ConceptComplete

Random Variables and Distributions - Examples and Constructions

Understanding standard distributions through examples provides intuition for modeling real-world phenomena. Each distribution has characteristic features suited to particular applications.

Bernoulli Distribution

The simplest random variable represents a single trial with two outcomes.

Definition

XBernoulli(p)X \sim \text{Bernoulli}(p) takes values in {0,1}\{0,1\} with: P(X=1)=p,P(X=0)=1pP(X = 1) = p, \quad P(X = 0) = 1-p

PMF: pX(k)=pk(1p)1kp_X(k) = p^k(1-p)^{1-k} for k{0,1}k \in \{0,1\}

Models: coin flip, success/failure, yes/no questions.

Binomial Distribution

Definition

XBinomial(n,p)X \sim \text{Binomial}(n,p) represents the number of successes in nn independent Bernoulli(p)(p) trials: P(X=k)=(nk)pk(1p)nk,k=0,1,,nP(X = k) = \binom{n}{k} p^k (1-p)^{n-k}, \quad k = 0, 1, \ldots, n

Example

Toss a fair coin 10 times. Let XX = number of heads. Then XBinomial(10,0.5)X \sim \text{Binomial}(10, 0.5).

Probability of exactly 6 heads: P(X=6)=(106)(0.5)10=210×110240.205P(X = 6) = \binom{10}{6} (0.5)^{10} = 210 \times \frac{1}{1024} \approx 0.205

Geometric Distribution

Definition

XGeometric(p)X \sim \text{Geometric}(p) represents the number of trials until the first success: P(X=k)=(1p)k1p,k=1,2,3,P(X = k) = (1-p)^{k-1} p, \quad k = 1, 2, 3, \ldots

Memoryless Property: P(X>n+mX>n)=P(X>m)P(X > n+m | X > n) = P(X > m)

The geometric distribution is the only discrete distribution with this property.

Poisson Distribution

Definition

XPoisson(λ)X \sim \text{Poisson}(\lambda) models the number of events in a fixed interval when events occur at constant rate λ\lambda: P(X=k)=eλλkk!,k=0,1,2,P(X = k) = \frac{e^{-\lambda} \lambda^k}{k!}, \quad k = 0, 1, 2, \ldots

Example

A call center receives an average of 5 calls per hour. The number of calls XX in an hour follows Poisson(5)\text{Poisson}(5).

Probability of exactly 3 calls: P(X=3)=e5533!=e512560.1404P(X = 3) = \frac{e^{-5} \cdot 5^3}{3!} = \frac{e^{-5} \cdot 125}{6} \approx 0.1404

The Poisson distribution approximates Binomial(n,p)(n,p) when nn is large, pp is small, and np=λnp = \lambda.

Uniform Distribution

Definition

XUniform(a,b)X \sim \text{Uniform}(a,b) is equally likely to take any value in [a,b][a,b]: fX(x)={1baif axb0otherwisef_X(x) = \begin{cases} \frac{1}{b-a} & \text{if } a \leq x \leq b \\ 0 & \text{otherwise} \end{cases}

CDF: FX(x)=xabaF_X(x) = \frac{x-a}{b-a} for axba \leq x \leq b

Exponential Distribution

Definition

XExponential(λ)X \sim \text{Exponential}(\lambda) models waiting times between events in a Poisson process: fX(x)=λeλx,x0f_X(x) = \lambda e^{-\lambda x}, \quad x \geq 0

CDF: FX(x)=1eλxF_X(x) = 1 - e^{-\lambda x} for x0x \geq 0

Memoryless Property: P(X>s+tX>s)=P(X>t)P(X > s+t | X > s) = P(X > t)

The exponential distribution is the only continuous distribution with this property.

Example

The time until the next customer arrives follows Exponential(2)\text{Exponential}(2) (average 0.5 minutes).

Probability of waiting more than 1 minute: P(X>1)=e21=e20.1353P(X > 1) = e^{-2 \cdot 1} = e^{-2} \approx 0.1353

Normal (Gaussian) Distribution

Definition

XN(μ,σ2)X \sim \mathcal{N}(\mu, \sigma^2) has PDF: fX(x)=12πσ2exp((xμ)22σ2)f_X(x) = \frac{1}{\sqrt{2\pi\sigma^2}} \exp\left(-\frac{(x-\mu)^2}{2\sigma^2}\right)

The standard normal ZN(0,1)Z \sim \mathcal{N}(0,1) has μ=0,σ=1\mu = 0, \sigma = 1.

The normal distribution is ubiquitous due to the Central Limit Theorem. It approximates the sum of many independent random variables.

Remark

Each distribution family addresses specific modeling needs. Discrete distributions (Bernoulli, Binomial, Geometric, Poisson) count occurrences, while continuous distributions (Uniform, Exponential, Normal) measure continuous quantities. Choosing the right distribution requires understanding the underlying data-generating process.