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ME 571 Reliability in Engineering Design Module 3.3: Expectation and Variance of Functions of Random Variables

This document discusses the expected value and variance of functions of random variables. It covers continuous functions of one random variable, functions of two random variables, and the expected value and variance of sums, products, and quotients of independent random variables.

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Raj Mishra
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43 views6 pages

ME 571 Reliability in Engineering Design Module 3.3: Expectation and Variance of Functions of Random Variables

This document discusses the expected value and variance of functions of random variables. It covers continuous functions of one random variable, functions of two random variables, and the expected value and variance of sums, products, and quotients of independent random variables.

Uploaded by

Raj Mishra
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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ME 571 Reliability in Engineering Design

Module 3.3: Expectation and Variance of Functions of


Random Variables
Ganesh Subbarayan
Professor, School of Mechanical Engineering
Purdue University
Expected Value and Variance of Continuous
Function of Random Variables
If 𝜙(𝑥) is a continuous function of continuous random variable 𝑥
with probability density function (PDF) 𝑓(𝑥)

∞
𝐸𝜙 𝑥 = 𝜙ത = න 𝜙 𝑥 𝑓 𝑥 𝑑𝑥
−∞
∞
𝑉𝜙 𝑥 = 𝑠𝜙2 = න 𝜙 𝑥 − 𝜙ത 2 𝑓 𝑥 𝑑𝑥
−∞

G. Subbarayan, Purdue Univ. ME 571 Reliability in Engineering Design


Expected Value and Variance of Function of Two
Random Variables
If 𝜙(𝑥, 𝑦) is a continuous function of continuous random
variables 𝑥 and 𝑦 with joint probability density function (PDF)
𝑔(𝑥, 𝑦)

∞ ∞
𝐸 𝜙 𝑥, 𝑦 = 𝜙ሜ = න න 𝜙(𝑥, 𝑦) ⋅ 𝑔(𝑥, 𝑦)𝑑𝑥 𝑑𝑦
−∞ −∞

∞ ∞
𝑉[𝜙(𝑥, 𝑦)] = 𝑠𝜙2 = න ሜ 2 ⋅ 𝑔(𝑥, 𝑦)𝑑𝑥 𝑑𝑦
න [𝜙(𝑥, 𝑦) − 𝜙]
−∞ −∞

G. Subbarayan, Purdue Univ. ME 571 Reliability in Engineering Design


Expected Value and Variance of Sum of Two
Independent Random Variables
𝜙(𝑥, 𝑦) = 𝑥 ± 𝑦, 𝑥 and 𝑦 are independent,

𝐸(𝑥 ± 𝑦) = 𝜇𝑥±𝑦 = 𝜇𝑥 ± 𝜇𝑦

2
𝑉(𝑥 ± 𝑦) = 𝜎𝑥±𝑦 = 𝜎𝑥2 + 𝜎𝑦2

G. Subbarayan, Purdue Univ. ME 571 Reliability in Engineering Design


Expected Value and Variance of Product of Two
Independent Random Variables

𝜙 𝑥, 𝑦 = 𝑥𝑦, 𝑥 and 𝑦 are independent,

𝐸 𝑥𝑦 = 𝜇𝑥𝑦 = 𝜇𝑥 𝜇𝑦

2
𝑉(𝑥𝑦) = 𝜎𝑥𝑦 = 𝜇𝑥2 𝜎𝑦2 + 𝜇𝑦2 𝜎𝑥2 + 𝜎𝑥2 𝜎𝑦2

G. Subbarayan, Purdue Univ. ME 571 Reliability in Engineering Design


Expected Value and Variance of Quotient of Two
Independent Random Variables

𝑦
𝜙 𝑥, 𝑦 = , 𝑥 and 𝑦 are independent,
𝑥

𝑦 𝜇𝑦
𝐸 = 𝜇𝑦/𝑥 =
𝑥 𝜇𝑥

2 2 2 2
𝑦 2
𝜇 𝜎
𝑦 𝑥 + 𝜇𝑥 𝜎𝑦
𝑉 = 𝜎𝑦/𝑥 =
𝑥 𝜇𝑥4
G. Subbarayan, Purdue Univ. ME 571 Reliability in Engineering Design

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