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MODULE 2
RANDOM VARIABLE AND ITS DISTRIBUTION
LECTURE 9
Topics
2.4 TYPES OF RANDOM VARIABLES: DISCRETE,
CONTINUOUS AND ABSOLUTELY CONTINUOUS

2.4 TYPES OF RANDOM VARIABLES: DISCRETE,
CONTINUOUS AND ABSOLUTELY CONTINUOUS

Let be a r.v. defined on a probability space , , and let ,
1
,

be the
probability space induced by . Let

be the d.f. of . Then

will either be
continuous everywhere or it will have countable number of discontinuities. Moreover the
sum of sizes of jumps at the point of discontinuities of

will be either 1 or less than 1.

These properties can be used to classify a r.v. into three broad categories.
Definition 4.1
A random variable is said to be of discrete type if there exists a non-empty and
countable set

such that = =

> 0,

and

= =

= 1. The set

is called the support of

the discrete random variable .
Remark 4.1
If a r.v. is of discrete type then

= 1

= 0 and, consequently
= = 0,

, i. e. ,

= 0,

and

is continuous at
every point of

. Moreover,

= = > 0,

. It follows
that the support

of a discrete type r.v. is nothing but the set of discontinuity points

of the d.f.

. Moreover the sum of sizes of jumps at the point of discontinuities is

= =

= 1.
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Thus we have the following theorem.
Theorem 4.1
Let be a random variable with distribution function

and let

be the set of
discontinuity points of

. Then is of discrete type if, and only if,

= 1.
Definition 4.2
Let be a discrete type random variable with support

. The function

: ,
defined by,

=
= , if

0, otherwise

is called the probability mass function (p.m.f.) of .
Example 4.1
Let us consider a r.v. having the d.f. considered in Example 3.2 (iii). The set of
discontinuity points of is

= 0, 2, 3, 6, 12, 15 and

= 1.
Therefore the r.v. is of discrete type with support

= 0, 2, 3, 6, 12, 15 and
p.m.f.

=
, if

0, otherwise

=

1
8
, if 0, 2, 15
1
4
, if = 3
3
10
, if = 6
3
40
, if = 12
0, otherwise
.









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Figure 4.1. Plot of p.m.f.

()
Note that the p.m.f.

of a discrete type r.v. , having support

, satisfies the following

properties:
(i)

> 0,

and

= 0,

, (4.1)
(ii)

= 1. (4.2)
Moreover, for
1
,

(since

and

= 0)
=

.
This suggests that we can study probability space ,
1
,

, induced by a discrete type

r.v., through the study of its p.m.f.

. Also

,
and

= = =

, .
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Thus, given a p.m.f. of a discrete type of r.v., we can get its d.f. and vice-versa. In other
words, there is one-one correspondence between p.m.f.s and distribution functions of
discrete type random variables.
The following theorem establishes that any function : satisfying (4.1) and (4.2)
is p.m.f. of some discrete type random variable.
Theorem 4.2
Suppose that there exists a non-empty and countable set and a function :
satisfying: (i) > 0, ; (ii) = 0, , and (iii) ()

= 1. Then
there exists a discrete type random variable on some probability space ,
1
, such
that the p.m.f. of is .
Proof. Define the set function :
1
by
= ()

,
1
.
It is easy to verify that is a probability measure on
1
, i.e., ,
1
, is a probability
space. Define : by = , . Clearly is a r.v. on the probability space
,
1
, and it induces the same probability space ,
1
, . Clearly = =
, , and ()

= 1. Therefore the r.v. is of discrete type with support

and p.m.f..
Example 4.2
Consider a coin that, in any flip, ends up in head with probability
1
4
and in tail with
probability
3
4
. The coin is tossed repeatedly and independently until a total of two heads
have been observed. Let denote the number of flips required to achieve this. Then
= = 0, if 2, 3, 4, . For 2, ,3 ,4
= =
1
1

1
4

3
4

1
4

=
1
16

3
4

2
.
Moreover, =

=2
= 1. It follows that is a discrete type r.v. with support

= 2, 3, 4, and p.m.f.
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=
1
16

3
4

2
, if 2, 3, 4,
0, otherwise

.

Figure 4.2. Plot of p.m.f.

()
The d.f. of is

=
=
0, if < 2
1
16
1
3
4

=2
, if < +1, = 2, 3, 4,


=
0, if < 2
1
+3
4

3
4

1
, if < +1, = 2, 3, 4,


Example 4.3
A r.v. has the d.f.

0, if < 2
2
3
, if 2 < 5
76
6
, if 5 < 9
3
2
6+7
6
, if 9 < 14
16
2
16+19
16
, if 14 20
1, if > 20

,
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where .
(i) Find the value of constant ;
(ii) Show that the r.v. is of discrete type and find its support;
(iii) Find the p.m.f. of .
Solution. (i) Since

is right continuous, we have

20 =

(20+)
16
2
16 + 3 = 0
=
1
4
or =
3
4
. (4.3)
Also

is non-decreasing. Therefore

(5)

1
2
. (4.4)
On combining (4.3) and (4.4) we get = 1/4. Therefore

0, if < 2
2
3
, if 2 < 5
11
12
, if 5 < 9
91
96
, if 9 < 14
1, if 14

.
(ii) The set of discontinuity points of

is

= {2, 5, 9, 14}. Moreover

= 2 =

2 =
2
3
,
= 5 =

5 =
1
4
,
= 9 =

9 =
1
32
,
= 14 =

14

14 =
5
96
,
and

= = 2 + = 5 + = 9 + = 14
= 1.
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Therefore the r.v. is of discrete type with support

= {2, 5, 9, 14}.
(iii) Clearly the p.m.f. of is given by

= = =

2
3
, if = 2
1
4
, if = 5
1
32
, if = 9
5
96
, if = 14
0, otherwise

.

Example 4.4
A r.v. has the p.m.f.

2 12 +1
, if 1, 2, 3,
0, otherwise
,
where .
(i) Find the value of constant ;
(ii) For positive integers and , such that < , evaluate
< + 1, , < and < ;
(iii) Determine the d.f. of .
Solution.
(i) Let

be the support of so that

= :

> 0 and

1. Clearly, =1, 2, 3, and

c
2 12 +1
= 1

=1

lim

2 12 +1
= 1

=1

2
lim

1
2 1

1
2 +1

=1
= 1
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2
lim

1
2 1

1
2 +1

=1

=1

= 1

2
lim

1
1
2 +1
= 1
c = 2.
(ii) For positive integers and such that < , we have
< +1 =
=
2
2 12 +1

=1

=
1
2 1

1
2 +1

=1

= 1
1
2+1

=
2
2+1
,
= 1 <
= 1
21
21 +1

=
1
21
,
< = < <
=
2 1
2 1

21
2 1

=
2
2 121
,
and < = + 1 < +1
=
2
2 +12+1
.
(iii) Clearly, for < 1,

= 0. For < +1, = 1, 2, 3,

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= < +1 =
2
2 +1
. (using (ii))


Therefore,

=
0, if < 1
2
2 +1
, if < +1, = 1, 2, 3,

.