1. Random variables; discrete and continuous probability distributions June 23, 2004

2. Random Variable A random variable x takes on a defined set of values with different probabilities. For example, if you roll a die, the outcome is random (not fixed) and there are 6 possible outcomes, each of which occur with probability one-sixth. For example, if you poll people about their voting preferences, the percentage of the sample that responds “Yes on Kerry” is a also a random variable (the percentage will be slightly differently every time you poll). Roughly, probability is how frequently we expect different outcomes to occur if we repeat the experiment over and over (“frequentist” view)

3. Random variables can be discrete or continuous Discrete random variables have a countable number of outcomes Examples: Binary: Dead/alive, treatment/placebo, disease/no disease, heads/tails Nominal: Blood type (O, A, B, AB), marital status(separated/widowed/divorced/married/single/com mon-law) Ordinal: (ordered) staging in breast cancer as I, II, III, or IV, Birth order—1 st, 2 nd, 3 rd, etc., Letter grades (A, B, C, D, F) Counts: the integers from 1 to 6, the number of heads in 20 coin tosses

4. Continuous variable A continuous random variable has an infinite continuum of possible values. – Examples: blood pressure, weight, the speed of a car, the real numbers from 1 to 6. – Time-to-Event: In clinical studies, this is usually how long a person “survives” before they die from a particular disease or before a person without a particular disease develops disease.

5. Probability functions A probability function maps the possible values of x against their respective probabilities of occurrence, p(x) p(x) is a number from 0 to 1.0. The area under a probability function is always 1.

6. x p(x) 1/6 145623 Discrete example: roll of a die

7. Probability mass function xp(x) 1p(x=1)=1/6 2p(x=2)=1/6 3p(x=3)=1/6 4p(x=4)=1/6 5p(x=5)=1/6 6p(x=6)=1/6 1.0

8. Cumulative probability x P(x) 1/6 145623 1/3 1/2 2/3 5/6 1.0

9. Cumulative distribution function xP(x≤A) 1P(x≤1)=1/6 2P(x≤2)=2/6 3P(x≤3)=3/6 4P(x≤4)=4/6 5P(x≤5)=5/6 6P(x≤6)=6/6

10. Examples 1. What’s the probability that you roll a 3 or less? P(x≤3)=1/2 2. What’s the probability that you roll a 5 or higher? P(x≥5) = 1 – P(x≤4) = 1-2/3 = 1/3

11. In-Class Exercises Which of the following are probability functions? 1. f(x)=.25 for x=9,10,11,12 2. f(x)= (3-x)/2 for x=1,2,3,4 3. f(x)= (x 2 +x+1)/25 for x=0,1,2,3

12. In-Class Exercise 1. f(x)=.25 for x=9,10,11,12 Yes, probability function! xf(x) 9.25 10.25 11.25 12.25 1.0

13. In-Class Exercise 2. f(x)= (3-x)/2 for x=1,2,3,4 xf(x) 1(3-1)/2=1.0 2(3-2)/2=.5 3(3-3)/2=0 4(3-4)/2=-.5 Though this sums to 1, you can’t have a negative probability; therefore, it’s not a probability function.

14. In-Class Exercise 3. f(x)= (x 2 +x+1)/25 for x=0,1,2,3 xf(x) 01/25 13/25 27/25 313/25 Doesn’t sum to 1. Thus, it’s not a probability function. 24/25

15. In-Class Exercise: The number of ships to arrive at a harbor on any given day is a random variable represented by x. The probability distribution for x is: x1011121314 P(x).4.2.1 Find the probability that on a given day: a. exactly 14 ships arrive b. At least 12 ships arrive c. At most 11 ships arrive p(x=14)=.1 p(x  12)= (.2 +.1 +.1) =.4 p(x≤11)= (.4 +.2) =.6

16. In-Class Exercise: You are lecturing to a group of 1000 students. You ask them to each randomly pick an integer between 1 and 10. Assuming, their picks are truly random: What’s your best guess for how many students picked the number 9? Since p(x=9) = 1/10, we’d expect about 1/10 th of the 1000 students to pick 9. 100 students. What percentage of the students would you expect picked a number less than or equal to 6? Since p(x≤ 5) = 1/10 + 1/10 + 1/10 + 1/10 + 1/10 + 1/10 =.6 60%

17. Continuous case  The probability function that accompanies a continuous random variable is a continuous mathematical function that integrates to 1.  For example, recall the negative exponential function (in probability, this is called an “exponential distribution”):  This function integrates to 1:

18. Continuous case x p(x) 1 The probability that x is any exact particular value (such as 1.9976) is 0; we can only assign probabilities to possible ranges of x.

19. For example, the probability of x falling within 1 to 2: x p(x) 1 12

20. Cumulative distribution function As in the discrete case, we can specify the “cumulative distribution function” (CDF): The CDF here = P(x≤A)=

21. Example 2 x p(x) 1

22. Example 2: Uniform distribution The uniform distribution: all values are equally likely The uniform distribution: f(x)= 1, for 1  x  0 x p(x) 1 1 We can see it’s a probability distribution because it integrates to 1 (the area under the curve is 1):

23. Example: Uniform distribution What’s the probability that x is between ¼ and ½? x p(x) 1 1 ¼ ½ P(½  x  ¼ )= ¼

24. In-Class Exercise Suppose that survival drops off rapidly in the year following diagnosis of a certain type of advanced cancer. Suppose that the length of survival (or time-to-death) is a random variable that approximately follows an exponential distribution with parameter 2 (makes it a steeper drop off): What’s the probability that a person who is diagnosed with this illness survives a year?

25. Answer The probability of dying within 1 year can be calculated using the cumulative distribution function: The chance of surviving past 1 year is: P(x≥1) = 1 – P(x≤1) Cumulative distribution function is:

26. Expected Value and Variance All probability distributions are characterized by an expected value and a variance (standard deviation squared).

27. For example, bell-curve (normal) distribution: Mean One standard deviation from the mean (average distance from the mean)

28. Expected value of a random variable If we understand the underlying probability function of a certain phenomenon, then we can make informed decisions based on how we expect x to behave on- average over the long-run…(so called “frequentist” theory of probability). Expected value is just the weighted average or mean (µ) of random variable x. Imagine placing the masses p(x) at the points X on a beam; the balance point of the beam is the expected value of x.

29. Example: expected value Recall the following probability distribution of ship arrivals: x1011121314 P(x).4.2.1

30. Expected value, formally Discrete case: Continuous case:

31. Extension to continuous case: example, uniform random variable x p(x) 1 1

32. In-Class Exercise 3. If x is a random integer between 1 and 10, what’s the expected value of x?

33. Variance of a random variable If you know the underlying probability distribution, another useful concept is variance. How much does the value of x vary from its mean on average? More on this next time…

34. Reading for this week Walker: 1.1-1.2, pages 1-9