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Mathematical Expectation:: Two R.V's X and Y Have Joint PDF

This document defines mathematical expectation and moments for random variables. It provides formulas to calculate the 1st moment (mean), 2nd moment (variance), and covariance for single and multi-dimensional continuous and discrete random variables. Examples are given to demonstrate calculating the mean, variance, covariance, and other metrics for random variables with specified joint probability density functions defined over a region. Commonly used moments - mean, variance, skewness, and kurtosis - are briefly defined to describe properties of a probability distribution.
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0% found this document useful (0 votes)
49 views5 pages

Mathematical Expectation:: Two R.V's X and Y Have Joint PDF

This document defines mathematical expectation and moments for random variables. It provides formulas to calculate the 1st moment (mean), 2nd moment (variance), and covariance for single and multi-dimensional continuous and discrete random variables. Examples are given to demonstrate calculating the mean, variance, covariance, and other metrics for random variables with specified joint probability density functions defined over a region. Commonly used moments - mean, variance, skewness, and kurtosis - are briefly defined to describe properties of a probability distribution.
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOC, PDF, TXT or read online on Scribd
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Mathematical Expectation:

Mean (or) expectation is a significant number representing the behavior of a random


variable.

Mathematical expectation of ‘X’ is denoted by E(X)



i) E( X )   xf ( x ) dx , [for a single dimensional continuous random variable]


ii) E ( X )  
x
xp ( x ) , [for a single dimensional discrete random variable]
2
iii) E ( X )   x 2 p ( x ) , [for a single dimensional discrete random variable]
x

 
iv) E( X )    xf ( x, y ) dxdy [ for a two dimensional continuous random variable]
 
 
v) E( X 2 )  
2
 x f ( x, y ) dxdy [ for a two dimensional continuous random variable]
 
 
vi) E ( XY )    xyf ( x, y ) dxdy , [ for a two dimensional continuous random variable]
 
vii) Var ( X )  E ( X 2 )  [ E ( X )] 2

Note:
If X and Y are independent random variables then E ( XY )  E ( X ).E (Y )

Two R.V’s X and Y have joint pdf


 xy
 ,0  x  4,1  y  5
f ( x, y )   96
 0 , elsewhere
Find (i) E(X) (ii) E(Y) (iii) E(XY) (iv) E(2X + 3Y)
(v) Var(X)
(vi) Cov(X,Y).

Solution:
 
i) E( X )    xf ( x, y ) dxdy
 
54
 xy 
=   x dxdy
1 0  96 
8
=
3
 
ii) E (Y )    yf ( x, y ) dxdy
 
54
 xy 
=   y dxdy
1 0  96 
31
=
9
 
iii) E ( XY )    xyf ( x, y ) dxdy
 
54  xy 
=   xy dxdy
10  96 
248
=
27
8 31 47
iv) E[2 X  3Y ]  2 E ( X )  3E (Y ) = 2. + 3. =
3 9 3
v) We know that, Var ( X )  E ( X 2 )  [ E ( X )]2

x
2 2
Now, E ( X )  f ( x)dx =8


 Var ( X )  E ( X 2 )  [ E ( X )]2
8 2
= 8 -  
8
=
3 9
vi) Cov( X , Y )  E ( XY )  E ( X ).E (Y )
248  8  31 
= -   
27  3  9 
=0

1. If the joint pdf of (XY) is given by f ( x, y )  24 y (1  x), 0  y  x  1 ,


then find E(XY).

Solution:
 
We know that, E ( XY )    xyf ( x, y ) dxdy
 
11
=   xyf ( x, y ) dxdy {since x varies from y to
0y
1,
y varies from 0 to 1}

11
2
= 24   xy (1  x) dxdy
0y
1 1 y2 y 3 
= 24  y  
2
 dy
0 6 2 3 
1
 y3 y5 y6 
= 24    
 18 10 18 
0
4
=
15

2. If X and Y is a two dimensional R.V uniformly distributed over the


4x
triangular region R bounded by y  0, x  3 and y  . Find f (x),
3
f ( y ), E ( X ), Var(X), E (Y ),  XY .

Solution:
Given X and Y are uniformly distributed .
Therefore, f ( x, y )  k (a cons tan t )
We know that,   f ( x, y )dxdy  1
4 3
kdxdy  1
That is, 0 3y
4
4
 k  [ x ]33 y dy  1
0
4
4 3y 
 k  3  dy  1
0 4 
1
 6k  1  k 
6
3 3 1
f ( y )   f ( x, y ) dx dx 1
3y = 3y 6 = (4  y ),0  y  4
8
4 4
4x
3 1 2
f ( x)   dy = 9 x,0  x  3
0 6
 32
E( X )   xf ( x ) dx =  x 2 dx = 2
 09
 4y 4
E (Y )   yf ( y ) dy =  ( 4  y ) dy 
 08 3
 9
E ( X 2 )   x 2 f ( x )dx 
 2
 8
E (Y 2 )   y 2 f ( y ) dy 
 3
1
Var ( X )  E ( X 2 )  [ E ( X )]2 =
2
8
Var (Y )  E (Y 2 )  [ E (Y )] 2 =
9
1 4 3
E ( XY )    xydxdy
6 0 3y =3
4
E ( XY )  E ( X ) E (Y ) 1
Now,  XY  =
 X . Y 2

Moments are a set of statistical parameters to measure a distribution. Four


moments are commonly used:

 1st, Mean: the average


 2d, Variance:
o Standard deviation is the square root of the variance: an indication
of how closely the values are spread about the mean. A small
standard deviation means the values are all similar. If the
distribution is normal, 63% of the values will be within 1 standard
deviation.
 3d, Skewness: measure the asymmetry of a distribution about its peak; it
is a number that describes the shape of the distribution.
o It is often approximated by Skew = (Mean - Median) / (Std dev).
o If skewness is positive, the mean is bigger than the median and
the distribution has a large tail of high values.
o If skewness is negative, the mean is smaller than the median and
the distribution has a large tail of small values.
 4th: Kurtosis: measures the peakedness or flatness of a distribution.
o Positive kurtosis indicates a thin pointed distribution.
o Negative kurtosis indicates a broad flat distribution.
o

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