Probability Distribution

FKB 20302

PROBABILITY DISTRIBUTION

Mathematical Expectation

Experimental Method

Suppose a dice is thrown 60 times and the results obtained are recorded in the following
table.

Score, x 1 2 3 4 5 6
Frequency, f 8 12 10 9 11 10

To find the mean score, calculate the product of f and x for every value of x by using the
formula

x
fx
f
Score, x 1 2 3 4 5 6
Frequency, f 8 12 10 9 11 10
fx 8 24 30 36 55 60

Mean score,

8 24 30 36 55 60
x
60
213
3.55
60

Theoretical Method

The probability distribution for a discrete random variable, X, where X represents the
number on the top most face of a dice is as follows:

Score, X 1 2 3 4 5 6
P(X=x) 1 1 1 1 1 1
6 6 6 6 6 6

We can calculate the expected mean by multiplying each score with its corresponding
probabilities.

Expected mean,
1 1 1 1 1 1
1( ) 2( ) 3( ) 4( ) 5( ) 6( )
6 6 6 6 6 6
21
3 .5
6

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In statistical studies,
(a) an experimental method results in a frequency distribution and a value for the mean.
(b) a theoretical method results in a probability distribution and an expected value, which
is also known as the mathematical expectation.

Expected value of X is written in brief as E(X) and is given by

E( X ) xP( X x )

If a probability distribution for a random variable X is symmetrical about x = k, then the

expected value of X, E(X) = k. See the examples below.

Example 1 :

A discrete random variable X has the following probability distribution.

x 5 10 15 20
P(X=x) 0.2 0.3 0.3 0.2

Find E(X).

Solution:

Graph for this distribution is symmetrical about P(X=x)

0.3

0.2

0.1

1
x (10 15)
2
12.5
Therefore, E ( X ) 12.5
Check :
E ( X ) xP ( X x )
5(0.2) 10(0.3) 15(0.3) 20(0.2)
1 3 4.5 4 12.5

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Example 2 :

X is a discrete random variable with probability distribution given by

P(X = x) = k, x = 2, 4, 6
P(X = x) = 2kx, x = 1, 3, 5

Find (a) the value of k

(b) E(X)
(c) P[X > E(X)]

Solution :

(a ) P ( X x ) 2k k 6k k 10k k 21k
Since P ( X x ) 1, then 21k 1
1
k
21
(b) E ( X ) xP ( X x )
1(2k ) 2(k ) 3(6k ) 4(k ) 5(10k ) 6(k )
2k 2k 18k 4k 50k 6k
82k
1 82
82( )
21 21

82
(c ) P [ X E ( X )] P [ X ]
21
P ( X 4) P ( X 5) P ( X 6)
k 10k k
12k
12 4

21 7

Expectation Formula

If g(x) is a function of a discrete random variable X, then the expectation of g(X) is defined
as follows:
E[g ( x )] g( x )P( X x )
2
For the case where g(X) = X ,
E( X 2 ) x 2 P( X x )

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In this section, we have defined the expectation of any function g(x) of a random variable
X. By using the definition of E[g(X)], the following results can be obtained :

(a ) E (a ) a
(b) E (aX ) aE( X )
(c ) E (aX b) aE( X ) b, where a and b are cons tan ts.

In general, we can prove the above rules as shown below :

(a ) E (a ) a P ( X x )
a P ( X x ) a (1) a

(b) E (ax ) ax P ( X x )
a x P ( X x ) a E ( X )

(c ) E (aX b ) (ax b ) P ( X x )
ax P ( X x ) b P ( X x )
a x P ( X x ) b P ( X x )
a E( X ) b

Mean and Variance of a Discrete Random Variable

We know that E( X ) x P( X x ) and P( X x ) 1.

Hence, E(X) can also be written as E ( X )

x P( X x )
P( X x )
That is, E(X) = mean X

For a discrete random variable X where E(X) = ,

variance of X is written as Var(X) and is defined as Var ( X ) E( X )2

Therefore, for a discrete random variable X, Var ( X ) ( X ) 2

P( X x ) .

This formula involves the term ( x ) 2 and because of this, the calculation of variance
becomes complicated. To overcome this problem, we write the above formula in a
different form to simplify the calculation of the variance as shown next.

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Var ( X ) ( x ) 2 P ( X x )
( x 2 2x 2 )P ( X x )
x 2 P ( X x ) 2 xP ( X x ) 2 P ( X x )
x 2 P ( X x ) 2 2 2
x 2P( X x ) 2

Example 3 :

A discrete random variable X has the following probability distribution.

x 0 1 2 3 4
P(X=x) 0.30 0.15 0.10 0.15 0.30

Find the (a) expected value of X

(b) variance of X.

Solution:

(a ) E( X ) x P( X x )
0(0.30) 1(0.15) 2(0.10) 3(0.15) 4(0.30)
2
Hence exp ected value of X 2.
(b ) E( X 2 ) x 2P( X x )
0(0.30) 1(0.15) 4(0.10) 9(0.15) 16(0.30)
6 .7
Var ( X ) E ( X 2 ) [E ( X )] 2
6 .7 2 2
2 .7
Hence, var iance of X 2.7.

Variance Formula

If X is a random variable, then aX and aX + b are also random variables with

corresponding probabilities. We can find the variance for each new random variable in
terms of the variance of the original random variable.

If X is a random variable and a, b are constants, then

(a) Var (a) = 0
(b) Var (aX) = a2 Var (X)
(c) Var (aX + b) = a2 Var (X)

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In general, we can prove these results as follows:

(a ) Var (a ) E (a 2 ) [E (a )] 2
a2 a2 0
(b ) Var (aX ) E (aX ) 2 [E (aX )] 2
E (a 2 X 2 ) [aE ( X )] 2
a 2 E ( X 2 ) a 2 [E ( X )] 2
a 2 {E ( X 2 ) [E ( X )] 2 }
a 2Var ( X )
(c ) This result can b e deduced from the ab ove two results, (a ) and (b )
Var (aX b ) E [( aX b ) 2 ] [E (aX b )] 2
E (a 2 X 2 2ab X b 2 ) [E (aX ) b] 2
E (a 2 X 2 ) 2ab E( X ) b 2 {[E (aX )] 2 2b E(aX ) b 2 }
E (a 2 X 2 ) 2ab E( X ) b 2 {a 2 [E ( X )] 2 2ab E( X ) b 2 }
a 2 E ( X 2 ) a 2 [E ( X )] 2
a 2 {E ( X 2 ) [E ( X )] 2 }
a 2Var ( X )

Example 4 :

A discrete random variable X has the following probability distribution:

x -3 -2 -1 0 1 2
P(X=x) 0.1 0.2 0.1 0.3 0.2 0.1

Find (a) Var (X) (b) Var (7X)

(c) Var (3X + 2) (d) Var (3 X)

Solution:

(a ) E( X ) x P( X x )
( 3)(0.1) ( 2)(0.2) ( 1)(0.1) 0(0.3) 1(0.2) 2(0.1)
0.3 0.4 0.1 0.2 0.2
0.4

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E( X 2 ) x 2P( X x )
9(0.1) 4(0.2) 1(0.1) 0(0.3) 1(0.2) 4(0.1)
0 .9 0 .8 0 .1 0 .2 0 .4
2 .4
Var ( X ) E ( X 2 ) [E ( X )] 2
2.4 ( 0.4) 2
2.4 0.16
2.24

(b ) Var (7 X ) 7 2 Var ( X )
49(2.24)
109.76

(c ) Var (3 X 2) 3 2 Var ( X )
9(2.24)
20.16

(d ) Var (3 X ) Var [3 ( X )]
( 1) 2 Var ( X )
Var ( X ) 2.24

Mean and Variance for Continuous Random Variables

Let X be a continuous random variable with probability density function f(x).

Then the mean of X is given by

X x f ( x ) dx

The mean of X is sometimes called the expectation, or expected value, of X and may also
be denoted by E(X) or by .

Let X be a continuous random variable with probability density function f(x). Then
2

x X f ( x ) dx

The variance of X is given by X2

An alternate formula for the variance is given by X2
x 2 f ( x ) dx X2
The variance of X may also be denoted by V(X) or by . 2

The standard deviation is the square root of the variance: X X2

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Linear Functions of Random Variables

Suppose X and Y are two discrete random variables which are independent with the
following probability distributions.

(a) (b)
x 1 2 3 y -1 0 1
P(X=x) 0.2 0.3 0.5 P(Y=y) 0.3 0.4 0.3

We can calculate E(X), E(Y), Var(X) and Var(Y) as follows.

E( X ) x P( X x )
1(0.2) 2(0.3) 3(0.5)
0 .2 0 .6 1 .5 2 .3
E( X 2 ) x 2P( X x )
1(0.2) 4(0.3) 9(0.5)
0 . 2 1 .2 4 . 5 5 .9
Var ( X ) E ( X 2 ) [E ( X )] 2
5.9 (2.3) 2 0.61

Note that the distribution of Y is symmetrical.

Hence, E (Y ) 0.
E (Y 2 ) 1(0.3) 0(0.4) 1(0.3)
0 . 3 0 0 .3 0 .6
Var (Y ) E (Y 2 ) [E (Y )] 2
0 .6 0 0 .6

The random variable X + Y can take values 0, 1, 2, 3 and 4. We can find the probability
distribution for X + Y.

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P ( X Y 0) P ( X 1) P (Y 1)
(0.2)(0.3) 0.06
P ( X Y 1) P ( X 1) P (Y 0) P ( X 2) P (Y 1)
(0.2)(0.4) (0.3)(0.3) 0.08 0.09 0.17
P ( X Y 2) P ( X 1) P ( y 1) P ( X 2) P (Y 0) P ( X 3) P (Y 1)
(0.2)(0.3) (0.3)(0.4) (0.5)(0.3)
0.06 0.12 0.15 0.33
P ( X Y 3) P ( X 2) P (Y 1) P ( X 3) P (Y 0)
(0.3)(0.3) (0.5)(0.4) 0.09 0.20 0.29
P ( X Y 4) P ( X 3) P (Y 1)
(0.5)(0.3) 0.15

The probability distribution for Z = X + Y is given below.

z 0 1 2 3 4
P(Z = z) 0.06 0.17 0.33 0.29 0.15

E (Z ) 0(0.06) 1(0.17) 2(0.33) 3(0.29) 4(0.15)

0 0.17 0.66 0.87 0.60 2.30
E ( X ) E (Y ) 2.3 0
2 .3
Hence, E (Z ) E ( X Y ) E ( X ) E (Y )
E (Z 2 ) 0(0.06) 1(0.17) 4(0.33) 9(0.29) 16(0.15)
0 0.17 1.32 2.61 2.40 6.50
Var (Z ) E (Z 2 ) [E (Z )] 2
6.50 (2.3) 2 1.21

Var ( X ) Var (Y ) 0.61 0.60 1.21

Hence, Var (Z ) Var ( X Y )
Var ( X ) Var (Y )

In general, if X and Y are random variables and a, b are constants, then

E(aX + bY) = a E(X) + b E(Y).

If X and Y are independent, then

Var(aX + bY) = a2 Var(X) + b2 Var(Y).

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When a = 1, b = -1, we obtain the following results.

E(X Y) = E(X) E(Y)

Var(X Y) = Var(X) + Var(Y)

Consider n independent observations, X1, X2, ,Xn from the same distribution as X.

E ( X 1 X 2 ... X n ) E ( X 1 ) E ( X 2 ) ... E ( X n )
E ( X ) E ( X ) ... E ( X )
nE ( X )
n
i .e. E ( X i ) nE ( X )
i 1

Var ( X 1 X 2 ... X n ) Var ( X 1 ) Var ( X 2 ) ... Var ( X n )

Var ( X ) Var ( X ) ... Var ( X )
nVar ( X )
n
i .e. Var ( X i ) nVar ( X )
i 1

Example 5 :

A discrete random variable X has the following probability distribution.

x 2 4 6 8
P(X = x) 0.2 0.3 0.4 0.1

Two independent observations X1 and X2 are taken from the distribution of X. Find

(a) E(X1 + X2) and Var(X1 + X2)

(b) E(2X) and Var(2X)

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Solution :

(a ) E( X ) x P( X x )
2(0.2) 4(0.3) 6(0.4) 8(0.1)
0 .4 1 .2 2 . 4 0 .8 4 .8
E ( X 1 X 2 ) 2E ( X ) 2( 4.8) 9.6
E( X 2 ) x 2P( X x )
4(0.2) 16(0.3) 36(0.4) 64(0.1)
0.8 4.8 14.4 6.4 26.4
Var ( X ) E ( X 2 ) [E ( X )] 2
26.4 ( 4.8) 2
26.4 23.04 3.36
Var ( X 1 X 2 ) 2Var ( X )
2(3.36) 6.72

(b) E (2 X ) 2E ( X )
2( 4.8) 9.6
Var (2 X ) 2 2 Var ( X )
4(3.36) 13.44

Note: The distribution of X1 + X2 and the distribution of 2X has the same mean but
different variance, that is :
E(X1 + X2) = E(2X)
Var(X1 + X2) < Var(2X).

If X1,...,Xn is a simple random sample from a population with mean and variance 2 ,

2
then the sample mean X is a random variable with X and X2 . The standard
n

deviation of X is X .
n

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