2 ... Bn )
= (A B1) (A B2) ... (A Bn )
k 1
P[A B] = P[B|A]P[A],
we may write probability as follows
P A P A B1 P A B 2 P A B n
P[
or equivalently
A B k ]
P[ A] P[ A | B1]P[B1] P[ A | B2 ]P[ B2 ] P[ A | Bn ]P[ Bn ]
P A Bk
n
P[ A| Bk ]P[ Bk ]
k 1
k 1
87
88
Partition - 4
Example 20
Hence
P[ A] P[ A| Bk ]P[ Bk ]
k 1
This is known as Partition Law or Law of Total Probability
If the events B1, B2, , Bn constitute a partition of the sample

space S such that P[Bk] 0, k=1,2, , n, then for any A of S,
n
k 1
k 1
P[ A] P A Bk P A| Bk P Bk
The probability of one of the events in the partition of

B is given by
P[ A] P[ A| Bk ]P[ Bk ]
89
There are 30% Freshmen, 25% Sophomores, 25% Juniors

and 20% Seniors in the IEEE student organization. 50%,
30%, 10%, and 2% of IEEE members are Freshmen,
Sophomores, Juniors and Seniors respectively are
enrolled in Random Signals. If a member of IEEE is
selected at random, what is the probability that the
member is enrolled in Random Signals?
Let E = selected member is enrolled in Random Signals
E1 = selected member is a freshman
E2 = selected member is a sophomore
E3 = selected member is a junior
E4 = selected member is a senior
Example 20
There are 4 partitions as shown bellow
P E P E | E1 P E1 P E | E2 P E2
P E | E3 P E3 P E | E 4 P E 4
0.50 0.3 0.30 0.25
0.10 0.25 0.02 0.20
0.254
Bayes Rule
Everything should be made as simple as possible,

but not one bit simpler.
- Albert Einstein
92
Bayes Rule - 1
Bayes Rule - 2
Bayes Rule:
If the events B1, B2, , Bn constitute a partition of the sample
space S such that P[Bk] 0, k=1,2, , n, then for any event A in
S such that P[A] 0,
P Bk | A
P A Bk
P A| Bk P Bk
n
P[ A]
P[ A| Bk ]P[ Bk ]
k 1
Now, apply conditional probability theory to both

numerator and denominator
P A | Bk P Bk
P Bk | A
n
P[ A | Bk ]P[ Bk ]
k 1
Proof:
By definition of conditional probability
P A Bk
P Bk | A
PA
and then using partition law or total probability law for the
denominator, we obtain
P Bk | A
P A Bk
k 1
P[ A Bk ]
93
94
Introduction to Markov Chains - 1
CME621 Stochastic Processes

Markov Chains
Our brains are just not wired to do probability
problems very well.
Persi Diaconis
95
Markov chains deal with the sequence of dependent

experiments
The outcome of a given experiment determines which
experiment is performed next
Consider a sequence of experiments X1, X2, , Xn
We interpret Xn as being the state of the experiment at time n,
and we can say that the system is in state x at time n if Xn = xn
Hence we seek the conditional probability
P P X n1 xn 1 | X n xn , X n 1 xn 1,, X 1 x1, X 0 x0 ,
If the structure of the process {Xn, n = 0, 1, 2, ...} is such that
the conditional probability distribution of Xn+1 depends on the
value of Xn and is independent of all previous values, we say
that the process is a Markov Chain
Hence Pij P Xn 1 j| Xn i , i, j 0,1, 2,
96
The sequence of random experiments is said to form a Markov

Chain if each time the system is in state k there is some fixed
probability, say Pij, that it will next move to state k
Since pij are conditional probabilities, they satisfy probability
requirements
P 0,
ij
for all i, j and
P01
P10
PM 0
P11 P1M

PM1 PMM
Knowledge of transition probabilities and the distribution of

X0 enables us to compute all probabilities of interest.
For instance, the joint probability of X0, X1, , Xn is
Pij i = 0,1, 2,
j 0
The values
Pjk P X n jn , X n 1 jn 1,, X 1 j1, X 0 j0 ,
Pij P Xn 1 j| Xn i , i, j 0,1, 2,
P X n jn | X n 1 jn 1,, X 1 j1, X 0 j0 ,
Pjn i jn P X n 1 jn 1,, X 1 j1, X 0 j0 ,
Pjn 1 jn Pjn 2 jn 1 Pj1 j2 P X j0 ,
are called transitional probabilities

It is convenient to arrange the transition probabilities in matrix
form giving rise to the transition matrix
P0 M
P00
97
Example 28
98
Example 28
A sequential experiment involves repeatedly drawing a

ball from one of two Boxes, noting the number on the
ball, and replacing the ball in its Box. Box 0 contains
a ball with the number 1 and two balls with the number
0, and Box 1 contains five balls with the number 1 and
one ball with the number 0. The Box from which the
first draw is made is selected at random by flipping a
fair coin. Box 0 is used if the outcome is heads and
Box 1 if the outcome is tails. Thereafter the box used
in a sub experiment corresponds to the number on the
ball selected in the previous sub experiment.
Solution
The sample space of this experiment consists of sequences
of 0s and 1s.
Each possible sequence corresponds to a path through the
"trellis" diagram shown. The nodes in the diagram denote
the box used in the nth sub experiment, and the labels in the
branches denote the outcome of a sub experiment. Thus the
path 0011 corresponds to the sequence:
99
The coin toss was heads so the first draw was from box 0;
the outcome of the first draw was 0, so the second draw was
from box 0; the outcome of the second draw was 1, so the
third draw was from box 1; and the outcome from the third
draw was 1, so the fourth draw is from box 1.
100
Example 28
Find P[0011] ?
Counting Techniques
But to us, probability is the very guide of life.
Bishop J. Butler
P 0011 P 1 |1 P 1 | 0 P 0 | 0 P 0
5 / 6 1 / 3 2 / 3 1 / 2
101
Counting Techniques - 1
102
Since the probability of an event is the outcome of that

event divided by total number of outcomes, the
calculation of probability sometimes reduces to
counting the number of outcome of an event.
Hence, a technique to count the number of the events
and the number in the sample space for large
experiments is necessary.
Suppose there are n objects in all and we are going to
make k selections, the question is:
To answer this question, we need to know the rules of

the selection
How many different ways can we make the selection?
Are objects similar or not (distinguishable?)

Can objects be chosen more than once and if so, can we
choose with or without replacement?
Are we concerned with ordering?
Answers to these questions, lead to different counting

techniques
We will phrase this random selection (sampling)
process in terms of how:
a) balls can be allocated or drawn from a container
b) cards can be drawn from a deck of cards
103
104
Counting problems are classified into:
1. Sampling with Replacement and with Ordering
1. Sampling with replacement and with ordering

2. Sampling without replacement and with ordering
3. Sampling without replacement and without ordering
4. Sampling with replacement and without ordering
Make k selections from a set A containing n distinct

objects
Let Nk(S) = total number of distinct elements in S = nk
Each of the k selections from the n objects are
independent (i.e., n possible outcomes for each k)
We will use N(S) to denote the total number of

elements
Since ordering is important, experiment produces an

ordered k-tuple ( xk ,xk , ,xk ) where xi A
Hence the probability is Pk
105
1
nk
106
2. Sampling without Replacement and with Ordering

Since no object is chosen more than once, the choice cannot be
made if k > n
This type of sampling is popularly known as PERMUTATION
Permutation: the arrangement of a set of elements into a particular
order, e.g.,
{123} {123, 132, 213, 231, 321, 312}
For large set, it may not be possible to enumerate the ordered
set
Suppose there are
n1 independent ways of doing 1st operation
n2 independent ways of doing 2nd operation
nk independent ways of doing k-th operation
Then the total number of ways (distinct ordered k-tuple) of

performing this operation is, N(S) = n1 n2 nk
N(S) can also be interpreted as follows (for k sets of elements):
the 1st set contain n1 elements,
the 2nd set contain n2 elements,
.
the k-th set contain nk elements
If we arrange the elements such that each arrangement contains
only one element from each set, then an arrangement of this
nature will be obtained
107
a11, a12 , ,
a1n1
a21, a22 , , a1n2
a k1, a k 2 , , a knk
108
Total number of arrangements = N

In general, the number of n distinct elements taking n elements at
a time is called permutation and is denoted by
P(n, n) = n1 n2 nk
This is equivalent to choosing n different elements to fill n
different positions,
n1
=n
choices for the 1st position
= n-1 choices for the 2nd position
n2
= n-(n-1) = 1 choice for the k-th position

nk
Hence
In permutation, we count the selection of ball i followed by ball j as

being different from the selection of ball j followed by ball i; i.e.,
({i,j} {j,i})
Often we are interested in a limited number of the total elements;
i.e., permutation of n objects taking k elements at a time
P( n,n ) n( n 1 )( n 2 )( n n 1 ) n !
P( n, k )
n!
( n k )!
Also written as: n Pk P( n, k )

The number of permutation of n distinct objects arranged in a
circle is (n - 1)!
In the permutation each distinct elements appear only once in

each arrangement
P( n, k ) n ( n 1 )( n 2 )( n k 1 )
st
Total elements in the last experiment
Total elements in the 1
experiment
[ n( n 1 )( n 2 )( n k 1 )]( n k )!
( n k )!
109
110
Stirlings Formula: For large n
Suppose that a club consist of 25 members and that a

President and Secretary are to be chosen from the
membership. How many ways can the positions be filled?
n
n! ~ n
2n or n! ~ 2 nn 1/ 2en
e
n!
1
lim
n
n
n
2n
e
0! 1
ej
P 25, 2
ej
25!
25 24 600
25 2 !
So far we had assumed distinct elements.

When the elements in a set are not distinct, the number of
permutations is affected
In this case, the number of permutations of n elements
taking n at a time, when k1 are of one kind, k2 is of another
kind, km is another kind of counting called Multinomial
Coefficient
111
112
Department of...Telecommunications Engineering
Multinomial Coefficient
Suppose n distinct elements are divided into k
different groups (k 2), for j = 1, , k, the j-th group
contains exactly nj elements where n1 + n2 ++ nk = n
We want to determine the number of ways in which
the n elements can be divided into k groups, i.e,
How many ways can k distinguishable balls be
distributed into n different boxes so that there are ni
balls in box i?
n
n1
n1
n n1
n2
n2
nk 1 nk
n n1 n2
n3
nk 1
n3
nk 1
Hence
n , n ,..., nk
P 1 2
n!
n1 !n2 !...nk !
n
n
n
n
,
,...,
k
1 2
This is the arrangement of elements of more than two or

more distinct types
113
Definition: For any number x1, x2, , xk and any positive integer
n,
m
k k
n!
k
x1 x k n
x11 x22 xmm
i k1 ! k2 !km !
F n I F n I F n n I F n n n I F n I n!
GH k , k , , k JK GH k JK GH k JK GH k JK GH k JK k !, k !, k !
1
This is equivalent to partitioning the n distinct set into m subsets

B1, B2, Bm, such that Bm is assigned km elements satisfying the
condition k1 + k2 + + km = n
That is if the same elements appear more than once in the same
permutation, then interchange of the elements will not produce a
different permutation
For 2, 3, , like elements, divide total number of permutation
by 2!, 3!, .
The multinomial coefficient appears in multinomial theorem which
can be stated as follows:
The number of distinct permutation of n things of which n1

are of one kind, n2 of a second kind, , nk of the k-th kind is
n!
n1 !, n2 !, , nk !
The number of ways of partitioning a set of n objects into r

cells with n1 elements in the first cell, n2 in the second cell,
, nk elements in the k-th cell is
F n I
GH n , n , , n JK
1
114
It can also be written as
nk
nk
nk
n n n1 n n1 n2 nk 1 nk
N ( s)
n1 n2 n3 nk 1
115
n!
n1 !, n2 !, , nr !
116
3. Sampling without Replacement & without Ordering

Same as sampling without replacement and with ordering,
except that the actual order of events is not important
Selection of ball i followed by ball j is same as selection of ball j
followed by ball i ({i,j} ={j,i})
Choosing k objects out of n objects, order not important, without
replacement, amounts to dividing n objects into two categories those that are selected and those that are not selected
To obtain the combinations, we basically divide P(n, n) by the
number of possible arrangements of k objects
This technique is commonly known as combination, which is
defined as follows:
Suppose we choose k objects from n distinct objects

Each time we choose an object, we record that the object
was selected and then replace it
We want to determine how many times an object has been
selected
xxxx
URN
xx
1
xxxxxx
2
...
x
n
# of bars = n-1 (outer bars not counted)
N ( S)
an1 kf! FG n1 kIJ FG n1 kIJ

H k K H n1 K
(n 1)! k !
Experiment involve how many ways to put stars and bars in

order
FG IJ
HK
n
P(n, k )
n!
Ck C(n, k )
n
k
k!
k !(n k )!
4. Sampling with Replacement and without Ordering
117
Examples
118
Repeated Trials - 1
Given n experiments 1, 2, , n, and their associated Fi and

Pi, i = 1 n, let
1 2* n
represent their Cartesian product whose elementary events are
the ordered n-tuples 1, 2, , n, where i i.
Events in this combined space are of the form
A1 A2 An
where Ai Fi. and their unions an intersections.
If all these n experiments are independent, and Pi(Ai) is the
probability of the event Ai in Fi then as before
P ( A1 A2 An ) P1 ( A1 ) P2 ( A2 ) P ( An ).
**
We will discuss techniques to analyze such problems with an

example.
119
120
Bernoulli Trial - 2
Bernoulli Trial - 3
Bernoulli trial: consists of repeated independent and identical

experiments each of which has only two outcomes A or Ac with
and P(A) = p and P(Ac) = 1-p = q
The probability of exactly k occurrences of A in n such trials is
given by (***).
Let
Suppose for a given n & p we want to find the most likely value of k?
From Fig. below, the most probable value of k is that number which
maximizes Pn(k).
X k " exactly k occurrence s in n trials" .
k 0
k (1 p ) ( n k 1 ) p
k ( n 1) p .
Thus Pn(k) as a function of k increases until
k ( n 1) p
n
P ( X k ) p k q n k .
k 0 k
n
p 1 / 2.
To obtain this value, consider the ratio
Pn ( k ) Pn ( k 1 ),
But Xi, Xj are mutually exclusive. Thus

P(X 0 X1 X n)
n 12,
( n k )! k !
Pn ( k 1)
n! p k 1 q n k 1
k
q
.
( n k 1)! ( k 1)! n! p k q n k
Pn ( k )
n k 1 p
Thus
if
or
Since the number of occurrences of A in n trials must be an

integer k = 0, 1, 2, , n, either X0 or X1 or X2 or or Xn
must occur in such an experiment. Thus
P ( X 0 X 1 X n ) 1.
n
Pn (k )
121
if it is an integer, or the largest integer kmax less than (n+1)p.

The equation **** represents the most likely number of successes (or heads)
in n trials.
Bernoullis Theorem - 1
122
Let A denote an event whose probability of occurrence in a single trial

is p. If k denotes the # of occurrences of A in n independent trials,
then
k
pq
Proceeding in a similar manner, it can be shown that

n
n
n
n!
n!
p k q n k
p k q n k
k 2 Pn ( k ) k
(
)!
(
1
)!
(
n
k
)!
(
k
2
)!
n
k
k
k 1
k 2
k 0
p
P
n
n!
p k q n k n 2 p 2 npq .
k 1 ( n k )! ( k 1)!
n
Equation above states that the frequency definition of probability of

an event k/n and its axiomatic definition ( p) can be made compatible
to any degree of accuracy.
Proof:
To prove Bernoullis theorem, we need two identities. Note that
with Pn(k) direct computation gives
n 1
n
n
n!
n!
k n k
(
)
p k q n k
p
q
k
P
k
k
n
( n k )! k!
k 1
k 1 ( n k )! ( k 1)!
k 0
n 1
n 1
( n 1)!
n!
p i q n 1i
p i 1q n i 1 np
(
1
)!
!
(
)!
!
n
i
i
n
i
i
i 0
i 0
Note that
k
p
n
which in turn is equivalent to

n
( k np )
k 0
Pn ( k )
n
k 0
2 Pn ( k ) n 2 2 .
#*
We can rewrite the left side of #* as follows

n
( k np )
k 0
np ( p q ) n 1 np .
is equivalent to ( k np ) 2 n 2 2 ,
Pn ( k )
k 0
Pn ( k ) 2 np k Pn ( k ) n 2 p 2
k 0
n p npq 2 np np n 2 p 2 npq . #**

2
123
124
Thus the theorem states that the probability of event A

from the axiomatic framework can be computed from
the relative frequency definition quite accurately,
provided the number of experiments are large enough.
Since kmax is the most likely value of k in n trials, from
the above discussion, as n , the plots of Pn(k) tends
to concentrate more and more around kmax.
Alternatively, the left side of (#*) can be expressed as

n
( k np )
k 0
Pn ( k )
( k np )
k np n
( k np )
k np n
Pn ( k )
( k np )
k np n
Pn ( k ) n 2 2
n 2 2 P k np n .
k np n
Pn ( k )
Pn ( k )
Using #* and #**, we get the desired result

k
p
P
pq

.
n 2
Note that for a given 0, pq / n can be made arbitrarily small

by letting n become large.
Thus for very large n,k we can make the fractional occurrence
(relative frequency) n of the event A as close to the actual
probability p of the event A in a single trial.
2
125
Note
That the expression
n
( x y )n
k 0
n k n k
k x y

Is known as Binomial Coefficient (Binomial Theorem)

126
Some Useful Binomial Identities

Symmetry
Pascals Triangle
FG nIJ FG n IJ
H kK H n kK
Factorial
FG nIJ n FG n1IJ
H k K k H k 1K
Addition
FG nIJ FG n1IJ FG n1IJ

H k K H k K H k 1K
Product
FG IJ FG IJ FG IJ FG IJ
H k K H j K H jK H k j K
Computational Methods
FG nIJ n j 1
H kK
j
FG nIJ FG nIJ FG n j k 1IJ
H kK
H kK
H j K
n
n j
j 1
n 1
n 1
j k 1
j k 1
FG nIJ FG nIJ 1
H 0K H nK
FG nIJ FG n IJ
H r K H n rK
FG nIJ FG n IJ FG n1IJ , 1 r n
H r K H n rK H r K
FG 0IJ
H 0K
FG1IJ
FG1IJ
H 0K
H1K
FG 2IJ
FG 2IJ
FG 2IJ
H 0K
H1 K
H 2K
FG 3IJ
FG 3IJ
FG 3IJ
FG 3IJ
H 0K
H1K
H 2K
H 3K
Random Variable
The degree of understanding a phenomenon is
inversely proportional to the number of variables
used for its description
- Unknown Physicist
Each row begins and ends with a
127
128
Definition of Random Variable - 1
Random Variables (RVs) are functions defined on the

Sample Space (S or ) of a probability space
Consider the experiment of flipping a coin twice!
Outcome of the experiment is S = {HH, HT, TH, TT}
From the sample space, we can identify 16 events as
follows:
{HH}, {HT}, {TH}, {TT}
{HH, HT}, {HH, TH} {HH, TT}, {HT, TH}, {HT, TT},
{TH, TT}
{HH, HT, TH}, {HH, HT, TT} {HH, TH, TT}, {HT, TH,
TT}
{HH, HT, TH, TT} and {}
We would like to perform several analysis on these

events and their probabilities
However, working with symbols such as H Head
and T Tail is not conducive
Thus, we can associate real numbers to these
events
Federal University 129

of Technology, Minna

TH
HT
TT
0


These quantities of interest (real value functions

defined on the sample space) are known as random
variables
When these random outcomes are mapped (or
transformed) into numerical values, (real numbers) a
random variable is obtained
HH
Often, we are interested in the outcome such as sum

of two dice but not in the separate values on the dice
E.g., we may want to know that sum is 7 but we are
not interested in the actual outcomes such as (1,6),
(2,5), (3,4)
A mapping of
S = {HH, HT, TH, TT}
into the real line
R
1
x

set A S maps to I R1
si
sj
s21
X(t;s i )
s4
s1
Set A
s10
sk
s5
s15
Interval I
P X I = P[ A]
= s1, s2,, s is the set of outcomes
k
s50
Random Variables (RVs) map the outcome of a

random experiment to points on the real line, R

Definition:
Suppose that (S, F, P) is a probability space in
which S is not necessarily countable. A Random
Variable, X, defined on this space is a function from
S into the real line such that the set {|X() x} F
for every real x
A Random Variable, X, defined on the probability
space is a function that assigns real value number
X() to every random outcome S
Translated, a Random Variable is a real value
function that associate a real number with each
element in the sample space
Note:
The function that assigns value to each outcome is
fixed and deterministic, e.g., number of heads in
three tosses of coin
However, the outcome of the experiment is not
known
No matter how careful a process is run, an
experiment is performed, or a measurement is
taken, there will be variability when the action is
repeated
If the outcome is already a numerical value, then we
can make the assignment X() =

Example 20

Examples of random variables are:

population of a city or country
time of failure of a machine
stress level in a structure
current or voltage level in electric circuit
gas pressure in a pipeline, etc.
135

Example 21
Example 22
A) Toss a coin 3 times; define X = number of heads

S = {HHH, HHT, HTH, THH, HTT, THT, TTH, TTT}
= {HHH, HHT, HTH, THH, HTT, THT, TTH, TTT}
Toss a coin 10 times. Let X = number of heads

SX = {0, 1, 2, , 10} range of X
= (H, T, T, T, H, H, H, T, H, T)
( one possible outcome)
N(S) = 210 = 1024 and X() = 5
Y
= (number of heads)/10 1/2
Z
= X2
Z() = 25
G
= sin X
G() = sin 5
X() =
Thus, X has a range SX = {0, 1, 2, 3}

B) Throw a pair of dice. Let Z = Sum, M = product
= (1, 6) one possible outcome
Thus, Z() = 7 and M() = 6


Cumulative Distribution Function - 1

The cumulative distribution function (CDF), or simply

distribution function, of a random variable X is defined
as
Cumulative Distribution Function
Continuous
P[ X x],
FX ( x)
P X xk u ( x xk ), Discrete
k
If there is a 5050 chance that something can go

wrong, then 9 times out of 10 it will.
Paul Harvey

140
Discrete Probability Distribution

A RV is discrete if its set of possible outcome is
countable
A discrete RV assumes each of its values with a
certain probability
In discrete probability, the statement the
probability that the random variable X is equal to x
written as P[X = x], is given a numerical value by
the probability function P
P[X = x] is the P value assigned to the event
{|X() = x}
2. Continuous Probability Distribution
141
FX ( x) P[ X x]
CDF of continuous RV takes on a value in the set (-, x]. The

event of interest is semi-infinite interval on the real line, R
CDF is a probability and satisfies all the axioms and
corollaries of probability!
FX(x)
FX(x)
1
1/2
1/6
Continuous x
pf
Discrete S x 0, 1, 2
Both continuous and discrete RVs shown above have similar

shapes in that they start from zero and build up to 1, from left to
right, always increasing

Properties of CDF - 1
1) 0 FX ( x) 1, - x (from Axiom I and Corollary 2)
3. Mixed Probability Distribution

A RV is mixed if its set of possible outcome is
partly countable and partly uncountable
A mixed RV assumes some of its values with a
certain probability and some other values with
uncertain probability
2) lim FX ( x) 1 or FX () 1, (from Axiom II)

x
3) lim FX ( x) 0 or FX () 0, (from Corollary 3)

x
Since all real numbers are > -, then {X - } is empty

4) FX ( x ) is a non-decreasing fucntion FX ( a ) FX (b ), if a < b
FX(x)
If a < b, then FX(a) FX(b)
1
3/4
1/4
1
5) FX ( x ) is continuous from the right, i.e., for any b, and for h > 0
FX (b) = lim FX (b h) FX (b )
h0
143

Summary Properties of CDF
Properties of CDF - 2
6) P[a X b] FX (b) FX (a), if a b

All probability questions about X can be answered in terms of
the CDF
7) P[ X b]
R|F (b) F (b-)

S|0,
T
X
2) FX () 1
3) FX ( ) 0
if FX (x) is continuous at b
4) FX ( x) is a non-decreasing fucntion F (a ) F (b), if a < b

X
X
5) FX ( x) is a continuous from the right,
P[a X b] P[a X b] P[a X b] P[a X b]

If the CDF is continuous at the end points x = a and x = b, then
i.e., for h>0, FX (b) lim FX (b+h) FX (b + )

h0
6) P[a < X b] = FX (b) FX (a )

7) P[X = b] = FX (b) FX (b )
8) P[ X x] 1 FX ( x)
Continuous
P[ X x],
FX ( x)
P X xk u ( x xk ), Discrete
k
1) 0 FX ( x) 1
8) P[X > b] =1 FX ( x)

Example 24
Given that
Compute FX(x) if X = # of heads in 2 tosses of a coin

S = {HH, HT, TH, TT}
x0
1 e 2 , x 0
FX x
0,
x0
Determine if the function FX(x) is a valid CDF

Solution
# of heads is < 0
0 x1 # of heads = 0
(2) FX 0
(3) FX 1e 1
1 x 2 # of heads is at least 1, [1,2]

x2
Properties 2, 3, 4 and 5 are used to

show that a given function is a valid
CDF
Example 23
0,
1
,
4
( x)
3,
4
1,
(4) FX x1 FX ( x2 ), x1 x2
# of heads 2
(5)
FX x FX ( x)
FX x P X x P X x
FX ( x ) P X x P X x
YES, FX(x) is a valid CDF

147

146
Computing Probabilities using CDF
Example 25
1) P a X b FX b FX a
The CDF of a RV X is given by
R| 0
x
F ( x) S
16
|T 1,
4
x0
2) P a X b FX b FX a P X a
FX(x)
0 x 2
2 x
Compute P[1/2 < X 3/2 ]
4) P a X b FX b FX a P X b
5) P a X 1 FX a
3
3
F P[ X ]
2
2
3
1
3
1
P X F F
X
X
2
2
2
2
3) P a X b FX b FX a P X a P X b
1 3 4
1 1 4

16 2
16 2

6) P X a 1 P[ X a ] 1 FX a
150
Example 26
A particular Random Variable has CDF given by

1 e x , 0 x
FX x
else
0,
(a)Find the probability that X > 0.5

FX ( x) P X x 1 P X x 1 1 FX ( x)
1
P X 0.5 1 FX 0.5 e 2 0.6065
(b)Find the probability that X 0.25

P X 14 FX
14 1 e
1
4
0.2212
Probability Density Function

(PDF)
Everything should be made as simple as possible,
but not one bit simpler.
- Albert Einstein
(c) Find the probability that 0.3 < x 0.7

P 0.3 X 0.7 FX 0.7 FX 0.3
0.2442

152
Probability Density Function - 1
Probability density function (PDF) of a random

variable X denoted by fX(x) is defined as
Properties of PDF
( x)
d
dx P X xk u x x , p ( x ) x x ,
dFX ( x )
dx
fX
2)
continuous
2) P[ X x k ] 1
f X ( x)dx FX () 1
3) FX ( x)
f X ( x)dx
3) F ( x) P[ X x k ]
4) P[a X b] FX (b) FX (a)

b
b
a
= f X ( x)dx f ( x)dx a fX ( x)dx
discrete
1) 0 P[ X xk ]
1) 0 f X ( x)
PDF, fX(x), measures how likely a random variable is to lie

at a particular value or how fast the CDF is increasing
fX(x) represents the density of probability at some point x
If the derivative of FX(x) exists then fX(x) exist
Derivative of FX(x) does not exist at points where the FX(x)
is not continuous
Discrete PDF:
153
4) P[a X b] P[ X x k ]
k a
If we let a = b, we obtain P[ X a] za f X ( x)dx 0

That is, probability that a continuous RV will
assume any fixed value is zero
Hence for a continuous RV,
b
P[ X a] P[ X a] F(a)
f (x)dx
Example 27
Properties 1 & 2 are sufficient to determine if a given

function is a valid PDF
Notice that integration in the continuous case is simply
replaced by summation in the discrete case
Determine if the pdf function fX(x) is valid

x 0
x,
fX x
0,
else
Solution
1
x dx 01 xdx 01 xdx
0
x2
x2
2 1 2 0
1
Yes, fX(x) is a valid PDF
155

154
Computing Probabilities using PDF
Example 28
z f xdx
2) P a X b z f xdx
3) P a X b z f xdx
4) P a X b z f xdx
5) P a X z f xdx
1) P a X b
For the given pdf below, find P X v
f X ( x ) ce x , x
Solution
First find C
1
ce x dx 0 ce x dx
ce x dx
2 0 ce x dx
Note
for any real number a, a- < a < a+, with a-, a+
arbitrarily close to a
c x
2
e
c
2
0
P X v
v e
2
1 e v
157
dx 2 0v e x dx
2

Conditional CDF
Conditional PDF
Conditional Distribution
From the definition of conditional probability, we obtain the
definition for conditional CDF
Conditional Density
From the definition of conditional probability, we obtain the
definition for conditional CDF & PDF.
P[ A B]
P[ X x B]
FX ( x|B) P[ X x| B]
P[ B]
P[ B]
where A is the event {X x}
P[ A|B]
f X ( x| B) dFX ( x| B)
dx
Properties
Properties:
1) 0 F( x| B) 1
1) 0 f ( x|B), for all x
2) F(| B) 1
2)
3) F(| B) 0
3) F ( x|B)
4) F( x) is non-descreasing F(a| B) F(b|B), if a b

5) F( x) is continuous from the right, i.e., F( x | B) F( x|B), if a b
4) P[ x1 X x2 ] F ( x2 |B) F ( x1| B)
f ( x|B)dx FX () 1
f ( y| B)dy
x2
x1
f ( y| B)dy
6) P[ x1 X x2 | B] F( x2 | B) F( x1| B), if x1 x2
159
160
Discrete Random Variables - 1

Bernoulli Random Variable

A Bernoulli trail is a probabilistic experiment that can have one
of two outputs classified as either success or failure and in
which the probability of success is p
We refer to p as the Bernoulli probability parameter
It is sometimes referred to as an indicator function of the RV X
Discrete Random Variable
I X ( )
Discrete Random Variables

Bernoulli RV
Binomial RV
Negative Binomial RV
Poisson RV
Hypergeometric RV
Zeta RV
Discrete RVs are specified by their probability mass

function (pmf)
161
k p
x
x
S X 0, 1
1-p
p
B1,p
Px(1) = P[X = 1] = p, Px(0) = P[X = 0] = 1 - p

The Bernoulli RV corresponds to selecting one item (k=1)
with probability p of success
0,
x 1
FX ( x) 1 p, 0 x 1
p,
x 1
f X ( x)
1,
x 1
1 p, x 0
R|
S|
T
RS
T
162
For Example, if you roll a die until 6 appears. Let X = number of

rolls. Find the probability mass function of X
5 k
pk ( x) P[ X k ] 1
, k 1, 2,
6 6
Some modification of Bernoulli trial sequences, results to other forms
of well known distributions:
Binomial,
Geometric,
Pascal, and
Negative binomial
These RVs are based on sequences of independent Bernoulli trials
FH IK
Binomial Random Variable

Consider n experiments, each of which results in success
with probability p or failure with probability 1-p
Let X = number of success
For a sample consisting on n independent selections, with
replacement, the binomial RV, B(n,p), is the number of
successes denoted by
pk ( x) P[ X k ]
FG nIJ p (1 p)
H kK
k
nk
, k 1, 2,
FG nIJ # of different sequences of the n outcomes

H kK leading to k success and n-k failures
Binomial RV: = number of successes in n trial

Geometric RV: = number of failures before the first success
Negative binomial RV: = number of failures before the kth success
Pascal RV: integer version of the negative binomial
RS1,
T0,
Bn, p B1, p B1, p B1, p

1
1-p
1
163
...
p
1-p
1-p
p
Bn,p
164
Geometric Random Variable, (G1, p)

Perform an experiment until one success occurs (G1, p)
Given a sequence of independent Bernoulli trails, the
geometric RV is the number of failures before the first
success
If X = the number of trials, then geometric distribution is
given by
Negative Binomial Random Variable, (Gn, p)

Perform an experiment until a total of k success occur is
(Gn, p)
It computes the number of failures before the k-th success
If X = the number of trials required, then
pk ( x) P[ X k ] p(1 p)
k 1
, k 1, 2,
1-p
1
1
1-p
165
k 0,1, , r 1
1-p
p
Gn,p
166

Poisson Random Variable

Is used to determine the number of occurrences of an event in
a certain time interval, e.g., rate of growth or decay
A Poisson RV X with parameter taking on one of the values
0, 1, 2, is given by
k
k!
A Poisson RV is a limiting case of the Binomial RV
FG nIJ p (1 p)
H kK
k
n l arg e, p small, = np e
k!
Proof:
n k
nk
P[ X k ] p (1 p )
k
, k 0,1, 2,...
n! k
1
n k !k ! n
n
nk
1
n ( n 1) ( n k 1)! k n
k ! k
nk
Items are uniformly scattered

Occurrence of items are independent
Never have two items at same time
nk
It is assumed that
= average number per unit of time
, k r, r 1,
FG k 1IJ pr (1 p)k r for the rth success to occur in k trials,

H r 1K
there must be r-1 in the first trials
p X ( k ) P[ X k ]
...
p
1-p
k r
Gn, p G11, p G12, p G1n, p
G1,p
R|FH kr11IK p (1 p)
S|0,
T
r
pk ( x) P[ X k ]
1
n
167
168
Examples of RV that obey the Poison probability

distribution
For large n and moderate
e1 n jk e , e1 n jn k 1, n(n 1)k(n k 1) 1
The number of wrong telephone numbers dialed in a day

The number of customers entering a post office on a given
day
The number of radioactive particles discharged in a fixed
interval of time
Hence
P[ X k ]
k e
k!
f X ( x) e
k 0
k
xk
FX ( x) e
k 0
k!
k
u xk
k!
169
Zeta Random Variable (Zipf)
Hypergeometric Random Variable
pk ( x) P[ X k ]
where
C
k
Take a random sample of size k from a population of n elements with

a successes and b failures
The number of successes in such a sample is a Hypergeometric RV
Let X = number of successes
a
A) Sampling with replacement will giveX ~ b x; n,
, k 1, 2,
FH
1
L
1I O
F
CM H K P
N k Q
170
k 1
a b
IK
B) Sampling without replacement will give
FG aIJ FG b IJ
X ~ ha x; n, a, bf H xK H n xK
FG a bIJ
HnK
Can be used to describe the distribution of family income in

a given country
Hence the distribution function can be written as
FG aIJ FG b IJ
p ( x) P[ X k ] H xK H n xK , k 0,1,, a
FG a bIJ
HnK
k
171
172
Summary of Discrete Distribution - 1
Summary of Discrete Distribution - 2
1. Bernoulli: X takes the values (0,1), and
4. Hypergeometric:
P ( X 0) q,
P ( X 1) p .
2. Binomial: X ~ B(n,p)
P( X k )
P(X k)
n
P ( X k ) p k q n k ,
k
k 0 ,1 , , n .
12
N m
n k
,
N

n

max(0, m n N ) k min( m, n )
5. Geometric: X ~ g(p)
P ( X k ) pq k , k 0 ,1 , 2 , , ,
3. Poisson: X ~ P()
P ( X k ) e
m

k

q 1 p.
6. Negative Binomial: X ~ NB(r,p)
k!
k 1 r kr
P(X k)
,
p q
r 1
, k 0 ,1 , 2 , , .
P(X k)
7. Discrete-Uniform:
P(X k)
k r , r 1, .
173
1
, k 1, 2 , , N .
N
174
Some Commonly used Random Variables

Continuous Random Variables:
Continuous Random Variable

Statistics, likelihoods, and probabilities mean
everything to men, nothing to God.
Richelle E. Goodrich

Uniform RV
Gaussian (Normal) RV
Cauchy RV
Rayleigh RV
Nakagami RV
Beta RV
Chi-squared RV
Pareto RV
Exponential RV
Gamma RV
Laplacian RV
Rician RV
Weilbull RV
Log-normal RV
Erlang RV
Student F distribution, etc
Continuous RVs are specified by their probability

density function (pdf)
176
Uniform Random Variable X ~ U(a, b), a < b
Exponential Random Variable - 1
An uniform RV is given by
An exponential RV with parameter is given by
fX
R| 1 ,
( x) S b a
|T0,
R|0,
x a
F ( x) S
,
b
|T1, a
X
R|e(x a) ,
f ( x) S
T| 0,
R|1 e(x a) ,
F ( x) S
T|0,
f X ( x)
1
ba
a x b
otherwise
a
xa
FX ( x)
1
a x b
b x

f X ( x)
xa
xa
Exponential Random Variable - 2
xa

Rayleigh Random Variable

A Rayleigh RV X with parameter > 0 is describe by
This means that
R|
( x a)
1
f ( x) S ( x a)e 2 ,
|T0,
R| (x a)
F ( x) S1 e 2 , x a
|T0,
xa
P[ X s t | X t ] P[ X s ]
Proof:
From conditional probability definition, one obtains
P[ X s t , X t ]
P[ X t ]
xa
xa
f X ( x)
P[ X s t ]
P[ X t ]
P[ X s ] P[ X t ]
P[ X t ]
P[ X s ]
FX ( x)
This function often arises in practice and is used to describe the

amount of time until some specific event occurs, e.g.,
Amount of time until a phone call is received
Amount of time until an earthquake occur
Models the reliability of electronic components
Exponential RV is the only continuous distribution characterized
with lack of memory (memoryless)
P[ X s t | X t ]
xa
a=0
The Rayleigh RV with parameter =1 corresponds to the Chisquared with 2 degree of freedom
The square of Rayleigh RV with parameter corresponds to the
exponential RV with parameter 1/(2)
The Rayleigh PDF and CDF are commonly used in
communication
179
180
Rice (or Rician) Random Variable
Nakagami Random Variable
A Rice RV X with parameter , 2 > 0 is describe by the pdf
R|
S|
T
LM
N
x
x
f X ( x) 2 exp 2 2
0,
2
OP I F xI,
Q H K
o
A RV X is said to be Nakagami if its pdf is described by
x0
x0
where Io(x) = zeroth order modified Bessel function of the 1st

kind
Rice PDF was developed in the 1940s in the study of noise
in communication channels
Its CDF is given by
FH a , x IK
b b
FX ( x ) 1 Q
where
181
A Cauchy RV with parameters and , is described

by
x
2
, x
where m = Nakagami fading parameter

1
Ex
2
E x , m
var( x)
2
2
182
The continuous RV X has Gamma distribution, with parameters

and , if its density function is given by
R| x
S|0,
T
f X ( x)
f X ( x)
FX ( x) P[ X x]
OP
Q
m 2
x , x0
x0
Gamma Random Variable, X ~ G(,)
Cauchy Random Variable

LM
N
exp
Also known as m-distribution
f X ( x)
2m 1
m = 1 Rayleigh PDF
m = 0.5 One sided Gaussian
2
2
Q , x exp x I dx
2
R| 2 e mj x
S|0, m
T
f X ( x)
1 1
x
tan 1
1 x
, x 0, 0, 0
f X ( x)
x0
where
x 0 x 1e x dx,
FX ( x ) G
x, 1 Incomplete Gamma Function

Note that
e21j
1
m1 m!, m 1, 2, m m1!
183
184
Erlang Random Variable
Laplace Random Variable
Is a special case of Gamma RV with parameter = n

(n is a positive integer)
A Laplace RV X with parameter is described by
f X ( x) e x 1 , x
2
1 x
f X ( x)
x e , x0

R|21 e (x a) ,
F ( x) S
|T1 21 e (x a) ,
n 1 k
FX ( x ) 1e x k ! x k
k 0
x a
a x
(x)
x
185
186
Beta Random Variable, X ~ B(, )
Weilbull Random Variable

The continuous RV X has Weibull distribution, with

parameters and , if its density function is given by
A Beta RV X with parameter , is described by
fX
R|
( x) S
|T0,
FH x a IK
x a 1 exp
R|1 expLF (x a) I O,
MN H K PQ
F ( x) S
|T0,
fX
, x a, 0, 0
xa
a f
R
x
|
( x ) S a f
|T0,
FX ( x)
xa
RSI a , f,
T0,
X
1 x 1 ,
0 x 1
otherwise
x 1
f X (x)
x 1
0
xa
187
188
Chi-squared Random Variable, X ~ 2(, )

The F distributed RV X with is described by
The continuous RV X has a chi-squared distribution, with

parameters and , if its density function is given by
f X ( x)
1
n
2n / 2
2
Fisher F-Random Variable

n 1
2
f X ( x)
x
exp , x 0
2
e 21 j e 21 j
m n
mx n
mn
2
This distribution arises in problems of testing

hypothesis in which 2 or more normal distributions are
compared
f X ( x)
FX ( x) G n , x
2 2
21 m n mm / 2 n n / 2 x m / 2 1
where n is a +ve integer and G(a,b) is the incomplete gamma

function
Note that
2 (n) G n2 , 2
189
Pareto Variable
t (student) Random Variable
Pareto Variable
The student distribution has PDF given by
f X ( x)
|RS
T|0,
1
x 1
190
f X ( x)
x
otherwise
F
e2 j H
2
1
x
1 2 1
1
I
K
This pdf is commonly used in statistical inference

fT ( t )
191
192
Gaussian (Normal) RV - 1
Normal distribution - If a continuous random

variable has distribution that is symmetric and
bell-shaped we call it a normal distribution
Gaussian (Normal) Random

Variable
Curve is bell shaped

and symmetric
Based on the law of probability

Everything is possible because
The sheer existence of possibility
Confirms the existence
Of impossibility.
Dejan Stojanovic
Score
193
Standard Normal Distribution: = 0 and = 1
194
A RV X with probability density function (PDF)
99.7% of data are within 3 standard deviations of the mean
( x )2
exp
, x , 0
2 2
2 2
1
f X ( x)
95% within
2 standard deviations
is said to be a Gaussian or Normal density function

It is commonly denoted as N(,2), where
68% within
1 standard deviation
= mean (average) value, 0,

= standard deviation, and
2 = variance
34%
f X ( x)
34%
2.4%
0.1%
0.1%
13.5%
-3
-2
+2
+3
2 2
X ~ N , 2
3
195
b g
0607
. a
13.5%
2.4%
x
196
Once & are specified, Gaussian curve is uniquely determined

The Gaussian PDF is symmetric about x =
1
Characteristics of the Normal Curve

The curve is bell-shaped and symmetrical.
The mean, median, and mode are all equal.
The highest frequency is in the middle of the curve.
The frequency gradually tapers off as the scores approach
the ends of the curve.
The curve approaches, but never meets, the abscissa at
both high and low ends.
2
x
Gaussian curves with 1 2 and 1 2
1
2
1 2
2
x
It is the most important of all densities and models more different random
occurrences than any other PDF
The most widely used model of noise in communication systems
197
Gaussian (Normal) RV 6
198
It is so important that it is the only density in the world

to earn a place in a banknote (a German Banknote)
From definition, the Gaussian distribution (CDF) is

given by
FX ( x) P[ X x]
x

Importance of Gaussian PDF stems from the central limit theorem

which states that the sum of RVs (or average of the sum) of almost
any type of RV approaches Gaussian density as n
Gaussian density is encountered in all areas of engineering and
science
199
(t ) 2
exp
dt
2
2
2
1
This integral cannot be evaluated in closed form

However, because of its importance, FX(x) for the
Gaussian RV have been tabulated by means of
numerical integration and approximation techniques
200
The tabulated function is normalized (standardized) Gaussian

RV denoted by N(0,1)
That is, a standard Normal RV has zero mean and unit
variance
A standard Normal RV have zero mean ( = 0) and unit
variance (2 = 1)
X ~ N ( , 2 )
X ~ N (0, 2 )
X ~ N (0,1)
Let y t s tan dardization, dy 1 dt dt dy
Standard Normal Distribution
201
F x I is the CDF of standard Normal RV

HK
Hence,
1
2
FX (a )
F t I dt
H 2K
exp
2
a exp x dx
2 2
2 2
x
(x)
( x)
y2
1
exp ( dy )
2
2
Also
x 1 x
Hence
FX (a) P[ X a]
X a
a
P
LM
N
FX (a ) P[ X a ]
202
( x)
exp y dy
2
2
x
y2
x
1
exp dy

2
2
2
FX ( x)
=1
=0
OP F I
Q HK
1
2
a
exp
y2
1
a
exp
dy Q
a
2

2
Q( x) 1 FX ( x)
z FH y2 IK dy
exp
x
Q function
In many cases, the probability of error in communication system is given

directly in Q(x)
Q(x) is often referred to as the upper tail of the Gaussian density fn.
x 2
2 2
1
2
dx
203
204
Q( x) 1 Q x
Calculating probability with the Q-function (area under

the curve)
Q( x) 1 x
Q( x)
F a I
HK
Q(0) 1
2) P X a 1 P X a 1 Q
If the value of Q(k) is given, the value of a can be determined

from the Q-function table directly, e.g,
Q(k) = 0.2005 k = 0.84
Sometimes, linear interpolation may be necessary
E.g., if Q(k) = 0.02, then value of k lies between 2.05 & 2.06.
Q(2.05) = 0.02018, Q(2.06) = 0.01970
Hence, by interpolation, we obtain
k 2.05
3) P a X b FX b FX a P X a P X b
or
a
b
Q
P a X b Q
F I F I
HK HK
a I
4) P X a 1 P X a 1 QF
HK
F 0.020180.02 I2.062.05 2.054

H 0.020180.01970K
205
Lognormal RV
Some important Properties:
Lognormal Random Variable
The sum of n independent normal RVs is a normal RV with

mean n and variance n2
n
2
2
N ( , ) ~ N n , n
i 1
Any fixed linear transformation of a Gaussian RV is also a

Gaussian RV
a bN (, 2 ) ~ N a , b 2
The sum of squares of -independent unit Gaussian RV, N(0,1), is a chi-squared

RV (central type) with degrees of freedom
A lognormal distribution if the RV Y = ln(X) has a normal

distribution with mean a and standard deviation .
The resulting density function of X is given by
R| 2
L ln(x a) b OP , x a
f ( x) S 2 x a expMN
Q xa
2
|T0,
R| 1 L ln(x a) b O z x expF z I dz, x a
PQ H 2 K
F ( x) S 2 MN
2
|T0,
xa
2
2
N (0,1) ~
i
i 1
206
The ratio of two independent unit Gaussian RV, N(0,1), is the standard Cauchy
The sample mean of n-independent and identically distributed RV each with
mean m and variance 2, tend to be Gaussian distributed with mean m and
variance 2/n, as n 0
207
208
Example 29a
If X is a normal RV with parameter =3 and 2 =9,

find
a) P[2 < V<5],
b) P[X > 0],
c) P[|X-3| > 6]
Example 29a
(a)
2 3 X 3 5 3
1 X 3 2
P 2 X 5 P
3
3
3
3
3
3
1
2
P z
3
3
Q x 1 x
2
1

3
3
2
1
2
1
1 1
3
3
3
3
From Table, we obtain

2
1
P 2 X 5 1
3
3
0.7486 0.6293 1 03779

Example 29a
b) P X 0 P X 3 0 3 P z 1
3
3
1 1 1 1 1 1
0.8413
Example 29b
The velocity V of the wind at a certain location is a

normal RV with = 2 and = 5.
Determine P[-3 V 8].
3 2 v 2 8 2
P -3 v 8 P
5
5
5
v2
6
P 1 z
1 Q 1 Q 1
5
Q 1 Q
5
1 Q 1 Q 1.2
1 0.1587 0.1151 0.7262
c) P X 3 6 P X 3 6 P X 3 6
P X 3 P X 9
X 3 3 3
X 3 9 3
P
3
3
3
3
P z 2 P z 2
2 1 2
1 2 1 2 2 1 2
2 1 0.9772 0.0456


212
Statistical Properties of RV
Statistical Properties of
Random Variables
Rowes Rule: the odds are six to five that the light
at the end of the tunnel is the headlight of an
oncoming train.
Paul Dickson
213
Some statistical characteristics or parameters that are

used to describe the behavior of random variables
These properties convey the information about the
shape of the function, the symmetric point (or center
point), the variation from this point, etc.
Knowing some of the properties, the behavior of a RV
can uniquely be determined
Some of these properties include the Mean, Variance,
Characteristic Function, etc.
For example, the mean and variance are universally
used to represent the overall properties of the RV and
its PDF
Expectation of a Random Variable - 1
214
Expectation of a RV - 2
The Expected Value of a RV, X, is defined as
To explain this concept, consider 2 figures shown

below:
- xf X ( x)dx, continuous
x m x X E[ X ] n
xk p ( xk ), discrete
k =1
f ( x4 )
f (x3)
f ( x5)
f ( x2 )
f ( x1)
EX
EX
x1
x2
x3
x4
x5
E[X] is also known as the

Mean,
Average Value,
First Moment
E[X] is probably the most important concept in probability
theory and Random Processes - a must know concept
The concept of expectation is analogous to the physical
concept of the center of gravity of a distribution
For figure (a), the x-axis may be considered as a long

weightless rod to which weights are attached
If weights equal to f(xj) are attached to this rod at
each point xj, then the rod will be balanced, iff it is
supported at point E[X]
For figure (b), the x-axis may be regarded as a long
rod over which the mass varies continuously
215
(a)
(b)
216
If the density of the rod at each point is equal to f(x),

then the center of gravity will be located at point E[X]
and the object will be balanced if supported at that
point
E[X] will exist iff
Properties of Expectation (Must Know)
1) E c c, c isaconstant
2) E cX cE X
3) E X c E X c
4) E X Y E X E Y
xf X ( x ) dx x f X ( x) dx
5) E X E Y , if P X Y 1
6) E[ X ] E X
i.e., only when the integral converges absolutely

In general, if fX(x) has one peak @ X = x1 and is
symmetric about x1, then E[X] = x1, else the mean
value do not necessarily lie @ X = x1
Note that the notation E[X] is not a function of X
7) E X 1 X 2 X N E[ N ] E X
If Xi, i = 1, , N are independent and identically

distributed (iid)
217
Expectation of a Function
218
Example 30a
Given a function of a RV X, Y = g(x), we want to

compute the mean E[X]
A RV X is uniformly distributed in the interval [a,b],

what is the expected value E[X]?
E X x
xf X ( x) dx
E Y E g ( x) ?
First find the PDF of Y and then use the definition to find
E[Y], or
Calculate the expectation directly using the definition as in
2
1 x
ba 2
- g ( x) f X ( x)dx
g ( x) E[ g ( x)]
g ( xk ) P X xk
k
1 b
xdx
ba a
1 1
1 1
b 2 a 2
2 b a b a b a
2 ba
b a
1 1
1 1
b 2 a 2
b a b a
2 ba
2 ba
2
Also
2
E X
3
1 b 2
1 x
x f X ( x) dx
x
dx
ba a
ba 3
1 1
b3 a 3
3 ba
219
220
Example 30b
Example 31
b) A RV X is uniformly distributed in the interval [0, 10],

what is the expected value E[X]?
Find the mean of a RV with PDF given by
fX(x)
1 , 0 x 10
f X x 10
else
0,
1
10
10
First we compute the value of K
bx
f X ( x)dx 0 Ke dx 1
K
e bx 1 K b
0
b
E X
xf X x dx
10
0 x
Kebx , x 0
f X ( x)
x 0
0,
Then we compute the mean of the random variable X
E X 0 xbe bx dx
1
dx
10
10
x2
5
20 0
221
xb e bx
xb e bx
0
0
0 e bx dx
1
b
e bx
1
b
222
Mean Squared Value
Example 32
A discrete RV X has Xk = k2, k = 1,2,,5,

which occur with probability 0.4, 0.25, 0.15, 0.1,
and 0.1, respectively. Find E[X].
The 2nd moment or mean square value is defined as
Solution
This is analogous to the power of a signal

5
E X x xk p xk
m X
2
X
- x 2 f X ( x)dx, continuous
X E[ X ] n 2
discrete
xk p ( xk ),
k=1
2
The RMS value is the square root of the mean square

value
k 1
(1) 2 (0.4) (2) 2 (0.25)
X RMS E[ X 2 ]
(3)2 (0.15) (4) 2 (0.1) (5) 2 (0.1)

6.85
223
224
Example 33
N-th Moment / N-th Central Moment

The nth moment is given by
a) A RV X is uniformly distributed in the interval [a, b],

what is the mean square value E[X2]?
E[ X n ] X n - x n f X ( x)dx
Solution:
The n-th central moment is given by

n
E[ X x ] X x
2
E X 2
x f X ( x)dx
- X x
3
1 b 2
1 x
x
dx
ba a
ba 3
f ( x)dx
X
1 1
b3 a 3
3ba
225
Example 33
x2 var X E[(X x ) 2 ]
2 x 2 e x
1 x
0 e dx
0
- (X x ) 2 f X ( x) dx
continuous

2
g (X k x ) P X xk discrete
k
2 1 x
2
e 2
The variance of a random variable X is given as
x 2e x
2 x
E X 2
0 xe dx
0
Special Cases:
when n = 1, the first central moment is zero
when n = 2, the 2nd central moment is called the variance, i.e., the
variance is the second central moment
x m e ax m m 1 ax
x e dx
a
a
226
E[ X x ] X x - X x f X ( x)dx
we evaluate the integral shown below

E X
Recall that the n-th central moment is given by
We can also use the formula
2 x
0 x e dx
f X ( x ) e x , x 0
Variance of a Random Variable - 1
x m e ax dx
The variance provides a measure of the spread or

dispersion of the density around the mean
227
228
Variance of a Random Variable - 2
Properties of Variance - 1
A small value of the variance indicates that the probability density is

tightly concentrated around the mean and vice versa
The variance is the moment of inertia about the center of mass
Note that
var[ X ] X2 X x E[ X x ]
2
Let a and b be constants

1) Var[a] 0
2) Var aX b a Var X
2
If E X , then E aX b a b
E X 2 Xx Xx xx
E X 2 xE[ X ] xE[ X ] E[ xx ]
2
Var aX b E aX b a b
X2 X X X X X X
E aX a 2 a2 E X 2 a2Var X
X X X
2
E[ X ] E[ X ]
2
It follows that Var[aX] = a2var[X]
a f
3) Var X Y Var X Var Y 2 E[ X x Y y ]
Standard deviation:
var[ x]
229
Properties of Variance - 2
Example 34
A RV X is uniformly distributed in the interval [a,b],

what is the Variance of the RV?
Proof:
Suppose that n = 2,
E[X1] = 1, E[X2]= 2, then E[X1+X2] = 1 + 2
EX x
var X 1 X 2 E[ X 1 X 2 1 2 ]
2
E[ X 1 1 ] E[ X 2 2 ] 2 E[ X 1 1 X 2 2 ]
2
var[ X 1 ] var[ X 2 ] 2 E[ X 1 1 X 2 2 ]
E[ X 1 1 X 2 2 ] E[ X 1 1 ]E[ X 2 2 ] ( 1 1 )( 2 2 ) 0
1 1
b3 a 3
3 ba
Vax X E x 2 E x
b a 1 1 b3 a3 2
3 b a
2
2
231
You can also use the brute force method shown below
2 E x 2 E x
var X 1 X 2 var[ X 1] var[ X 2 ]

E X 2
If X1 and X2 are independent, then
b a
The variance can be computer as
E[ X 1 1 X 2 2 2 X 1 1 X 2 2 ]
Hence
230
1 b
ab 2
dx
a x
2
b 1
232
Example 34
Example 35
The variance is
Find the variance of a RV with PDF given by
1 b
ab
2
Var X E x x
x
dx
a
ba
2
2
1 1
ab
x
3 b a
2
Kebx , x 0
f X ( x)
x0
0,
3b
3
1 1 b a a b
3 b a 8
8
3
1 1 b a
3 b a 4
b a
12
233
234
Example 35
b) Then we compute the variance of the random variable X

2
2
X2 E X x 0 X x f X ( x)dx
0 X b1 be bx dx
2
Functions that Give Moments
b 0 x 2 e bx dx b2 0 xe bx dx b12 0 e bx dx
b xb e bx 2b2x e bx b23 e bx
2
0
b
2
b2
xe
bx
Medicine is a science of uncertainty and an

art of probability.
b13 e bx b b13 e bx
0
0
William Osler
b b23 b23 b13 b12

235
236
Functions that Give Moments
Characteristic Function - 1
Because of the importance of the n-moments (n-th order

expected value), several other techniques can be used to
evaluate them
These techniques are widely used in determining the moments
of important distributions for large value of n
These alternative procedures exist for determining the
moments of random variables especially when n > 2
These procedures or functions are:
Characteristic Function
Moment Generating Function
Probability Generating Function
Laplace Transform
These transforms are handy when computing the statistical
behavior of sums of large random variables
Characteristic Function (CF) of a random variable X is

given by E[ejX] and is denoted by X(), such that
237
X ( ) E e j X
- e j X f X ( x)dx, continuous
j X
e k p X ( xk ), discrete
k
The characteristic function will exist only if the integral or
the sum specified above converges
X() can be interpreted as the expectation of a function of
X, denoted as Y = ejX, with unspecified
X() can also be interpreted as the Fourier Transform (FT)
of the PDF fx(x) of the random variable X with the sign of
reversed
238
If X() is known, then fx(x) can be found from the

inverse FT with sign of reversed
Now consider the derivatives of the CF, X(), evaluated at = 0
f X ( x)
1
2
X ( )e
f X ( x) X ( )
jX
X ( f ) F x(t )
x(t )e j2ft dt
x(t ) F
X( f )
X ( )
jxf X ( x)e j X dx 0
d
0
jxf X ( x )dx jE X
X ( f )e j2ft df
CF is especially useful in evaluation the moments of RVs when

n>2
Consider the following,
E X
xf X ( x)dx
2
d2
( )
jx f X ( x)e j X dx 0
d 2 X
0
j 2 x 2 f X ( x )dx j E X 2
z
z
E X
2
E X
x f X ( x)dx
n
dn
( )
jx f X ( x)e j X dx 0
d n X
0
x 3 f X ( x)dx
E X
n
j n x n f X ( x )dx j E X n
x n f X ( x)dx
239
240
Example 37
It can be seen that

E X
LM
N
Find the characteristic function of the exponential RV

with PDF given by
OP
Q
1 d
X ( )
j d
0
LM
N
e x , x 0
f X ( x)
x0
0,
OP
Q
1 d
E X 2
2 X ( )
j d
0
2
Hence,
LM
N
OP
Q
d
E X n 1n
X ( )
n
0
j d
This implies that if we know the CF of a RV, we can easily find

the n-th moment of the RV.
The Characteristic Function of a random variable always exist
241
Moment Generating Function - 1
242
Moment Generating Function - 2
The Moment Generating Function (MGF) of a RV X is given by

E[etX] and is denoted as MX(t). Hence
MGF is the same as the characteristic function with the j-term in

the exponent removed
MGF is used more often - since CF is related to Fourier
Transform
MGF may not always exist, e.g., find the MGF of f(x) = 2/x3
Like the Characteristic Function we find that
R|z e
S
|T e
M X (t ) E e
tX
-
n
tX
tX k
k 1
f X ( x)dx, t 0 continuous
P X xk
discrete
Expanding the exponential as a power series and taking the

expectation implies that
M (t ) 1 tE[ X ]
Hence,
t 2 E[ X 2 ] t 3 E[ X 3 ]
2!
3!
M X (0) 1
M Xn (0) E[ X n ]
OP
Qt 0
M X (t )
Property:
Y aX b MY (t ) ebt M X at
X M X (0) M 1X (0)
2
LM d
Ndt
E X
M Y (t ) E e yt E et aX b E ebt e atX ebt E e(at ) X

ebt M X at
243
244
Probability Generating Function - 1
Example 38
The Probability Generating Function (PGF) defined for

nonnegative discrete random variable X is given by
GX (z) E z X pX ( xk )z x
x0
The PGF is essentially the z-transform of a RV X with the z

replaced by z-1.
If we know the PGF, we can find the probability mass function
k
pX (k) P[ X k] 1 d k GX (z)
z 0
k ! dz
The PGF can also be used to compute moments
P X k zk 1
E X GX ( z )
dz
z 1 k 0
z 1
xP X x E[ X ]
x 0
245
Probability Generating Function - 2
246
Example 39
d2
E X 2 2 GX ( z )
P X x x( x 1) z x 2
dz
z 1 x 0
z 1
x( x 1) P X x E[ x( x 1)] E[ X 2 ]
x 0
d
E X n n GX ( z )
E[ x( x 1) ( x n 1)]
dz
z 1
This is sometimes called the factorial moments

We can also compute the variance using the PGF as
follows
2
LM
N
OP
Q
d2
d
d
GX ( z ) GX ( z )
GX ( z )
2
dz
dz
z 1 dz
z 1
z 1
247
248
Laplace Transform
Example 40
Laplace Transform (LT) of a positive RV X with PDF fX(x) is
LX ( s ) E e sX 0 e sX f X ( x)dx
where s is a complex number with positive real part

The Inverse Laplace Transform (ILT) can be obtained as follows
f X ( x) 1 cc jj L X (s)e sX ds
j2
We can compute the moments of a RV from the LT
LM
N
E X (1)
n
dn
dz n
L X (s)
OP
Q
s0
It is also possible to invert the above equation to get

E[ X n ] n
s
n!
n0
This means that the LT and fX(x) can be computed in principle from
the knowledge of the moments
LX (s)
249
250
Tail Inequalities - 1
Probabilities of the form P[X k] and P[|X| k] are

known as Tail Probabilities
Sometimes we want to estimate (upper bound) of
these probabilities without actually evaluating them
The following 3 bounds provide us with various
estimates of the Tail Probabilities
Tail Inequalities
It is always better to be approximately right, than
precisely wrong.
1. Markov Inequality
2. Chebyshevs Inequality
3. Chernoff Inequality
- Unknown Engineer
251
252
1. Markov Inequality:
If X is a RV that takes nonnegative values, then for any value k
>0
2. Chebyshevs Inequality:
PX k
Proof:
E X
k
I st order bound
E X 0 xf X ( x)dx 0 xf X ( x)dx b xf X ( x)dx
b xf X ( x)dx b kf X ( x) dx
kP[ X k ]
Chebyshev Inequality (CI) gives a conservative estimate of

the probability that a random variable X assumes a value
within standard deviation of its mean,
Let X be a RV with mean and variance 2. Then for any
value k > 0 at most 1/k2 of the probability is distributed
outside the interval -k2 < X < +k2 . That is
P X k
Hence,
E X P X k
This simple inequality is surprisingly useful and various

other well known inequalities are derived from it
253
a f
E X
k2
E X
2
k
2
k
That is, if we pick a value of a RV arbitrarily, we can state the

min probability that the random value falls within a given limit
The significance of CI is that it emphasizes the general
importance of the standard deviation of a RV
Sometimes the following forms of CI are used
2
P X k 1 2
254
or P X k 1
2
or
P X k 1
1
k2
CI holds for all distribution positive or negative and cannot be

improved
It provides intuition about the meaning of the variance of a
RV
This is because it shows that wide diversions from the mean
E[X] are unlikely if the variance 2 is small, e.g., let var[X] =
2 and k = n
2
P X n 2 12
n
n
Although that Chebyshev Inequality is correct, the upper

bound is not tight; i.e., it usually different from actual value
2nd order bound
But since (X- )2 k2 iff |X- | > k, then

P X k
Since (X- )2 > 0, we can apply Markov Inequality such that

2
Proof:
Chebyshev Inequality is a consequence of the Markov
Inequality
P X k2
255
256
Laws of Large Numbers - 1
Two laws of large numbers deal with the behavior of n as n

becomes arbitrarily large
Var[n] 0 as n suggest that PDF of n becomes
narrower and narrower and approaches delta function
3. Chernoff Inequality:
If X is a RV and for any value k > 0
P e k
tX
M X t
k
where MX(t) is the Moment Generating Function

That is, Chernoff bound requires the knowledge of the MGF
R|P X k ekt M
S| P X k ekt M
T
(t ), k E[ X ]
(t ), k E[ X ]
Chernoff Inequality is a much tighter bound than Chebyshev

Inequality but more complex
Thus, we expect Chernoff bound to be tighter Markov bound
It applies to any RV whether positive or not
257
Strong law of Large Numbers (SLLN)

Consider a sequence of independent and identically distributed
(iid) RVs, X1, X2, , XN, each with mean
Then for > 0
or
P lim n 0
n
P lim n 1
n
This means that n as n

SLLN is the basis for justifying simulations and analysis of all
experimental results
258
Weak Law of Large Numbers (WLLN)

Let X1, X2, , XN, be a sequence of iid RVs, each with mean
Then for > 0
Let X1, X2, , XN, be a sequence of iid RVs, each with finite
mean and finite variance 2
Let Sn = X1 + X2+ + Xn, n > 1, and let Zn be a sequence of
unit variance, zero mean RVs, defined as
lim P n 1
n
Since is arbitrary, in the limit, the density of n

WLLN is an easy consequence of the Chebyshev inequality
Central Limit Theorem (CLT)
The CLT is one of the most remarkable results in probability
theory
It is concerned with the PDF of the sum of independent RVs
It states that the sum of large number of independent RVs (any
distribution) has a distribution that is approximately Gaussian
under certain conditions
259
Z Sn n
n
n
Then,
x2
1 z 2
dx
lim P Z n z N 0,1
e
n
2
That is, for all n, E[Zn] = 0, Var[Zn] = 1

Hence even as n the mean and variance of Zn will not change
In other words, the CDF of the normalized sum approaches a
Gaussian CDF no matter what the distribution of the component RVs
260

This concept is very important in Engineering, for

example:
Electrical noise is often the result of superposition of
voltages due to large number of charge carriers
Turbulent boundary-layer pressure variations on an aircraft
skin are the result of superposition of minute pressures due
to numerous eddies
Random errors in experimental measurements are due to
many irregularities
In all these cases, Gaussian approximation is valid
Transformation of a
Random Variable
The laws of probability, so true in general,
so fallacious in particular.
Edward Gibbon
261
Transformation of a Random Variable - 1
262
Transformation of a Random Variable - 2
Frequently, one encounters the need to derive the probability

distribution of one or more RVs.
Y is induced by X such that Y = g(X), where g(.) is a real valued

function
X
fX(x)
g(.)
Y
fY(y)
If input X is a RV, output Y is

also a RV
(A, E(A), PX)
SX
(S, F, P)
A
(A, E(A), PX)
SY
(S, F, P)
(B, E(B), PY)

(B, E(B), PY)
In general, we call the above black box transformation or

data processing
Transformation may be classified as memoryless or with
memory. Only memoryless cases are treated in this class
If input X is a RV, output Y is also a RV
The basic idea here is to relate the event A = {Y y} to an
equivalent event that involves X, B = {X g-1(y)}
Suppose that the CDF or PDF of one RV X is given, we wish to

compute the CDF or PDF of another RV Y = g(X), where g is a
function
g: X Y
Y g( x)
X g1( y)
In general g(.) may not always be inevitable

263
264
Transform of Distribution Function - 1

Given CDF of X, we want to find the CDF of a related RV

Y = g(X)
FY ( y) P[Y y]
P[ g( x) y] P[ X g 1 ( y)]
1
FX g ( y )

Some Important CDF Transforms

1. Linear Transformation: Y = aX + b
a, b are constant. We know the CDF of X
y dy
y
Case 1: a > 0
X
y b
a
y b
y b
F a yf P L X
MN a OPQ F FH a IK
Hence
a f LNM
OP LM
Q N
F
IK
1 F H
FY y P X
265

x y b
a0
Yy
y b
X
a
Steps:
1) Solve for x in the given equation in terms of y
2) Substitute into the above equation
x x dx
Case 2: a < 0
FY ( y) FX g ( y)
Y aX b
y b
y b
P
X
a
a
y b
a
OP
Q
a0
y b
a
Yy
266

2. Square Function: Y = X2
R| FH IK
af S F I
|T H K
y b
FX
,
a 0
a
FY y
y b
1 FX
, a 0
a
X y
Case 1: y 0
yx
af
FY y P y x y FX
b y g F b y g
X
Case 2: y < 0
There is no value of X for which x2 <y. Hence FY y P 0
af
a f RS0F, b y g F b y g,
T
FY y
267
y 0
y 0
268
Transformation of Density Function - 1

X
fX(x)
g(x)
Y
fY(y)
Given PDF of one X, we want to find the PDF of a related RV Y. In general

n
f X ( xk )
f Y ( y) d
k 1
g ( x)
where xk, k = 1, 2, , n are real roots of the equation y = g(x) in terms of y

For a one-to-one transformation,
dx
fY ( y) f X ( x) f X ( x) f X ( x)
d
dy
dy
g( x)
g ( x)
dx
269

y
fX
,
fX
a
a
2) Square Transformation: Y = aX2, a > 0

y
a
x y
x y
270

5) Cosine Function: Y = cos(X)
X is a RV uniform in the interval [0, 2)
For -1<y<1, g(x) = cos(x) has two solutions:
y0
y0
xo = cos ( y), 0 x
1
FG JI
HK
F
H
I
K
1
2
1
1
2 2
B f ( x)
1
fY ( y) 1 f X ln y
a
y
2 cos ( y)
1
b
g d cosdy ayf f b2 cos (y)g d 2 dycos ayf
f bcos ( y)g f b2 cos ( y)g 1
1 y
1
4) Exponent Function: Y = exp(aX)
2
cos 1 ( y)
-1
fY ( y) f X cos 1( y)
dx
1
1
ln y ax x ln y
a
dy ay
y
1
x1 = 2 cos1( y), x 2
a
fY ( y) a2 f X
y
y
1
a
dy
a
g' ( x )
2 y2
y
dx
x
a
FH IK
y b
1
fX
a
a
3) Ratio Function: Y = a/X

x
f Y ( y)
dy d 2
y
aX 2 ax 2 a
2 ay ,
dx dx
a
1
dx
dy 2 ay
3) Substitute into the formula and simplify
f y 2 ay
Y
0,
yb
a
dy
d
aX b a
dx
dx
dx
Steps:
1) Given y = g(x), solve for x in the given equation in terms of y
2) Find d
dy
dx
Some Important PDF Transformations

1) Linear Transformation: Y = aX + b
(a, b are constant and we know the PDF of X)
X
dx
dx

271
1
1 y2
272
1 1
f ( y) L O
MN2 2 PQ
Y
y 1
fY ( y)
1 y 1
y 1
The same density transformation holds for sine function

The cosine and sine RV has an arcsine distribution function
For an interval of (-, ), the sine or cosine will have
infinitely many solutions, e.g.,
x0
x1
x2
x3
273
a y
f X ( xn ), y a
xn tan 1 y dy 1 1 y2
dx cos2 x
fY ( y) 1 2 f X ( xn )
1 y n
x4
1
2
6) Tangent Function: Y = tan(X)
Y a sin x
dy a cos x a 2 y 2
n
dx
By integration
R|0,
sin ( y)
F ( y) S 1
,
2
|T1,
F y I
H aK
Y asin x x sin1
1
1 , 1 y 1
2
1 y 2
1 y
274
Two Random Variables - 1

When there are more than one RV, we talk about joint
events from the same sample space
Any ordered pair of numbers (x, y) can be considered
as a point in the xy plane
Y
Multiple Random Variables

(2 Random Variables)
S1
X(s2), Y(s1)
Y
S2
SJ
All knowledge degenerates into probability.

David Hume
Let A = {X x} and B = {Y y}
Events A and B refer to the sample space S, while events {X
x} and {Y y} refer to the joint sample space SJ
k p
X x Y y X x, Y y
275
276
In diagram below, notice that event A B defined in

sample space corresponds to the joint event {X x}
and {Y y}
A X x
Y
This new sample space in SJ is called the range

sample space or 2-D product space, but we will just
call it joint sample space
In the study of multiple RVs, we characterize events

by the following:
Joint Cumulative Distribution Function
Joint Probability Density Function
Concept of joint PDF is an extension of joint
probability
Marginal Density and Distribution Function
Given joint PDF or CDF, find the PDF or CDF of
one of the RVs
Joint Expectation of 2 Random Variables
Conditional Expectation of Random Variables
Independence of one Random Variable and another
SJ
S
A
A B
Comparisons of events in S and SJ
k p
B Yy
277
278

Correlation of Random Variables

The relationship between the 2 RVs in terms of
their means
Covariance of Random Variables
The relationship between the 2 RVs in terms of
their variances
Correlation Coefficient
The normalized 2nd order joint central moments
Functions of two Random Variables
Transformations of Random Variables
As in one RV, multiple RVs can also be
transformed
More difficult to compute, etc.
Joint CDF
279
280
Joint Cumulative Distribution Function - 1


1) 0 FXY ( x, y) 1
2) FXY ( x, y) is a nondecreasing function of both x and y
Considering only two Random Variables X and Y

If X and Y are RVs, then the joint cdf of X and Y is given by
3) FXY (, ) FXY (, y) FXY ( x, ) 0
P X x, Y y , continuous
F (x,y ) =
XY
discrete
P X x, Y y ,
This means that it is impossible for X or Y or both to assume a value

less than - (boundary conditions)
4) FX (,) 1
FXY(a,b) is the probability that X and Y lie in the semi-infinite

region of the (x, y) plane
It is certain that X and Y assume a value less than (boundary

conditions)
y
b
5) FXY (a2 , b2 ) FXY (a1 , b1 ) FXY (a1 , b2 ) FXY (a2 , b1 )

P[a1 X a2 , b1 Y b2 ], a1 a2 , b1 b2
Properties:
The properties of joint CDF is similar to that of the single variable
b2
(a1,b2)
(a2,b2)
b1
(a1,b1)
(a2,b1)
281
282
Computing Probabilities with Joint CDF - 1
6) FXY ( x,) FX ( x)
a2
a1
This is the probability of this rectangle
1) P[ X a, Y b] FXY (a , b )
P[ X a, Y ]
2) P[ X a, Y b] 1 FX (a )-FY (b )+FXY (a ,b )
3) P[a1 X a2 , b1 Y b2 ]
7) FXY (, y) FY (y)
P[ X , Y b]
FXY (a2 , b2 ) + FXY (a1 , b1 )-FXY (a1 , b2 )-FXY (a2 , b1 )
b
x
4) P[a1 X a2 , Y b] FXY (a2 ,b ) FXY (a1 ,b )
Note:
The first 5 properties are just the 2-dimensional extension of
properties of one random variable
Properties 3, 4, and 5 may be used to test whether a given
function is a valid joint CDF
As in the case of a single RV, joint CDF can be used to compute
probabilities of unions and intersection of semi-infinite rectangles
283
b2
a1
a2
x
b1
5) P[ X a, b1 X b2 ] FXY (a , b2 ) FXY (a , b1 )
284
Computing Probabilities with Joint CDF - 2

6) P[a1 X a2 , b1 Y b2 ]
=FXY (a2 , b2 )+FXY (a1 , b1 )-FXY (a1 , b2 )-FXY (a2 , b1 )+P X =a1 , b1 <Y b2
where
P X a, b1 Y b2
lim FXY (a 1n , b2 )- lim FXY (a 1n ,b1)- lim FXY (a 1n ,b2 ) lim FXY (a 1n , b1)
n
7) P[a1 X a2 , b1 Y b2 ]
FXY (a2 , b2 )+FXY (a1 , b1 )-FXY (a2 , b1 )-FXY (a1 , b2 )-P Y b2 , b1 <Y b2
Marginal Distribution Functions

285
In the study of several RVs, the statistics of each RV

can be obtained from the joint RV. This is known as
Marginal function
The marginal CDFs of the RVs X and Y are
FX ( x) =
RSF (x,)
Tz z f (, y)ddy
XY

XY
F (,y)
XY
F (y) =

Y
f (x, )d dx
XY
286
Joint Probability Density Function - 1

The joint density of X and Y is defined as

2
f XY ( x, y) = d FXY ( x, y)
dxdy
It is assumed that X & Y are jointly continuous, else
the derivative may not exist
It follows that
Joint PDF
287
XY
( x, y) =
zz
x y

f XY ( , )dd
288
Joint Probability Density Function - 2
Computing Probabilities with Joint PDF
Properties:
As in joint CDF, the joint PDF can be used to compute the

probabilities of random variables
1) f XY ( x, y) 0
2)
z z
PA
f XY ( x, y)dxdy FX () 1
z z
4) F ( x) z z f
5) F ( y) z z f
3) FXY ( x, y)
x
XY
f XY ( , )dd
XY
7) f X ( x)
z z f ax, yfdxdy
2) P a X b, c Y d z z f a x, yfdxdy
5) P a X b, c Y z z f a x, yfdxdy
6) P X a, c Y d z z f XY a x, yfdxdy
b d
a c
XY
b d
XY
b d
a c
f XY ( x, y)dxdy
XY
b d
a c
f XY ( x, y)dy
XY
a c
8) f Y ( y) f XY ( x, y)dx
XY
a d
Note:
Properties 1 and 2 are sufficient to test the validity of joint
PDF
f XY ( x, y)dxdy
a c
( , )dd
6) P a1 X a2 , b1 Y b2
1) P a X b, c Y d
( , )dd
b2 a2
b1 a1
zz
289
a c
Care should be exercised with the limits of the integration when

discrete or mixed RVs are involved.
You may have to integrate a (.) on the boundary
290
Joint Probability Mass Function

Considering only two discrete Random Variables X

and Y
The joint pmf of X and Y is given by
p
Joint PMF
XY
(x,y ) =P X x, Y y
pXY(a,b) is the probability that X and Y equal to some

value (x, y)
The properties of joint PMF is similar to that of the
single variable
291
292
Marginal Distribution/Density Functions

In the study of several RVs, the statistics of each RV can be

obtained from the joint RV. This is known as Marginal function
The marginal CDFs of the RVs X and Y are
F
FXY (x , )
(x ) = x
f XY ( ,y )d dy
Statistical properties of two

Random Variables
F (,y)
XY
F (y) =
y
Y
f (x, )d dx
XY
Joint Expectation (i.e., joint moments)

Covariance of a Random Variables
Correlation of X and Y
Correlation Coefficient, etc.
Conditional Expectation and Variance
The marginal PDFs of the RVs X and Y are
z
z
f X ( x) = f XY ( x, y)dy = d FXY ( x,)
dx
f Y ( y) = f XY ( x, y)dx = d FXY (, y)
dy
293
Relationship Between X and Y - 1
294
1. Independence of X and Y
2. Joint Moments of X and Y

The joint expected value of two RVs X and Y is defined as
Statistical independence can be depicted in terms of joint

distributions, joint densities, and joint probability
functions
Recall that if events A and B are independent,
P A B P A P B
Hence
P X x, Y y P X x P Y y
FXY ( x, y ) FX ( x) FY ( y )
f XY (x ,y ) = f X (x )fY (y )
Implies that if X and Y are independent, their jpdf and jcdf factor into
2 marginal densities or distributions, respectively
Also
ij X iY j E[ X iY j ]
i j

- x y f XY ( x, y )dxdy, continuous
i j
discrete
xn yk p XY xi y j ,

n k
The sum of i+j is called the order of the moments
Given a function z = g(x,y), we can 1st compute the PDF of
Z and then compute the mean of z
or we can
as follows
E[ Z ]compute

zf Z (directly
z )dz
P X x, Y y P X x P Y y
295
296
Correlation of X and Y - 1
The correlation of X and Y is defined as

- g ( x, y ) f XY ( x, y )dxdy, continuous
E[ g ( x, y )]
discrete
g xi , y j p XY xi y j ,

n k

11 RXY E[ XY ]
- xyf XY ( x, y )dxdy
This is, the joint moment when i = j = 1

Measures relationship between the mean of X & Y
If X and Y are independent, then

ij E[ X iY j ] - xi f X ( x)dx - y j fY ( y )dy
RXY E[ X ]E[Y ]
E[ X i ]E[Y j ]
Thus
10 X , 01 Y 1st order moments
20 E X 2 , 02 E Y 2 , 11 E XY , 2nd order moments

297
Correlation of X and Y - 2
Note:
When RXY = E[X]E[Y], X and Y are said to be
uncorrelated
Independence Uncorrelatedness
Uncorrelatedness (not always) Independence
298
Conditional Distribution and Density
This means that it is possible for X and Y to be uncorrelated

and yet not independent (except for the jointly Gaussian RV)
If RXY = 0, then X and Y are orthogonal (X Y)
The ij-th joint central moment of X and Y is given by
In practice, the outcome of many experiments are not

independent
For example, the output of a communication channel
Y is usually dependent on the input X in order to
convey the proper information
From probability, we know that
P A|B
ij E[ X X Y Y ]
i
P A B
PB
The definition of joint conditional CDF and PDF can be

directly obtained from conditional probability
j

i

- x X y Y f XY ( x, y )dxdy
299
300
Conditional PMF - 1
Conditional PMF - 2
Discrete
The joint conditional pmf of X given that Y = y is given
by
If X and Y are independent
P X xi |Y y j
P X xi , Y y j
P Y y j | X xi
P Y yj
P X xi , Y y j
P X xi
pXY xi , y j
pY y j
P X xi |Y y j
P X xi P Y y j
P X xi p X ( xi )
P Yyj
P Y yi | X xi
P X xi P Y y j
P Y y j pY ( y j )
P X xi
The conditional CDF of X given that Y = y is

FX x| y j F
X|Y y j P X x|Y y j
XY
P X x, Y y j
P Y yj
pXY xi , y j
p X xi
The conditional PMF satisfies all the properties of

PMF
Similarly
FY y | xi FXY Y | X xi P Y y | X xi
301
Conditional Density - 1
P X xi
302
For the continuous RV, the denominators of * and ** are zero,

i.e.,
FXY x | y lim P X x | y Y y y
y y
P Y y j P X xi 0
Hence * and ** are undefined for continuous RV. Fortunately,
the numerators are also zero
We say that * and ** are limiting cases for continuous RV
For X and Y jointly continuous, we obtain the following
x y y
f XY , d d
y
P X x | y Y y y
y y
fY d
y
y f XY , y ' d
, y y ', y '' y y
P X x | y Y y y
y fY y ''
x
x
f XY , y d
FXY x | y
fY y
Consequently
f XY x | y
f x, y
d
FXY x | y XY
,
dx
fY y
f XY y | x
f x, y
d
FXY y | x XY
fX x
dy
Also,
ab g z dz b c g (c), a c b
P Y y, X xi
303
f XY x | y
f XY y | x f X x
,
fY y
f XY y | x
f XY x | y fY y
fX x
304
Conditional Expectation - 1
Conditional expectation of Y given X = x is given by

f XY x, y f X x fY y ,

yfY ( y | x)dy, continuous
E Y | x
y j pY y j | x , discrete
j
f XY x | y f X x ,
Note that E[Y|x] is defined at a given point X = x and is

not defined for any other value of x (zero any other
place)
E[Y|x] is the center of mass associated with the
conditional PDF/PMF
Since E[Y|x] is a function of X, it is itself a RV with its
own probability distribution
f XY y | x fY y
305
Conditional Expectation - 2
Joint Central Moment - 1
Theorem 1:
For any random variables X and Y E[ E Y | x ] E Y
A) Covariance:
Proof
E Y | x f ( x)dx
E[ E Y | x ]
X
yf

XY y | x f X ( x) dxdy
y
E[ E Y | x ]
x, y
XY
f
306
Covariance measures the relationship between variance of

X and Y
The 2nd order joint central moment is known as the
Covariance of X and Y, .i.e,
C XY Cov X , Y
E[ X X Y Y ]

- x X y Y f XY ( x, y )dxdy
f ( x)dxdy
X
yf

XY ( x, y )dxdy
E[Y ]
307
308
Cov X , Y E[ X X Y Y ]
B) Correlation Coefficient ()
E[ XY Y X X Y X Y ]
E[ XY ] Y E X X E Y X Y
The normalized 2nd order joint central moment is called the

Cov XY
XY
, 1 XY 1
E[ XY ] Y X X Y X Y
XY
Thus
By definition,
Cov X ,Y E[ XY ] X Y RXY X Y
Note:
If X and Y are either independent or uncorrelated, then
XY E
where
E[ XY ] E[ X ]E[Y ] Cov XY 0
If X and Y are orthogonal, then RXY = 0
fO, 1
PQ
XY
2X Var X X 2X
Y2 Var Y Y Y2
Note that if X and Y are uncorrelated, XY = 0
Cov XY E[ X ]E[Y ]
LMa X fa X
309
310
One Function of 2 RVs - 1

Transformation from two RVs 1 Random Variable

Given 2 RVs X and Y, we form a new RV Z such that
Z g ( x, y)
The event of interest is {Z z}.

Let Rz denote a region on XY plane such that {Z z} =
g(x,y) z
Transformation in Two
Dimension
If nature has taught us anything it is that the
impossible is probable
R f ( x, y )dxdy
Z
f Z z P z Z z dz
R f ( x, y )dxdy
Ilyas Kassam
FZ z P Z z P g ( x, y ) RZ
311
312
1. Distribution/Density of Sum of 2 RVs:
We fix a value of x and then let y vary from - to (zax)/b
Z aX bY y
z aX
b
f Z z
Y
z
b
z
a
f Z z
z ax
FZ z P Z z P aX bY z b f ( x, y )dydx
z ax
b
y
f ( x) f ( y)dydx
f ( x) f z ax dx ...................................... A1
b
A1 is a convolution integral like the ones encountered in linear

system and communications
This means that if two RVs are independent, then the density of
their sum is equal to the convolution of their marginal densities
Proficiency in evaluating A1 is very important in Electrical
Engineering
This is an important case because it is frequently

found in the analysis of physical system
zz
FZ z
X
Z=aX+bY
Note:
313
314
Examples of Convolution
Applications of A1 is seen a lot in the analysis of Linear

Systems
For example, consider the system shown below whereby the
received signal is the convolution of the input signal plus
noise and the impulse response
(s+n)
z f ex, z bax jdxdy
A special case of interest is when X and Y are independent
aX+bY < Z
Signal + noise
d
FZ z
dz
h(t)
Convolution of two rectangles

fX(x)
fY(y)
fz(z)
a+c
b+d
a+c
b+d
If (b-a) = (d-c), then
Receiver Output
The convolution of two functions is often calculated using

Fourier Transform (FT) which is related to the Characteristic
Function (CF) of a random variable
fX(x)
fY(y)
fz(z)
These situations arise a lot in communications
a(t )*b(t ) A( f ) B( f )
Since the CF is closely related to the FT, we may write

Z ( ) X ( )Y ( )
315
316
Expected Value of Sum of 2 RVs - 1

Let
Z X Y
such that
Transformation in 2 Dimensions
(1 function of 2 RVs)
E Z E X Y x y f ( x, y )dxdy
xf ( x, y )dxdy yf ( x, y )dxdy
xf ( x)dx yf ( y )dy
Hence
Sum of Two RVs

Product of Two RVs
Ratio of Two RVs
Minimum and Maximum Functions
E Z E X Y E X E Y
For arbitrary constants a and b

E Z E aX bY aE X bE Y
317
Variance of Sum of 2 RVs - 1
318
Variance of Sum of 2 RVs - 2
Let
If X and Y are uncorrelated, then Cxy = 0 and

hence
Z X Y , z x y
such that
a f E aZ a ff
E a X Y a ff E ka X f aY fp
var Z E Z z
Expanding
Var Z E X X
2Z 2X Y2
E Y Y
For arbitrary constants a and b
fa
2E X X Y Y
Var aX bY a 2 Var X b2Var Y 2abCov X ,Y
That is
Var Z Var X Var Y 2Cov X ,Y
2Z 2X Y2 2CXY
2Z 2X Y2 2 X Y XY
319
320
Characteristic Function of Sum of X and Y

Z aX bY
Moment Generating Function of Sum of X and Y

Z ( ) E e j ax by X (a ,b )
Z aX bY
M Z (t ) E et ax by
t ax by

f x, y dxdy
e
If X and Y are independent,

Z ( ) E e
ja X
1
jb Y
E e 2
X (a1 )Y (b 2 )
t ax
t by
M Z (t )
e
f x dx
e
f y dy
M X (t ) M Y (t )
Note
The technique for the sum of two RVs is applicable to the
difference of two RVs
321
322
Matrix Formulation for Functions of 2 RVs

Let X1 & X2 be jointly continuous RVs with joint PDF fX1X2(x1, x2)
We want to find the PDF of the random variables Z = X1 + X2
Define two new RVs Y1 and Y2 as a function of X1 and X2
Under these conditions, Y1 and Y2 are jointly continuous with

joint pdf
fY Y ( y1 , y 2 ) f X X ( x1 , x2 ) J h1h2 y1 , y2
12
12
Y1 g1 x1 , x2 ; Y2 g 2 x1 , x2
Assume that the function g1 & g2 satisfy the following conditions

y1 = g1(x1, x2) and y2 = g2(x1, x2) can be uniquely solved for x1 and x2 in
terms of y1 and y2 with the solution given by
x1 h1 y1 , y2 ; x2 h2 y1 , y2
Sum of 2 independent RVs

Z X Y
i.e, h1 and h2 are inverse functions of , g1 and g2

h1 and h2 have continuous partial derivatives at all points (y1, y2) such
that
J h1h2
h1
y1
y1, y2
h2
y1
h1
y2
0 Jacobian
h2
y2
Finally, transform the joint PDF of Y1 and Y2 in terms of the

original variables
Define two new functions
a f
a f
z x y g1 x, y
w x g2 x, y
Determine the inverse function
x w h1w, z
y z x h2 w, z z w
323
324
Compute the Jacobian
Jh h
1 2
h1w, z
w, z w
h2 w, z
w
a f
Product of 2 Random Variables

Z XY
h1w, z
1 0
z
h2 w, z
1 1
z
a f
a f
z xy g1 x, y
w x g2 x, y
Apply to the fundamental equation

In terms of the
original variables
fwz (w, z) f XY ( x, y)1

x w h1w, z
Transform to original variables and integrate
f
(w, z w)dw
XY
f z (z)
y z h2w, z
f
( x, z x)dx
XY
f z ( z)
f (z y) f ( y)dy
f ( x) fY (z x)dx
X
Y
X
Jh h
1 2
This is known as the convolution integral

325
326
Z X
Y
a f
a f
z x g1 x, y
y
w y g2 x, y
1
fz (z) f XY x, z dx
x
x
e j
x zy h1w, z
y w h2w, z
1
1
f ( z ) f X x fY z dx f X z fY y dy
z
x
x
x
y
Jh h
1 2
0
1
1
w
w
Ratio of 2 Random Variables
fwz (w, z) f XY ( x, y) 1 f XY e x, wz j 1
a f
h1w, z
1
z
z
h2 w, z
w2
z
Apply the fundamental equation
h1w, z
w, z w
h2 w, z
w
327
h1w, z
w, z w
h2 w, z
w
a f
h1w, z
z w
z
w
h2 w, z 1 0
z
328
Jointly Gaussian Random Variables

Gaussian RVs are important because they show up in every

area of engineering and science
Suppose the PDF of 2 Gaussian RVs X and Y (bivariate
Gaussian density) are
Apply the fundamental equation

fwz (w, z) f XY ( x, y) w f XY e x, wz j w

f z ( z)
a f
y f XY zy, y dy
If X and Y are independent
y y 2
exp
fY y
2 y2
2 2
If X and Y are jointly Gaussian, then joint PDF is
1
f ( z ) y f X zy fY y dy 2 x f X x fY x dx
z
z
z
Maximum Function
Z max X,Y
c h
f XY x, y
Minimum Function
Z min X,Y
x x 2
exp
2 x2
2 2
1
fX x
1
2 x y 1 2xy
where |xy|1
329
LM LMMFH
expM N
MM
N
x x
x
I 2 2 xy F x x I FG y y IJ FG y y IJ 2 OP O
K
H x K H y K H y K PQ P
PP
2FH1 2xy IK
PQ
330
The PDF is centered at x and y and the shape

depends on the values of x, y and xy
Since
Multiple Random Variables
fXY ( x, y ) fX ( x) fY ( y )
(More than 2 Random Variables)
X and Y are not independent

But observe that if xy = 0, then fXY(x,y) = fX(x) fY(y)
We can conclude that any uncorrelated Gaussian RVs
are also independent
When you have eliminated the impossible, what

ever remains, however improbable, must be the
truth.
Sir Arther Conan Doyle
331
332
Multiple Random Variables - 1

Statistical Properties of Sum of Two RVs

Expectation of sums of Two RVs
Characteristic Function of sums of Two RVs
etc.,
Jointly Gaussian Random Variables

Functions of More than 2 Random Variables (a vector)
Multiple Random Variables (more than 2 RVs)
Large Numbers and their properties
Central limit theorem
333
Events involving many RVs greater than two

An extension from two RVs to N RVs can be made
without much problem using the concept of 1dimensional vector or matrix
Let X1, ..., XN be the components of an N-dimensional
vector RV, i.e.,
X = X1 , X 2 , , X N
334
A.Joint Distribution of Vector Random Variables
B. Marginal CDF of Vector Random Variables

If we substitute in FX(x1, ... ,xN) certain values by we
obtain the JCDF of the remaining variables
For example,
For N random variables X1, X2, ..., XN, the joint CDF is defined as
P[ X 1 x1 , X 2 x2 , , X N xN ],
FX ( x1 , , xN )
P[ X 1 x1 , X 2 x2 , , X N xN ]
Continuous
Discrete
FX ( x1,, xN 1) FX ( x1,, xN 1, )
Properties are similar to the case of two RVs

1) 0 FX ( x1,, xN ) 1, X R N
FX ( x1, x2 ) FX ( x1, x2,)
2) FX (, ,,) 1
FX ( x1, x4 ) FX ( x1, , , x4,)
3) FX ( x1,, xN ) 0 when xk for some k 1, 2,, N
4) FX ( x1,, xN ) is continuous from the right

5) FX ( x1,, xN ) is nondecreasin g
335
336
C. Joint Density of Vector Random Variables

The joint PDF of X = [X1, X2, ..., XN], is defined as
D.Marginal PDF of Vector Random Variables
f X ( x1,, xN )
Marginal densities are obtained by integrating out the non

required variables
FX ( x1,, xN )
x1x2x N
f X ( x1)
If we know the joint PDF, then

x x
n n 1
x
1
z z z f
( x1,, xn )dx2dxn
More generally, the marginal joint PDF of any k of the N RVs

can be found by integrating the PDF over the remaining n-k
variables
For example, for n = 4
FX ( x1 , , xn ) f X ( x1 , , xn )dx1dx2 dx
n
f X ( x2 x4 ) f X ( x1 , x2 , x3 , x4 ) dx1dx3

337
338
E.Independence of Vector Random Variables
However, if xk are independent in pairs, they are not

necessarily independent
It is possible that
The N Random Variables X1, X2, ..., XN are independent if the events
X1 x1, X2 x2, ..., Xn xn are independent
This implies that
FX ( x1,, xN ) FX ( x1) FX ( x2 )FX ( xN )
f X ( x1, x2 ) f X ( x1) f X ( x2 )
f X ( x1, x3) f X ( x1) f X ( x3)
f X ( x2 , x3) f X ( x2 ) f X ( x3)
f X ( x1,, xN ) f X ( x1) f X ( x2 ) f X ( xN )
pX ( x1,, xN ) pX ( x1) pX ( x2 ) pX ( xN )
It follows that any subset of xi is a set of independent random variables
For example for N = 3 and x1, x2, x3 are independent, then
but
f X ( x1, x2 , x3) f X ( x1) f X ( x2 ) f X ( x3)
f X ( x1, x2 , x3) f X ( x1) f X ( x2 ) f X ( x3)

f X ( x1, x2 ) f X ( x1) f X ( x2 )
f X ( x1, x3) f X ( x1) f X ( x3)
f X ( x2 , x3) f X ( x2 ) f X ( x3)
339
340
F.Conditional joint density of Vector RV
G.Joint Expectation of Vector RV
The conditional density of vector RVs is given by
The joint expectation of vector random variable is given by
f X ( xN ,, xk 1| xk ,, x1) f X ( x1,, xk ,, x N )
f X ( x1,, xk )
E[ x1, x2 ,, xN ]
For example, when N = 3, one obtains f X ( x1|x2 , x3) f X ( x1, x2 , x3 )

f X ( x2 , x3 )
We can rewrite the expression as follows

f X ( x1,, xk ,, xN ) f X ( xN ,, xk 1| xk ,, x1) f X ( x1,, xk )
This implies that we can use chain rule to write the joint pdf as
f X ( x1,, xN ) f X ( xN |x1,, xN 1) f X ( x1,, xN 1)
f X ( xN |x1,, xN 1) f X ( xN 1| x1,, xN 2 ) f X ( x1,, xN 2 )
f X ( xN |x1,, xN 1) f X ( xN 1| x1,, xN 2 ) f X ( x2| x1) f X ( x1)
Correspondingly,
FX ( xN ,, xk 1| xk ,, x1)
z z
xN
xk 1
z z bx ,x ,,x g f
( x1 ,, x N )dx1dxN
or in vector notation we have

E[XN ]
z z
X N f X (X N )dXN
For N random variables X1, X2, , XN and some function of

these random variables g(X1, X2, , XN), the expected value is
given by
h z z gbx ,x ,,x g f
E[ x1, x2 ,, x N ]
( x1,, x N )dx1dxN
f X (t N ,,t k 1|t k ,,t1)dtk 1dt N
341
342
For N random variables X1, X2, , XN, the (n1 + n2 +

+ nN)-order joint moment are defined by
H.Joint Central Moments and Variance of Vector RV
n n
1 2
E[ x1 1 , x2 2 , , xNn ]
h c X h c X h ]
z z b X g b X g b X g
E[ X 1 1
x1 1 , x2 2 , , xNN f X ( x1 , , xN )dx1 dxN

n
For N random variables X1, X2, , XN, the (n1 + n2 + + nN)order joint moment are defined by
n1
n
1
n2
nN
n
2
f X ( x1,, x N )dx1dxN
where n1, n2, ..., nN are all positive integers
343
344
I. Characteristic Functions of Vector Random Variable
X 1, 2 ,, N
g E[e b
j 1 X1 2 X2 ,, N X N
z z
K. N Jointly Gaussian Random Variables

N random variables X1, X2, , XN, are called jointly Gaussian if
there density function can be written as
g]
e jb1X1 2 X2 ,, N X N g fX ( x1,, x N )dx1dxN
b g a2 f1 K
f X XN
If Independent,
X 1, 2 ,, N E[e jb 1 X1g]E[e jb 2 X 2 g]E[e jb N X N g]
c h c h
c h
X 1 X 2 X N
J. Moment Generating Function of Vector Random Variable
z z
345
LM
N
i j
Xi X j , i j
OP
Q
346
k 1
k 1
expectation of the sum of N RVs is the sum of their expectations
Mean of the Product of RVs
LM
MN
2
1
LM
N
OP
Q
E ak X k ak E X k
1 2
22
OP
PQ
k 1
Variance of the Sum of RVs
LM
N
OP RS c
Q T
gUVW
h b
a a E c X E X hb X E X g
a Varb X g a a Covb X X g
N
Var ai Xi E a j X j E X j ak Xk E Xk
i 1
j 1
k 1
N
j 1k 1
N
j 1
Independence is assumed
k 1
N1
OP
PP
PQ
E ak X k ak E X k
For example, for N = 2
22
C1N
C2 N
CNN
Assume that we have N random variables, X1, X2, , XN

Mean of the Sum of RVs
2
Xi ,
21
The elements of the covariance matrix is given by
ij
C12
C22
CN 2
11
Analysis on Random Variables
R|
C S
|TC
LMC
C
KM
MM
NC
M X t1 M X t2 M X t N
If independent,
t X
t X
t X
M X t1 , t2 , , t N E[e 1 1 ]E[e 2 2 ] E[e N N ]
LM 1 aXmf K aXmfOP
N2
Q
exp
LM OP
mM P
MM PP
N Q
e jbt1 X1 t2 X2 ,, t N X N g fX ( x1,, x N )dx1dxN
1
2
where X and m are column vector, and K is the covariance

matrix all defined by
LM x OP
x
X M P,
MM PP
Nx Q
MX t1,t2 ,,t N E[ebt1 X1 t2 X2 ,, t N X N g]
N
2
347
2
j
j 1k 1
jk
348
Important Properties of Large RVs - 1


Sample Average (SA)

Suppose that random variables X1, X2, , XN, are independent
and identically distributed (iid), each with mean and variance
This means that the mean value of n is the same as the

mean value of the RV Xk
The sample average is defined as
The variance of n is given by
N X 1 X 2 X N N1 X k
k 1
n is also called the arithmetic mean or normalized sum
Properties of Sample Average

The expectation of n is given by
N
E N E N1 X k
k 1
N
N1 E X
k 1 k
1 N
X
N k 1 k
OP ELMFH
Q N
1 N
X
N k 1 k
IK OP
Q
2
2
X
1 N N
E
N 2 j 1 k 1
X j X k X2
1
2 E X 2j 2 E X j X k X2
N j 1
N j 1
1 N
E
N k 1
X k N1 N
k 1
j k
but
E X 2 X2 E X X2 X
2
349

350

hence
Var N
1
N2
N
1 N N
2
2
X X 2 E X j E X k X
1
j
N
j 1
k 1
1
N2
X2
j k
1
(N (N
N2
1) X2 X2
In fact, this is the premise of the Chebyshev inequality

which states that
Var N
P N E N a
2
a
X2
Substituting
This means that the variance of n is 1/n times the variance of the RV
Xk
Var N 0 as N
2
P N a 2
Na
The complement will be

2
P N a 1 2
Na
This implies that the probability that n is close to the true mean
approaches zero as N becomes larger and larger
LM
N
1 N
1 N
Var N E X X k X2
j
N
k 1
N j 1
Var N Var
351
352

Definition and Specifications of one Random process

Sample distribution and density functions of random
Processes
Some important Random Processes (independent
increment)
Statistical properties of Random processes
Stochastic Processes
(a.k.a. Random Processes)
It is remarkable that a science which began with the
consideration of games of chance should have become
the most important object of human knowledge.
Laplace Pierre Simon, 1812
353
Expectation of Random Processes

Variance of Random Processes
Autocorrelation function and its properties
Power Spectral Density of a Random Process and its
properties
354
356
Definitions
355
Stochastic Processes - 1
Recall that a RV is a rule for assigning a number on

the real line to an experiment S
The collection of such waveforms form a stochastic

process.
The set of {k} and the time index t can be continuous
or discrete (countably infinite or finite) as well.
For fixed k S (the set of all experimental outcomes),
X(t, ) is a specific time function
In other words, a Random Process is a rule for
assigning to every outcome of an experiment , a
function of time, X(t, )
A RP can be viewed as a function of two variables:
This assignment is only a function of the outcome of that

experiment
Often, random data collected from an experiment are

functions of time
If time factor is included in our experiment, then a
Random Process (RP) arises
Let denote the random outcome of an experiment.
To every such outcome suppose a waveform X(t, ) is
assigned.
357
an event , and time t
Consider random experiment specified by outcomes Si

from some sample space S
x1(t)
S
Sn
A realization,
sample path,
or sample
function
x2(t)
xn(t)
t
tk
To every outcome , we assign, according to some

rule, a time function X(t, )
A specific event, say j, X(t, j) signifies a single time
function
Since a RP is a function of two variables, t and , one
or both of these may be chosen to be fixed
If the fixed values are denoted by a subscript, we obtain:
tk+1
Observation interval
X (t , j ) = is a deterministic time function or sample function
For a fixed time tk inside the observation space, a set of

sample functions
X (t j , ) = X (t j ) is a random variable
X j t, , j 1, 2,, n
X (t , ) = X (t ) is a random process
X (ti , j ) = X (ti , j ) is a real number
are observed, where j is a member of S

358
S1 S
2
359
360
From above illustration, we can conclude that given a

RP, if we sample at a given time, we obtain a RV.
Equivalently, a RP is the mapping of outcome of a

random experiment to function of time.
For fixed t, X1 = X(t1, i) is a random variable.
These time indexed family of random variables {X(tk,

1),, X(tk, n)}, (X(t)) are known as RP.
The ensemble of all such realizations X(t, ) over time
represents the stochastic process X(t).
A stochastic process X(t) is a collection of time functions
corresponding to various outcomes of an experiment.
361
e.g. X(t) = acos(0t + ), where is a uniformly distributed

random variable in (0, 2) represents a stochastic process.
To distinguish a RV from a RP, we note that

1. the outcome of a RV is mapped into a number on the real
line
2. the outcome of a RP is mapped into a function of time, t
Examples of Stochastic Processes abound in nature, e.g.,

1. Stock market fluctuations
2. Brownian motion
3. Information signals such as voice (speech), TV, computer
data sequence, electrical noise, etc.
4. Brain/heart waves
(electroencephalogram/electrocardiograms)
5. Various queuing systems
6. Sound (or music) signals
7. Random sinusoidal signal
8. Buffer content of Network Routers
9. Network Link Utilization
10.Random binary sequences, etc
Classification of Random Processes:

A RP can be classified as discrete-time or continuous-time
362
363
Continuous RP (uncountable collection of RVs)
Random Process=
Discrete RP (countable collection of RVs)
Specifying a Random Process

Question: How do we characterize the probabilistic behavior of a RP?
Answer: We must specify the joint CDF/PDF for an infinite of RVs!
Since this is not possible, we must select a subset of k RVs and then
specify the joint probabilities
The idea is that event of interest do not necessarily involve all the
RPs
Loosely speaking, a RP is just an infinite bunch of RVs with slightly
different notation, one for each time, t
364
From the general definite we can obtain specific cases:

A) First-order distribution of the random process x(t) is
Let X1, ..., Xk be k RVs obtained by sampling the random

process X(t,s) at times t1, t2, ..., tk, i.e.,
a f
a f
a f
X1 X t1,s , X2 X t2 ,s ,, Xk X tk ,s ,
FX x,t P Xt x
Notice that FX(x,t) depends on t, since for a different t, we

obtain a different RV
B) First-order density of the random process x(t) is
then the k-dimensional joint CDF is given by
af
af
af
FX x1,, xk ; t1,, tk P X t1 x1, X t2 x2 ,, X tk xk
If the RP is continuous, then the the k-dimensional joint PDF

can be obtained as follows
fX x1,, xk ; t1,, tk
k FX x1,, xk ; t1,, tk
x1x2xk
C) Second-order distribution of the random process

For t = t1 and t = t2, X(t) represents two different random variables X1
= X(t1) and X2 = X(t2) respectively. Their joint distribution is given by
Similarly, when the RP is discrete, then the JPMF is
a f

f X x, t FX x,t
x
af
af
FX x1, x2 ; t1, t2 P X t1 x1, X t2 x2
pX x1,, xk P X1 x1, X2 x2 ,, Xk xk ,
365
366
D) Second-order density of the random process x(t) is
fX x1, x2 ;t1,t2
2 FX x1, x2 ; t1, t2
x1x2
E) This can be extended to k-order distribution or density functions. For

example, the nth order density function of a RP X(t) is
f X ( x1 , x2 , xn , t1 , t 2 , t n )
As in random variables, marginal cdf and pdf of a RP is given
by
a f a
FX x1,; t1 FX x1, ; t1 ,t2
a f z f ax , x ;t ,t fdx
f X x1;t1
2 1 2
It is important to mention that these descriptions are partial

description since full descriptions are not possible.
Complete specification of the stochastic process X(t) requires
the knowledge of
f X ( x1 , x2 , xn , t1 , t 2 , t n )
for all ti, i = 1,2, , n, and for all n.
Statistical Properties of Random

Processes
367
The concept of randomness and coincidence will

be obsolete when people can finally define a
formulation of patterned interaction between all
things within the universe.
Toba Beta
368
Properties of Random Processes - 1
A.Mean of X(t)
First-order Random Processes (i.e., function of one
random process)
The mean of a random process X(t) is given by
m X (t ) X (t ) E X t
x(t ) f X x, t dx
Time Average of X(t)
Is an alternative way of computing the mean

function of a RP X(t) by averaging it over the time
interval [-T, T] or some period
The time average is defined by
In general, the mean of a process can depend on the time

index t.
369
X t
1 T
2T T
X t
1 T2
T T2
x (t ) dt
or
x (t ) dt
370
B. Variance of X(t)
The variance of a random process X(t) is given by
C. Autocorrelation of X(t)
Autocorrelation Function (ACF) of a RP x(t) is denoted
as either RXX(t1,t2) or RX(t1,t2) or RXX(t, t+)
Autocorrelation of a random process X(t) is given by
X2 (t ) Var X t
RXX t1 , t2 E X t1 X * t2
2
E X t X t
E X 2 t E X t
x1 x2 f x1 , x2 ; t1 , t2 dx1dx2
It follows that
a f
af af
RXX t1, t2 E X t2 X * t1
Value of RX(t1, t2) when t1 = t2 = t is the average power

of x(t)
2
a f
RXX t, t E X t 0
371
372
The last expression implies that the autocorrelation of

a random process X(t) is a positive definite function
Note that
D. Autocovariance of X(t)
The autocovariance of a RP X(t) is given by
CX t1,t2 E X t1 X t1 X t2 X t2
b a f a fg
E X t1 X t2
a f
a f a f
RX t1,t1 2 RX t1,t2 RX t2 ,t2
a f l a f a fql a f a fq
E Xat f Xat f at fXat f at fXat f at f at f
E Xat f Xat f at f at f
1
Thus
C X t1 , t2 RX t1 , t2 X t1 X t2
The value of C(t1, t2) when t1 = t2 = t is the variance of

X(t), i.e.,
2
C X t , t Var X t E X t X t
373
374
Power Spectral Density - 1

E. Correlation Coefficient
The correlation coefficient of a RP X(t) is given by
PSD is used to describe and estimate the properties of an

observed experiment in the frequency domain
It describes the distribution of the signal power in frequency
domain
Knowledge of the Fourier Transform (FT) is important in the
understanding of the frequency domain description of RPs
Recall that the FT of a random process X(t) is defined as
j 2 ft
X f
x(t )e
dt
X t1 , t2
C X t1 , t2
C X t1 , t1 C X t2 , t2
where
X t1 , t2 1
and the inverse FT is given by

j 2 ft
x t
X ( f )e
df
But the above equations cannot be computed for realistic
samples of all RPs
A limited definition is required assuming ergodic process
375
376
In order to find the FT, it is necessary to modify the function and

limit the samples in some observation interval, say [-T, T]
Since X(t) have infinite energy and may not have a Fourier
Transform
For a RP X(t), let XT(t) be defined as that portion of the sample
function X(t) that exist between -T and T, i.e.,
Rx(t),
X (t ) S
T 0,
Hence
T t T
X T f TT xT (t )e
af
j 2 ft
dt
377
S X f
RX e j 2 f d
4. If X(t) is stationary, then the power content is

determined from the PSD as follows
RX 0 E X 2 t
SX ( f )df
This is the area under the PSD curve. It is also known as the
Average Power
Conversely,
cos 2 f j sin 2 f d
RX cos 2 f d
RX j sin 2 f d

RX cos 2 f d

SX 0
3. SX(f) uniquely determines RX()
378
Properties of Power Spectral Density - 2
2. SX(f) is a real-valued and even function of f, SX(f) =

SX(-f)
1. SX(f) is a nonnegative function of f, SX(f) 0
S X ( f )e j2f df
af
Properties of Power Spectral Density - 1
If we know the autocorrelation function, we can compute the

PSD and vice versa (transform pairs)
RX
af z
WienerKhintchine
Theorem
RX S X f
discrete
RX F 1 S X f
1
2
S X f
XT f
2T
RX
Conversely
R
a f |Sz R (k )e j2kf ,
|T
k
From this definition, the PSD denoted by SX(f) is given by
af
af
SX f
else
S X f lim 1 E X T f
T
2T
Another definition of PSD is obtained from the ACF

For a stationary RP X(t), the PSD SX(f) is the Fourier Transform
of the ACF
S X f F RX
That is,
R ( )e j2f d , continuous
RX ( )d
SX ( f )e j2f df
379
380
Classes of Random Processes - 1

A.Stationary Random Processes

X(t) is said to be stationary if its statistical properties
are time independent
This means that an observation at time (t0, t1) is the
same as observation at time (t0+, t1+ ).
That is,
Classes of Random Processes

Strict Sense Stationary
Wide Sense Stationary
Ergodic Processes
Cyclostationary Processes
FX (t1 ), X (tk ) x1 , , xk FX (t1+ ), X (tk ) x1 , , xk
f X (t1 ), X (tk ) x1 , , xk f X (t1+ ), X (tk ) x1 , , xk

381
(c)
Prof.
OkeyUgweje
Ugweje
Prof.
Okey
Federal
University of Technology,
Minna
Federal University
of Technology,
Minna
382
Intuitively, a stationary process has a behavior

independent of time
The concept of stationarity of a RP is similar to the
idea of Steady State in the analysis of the response
of electrical circuits
Statistical properties are invariant with respect to
time translation
Two Main Types:

1. Strict Sense Stationary (SSS)
A random process X(t) is said to be stationary in the strict
sense if its statistical properties are time independent
This is, the process X(t) and X(t+c) have the same statistics
for any value of c
The CDF of X(t) is same as the CDF of X(t+c).

t X(t)
c Fas
the PDF of X(t+c)
The PDF
FX t of
FX tis
tsame
X t
f X t t f X t t c f X t
383
384
Hence a process is nth-order SSS for any c, if
f X ( x1 , x2 , xn , t1 , t2 , tn )
f X ( x1 , x2 , xn , t1 c, t2 c , tn c)
where left side represents the joint pdf of the RVs
X 1 X (t1 ), X 2 X (t2 ), , X n X (tn )

and the right side corresponds to the joint pdf of the
RVs
X1 X (t1 c),
X 2 X (t2 c), ,
X n X (tn c).
(c)
Prof.
OkeyUgweje
Ugweje
Prof.
Okey
To check for SSS we need to find all the CDF or

PDF as a function of time and then determine all
the moments
By definition it implies that all the moments are
equal and do not depend on time origin
Also, all the joint moments are equal and do not
depend on time
ti , i 1, 2, , n, n 1, 2, and any c.
Federal
Minna
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of Technology,
Minna
385
386
2. Wide Sense Stationary (WSS)

The condition on SSS random process is very restrictive
It is difficult to prove except in limited cases
For RPs with unlimited observation times, proof of SSS is
virtually impossible
A limited definition of stationarity known as WSS RP is used
instead
A RP x(t) is said to be stationary in the wide sense if it meets

the following two conditions:
1.Its mean is constant
E Xt E Xt
2.It autocorrelation (or autocovariance) depends

only on = t1 - t2
R
E X t X t
This means that that autocorrelation does not depend on

the actual value of t1 and t2, but depends on difference
= t1-t2
The RP that does not satisfy the requirement of
stationary RP (SSS or WSS), is said to be non-stationary
387
(c) Prof.
OkeyUgweje
Ugweje
Prof.
Okey
Federal
Minna
Federal University
of Technology,
Minna
388

Note:
If a process is SSS, then it is also WSS.

The converse is not true except when the process
is Gaussian, i.e., for a Gaussian Process, WSS
also implies SSS
Autocorrelation Function
Stochastic Process
WSS
It is likely that unlikely things should

happen.
SSS
Aristotle
389
Properties of Autocorrelation Function - 1

390

1. The mean squared value of X(t)
Proof:
bf
RX 0 E X 2 t
b f bf
RX E X t X t
2. For WSS process RX() is an even function, i.e.,
but
RX RX
RX E X t X t
E X t X t
RX
This implies that we may also define the

autocorrelation function as
3. For WSS process RX() is maximum at the origin i.e.,
bf b f
RX 0 RX
RX E X t X t
391
392

Consider
c b f b fh
E X t X t
Other Classes of Random Processes

b f
bf
bf b f
E X t E X t E X t X t
2 RX 0 2 RX 0
2
Hence
RX 0 R X
B. Cyclostationary Random Process

A random process X(t) is said to be cyclostationary if
both its mean and Autocorrelation are periodic in
time with period T, i.e.,
m X (t ) E X t kT
RX RX t kT
4. If X(t) has a dc component, then RX() will have a

constant component
For example, if X t A then
bf b f
RX E X t X t E A2 A2
5. If X(t) has a periodic component, then RX() will also
have a periodic component with the same period
393
Other Classes of Random Process - 1

394

C. Ergodic Random Process

Some stationary RPs posses the property that almost
every member of the ensemble exhibits the same
statistical behavior as the whole ensemble
By examining only one typical sample function, it is
possible to determine the statistical behavior of the
whole process
Such processes are said to be Ergodic
If the statistical average is equal to the time
average, the random process is said to be Ergodic
This statement implies that it is sufficient to examine

one realization of a process and find its time average
rather than considering a large number of realizations
and averaging over all of them
1. Ergodic in the mean
A stationary RP is Ergodic in the mean if
bf
bf
Xn t E Xn t
2. Ergodic in Autocorrelation
A stationary RP is Ergodic in autocorrelation if
bg bg
b g
X t1 X t2 RX t1, t2
A process that does not posses these properties is

non-ergodic
395
396
Some Important Random Processes
A.Independent Increment Process (IIP)

X(t) is said to have independent (uncorrelated) increments
if for any k and any choice of sampling instants t1 < t2 <
tk the RVs defined by
Examples of Independent Increment Process are:
Y1
Y2
Yk 1
bg bg
Xbt g Xbt g
X t2 X t1
3
Poison Process,
Weiner Process
If X(t) and Y(t) are such that the RVs X(t1), , X(tn)
and Y(t1) and Y(tn) are mutually independent, then the
processes are independent
bg b g
X tk X tk 1
are independent RVs

i.e., it possesses independent increments if the changes in
the value of the processes over non-overlapping time
intervals are independent
397
Markov Process (continuous-time Markov chains)
398
Multiple Random Processes - 1
A RP X(t) is said to be Markov if the future of the process given

the present is independent of the past
This means that a Markov process is a stochastic process
whose past history has no influence on the future, if the
present is specified
That is, for any k and any choice of sampling instants t1 < t2 <
< tk,
As in random variables, multiple Random Processes

(RPs) are extension of single random processes
Multiple processes arise naturally when dealing with 2
or more RPs defined on the same probability space
Off course, complete description requiring the
specification of all the joint statistical behavior for all
time samples is not possible
We will restrict our study to second-order processes (2
RPs X(t) and Y(t)), which are considered to be
stationary
The following are characteristics of second-order
Random Process
bg
bg
P X t k xk |xk 1, , x1 P X t k xk |xk 1
A RP that has independent increment is also a Markov Process

Other processes of interest include:
1. Gaussian Processes
2. Brownian Process
3. Renewal Process
4. Regenerative Processes
399
400
Cross-Correlation Function (CCF)
Properties of CCF - 1
CCF describes the relationship between two RPs X(t)

and Y(t) and is given by
RXY t1 , t2 E X t1 Y t2
1.For two WSS processes X(t) and Y(t)
x(t ) y (t ) f x, y dx(t )dy (t )

1
2 XY
1
2
Thus
It is assumed that X(t) and Y(t) are jointly stationary

Note that RXY(t1, t2) = RXY(t2, t1)
RXY E X t Y t
RYX E Y t X t
401
RXY RYX
Note that the above equation simply indicates symmetry. It
does not necessarily indicate that the CCF is even
The ACF of a RP is even but the CCF is not
2. For 2 WSS processes X(t) and Y(t), the CCF is bounded as

follows
RXY RX 0RY 0
CCF does not necessarily have its maximum at = 0. The
maximum can occur anywhere but the value is limited
3. For two WSS processes X(t) and Y(t), the CCF is bounded as
bf
b f
b f
E X 2 t E Y 2 t 2 E X t Y t 0
RX 0 RY 0 2 RXY 0
RXY 1 RX 0 RY 0
2
4. If two RPs X(t) and Y(t) are statistically independent, then

RXY RYX
RXY E X t Yt E X t E Yt
E Yt E X t
E Yt X t
RYX
Note that in ACF the value at zero equals mean square value, but in
CCF the value at zero has no special significance
5. Two RPs X(t) and Y(t) are said to be uncorrelated if

RXY mX mY
RXY RYX
To demonstrate, consider E[(X(t) Y(t+))2] 0

402
RXY 1 RX 0 RY 0
2
403
404
Now, if at least one of the process is zero mean, then RXY 0
6. Generally, the correlation matrix of 2 RPs X(t) and Y(t) is given by
b g LMRR bbtt ,,tt gg RR bbtt ,,tt ggOP

N
Q
If X(t) and Y(t) are WSS, then
L R R OP
R M
NR R Q
RXY t1 ,t2
XY
YX
XY
YX
9. Equality of two random processes

Two processes X(t) and Y(t) are said to be equal if their
respective time samples are equal, i.e
b g b g
X t , Y t , , for all
Two processes X(t) and Y(t) are equal in the mean if
XY
7. Two RPs X(t) and Y(t) are said to be orthogonal if RXY 0

8. Sum of two Random Processes: Z(t) = X(t) + Y(t)
RZ RX RY RXY RYX
SZ S X SY S XY SYX
S X SY 2S XY
405
Time Cross-Correlation Function (TCCF) - 1
406
The time cross-correlation functions are defined as
Cross-Covariance (CC)
The cross-covariance of two processes X(t) & Y(t) is
defined as
2
E X (t ) Y (t ) 0, for all t
b g m b g b grmYbt gm bt gr
R bt ,t g m bt gm bt g
If the two processes are jointly ergodic, then
CXY t1,t2 E X t1 mX t1
1 T
x(t ) y (t )dt
T 2T T
lim 1 TT y (t ) x(t )dt
T 2T
XY
XY lim
YX
Hence
XY RXY ,
X(t) and Y(t) are uncorrelated if
b g
CXY t1,t2 0
YX RYX
407
408

Cross-Power Spectral Density (CPSD)

For two RPs, it is possible to define the cross power
density
The cross-power spectral density is defined as
S XY
R|z R ( )e j2f d ,
a f f S R (k )e j2kf ,
|T
XY
XY
Random Processes in Linear

Systems
continuous
The most important questions of life are, for the
most part, really only problems of probability.
discrete
Laplace Pierre Simon

409
Random Processes and Linear Systems
410
Many physical systems involve the processing of

random signals/process, e.g.,
If input of a system is random, the output is also

bound to be random
Most of the analysis in Electrical Engineering involve
the understating of the relationships between the input
and output of a linear system
With this knowledge, the engineer will design the
systems
It is assumed that the students in this class is already
familiar with the usual method of analyzing linear
systems in time or frequency domain
Prediction
predicting future values in terms of past values

Filtering and Smoothing
recovering signals corrupted by noise

Modulation
converting signals from low frequency to high

frequency
All signal processing operations involves the
transformation of signals from one time or frequency
function to another
411
412
Most theoretical problems in EE can be summarized as follows:
Now given random input of a linear system X(t), we

can find all the statistical characteristics of the output
Y(t), in terms of the input X(t)
If the system is Linear Time Invariant (LTI), then the
response of the system to an arbitrary input is given
by
Linear Network
h(t)
x(t)
x[n]
x(ejw)
X(f)
X(z)
RX(f)
SX(f)
y(t)
y[n]
Y(ejw)
Y(f)
Y(z)
Ry(f)
Sy(f)
h[n]
H(ejw)
H(f)
H(z)
y t h(t ) x(t )

h( ) x(t )d
Time Function
Difference Equation

h(t ) x( )d
Pole-Zero Plot
H - Function
Random Process
A LTI system is completely specified by its impulse response
413

414

If the input of a LTI system is a random process X(t),

then the output is also a random process given by
Y t
h( ) X (t )d
h(t
Mean Squared Value:
E Y 2 t E
X (t s )h( s )ds
X (t r )h(r )dr
ds
X (t s ) X (t r )h( s )h(r )dr
E
) X ( )d
ds
E X (t s ) X (t r ) h( s )h(r )dr
where h() is the impulse response
But
Some of the statistical properties of the output are

given as follows:
E X (t s ) X (t r ) RX (t s t r )
Mean:
RX ( r s )
Hence
E Y t E h( ) X (t )d h( ) E X (t ) d
E X t E X t mx
E Y 2 t ds R (r s )h( s )h(r )dr

X
mx h( )d
415
416


SY f h s h r RX (u )e j 2 f ( u s r ) dsdrdu
Autocorrelation Function:
E Y t Y t E h( s ) X (t s )ds h(r ) X (t r )dr
h s e j 2 fs ds h r e j 2 fr dr RX (u )e j 2 fu du
H ( f ) H ( f )S X ( f )
H ( f ) SX ( f )
E X (t s ) X (t r )h( s )h(r )dsdr
RX ( s r )h( s )h(r )dsdr
Cross Relationships between input and output processes:
Power Spectral Density:
RXY E X (t )Y (t )
SY f RY ( )e j 2 ft d
E X (t ) X t r h(r )dr
h s h r RX ( s r )e j 2 ft dsdrd
If we let u = +s-r,
we obtain
E X (t ) X t r h(r )dr
RX r h(r )dr
RX h( )
417

By taking the Fourier Transform of the cross

autocorrelation function, we obtain the cross power
spectral density of the input and output
S XY f H f S X f
Since RXY() = RXY(-), we obtain
S XY f SYX
f H f SX f
419
418

Stochastic Processes

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What We Will Study?

CME620 Stochastic Processes

Department of Telecommunications Engineering

Prof. Okechukwu C. Ugweje

Nigerian Turkish Nile University, Abuja

What We Will Study? - 2

Department of Telecommunications Engineering

1. Statistical Properties of one Random Variable

Set Theorem and Venn Diagram

Probability is too important to be left to the

Federal University of Technology, Minna

(c) Prof. Okey Ugweje

Federal University of Technology, Minna

Department of Telecommunications Engineering

Department of Telecommunications Engineering

(c) Prof. Okey Ugweje

Federal University of Technology, Minna

(c) Prof. Okey Ugweje

Federal University of Technology, Minna

Department of Telecommunications Engineering

Only one occurrence of an element in a set is allowed

Sometimes it is easier to describe a set by describing what is

Definition: The complement of a set of all elements in the

Federal University of Technology, Minna

Department of Telecommunications Engineering

For more than two elements

(c) Prof. Okey Ugweje

Federal University of Technology, Minna

Department of Telecommunications Engineering

Department of Telecommunications Engineering

Notice that c = and c =

Definition: The sets A and B are said to be mutually

Federal University of Technology, Minna

(c) Prof. Okey Ugweje

Federal University of Technology, Minna

A Venn diagram is a geometric representation of sets

, = subsets and equality

= not a subset, = is an element of, not an

Department of Telecommunications Engineering

(c) Prof. Okey Ugweje

Also for infinite union of sets, we have

Many more union relationships can be developed

(c) Prof. Okey Ugweje

Federal University of Technology, Minna

Department of Telecommunications Engineering

Department of Telecommunications Engineering

Mathematical expression: A B = AB = {x: x A and x B}

(c) Prof. Okey Ugweje

If A B = then A and B are said to be mutually exclusive

Also for infinite intersection of sets, we have

Federal University of Technology, Minna

(c) Prof. Okey Ugweje

Department of Telecommunications Engineering

Partition: A partition of is a collection of mutually

Mathematical expression: Ac = {x: x S and x A}

Complements (Inversion, Opposite)

Consist of elements of set A not in set B

Mathematical expression: Ac = {x: x S and x A}

Department of Telecommunications Engineering

Federal University of Technology, Minna

Federal University of Technology, Minna

(c) Prof. Okey Ugweje

Federal University of Technology, Minna

Example 7 Venn Diagram