Random Variable Notes

# Random Variable Notes - The Random Variable The random...

This preview shows pages 1–3. Sign up to view the full content.

The Random Variable The random variable assigns each event in a sample space to a point or a union of intervals on the real line. In this way we can speak of probability distributions as functions of real variables rather than as functions on sets. The notion is entirely formal, and is intended to be natural, in that when a properly defined sample space involves Euclidean space, that use is carried through in defining the random variable. Thus we have some function X: S such that X(s) = x for some s S and x , when s is an event that can be discretely defined. In defining the random variable, we also must observe the notion of equivalence in the sense that if P[{s}] = b, then P[{X(s)}] = b also. Example: (Problem 2, p 174) Sample space S contains 5 letters: S = {a, b, c, d, e}. These letters are encoded via binary strings: a = 1, b = 01, c = 001, d = 0001 and e = 0000. Probabilities have been assigned to the sample space as follows: p(a) = ½, p(b) = ¼, p(c) = 1/8, and p(d) = p(e) = 1/16. We define a random variable Y to be equal to the length of the binary string. Then Y(a) = 1, Y(b) = 2, Y(c) = 3, and Y(d) = Y(e) = 4. We see that S Y = {1, 2, 3, 4}. Furthermore, we have the probability assignments: p(1) = ½, p(2) = ¼, p(3) = 1/8 and p(4) = 1/8. Example: (Problem 4, p 174 – 5.) The sample space is a circle of radius 1. The random variable assigns to each point in the circle its distance from the origin. Then S Y = {y ∇ 0 y < 1}. Consider the event A Y S Y where A Y = {y ∇ y < y 0 }. We want to find the equivalent subset A S. First, we note that S = {(a, b) 2 a 2 + b 2 < 1}. Then the requirement that Y(A) = A Y means that A = {(a, b) 2 a 2 + b 2 < y 0 }. Finally, we can give meaning to probabilities applied to either S or S Y if we make an assumption such as the random selection of points in the unit circle. Under such an assumption, we can relate the probability of an event space to the area of the region covered by the space compared to the area of the entire sample space. Since the area of the unit circle is π , the probability assigned to event space A Y is P[A Y ] = π y 0 2 / π = y 0 2 .

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
The Cumulative Distribution Function Once a random variable has been assigned to a sample space, giving us a subset of Euclidean space to deal with, we can construct a cumulative distribution function (cdf) considering the assignment of probabilities to sets such as A x = {X(s) X(s) x}. We define the cumulative distribution function F X : S X [0,1] by : F X (x) = P[{X(s) X(s) x}, - < x < . As we will see, this definition allows us to assign probabilities to intervals as well as to discrete real numbers. To be useful, the function must have the following properties. Indeed, any function that has these properties can be an cumulative distribution function.
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### Page1 / 38

Random Variable Notes - The Random Variable The random...

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online