Académique Documents
Professionnel Documents
Culture Documents
Dr. S.Ghazanshahi
Random Experiment:
A random experiment is an experiment in which the outcome varies in an
unpredictable fashion, when the experiment is repeated under the same conditions.
Sample Space:
The sample space S of a random experiment is defined as the set of all possible
outcomes of random experiment.
Event (Set):
An event is a subset of the sample space S which contains specific outcomes.
Special Events:
a) S Universe set (or certain event), which consists of all possible outcomes of
an experiment.
b) - Impossible or null set, which contains no outcomes and hence never
occurs.
Example:
Select a ball from an urn containing balls numbered 1 to 20:
= {1 , 2 , 3 , , 20} discrete sample space.
{ } = {2 , 4 , 6 , , 20}
EG_EE 580
Dr. S.Ghazanshahi
Example:
=
3) Complement of an event A:
Complement of an event is denoted by and is defined as the set of all outcomes
in but not in .
Example:
=
Set Algebra:
1) Commutative properties:
=
=
2) Associated properties:
( ) = ( ) =
( ) = ( ) = =ABC
EG_EE 580
Dr. S.Ghazanshahi
3) Distributive properties:
( ) = ( ) ( )
( ) = ( ) ( )
4) De Morgans Rules:
In general:
1 2 =
=1 = =1
1 2 =
=1 = =1
Mutually exclusive (Disjoint Sets):
1. A and B are mutually disjoint iff A = .
=
Sets 1 , 2 , are said to be mutually exclusive iff: {
=
Collectively Exhaustive:
N sets 1 , 2 , , are collectively exhaustive iff:
=1 =
If in addition = , then [1 , , ] are called partition of S.
Example:
Show that the following equallity is correct.
(A - AB) = A (
)
)
= A (
= A ( ) = (A )= ( ) = A = A (
)
EG_EE 580
Dr. S.Ghazanshahi
[ ] = ( )
=1
=1
3
6
Event C: {4, 5}
P(B)=
2
6
P(C)=
2
6
P(B )= P(B)+P(C)= + =
6
6 6
EG_EE 580
Dr. S.Ghazanshahi
Corollary of axioms:
1) () = 0
2) () = 1 ()
3) ( ) = () + () ()
Example:
Draw a card from a deck of 52 playing cards and find:
1) ( ) =
4
52
2) ( ) = 13
52
3) ( ) = () + () =
13
52
13
52
1
2
4) ( ) = () + () + ( ) =
1
52
13
52
4
52
16
52
EG_EE 580
Dr. S.Ghazanshahi
()
for () 0
()
In computing (|), we can therefore view the experiment as now having the
reduced sample space . The event occurs in the reduced sample space. From the
above equation, the joint probability of P(AB) follows as:
() = (|)()
Similarly:
(|) =
()
()
() = (|)()
Example:
A box contains two black and three white balls. Two balls are selected at random
from the box without replacement and the sequence of colors is noted. Find the
probability that both balls are black.
1 2
1
(1 2 ) = (2 |1 )(1 ) = ( ) ( ) =
4 5
10
B black ball, W white ballType equation here.
(2 ) = (2 1 2 1 ) = (2 1 ) + (2 1 ) = (2 |1 )(1 ) +
2
(2 |1 )(1 ) = ( ) ( ) + ( ) ( ) =
4
5
4
5
5
EG_EE 580
Dr. S.Ghazanshahi
i j = 1, 2, , n
=1 = S
Then:
P(A) = =1 ( )= =1 (| )P( )
(2 |)
(2 )
= ( |2 )
= 0.0162
()
()
EG_EE 580
Dr. S.Ghazanshahi
( )
= (| )( )/ (| )( )
()
=1
2) (1 2 3 ) = (1 )(2 )(3 )
Example: Toss a die
Outcomes: {1, 2, 3, 4, 5, 6}
Events:
= { } = {1, 3, 5}
= { } = {2, 4, 6}
= { } = {1, 2}
a) Are A and B statistically independent events?
b) Are A and C statistically independent events?
P(AB) =? P(A) P(B)
1
2
EG_EE 580
Dr. S.Ghazanshahi
P(AB) = P() = 0
P(AB) P(A) P(B)
P(A) =
1
2
P(AC) = P({1}) =
1
6
1
3
P(C) =
1
3
Random variable
Definition:
A real random variable is a single valued function that maps all outcomes of the
sample space into a set of real numbers. The domain of this function is the set of
experimental outcomes (i.e; ) and its range is a set of real numbers (i.e., R). Hence
random variable is a function that assigns a real number, to each outcome the
sample space.
Example:
Toss a coin three times and let define random variable as the number of heads in
each outcome in as:
, , , , , , ,
() = 3 , 2 , 2 , 2 , 1 , 1 , 1
,0
1
8
( = 1) =
3
8
EG_EE 580
Dr. S.Ghazanshahi
( = 2) =
( = 3) =
1
8
Example:
Toss a die and define random variable as ( ) = 10.
= {1 , 2 , , 6 } = {10 , 10 , 30 , , 60}
One to one mapping:
( = 35) = () = 0
( 35) =
( = 40) =
6
6
F(x)
(0) = 0
(10) =
1
6
(60) = 1
10
EG_EE 580
Dr. S.Ghazanshahi
+ = +
5) P(1 < 2 ) = (2 ) (1 )
for 1 < 2
6) ( = ) = (+ ) ( )
7) ( = ) = 0
()
{( + ()}
= ()
11
EG_EE 580
Dr. S.Ghazanshahi
For discrete random variable with stair step distribution function, the unit impulse
function () is introduced to define f(x) at stair step points as:
() = ( )( )
=1
2) () = ()
3) () = ()|
= () () = () = 1
4) P{1 < 2 } = 2 () = (2 ) (1 )
1
12
EG_EE 580
Dr. S.Ghazanshahi
Example:
Let X be continuous random variable with probability density function defined as:
() = {
2 , 0 1
0 ,
0 () = 0 2 = 1
=3
0.75
0.75
b) () = 0 32 = 3
Note:
Unit step function and delta function are defined as:
() = {
() =
0, < 0
1, 0
()
() = ()
() for discrete RVs can be written as a weighted sum of unit step functions:
() = ( )( )
13
EG_EE 580
Dr. S.Ghazanshahi
() =
()
= ( )( )
Example:
Recall the example of a die where RV X is discrete.
( ) =
1
6
= 1, 2, 3, , 6
14
EG_EE 580
Dr. S.Ghazanshahi
,
() = {
0,
() = () =
Example:
A resistor is RV uniformly distributed between [900,1100]. Find the probability
that is between 950 and 1050 .
() =
1
1100900
1
200
1050 1
200 950
200
= 0.5
1
2
()2
22
< <
F()= ()
()
1
2 22
15
EG_EE 580
Dr. S.Ghazanshahi
2
(1 2 ) = () =
1
1
2
()2
22
There are no analytical solutions for above integrals, and we should calculate them
numerically. There exist a table for calculating the distribution function of standard
Gaussian with =0, and = 1. .
For negative value of we can use F(- )=1-F( ).
distribution function from standard normal distribution function and its table, using
variable transformation as:
=
Therfore:
(1 2 ) =
1 =
2 =
=0 =1
(0,1) =
2 1
2 2
1
1
2
. ;
()2
2
= 2 () = (2 ) (1 ) Where
1
(0,1)
Standard normal p.d.f.
2
(1 < < 2 ) = (2 ) (1 ) = (
() =
()
2 2
) (
Example:
A random variable X normally distributed with mean=1000, and standard deviation
equal 50 (i.e. (1000,50)). Find:
16
EG_EE 580
Dr. S.Ghazanshahi
10501000
50
9001000
)] [ (
50
)] = (1) (2)
= 0, 1, 2, ,
+ =1
With the following density and distribution functions:
( = ) = ()
() = =0() ( )
() = ( ) ( )
=0
For large , binomial density function can be approximated with Gaussian density
function of (, ) , and we can use standard normal table to calculate
= =
1
2
17
EG_EE 580
Dr. S.Ghazanshahi
= 0, 1, 2, 3, .
Where is the average number of events occurrence in the same time interval or
region of space.
Where a = T= average number of events in interval T
=average rate at which events occur.
The Poisson density and distribution functions are:
() = ( )( ) =
( )
!
=0
() = ( )( ) =
=0
( )
Example:
Let X be the number of accidents in one intersection during one week where average
number of accidents in one week reported as 2. (a=2)
a) Write density and distribution functions of X.
b) find (2).
18
EG_EE 580
Dr. S.Ghazanshahi
Answer:
a) () = ( )( ) =
=0
() = =0
b) (2) = 2=0
!
2 2
!
( ) = =0
=
2 20
0!
2 21
1!
2 2
a=2
( )
2 22
2!
( )
= 0.135+0.27+0.27=0.675
Remark:
Density and distribution functions for Poisson random variable when plotted appear
similar to those of the Binomial. Actually Binomial probability function converges
to Poisson probability function for and 0 in such a way that = .
(# = ) = ( )
!
Example:
The probability of a bit error in communications is 103 . Find the probability that a
block of 1000 bits has five or more errors.
Each bit transmission corresponds to a Bernoulli trial success equal to a bit error.
= 1000
= 103
( 5) = 1 ( < 5) = 1 4=0
= = 1000 103 = 1
!
= 1 1 [1 +
1
1!
1
2!
1
3!
+ ]=
4!
0.00366
EG_EE 580
Dr. S.Ghazanshahi
() =
=1
Note that ( ) =
( )
| ( )|
| =
Example:
2
Given = () = and () =
1
2
()2
2
function of .
Find roots: 1 =
2 =
() = 2
| (1 )| = | (2 )| = 2
() =
1
2
[ () + ()] = 2
(1 )
(2 )
+
=
| (1 )| | (2 )|
()
2
1
2
()
2
)=
20
EG_EE 580
Dr. S.Ghazanshahi
Joint statistics
2 (, )
0
Note:
1) (, ) = (, )
2) (, ) = () = 1
2
2
3) P(1 < 2 , 1 < 2 ) = =
= (, )
1
Remark:
If X and Y be two discrete random variables, the distribution function, (, ) has
step discontinuities with undefined derivatives at these discontinuous points.
21
EG_EE 580
Dr. S.Ghazanshahi
(, ) = ( , )( )( )
=1 =1
Example:
Consider two continuous random variables X and Y with the following joint density
function as:
,
(, ) = {
0 ,
01 01
a) Find , (, )
1
b) Find ( , )
c) ( )
Answer:
K=?
1
=0 =0 = () = 1 = 4
a) (, ) = 0 0 4 = 0 4 0 = 0 4 ( )
2
= 2 2 0 = 2 2
a)
1
2
3
4
1
2
1 3
, ) = 0 0 4 = ( , ) =
4
2 4
1
9
64
14
c) ( ) = =0 =0 4 = 0 4 0 = 0 3 =
2
2
4
4 |10 =
1
2
22
EG_EE 580
Dr. S.Ghazanshahi
(, ) = ()
Therefore:
() = (, )
This is marginal density function of from the joint density function. Similarly:
() = (, )
23
EG_EE 580
Dr. S.Ghazanshahi
( )
()
(|) =
(|)
(|) = () = 1
(|) = (|)
(1 < 2 |) = 2 (|)
1
1) Interval Conditioning:
= {1 < 2 }
0
( |) = ( |) =
( )
()
()(1 )
={
()
< 1
1 < 2
By differentiating:
0
(|) =
(|) =
(|)
()
()
()
= {()
0
< 1
1 < 2
2
Where = {1 2 } or = { 2 }
24
EG_EE 580
Dr. S.Ghazanshahi
(,)
()
Example:
Consider two RVs and with the joint density function of:
1
(, ) = ( + )
0 1 0 2
Find:
1) (, )
2) () and ()
3) () and ()
4) (|)
5) (|) where = {0 0.5}
6) (0.2 0.4 , 1 1.5)
Answer:
1) (, ) = 0 0 (, ) = 0 0 ( + ) = ( 2 +
3
6
2 )
1
2) () = (, 2) = (2 2 + 4)
6
1
() = (1, ) = ( + 2 )
6
3) () =
() = (4 + 4)
6
21
Or: () = 0 (, ) = 0 ( + ) = +
1
21
() = 0 (, ) = 0 ( + ) = +
25
EG_EE 580
Dr. S.Ghazanshahi
4) (|) =
(,)
5) (|) =
()
()
()
1
(+)
3
1
1
(+2)
3
+
+
2
(+1)
3
0.52
0 3(+1)
1
2
2
(+1)
3
=
(0.5)
1.5
4
(+1)
3
1 2 4
( + )
3 4 2
= ( + 1)
5
0.4 1
[()] =
() = ()()
= ( )( )
for continuous RV
for discrete RV
Mean:
The mean of RV is defined by:
[] = = ()
for continuous RV
[] = = =1 ( )
for discrete RV
[] = = .
Variance (VAR)
[] = 2 = [( )2 ] 0
26
EG_EE 580
Dr. S.Ghazanshahi
. .:
2 = =1( )2 ( )
2 = [( )2 ] = ( )2 ()
1) Variance is a measure of the spread about the mean value.
2) Variance is always positive value.
3) If 2 = 0, then ( = ) = 1.
X is a constant
27
EG_EE 580
Dr. S.Ghazanshahi
= [ ] = ()
= [ ] = =0 ( )
Central Moments:
Moments around the mean value of random variable X are called central moments
and given by:
= [( ) ] = ( ) ()
or for discrete RV: = ( ) ( )
Example:
1 = =
2 = [ 2 ] =
2 = 2 =
Properties of expected values:
1) [] = ; =
[] = () = ()
=
[] = [(, )] = (, )(, )
= ( , )( , )
2) [1 + 2 ] = [1 ] + [2 ]
28
EG_EE 580
Dr. S.Ghazanshahi
Since:
[1 + 2 ] = (1 + 2 )(1 , 2 )1 2
= 1 (1 , 2 )1 2 + 2 (1 , 2 )1 2
= 1 (1 )1 + 2 (2 )2
= [1 ] + [2 ]
In general:
3) [
=1 ] = =1 [ ] = =1 [ ]
are constants.
[1 2 ] = 1 2 (1 , 2 ) 1 2 = 1 2 (1) (2 ) 1 2 =
1 (1 )1 2 (2 )2
= [1 ][2 ]
In general:
[1 ] = [ ] = [ ]
=1
=1
Example:
Find the mean and variance of the uniform random Variable:
() =
2 1
2 1
= [] = 2 () = 2
1
2 1
1 +2
2
29
EG_EE 580
Dr. S.Ghazanshahi
2 = [( )2 ] = 2 (
1 +2 2
let
1 +2
2
) ()
, =
2 1
2
1
(2 1 )2
2
2
=
=
2 1 21
12
2
Example:
Consider two independent RVs 1 and 2 with:
2
2
[1 ] = 1 , [2 ] = 2 , 1
= 2 , 2
=1
= 12 + 45 + 24 64 = 17
Joint Expectation
= (, )
[] = [(, )] = (, )(, )
= ( , )( , )
Covariance
Consider two random variables and
(, ) = = [( )( )]
= [ + ]
= [] +
30
EG_EE 580
Dr. S.Ghazanshahi
= []
Where [] is called the correlation between X and Y, and is denoted by . Let
and be independent RVs, then:
= [] =
= = = 0
uncorrelated RV
Uncorrelatedness:
= 0
and
Orthogonality:
= [] = 0
Note:
Independency
Uncorrelatedness
Uncorrelatedness
Independency
(not in general)
Correlation Coefficient:
| 1|
.
Example:
Let and be statistically independent RVs with = 0.75 , = 1 ,
2 = 4 and 2= 5.
Consider : = 2 + 1.
Find following as:
31
EG_EE 580
Dr. S.Ghazanshahi
1) = [] = [] [] = (0.75)(1) = 0.75
2) = [] = [ 2 2 + ] = [ 2 ] 2[][] + []
= 4 2(0.75) + 0.75 = 3.25
3) = = = 0
4) =
=0
7) = 0.441
2
= [ 2 ] 2 [] = (3.25)2
Or:
= 2 + 42 = 3.25
() = [ ] = ()
() = { ()}
Note:
1) (0) = ()
2) | ()| =
| () |
= () = 1
|()|| |
= () 1
32
EG_EE 580
Dr. S.Ghazanshahi
()|=0
() = () ( ) = () () convolution integral.
= () ( ) = () ()
By induction:
If:
= =1
() = 1 2
() = =1 ()
[] = =1 [ ]
2 = =1 2
Example:
=+
() =
0 <
() =
0
33
EG_EE 580
Dr. S.Ghazanshahi
() = () ( ) = 0 ()
= {
( ),
2
, =
Example:
Find the characteristic function of an exponentially distributed RV X, with parameter
given by:
() =
Answer:
1) () = 0 () = 0
= 0 () =
1 ()
= [
|=0
()2
] |=0 =
Random vector:
A random vector is a vector whose components are random variables:
= [1
or
1
2
=[ ]
() = 1 ,2 ,, [1 2 ] = [1 1 , , ]
() = 1 ,2,, [1 2 ] =
(1 ,2 ,, )
1
34
EG_EE 580
Dr. S.Ghazanshahi
General transformation:
Consider functions of random variables = [1
random vector as 1 = 1 ([1
] . Consider
]).
1 ()
1
()
= [ 2] = 2
[ ()]
Solve this system of equations to 1 ,
solution of 1
such as = 1 () then:
( ,2 ,, )
(1 , 2 , , ) = |( 1
1 ,2 ,, )|
Where:
1
: (1 , 2 , , ) = det
[ 1
Example:
Given:
1 = 1 (1 , 2 ) = 1 + 2
2 = 2 (1 , 2 ) =
and
1
1 +2
and
(1 , 2 ) = (1+2 ) 1 0 , 2 0.
Find (1 , 2 ).
( ,2 )
(1 , 2 ) = |(1
1 ,2 )|
(1 , 2 ) =
[ 1
2
1
1
2
]
2
2
= |[
(1 +2 )2
(1 +2 )2
]|
35
EG_EE 580
Dr. S.Ghazanshahi
1
(1 +2
)2
(1 , 2 ) =
1 +2
|(1 , 2 )| = | | =
2
)2
1
1 +2
1
1
1,2 (1 2 ,1 1 2 )
1
1
= 1 12+11 2 = 1 1
1 0 , 0 2 1
Limits:
= 1 2 0
,
{ 1
2 = 1 (1 2 ) 0,
1 0 2 0
1 2 0 2 1
= = [ ]
1
1 1 1 2 1
2
2 1 2 2 2
= [ ] [1 2 ] = [
]
1 2
[
]
11 12 1
22
= [ 21
]
1 2
Where = [ ] and = [ 2 ] 0
= = [( )( ) ] = [ ]
36
EG_EE 580
Dr. S.Ghazanshahi
11 = 12
=[
1
]
2
=
Where = [ ] =
= 2 = [ 2 ]
Note:
[]
are symmetric .
1
( ) 1 ()}
2
1
(2) 2 | |2
For = 2:
= [
21
1 2 1 2
1 2 1 2
] = 2
1
2
[
(12 )
22
22
12 1 2
1 2 1 2
21
37
EG_EE 580
Dr. S.Ghazanshahi
(1 , 2 ) =
1
21 2 1
{
2
(1 1 )2
[
2(12 )
2(1 1 )(2 2 )
1 2
(2 2 )2
2
]}
Note:
If = 0, then 1 and 2 are independent random variables.
(1 , 2 ) =
1
21 2 1 2
= 1 1 + +
1 = 1
11
=[
1
Then:
=
and
Example:
1 = 51 + 22 + 2
2 = 1 + 3 + 1
4
= [2
1
2 1
4 2]
2 4
5
= [1
2
2 0
0 1]
1 2
3 = 21 2 + 23
156 15 48
= = [15
6
0]
48
0
28
38
EG_EE 580
Dr. S.Ghazanshahi
Note:
2
1
= 156
2
2
=6
12 = 15
12 =
2
3
= 28
15
1566
(, )
( )
Example:
= 100
=1 and is uniformly distributed in interval [0,1], So;
[ ] =
2 =
1+0
2
(10)2
12
=
=
1
2
1
12
100 1
= 100
=1 = =1 = 50
2
2
2 = 100
=1 =
= (50,
100
12
25
3
Example:
Consider a fair coin tossed 1014 times. Find the probability that heads appears
between 4900 and 5000 times.
39
EG_EE 580
Dr. S.Ghazanshahi
(4900 5000) (, )
= [
104
2
50005000
= (
1
50
= (
2
, 104 ( )( )] = (5000,50)
100
) (
1
49005000
50
)
1
40