Recall that a random variable is a function X : R which

associates each outcome with a real number.

Since the outcome of the experiment with sample space is random,
the number produced by the function is random as well.

You ought to be familiar with the following classification of random

variables:

RANDOM VARIABLES

A discrete random variable can take on only a finite or at most a

countably infinite number of values.
A continuous random variable can take on a continuum of values.

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O UTLINE

2.1

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Discrete Random Variables

Let X be a discrete random variable taking values x1 , x2 , . . . .

The probability properties of X are completely described by the
probability mass function
P (or frequency function) p such that
p(xi ) = P(X = xi ) and i p(xi ) = 1.

Discrete Random Variables

Bernoulli Random Variables

2.2

Continuous Random Variables

A Bernoulli random variable takes on only two values, 0 and 1, with

probabilities 1 p and p, respectively.

2.3

Functions of a Random Variable

Its frequency function is thus

(
px (1 p)1x ,
p(x) =
0,

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if x = 0 or x = 1,
otherwise.

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2.1

Discrete Random Variables

2.1

Discrete Random Variables

Binomial Distribution
Suppose that n independent experiments (or trials) are performed,
where n is a fixed number, and that each trial results in a success
with probability p and a failure with probability 1 p.
The total number of successes, X , is a binomial random variable
with parameters n and p.
The probability that X = k is given by
 
n k
p(k) =
p (1 p)nk ,
k

k = 0, 1, . . . , n.

If X1 , . . . , Xn are independent Bernoulli random variables with

P(Xi = 1) = p, then Y = X1 + + Xn is a binomial random variable.
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Discrete Random Variables

Negative Binomial Distribution

Geometric Distribution
Suppose that a sequence of independent Bernoulli trials is performed
and X is the total number of trials up to and including the first
success.
Then X is a geometric random variable with
p(k) = P(X = k) = p(1 p)k1 ,

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Figure 2.3: Binomial frequency functions, (a) n = 10 and p = 0.1 and

(b) n = 10 and p = 0.5.

2 RANDOM VARIABLES

This is a generalization of the geometric distribution.

Suppose that a sequence of independent trials each with probability of
success p is performed until there are r successes in all.
Let X denote the total number of trials. Then


k 1 r
P(X = k) =
p (1 p)kr ,
k = r , r + 1, . . . .
r 1

k = 1, 2, 3, . . . .

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2.1

Discrete Random Variables

2.1

Discrete Random Variables

Hypergeometric Distribution
Suppose that an urn contains n balls, of which r are black and n r
are white.
Let X denote the number of black balls drawn when taking m balls
without replacement.

Figure 2.4: The probability mass

function of a geometric random
variable with p = 1/9.

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X is a hypergeometric random variable with parameters r , n, and m,

and
 

r
nr
k
mk
 
P(X = k ) =
.
n
m

Figure 2.5: The probability mass

function of a negative binomial
random variable with p = 1/9 and
r = 2.

2 RANDOM VARIABLES

Recall Example 1.4.2I (Capture/Recapture Method).

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Discrete Random Variables

2.1

Poisson Distribution

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Discrete Random Variables

The Poisson distribution has been used in many areas, such as

A Poisson random variable with parameter > 0 has the frequency

function
k e
P(X = k ) =
,
k = 0, 1, 2, . . . .
k!
The Poisson frequency function can be used to approximate binomial
probabilities for large n and small p.

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analysis of telephone systems,

modeling the number of alpha particles emitted from a radioactive

source during a given period of time, and

modeling the number of freak accidents for a large population of

people in a given time period.

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2.2 Continuous Random Variables

2.2

For a continuous random variable, the role of the frequency function is

taken by a density
R function, f (x), such that f (x) 0, f is piecewise
continuous, and f (x) dx = 1.

P(a < X < b) =

Exponential Distribution
The exponential density function is
(
ex ,
f (x) =
0,

If X is a random variable with a density function f , then

Z

Continuous Random Variables

f (x) dx.

x 0,
x < 0.

The cumulative distribution function (cdf) of a continuous random

variable X is defined by
Z x
F (x) = P(X x) =
f (u) du.

The exponential distribution is often used to model lifetimes or

waiting times and the memoryless property of the distribution has
important implications here:
P(T > t + s | T > s) =

e(t+s)
= et = P(T > t).
es

From the fundamental theorem of calculus, if f is continuous at x,

f (x) = F 0 (x).
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2.2 Continuous Random Variables

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Continuous Random Variables

Normal Distribution
Gamma Distribution

The normal distribution plays a central role in probability and statistics.

The central limit theorem (Ch 5) justifies the use of the normal
distribution in many applications.

The gamma density function depends on two parameters, > 0

(shape) and > 0 (scale):

x 1 ex ,
x 0,
f (x) = ()

0,
x < 0,
in which (t) =

R
0

u t1 eu

The density function of the normal distribution depends on two

parameters, R (the mean) and > 0 (the standard deviation):
1
2
2
f (x) = e(x) /2 ,
2

du, t > 0, is the gamma function.

< x < .

If = 1, the gamma density coincides with the exponential density.

The cdf cannot be evaluated in closed form from this density function
and must be found numerically.

Gamma densities provide a fairly flexible class for modeling

nonnegative random variables.

The special case for which = 0 and = 1 is called the standard

normal distribution. We denote its cdf by (which is tabulated) and
its density by .

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2.2 Continuous Random Variables

2.2

Continuous Random Variables

Beta Distribution
The beta density is useful for modeling random variables that are
restricted to the interval [0, 1]:
f (u) =

(a + b) a1
u
(1 u)b1 ,
(a)(b)

0 u 1.

Note that the case a = b = 1 is the uniform distribution.

The beta distribution is important in Bayesian statistics (see
Example 3.5.2E).
Figure 2.18: Beta density functions for various values of a and b: (a) a = 2,
b = 2; (b) a = 6, b = 2; (c) a = 6, b = 6; and (d) a = 0.5, b = 4.
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2.3 Functions of a Random Variable

Functions of a Random Variable

Proposition A
If X N(, 2 ) and Y = aX + b, then Y N(a + b, a2 2 ).

Since


It follows that Z =


N(0, 1) and FX (x) =

P(120 < X < 130) = P


x
.

120 100
X 100
130 100
<
<
15
15
15

= P(1.33 < Z < 2)

Example A

= (2) (1.33)

Scores on a certain standardized test, IQ scores, are approximately

normally distributed with mean = 100 and standard deviation
= 15.

= 0.9772 0.9082 = 0.069,

approximately 7% of the population will have scores in this range.

An individual is selected at random. What is the probability that his

score X satisfies 120 < X < 130?

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2.3

Functions of a Random Variable

Propositions C & D
1

Let Z = F (X ). Then Z has a uniform distribution on [0, 1].

Let U be uniform on [0, 1], and let X = F 1 (U). Then the cdf of X
is F .

The results follow directly from

P(Z z) = P(F (X ) z) = P(X F 1 (z)) = F (F 1 (z)) = z,
which is the uniform cdf, and
P(X x) = P(F 1 (U) x) = P(U F (x)) = F (x).
To generate random variables with cdf F , the second result suggests
that we just apply F 1 to uniform random numbers. This is quite
practical as long as F 1 can be calculated easily.
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