Mathematical Expectation

Mean of a Random Variable:

Definition:
Let X be a random variable with a probability
distribution 𝑓(𝑥) . The mean (or expected
value) of X is denoted by 𝜇𝑋 (or E(X)) and is
defined by:

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Example:
A shipment of 8 similar microcomputers to a retail
outlet contains 3 that are defective and 5 are non-
defective. If a school makes a random purchase of
2 of these computers, find the expected number of
defective computers purchased
Solution:
Let X = the number of defective computers
purchased. we found that the probability
distribution of X is:

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4
 The expected value of the number of defective
computers purchased is the mean (or the expected
value) of X, which is:
2

𝐸 𝑋 = 𝜇𝑋 = 𝑥. 𝑓(𝑥)
𝑥=0
= 0. 𝑓 0 + 1. 𝑓 1 + 2. 𝑓 2

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Example
Let X be a continuous random variable that
represents the life (in hours) of a certain electronic
device. The pdf of X is given by:

Find the expected life of this type of devices.

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Solution:

hours
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Theorem
Let X be a random variable with a probability
distribution 𝑓(𝑥), and let 𝑔(𝑋) be a function of the
random variable 𝑋. The mean (or expected value)
of the random variable 𝑔(𝑋) is denoted by 𝜇𝑔(𝑋) (or
𝐸[𝑔(𝑋)]) and is defined by:

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Example:
Let X be a discrete random variable with the
following probability distribution

Find 𝐸[𝑔(𝑋)], where 𝑔(𝑋) = (𝑋 − 1)2.

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Solution:

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Example
Let X be a continuous random variable that
represents the life (in hours) of a certain electronic
device. The pdf of X is given by:

1
Find 𝐸
𝑥
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Solution:

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Variance (of a Random Variable)
The most important measure of variability of a
random variable X is called the variance of X and
is denoted by 𝑉𝑎𝑟(𝑋) or 𝜎 2

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Definition
Let X be a random variable with a probability
distribution 𝑓(𝑥) and mean μ. The variance of X is
defined by:

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Definition: (standard deviation)

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Theorem

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

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Solution:

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Example

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Solution:

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Means and Variances of Linear Combinations of
Random Variables

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Theorem
If X is a random variable with mean 𝜇 = 𝐸(𝑋), and
if a and b are constants, then:
𝐸(𝑎𝑋 ± 𝑏) = 𝑎 𝐸(𝑋) ± 𝑏 ⇔ 𝜇𝑎𝑋±𝑏 = 𝑎𝜇𝑋 ± 𝑏

Corollary 1: E(b) = b (a=0 in Theorem)

Corollary 2: E(aX) = a E(X) (b=0 in Theorem)

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Example
Let X be a random variable with the following
probability density function:

Find E(4X+3).

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Solution:

Another solution:

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Theorem:

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Corollary:

If X, and Y are random variables, then:

𝐸(𝑋 ± 𝑌) = 𝐸(𝑋) ± 𝐸(𝑌)

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Theorem
If X is a random variable with variance
𝑉𝑎𝑟 𝑥 = 𝜎𝑥2
and if a and b are constants, then:

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Theorem:

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Corollary:
If X, and Y are independent random variables, then:

• Var(aX+bY) = a2 Var(X) + b2 Var (Y)

• Var(aX−bY) = a2 Var(X) + b2 Var (Y)

• Var(X ± Y) = Var(X) + Var (Y)

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Example:
Let X, and Y be two independent random variables
such that E(X)=2, Var(X)=4, E(Y)=7, and
Var(Y)=1. Find:
1. E(3X+7) and Var(3X+7)
2. E(5X+2Y−2) and Var(5X+2Y−2).

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Solution:
1. E(3X+7) = 3E(X)+7 = 3(2)+7 = 13
Var(3X+7)= (3)2 Var(X)=(3)2 (4) =36
2. E(5X+2Y−2)= 5E(X) + 2E(Y) −2= (5)(2) +
(2)(7) − 2= 22
Var(5X+2Y−2)= Var(5X+2Y)= 52 Var(X) + 22
Var(Y) = (25)(4)+(4)(1) = 104

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Chebyshev's Theorem
Suppose that X is any random variable with mean
𝐸(𝑋) = 𝜇 and variance 𝑉𝑎𝑟(𝑋) = 𝜎 2 and standard
deviation 𝜎.
Chebyshev's Theorem gives a conservative estimate
of the probability that the random variable X
assumes a value within k standard deviations (𝑘𝜎)
of its mean μ, which is
𝑃(𝜇 − 𝑘𝜎 < 𝑋 < 𝜇 + 𝑘𝜎).
1
𝑃(𝜇 − 𝑘𝜎 < 𝑋 < 𝜇 + 𝑘𝜎) ≈ 1 − 2
𝑘
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35
Theorem

Let X be a random variable with mean 𝐸(𝑋)

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Example
Let X be a random variable having an unknown
distribution with mean μ=8 and variance σ2=9
(standard deviation σ=3). Find the following
probability:
(a) P(−4 <X< 20)
(b) P(|X−8| ≥ 6)

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Solution:
(a) P(−4 <X< 20)= ??

(−4 < 𝑋 < 20) = (𝜇 − 𝑘𝜎 < 𝑋 < 𝜇 + 𝑘𝜎)

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or

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Another solution for part (b):

P(|X−8| < 6) = P(−6 <X−8 < 6)

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Moments of Random
Variables
The kth moment of X.

k  E  X k 

  xk p  x  if X is discrete
 x
 
  x k f  x  dx if X is continuous
-
the kth central moment of X

  E X   

0 k
k
 
   x   k p  x  if X is discrete
 x
 
   x   k f  x  dx if X is continuous
-

where  = 1 = E(X) = the first moment of X .

  etx p  x  if X is discrete
 x
mX  t   E e    
tX

  etx f  x  dx if X is continuous


 k 2 3 k
u u u u
e    1 u   
u
 
k 0 k ! 2! 3! k!
 Properties of
Moment Generating Functions
1. mX(0) = 1

mX  t   E  etX  , hence mX  0   E  e0 X   E 1  1

2! 3! k!
We use the expansion of the exponential function:
2 3
u u uk
eu  1  u     
2! 3! k!
 
mX  t   E etX
 t2 2 t3 3 tk k 
 E 1  tX  X  X   X  
 2!
2
3!
3
k!
k

t
  t
 1  tE  X   E X  E X   E X k 
2!
2

3!
3
 
t
k!
 
t2 t3 tk
 1  t 1  2  3   k 
2! 3! k!
 k
d
3. mX  0   k mX  t    k
k 
dt t 0

Now 2 2 3 3 k k
mX  t   1  1t  t  t   t 
2! 3! k!
2 3 2 k k 1
mX  t   1  2t  3t   kt 
2! 3! k!
3 2 k k 1
 1  2t  t   t 
2!  k  1!
and mX  0   1
4 k
mX  t   2  3t  t   t k 2 
2!  k  2 !
and mX  0   2
continuing we find mX k 
 0   k
If k is odd: k = 0.

2 k 1
For even 2k:  k
 2k  ! 2 k !
or 2 k 
 2k  !
k
2 k!

2! 4!
Thus 1  0, 2   1, 3  0, 4  2 3
2 2  2!