UNIT-I

Definitions:

1. Random Experiment:

A random experiment is an experiment whose outcome or result is not unique and therefore
cannot be predicted with certainty.

Ex: In tossing a coin, one is not sure whether a head or tail will occur.

2. Outcome:

The result of a random experiment is called an outcome.

Ex: when a die is thrown, getting an even or odd number is an outcome.

3. Sample space:

The set of all possible outcomes of an experiment is called a sample space.

Ex: when a die is thrown, sample space is S = {1,2,3,4,5,6}.

4. Mutually Exclusive events:

Events are said to be mutually exclusive if the happening of any one of them does not
influence the happening of all others.

5. Conditional probability:

If A and B are two events in a sample space S and P( A)≠ 0, then the probability of B, after
the event A has occurred, is called the conditional probability of the event of B given A and is

denoted by P ( BA )
And define P ( )=
B P( A ∩ B)
A P( A)

Addition Theorem of Probability:

Theorem:- If A and B are any events in S,

then P ( A ∪ B )=P ( A ) + P ( B ) −P ( A ∩ B )

Proof:
c c
A=( A ∩ B )∪ (A ∩B) and B=(A ∩ B) ∪( A ∩ B)

Note that( A ∩ Bc ) , ( A c ∩ B ) ∧( A ∩ B)are mutually exclusive.

Applying Axiom-(3)

We have

P ( A )=P [ ( A ∩ Bc ) ∪ ( A ∩ B ) ]
P( A)=P ( A ∩ Bc ) + P ( A ∩B )……………..(1)

P ( B )=P[ ( Ac ∩B ) ∪ ( A ∩ B ) ]

P(B)=P ( A c ∩B ) + P ( A ∩ B ) ……………..(2)
Adding equations (1) and (2)

P ( A ) + P ( B )=P ( A ∩B c ) + P ( A ∩ B ) + P ( Ac ∩B ) + P ( A ∩ B ) ¿ ……(3)

From the figure A ∪ B=( A ∩B c )∪( A ∩ B)∪ ( A c ∩ B )

Then P [ A ∪ B ]=P ( A ∩ Bc ) + P ( A ∩B )+ P ( A c ∩ B )……(4)

Sub equation (4) in (3)

P ( A ) + P ( B )=P ( A ∪ B ) + P ( A ∩ B )
P ( A ∪ B )=P ( A ) + P ( B ) −P ( A ∩ B )

Multiplication Theorem of Probability:

St: In a random experiment if A ,B are two events such that P( A)≠ 0 and P(B)≠ 0 then

P ( A ∩B )=P ( A ) . P ( BA )
P ( B ∩ A )=P ( B ) . P ( )
A
B
NOTE: if A and B are independent events then

P ( BA )=P(B) and P ( BA )=P( A)

PROBLEMS:

1. A card is drawn at random from a Well shuffled deck of 52 cards. Find the probability of
getting a spade or a king ?

Sol: Let S is the sample space. n(S) = 52

Let A denote the event of getting a spade

Let B denote the event of getting a king

13 4
P ( A )= , P ( B )=
52 52
A ∩ B=¿ the event of getting a spade and king
1
P( A ∩ B)=
52
probability of getting a spade or a king = P [ A ∪ B ]

P ( A ∪ B )=P ( A ) + P ( B ) −P ( A ∩ B )
13 4 1
¿ + −
52 52 52
4
¿
13
2. Three students A,B and C are in running race. A and B have the same probability of
winning and each is twice as likely to win as C. Find the probability that B or C wins.
Sol: Let S is the sample space.
Given that P ( A )=P(B)
and P ( A )=2 P(C )…………..(1)
We have
P ( A ) + P ( B )+ P ( C )=1
⇒ 2 P ( C ) +2 P ( C ) + P ( C )=1
1 2 2
⇒ P ( C )= , P ( A )= and P ( B )=
5 5 5
Probability that B or C wins ¿ P(B ∪C)
¿ P ( B )+ P ( C )−P ( B ∩C )
2 1
¿ + −0
5 5
3
¿
5

3. From a city 3 news papers A,B and C are being published. A is read by 20%, B is read by
16%, C is read by 14%, both A and B are read by 8%, both A and C are read by 5%, both
B and C are read by 4% and all three A, B, C are read by 2%.
Sol: Give that
20 16 14
P ( A )= , P ( B )= , P (C)=
100 100 100
And
8 5 4
P ( A ∩B )= , P ( A ∩C ) = , P ( B ∩C )=
100 100 100
2
P ( A ∩B ∩C )=
100
P ( A ∪ B ∪C )=P ( A ) + P ( B )+ P ( C )−P ( A ∩ B )−P ( B ∩C )
−P ( A ∩C )+ P ( A ∩ B ∩C )
20 16 14 8 4 5 2
¿ + + − − − +
100 100 100 100 100 100 100
35
¿
100

4. Find the probability of drawing 2 red balls in succession from a bag containing 4 red and
5 black balls when the ball is drawn first is i) Not replaced ii)Replaced
Sol: Let A denote the event of drawing a red ball in the first draw
 Let B denote the event of drawing a red ball in second draw
i) After the first draw the ball is not replaced.
the first balls can be drawn in 9-ways and the second in 8-ways.
Then both the balls can be drawn in 9 X 8 ways
There are 4 ways in which A can occur
And 3 ways in which B can occur
So A and B occur in 4 x 3 ways.

P ( BA )= 38
P ( A ∩B )=P ( A ) . P ( BA )
4 3 1
¿ . =
9 8 6
(ii) The first ball is replaced after the first draw
4 4 16
P ( A ∩B )= . =
9 9 81
5. A class has 10 boys and 5 girls. Three students are selected at random one after another.
Find the probability that i) First two are boys and third is girl ii)First and third are same
gender and second is of opposite gender.
Sol: The no.of students = 15

i)The probability that first two are boys and the third is girl is

10 9 5 15
P ( B 1 ∩ B2 ∩G1 )= . . =
15 14 13 91
(ii) The probability that first and third are boys and second is a girl
10 5 9 15
P(E 1)= . . =
15 14 13 91
The probability that first and third are girls and second is a boy
5 10 4 20
P(E 2)= . . =
15 14 13 273
Required probability is = P ( E1 ) + P(E 2)
15 20 65
¿ + = =0.238
91 273 273

6. Determine (i) P ( BA ) A
B
(ii) P ( )
c if A and b are events with

1 1 1
P ( A )= , P ( B )= and P ( A ∪ B )=
3 4 2
Sol: Given that
1 1 1
P ( A )= , P ( B )= and P ( A ∪ B )=
3 4 2
P ( A ∩B )=P ( A ) + P ( B )−P ( A ∪ B )
1 1 1 1
¿ + - =
3 4 2 12
 1

( )
(i) P
B
A
=
P( A ∩ B) 12 1
P( A)
= =
1 4
3
1 3
P ( B )=1−P ( B )=1− =
c
4 4
P ( A ∩B )=P ( A )−P ( A ∩ B )
c

1 1 1
¿ − =
3 12 4
1
P( A ∩ B ) 4 1
( )
c
A
P c = = =
P(B ) 3 3
c
B
4

7. Box A contains 5 red and 3 white marbles and box B contains 2 red and 6 white marbles.
If a marble is drawn from each box, what is the probability that they are both of same
colour.
Sol: Let A = The event that the marble is drawn from box A and is red.
1 5 5
P ( A )= . =
2 8 16
Let B = The event that the marble is drawn from box B and is red.
1 2 1
P ( B )= . =
2 8 8
Probability that both the marbles are red is
P ( A ∩B )=P ( A ) . P(B)
5 1 5
¿ . =
16 8 128
Let C = The event that the marble is drawn from box A and is white.
1 3 3
P (C)= . =
2 8 16
Let D = The event that the marble is drawn from box B and is white.
1 6 3
P ( D )= . =
2 8 8
Probability that both the marbles are white is
P ( C ∩ D )=P ( C ) . P( D)
3 3 9
¿ . =
16 8 128
The Probability that the marbles are of same colour
¿ P ( A ∩B )+ P ( C ∩ D )
5 9 14
¿ + =
128 128 128

8. Three machines I ,II, III produce 40% , 30%, 30% of the total number of items of factory.
The percentage of defective items of these machines are 4%, 2%, 3%. If an item is
selected at random, find the probability that the item is defective.
Sol: Let A, B and C be the events that the machines I, II and III be chosen respectively.
And
 Let D be the event which denotes the defective item.
Given that
40 30 30
P ( A )= , P ( B )= , P (C)=
100 100 100
And

P ( DA )= 1004 , P ( DB )= 1002 , P ( DC )= 1003

The probability that the selected item is defective is

P ( D )=P ( A ) P ( DA )+ P ( B ) P ( DB )+ P(C )P ( DC )
40 4 30 2 30 3
¿ . + . + .
100 100 100 100 100 100
31
¿
1000

Bayes’ Theorem:
Suppose that E1, E2 , ---------En are mutually exclusive events of a sample space “ S ” such
that P ( Ei ) >0 for i = 1,2,3, ---------n and A is any arbitrary event of “ S ” such that P
(A) > 0
and A ⊆ ¿ i=1 ¿ n Ei then the conditional probability of Ei given A is
P( Ei )P( A|E i )
P( Ei| A )=
P( E1 )P ( A|E 1 )+ P( E 2 ) P( A|E2 )+. ..+ P( E n ) P( A|En )

1. Suppose 5 men out of 100 and 25 women out of 10,000 are colour blind. A colour blind
person is chosen at random, what is the probability of the person being a male ( Assume
male and female to be in equal numbers) ?
Sol: Given that
5 men out of 100 and 25 women out of 10,000 are colour blind
A colour blind person is chosen at random
1
The probability that the chosen person is male ¿ P ( M )=
2
And
1
The probability that the chosen person is female ¿ P ( W )=
2
Let B represent a blind person. Then

P ( MB )= 1005 =0.05
P ( )=
B 25
=0.0025
W 10000
The probability that the chosen person is male is given by
B
P( M ) P( )
P ( MB )= M
B B
P( M ) P( ) + P( W ) P( )
M W
 0.05 X 0.5
¿ =0.95
0.05 X 0.5+0.0025 X 0.5

2. Of the three men , the chances that a politician, a business man or an academician will be
appointed as a vice-chancellor (V.C) of a university are 0.5,0.3,0.2 respectively. Probability
that research is promoted by these persons if they are appointed as V.C are 0.3, 0.7, 0.8
respectively.
i) Determine the Probability that research is promoted
ii) If research is promoted , what is the Probability that V.C is an academician?
Sol: Let A, B, C be the events that a politician, businessmen or an academician will be
appointed as V.C of the three men.
Then
P ( A )=0.5 , P ( B )=0.3, P ( C ) =0.2
Probability that research is promoted by these persons if they are appointed as V.C are

P ( RA )=0.3 , P ( RB )=0.7 , P ( CR )=0.8

(i) Probability that research is promoted

¿ P(A)P ( RA )+ P ( B ) P ( RB )+ P(C)P ( CR )
¿ ( 0.5 ) . ( 0.3 ) + ( 0.3 ) . ( 0.7 )+ ( 0.2 ) .(0.8)
¿ 0.52
(ii) The Probability that research is promoted when the V.C is an academician

P ( )=
C ( R
P (C)P
C )
P ( A ) P ( )+ P ( B ) P ( )+ P(C )P ( )
R R R R
A B C
0.16
¿
0.15+0.21+0.16
= 0.30769

3. A businessman goes to hotels X, Y, Z, 20%, 50%, 30% of the time respectively. It is known
that 5%, 4%, 8% of the rooms in X, Y, Z hotels have faulty plumbing. What is the probability
that businessman’s room having faulty plumbing is assigned to hotel Z?
Sol: Let the probabilities of business man going to hotels X, Y and Z respectively
P(X) ,P(Y),P(Z).
Then
20 2 50 5 30 3
P ( X )= = , P ( Y )= = , P ( Z )= =
100 10 100 10 100 10

Let F be the event of the room having faulty plumbing then

P ( FX )= 1005 = 201 , P ( YF )= 1004 = 251 , P ( FZ )= 1008 = 252

The probability that businessman’s room having faulty plumbing is assigned to hotel Z
 P ( )=
Z (
P(Z)P
Z)
F

P ( X ) P ( )+ P (Y ) P ( )+ P(Z) P ( )
F F F F
X Y Z

3 2
.
10 25 4
¿ =
2 1 5 1 3 2 9
. + . + .
10 20 10 25 10 25

4. In a factory, machine A produces 40% of output and machine B produces 60%. On the
average, 9 items in 1000 produced by A are defective and 1 items in 250 produced by B is
defective. An item is drawn at random from a day’s output is defective. What is the
probability that is was produced by A or B?
Sol: Output produced by A = 40%
P ( A )=0.4
Output produced by B = 60%
P ( B )=0.6
P ( DA )=¿Probability that items produced by A are defective ¿ 1000
9
=0.009

P ( )=¿Probability that items produced by B are defective¿

D 1
=0.004
B 250
Probability that items produced by A given that is defective is

P( A)P ( DA )
P ( DA )= P ( A ) P D + P ( B ) P D
( A) ( B)
0.4∗0.009
¿ =0.6
0.4∗0.009+0.6∗0.004
Probability that items produced by B given that is defective is

P (B) P ( DB )
P ( DB )= P ( A ) P D + P ( B ) P D
( A) ( B)
0.6∗0.004
¿ =0.4
0.4∗0.009+0.6∗0.004
Required Probability is ¿ P
A
D ( ) ( )
+P
B
D
¿ 0.6+ 0.4=1

5. The chance that doctor A will diagnose a disease X correctly is 60%. The chance that a
patient will die by his treatment after correct diagnose is 40% and the chance of death by
wrong diagnose is 70%. A patient of doctor A, who had disease X, died. What is the chance
that his disease was correctly.
Sol: Let E1= event that disease X is diagnosed correctly by doctor A
Let E2 = event that a patient of doctor A who has disease X died
60
Then P(E¿ ¿1)= =0.6 ¿ and P(E ¿¿ 1)=1−P(E¿¿ 1)=0.4 ¿ ¿
100

P
E2
( )
=
40
E1 100
=0.4 and P
E2
=
70
E1 100
=0.7
( )
By Baye’s theorem

P ( E1 ) P ( )
E2

( )
E1 E1
P =

( ) ( )
E2 E2 E
P ( E1 ) P + P(E ¿¿ 1) P 2 ¿
E1 E1
0.6∗0.4 6
¿ =
0.6∗0.4+ 0.4∗0.7 13

Random Variable:
A random variable is a function whose domain is the sample space and whose range is the
set of real numbers. They are denoted by X, Y…
X(s)=x is the value associated with the outcome s.

There are two types of random variables

1. Discrete random variable
2. Continuous random variable

Discrete random variable :

A discrete random variable is a variable with a finite (or countably infinite ) range.

Continuous random variable :

A Continuous random variable is a random variable with an interval (either finite or infinite )
of real numbers for its range.

Probability Mass function(PMF)(Probability distribution function):

Let ‘X’ be a discrete random variable taking values x 1 , x 2 ,… … . x n then the probability mass
function P( X=x) is defined under the following conditions
( i ) P ¿) ≥ 0
(ii) ∑ P ( X=x )=1
∀x

1. Let X denote the number of heads in a single toss of 4 fair coins. Determine
(i) P( X< 2) (ii) P(1< X ≤ 3)

X=x 0 1 2 3 4
 P(X = 1 4 6 4 1
x) 16 16 16 16 16

Sol:
(i)
P ( X <2 ) =P ( X=0 )+ P (X=1)
1 4 5
¿ + =
16 16 16
(ii) P(1< X ≤ 3)=P ( X=2 )+ P (X =3)
6 4
¿ +
16 16
10
¿
16

x +3
2. Verify that P ( X )= for x=1 , 2, 3 , 4 ,5 serve as probability mass function?
25
Sol:
Given that
x +3
P ( X )= for x=1 , 2, 3 , 4 ,5
25
1+3 4
P ( X=1 )= =
25 25
2+ 3 5
P ( X=2 )= =
25 25
3+3 6
P ( X=3 )= =
25 25
4+ 3 7
P ( X=4 )= =
25 25
5+3 8
P ( X=5 )= =
25 25
5

∑ P ( X =x )=P ( X=1 )+ P ( X =2 ) + P ( X=3 )+ P ( X=4 )

x=1
+ P ( X =5 )
4 5 6 7 8
¿ + + + +
25 25 25 25 25
30
¿ >1
25
Given P(X) is not a probability mass function [Because Total probability is 1]

Continuous Probability Distributions:

A random variable is called continuous when it assumes values in a given interval.
The probability that a random variable X assumes different values x in a given interval, say
[a, b], is denoted by f(x) = P(a ≤ X ≤ b), called probability density function (pdf).
A function f(x) to be a probability density function (pdf),
if it satisfies the following conditions
1. f (X )≥ 0
∞
2. ∫ f ( x ) dx=1

3.For any 𝑎 ≤ b,
−∞

𝑃(𝑎 ≤ 𝑋 ≤ 𝑏) = ∫ f ( x ) dx
b

1. If a random variable has the probability density f(X) as

{
−2 x
f ( x )= 2 e , for x >0
0 , for x ≤ 0
Find (i) P(1 ≤ X ≤3) (ii) P( X> 0.5)
Sol:

{
−2 x
Given that f ( x )=
2 e , for x >0
0 , for x ≤ 0

i)(1 ≤ 𝑋 ≤ 3) = ∫ f ( x ) dx
3

1
3
¿∫ 2 e
−2 x
dx
1

( )
−2 x 3
e −2 −6
¿2 =e −e
−2 1
∞
(ii) P ( X >0.5 ) = ∫ f ( x ) dx
0.5
∞
=∫ 2 e
−2 x
dx
0.5

( )
−2 x ∞
e
=−( e −e )
−∞ −1
¿2
−2 0.5
2. If a random variable has the probability density f(X) as

{
f ( x )= k ( 1−x ) , for 0< x <1
2

0 , otherwise
Find (i) k (ii) P(0.1 ≤ X ≤ 0.2) (iii) P( X> 0.5)
Sol:

Given that f ( x )=
{ k ( 1−x 2) , for 0< x <1

∞
0 , otherwise

(i) We know that ∫ f ( x ) dx=1

−∞
0 1 ∞

∫ f ( x ) dx +∫ f ( x ) dx +¿∫ f ( x ) dx=1 ¿
−∞ 0 1
1
0 + ∫ k ( 1−x ) dx+ 0=1
2

( ) =1
3 1
x
k x−
3 0
 3
k=
2
0.2
(ii) P ( 0.1≤ X ≤ 0.2 )=∫ f ( x ) dx
0.1
0.2
¿ ∫ k ( 1−x ) dx
2

0.1

( )
3 0.2
3 x 3
¿ x− [k = ]
2 3 0.1 2
3 0.007
¿ (0.1− )
2 3
¿ 0.2965
∞
(iii) P ( X >0.5 ) = ∫ f ( x ) dx
0.5
1 ∞
¿ ∫ f ( x ) dx +¿ ∫ f ( x ) dx ¿
0.5 1
∞
=∫ k ( 1−x ) dx
2

0.5

( )
3 1
3 x 3
¿ x− [k = ]
2 3 0.5 2
3 2
¿ ( −0.4583)
2 3
¿ 0.3125
3. Is the function defined by

{
0 , x <2
f ( x )= 1
( 2 x+ 3 ) ,2 ≤ x ≤ 4
18
0 , x >4
a probability density function ?
Sol:
For all points x in −∞ ≤ x ≤ ∞, f(x)≥ 0 and
∞
We know that ∫ f ( x ) dx=1
−∞
2 4 ∞
¿ ∫ f ( x ) dx+∫ f ( x ) dx +¿ ∫ f ( x ) dx ¿
−∞ 2 4
4
1
¿ 0+∫ ( 2 x +3 ) dx+ ¿ 0 ¿
2 18

( )
2 4
1 ( 2 x+ 3 ) 1
¿ = (121−49 )=1
18 4 2 72
Hence f(x) is a probability density function.

4. A continuous random variable has the probability density function

{
−cx
f ( x )= kx e , for x ≥ 0 , c> 0
0 , otherwise
 Determine k
Sol:
∞
We know that ∫ f ( x ) dx=1
−∞
0 ∞

∫ f ( x ) dx +∫ f ( x ) dx=1
−∞ 0
∞
0 + ∫ kx e
−cx
dx=1
0

[( ) ( )] =1
∞
−cx −cx
e e
k x −1. 2
−c c 0
2
k =c

5. A continuous random variable has the probability density function

−|x|
f ( x )=c e,−∞< x< ∞
Determine (i) k (ii) P(0 ≤ X ≤ 4)
Sol:
Given that f ( x )=c e−|x|,−∞< x< ∞

∞
We know that ∫ f ( x ) dx=1
−∞
∞

∫ c e−|x| dx=1
−∞
∞
2c∫ e− x dx=1 [since e−|x| is even function ]
||

0
∞
2c∫ e
−x
dx=1 [in 0 ≤ x ≤ ∞ ,|x|=x ]
0
−x ∞
2 c ( −e )0 =1
1
c=
2
4
(ii) P ( 0 ≤ X ≤ 4 )=∫ c e− x dx
||

0
4
1 1
¿ ∫ e− x dx [c= ]
||
20 2
4
1
¿
20
∫ e−x dx
1 −x 4
¿ (e )0
2
 1 −4
¿ ( e −1 )=0.4908
2

Expectation of Random variable:

Suppose X is any random variable then Expectation of X is denoted by E(X)
And is defined as
E(X) = Σi xi pi = μ where i = 1, 2, …, n
If X is a Discrete R.V
i.e., E(X) = x1p1 + x2p2 + … + xnpn.

E(X)=
If X is a Continuous R.V

Example:1 If a person has to select 3 cars from 6 cars of which 2 are defectives . Find the
expected number of defective cars?
SOLUTION:

Total no. of cars is 6 ⇒ n= 6

Given:

Number of defective cars is 2

Number of Non-defective cars is 4

⇒ X: 0, 1, 2
Let X denotes for number of Defective cars

Probability Distribution of X is
E(X) = Σi xi pi
= x1p1 + x2p2 + x3p3

X 0 1 2

P(X) 1/5 3/5 2/5

= 0(1/5) + 1(3/5) + 2(2/5)

=0 + 3/5 + 4/5
= 7/5

Example2: A random variable X has the following probability function:

Find a. 2. Calculate P(0 < X< 4). 3. Calculate the mean of the random variable X.

Solution:

⇒ a+ 2a + 3a + 2a + 2a2 + 2a2 + 6a2 + 2a = 10a2 + 9a = 1

1. Since ∑ p(x) = 1,

⇒ 10a2 + 9a − 1 = 0
⇒ (a + 1) (10a – 1) = 0
 ⇒ a = 1⁄10 or −1. Since, p(x) cannot be negative. So, k = 1⁄10

⇒ P(0 < X < 4) = P(X = 1) + P(X = 2) +P(X = 3)

2. We need to calculate the probability for the value of X= x lying in between 0 and 4.

= a + 2a+ 3a
= 6a
= 6⁄10 = 3⁄5

⇒ E(X) = ∑ xiP(xi) { i =0, 1, … , 7}

3. Mean of X,

⇒ E(X) = (1 × a) + (2 × 2a) + (3 × 3a) + (4 × 2a) + (5 × 2a2) + (6 × 2a2) + (7 × (6a2 + 2a))

= 64 a2 + 36a

⇒ E(X) = 4.24
= 64⁄100 + 36⁄10

Properties of Expectation of Random Variables

• If a is any constant and X is a random variable,

• E[a] = a
• E[aX] = a E[X]
• E[X + a] = E[X] + a.
• E[aX + b] = aE[X] + b.
• For any random variable, X > 0, E(X) > 0.
• E(Y) ≥ E(X) if the random variables X and Y are such that Y ≥ X.

Addition Theorem of Expectation:

Statement: The Mathematical Expectation of sum of Random variables is equal to sum of the
sum of their individual expectations

Suppose X and Y are any two random variables

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

Generalization of the theorem is

E(X1 + X2 + … + Xn) = E(X1) + E(X2) + … + E(Xn)

Multiplication Theorem of Expectation:

Statement: The Mathematical Expectation of Product of Independent Random variables is equal

to Product of their individual expectations

Suppose X and Y are two independent R.V.

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

Generalization of the theorem is

E(X1 . X2 … Xn) = E(X1) . E(X2) . … E(Xn)

Variance of Random variable:

Suppose X is any random variable then Variance of X is denoted by V(X)

And is defined as
 σx2 = Var (X) = E(X − μ)2 or,

Var(X) = E(X2) − [E(X)]2.

Properties of Variance of Random Variables:

If a is any constant and X is a random variable,

V[a] = 0

V[aX] = a2 V[X]

V[X + a] = V[X]

V[aX + b] = a2 V[X]

For any pair-wise independent random variables, X1, X2, … , Xn and for any constants a1, a2, … , an;

V(a1X1 +a2 X2 + … +anXn) = a12 V(X1) + a22 V(X2) + … + an2 V(Xn).

Covariance of Random variables:

Suppose X and Y is any two random variables then Covariance of X and Y is denoted by Cov(X,Y)

And is defined as

Cov(X, Y) = E[(X − E(X) ).(Y- E(Y))]

= E(XY) − [E(X). E(Y) ].

Note: Cov(X, Y) = 0 if X & Y are Independent

Properties of Covariance of Random Variables

If a and b are any constants and X & Y are any random variables,

Cov(aX, bY) = ab Cov(X,Y)

Cov(X + a, Y+b) = Cov(X,Y)

Cov( X, Y) = Cov( Y, X)

Cov( X+c, Y) = Cov( X, Y)

Cov(X+Y, Z)=Cov(X,Z)+Cov(Y,Z)

Cov(X,X)=Var(X)

Example1: When Two unbiased coins are tossed. Find the Expectation and Variance of Heads.

Sol:

When two coins are tossed the sample space is

S={HH,HT,TH,TT} ; n(S)=4

Let X denotes for number of Heads

Probability Distribution of X is

E(X) = Σi xi pi
 = x1p1 + x2p2 + x3p3

= 0(1/4) + 1(2/4) + 2(1/4)

=0 + 2/4 + 2/4

=1

V(X) = E(X2) – [E(X)]2

= 3/2 - 1 where E(X2) = 02 × ¼ + 12 × 2⁄4 + 22 × 1/4 = 6/4 = 3/2

=½

Example2: Suppose X is a Discrete R.V. which assumes the values -3, 6, 9 with their probabilities
1/6, 1/2, 1/3 then Find 1. E[X ] 2. E[2X + 3] 3. V[X ] 4. V[2X + 3]

Sol:

1. E(X) = Σi xi pi

= x1p1 + x2p2 + x3p3

= -3(1/6) + 6(1/2) + 9(1/3)

= -1/2 + 3 + 3

= 11/2

2. E(2X+3) = E(2X)+E(3)

= 2E(X) + 3 where E[a] = a ; E[aX] = a E[X]

= 2(11/2) +3

= 11+3 = 14.

3. V(X) = E(X2) – [E(X)]2

= 93/2 - (14)2 where E(X2) = (-3)2 × 1/6 + 62 × 1⁄2 + 92 × 1/3 = 93/2

= 65/4

4. V(2X+3) = V(2X)+V(3)

= 22 V(X) + 0 where V[a] = 0 ; V[aX] = a2 V[X]

= 4 (65/4)

= 65

PROBLEMS ON CONTINUOUS RANDOM VARIABLES

1. If a random variable has the p.d.f f(x) as f(x) = 2x for 0<x<1
Then Find i) the mean ii) variance of X
∞

Sol: Expectation of a continous R.V is E(X) = ∫ x . f ( x ) dx

−∞
 ∞ ∞
E(X)= ∫ x . f ( x ) dx =∫ x . ( 2 x ) dx
−∞ −∞

0 1
= ∫ x . (2 x ) dx+∫ x . ( 2 x ) dx
−∞ 0

0 1
= ∫ x . ( 0 ) dx+∫ x . ( 2 x ) dx
−∞ 0

1
= 0+∫ 2 x dx
2

3
x
= 2.[ ] where x from 0 to 1
3
2
= . ( 1−0 )
3
2
=
3
∞
E(x )= ∫ x f ( x ) dx
2 2

−∞

0 1

= ∫x 2
( 2 x ) dx+∫ x2 . ( 2 x ) dx
−∞ 0

0 1
= ∫ x . ( 0 ) dx +∫ x . ( 2 x ) dx
2 2

−∞ 0

1
= 0+∫ 2 x dx
3

4
x
= 2.[ ] where x from 0 to 1
4
4
x
= where x from 0 to 1
2
1
=
2

∴ V ( X )=E ( x 2 ) – (E( X))2

2
1 2
= - ( )
2 3
1 4
= −
2 9
 1
=
9

2. A continuous random variable has p.d.f

− λx
f ( x )=k x e for x ≥ 0 , λ ≥ 0
= 0 otherwise
Find i) k ii) Mean iii) Variance

Sol: i) To find the k value:

We know that total probability is 1

∞

∫ f ( x ) dx=1
−∞

0 ∞

∫ f ( x ) dx +∫ f ( x ) dx=1
−∞ 0

0 ∞

∫ kxe − λx
dx +∫ k x e
−λx
dx=1
−∞ 0

0 ∞

∫ 0 . dx +∫ k x e−λx dx=1
−∞ 0

∞
0+ ∫ k x e− λx dx=1
0

[ { } { }]
k x
e− λx
−λ
e− λx
−1 2 =1 where x=0 ¿ ∞
λ

[
k (0−0)− 0−
{ }] 1
λ2
=1 where x=0 ¿ ∞

2
∴ k =λ
ii) To find the Mean :
∞ ∞
E(X)= ∫ x . f ( x ) dx =∫ x . ( λ2 x e− λx ) dx where k =λ2
−∞ −∞

0 ∞
= ∫ x . ( 0 ) dx+∫ x . ( λ2 x e− λx ) dx
−∞ 0

1
= 0+∫ λ x e
2 2 −λx
dx
0
 [ { } { } { }]
− λx −λx −λx
2 2 e e e
¿λ x −2 x 2 +2 wherer x=0¿ ∞
−λ λ −λ
3

2
¿λ ¿
2
¿
λ
∞ ∞
E(X )=2
∫x 2
. f ( x ) dx= ∫ x . ( λ x e
2 2 −λx
) dx where k= λ2
−∞ −∞

0 ∞
= ∫ x . ( 0 ) dx+∫ x 2 . ( λ2 x e− λx ) dx
−∞ 0

1
= 0+∫ λ x e
2 3 −λx
dx
0

e− λx
[ { } { } { } { }]
−λx
2 2 e 3 e−λx e−λx
¿λ x −3 x +6 x −6 4 wherer x=0 ¿ ∞
−λ λ2 −λ3 λ
2
¿λ ¿
6
¿ 2
λ

∴ V ( X )=E ( x 2 ) – (E( X))2

6 2
2
= 2 - ( )
λ λ

=
6
λ
2 - ( )
4
λ
2

2
= 2
λ

{
x if 0< x <1
3. If X is a continuous random variable whose p.d.f is f ( x )= 2−x if 1 ≤ x ≤2
0 , otherwise
2
Find E(25 X +30 X −5 ¿
∞

Sol: E(X) = ∫ x . f ( x ) dx
−∞

1 2

= ∫ x . x dx +∫ x ( 2−x ) dx
0 1
 1 2
¿ ∫ x dx +∫ ( 2 x−x ) dx
2 2

0 1

( ) ( )
3 2 3
x x x
¿ where x=0 ¿ 1+ 2. − where x=1 ¿ 2
3 2 3

¿ ( 13 )+ {(4− 83 )−(1− 31 )}
¿ ( 13 )+ {( 43 )−( 23 )}
=1
∞

E(X ) = ∫ x . f ( x ) dx
2 2

−∞

1 2

= ∫ x . x dx +∫ x ( 2−x ) dx
2 2

0 1

1 2
¿ ∫ x dx+∫ ( 2 x −x ) dx
3 2 3

0 1

( ) ( )
4 3 4
x x x
¿ where x=0¿ 1+ 2. − where x=1 ¿ 2
4 3 4

¿ ( 14 )+ {(2.( 83 )− 164 )−(2.( 13 )− 14 )}

¿ ( 14 )+ {( 43 )−(( 127 ))}
¿ ( 14 )+ {( 129 )}
= 1

∴ E ( 25 X 2 +30 X −5 )=25. E ( X 2) + 30. E ( X )−5

¿ 25 ( 1 ) +30 ( 1 )−5

= 50

{
0 , x <2
1
4. Is the function defined by f ( x )= ( 2 x+ 3 ) ,2 ≤∧x ≤ 4
18
0 , x> 4
 A probability density function? Find the probability that a variate having f(x) as
density function will fall in the interval 2≤ x ≤ 3.
Sol: To check for p.d.f we should check whether f(x)≥ 0 ∀ x∈−∞< x < ∞
∞ 2 4 ∞
1
∫ f ( x ) dx= ∫ 0 dx +∫ 18 ( 2 x+ 3 ) dx+∫ 0 dx
−∞ −∞ 2 4

4
1
¿ 0+ . ∫ ( 2 x+3 ) dx+ 0
18 2

{( ) }
2
1 x
¿ 2 +3 x where x=2 ¿ 4
18 2

1 2
¿ { x +3 x } where x=2 ¿ 4
18
1
¿ { ( 16+12 )−( 4 +6 ) }
18
1
¿ { ( 28 )−( 10 ) }
18
1
¿ { 18 }
18
¿1

∴ f ( x ) is a p . d . f

ii) The probability that the density will fall in the interval 2≤ x ≤ 3
3
P ( 2≤ x ≤ 3 ) =∫ f ( x ) dx
2

4
1
¿ .∫ ( 2 x +3 ) dx
18 2

{( ) }
2
1 x
¿ 2 +3 x where x=2 ¿ 3
18 2

1 2
¿ { x +3 x } where x=2 ¿ 3
18
1
¿ { ( 9+ 9 )−( 4+6 ) }
18
1
¿ { ( 18 ) −( 10 ) }
18
1
¿ {8 }
18
 4
¿
9

PROBLEMS ON COVARIANCE

1. If X and Y are two independent random variables with mean “0” and variance “1”
Where Z = 1 + X + XY2 and W = 1 + X. Then find COV (Z, W).
SOL: Given: 1. X and Y are two independent random variables
2. E(X) = 0; E(Y)=0 ; V(X) = 1; V(Y) = 1
3. Z = 1 + X + XY2
4. W = 1 + X
COV(Z, W) = COV(1 + X + XY2 , 1 + X)
= COV( X + XY2 , X) Since Cov(X + a, Y+b) = Cov(X,Y)
= COV( X ,X) + COV( XY2 , X) Since Cov(X+Y, Z)=Cov(X,Z)+Cov(Y,Z)
= Var(X) + E(XY2 .(X)) – E(XY2). E(X) Since COV(X, Y) = E(XY)- E(X).E(Y)
= 1 + E(X2 Y2 ) – { E(X). E(Y2). E(X)} Since X and Y are two independent
= 1 + { E(X2). E(y2)} – { E(X)2. E(Y2)}
=1+1–0 since E(X) = 0 and V(X) = 1
E(X2) - E(X) 2 =1
E(X2) – 0 =1
E(X2) =1; similarly E (Y2) =1

2. The joint probability distribution of X and Y is

1 3 9 P(X)
X Y
2 1/8 1/24 1/12 1/4
4 1/4 1/4 0 1/2
6 1/8 1/24 1/12 1/4
P(Y) 1/2 1/3 1/6 1

Show that X and Y independent.

Sol: TO SHOW X and Y ARE INDEPENDENT IT IS ENOUGH TO SHOW THAT COV(X, Y) = 0
We know that COV(X, Y) = E(XY) – E(X). E(Y)
E(X) = Σi xi pi

= x1p1 + x2p2 + x3p3

 = 2(1/4) + 4(1/2) + 6(1/4)
= 1/2 + 2 + 3/2
=4
E(Y) = Σi Yi pi

= y1p1 + y2p2 + y3p3

= 1(1/2) + 3(1/3) + 9(1/6)
= 1/2 + 1 + 3/2
=3
E(XY) = Σi Σi xi Yi pi (x, y)

= {x1y1p1(x, y) + x1y2 p2(x, y)+ x1y3 p3(x, y) }+ {x2y1p1(x, y) + x2y2 p2(x, y)+ x2y3
p3(x, y) } + {x3y1p1(x, y) + x3y2 p2(x, y)+ x3y3 p3(x, y)}
= {2.1.(1/8) + 2.3.(1/24) + 2.9.(1/12)} + {4.1.(1/4) + 4.3.(1/4) + 4.9.(0)} + {6.1.
(1/8) + 6.3.(1/24) + 6.9.(1/12)}
= 1/4 + 1/4 + 3/2 + 1 + 3 + 0 + 3/ 4 + ¾ + 9/2
= 12
COV(X, Y) = E(XY) – E(X). E(Y)
= 12 - 4(3)
=0
Therefore X and Y are independent

3. Let X and Y be continuous random variables with joint p.d.f fX,Y (x, y) = 3x, 0 ≤ y ≤ x ≤ 1,
and zero otherwise. Then find COV(X, Y)

Sol: The marginal p.d.fs, expectations of X and Y are

∞
fX(x) = ∫ f X ,Y (x , y )dy
−∞

x
= ∫ 3 xdy = 3x2, 0 ≤ y ≤ x,
0

∞
E (fX [X]) = ∫ x . f X (x )dx
−∞

= ∫ x .3 x dx = (3/4).x4 where x= 0 to 1
2

0
 = 3/4
∞
fy(y) = ∫ f X ,Y (x , y )dy
−∞

1
3
= ∫ 3 xdx = ( 1− y 2 ) , y≤x≤1
y
2
∞
E (fy [Y]) = ∫ y . f Y ( y )dy
−∞

1 2 4
3 y y
= ∫ y . (1− y ) dx = (3/2) {
2
− } where y= 0 to 1
0 2 2 4

= 3/8

E (f x,y [x,Y]) = ∬ xy . f x , y [x , Y ]dxdy

= ∬ xy . 3 x dxdy where x= 0 to 1; y = 0 to x
1 x
¿ ∫ {∫ y dy }3 x dx
2

0 0

{ }
1 2
y
¿∫
2
3 x dx Where y = 0 to x
0 2

∫{ }
1 2
x 2
¿ 3 x dx
0 2

{32 }x dx
1
¿∫
4

¿ ( ) where x=0 ¿ 1
5
3 x
2 5
3
=
10
∴ COV(X, Y) = E(XY) – E(X). E(Y)
3 3 3
= - ( )
10 4 8
3
=
160