The outcome of a random experiment is denoted by
ωω. The sample space
ΩΩ is the set of all possible
outcomes of a random experiment.
Random variable is the assignment of a real number to each
outcome of a random experiment.
Roll a dice. Outcomes
ω
1
ω
2
ω
3
ω
4
ω
5
ω
6
ω
1
ω
2
ω
3
ω
4
ω
5
ω
6
ω
i
=i
ω
i
i
dots on the face of the dice.
X
ω
i
=i
X
ω
i
i
PrX=i=Prω∈Ω|X
ω
i
=i
X
i
X
ω
i
i
ω
Ω
Probability assignments on intervals
Pra<X≤b
a
X
b
- Definition 1:
Cumulative distribution
The cumulative distribution function of a random variable X
is a function
F
X
F
X
such that
ℝ→ℝ
→
ℝ
ℝ
such that
F
X
b=PrX≤b=Prω∈Ω|Xω≤b
F
X
b
X
b
X
ω
b
ω
Ω
(1)
- Definition 2:
Continuous Random Variable
A random variable
XX is
continuous if
F
X
b=∫-∞bfXxdx
F
X
b
x
b
f
X
x
(2)
and
fXx
f
X
x
is the probability density function (pdr) (
e.g.,
F
X
x
F
X
x
is differentiable and
fXx=ddx
F
X
x
f
X
x
x
F
X
x
)
- Definition 3:
Discrete Random Variable
A random variable
XX is
discrete if it only takes at most countably many points
(
i.e.,
F
X
F
X
is piecewise constant). The probability mass function (pmf)
is defined as
pX
x
k
=PrX=
x
k
=
F
X
x
k
-limx→
x
k
∧x<
x
k
F
X
x
p
X
x
k
X
x
k
F
X
x
k
x
x
x
k
x
x
k
F
X
x
(3)
Two random variables defined on an experiment have joint
distribution
F
X
Y
ab=PrX≤aY≤b=Prω∈Ω|Xω≤a∧Yω≤b
F
X
Y
a
b
X
a
Y
b
X
ω
a
Y
ω
b
ω
Ω
(4)
Joint pdf can be obtained if they are jointly continuous.
F
X
Y
ab=∫-∞b∫-∞afXYxydxdy
F
X
Y
a
b
y
b
x
a
f
X
Y
x
y
(5)
(
e.g.,
fXYxy=∂2∂x∂y
F
X
Y
xy
f
X
Y
x
y
x
y
F
X
Y
x
y
)
joint pmf if they are jointly discrete
pXY
x
k
y
l
=PrX=
x
k
Y=
y
l
p
X
Y
x
k
y
l
X
x
k
Y
y
l
(6)
Conditional density function
f
Y
|
X
y
|
x
=fXYxyfXx
f
Y
|
X
y
|
x
f
X
Y
x
y
f
X
x
(7)
for all
xx and with
fXx>0
f
X
x
0