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Expectation 2014

The expected value of a discrete random variable X is the weighted average of all possible values of X, with each value weighted by its probability of occurrence. It is calculated as the sum of each possible value multiplied by its probability. For a fair six-sided die, the expected value is 3.5 because the average of 1 to 6 is 3.5, and each number has a 1/6 probability of landing. The expected value of a function of X, like E(X2), can also be calculated by taking the sum of each possible function value multiplied by its corresponding probability.

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51 views2 pages

Expectation 2014

The expected value of a discrete random variable X is the weighted average of all possible values of X, with each value weighted by its probability of occurrence. It is calculated as the sum of each possible value multiplied by its probability. For a fair six-sided die, the expected value is 3.5 because the average of 1 to 6 is 3.5, and each number has a 1/6 probability of landing. The expected value of a function of X, like E(X2), can also be calculated by taking the sum of each possible function value multiplied by its corresponding probability.

Uploaded by

Katu2010
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Expectation

The expected value (or mean) of X, where X is a discrete random variable, is a weighted average of the possible values that X can take, each value being weighted according to the probability of that event occurring. The expected value of X is usually written as E(X) or m.

E(X) = Sx P(X = x)

So the expected value is the sum of: [(each of the possible outcomes) (the probability of the outcome occurring)]. In more concrete terms, the expectation is what you would expect the outcome of an experiment to be on average. Example What is the expected value when we roll a fair die? There are six possible outcomes: 1, 2, 3, 4, 5, 6. Each of these has a probability of 1/6 of occurring. Let X represent the outcome of the experiment. Therefore P(X = 1) = 1/6 (this means that the probability that the outcome of the experiment is 1 is 1/6) P(X = 2) = 1/6 (the probability that you throw a 2 is 1/6) P(X = 3) = 1/6 (the probability that you throw a 3 is 1/6) P(X = 4) = 1/6 (the probability that you throw a 4 is 1/6) P(X = 5) = 1/6 (the probability that you throw a 5 is 1/6) P(X = 6) = 1/6 (the probability that you throw a 6 is 1/6) E(X) = 1P(X = 1) + 2P(X = 2) + 3P(X = 3) + 4P(X=4) + 5P(X=5) + 6P(X=6) Therefore E(X) = 1/6 + 2/6 + 3/6 + 4/6 + 5/6 + 6/6 = 7/2 So the expectation is 3.5 . If you think about it, 3.5 is halfway between the possible values the die can take and so this is what you should have expected.

Expected Value of a Function of X


To find E[ f(X) ], where f(X) is a function of X, use the following formula:

E[ f(X) ] = Sf(x)P(X = x)

Example For the above experiment (with the die), calculate E(X2)

Using our notation above, f(x) = x2 f(1) = 1, f(2) = 4, f(3) = 9, f(4) = 16, f(5) = 25, f(6) = 36 P(X = 1) = 1/6, P(X = 2) = 1/6, etc So E(X2) = 1/6 + 4/6 + 9/6 + 16/6 + 25/6 + 36/6 = 91/6 = 15.167 The expected value of a constant is just the constant, so for example E(1) = 1. Multiplying a random variable by a constant multiplies the expected value by that constant, so E[2X] = 2E[X]. A useful formula, where a and b are constants, is:

E[aX + b] = aE[X] + b

[This says that expectation is a linear operator].

Variance
The variance of a random variable tells us something about the spread of the possible values of the variable. For a discrete random variable X, the variance of X is written as Var(X).

Var(X) = E[ (X m)2 ] wherem is the expected value E(X)

This can also be written as:

Var(X) = E(X2) m2

The standard deviation of X is the square root of Var(X). Note that the variance does not behave in the same way as expectation when we multiply and add constants to random variables. In fact:

Var[aX + b] = a2Var(X)

You is because: Var[aX + b] = E[ (aX + b)2 ] -(E [aX + b])2 . = E[ a2X2 + 2abX + b2] - (aE(X) + b)2 = a2E(X2) + 2abE(X) + b2 -a2E2(X) - 2abE(X) - b2 = a2E(X2) - a2E2(X) = a2Var(X)

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