Lesson 3 Theory

Lesson 3.
Random variables Statistics I ~1~

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LESSON 3. RANDOM VARIABLES
3.1. ONE-DIMENSIONAL RANDOM VARIABLES
3.1.1. Definition
The outcomes in the sample space generated from a random experiment can be
qualitative or quantitative:
Example of qualitative outcomes: tossing a coin (heads or tails).

Example of quantitative outcomes: throwing dice (1, 2, 3, 4, 5, 6).
The quantification of qualitative outcomes from a sample space can be useful and,
by means of numerical measures, we may study the random behaviour.
The random variable concept provides us with a means for relating any outcome
to a quantitative measure. The random variable is a function that assigns a numerical
value to each elementary event in the sample space.
A random variable is a function X determined by the application
X :
that associates a real number with each elementary event.
Two possibilities:
a) When having numerical outcomes from the experiment, the potential values for
the variable can be the same than those for the experiment,
b) But, when having qualitative outcomes from the experiment, it will be necessary to
assign real values, that is, arbitrarily chosen values.
The random variable induces a probability in the real numbers.
Property of the random variable
A real function of one or more random variables is also a random variable.
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Degree in Economics / Estefana Mourelle Espasandn 2016/2017
Lesson 3. Random variables Statistics I ~2~
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The random variable (associated to a random experiment) is said to be defined or a

probability distribution model is said to be built when the possible values for the variable
with their respective probabilities have been specified.
CUMULATIVE PROBABILITY DISTRIBUTION
Let X : be a random variable. The cumulative probability distribution
of X is a function F that assigns, to each real number x, the probability that the
variable takes on values less than or equal to that number. That is,
F(x) = P(X x) = P[X (-; x]], x
In order to know the behaviour of a random experiment, it is essential to know

how the probability is spread among the possible values for variable X from that
experiment.
Properties of cumulative probability distributions
1. 0 F(x) 1, x
2. lim F x 1
x
3. lim F x 0
x
4. F is a non-decreasing monotonic function [x1 < x2 F(x1) F(x2)]
5. P(x1 < X x2) = F(x2) - F(x1)
Particular case: P(X > x) = 1 - F(x)
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3.1.2. Discrete random variables: probability distribution function and

cumulative probability distribution
A random variable is a discrete random variable if it can take on only a

countable (finite or countable infinite) number of values, among which the whole
probability is spread.
Probability distribution function (or probability function)
Let X be a discrete random variable taking on values xi (i=1,..., n) with probabilities

pi = P(X=xi). The function that assigns to each value xi its probability pi is called
probability distribution function, probability function or probability mass function
of a variable X:
P(X=xi) = pi
Probability function
Properties of the probability functions
1. 0 P(xi) 1, xi
2. P X x p
i 1
i
i 1
i 1
k n
3. P(xk X xk+n)= p
i k
i pk pk n
In the same manner, the distribution of a variable can be characterized with the
cumulative probability distribution, F(xi):
F(xi) = P (X xi) = P X x
x j xi
j Cumulative probability distribution
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This expression reflects the relationship between the probability function and the
cumulative probability distribution.
The cumulative probability distribution shows jump discontinuities in points xi

(where there exists probability) of magnitude pi, in that point, and it is constant in the
intervals between jump points. Therefore, F(x) is a step function.
Conclusion: a discrete random variable is defined when the set of possible values it
can take on and their respective probabilities are determined [through F(xi) or
P(X=xi)].
3.1.3. Continuous random variables: density functions and cumulative

probability distribution
A random variable is a continuous random variable if it can take on a non-

countable infinite number of values; that is, it can take any value in an interval.
Continuous random variables do not have probability mass in the points:
P(X=x) = 0, x
,
so that in this framework we talk about probability in an infinitesimal framework,

P(x < X x +x), x 0.
Probability density function
The probability density function of the random variable, f x , is the derivative
of the cumulative probability distribution:
F x x F x
lim F x f x
x 0 x
Remember:
Discrete r.v. probability function; continuous r.v. density function

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Therefore, the cumulative probability distribution is obtained in the following way:
f x dx
a
F(a) = P (X a) = P(x < X x+dx) =

All infinitesimal
intervals on the
left of a
The density function and the cumulative probability distribution are two different
manners of getting the probability of an event.
Properties of the density functions
1. Conditions a function f x must fulfill in order to be a density function of a

continuous random variable:
i. f x 0, x

ii. The total area under the function f x is equal to one: f x dx 1 .

f x dx .
b
2. P (a < X < b) = P (a X < b) = P (a < X b) = P (a X b) = F(b) F(a) = a
Thus, if we have a continuous variable, the probability associated to an interval will

be the same, independently of having an open, closed or mixed interval. However, this
statement is not true with a discrete variable, when points X=a and X=b have a non-
null associated probability.
Conclusion: a continuous random variable is defined when the interval of values

characterizing it and its cumulative probability distribution or its density function are
determined.
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3.1.4. Properties of one-dimensional random variables
In Descriptive Statistics we defined several measures for describing different

characteristics of the population where the data come from. The formulas and
parameters explained in Descriptive Statistics can be adapted to mathematic calculus
and its use in Probability Calculus; only a change of mind is necessary.
Despite the mentioned similarities, calculations in Descriptive Statistics do refer to
sample values (if we study certain population, each potential sample might have
different features, normally quite similar, but not the same) but in Probability Calculus
we deal with populations and their values. It is also true that population features are
quite frequently unknown, so that we have to work with estimations that come from
samples.
Focusing on that difference between sample and population, we appreciate that
between both types of parameters there is a relationship that is very similar to the one
between relative frequency and probability following the frequency approach; the
greater the size of the sample we use for calculations, the closer the values of the
parameters (and closer to the limit represented by the population parameter).
Moments: expected value and variance
Moments with respect to the origin
The moments of a r.v. X are the expected values of certain functions of X.
Let consider g(X)=Xr. The moment with respect to the origin of order r, r,
of the random variable X is

r E X r
Its expression, according to the type of random variable, is given by:
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x
xi
r
i P X xi X discrete r.v.

r E X r

x r f x dx X continuous r.v.

Property
If there exists the moment with respect to the origin of order r (r), then all the
moments with respect to the origin of order s (s), with s < r, exist.
Moments with respect to the mean
Let consider g(X)=(X-)r, where =E(x). The moment with respect to the
mean of order r, r, of the random variable X is defined as
r E X r
Its expression, according to the type of random variable, will be:
x
xi
i r P X xi X discrete r.v.
r E X r

x f x dx
r
X continuous r.v.

Property
If there exists the moment with respect to the mean of order r (r), then all the
moments with respect to the mean of order s (s), with s < r, exist.
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This property comes from the following theorem:
Moments with respect to the mean can be calculated, if they exist, as a function of
moments with respect to the origin.
Moments with respect to the mean Moments with respect to the origin
2 E( X )2 2 12
3 E( X ) 3 3 31 2 213
4 E( X )4 4 41 3 612 2 314
EXPECTED VALUE
The expected value or mathematical expectation of g(X), function of the

random variable X, is defined as
g x P X x
xi
i i X discrete r.v.
E g X

g x f x dx

X continuous r.v.
Expected value of X
If g(X)=X, the expected value or mathematical expectation of X would be
x i P X xi X discrete r.v.
xi
E X

x f x dx X continuous r.v.

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These expressions correspond with the definition of a random variable X mean,

so that in this case we would indistinctly talk about expected value, mathematical
expectation or mean of variable X.
Properties of the expected value
1st) The mathematical expectation of a constant equals the actual constant
E c c , c constant
2nd) A change of origin in r.v. X affects its expected value
E X c E X c , c constant
3rd) A change of scale in r.v. X affects its expected value
Ec X c E X , c constant
From properties 2 and 3, it is concluded that the mathematical expectation of a linear

combination of random variable X is given by:
Ea b X a b E X
4th) The mathematical expectation of the values deviations with respect to the mean of
the random variable equals zero
E X 0
Measures of position
These measures show the location or the values around which the variable is set. They
can be grouped into:
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Lesson 3. Random variables Statistics I ~ 10 ~
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i) Central position measures
a) Mean, expected value or mathematical expectation ()
1 E X
1 E X
b) Median (Me)
1 E X
Value of the random variable X that simultaneously satisfies
P(X Me) = P(X Me) = 0.5
c) Mode (Mo)
P X Mo max P X xi , discrete case

xi
Value of the r.v. X that satisfies:
f Mo max f x , continuous case

x
ii) Non-central position measures: quantiles
These measures are based on the mean.
Quantiles are values from the distribution that divide it into equal parts. The most
common types of quantiles are:
- Quartiles: these are three values that divide the distribution into four equiprobable parts.
- Deciles: these are nine values that divide the distribution into ten equiprobable parts.
- Percentiles: these are ninety nine values that divide the distribution into a hundred
equiprobable parts.
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Measures of dispersion
These measures show the degree of variability of the values from a random
variable with respect to the mean value considered as the representative one for the
distribution. The main measures are the variance and the standard deviation.
VARIANCE
Let consider g(X)=(X-)2. The variance is defined as the moment with respect
to the mean of order 2 and it is denoted by Var(X), V(X) or 2:
x
xi
i 2 P X xi X discrete r.v.
Var X 2 2 E X 2

x f x dx
2
X continuous r.v.

Properties of the variance
1st) The variance cannot be negative
2nd) A change of origin in r.v. X does not affect its variance
Var X c Var X , c constant
3rd) A change of scale in r.v. X affects its variance
Var cX c 2 Var X , c constant
From properties 2 and 3, the variance of a linear combination of the r.v. X can be
determined as follows:
Var a b X b 2 Var X
4th) An abbreviated way of calculation for the variance of X is given by the expression
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Var X 2 2 12 2 2
5th) The variance of the sum of independent random variables equals the sum of
variances.
General case:
Var(X+Y)= Var(X) + Var(Y) + 2cov (X,Y)
Var(X- Y)= Var(X) + Var(Y) - 2cov (X,Y)
Were the variables independent cov (X,Y)=0, so that
Var (X+Y)= Var(X) + Var(Y)

Var (X- Y)= Var(X) + Var(Y)
STANDARD DEVIATION
It is the variances square root with positive sign and it is denoted by :
2 E X 2
Properties of the standard deviation
1st) The standard deviation cannot be negative (by definition)
2nd) A change of origin in r.v. X does not affect its standard deviation
X c X , c constant
3rd) A change of scale in r.v. X affects its standard deviation
cX c X , c constant
4th)
2 12 2 2
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STANDARDIZATION OF A RANDOM VARIABLE
The standardization is a procedure employed to homogenize variables which have

different mean and different variance, so as to make comparisons between them.
From r.v. X ~ D (,2), we obtain the standardized random variable Z by

applying the following linear transformation:
X
Z

Z is a dimensionless r.v. that has zero mean and unit variance.
3.1.5. Markovs theorem. Tchebychevs inequality
Let X be a random variable and g(X) a function of that variable, so that g(x) 0,
x. Then, for any constant c > 0 it is fulfilled:
E g X
Pg X c
c
E g X
In the same manner, Pg X c 1 .
c
Tchebychevs inequality
It is a particular case of Markovs theorem for g(X) = (X-)2 and c = k2 2 the

following expression is obtained:
P X k
1
k2
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P X k 1
1
In the same manner, we have: .
k2
Tchebychevs inequality allows us for setting probability maximums and minimums

for intervals of the type [ k] (or of their complements) although the probability
distribution of X is not known.
By means of Tchebychevs inequality, we can approximately calculate the

probability in an interval, only having and .
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3.2. TWO-DIMENSIONAL RANDOM VARIABLES
3.2.1. Introduction: relationship between variables
In a two-dimensional framework we have two one-dimension random variables and

we may be interested in studying their potential relationships (dependence); for doing
this, we need to define a two-dimensional random variable (X,Y).
The two-dimensional random variable on a sample space is defined as a function (X,Y),
X , Y : 2
that associates each elementary event with a pair of real numbers.
3.2.2. Cumulative probability distributions
The joint cumulative probability distribution F(x,y) for the random variable
(X,Y) is an appliccation 2 [0,1] defined as follows:
F(x,y) = P (X x; Y y), (x,y) 2
Properties
1. 0 F(x,y) 1, (x,y) 2
2. F(-,y) = P (X < -; Y y) = 0
x, y
F(x,-) = P (X x; Y < -) = 0
3. F(,) = P (X <; Y<) = 1
4. F is a non-decreasing monotonic function
x1 < x2 F(x1,y) F(x2, y), y y1 < y2 F(x,y1) F(x, y2), x
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Marginal cumulative probability distribution
Given certain two-dimensional random variable (X,Y), the marginal cumulative

probability distribution for X is given by
P(X x; Y <) = F(x,) = F1(x)
and the marginal cumulative probability distribution for Y is
P(X <; Y y) = F(, y) = F2(y)
F1(x) and F2(y) are one-dimension cumulative probability distributions that indicate
the behaviour of each variable regardless of the behaviour of the other variable.
Conditional cumulative probability distribution
Given certain two-dimensional random variable (X,Y), the cumulative probability

distribution for X conditional to Y=y is given by
F(x|y) = P (X x|Y = y)
(Analogous for Y).
This function reflects the behaviour of one of the variables when the other is
subject to certain condition.
3.2.3. Discrete two-dimensional random variables: probability functions
A two-dimensional random variable is discrete when its components are

discrete one-dimensional random variables when the whole probability is spread
among a finite number or countable infinite number of points with positive probability.
Joint probability function: definition

The joint probability function for the random variable (X,Y) has the following
expression:
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P(X=xi; Y=yj) = pij
Properties
1. 0 pij 1, i,j

2. p
i 1 j 1
ij 1
The joint cumulative probability distribution for a discrete random variable (X,Y)
is given by:
F(xi,yj) = P (X xi; Y yj) = P X x ; Y y

xr xi ys y j
r s
Conclusion: a discrete two-dimensional random variable is completely defined when

the set of potential values that it can take and their respective probabilities are
determined (by means of the joint cumulative probability distribution or the joint
probability function).
Marginal probability function
Let (X,Y) be a discrete random variable. The marginal probability function for X is
pi P X xi P X xi , Y y j
y j
The marginal probability function for Y is
p j P Y y j P X xi , Y y j .
xi
We obtain the marginal cumulative probability functions for (X,Y):
F1 xi PX x ;Y y ;
xr xi y j
r j P X xi ; Y y s
F2 y j
xi ys y j
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Conditional probability function
Be (X,Y) a discrete random variable: the conditional probability function for X, given
the value yj with PY(yj) > 0, is

P X xi , Y y j

P xi | y j P X xi | Y y j
P Y yj
The conditional probability function for Y, given the value xi with PX(xi) > 0, is

P X xi , Y y j

P y j | xi P Y y j | X xi P X xi
The expressions for the conditional cumulative probability distributions for (X,Y) are:
P X x , Y y r j

F xi | y j P X xi | Y y j x r xi

P Y yj
P X x , Y y i s

F y j | xi P Y y j | X xi ys y j
P X xi
3.2.4. Continuous two-dimensional random variable: density functions
A two-dimensional random variable is continuous if the one-dimensional

variables that integrate them are also continuous is that one that takes a
non-countable infinite number of values.
There is no punctual probability in this context,
P(X=x, Y=y) = 0, (x,y) 2
so that we talk about probability in an infinitesimal rectangle,
P(x < X x + x, y < Y y + y), x 0, y 0.

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Joint density function: definition
The joint density function, f x, y , for a random variable is the derivative with
to respect to X and Y of the joint cumulative probability distribution:
Px X x x, y Y y y 2 F x, y
lim f x, y
x 0, y 0 x y x y
The joint cumulative probability distribution is given by
x y
F(x,y) = P (X x, Y y) = f u, v du dv

Properties of the joint density function
1. Conditons a function f x, y must verify so as to be a joint density function of a
continuous random variable:
i. f x, y 0, (x,y) 2
ii. f x, y dx dy 1

f x, y dx dy
b d
2. P (a X b, c Y d) =
a c
Conclusion: a two-dimensional random variable is completely defined when we

determine the interval of values that are characterizing it, as well as its joint
cumulative probability distribution or its joint density function.
Marginal density function
Given a continuous variable (X,Y), the marginal density function for X is
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f1 x f x, y dy

and the marginal density function for Y is
f 2 y f x, y dx

.
From these functions we calculate the corresponding marginal cumulative

probability distributions, being the one for X

F1 x P X x, Y f u, v du dv f1 u du ,
x x

and the one for Y,

F2 y P X , Y y f u, v du dv f 2 v dv .
y y

Conditional density function
The expressions for the conditional density functions are:
f x, y
f x | y
For X f2 y (condition: y < Y < y+y)
f x, y
f y | x
For Y f1 x (condition: x < X < x+x)
The conditional cumulative probability distributions are given by:
F x | y lim P X x | y Y y y f u | y du
x
y 0
F y | x lim P Y y | x X x x f v | x dv
y
x0
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3.2.5. Independence of random variables
Sometimes, knowing in advance the behaviour of a random variable X does not

influence the behaviour of the other one, Y; in this case, X and Y are said to be
independent random variables.
Two random variables, X and Y, are independent if and only if:

- Discrete case: P X xi , Y y j P X xi P Y y j pi p j , xi, yj
- Continuous case: f x, y f1 x f 2 y
In an alternative way, we can prove the independence property by means of the

conditional probability, so that there is independence if and only if:
- Discrete case:
P X xi | Y y j P X xi ,
P Y y j | X x i P Y y j , x i , yj
- Continuous case: f x | y f1 x , f y | x f 2 y .
3.2.6. Characteristics of the two-dimensional random variables
JOINT TWO-DIMENSIONAL MOMENTS. COVARIANCE
The mathematical expectation or expected value for g(X,Y), function of the

two-dimensional random variable (X,Y), is defined as
g x , y PX x , Y y
xi y j
i j i j (X,Y) discrete r.v.
Eg X ,Y

g x, y f x, y dx dy (X,Y) continuous r.v.

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Particular cases of interest
1st) Two-dimensional moments with respect to the origin
The two-dimensional momento with respect to the origin of order (r,s),

rs, for the r.v. (X,Y) is obtained when g(X,Y)=Xr . Ys is considered:
x r
i
y sj P X xi , Y y j (X,Y) discrete r.v.
xi y j

rs E X r Y s

x r y s f x, y dx dy (X,Y) continuous r.v.

Property
If r=0 or s=0, the moments become marginal moments, that is, they can be
calculated from the corresponding marginal distributions of the variable.
2nd) Two-dimensional moments with respect to the mean
If g(X,Y)=[X-E(X)]r.[Y-E(Y)]s is considered, the two-dimensional moment with

respect to the mean of order (r,s), rs, for the random variable (X,Y) is defined as:
x y
xi y j
i X
r
j Y s P X xi , Y y j

rs E X X r Y Y s (X,Y) discrete r.v.

x y f x, y dx dy
r s
X Y

(X,Y) continuous r.v.
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Property
If r=0 or s=0, the moments become marginal moments, that is, they can be
calculated from the corresponding marginal distributions of the variable.
COVARIANCE (XY)
Covariance is the two-dimensional moment with respect to the mean of

order (1,1), 11:
x y
xi y j
i X j Y P X xi , Y y j
Cov X ,Y XY 11 (X,Y) discrete r.v.

x X y Y f x, y dx dy

(X,Y) continuous r.v.
The covariance measures the association between the values of X and Y.
Properties of the covariance
1st) A change of origin in the r.v. (X,Y) does not affect its covariance
Cov (X+a,Y+b) = Cov (X,Y) , a, b constant
2nd) A change of scale in the r.v. (X,Y) affects its covariance
Cov (a.X, b.Y) = a. b. Cov (X,Y) , a, b constant
Properties 2 and 3 determine the covariance for the linear combination of variables X and Y:
Cov (a.X+c, b.Y+d)= a. b. Cov (X,Y)

, a, b constant
3rd) Abbreviated formula for calculating the covariance:
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Cov X , Y XY 11 10 01
Interpretation of the sign of cov (X,Y)
The sign of the covariance of two rr.vv. reflects the direction of the linear relationship
that might exist between them:
Positive sign: positive relationship between X and Y
Zero: no linear relationship between X and Y

XY E X X Y Y

Negative sign: negative relationship between X and Y
GENERAL PROPERTIES FOR THE EXPECTATION AND THE VARIANCE
Be h1(X) and h2(Y) two functions of the rr.vv. X and Y, respectively.
1st) E [h1(X) + h2(Y)] = E [h1(X)] + E [h2(Y)]
E [h1(X) - h2(Y)] = E [h1(X)] - E [h2(Y)]
Particular case:
E (X + Y) = E(X) + E(Y)
E (X - Y) = E(X) - E(Y)
2nd) If X and Y are independent:
E [h1(X) . h2(Y)] = E [h1(X)] . E [h2(Y)]
Particular case:
E (X . Y) = E(X) . E(X|Y) , h1(X)=X, h2(Y)=Y
3rd) We had already seen the variance for the sum and for the difference of two
random variables,
Var (X + Y) = Var (X) + Var (Y) + 2 . Cov (X,Y)
Var (X - Y) = Var (X) + Var (Y) - 2 . Cov (X,Y)

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4th) If X and Y are statistically independent rr.vv., it is verified that cov

(X,Y)=0.
5th) If X and Y are statistically independent rr.v., we have that:
Var (X + Y) = Var (X) + Var (Y)
Var (X - Y) = Var (X) + Var (Y)
Important: Independent rr.v. null covariance
Null covariance independent rr.vv.
CONDITIONAL TWO-DIMENSIONAL MOMENTS
Given the random variable (X,Y), the mathematical expectation for the r.v. X
conditional to certain value for Y (Y=y) is defined as:
x P X x | Y y
xi
i i (X,Y) discrete r.v.
E X | Y y

x f x | Y y dx (X,Y) continuous r.v.

The conditional expectation indicates which is the expected value for a variable given
the value for the other variable.
Property
If the variables X and Y are statistically independent it is satisfied that:
E X | Y y E X E Y | X x E Y
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Lesson 3.

Random variables Statistics I ~1~

LESSON 3. RANDOM VARIABLES

3.1. ONE-DIMENSIONAL RANDOM VARIABLES

Example of qualitative outcomes: tossing a coin (heads or tails).

A random variable is a function X determined by the application

that associates a real number with each elementary event.

The random variable induces a probability in the real numbers.

Property of the random variable

A real function of one or more random variables is also a random variable.

The random variable (associated to a random experiment) is said to be defined or a

CUMULATIVE PROBABILITY DISTRIBUTION

Let X : be a random variable. The cumulative probability distribution

F(x) = P(X x) = P[X (-; x]], x

In order to know the behaviour of a random experiment, it is essential to know

Properties of cumulative probability distributions

4. F is a non-decreasing monotonic function [x1 < x2 F(x1) F(x2)]

5. P(x1 < X x2) = F(x2) - F(x1)

Particular case: P(X > x) = 1 - F(x)

3.1.2. Discrete random variables: probability distribution function and

A random variable is a discrete random variable if it can take on only a

Probability distribution function (or probability function)

Let X be a discrete random variable taking on values xi (i=1,..., n) with probabilities

Properties of the probability functions

The cumulative probability distribution shows jump discontinuities in points xi

3.1.3. Continuous random variables: density functions and cumulative

A random variable is a continuous random variable if it can take on a non-

Continuous random variables do not have probability mass in the points:

so that in this framework we talk about probability in an infinitesimal framework,

Probability density function

The probability density function of the random variable, f x , is the derivative

of the cumulative probability distribution:

Discrete r.v. probability function; continuous r.v. density function

Therefore, the cumulative probability distribution is obtained in the following way:

Properties of the density functions

1. Conditions a function f x must fulfill in order to be a density function of a

Thus, if we have a continuous variable, the probability associated to an interval will

Conclusion: a continuous random variable is defined when the interval of values

3.1.4. Properties of one-dimensional random variables

In Descriptive Statistics we defined several measures for describing different

Moments: expected value and variance

Moments with respect to the origin

The moments of a r.v. X are the expected values of certain functions of X.

Its expression, according to the type of random variable, is given by:

Moments with respect to the mean

Its expression, according to the type of random variable, will be:

This property comes from the following theorem:

The expected value or mathematical expectation of g(X), function of the

If g(X)=X, the expected value or mathematical expectation of X would be

These expressions correspond with the definition of a random variable X mean,

Properties of the expected value

1st) The mathematical expectation of a constant equals the actual constant

2nd) A change of origin in r.v. X affects its expected value

3rd) A change of scale in r.v. X affects its expected value

From properties 2 and 3, it is concluded that the mathematical expectation of a linear

i) Central position measures

a) Mean, expected value or mathematical expectation ()

P(X Me) = P(X Me) = 0.5

P X Mo max P X xi , discrete case

Value of the r.v. X that satisfies:

f Mo max f x , continuous case

ii) Non-central position measures: quantiles

These measures are based on the mean.

Properties of the variance