1. STATISTICS Random Variables and Distribution Functions
Professor Ke-Sheng Cheng
Department of Bioenvironmental Systems Engineering
National Taiwan University

2. Definition of random variable (RV)
For a given probability space ( ,A, P[]), a random variable, denoted by X or X(), is a function with domain  and counterdomain the real line. The function X() must be such that the set Ar, denoted by , belongs to A for every real number r.
Unlike the probability which is defined on the event space, a random variable is defined on the sample space.
7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

3. is defined whereas is not defined.
Random experiment
Sample space
Event space
Probability space
is defined whereas is not defined.
7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

4. Cumulative distribution function (CDF)
The cumulative distribution function of a random variable X, denoted by , is defined to be
7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

5. Consider the experiment of tossing two fair coins
Consider the experiment of tossing two fair coins. Let random variable X denote the number of heads. CDF of X is
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

7. Indicator function or indicator variable
Let  be any space with points  and A any subset of . The indicator function of A, denoted by , is the function with domain  and counterdomain equal to the set consisting of the two real numbers 0 and 1 defined by
7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

8. Discrete random variables
A random variable X will be defined to be discrete if the range of X is countable.
If X is a discrete random variable with values
then the function denoted by
and defined by
is defined to be the discrete density function or probability mass function (or simply probability function) of X.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

9. Continuous random variables
A random variable X will be defined to be continuous if there exists a function such that for every real number x.
The function is called the probability density function of X.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

10. Properties of a CDF is continuous from the right, i.e. 7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

11. Properties of a PDF For a continuous random variable X,
Two continuous random variables having the same CDF can have different PDFs.
7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

12. Equality of random variables
Two random variables (X and Y) can have the same cumulative distribution function without being the same random variable.
The two random variables are equal everywhere.
The following conditions does not imply X and Y being equal
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

13. Example 1
Determine which of the following are valid distribution functions:
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

15. 7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

16. Example 2
Determine the real constant a, for arbitrary real constants m and 0 < b, such that
is a valid density function.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

17. Function is symmetric about m.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

18. Mixed distribution
Not all random variables are either continuous or discrete.
A distribution that is a mixture of a discrete distribution and a continuous distribution is called a mixed distribution.
Let X be the random variable that represents the time delay that a motorist needs to wait after making a required stop at a traffic stop sign.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

20. Censored and Truncated Data
Y is censored when we observe X for all observations, but we only know the true value of Y for a restricted range of observations. Values of Y in a certain range are reported as a single value or there is significant clustering around a value, say 0.
Y is censored from below or left-censored if all lower-than-k values of Y are recorded as k.
Y is censored from above or right-censored if all higher-than-k values of Y are recorded as k.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

21. 7/23/2018
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22. A truncated distribution (Y) is a conditional distribution that results from restricting the domain of some other probability distribution (X).
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

23. Mixture Distribution
A mixture distribution is the probability distribution of a random variable that is derived from a collection of other random variables as follows: first, a random variable is selected by chance from the collection according to given probabilities of selection, and then the value of the selected random variable is realized.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

24. 7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

25. Characterizing random variables
Cumulative distribution function
Probability density function
Expectation (expected value)
Variance
Moments
Quantile
Median
Mode
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

26. Expectation of a random variable
The expectation (or mean, expected value) of X, denoted by or E(X) , is defined by:
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

27. Rules for expectation
Let X and Xi be random variables and c be any real constant.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

28. 7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

29. Variance of a random variable
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

30. is called the standard deviation of X.
Variance characterizes the dispersion of data with respect to the mean. Thus, shifting a density function does not change its variance.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

31. Rules for variance
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

32. If two random variables X and Y are independent, then E(XY)=E(X)E(Y)
Two random variables are said to be independent if knowledge of the value assumed by one gives no clue to the value assumed by the other.
If two random variables X and Y are independent, then E(XY)=E(X)E(Y)
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

33. Moments and central moments of a random variable
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

34. Properties of moments 7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

35. Standardization, or normalization, does not change the skewness and kurtosis.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

36. Quantile
The qth quantile of a random variable X, denoted by , is defined as the smallest number satisfying
Discrete Uniform
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

37. Median and mode
The median of a random variable is the 0.5th quantile, or
The mode of a random variable X is defined as the value u at which is the maximum of
7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

38. Note: For a positively skewed distribution, the mean will always be the highest estimate of central tendency and the mode will always be the lowest estimate of central tendency (assuming that the distribution has only one mode). For negatively skewed distributions, the mean will always be the lowest estimate of central tendency and the mode will be the highest estimate of central tendency. In any skewed distribution (i.e., positive or negative) the median will always fall in-between the mean and the mode.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

39. Moment generating function
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

41. Usage of MGF
MGF can be used to express moments in terms of PDF parameters and such expressions can again be used to express mean, variance, coefficient of skewness, etc. in terms of PDF parameters.
Random variables of the same MGF are associated with the same type of probability distribution.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

42. The moment generating function of a sum of independent random variables is the product of the moment generating functions of individual random variables.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

43. Expected value of a function of a random variable
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

44. If Y=g(X)
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

45. Y
Y=g(X) y X
x1
x2
x3
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

46. Theorem
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47. Chebyshev Inequality 7/23/2018
Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

48. The Chebyshev inequality gives a bound, which does not depend on the distribution of X, for the probability of particular events described in terms of a random variable and its mean and variance.
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Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.