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Notes On Mathematical Expectation

This document provides examples and definitions related to mathematical expectation and probability distributions. It defines mean, variance, and covariance for discrete and continuous random variables. It also discusses properties of linear combinations of random variables such as how mean, variance and covariance are affected when variables are added or multiplied. Several examples are provided to demonstrate calculating mean, variance, and covariance from probability distributions. Exercises at the end provide practice calculating these measures from joint and marginal probability distributions.

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478 views

Notes On Mathematical Expectation

This document provides examples and definitions related to mathematical expectation and probability distributions. It defines mean, variance, and covariance for discrete and continuous random variables. It also discusses properties of linear combinations of random variables such as how mean, variance and covariance are affected when variables are added or multiplied. Several examples are provided to demonstrate calculating mean, variance, and covariance from probability distributions. Exercises at the end provide practice calculating these measures from joint and marginal probability distributions.

Uploaded by

aef
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Probability and Statistical Methods

Chapter 4 Mathematical Expectation


Mean of a Random Variable
Definition. Let X be a random variable with probability distribution f ( x ) . The mean or
expected value of X is,

= x = E ( x) = xf ( x) , if X is a discrete random variable


all x

= x = E ( x ) =

xf ( x) dx , if X is a continuous random variable

Example 1. A coin is biased so that a head is three times as likely to occur as a tail. Find the
expected number of tails when this coin is tossed twice.
P (T ) + P ( H ) = 1 ; P (T ) + 3P (T ) = 1 P (T ) =

1
3
and P( H ) = .
4
4

x : number of tails ; x : 0,1, 2 and the corresponding probabilities are


3 3 9
f ( 0 ) = P ( HH ) = P ( H ) P ( H ) = . =
4 4 16
1 3 3 1 6
f (1) = P (TH ) + P ( HT ) = . + . =
4 4 4 4 16
1 1 1
f ( 2 ) = P (TT ) = P (T ) P (T ) = . = .
4 4 16
Therefore the probability distribution of X is given as
x

f ( x)
and = x = E ( x ) = xf ( x ) = 0.
all x

0
9
16

1
6
16

2
1
16

9
6
1
1
+ 1. + 2. = .
16
16
16 2

Example 2. If a dealers profit in units of $5000, on a new automobile can be looked upon as a
random variable X having the density function
2 (1 x ) , 0 < x < 1
f ( x) =
0,
otherwse

Find the average profit per automobile.


1

1
1
= E ( x ) = xf ( x ) dx = 2 x (1 x ) dx = . Thus, .5000 = $1666 is the profit per
3
3
0
0
automobile.
Sonuc Zorlu

Page 1

Lecture Notes

Probability and Statistical Methods

Example 3. Let X be a random variable with the following probability distribution


x
-3 6 9
f ( x) 1 1 1
6 2 3
2

Find g ( X ) where g ( x ) = ( 2 x + 1) .
1
1
1
1
= g ( x ) = E g ( x ) = g ( x) f ( x ) = (2 x + 1) 2 f ( x ) = 25. + 169. + 361. = 217.33
2 6
2
3
all x
all x

Theorem. Let X be a random variable with probability distribution f ( x ) .The mean or

expected value of the random variable g ( x ) is


g( X ) = E g ( X ) = g ( x) f ( x ( ))
if X is discrete and

g ( X )

= E g ( X ) =

g ( x ) f ( x) dx

if X is continuous.
Definition. Let X and Y be random variables with joint probability distribution f ( x, y ) .The

mean or expected value of the random variable g ( X , Y ) is


g( X ,Y ) = E g ( X , Y ) = g ( x, y ) f ( x, y )
x

if X and Y are discrete, and

g( X ,Y )

= E g ( X , Y ) =

g ( x, y ) f ( x, y ) dxdy

if X and Y are continuous.

Variance and Covariance


The most important measure of variability of a random variable X is obtained by letting
2
g ( x) = ( x ) in the mean formula. Because of its importance in statistics it is referred to as
the variance of the random variable X , denoted by Var ( X ) or X2 and defined as
( x )2 f ( x), if X is discrete

x
2
2
Var ( X ) = X = E ( X ) =


2
( x ) f ( x ) dx, if X is continuous

The positive square root of the variance is called the standard deviation ( X ) of X .
Sonuc Zorlu

Page 2

Lecture Notes

Probability and Statistical Methods

Theorem. The variance of a random variable X is


2
Var ( X ) = E ( X 2 ) E ( X ) = E ( X 2 ) X2 .

Definition. Let X and Y be random variables with joint probability distribution f ( x, y ) . The

covariance of X and Y is
Cov ( X , Y ) = E ( X X )(Y Y )
( x X )( y Y ) f ( x, y ), X and Y are discrete
y x
=
( x X )( y Y ) f ( x, y ) dxdy, X and Y are continuous

Theorem. If X and Y are independent, then Cov( X , Y ) = 0 . The converse is not always true.
Theorem. The covariance of two random variables X and Y with means X and Y is

XY = E ( XY ) E ( X ) E (Y ) .
Definition. Let X and Y be random variables with covariance XY and standard deviations
X and Y , respectively. The correlation coefficient X and Y is

XY =

XY
.
XY

Example 4. Suppose that X and Y are independent random variables having the joint
probability distribution
x
1
2
f ( x, y )
h( y)

1
3
5

g ( x)

0.10
0.20
0.10
0.40

0.15
0.30
0.15
0.60

0.25
0.50
0.25
1

Show that XY is zero.


By the above theorem XY = E ( XY ) E ( X ) E (Y ) . To compute covariance, we need to find
E ( XY ) , E ( X ) and E (Y ) .

Sonuc Zorlu

Page 3

Lecture Notes

Probability and Statistical Methods

E ( XY ) = xy f ( x, y ) = 2.1.(0.10) + 4.1.(0.15) + 2.3.(0.20)


x

+ 4.3.(0.30) + 2.5.(0.10) + 4.5.(0.15)


= 9.6
E ( x ) = xg ( x ) = 2.(0.40) + 4.(0.60) = 3.2
all x

E (Y ) = yh ( y ) = 1.(0.25) + 3.(0.50) + 5.(0.25) = 3.0


all y

Therefore XY = E ( XY ) E ( X ) E (Y ) = 9.6 (3.2)(3.0) = 0 .

Example 5. Find the covariance of the random variables X and Y having the joint probability
density
x + y, 0 < x < 1, 0 < y < 1
f ( x, y ) =
otherwise
0,

The Mean and Variance of Linear Combinations of Random Variables


(1) E ( aX + b ) = aE ( X ) + b , a, b !
(2) Let X and Y be two random variables, then
E ( X Y ) = E ( X ) E (Y )
(3) If X and Y are independent, then
E ( XY ) = E ( X ) E (Y )

(4) If a and b are constants, then


2
aX
+ bY = Var ( aX + bY )
= a 2Var ( X ) + b 2Var (Y ) + 2abCov( X , Y )
= a 2 X2 + b 2 Y2 + 2ab XY
(5) If X and Y are independent, then
Var ( aX + bY ) = a 2Var ( X ) + b 2Var (Y )

Example 6. If X and Y are random variables with variances X2 = 2 and Y2 = 4 and

covariance XY = 2 , find the variance of the random variables Z = 3 X 4Y + 8 .

Sonuc Zorlu

Page 4

Lecture Notes

Probability and Statistical Methods

Var ( Z ) = Var (3 X 4Y + 8)
= 9Var ( X ) + 16Var (Y ) + 2.3.(4)Cov( X , Y )
= 9 X2 + 16 Y2 24 XY
= 9.2 + 16.4 24(2)
=130

Example 7. If X and Y are independent random variables with variances X2 = 5 and Y2 = 3 ,


find the variance of the random variables Z = 2 X + 4Y 3 .
Var ( Z ) = Var (2 X + 4Y 3)
= 4Var ( X ) + 16Var (Y )
= 4 X2 + 16 Y2
= 4.5 + 16.3
=68

Exercises
Exercise 1. Let X denote the number of times a certain numerical control machine will
malfunction: 1,2, or 3 time on a given day. Let Y denote the number of times a technician is
called on an emergency call. Their joint probability distribution is given as

f ( x, y )

x
2

1
0.05 0.05 0.10
0.05 0.10 0.35
2
0
0.20 0.10
3
Determine the covariance between X and Y .

Exercise 2. Let X denote the number of heads andY the number of heads minus the number of
tails when 3 coins are tossed.
(a) Find the joint probability distribution of X and Y .
(b) Find the marginal distributions of X and Y .
(c) Find E ( X ), E (Y ) and E ( XY )
(d) Determine whether X and Y independent or not.
Exercise 3. Find the correlation coefficient between X and Y having the joint density function
x + y, 0 < x < 1, 0 < y < 1
f ( x, y ) =
elsewhere
0,

Sonuc Zorlu

Page 5

Lecture Notes

Probability and Statistical Methods

Exercise 4. Suppose that X and Y are independent random variables with probability densities
8
x>2
,
g ( x ) = x3
0, elsewhere
and
2 y, 0 < y < 1
h( y) =
0, elsewhere

Find the expected value of Z = XY .

Sonuc Zorlu

Page 6

Lecture Notes

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