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4.2 Expected Value and Variance of Continuous Random Variables

This document discusses calculating the expected value and variance of continuous random variables. It defines the expected value of a continuous random variable X with probability density function f(x) as the integral from negative infinity to positive infinity of x*f(x) dx. The variance is defined similarly using the expected value of X^2 and subtracting the expected value squared. As an example, it calculates the expected value and variance for a continuous random variable X representing the time waited for an elevator using its given probability density function.

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JoséBorj
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104 views

4.2 Expected Value and Variance of Continuous Random Variables

This document discusses calculating the expected value and variance of continuous random variables. It defines the expected value of a continuous random variable X with probability density function f(x) as the integral from negative infinity to positive infinity of x*f(x) dx. The variance is defined similarly using the expected value of X^2 and subtracting the expected value squared. As an example, it calculates the expected value and variance for a continuous random variable X representing the time waited for an elevator using its given probability density function.

Uploaded by

JoséBorj
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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4.

2: Expected Value and Variance of Continuous Random Variables


We now consider the expected value and variance for continuous random variables. Note that the interpretation of each is the same
as in the discrete setting, but we now have a different method of calculating them in the continuous setting.

Definition 4.2.1
If X is a continuous random variable with pdf f (x), then the expected value (or mean) of X is given by
∞

μ = μX = E[X] = ∫ x ⋅ f (x) dx.

−∞

The formula for the expected value of a continuous random variable is the continuous analog of the expected value of a discrete
random variable, where instead of summing over all possible values we integrate (recall Sections 3.6 & 3.7).
For the variance of a continuous random variable, the definition is the same and we can still use the alternative formula given by
Theorem 3.7.1, only we now integrate to calculate the value:
∞
⎛ ⎞
2 2 2 2
Var(X) = E[ X ] −μ =⎜∫ x ⋅ f (x) dx ⎟ − μ
⎝ ⎠
−∞

Example 4.2.1
Consider again the context of Example 4.1.1, where we defined the continuous random variable X to denote the time a person
waits for an elevator to arrive. The pdf of X was given by

⎧ x,
⎪
for 0 ≤ x ≤ 1

f (x) = ⎨ 2 − x, for 1 < x ≤ 2


⎩
⎪
0, otherwise

Applying Definition 4.2.1, we compute the expected value of X:


1 2 1 2

2 2
1 2
E[X] = ∫ x ⋅ x dx + ∫ x ⋅ (2 − x) dx = ∫ x dx + ∫ (2x − x ) dx = + = 1.
3 3
0 1 0 1

Thus, we expect a person will wait 1 minute for the elevator on average. Figure 1 demonstrates the graphical representation of the
expected value as the center of mass of the pdf.

Figure 1: The red arrow represents the center of mass, or the expected value, of X.
Now we calculate the variance and standard deviation of X, by first finding the expected value of X . 2

4.2.1 https://stats.libretexts.org/@go/page/3268
1 2 1 2

1 11 7
2 2 2 3 2 3
E[ X ] =∫ x ⋅ x dx + ∫ x ⋅ (2 − x) dx = ∫ x dx + ∫ (2 x − x ) dx = + = .
4 12 6
0 1 0 1

Thus, we have

2 2
7 1
Var(X) = E[ X ] −μ = −1 =
6 6
−−−−−− 1
⇒  SD(X) = √Var(X) = ≈ 0.408
–
√6

This page titled 4.2: Expected Value and Variance of Continuous Random Variables is shared under a not declared license and was authored,
remixed, and/or curated by Kristin Kuter.

4.2.2 https://stats.libretexts.org/@go/page/3268

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