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Sst 204 module - sst204 notes

Probability and Statistics II (Kenyatta University)

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KENYATTA UNIVERSITY

DIGITAL SCHOOL OF VIRTUAL AND OPEN LEARNING

IN COLLABORATION WITH
SCHOOL OF PURE & APPLIED SCIENCES
DEPARTMENT: MATHEMATICS AND ACTUARIAL SCIENCE

SST 204: PROBABILITY AND STATISTICS I

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LESSON ONE
RANDOM VARIABLES
1.1 Introduc琀椀on
In this lesson we will discuss the de昀椀ni琀椀on of a random variable, types of
random variables and their probability distribu琀椀ons.
1.2 Lesson Learning Outcomes
By the end of this lesson the learner will be able to:
i. De昀椀ne a random variable
ii. State types of random variables
iii. Obtain the probability distribu琀椀ons of discrete and con琀椀nuous
random variables.
1.3 Random variables
Let S be a sample space represen琀椀ng the outcomes of a sta琀椀s琀椀cal experiment.
Then we can de昀椀ne a random variable as follows:
A random variable X is a real valued func琀椀on de昀椀ned on S, that is
X : S→R

Capital le琀琀ers are used to denote random variables while small le琀琀ers are used to
denote respec琀椀ve values of the random variables.
Example 1.1: Suppose that three boys are selected at random from a school
parade and each is asked whether he smokes (S) or he does not (N). Then the
sample space of this random experiment is given by
S= { SSS , SSN , SNS , NSS , SNN , NSN , NNS , NNN }

Let X denote the number of smokers among three chosen boys. Then
X ( SSS )=3 , X ¿

X ( SNN )=X ( NSN )=X ( NNS )=1 , X ( NNN )=0 .

Therefore, X is a random variable which takes the values 0,1,2,3.

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Example 1. 2 : Suppose that a real number is selected at random in the closed

interval [ 0,2 ] . Let X denote the number so chosen. Then X is a random variable
with possible values x , 0 ≤ x ≤ 2.
There are two types of random variables namely discrete and con琀椀nuous random
variables.
1.3.1 : Discrete Random Variables

A random variable is said to be discrete if it assumes only a 昀椀nite or countable

number of values on the real line. e.g , the random variable described in
example 1.1
A discrete random variable assumes each of its values with a certain
probability. In example 1 if we assume that all the outcomes are equally likely
then the random variable X takes the values 0,1,2,3 with the following
probabili琀椀es:

1
P(X=0) =P{NNN} = 8 ,
3
P(X=1) =P{SNN, NSN,NNS} = 8 ,
3
P(X=2) =P{SSN, SNS,NSS} = 8 ,
1
and P(X=3) =P{SSS} = 8 .
We can write these probabili琀椀es in a table form as follows:

x 0 1 2 3
P(X=x) 1 3 3 1
8 8 8 8

NB: P(X=0) + P(X=1) + P{X=2) +P (X=3) =1.

The above table represents a probability distribu琀椀on of the random variable X.
Let X be a discrete random variable, then the probability distribu琀椀on of X is a
real valued func琀椀on f(x) of x, de昀椀ned by

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f ( x )=P ( X =x )
and sa琀椀sfying the following condi琀椀ons:
( i ) f ( x ) ≥ 0 for all x

x=∞
( ii ) ∑ f ( x )=1.
x=−∞

Example 1.3: A digit is selected at random from among the digits

0,1,2,3,4,5,6,7. Let X denote the digit so selected. What is the probability
distribu琀椀on of X?

Solu琀椀on
1
P ( X=x ) = , x=0,1,2,3,4,5,6,7
8

and P ( X=x ) =0 , x ∉{0,1,2,3,4,5,6,7}

Therefore, the probability distribu琀椀on of X is by

{
1
,∧x=0,1,2,3,4,5,6,7
f ( x )= 8
0 ,∧otherwise
¿9
Obviously f ( x ) ≥ 0 and ∑ f ( x )=1.
x=0

A probability distribu琀椀on given by

{
1
,∧x=1,2 , .. . , n
f ( x )= n
0 ,∧otherwise

is known as a discrete uniform distribu琀椀on.

Example 1. 4 Let X be a discrete random variable whose set of values is the set of
all non-nega琀椀ve integers. Show that the func琀椀on f ( x ) given by

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{
1
,∧x=0,1,2 , . ..
f ( x )= 2x+ 1
0 ,∧otherwise

is a probability distribu琀椀on.
Solu琀椀on
∞ ∞
1 1 1 1
f ( x ) ≥ 0 , for all x and ∑ f ( x )=∑ 2
x+1
= + + + . ..=1. Hence f ( x ) is a probability
2 4 8
x=0 x=0

distribu琀椀on.

Example 1.5 Let X be a discrete random variable whose probability distribu琀椀on

is given by

{
f ( x )= kx ,∧x=2,3,4,5,6
0 ,∧0 therwise

Obtain the value of the constant k.

Solu琀椀on
Since f ( x ) is a probability distribu琀椀on, then
6

∑ f ( x )=1
x=2

∑ kx=1
x=2

2 k +3 k +4 k +5 k+ 6 k=1

20 k =1
1
k=
20

1.3.2 : Con琀椀nuous Random Variables

A random variable is said to be con琀椀nuous if it can assume any value in an

interval of the real line R . Therefore, a con琀椀nuous random variable assumes
an uncountable number of values. Example 1.2 describes a con琀椀nuous
random variable.

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Let X be a con琀椀nuous random variable assuming values in R . A con琀椀nuous

real valued func琀椀on f ( x ) is said to be a probability density func琀椀on (p.d.f) or
simply a probability distribu琀椀on, of the random variable X if it sa琀椀s昀椀es the
following condi琀椀ons:
( i ) f ( x ) ≥ 0 for all real x

∞
( ii ) ∫ f ( x ) dx =1.
−∞

NB: P ( a ≤ X ≤ b )=∫ f ( x ) .
a

Example 1.6 Let X be a con琀椀nuous random variable. Show that the func琀椀on

{
1
f ( x )= 2 x ,∧0 ≤ x ≤ 2
0 ,∧otherwise
1
(
is a p.d.f of X. Hence calculate P 2 ≤ X ≤1 and P (−1≤ X ≤ 1 ). )

Solu琀椀on
2 2
1
Clearly f ( x ) ≥ 0, for all real x and ∫ f ( x )=∫ x dx=1 , Hence f ( x ) is a p.d.f.
0 0 2
1
P ( 12 ≤ X ≤1)=∫ 12 x dx= 163 and
1
2

0 1
1 1
P (−1≤ X ≤ 1 )=∫ f ( x ) dx +∫ f ( x ) dx=0+ = .
−1 0 4 4

Example 1.7 Let X be a con琀椀nuous random variable whose p.d.f is given by

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{
1
kx + ,∧0 ≤ x ≤ 3
f ( x )= 30
0 ,∧eslewhere

Where k is a constant. Calculate the value of k hence compute P ( 1≤ X ≤2 ).

Solu琀椀on

∫ f ( x ) dx=1 since f ( x ) is a p.d.f

0

∫ (kx + 30
1
) dx=1
0

1
k= .
5

{
1 1
x + ,∧0≤ x ≤ 3
Therefore f ( x )= 5 30 and hence
0 ,∧eslewhere
2
P ( 1≤ X ≤2 )=∫
1
( 15 x + 301 ) dx= 13
{
c ,∧a< x< b
Example 1.8 Let f ( x )= 0 ,∧otherwise

be a p.d.f of a con琀椀nuous random variable X. Find the value of the constant c.

Solu琀椀on
b

∫ f ( x ) dx=1 since f ( x ) is a p.d.f of X.

a

∫ c dx=1
a

1
c=
b−a

{
1
f ( x ) = ,∧a< x <b
Therefore b−a
0 ,∧otherwise

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And such a distribu琀椀on is known as rectangular density func琀椀on on the interval

(a,b). If a=0 and b=1, then we have

{
f ( x )= 1 ,∧0<x<1
0 ,∧otherwise
as the
uniform density func琀椀on on the unit interval (0,1).

1.4 SST 204 E-TIVITY

Numbering, pacing and Week 1 , lesson 1
sequencing
Title Random variables
Purpose To obtain the probability distribu琀椀ons
of various random variables
Brief summary of overall task Watch the video on random variables
Spark

Individual task . Watch the above video keenly

following the examples in it
.State condi琀椀ons for a func琀椀on to be a
probability distribu琀椀on.
Interac琀椀on begins . A琀琀empt the tasks given and post
your solu琀椀ons on discussion forum.
E-moderator interven琀椀ons . Guiding group discussion
. Mo琀椀ving learners to par琀椀cipate in

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discussion.
. Providing feedback
. Concluding the lesson in a summary
form
Schedule and 琀椀me The lesson will last for two hours
Next Cumula琀椀ve distribu琀椀on func琀椀ons

1.6 : Assessment

{
2
( 1+ x ) ,∧4 ≤ x ≤7
1. If f ( x )= 39
0 ,∧otherwise
is a p.d.f of a con琀椀nuous random variable X calculate P ( X <5 ) and
P ( 5≤ X ≤ 6.5 ).

{
−x
2. Let f ( x )= kx e ,∧x>0
0 ,∧x ≤ 0
be a p.d.f of X. Find the value of the constant k. Hence determine P ( X <5 )
and P ( X ≥10 ).

3. A discrete random variable X can take the values 0,1,2,3,4,5,6,7,8. Its

probability distribu琀椀on is given by

x 0 1 2 3 4 5 6 7 8 9
f(x) 0.02 0.1p 0.2p 0.05 0.1 0.7p 0.2 0.9p 0.15 0.3p
Determine the value of the constant p and 昀椀nd P ( X <5 ) and P ( 3≤ X ≤ 7 ).
References

1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and D.C.
Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip
8

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LESSON TWO
DISTRIBUTION FUNCTIONS

2.1: Introduc琀椀on
In this lesson will use the probability distribu琀椀ons we discussed in lesson one
to determine the distribu琀椀on func琀椀ons of both discrete and con琀椀nuous
random variables.
2.2: Lesson Learning Outcome
By the end of this lesson learner will be able to determine the probability
distribu琀椀ons of discrete and con琀椀nuous random variables

2.3: Distribu琀椀on Func琀椀ons

Let X be a random variable de昀椀ned on a sample space S. Let us consider the

event E that sa琀椀s昀椀es −∞ < X ≤ x , where x is any real number, then
P ( E )=P ( X ∈ E )
¿ P (−∞< X ≤ x ) =P ( X ≤ x )

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Thus, we may write

F ( x )=P ( X ≤ x )
The func琀椀on F ( x ) is called the distribu琀椀on func琀椀on or cumula琀椀ve distribu琀椀on
func琀椀on (c.d.f) of the random variable X.

2.3.1 : Distribu琀椀on func琀椀on of a discrete random variable

If X is a discrete random variable with probability distribu琀椀on f ( x ) , then its

distribu琀椀on func琀椀on is given by

F ( x ) =∑ f ( t )
t≤x

Example 2.1
Let X be a discrete random variable with probability distribu琀椀on

{
1
f ( x )= 20
( x +1 ) ,∧x=1,2,3,4,5
0 ,∧otherwise

(i) Sketch the graph of f ( x )

(ii) Determine the distribu琀椀on func琀椀on of X and sketch its graph

Solu琀椀on
(i)

x 1 2 3 4 5
f(x) 0.1 0.15 0.2 0.25 0.3

Graph of f ( x )

(ii) F ( x )=P ( X ≤ x )
x
¿ ∑ f (t )
t=1

10

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Since x is any real number it could lie in any one of the following
six mutually disjoint intervals
−∞< x <1 ,1 ≤ x<2 , 2≤ x <3 , 3≤ x <4 , 4 ≤ x<5∧5 ≤x¿ ∞ . Thus

{
0 , x <1
1
,1 ≤ x<2
10
1
, 2≤ x <3
F ( x )= 4
9
, 3 ≤ x <4
20
7
, 4 ≤ x <5
10
1, x ≥ 5

To see how F ( x ) is obtained, note that if for instance 3 ≤ x < 4, then

3
1 9
F ( x )=∑ ( x+1 ) = since the value of x=4 is excluded.
x=1 20 20

Graph of F ( x )
(i) F ( x ) is a step func琀椀on,
(ii) F ( x ) is everywhere con琀椀nuous to the right of any point.

2.3.2: Distribu琀椀on of a con琀椀nuous random variable

If X is a con琀椀nuous random variable with density func琀椀on f ( x ), then the
distribu琀椀on func琀椀on of X is given by
x
F ( x )= ∫ f ( t ) dt .
−∞

Example 2
Let X be a con琀椀nuous random variable with probability density func琀椀on (p.d.f)
given by

{
1
f ( x )= 2 x ,∧0< x <2
0 ,∧otherwise

Obtain the cumula琀椀ve distribu琀椀on func琀椀on (c.d.f) of X and sketch its graph.

11

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Solu琀椀on

F ( x )=P ( X ≤ x )
x
¿ ∫ f ( t ) dt
−∞

{
0 , x ≤0
x
1
¿ ∫ 2 t dt , 0<x <2
0
1, x ≥ 2

{
0, x≤0
¿ 1 x 2 , 0< x <2
4
1, x≥2

Graph of F ( x )

In the above example F ( x ) is a con琀椀nuous func琀椀on for all real numbers x . In

par琀椀cular F ( x ) is everywhere con琀椀nuous to the right of any point. Moreover, the
deriva琀椀ve of F ( x ) with respect to x exists at all points in the interval [ 0,2 ] . That is, in
¿ dF ( x )
the interval f ( x )=F ( x )= .
dx

2.3.3: Proper琀椀es of the distribu琀椀on func琀椀on

(1) 0 ≤ F ( X ) ≤1 since 0 ≤ P ( X ≤ x ) ≤ 1 .
(2) If a and b are any real numbers such that a ≤ b , then P ( a ≤ X ≤ b )=F ( b )−F ( a ) .
(3) F ( x ) is a non-decreasing func琀椀on of x . This follows from (2) since
⇒
x 1 ≤ x 2❑ F ( x 2 )−F ( x1 ) =P ( x 1 ≤ X ≤ x 2 ) ≥ 0 . That is if x 2 ≥ x 1, then

F ( x 2 ) ≥ F ( x1 ) .

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❑
lim F ( x )=0 and lim F ( x )=1 .
(4) x→−∞ →
x❑ ∞

(5) F ( x ) is con琀椀nuous to the right at each point x . That is

lim ¿ →
→
+¿
x❑ a F ( x ) = F ( a ) ¿
, where x ❑ a +¿¿ means approaching a from the right.

(6) If X is a con琀椀nuous random variable, then F ( x ) is everywhere con琀椀nuous and

the probability density func琀椀on (p.d.f) of X is given by
dF ( x )
f ( x )=
dx

for those points where F ( x ) is di昀昀eren琀椀able.

(7) If X is a discrete random variable, then F ( x ) is a step func琀椀on sa琀椀sfying (1),
(2), (3), (4) and (5) and
f ( x )=P ( X =x )

¿ F ( x )−F ¿

Where F ¿ denotes the limit of F at x if we approach x from the le昀琀. Thus

The probability that X¿ x is the height of the step that F has at x .
Example 2.3
A con琀椀nuous random variable X has distribu琀椀on func琀椀on (c.d.f) given by

{
0 , x <0
F ( x )= 2 3
x + , 0 ≤ x <5
25 5
1 , x ≥5

(i) Sketch the graph of F ( x ) and determine the probability distribu琀椀on f ( x )

of X.
(ii) Compute P(−3 ≤ X ≤3).
Solu琀椀on

(i) Graph of F ( x )

13

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F ( x ) is discon琀椀nuous at x=0 . At this point we have

P ( X=0 )=F ( 0 )−F ¿ .
However, F ( x ) is di昀昀eren琀椀able in the interval 0< x ≤5 and so
¿
f ( x )=F ( x )
2
¿ , 0<x ≤5
25

Thus, the probability distribu琀椀on of X is given by

{
3
, x=0
5
f ( x )= 2
, 0< x ≤ 5
25
0 , otherwise

(ii) P (−3 ≤ X ≤ 3 )=F ( 3 )−F (−3 )

6 3 21
¿ + −0=
25 5 25

Alterna琀椀vely
P (−3 ≤ X ≤ 3 )=P ( 0 )+ P ( 0< X ≤ 3 )

3
¿ + F ( 3 )−F ( 0 )
5

3 6 3 3 21
¿ + + − =
5 25 5 5 25

Example 2.4
A con琀椀nuous random variable X has probability density func琀椀on (p.d.f) given by

{
1
f ( x )= 4 ,∧−2≤ x ≤ 2
0 ,∧eslewhere

De昀椀ne a new random variable Y by Y=X2 . Obtain the cumula琀椀ve distribu琀椀on

func琀椀on (c.d.f) of Y and hence determine its p.d.f.
Solu琀椀on

14

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The limits for y are follows:

0≤ y≤4

Let the cumula琀椀ve distribu琀椀on func琀椀on (c.d.f) be G ( y ). Therefore

G ( y )=P ( Y ≤ y ) sa琀椀s昀椀es

G ( y )=0 if y <0 and for 0 ≤ y ≤ 4

G ( y )=P ( X ≤ y )
2

¿ P (− √ y ≤ X ≤ √ y )
√y
1 1
¿ ∫ 4
dt= √ y
2
−√ y

Therefore

{
0 , y <0
1
G ( y )= √ y , 0 ≤ y ≤ 4
2
1, y>4

G ( y ) is di昀昀eren琀椀able in the interval [0,4]. Hence the p.d.f of Y is given by

¿
g ( y )=G ( y )

{
−1
1 2
¿ f ( x )= 4 y ,∧0 ≤ y ≤ 4
0 ,∧otherwise

2.4: SST 204 E-TIVITY

Numbering, pacing Week 2 , lesson 2
and sequencing
Title Distribu琀椀on Func琀椀ons
Purpose To obtain the distribu琀椀on func琀椀ons of various
random variables
Brief summary of Watch video 1 and Video 2
overall task

15

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Spark

Individual task . Watch the above video keenly following the

examples in it
. State the proper琀椀es of cumula琀椀ve
distribu琀椀on func琀椀on of a random variable.
Interac琀椀on begins .A琀琀empt the tasks given and post your
solu琀椀ons on discussion forum 2.4.
Compare your solu琀椀ons with your colleagues
E-moderator .Direc琀椀ng group discussion
interven琀椀ons . Mo琀椀ving learners to par琀椀cipate in
discussion.
. Providing feedback
. Concluding the lesson in a summary form
Schedule and 琀椀me The lesson will last for two hours
Next Mode and median of a random variable
Assessment
1. Let X be a discrete random variable with probability distribu琀椀on func琀椀on

{
1
,∧x=1,2,3,4
f ( x )= 4
0 ,∧otherwise
Determine the c.d.f of X and hence sketch its graph.

2. Let X be a con琀椀nuous random variable with p.d.f

{
f ( x )= 2 x ,∧0< x <1
0 ,∧elsehwere
Find the c.d.f X and sketch its graph.

References

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1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and D.C.
Boes.
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip

LESSON THREE
MODE AND MEDIAN OF DISTRIBUTION
3.1 : Introduc琀椀on
In this lesson we discuss the mode and median of a probability
distribu琀椀on.
3.2 : Lesson Learning Outcomes

By the end of this lesson the learner will be able to:

i. Determine the mode of a probability distribu琀椀on
ii. Find the median of a random variable
3.3 MODE
Let X be a random variable with probability distribu琀椀on f ( x ) and
corresponding c.d.f F ( x ). Then a mode of f ( x ) is de昀椀ned to be that value of
the random variable X which maximizes f ( x ). That is a value µ0 of X is called
a mode of f ( x ) if it sa琀椀s昀椀es
f ( µ0 ) =max f ( x )
Where f ( x ) is maximized over all possible values of X.

Example 3.1
Find the mode of each of the following distribu琀椀ons:

{ ()
x−1
3 1
f ( x )= 4 4 ,∧x=1,2,3 , .. .
(i)
0 ,∧otherwise

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{
3 2
x ( x−1 ) ,∧0 ≤ x ≤ 2
(ii) f ( x )= 4
0 ,∧elsewhere

Solu琀椀ons

(i) Since f ( x )is a decreasing func琀椀on of x , the mode is µ0=1.

(ii) f ( x ) is a con琀椀nuous func琀椀on of x and so the mode corresponds
to the point of maximum of f ( x ) in the interval 0 ≤ x ≤ 2 .
Therefore
¿ 3
f ( x )= x ( 3 x−2 )
4
Mode sa琀椀s昀椀es
f ¿ ( x )=0
3
i.e 4 x ( x−2 )=0
2
x=0 or x= .
3

d2 f (x ) −3
Thus the mode of f ( x ) is 0 since 2 at
x=0 is < 0.
dx 2

3.2: MEDIAN
The median of f ( x ) is a value λ of the random variable X which sa琀椀s昀椀es
P ( X < λ ) ≤ 0.5 and P ( X ≤ λ ) ≥ 0.5 ,

when X is a discrete random variable.

If X is a con琀椀nuous random variable, then the median sa琀椀s昀椀es
λ upper limit
F ( m )=0.5 or ∫ f ( x ) dx=0.5 or ∫ f ( x ) dx=0.5.
lower limit λ

Example 3.2
Obtain the median of each of the following distribu琀椀ons

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{( )( ) ( )
x
4 1 3 4− x
,∧x=0,1,2,3,4
(i) f ( x )= x 4 4
0 ,∧otherwise

(ii) {
f ( x )= 2 x ,∧0< x <1
0 ,∧otherwise

Solu琀椀on

(i) The median m sa琀椀s昀椀es

P ( X < λ ) ≤ 0.5 and P ( X ≤ λ ) ≥ 0.5

λ−1 λ

∑ f ( x ) ≤ 0.5 and ∑ f ( x ) ≥ 0.5

x=0 x=0

( )( ) ( )
0 4−0
1 3 81
f ( 0 )= 4 =
0 4 4 256
4 −1

( )( ) ( )
1
1 3 27
f (1)= 4 =
1 4 4 64

Hence the median of f ( x ) is λ=1, because

81
P ( X <1 )=P ( X =0 ) =f ( 0 ) = <0.5 and
256

189
P ( X ≤1 ) =P ( X=0 )+ P ( X =1 )=f ( 0 ) +f ( 1 )= >0.5
256

(ii) Since f ( x )is con琀椀nuous, the median λ of f ( x )sa琀椀s昀椀es

F ( λ )=0.5
x

But F ( x )=P ( X ≤ x ) =∫ f ( t ) dt=x . Therefore the median of f ( x ) is given by

2

0
λ 1

∫ f ( x ) dx=0.5 or ∫ f ( x ) dx=0.5
0 λ
2
λ =0.5
λ=√ 0.5 .

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3.4: SST 204 E-TIVITY

Numbering, pacing and Week3 , lesson 3
sequencing
Title Mode and Mean

Purpose To determine the mode and median

of probability distribu琀椀on func琀椀ons of
various random variables
Brief summary of overall task Watch the videos on mode and
median
Spark

Individual task . Watch the above video keenly

following the examples in it
. To state and 昀椀nd mode and median
of a random variable.
Interac琀椀on begins .A琀琀empt the tasks given and post
your solu琀椀ons on discussion forum
3.4.
Compare your solu琀椀ons with your
colleagues
E-moderator interven琀椀ons .Focusing group discussion
. Mo琀椀ving learners to par琀椀cipate in
discussion.
. Providing feedback
. Concluding the lesson in a summary
form
Schedule and 琀椀me The lesson will last for two hours
Next Expecta琀椀on of a random variable

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3.5: Assessment
1. Let X be a con琀椀nuous random variable with p.d.f given by

{
−2 x
f ( x )= 2 e ,∧x ≥0
0 , otherwise
Obtain the median of X.
2. The c.d.f of a con琀椀nuous random variable U if given by

{
0 , u<0
π
1−cos u , 0 ≤u ≤
F ( u )= 2
π
1 ,u>
2

(i) Obtain the p.d.f of U.

(ii) Determine the mode and median of U.
(iii) (π
Calculate P 4 ≤ U ≤ 3
π
)
References
1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip

LESSON FOUR
EXPECTATION OF A RANDOM VARIABLE
4.1: Introduc琀椀on
In this lesson will discuss expecta琀椀on of a random variable. The
proper琀椀es will be discussed this forum.

4.2: Lesson Learning outcomes

By the end of this lesson the learner will be able to:
i. Obtain the expecta琀椀on of a random variable
ii. State proper琀椀es of expecta琀椀on.

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4.3: Expecta琀椀on
4.3.1: Expecta琀椀on of a discrete random variable

Let X be a discrete random variable whose probability distribu琀椀on is

de昀椀ned by
f ( x )=P ( X =x ).

The expected value of X, denoted by E ( X ) is de昀椀ned by

∞
E ( X )= ∑ x f ( x )
x=−∞

Example 4.1
Let X be a discrete random variable with probability distribu琀椀on given by

{
1
f ( x )= 6 ,∧x=1,2,3,4,5,6
0 ,∧otherwise
Obtain E ( x ).
Solu琀椀on
∞
E ( X )= ∑ x f ( x )
x=−∞

6
¿∑ x
x=1
( 16 )=3.5
Let us now consider a new random variable g ( X ) which depends on a
discrete random variable X. Then the expecta琀椀on of g ( X ) is de昀椀ned by

∞
E [ g ( X ) ]= ∑ g(x)f (x)
x=−∞

Example 4.2
The following table shows the probability distribu琀椀on of a discrete
random variable X.

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x 0 1 2 3
f(x) 1 1 1 1
4 3 4 6

2
Find the expected values of X and g ( X )= [ X−E ( X ) ] .

Solu琀椀on
∞

(i) E ( X ) = ∑ xf ( x )
x=−∞

3
4
¿ ∑ xf ( x )=
x=0 3

[ ]
2
4
(ii) Therefore g(X)= X− .
3
Hence
∞
E [ g ( X ) ] =∑ g ( x ) f ( x )
−∞

( )
2
4
¿ ∑ x− f (x)
x=0 3

¿ ( )
−4 2
3
f ( 0)+
−1 2
3
f (1)+( )
2 2
3
f ( 2) +
5 2
3
f ( 3 )=
57
54 ()
. ()

4.3.2: Expecta琀椀on of a con琀椀nuous random variable

Let X be a con琀椀nuous random variable with p.d.f f ( x ). Then the

expected value of X is de昀椀ned by the integral

∞
E ( X ) =∫ xf ( x ) dx .
−∞

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More generally, if g ( X ) is a func琀椀on of X, then

∞
E [ g ( X ) ] = ∫ g ( x ) f ( x ) dx .
−∞

Example 4.3
Let X be a con琀椀nuous random variable with p.d.f

{
1
f ( x )= 18
( x +3 ) ,∧−3< x<3
0 , otherwise

Compute E ( X ) and E ( X 2 ) .
Solu琀椀on

∞
E ( X ) =∫ xf ( x ) dx .
−∞

3
1
¿∫ x ( x +3 ) dx=1
−3 18
and
∞
E ( X ) =∫ x f ( x ) dx .
2

−∞

3
1 2
¿∫ x ( x +3 ) dx=3 .
−3 18

NB: If E ( X ) exists then E|X| also exists. If E|X| does not exist, then
E|X|=∞ .

Example 4.4
Let X be a con琀椀nuous random variable with p.d.f given by

{
1
,∧−∞< x <∞
f ( x )= π ( 1+ x 2 )
0 ,∧otherwise

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Prove that E ( X ) does not exist.

Proof

∞ ∞
x
E ( X ) =∫ xf ( x ) dx = ∫ dx .
π ( 1+x )
2
−∞ −∞

∞ ∞
x
But ∫ xf ( x ) dx=∫ dx
π ( 1+ x )
2
0 0

[ ]
∞
1
ln ( 1+x ) =∞
2
¿
2π 0

Therefore E ( X ) does not exist and E|X|=∞ .

4.3.3 : Proper琀椀es of Expecta琀椀on

Let be a con琀椀nuous random variable with p.d.f f ( x ). Let g ( X )=aX +b

Where a and b are real numbers, be a func琀椀on of X. Then
∞
E [ g ( X ) ] = ∫ g ( x ) f ( x ) dx .
−∞

∞
¿ ∫ ( ax +b ) f ( x ) dx .
−∞

∞ ∞
¿ a ∫ x f ( x ) dx +b ∫ f ( x ) dx
−∞ −∞

¿ aE ( X )+ b …………………………………….. (1)

If a=0 , then g ( X )=b and E ( b )=b .

This expected value of a constant is a constant.

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Let g(X) and h( X ) be any two real valued func琀椀ons of X. Then for any
constants a and
∞
E [ a g ( X ) +b h (X ) ] ¿ ∫ ( a g ( x )+ b h( x) ) f ( x ) dx .
−∞

∞ ∞
¿ a ∫ g ( x ) f ( x ) dx+ b ∫ h ( x)f ( x ) dx
−∞ −∞

¿ aE [ g ( X ) ]+b [ h ( X ) ]……………………… (2)

The two proper琀椀es also hold for discrete random variables.

Example 4.5
Let X be a discrete random variable with probability distribu琀椀on

{
x
f ( x )= 10 ,∧x=1,2,3,4
0 ,∧otherwise
Compute E [ 5 X 3−2 X 2 ] .
Solu琀椀on
E [ 5 X −2 X ]=5 E ( X )−2 E ( X )
3 2 3 2

4 4 3
x
But E X =∑ x f ( x ) =∑ =10 and
( 2
) 2

x=1 x=1 10
4 4 4
x
E ( X ) =∑ x f ( x ) =∑
3 3
=35.4
x=1 x=1 10

Therefore
E [ 5 X −2 X ] =5 ( 35.4 )−2 ( 10 )=157.
3 2

4.4: SST 204 E-TIVITY

Numberin Week4, lesson 4
g,
pacing and

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sequencin
g
Title Expecta琀椀on

Purpose To determine expecta琀椀on of probability distribu琀椀on

func琀椀ons of various random variables
Brief Watch the video on expecta琀椀on of a random variable
summary
of overall
task
Spark

Individual . Watch the above video keenly following the examples in it

task . State the proper琀椀es of expecta琀椀on of a random variable.
Interac琀椀on .A琀琀empt the tasks given and post your solu琀椀ons on
begins discussion forum 4.4.
Compare your solu琀椀ons with your colleagues
E- .Focusing group discussion
moderator . Mo琀椀ving learners to par琀椀cipate in discussion.
interven琀椀 . Providing feedback
ons . Concluding the lesson in a summary form
Schedule The lesson will last for two hours
and 琀椀me
Next Moments

4.5 Assessment
1. Let X be a discrete random variable with probability distribu琀椀on given by
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{
1
f ( x )= n ,∧x=1,2,3 , … , n
0 ,∧otherwise

n+ 1
Show that E ( X ) = 2 .

2. The following table shows the probability distribu琀椀on func琀椀on of a discrete

random variable X
x -5 -2 1 3
f(x) 1 1 0 1
3 2 6

Compute E ( X ) , E ( X 2 ) and E ( 4 X 2−6 X +2 ).

1. Suppose the p.d.f of a con琀椀nuous random variable is de昀椀ned by

{
1
,∧a< x <b
f ( x )= b−a
0 ,∧otherwise
Where a and b are real numbers. Show that
a+b 1 2
E ( X ) = ( b + ab+a ) .
2 2
E ( X )= and
2 3

2. Let X be a con琀椀nuous random variable with p.d.f

{
1
f ( x )= 2
( x +1 ) ,∧−1<x <1
0 ,∧otherwise

Compute E ( X ) , E ( X 2 ) ∧E ( X 3 ) .
References
1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip.

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3. Sta琀椀s琀椀cal Methods by S.P. Gupta

LESSON FIVE
MOMENTS
5.1: Introduc琀椀on
In this lesson we consider moments about a point. Hence we will discuss central
moments like variance. The proper琀椀es of variance will be discussed.
5.2: Lesson Learning outcomes
By the end of this lesson the learner will be able to:
i. Determine the moment of a random variable about a point
ii. Find the mean and variance of a distribu琀椀on
iii. State the proper琀椀es of variance
5.2: Moments
Let X be a random variable with a probability distribu琀椀on f ( x ). Then the expected
value of X, if it exists, is called the mean of the random variable X or the mean of
the probability distribu琀椀on f ( x ) . It is usually denoted by μ . That is
μ= E ( X )

Which is called the 昀椀rst moment about the point x=0.

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The kth moment about x=0 is de昀椀ned by

μk =E ( X ) , k >0
∕ k

Where
∕
μ1 =μ .

E [ ( X −a )k ] is called the kth moment of the random variable X about the point x=a
(if it exists).
μk =E [ ( X−μ ) ] is the kth moment of the rand variable X about μ, and is also called
k

central moment.
μ1=E ( X−μ )= E ( X )−μ=μ−μ=0 .This shows that the 昀椀rst moment about the mean
is always zero.
μ2=E [ ( X−μ ) ] is the second central moment of a distribu琀椀on commonly used as a
2

measure of dispersion or spread of the distribu琀椀on. This is called the variance of

the distribu琀椀on and is usually denoted by σ 2.
σ 2=Var ( X )=E [ ( X−μ )2 ]

Standard devia琀椀on σ =√ Var ( X )=√ E [ ( X −μ )2 ] .

Example 5.1
A con琀椀nuous random variable X has a p.d.f given by

{
1
f ( x )= 9 ( 3−|x|) ,∧−3< x <3
0 ,∧otherwise

Calculate the mean and variance of X.

Solu琀椀on
3
E ( X ) =∫ f ( x ) dx
−3

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3 0
x x
¿ ∫ (3−x ) dx+ ∫ ( 3+ x ) dx=0
0 9 −3 9

And the variance is given by

Var ( X )=σ =E [ ( X−μ ) ]

2 2

¿ E [ ( X −0 ) ]
2

¿ E(X )
2

3 0
x2 x2
¿∫ ( 3−x ) dx+ ∫ ( 3+x ) dx=1.5
0 9 −3 9

NB: E [ ( X −μ )2 ]=E [ X 2 −2 μX + μ2 ]
¿ E ( X 2 ) −2 μE ( X )+ E ( μ 2 )

¿ E ( X ) =2 μ + μ
2 2 2

¿ E ( X ) −μ =σ =Var ( X )
2 2 2

Example 5.2
The probability distribu琀椀on of a discrete random variable X is given by

{
x
f ( x )= 21 ,∧x=1,2,3,4,5,6
0 ,∧otherwise

Calculate the mean and variance of X.

Solu琀椀on

6 6 2
x 13
μ= E ( X )=∑ xf ( x )=¿ ∑ = ¿.
x=1 x=1 21 3

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6 6
x3
E X =∑ x f ( x ) =¿ ∑ =21¿
( 2
) 2

x=1 x=1 21
Therefore
Var ( X )=σ =E ( X )−μ =21−
2 2 2
( ) 13 2 20
3
= .
9
5.2.1 : Proper琀椀es of Variance
Var ( X )=E [ ( X−μ )2 ]

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( X −μ )2=X 2−2 μX + μ2 ≥ 0 since ( X −μ )2 is the square of a real quan琀椀ty. Therefore

E ( X ) −2 μE ( X )+ μ ≥ 0
2 2

E ( X 2 ) −μ2 ≥ 0

Thus Var ( X) ≥ 0 (1)

E ( X +b )=E ( X )+ b=μ+ b

Var ( X +b )=E { [ ( X+ b ) −( μ+ b ) ] }=E {[ X =μ ] }=Var ( X ).

2 2

Therefore, for any constant b

Var ( aX +b )=a Var ( X ) .

2
(2)

E ( aX +b )=aE ( X ) +b=aμ+b .

Var ( aX +b )=E { [( aX+ b )− ( aμ+b ) ] }

2

¿ E {[ aX =aμ ] }
2

¿ a E {[ X =μ ] }=a Var ( X ) .
2 2 2

Thus, for any constants a and b

Var ( aX +b )=a Var ( X ) .
2
(3)
Example 5.3

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1. Let X be a con琀椀nuous random variable with p.d.f

{
1
f ( x )= 2
( x +1 ) ,∧−1<x <1
0 ,∧otherwise

Compute variance of 6 X +11 .

Solu琀椀on
Var ( 6 X +11 )=6 Var { X }.
2

But
Var ( X )=σ =E ( X )−μ
2 2 2

1 1
x 1
μ= E ( X )=∫ xf ( x ) dx=∫ ( x+1 ) dx= and
−1 −1 2 3

1 1 2
x 1
E ( X ) =∫ x f ( x ) dx=∫ ( x +1 ) dx=
2 2
. Therefore
−1 −1 2 3

1 1 2
Var ( X )=σ =E ( X )−μ = − = . Hence
2 2 2
3 9 9

Var ( 6 X +11 )=36 ( 29 )=8.

Example 5.4

X −μ
Obtain the mean and variance of the random variable Y = σ , where μ
and σ are the mean and variance of a random variable X.
Solu琀椀on

E ( Y )=E ( X−μ
σ ) 1
= E ( X−μ ) =0
σ

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Var ( Y )=Var ( X −μ
σ ) σ
1 1
= Var ( X )= × σ =1 .
2
σ 2
2

NB: Thus, the random variable Y has mean and standard devia琀椀on one. The
X −μ
linear transforma琀椀on y= σ is called a standardizing transforma琀椀on and
Y is called a standardized random variable.

5.3: SST 204 E-TIVITY

Numberi Week5 , lesson 5
ng,
pacing
and
sequenci
ng
Title Moments

Purpose To determine moments of probability distribu琀椀on func琀椀ons

of various random variables
Brief Watch the video
summary
of overall
task
Spark

Individual . Watch the above video keenly following the examples in it

task . State the proper琀椀es of variance of a random variable.

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Interac琀椀o .A琀琀empt the tasks given and post your solu琀椀ons on

n begins discussion forum 4.4.
Compare your solu琀椀ons with your colleagues
E- .Focusing group discussion
moderato . Mo琀椀ving learners to par琀椀cipate in discussion.
r . Providing feedback
interven琀椀 . Concluding the lesson in a summary form
ons
Schedule The lesson will last for two hours
and 琀椀me
Next Moment genera琀椀ng func琀椀ons and probability genera琀椀ng
func琀椀on

5.4: Assessment

1. Let X be a discrete random variable with probability distribu琀椀on given by

{
1
,∧x=1,2,3 , … , n
f ( x )= n
0 ,∧otherwise

2
n −1
Show that σ 2= .
12

2. Suppose the p.d.f of a con琀椀nuous random variable is de昀椀ned by

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{
1
,∧a< x <b
f ( x )= b−a
0 ,∧otherwise
Where a and b are real numbers. Show that

1
σ 2= ( b−a )2 .
12

3. Let X be a con琀椀nuous random variable with p.d.f

{
1
f ( x )= 2
( x +1 ) ,∧−1< x <1
0 ,∧otherwise

Find the mean and variance of X.

4. Let X be a con琀椀nuous random variable with p.d.f

{
1
,∧0< x <4
f ( x )= 4
0 ,∧eslehwhere

Obtain the standardized random variable.

5. Let X be a discrete random variance with probability distribu琀椀on given

by

{
x
,∧x=0,1,2,3
f ( x )= 6
0 ,∧otherwise

Compute E ( X ) , Var ( X ) , E ( 6 X 2+7 X 3 ) ,Var ( 3 X + 4 ) .

6. A con琀椀nuous random variable X has p.d.f

{
2
f ( x )= a+ bx+ c x ,∧0 ≤ x ≤ 1
o ,∧eslehwhere

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4 4
If E ( X ) = 3 and ar ( X )= 45 , determine the values of the constants a,b

and c.
References
1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip.
3. Sta琀椀s琀椀cal Methods by S.P.Gupta

LESSON SIX
MOMENT AND PROBABILITY GENERATING FUNCTIONS.
6.1: Introduc琀椀on
In this lesson we will consider moment and probability genera琀椀ng func琀椀ons of
various random variables, and hence use them to determine the mean and
variance of random variables. We will use the concept of expecta琀椀on which we
discussed in lesson four.

6.2: Lesson Learning outcomes

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By the end of this lesson the learner will be able to:

i. Determine the moment genera琀椀ng func琀椀on of a random variable
ii. Determine the probability genera琀椀ng func琀椀on of a random variable
iii. Find the mean and variance of a distribu琀椀on using moment and
probability genera琀椀ng func琀椀on
6.3: Moment Genera琀椀ng Func琀椀on
Let X be a random variable with probability distribu琀椀on f (x). Then the moment
genera琀椀ng func琀椀on (m.g.f) of f ( x) is de昀椀ned by
M X ( t )=E ( e )
tX

where t is any real number. When it exists, this expecta琀椀on depends on the
choice of t, and so it de昀椀nes a func琀椀on of t. For t=0, it always exists since
M X ( o )=E ( e 0 )=E ( 1 ) =1,

but for other values of t, the existence of M X ( t ) depends on the distribu琀椀on f ( x ) .

tX ( tX )2 ( tX )3
e =1+tX + + +…
2! 3!

∞ k
t
¿ ∑ Xk and
k=0 k!

∞
tk
M X ( t )=E e =∑ ( X ¿¿ k ) ¿ .
( tX
)
k=0 k!

Therefore, the kth moment of a distribu琀椀on can be obtained simply as the

tk
coe昀케cient of in the expansion of M X ( t ).
k!

Alterna琀椀vely, we can di昀昀eren琀椀ate M X ( t ) k 琀椀mes and obtain

d k ( tX )
E e =E ( X e ).
(k )
M X ( t )=
k tX
k
dt

Pu琀�ng t=0 , in M (Xk ) ( t ) yields

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M X ( 0 )=E ( X ) , k=1,2,3,…
(k ) k

Example 6.1
Let X be a discrete random variable with probability distribu琀椀on given by

{
x
,∧x=1,2,3
f ( x )= 6
0 ,∧otherwise

Obtain the m.g.f of X and use it to compute the mean and variance of X.
Solu琀椀on
3
x tX
M X ( t )=E ( e )=∑
❑ tX
e
x=0 6
1 2 2t 3 3 t
¿ + e + e
6 6 6
∕ 1 4 2t 9 3t
M X ( t )= + e + e and therefore
6 6 6
∕ 1 4 0 9 0 7
E ( X ) =M X ( 0 )= + e + e = .
6 6 6 3
∕ ∕ 1 8 2 t 27 3 t
M X ( t )= + e + e .
6 6 6
∕ ∕ 1 8 27
E ( X 2 ) = M X ( 0 )= + + =6 . Hence
6 6 6

()
2
7 5
Var X =E X −[ E X ] =6−
2
( ) ( 2
) ( ) = .
3 9

Example 6.2
A con琀椀nuous random variable X has the standardized normal density

{
2
−x
1 2
f ( x )= 2 π e ,∧−∞< x< ∞
√
0 ,∧otherwise

Obtain the m.g.f of f ( x ) and use it to compute the mean and variance of X.
Solu琀椀on

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The m.g.f of X is given by

M X ( t )=E ( e )
tX

∞
¿ ∫ tx
e f ( x ) dx
x=−∞

2
∞ −x
1
¿
√2 π
∫ e e tx 2
dx
x=−∞

2
t
¿e 2

and it exists for t, −∞<t <∞ .

2
t
M ( t )=t e
∕
X
2

E( X)=μ=M X ( 0 )=0
∕

2 2
t t
M ( t )=e +t e
∕ ∕
X
2 2 2

E ( X 2 ) = M X ( 0 )=1 . Therefore
∕ ∕

Var ( X )=E ( X )−[ E ( X ) ] =1−0=1.

2 2

6.4: Probability Genera琀椀ng Func琀椀on

Suppose that X is a random variable which assumes non-nega琀椀ve integral values
∞

0,1,2,… and that Pr . ( X =k ) =p k such that ∑ p k =1 then the probability genera琀椀ng

k=0

func琀椀on, P ( s ), of the sequence of probabili琀椀es { pk } is given by

P ( s )= p0 + p1 s + p k s + …+ pk s + …
2 2

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∞
¿ ∑ pk sk
k=0

We can use this probability genera琀椀ng func琀椀on (p.g.f) to determine the mean and
variance of a distribu琀椀on. S o we proceed as follows:
∞
P ∕ ( s )=∑ kpk s k−1
k=1

∞
∴ E ( X )=P ( 1 ) =∑ kp k and
∕

k=1

∞
P ∕ ∕ ( s )=∑ k ( k −1 ) p k s k−2 .Therefore
k=2

∞
E [ X ( X −1 ) ]=P ∕ ∕ (1 ) =∑ k ( k −1 ) p k . But
k=2

E ( X ) =E [ X ( X−1 ) ] +E ( X )=P (1 )+ P ( 1 ). Thus

2 ∕ ∕ ∕

Var ( X )=E ( X )−[ E ( X ) ] =P ( 1 ) +P ( 1 )−[ P ( 1 ) ] .

2 ∕ ∕ 2 ∕ ∕ 2

Example 6.4
Let X have a Bernoulli distribu琀椀on with parameter p . That is
Pr . ( X =k ) =p k = p q
k 1−k
, q=1− p , k =0,1

Therefore, the p.g.f of X is given by

∞
P( s)=∑ p k s
k

k =0

1
¿ ∑ pk q 1−k sk =q+ ps .
k=0

∴ P ( s )= p.
∕

∴ E ( X )=P ( 1 ) =p .
∕

∴ P ( s )=0
∕ ∕

∴ P ( 1 )=0 . Thus
∕ ∕

Var ( X )=E ( X )−[ E ( X ) ] =P ( 1 ) +P ( 1 )−[ P ( 1 ) ]

2 2 ∕ ∕ ∕ ∕ 2

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¿ 0+ p−p 2= p ( 1− p )= pq .

6.5: SST 204 E-TIVITY

Numbering, Week6 , lesson 6
pacing and
sequencing
Title Moment and probability genera琀椀ng func琀椀ons

Purpose To determine moment and probability genera琀椀ng

func琀椀ons of various random variables
Brief summary of Watch video 1 and Video 2
overall task
Spark

Individual task . Watch the above video keenly following the

examples in it
. Find the moment and probability genera琀椀ng
func琀椀ons of the following distribu琀椀ons:

{
1
,∧x =1,2
1. f ( x )= 2
0 ,∧otherwise

{
1
,∧0< x <2
2. f ( x ) = 2
0 ,∧otherwise
Interac琀椀on begins .A琀琀empt the tasks given and post your solu琀椀ons on
discussion forum 6.4.
Compare your solu琀椀ons with your colleagues
E-moderator .Focusing group discussion

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interven琀椀ons . Mo琀椀ving learners to par琀椀cipate in discussion.

. Providing feedback
. Concluding the lesson in a summary form
Schedule and 琀椀me The lesson will last for two hours
Next Bernoulli, Binomial and Hypergeometric
distribu琀椀ons

6.6: Assessment
1. A random variable X has m.g.f
2 −1
M X ( t )=( 1−t ) ,

Compute its mean and variance.

2. A con琀椀nuous random variance X has p.d.f

{
f ( x )= 1 ,∧0< x<1
0 ,∧otherwise
Determine the m.g.f of X and hence compute E ( X ) and Var ( X ).

3. A random variable X has a binomial distribu琀椀on with parameters n and p i.e.

{( )
x
n ( )n− x ,∧x =0,1 ,… , n , q=1− p
f ( x )= x p 1− p
0 ,∧otherwise
Obtain the p.g.f. of X , hence determine its mean and variance.

4. Let Y have the distribu琀椀on of the geometric form (modi昀椀ed geometric or

decapitated geometric) given by
Pr , {Y =k }=qk−1 p ,k =1,2,3 , … , q=1− p
ps
Show that the p.g.f of Y is 1−qs , and that
1 q
E ( Y )= and Var ( Y )= 2 .
p p

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5. Let X have a zero-truncated (or decapitated) Poisson distribu琀椀on with zero

class missing, i.e.
−1
( e a−1 ) a k
pk =Pr . { X=k }= , k =1,2,3 ,…
k!
−1
Show that the p.g.f. of X is given by P ( s )=( ea −1 ) ( e as−1 ).
∞

Verify that P ( 1 )=∑ pk =1; show that E ( X ) =a e a / ( e a−1 ) .

−1

k=1

References
1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip.
3. Sta琀椀s琀椀cal Methods by S.P.Gupta

LESSON SEVEN
BERNUOLLI, BINOMIAL AND HYPERGEOMETRIC
DISTRIBUTIONS
7.1: Introduc琀椀on
In this lesson some special discrete distribu琀椀ons namely Bernoulli, Binomial and
Hypergeometric distribu琀椀ons. The binomial distribu琀椀on is also known as Bernoulli
distribu琀椀on. It has been used to describe a wide variety of processes in business
and social sciences. We determine moments of each these distribu琀椀ons.
7.2: Lesson Learning outcomes
By the end of this lesson the learner will be able to:
i. De昀椀ne Bernoulli, Binomial and Hypergeometric distribu琀椀ons
ii. Determine means and variances of these distribu琀椀ons

7.3: Special discrete probability distribu琀椀ons

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7.3.1: Bernoulli distribu琀椀on

A random variable X is de昀椀ned to have a Bernoulli distribu琀椀on if the discrete
density func琀椀on of X is given by

{
x 1− x
f ( x )= p ( 1− p ) ,∧x=0,1 , q=1− p
0 ,∧otherwise

The mean of X is given by

1
E ( X ) =∑ x f ( x )
x=0

1
¿ ∑ x px ( 1− p )
1−x
=p .
x=0

The variance of X is given by

Var ( X )=E ( X )−[ E ( X ) ]
2 2

1
E ( X ) =∑ x f ( x )
2 2
But
x=0

1
¿ ∑ x 2 p x ( 1− p )
1−x
=p
x=0

Therefore Var ( X )=E ( X 2 )−[ E ( X ) ] =p− p2= pq .

2

Example 7.1
A box contains 4 good fruits and 6 bad ones. If a fruit is selected at random from
the box, it can either be good or bad. The random variable

{
X = 1 ,if the fruit is bad
0 ,if the fruit is good

is a Bernoulli random variable. The probability of selec琀椀ng a good fruit is the

propor琀椀on of good fruits in the box. Hence
4 2
p=P ( X =1 )= = .Thus
10 5

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2
E ( X ) =p= and Var ( X )= pq=
5
2
5
2 6
1− = .
5 25 ( )( )

The moment genera琀椀ng func琀椀on of a Bernoulli random variable is given by

1
M X ( t )=E ( e ) =¿
tX
∑ etx f (x )
x=0

1
¿ ∑ etx p x ( 1− p )
1−x

x=0

¿ ( 1− p )+ p e
t

Which exists for all real numbers t.

We can obtain the mean and variance of X by using the above m.g.f as follows:
M X∕ ( t )= p et .Therefore

E ( X ) =M X ( 0 )= p .
∕

M X ( t )= p e . Thus
∕ ∕ t

M X ( 0 )= p=E ( X ). Hence
∕ ∕ 2

Var ( X )=E ( X )−[ E ( X ) ] =p− p = pq .

2 2 2

7.2.2: BINOMIAL DISTRIBUTION

A random variable X is de昀椀ned to have a binomial distribu琀椀on if the discrete
density is given by

{( )
x
n ( )n− x ,∧x =0,1 ,… , n , q=1− p
f ( x )= x p 1− p
0 ,∧otherwise

The parameters of the above distribu琀椀on are n and p, where 0 ≤ p ≤ 1.

The mean of X is given by
n
E ( X ) =∑ x f ( x )
x=0

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n x

x=0 x ()
¿ ∑ x n p ( 1−p ) =np.
n−x

n
E ( X ) =∑ x 2 f (x )
2

x=0

n x

X =0 x ()
¿ ∑ x2 n p ( 1−p ) =n ( n−1 ) p 2+ np.
n−x

Therefore the variance of X is given by

Var ( X )=E ( X 2 )−[ E ( X ) ] =n ( n−1 ) p2 +np−n2 p 2=npq .
2

Example 7.2
In a certain community, the probability of a female birth is 0.3 . If ten individuals
are randomly selected from this community, calculate
(i) the probability that exactly six of them are males,
(ii) the average number of females in the sample. Assume that the rate of
survival is the same for both sexes.
Solu琀椀on
Let X denote the number of females in the sample. Then assuming the binomial
distribu琀椀on, we have

{( )
x
10 10− x
P ( X )=f ( x )= x ( 0.3 ) ( 0.7 ) ,∧x =0,1 ,… , 10

0 ,∧otherwise

(i) Prob ( 6 males )=P( X=10−6)

¿ P( X =4 )
4

( )
¿ 10 ( 0.3 ) ( 0.7 )10−4=0.2001
4

(ii) E ( X ) =np=10× 0.3=3

The moment genera琀椀ng func琀椀on of the binomial random variable X with

parameters n and p is given by

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n
M X ( t )=E ( e ) =¿ tX
∑ etx f (x )
x=0

n
¿ ∑ etx n px ( 1− p )
x=0 x
n− x
()
n

()
¿ ∑ n ( p e ) ( 1−p ) =( p e + q )
t x n−x t n

x=0 x

The mean and variance of a binomial random variable X are determined by using
its m.g.f as follows:
n−1
M X ( t )=np e ( p e +q )
∕ t t
. Therefore
E ( X ) =M X∕ ( 0 )=np ( p+q )n−1.

¿ np , since p+q=1.
¿∕ t 2 n−2 n−1
M X ( t ) =n ( n−1 ) ( p e ) ( p e +q ) + np e ( p e + q )
t t t
.
E ( X ) =M X ( 0 )=n ( n−1 ) p ( p+q ) + np ( p +q )
2 ¿∕ 2 n−2 n−1

¿ n ( n−1 ) p2 +np

Var ( X )=E ( X 2 )−[ E ( X ) ] =n ( n−1 ) p2 +np−n2 p 2=npq .

2

7.2.3: Hypergeometric Distribu琀椀on

Suppose that a box contains N bulbs, of which M are defec琀椀ve, n bulbs are
selected at random without replacement from the box. Let X be the number of
defec琀椀ve bulbs in the sample. Then X is called a hypergeometric random variable.
Therefore the probability distribu琀椀on of X is given by

{
( Mx )( Nn−x ) ,∧x=0,1,2, … , n
−M

f ( x )=P (X=x )=
( Nn )
0 ,∧otherwise

Where N is a posi琀椀ve integer, M is a non-nega琀椀ve integer that is at most N, and n

is a posi琀椀ve integer that is at most N.
The mean of X is given by

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n
E ( X ) =∑ x f ( x )
x=0

¿∑❑
x M N −M
n
x n−x ( )( )
x=0 N
n ( )
n (
x M −1 N −M )( ) ¿ nM .
¿n
M
( ) ∑❑
x−1 n−x
N x=1
(
N −1
n−1 ) N

n
E [ X ( X −1 ) ] =∑ x ( x−1)
( x )( n−x )
M N −M

x=1
( Nn )
¿ n ( n−1 )
M ( M −1 )
∑
( x−2 )( n−x )
M −2 N −M
n
=n ( n−1 )
M ( M −1 )
.
N ( N −1 ) N ( N −1 )
x=2
( n−2 )
N−2

Var ( X )=E [ X ( X −1) ] + E ( X ) −[ E( X ) ]

2

M ( M −1 ) nM −n2 M 2
¿ n ( n−1 ) +
N ( N −1 ) N N
2

nM
¿ ¿.
N

Example 7.3
A commi琀琀ee of 4 people is to be selected at random from among 10 people of
whom 3 are women and 7 are men. Let X denote the number of women selected.
Obtain
(i) the probability distribu琀椀on of X,
(ii) the mean and the variance of X.
Solu琀椀on
The random experiment described here would give rise to the hypergeometric
probability model. Thus,
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X is a hypergeometric random variable with parameters N=10, M=3, n=4. Hence

{
(3x)( 4−x ) ,∧x=0,1,2,3
7

f ( x )=P ( X=x )=
(i)
(104)
0 ,∧otherwise

(ii) E ( X ) =∑ xf ( x )=1.2 and

x=0

3
E ( X 2 ) =∑ x 2 f ( x )=2 . Therefore
x=0

Var ( X )=E ( X )−[ E ( X ) ] =2−1.2 =0.56 .

2 2 2

7.3: SST 204 E-TIVITY

Numbering, Week7 , lesson 7
pacing and
sequencing
Title Bernoulli, Binomial, and Hypergeometric distribu琀椀0ns

Purpose To determine moments of Bernoulli, binomial and

Hypergeometric distribu琀椀ons
Brief Watch video 1 and Video 2
summary of
overall task

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Spark

Individual . Watch the above video keenly following the examples

task in them

Interac琀椀on .A琀琀empt the tasks given and post your solu琀椀ons on

begins discussion forum 7.3.
Compare your solu琀椀ons with your colleagues
E-moderator .Focusing group discussion
interven琀椀ons . Mo琀椀ving learners to par琀椀cipate in discussion.
. Providing feedback
. Concluding the lesson in a summary form
Schedule and The lesson will last for two hours
琀椀me
Next Poisson distribu琀椀on

7.4: Assessment
1. A batch of 20 manufactured items contains 6 defec琀椀ve items, 5 items are
chosen at random from this batch. If X is the number of defec琀椀ve items in
the sample, 昀椀nd the probability distribu琀椀on of X.
2. A study has shown that 80% of all families living in a certain residen琀椀al
estate in Nakuru own a TV set. If 20 families are randomly selected from
this estate, compute the probability that
(i) all will have TV sets,
(ii) between 8 and 10, inclusive will have TV sets,
(iii) at most 10 will have TV sets,
(iv) at least 15 will own TV sets.
3. Suppose X is binomially distributed with parameters n and p; further
suppose that E(X)=5 and Var(X)=4. Find the values of n and p.
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References
1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip.
3. Sta琀椀s琀椀cal Methods by S.P.Gupta

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LESSON EIGHT
POISSON DISTRIBUTION
8.1: Introduc琀椀on
In this lesson we will discuss Poisson distribu琀椀on. It is applied to experiments with
random and independent occurrences. Some prac琀椀cal situa琀椀ons where Poisson
distribu琀椀on can be used are:
i. In quality control sta琀椀s琀椀cs to count the number of defects of an item,
ii. In biology to count the number of bacteria,
iii. In physics to count the number of par琀椀cles emi琀琀ed from a radio-ac琀椀ve
substance,
iv. In insurance problems to count the of causali琀椀es.
8.2: Lesson Learning outcomes
By the end of this lesson the learner will be able to:
i. de昀椀ne a Poisson distribu琀椀on,
ii. obtain the mean, variance and moment genera琀椀ng func琀椀on of a Poisson
random variable,
iii. State some of the uses of Poisson distribu琀椀on in everyday life.
8.2: Poisson distribu琀椀on
A random variable X is de昀椀ned to have a Poisson distribu琀椀on if its density is given
by

{ e−λ λ x
P ( X=x ) =f ( x )= x ! ,∧x=0,1,2 , …
0 ,∧otherwise 0

Where the parameter λ sa琀椀s昀椀es λ> 0.

The mean of Poisson random variable X is given by
∞
E ( X ) =∑ xf ( x )
x=0

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e−λ λ x
∞
¿∑ x
x=0 x!
∞
λ x−1
¿ e− λ λ ∑ x
x=1 x ( x−1)!

¿ e− λ λ e λ =λ .

The variance of X is given by

Var ( X )=E ( X 2 )−[ E ( X ) ] .
2

But E ( X 2 ) =∑ x 2 f ( x )
x=0

∞ −λ x
e λ
¿∑ x
2

x=0 x!
∞ −λ x
e λ
¿ ∑ [x ( x−1 ) + x ]
x=1 x!

e− λ λ x e−λ λ x
∞ ∞
¿ ∑ x ( x−1 ) +∑ x
x=1 x ! x=0 x!
∞ −λ x ∞ −λ x
e λ e λ
¿e λ
−λ 2
∑ x ( x−1 ) +∑ x
x( x−1)( x−2) ! x=0 x!
x=2

−λ 2 λ
¿e λ e +λ
2
¿ λ + λ.

∴ Var ( X )= λ2 + λ−λ2= λ.

Example 8.1
The number of male mates of a queen bee was found to have a Poisson
distribu琀椀on with parameter λ=2.7. Find the probability that the number, X, of
male mates of a queen bee is
(i) exactly 2,
(ii) at most 2,
(iii) between 1 and 3, inclusive,
Solu琀椀on
The probability distribu琀椀on of X is given by

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e−λ λ x
{
P ( X=x ) =f ( x )= x ! ,∧x=0,1,2 , …
0 ,∧otherwise 0
2
2.7
(i) P ( X=2 )=f ( 2 ) =e−2.7 =0.2450
2!
(ii) P ( X ≤2 ) =P ( X=0 )+P ( X =1 ) + P(X =2)
2.70 −2.7 2.71 −2.7 2.7 2
¿ e−2.7 +e +e
0! 1! 2!
= 0.0672+0.1815+0.2450 = 0.4937
1 2 3
2.7 2.7 2.7
(iii) P ( 1≤ X ≤3 )=e−2.7 + e−2.7 +e−2.7 =0.6470
1! 2! 3!

The moment genera琀椀ng func琀椀on of the Poisson random variable X with

parameter λ given by
M X ( t )=E ( e )
tX

∞
¿ ∑ e f (x)
tx

x=0

∞ −λ x
e λ
¿ ∑ etx
x=0 x!
∞
( λ et )x
¿e λ∑
−λ

x=0 x!
t

¿ e− λ e λ e

¿ e λ (e −1) .
t

The mean and variance of X can be obtained using this m.g.f as follows:
M X∕ ( t )=λ e t e λ (e −1) .
t

∴ E( X) = M X∕ ( 0 ) =λ
( )
M X ( t )= λ e e λ e −1 +¿ λ e t e λ (e −1)
t t
∕ ∕ 2 2t

Therefore E ( X 2 ) =M X∕ ∕ ( 0 )=λ2 e 0 e λ ( e −1 )+ ¿ λ e 0 e λ ( e −1)=λ 2+ λ.

0 0

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Var ( X )=E ( X )−[ E ( X ) ] =λ +λ−λ =λ .

2 2 2 2
Thus
8.2.1: Approxima琀椀ng Binomial Probabili琀椀es
The Poisson distribu琀椀on can be used in approxima琀椀ng binomial probabili琀椀es
when the number of trials n becomes large, and the expected number of
successes np remains unchanged.
Consider the binomial distribu琀椀on with parameters n and p. Then

{( )
x
n ( )n− x ,∧x =0,1 ,… , n , q=1− p
f ( x )= x p 1− p
0 ,∧otherwise

m
Let m=np (constant) ⇒ p= n . Then

( )( )
x n− x
n! m m
f ( x )= 1−
x ! (n−x)! n n
−x
n ( n−1 ) ( n−2 ) … (n−x +1)(n−x) ! mx
( )( )
n
m m
¿ x
1− 1−
x !(n−x) ! n n n
−x

( ) ( )( )
n
1 n n−1 n−x +1 x m m
¿ × × …× m 1− 1−
x! n n n n n

But
−x ❑
lim 1−
n→∞
( m
n ) =1 , lim
n→∞
( n n−1
n
×
n
×…×
n−x +1
n
=1 and ) lim 1−
n→∞
( n)
m n −m
=e .

Therefore taking limits as n → ∞ and holding np 昀椀xed,

We have
mx e−m
f (x) → . Hence
x!

−np x
e ( np )
n→∞ x ()
lim n p x ( 1−p )n−x =
x!

for 昀椀xed np. Thus for large but 昀椀nite n and small p, one can approximate the
binomial distribu琀椀on with parameters n and p with the Poisson distribu琀椀on with
mean m=np .

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Example 8.2
A machine produces 1% defec琀椀ve items. Suppose it produces 1000 items. What is
the probability that an item selected at random is defec琀椀ve?
Solu琀椀on
Let X be the number of defec琀椀ve items among the 1000 items produced by the
machine. Then X is binomially distributed with parameters
n=1000 and p=0.01. Therefore

{(
x

f ( x )= x )
1000 (0.01) ( 0.99 )1000−x ,∧x=0,1 , … , 1000

0 ,∧otherwise
1

( )
P ( X=1 )=f ( 1 )= 1000 (0.01) ( 0.99 )999 =0.00044
1

Using the Poisson approxima琀椀on with m=np=10 we have

x −10 x

( )
1000 (0.01) ( 0.99 )1000− x ≃ e 10
x x!
And

−10 1
e 10
P ( X=1 ) ≃ =0.0005
1!

8.3: SST 204 E-TIVITY

Numbering, pacing Week 8, lesson 8
and sequencing
Title Poisson distribu琀椀on
Purpose To de昀椀ne a Poisson distribu琀椀on, 昀椀nd its mean and
variance
Brief summary of Watch the video
overall task

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Spark

Individual task . Watch the above video keenly following the

examples in it
. Solve some of problems given
Interac琀椀on begins .A琀琀empt the tasks given and post your solu琀椀ons
on discussion forum.
E-moderator . Guiding group discussion
interven琀椀ons . Mo琀椀ving learners to par琀椀cipate in discussion.
. Providing feedback
. Concluding the lesson in a summary form
Schedule and 琀椀me The lesson will last for two hours
Next Normal distribu琀椀on

8.4: Assessment
1. Use the Poisson approxima琀椀on to compute the following probabili琀椀es
(i) P ( X=45 ) , where X is a binomial random variable with parameters n=100
and p=0.5 .
(ii) P ( X ≤2 ) , where X is a binomial random variable with parameters n=120
and p=0.04 .
2. If X is a random variable with Poisson distribu琀椀on sa琀椀sfying P ( X=0 )=P ( X =1 ) ,
what is E( X) ?
1
3. If X has a Poisson distribu琀椀on and P ( X=0 )= 2 , what is E( X) ?

References

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1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and

D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip.
3. Sta琀椀s琀椀cal Methods by S.P.Gupta

LESSON NINE
NORMAL DISTRIBUTION
9.1: Introduc琀椀on
In this lesson we consider the normal distribu琀椀on which plays an important role in
solving everyday problems. If we want to compare performance of students in
di昀昀erent subjects we must standardize their scores assuming marks are
approximately normal.
9.2: Lesson Learning outcomes
By the end of this lesson the learner will be able to:
i. De昀椀ne a normal distribu琀椀on,
ii. State proper琀椀es of a normal distribu琀椀on,
iii. obtain the mean, variance and moment genera琀椀ng func琀椀on of a normal
random variable,
iv. State some of the uses of normal distribu琀椀on in everyday life.
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9.3: Normal Distribu琀椀on

A con琀椀nuous random variable X is de昀椀ned to be normally distributed if its density
is given by

{
−1 2
( x−μ )
1 2σ
2

f ( x )= e ,∧−∞ <x <∞ ,−∞< μ<∞ , σ > 0

√ 2 π σ2
0 ,∧otherwise

The graph of the normal distribu琀椀on, called the normal curve, is a belled-shaped
curve that extends inde昀椀nitely in both direc琀椀ons, with the horizontal axis as its
asymptote.
If a random variable X is normally distributed with mean μ and standard devia琀椀on
σ , then it is usual to write

X ∽ N (μ , σ )

9.3.1 : Moments of Normal Distribu琀椀on

Suppose that a random variable X is normally distributed with mean μ and
standard devia琀椀on σ . Then the moment genera琀椀ng func琀椀on of X can be obtained
as follows:
M X ( t )=E ( e tX )

Standardizing X we have
X−μ
Z=
σ

So that Z ∽ N ( 0,1 ). But the moment genera琀椀ng func琀椀on (m.g.f) is given by

2
t
M Z ( t ) =E ( e ) =e ,−∞<t <∞ .
tZ 2

Now X =σZ + μ .Thus

M X ( t )=E[e ]
tX

¿ E[e t ( σZ +μ ) ]

¿ e tμ E [ e tσZ ]

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Pu琀�ng t ⋇=tσ we have

∴ M X ( t )=e tμ E [ e t Z ]
¿

¿2
t
tμ
¿e e 2

1 2 2
tμ+ σ t
¿e 2

and it exists for all real numbers t.

We can compute the mean and variance of X by using the above m.g.f.
1 2 2
tμ+ σ t
M ( t )=( μ+ σ t ) e
∕ 2 2
X

∴ E ( X )=M X ( 0 )=μ e =μ .
∕ 0

1 2 2 1 2 2
2 tμ+ σ t tμ+ σ t
M ( t )=( μ+ σ t ) e
∕ ∕ 2 2
X
2
+σ e 2

∴ E ( X 2) =M X∕ ∕ ( 0 )=μ2 +σ 2 , ∴ Var ( X )=E ( X 2 )−[ E ( X ) ]

2

Var ( X )=μ 2+ σ 2−μ2=σ 2.

Example 9.1
A random variable X is normally distributed with mean μand variance σ 2 .
Determine the mean and variance of a new random variable Y =e X .
Solu琀椀on
E ( Y )=E ( e X )=M X ( 1 )
1 2 2
tμ+ σ t
Where M X ( t )=e 2 is m.g.f of X.
1 2
μ+ σ
∴ E ( Y )=e 2

Var ( Y )=E ( Y ) −[ E ( Y ) ] .
2 2

E ( Y 2 ) =E ( e 2 X )=M X ( 2 ) =e2 μ+2 σ

2

But
2 2

Therefore Var ( Y )=e 2 μ +2 σ −e2 μ+σ .

WEEK 9 LESSON 2
9.3.2 : Compu琀椀ng Normal Probabili琀椀es
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If X ∽ N ( μ , σ ). Then P ( a ≤ X ≤ b )=F ( b )−F ( a ) . Therefore to compute this probability

we need to standardize X i.e
X−μ
Z=
σ

Where Z ∽ N ( 0,1 ). The p.d.f of Z is given by

{
−1 2
1 z

f ( z )= √ 2 π e ,∧−∞ < z <∞

2

0 ,∧otherwise

The standardized normal curve is symmetrical about z=0. Thus

P ( Z ≤−a )=P ( Z ≥ a )=1−P (Z ≤ a)

For any real number a (see the 昀椀gure below)

Graph of f(z)
z −1 2
1 y
Φ ( z )= ∫ e 2
dy . Therefore
−∞ √2 π
Φ (−a )=1−Φ ( a ) or more generally

Φ (−z )=1−Φ ( z ) for all real z.

a−μ X −μ b−μ
P ( a ≤ X ≤ b )=P( ≤ ≤ )
σ σ σ
a−μ b−μ
¿ P( ≤Z ≤ )
σ σ

¿Φ ( b−μ
σ )−Φ (
σ )
a−μ

Example 9.2
A random variance X is normally distributed with mean 50 and standard devia琀椀on
10. Calculate P ( 45 ≤ X ≤62 ) .
Solu琀椀on
μ=50 ,σ =10 ⇒ X ∽ N ( 50,10 ).

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45−50 X −50 62−50

P ( 45 ≤ X ≤62 ) =P ( ≤ ≤ )
10 10 10
¿ P(−0.5 ≤ Z ≤1.2)

¿ Φ ( 1.2 )−Φ (−0.5 )

¿ Φ ( 1.2 )−[1−Φ ( 0.5 )]

¿ 0.8849−[1−0.6915] =0.5764.

Example 9.3
In an examina琀椀on the average mark was 76.5 and the standard devia琀椀on was 9.5.
If 15% of the class scored grade A and the marks are assumed to follow a normal
distribu琀椀on, what is the lowest possible grade A mark and the highest possible
grade B mark?
Solu琀椀on
X ∽ N ( 76.5 ,9.5 ).

Let a be the lowest possible grade A mark . Then

P ( X ≥ a )=0.15

(
a−76.5
Standardizing X we have P Z ≥ 9.5 =0.15 or )
P(Z ≤
9.5 )
a−76.5
=0.85 .

Using the normal tables we have

a−76.5
=1.04 ⇒ a=86.4
9.5

Therefore, the lowest grade A mark is 87, and the highest grade B mark, is 86.
Example 9.4
If a random variable X is normally distributed with mean μand variance μ2, and if
P ( X ≤8 )=0.95 , determine P ( 4 ≤ X ≤ 11 ).

Solu琀椀on
X ∽ N ( μ , μ)

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(
P ( X ≤8 )=P Z ≤
8−μ
μ )=0.95

i.e Φ ( 8−μ
μ )
=0.95 ⇒
8−μ
μ
=1.65

μ=3.02.

∴ P ( 4 ≤ X ≤ 11 )=P ( 4−μ
μ
≤Z≤
μ )
11−μ

¿ P ( 0.32≤ Z ≤ 2.64 )

¿ Φ ( 2.64 )−Φ ( 0.32 )

¿ 0.9495−0.6255=0.3240 .

Example 9.5 Let X be N ( μ , σ ) so that P ( X ≤89 )=0.90 and P ( X ≤94 ) 0.95. Find μ and σ 2.
Solu琀椀on
P ( X ≤89 )=0.90 ⇒ P ¿

μ+1.28 σ =89 … … … … .. (1 )

Similarly
P ( X ≤94 )=0.95 ⇒ P ¿

μ+1.65 σ =94 … … … ….. ( 2 )

Solving equa琀椀ons (1) and (2) simultaneously we have

μ=71.7 and σ 2=182.25

9.4: SST 204 E-TIVITY

Numbering, Week 9, lesson 9
pacing and
sequencing

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Title Normal Distribu琀椀on

Purpose To enable the learner use normal distribu琀椀on random
variables to solve some everyday life problems
Brief Watch the video
summary of
overall task
Spark

Individual . Watch the above video keenly following the examples

task in it
. Solve some of problems given
Interac琀椀on .A琀琀empt the tasks given and post your solu琀椀ons on
begins discussion forum 9.4
. Read what your colleagues have posted
. In a sentence or two comment on at least two of your
colleagues have posted
E-moderator . Focusing group discussion
interven琀椀ons . Mo琀椀ving learners to par琀椀cipate in discussion.
. Providing feedback
. Concluding the lesson in a summary form
Schedule and The lesson will last for two hours
琀椀me
Next Gamma, Exponen琀椀al and Beta distribu琀椀ons

9.5 Assessment

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1. Given that X is normal with mean 10 and variance 4, compute P (|X −10|>1.8 )
.
2. If X ∽ N ( 10 , σ ) and P ( X >12 )=0.1537, determine P ( 9<X <11 ).
X−μ
(
3. If X ∽ N ( μ , σ ), 昀椀nd the constant b so that P −b ≤ σ ≤ b =0.95. )
4. Let X be normally distributed with mean μand variance σ 2,and suppose that
( X ≤ 69 )=0.90 and P ( X ≤74 )=0.95 . Find μ and σ 2.
5. The 琀椀me required to perform a certain job is a random variable having a
normal distribu琀椀on with mean 50 minutes and a standard devia琀椀on of 10
minutes. Compute the probabili琀椀es that
(i) the job will take more than 75 minutes,
(ii) the job will take less than 60 minutes,
(iii) the job will take between 45 and 60 minutes.
References
1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip.
3. Sta琀椀s琀椀cal Methods by S.P.Gupta

LESSON TEN
GAMMA, EXPONENTIAL AND BETA
DISTRIBUTIONS
10.1: Introduc琀椀on
In this lesson we will discuss gamma, exponen琀椀al and beta distribu琀椀ons.
Their moments will be discussed.
10.2: Lesson Learning outcomes

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By the end of this lesson the learner will be able to:

i. State the probability distribu琀椀ons of gamma, exponen琀椀al and beta
random variables,
ii. Obtain the moments of gamma, exponen琀椀al and beta random variables.

10.3: Gamma, Exponen琀椀al and Beta Distribu琀椀ons

10.3.1: Gamma Distribu琀椀ons

A con琀椀nuous random variable X is said to have the gamma distribu琀椀on
with parameters α and β ( α >0 , β >0 ) if its p.d.f is of the form

{
α
β α−1 −βx
f ( x )= Γ ( α ) x e ,∧x >0
0 ,∧otherwise

Therefore, we write X ∽ Γ ( α , β ) to mean that X has the gamma

distribu琀椀on with parameters α and β .
10.3.1.1: Moments of the Gamma Random variable
The kth moment of a gamma random variable X about the point x=0 is given by
∞
E ( X )=∫ x f ( x ) dx
k k

α ∞
β
= ∫ x α +k−1 e− βx dx
Γ (α) 0

β α Γ ( α + k ) Γ ( α +k )
¿ . =. k
Γ ( α ) βα+ k β Γ ( α)

Γ ( α +1 ) α Γ ( α ) α
Thus E ( X )= ❑ = = which the mean of X.
β Γ (α ) β Γ ( α ) β
Γ ( α +2 ) ( α+ 1 ) αΓ ( α ) ( α +1 ) α
E ( X )= 2
2
Now = =
β Γ (α ) β2 Γ (α ) β2

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Therefore Var ( X )=E ( X 2 )−[ E ( X ) ]

2

( α +1 ) α α 2 α
¿ − 2= 2 .
β2 β β

The m.g.f of X is given by

M X ( t )=E ( e tX )
∞
¿ ∫ e f ( x ) dx
tx

x=0

α ∞
β
¿ ∫
Γ ( α ) x=0
tx α −1 − βx
e x e dx

α ∞
β
¿ ∫ x α −1 e−(β−t )x dx
Γ ( α ) x=0

Γ (α )
( ) ,t <β
α α
β β
¿ . =
Γ ( α ) ( β−t ) α
β−t

We can now use this m.g.f of X to determine the mean and variance of X.
M X ( t )=α β α ( β−t )−α−1
∕

Therefore
α −α −1 α
E ( X ) =M X ( 0 ) =α β ( β ) =
∕
β

M X∕ ∕ ( t )=α (α +1) β α ( β−t )−α −2

α −α −2 ( α + 1) α
E ( X 2 ) =¿ M X ( 0 )=α ( α +1 ) β ( β ) =
∕ ∕
β2

Therefore Var ( X )=E ( X 2 )−[ E ( X ) ]

2

( α +1 ) α α 2 α
¿ − 2= 2.
β2 β β

10.3.2: Exponen琀椀al Distribu琀椀on

If a random variance X has density given by

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{
−λx
f ( x )= λ e ,∧x >0 , λ>0
0 ,∧otherwise

Then X is de昀椀ned to have an exponen琀椀al distribu琀椀on.

∞
E( X)=∫ xf ( x ) dx
0

∞
1
¿ λ ∫ x e−λx dx=
0 λ

∞
E( X )=∫ x f ( x ) dx
2 2

∞
2
¿ λ∫ x e
2 −λx
2 .
dx=
0 λ

Therefore Var ( X )=E ( X 2 )−[ E ( X ) ]

2

2 1 1
¿ − = .
λ 2 λ 2 λ2

The moment genera琀椀ng func琀椀on of an exponen琀椀al random variable is given by

M X ( t )=E ( e )
tX

∞
¿ ∫ e f ( x ) dx
tx

x=0

∞
¿λ ∫ e e
tx −λx
dx
x=0

∞
λ
¿λ ∫ e
−( λ−t )x
dx= ,t < λ .
x=0 λ−t

The mean and variance of X can be obtained by using the above m.g.f as follows:
∕ λ
M X ( t )=
( λ−t )2

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λ 1
∴ E ( X )=M X∕ ( 0 )= 2
=
( λ−0 ) λ
∕ ∕ 2λ
M X ( t )=
( λ−t )3
∕ ∕ 2λ 2
∴ E ( X ) =M X ( 0 )=
2
3
= 2
( λ−0 ) λ

Therefore Var ( X )=E ( X 2 )−[ E ( X ) ]

2

2 1 1
¿ 2
− 2= 2.
λ λ λ

Example 10.1
Suppose that the number of minutes required to serve a costumer at service
counter has an exponen琀椀al distribu琀椀on with mean 2. Compute the probability
that the 琀椀me required to serve a single costumer will exceed 4 minutes.
Solu琀椀on
Let X denote the number of minutes required to serve a costumer at a service
counter. Then
1 1
E ( X ) =2= ⇒ λ=
λ 2

Hence the p.d.f of X is given by

{
−1
1 2x
f ( x )= 2 e ,∧x >0
0 ,∧otherwise

[ ] =0.1353
∞ −1 −1 ∞
1 x x
∴ P ( X >4 ) =∫ e 2
dx= −e 2
4
4 2

10.3.3 : Beta Distribu琀椀on

A con琀椀nuous random variable X is said to have the beta distribu琀椀on
with parameters α and β ( α >0 , β >0 ) if its p.d.f is of the form

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{
Γ ( α +β ) α −1 β−1
x ( 1−x ) ,∧0<x <1
f ( x )= Γ ( α ) Γ ( β )
0 ,∧otherwise

1
Γ (α ) Γ ( β )
NB: ∫ x α−1 ( 1−x )β −1 dx= Γ (α+β )
=Β ( α , β )
0

10.3.3.1 : Moments of Beta Random variable

The moments of the beta distribu琀椀on are computed as follows:
1
E ( X )=∫ x f ( x ) dx , k=1,2 , …
k k

1
Γ ( α +β )
¿ ∫
Γ (α) Γ ( β ) 0
x k x α −1 ( 1−x ) β−1 dx

1
Γ ( α+β )
¿ ∫ ❑ x α+k−1 ( 1−x ) β−1 dx
Γ (α) Γ ( β ) 0

Γ ( α+β ) Γ ( α +k ) Γ ( β )
¿ .
Γ ( α ) Γ ( β ) Γ ( α +β+ k )

Γ ( α +β ) Γ ( α +k )
¿ .
Γ ( α ) Γ ( α +β +k )
Pu琀�ng k=1 we have
Γ ( α + β ) Γ ( α +1 )
E ( X )= .
Γ ( α ) Γ ( α + β +1 )

Γ ( α+ β ) αΓ ( α ) α
¿ . = .
Γ ( α ) ( α +β ) Γ ( α+ β ) α +β

For k=2 we have

Γ ( α +β ) Γ ( α+ 2 )
E ( X 2)= .
Γ ( α ) Γ ( α + β +2 )

Γ ( α+ β ) α ( α+1 ) Γ ( α )
¿ .
Γ ( α ) ( α +β ) ( α+ β+1 ) Γ ( α + β )

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α ( α+ 1 )
¿
( α +β ) ( α + β+1 )

Therefore Var ( X )=E ( X 2 )−[ E ( X ) ]

2

α ( α+ 1 ) α2
¿ −
( α +β ) ( α+ β+1 ) ( α +β )2

αβ
¿ 2 .
( α + β ) ( α+ β +1 )

10.4: SST 204 E-TIVITY

Numbering, Week 10, lesson 10
pacing and
sequencing
Title Gamma, Exponen琀椀al and Beta Distribu琀椀ons
Purpose To enable the learner compute moments of gamma,
exponen琀椀al and beta random variables
Brief Watch the video 1, Video 2 and ar琀椀cle 3
summary of
overall task
Spark

Individual . Watch the above video keenly following the examples

task in it

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. Solve some of problems given

Interac琀椀on .A琀琀empt the tasks given and post your solu琀椀ons on
begins discussion forum 10.4
. Read what your colleagues have posted
. In a sentence or two comment on at least two of your
colleagues have posted
E-moderator . Focusing group discussion
interven琀椀ons . Mo琀椀ving learners to par琀椀cipate in discussion.
. Providing feedback
. Concluding the lesson in a summary form
Schedule and The lesson will last for two hours
琀椀me
Next Func琀椀ons of a random variable

10.4 : Assessment
1. Show that, if in gamma density α=1, then the gamma density specializes
exponen琀椀al density.
2. Show that the beta distribu琀椀on reduces to the uniform distribu琀椀on over
(0,1) if α =β=1.

References
1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip.
3. Sta琀椀s琀椀cal Methods by S.P.Gupta

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LESSON ELEVEN
FUNCTIONS OF A RANDOM VARIABLE
11.1: Introduc琀椀on
In this lesson we will be discussing change of variable technique. We will consider
the distribu琀椀on of a func琀椀on of a univariate random variable. That is, for a given
random variable X we seek the distribu琀椀on of U =Φ ( X ) for some func琀椀on g ( u ).
11.2: Lesson Learning outcome
By the end of this lesson the learner will be able to obtain the probability
distribu琀椀on a new random variable which is expressed terms of a random variable
with known density.
11.3: Change of variable

11.3.1: Variables with Discrete Distribu琀椀ons

Suppose that a random variable X has a discrete distribu琀椀on for which the
probability func琀椀on is f ( x ) . Let U =Φ ( X ) be another random variable de昀椀ned as a
func琀椀on of X.
∴ g ( u )=P ( U =u )

¿ P ¿ Φ ( X )=u ¿

¿ ∑ f (x)
x: ϕ ( x ) =u

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Example 11.1
Let X have the binomial distribu琀椀on given by

{( )( ) ( )
x
4 3 1 4− x
f ( x )= x ,∧x=0,1,2,3,4
4 4
0 ,∧otherwise

Find the distribu琀椀on of U =X 2.

Solu琀椀on
The possible values of U are 0,1,4,9,16
∴ g ( u )=P ( U =u )

¿ P ( X =u )=P ( X =√u )
2

{
√u
1 4− √ u
( )( ) ( )
4
g ( u )= √ u
3
4 4
,∧u=0,1,4,9,16

0 ,∧otherwise

Example 11.2
Suppose that X has the discrete distribu琀椀on given in the following table:
x -3 -2 -1 0 1 2 3
f (x) 4 1 1 1 1 1 4
21 6 14 7 14 6 21

Find the distribu琀椀on of the random variable U =3 X 2+ 1.

Solu琀椀on
The possible values of U are 1,4,13,28.
1
P ( U=1 ) =P ( X=0 )=
7
1 1 1
P ( U=4 ) =P ( X=−1∨X=1 ) =P ( X=−1 ) + P ( X =1 )= + =
14 14 7
1 1 1
P ( U=13 )=P ( X=−2∨X=2 )=P ( X=−2 )+ P ( X =2 ) ¿ + =
6 6 3
P ( U=28 )=P ( X=−3∨X =3 )=P ( X =−3 ) + P( X=3)

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4 4 8
¿ + = .
21 21 21

Hence the probability distribu琀椀on of U is

u 1 4 13 28
g(u) 1 1 1 8
7 7 3 21

11.3.2: Variables with Con琀椀nuous Distribu琀椀ons

Suppose X is a random variable with p.d.f f ( x) . Let U =Φ ( X ) be another random
variable. Then for any real number u, the cumula琀椀ve distribu琀椀on func琀椀on G(u) of
U is
G ( u )=P(U ≤ u)

¿ P(Φ ( X ) ≤ u)
❑
¿ ∫ f ¿ ¿x) dx
x: ϕ (x)≤u

If G(u) is a con琀椀nuous func琀椀on of u, then at any point u at which G is

di昀昀eren琀椀able the p.d.f of u will be given by
dG (u)
g ( u )=
du

Example 11.3 Let X have a p.d.f given by

{
f ( x )= 2 x ,∧0< x <1
0 ,∧otherwise

Find the p.d.f of U =2 X+ 3.

Solu琀椀on
The cumula琀椀ve distribu琀椀on of U is given by
G ( u )=P(U ≤ u)

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¿ P(2 X +3 ≤ u)

¿P¿
1
(u−3)
2

¿ ∫ f ( x ) dx
0

1
(u−3)
2

¿ ∫ 2 x dx
0

1
(u −3 )
1
¿ [ x 2 ]0
2 2
= ( u−3 )
4

dG( u) 1
∴ g ( u )= = ( u−3 )
du 2

The range of u is 3<u<5 . Hence

{
1
g ( u )= 2 ( u−3 ) ,∧3<u<5
0 ,∧otherwise

Example 11.4
Suppose that X has a uniform distribu琀椀on on the interval (−1,1). Find the p.d.f of
U =−ln |X|.
Solu琀椀on
In this case the p.d.f of X is

{
1
,∧−1< x <1
f ( x )= 2
0 ,∧otherwise

The cd.f of U is given by

G ( u )=P(U ≤ u)

¿ P(−ln| X|≤u)

¿ P(| X|≥ e−u )

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¿ 1−P (| X|≤ e−u )

¿ 1−P (−e ≤ X ≤e )
−u −u

−u
e
¿ 1− ∫ f ( x ) dx
−u
−e

−u
e
1
¿ 1− ∫ dx=1−e−u
−e
−u 2

Therefore, the p.d.f of U is

dG (u)
g ( u )=
du

g ( u )=
{ e−u ,∧u>0
0 ,∧otherwise

11.4: Direct deriva琀椀on of the density func琀椀on for a Con琀椀nuous Random

Variable
Suppose X is a random variable and U =Φ ( X ) . If a< x<b andα <u<β . Let x=ω (u ), then
the func琀椀on ω is the inverse of Φ.
If we assumed that the func琀椀on Φis con琀椀nuous and strictly increasing over the
interval ( a , b ) ,the inverse func琀椀on ω is also con琀椀nuous and strictly increasing over
the interval ( α , β ). Hence for any value u such that α <u< β ,
G ( u )=P(U ≤ u)

¿ P(Φ ( X ) ≤ u)

¿ P(X ≤ ω ( u ) )

¿ F ( ω (u))

Where F is the distribu琀椀on func琀椀on of X.

If we now assume in addi琀椀on that ω is a di昀昀eren琀椀able func琀椀on over the interval
( α , β ) , then the distribu琀椀on of U is con琀椀nuous and its p.d.f is given by

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dG (u)
g ( u )=
du
dF ( ω ( u ) )
¿
du
dω ( u )
¿ f ( ω (u)) for α <u< β .
du

Similarly if Φis con琀椀nuous and strictly decreasing over the interval ( a , b ), then U
will vary over some interval ( α , β ) as X varies over the interval ( a , b ), and the
inverse func琀椀on ω will be con琀椀nuous and strictly decreasing over the interval ( α , β )
. Hence for α <u< β ,
G ( u )=P(U ≤ u)

¿ P(Φ ( X ) ≤ u)

¿ P(X ≥ ω ( u ) )

¿ 1−P( X ≤ω (u ))

¿ 1−F ( ω ( u ) )

If ω is di昀昀eren琀椀able over the interval ( α , β ), then

dG(u)
g ( u )=
du
d [1−F ( ω (u ) ) ]
¿
du
dω ( u )
¿−f ( ω (u ) ) for α <u< β .
du
dω ( u )
Since ω is strictly decreasing, <0 and hence g ( u )can be expressed in the
du
form

g ( u )=f ( ω ( u ) ) | |
dω ( u )
du
.

Example 11.5
Let X be a random variable with p.d.f given by

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{
1
x ,∧0<x <2
f ( x )= 2
0 ,∧otherwise

Find the p.d.f of a new random variable U =1−X 2 .

Solu琀椀on
−3<u< 1

u=1−x ⇒ x= √1−u
2

dx −1
=
du 2 √1−u

∴ g ( u )=f ( ω ( u ) ) | |
dω ( u )
du

¿ f (x) |dxdu|
1
¿ f ( √1−u )
2 √ 1−u
1 1 1
¿ √ 1−u . =
2 2 √ 1−u 4

{
1
,∧−3< u<1
¿ 4
0 ,∧otherwise

11.5: SST 204 E-TIVITY

Numbering, Week 11, lesson 11
pacing and
sequencing
Title Func琀椀ons of a random variable
Purpose To enable the learner 昀椀nd the distribu琀椀on of a new
random variable which is a func琀椀on of another
random variable with known density
Brief summary Watch video 1 and Video 2 and video 3

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of overall task
Spark

Individual task . Watch the above video keenly following the

examples in it
. Solve some of problems given
Interac琀椀on . A琀琀empt the tasks given and post your solu琀椀ons on
begins discussion forum 11.5
. Read what your colleagues have posted
. In a sentence or two comment on at least two of your
colleagues have posted
E-moderator . Focusing group discussion
interven琀椀ons . Mo琀椀ving learners to par琀椀cipate in discussion.
. Providing feedback
. Concluding the lesson in a summary form
Schedule and The lesson will last for two hours
琀椀me
Next Revision and Examina琀椀on

11.6: Assessment
1. Suppose that X has the discrete distribu琀椀on given in the following table:

x 0 1 2 3

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f(x) 1 1 1 1
4 3 4 6

Find the distribu琀椀on of the random variable Y =4 X 2+1.

2. If the density of a random variable X is

{
2
−x
f ( x )= 2 x e ,∧x>0
0 ,∧otherwise
Find the density of Y = X 2.
1
3. If U =X 2 and f ( x )= θ , 0<x<θ ,θ> 0.Find the c.d.f of X and U. Find the density of
U.
4. If f ( x )=1 , 0< x <1, 昀椀nd the density of Y =3 X +1.
( 1+ x )
5. If f ( x )= ,−1< x<1 ,昀椀nd the density of Y = X 2.
2

References
1. Introduc琀椀on to the Theory of Sta琀椀s琀椀cs by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Sta琀椀s琀椀cs by Rao V. Dukkip.
3. Sta琀椀s琀椀cal Methods by S.P.Gupta

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