Operations on One Random Variable— Expectation Expectation is the name given to the process of averaging when a random variable is involved. For a random variable X, we use the notation £|X], which may be read “the mathematical expectation of X," “the expected value of X," “the mean value of X,” or “the statistical average of X.” Occasionally we also use the notation X, which is read the same way as ELX]; that is, ¥ = BEX] EXAMPLE Ninety people are randomly selected and the fractional dollar value of coins in their pockets is counted. If the count goes above a dollar, the dollar value is discarded and only the portion from O¢ to 99¢ is accepted. It is found that 8, 12, 28, 22, 15, and 5 people had 184, 45¢, 649, 72¢, 77f, and 95¢ in their pockets, respectively. ‘Our everyday experiences indicate that the average of these values is 22" Average $= 0. 18(¢z) +045($5 3) +0. (5 3) + +0. nF) +0.77| G) +0. 95(5) 30.632 Expected Value of a Random Variable The everyday averaging procedure used in the above example carries over directly to random variables. In fact, if X is the discrete random variable “fractional dollar value of pocket coins,” it has 100 discrete values x; that occur with probabilities P(x), and its expected value F(X] is found in the same way as in the example: 10 BUX) =) xP) raIn general, the expected value of any random variable X is defined by fe gx=%= J ahead IX happens to be discrete with W possible values x; having probabilities P(r) of occurrence, then N Sol) = D7 Pla — x) iat Upon substitution x E\X]=)°x:P(x) discrete random variable Expected Value of a Function of a Random Variable As will be evident in the next section, many useful parameters relating to a random variable X can be derived by finding the expected value of a real function g(-) of X, It can be shown that this expected value is given by Hey) = [7 seo 00a If X is « discrete random variable, x EIB) = ae PGi) discrete random variable tai where N may be infinite for some random variables.MOMENTS, An immediate application of the expected value of a function g¢) of'a random variable X is in calculating moments, Two types of moments are of interest, those about the origin and those about the mean. Moments about the Origin The function =A" 2 =0,1,2, gives the moments about the origin of the random vari- able X. Denote the nth moment by m,. Then, eo J 2h de ee Clearly mg = 1, the area of the function f(x), while m =X, the expected value of X. My = EEX" Central Moments Moments about the mean value of X are called central moments and are given the symbol j4,. They are defined as the expected value of the function eX) =(X¥—X)" nv =0,1,2,... which is te BC 801 FG DYfeled abs ‘The moment jeg = 1, the area of f(x), while 441 = 0. (Why?) Variance The second central moment jz is so important we shall give it the name variance and the special notation o}. Thus, variance is given by Aan = Bx Ha |" Diets dcThe positive square root oy of variance is called the standard deviation of X; it is a measure of the spread in the function f;(x) about the mean. Variance can be found from a knowledge of first and second moments. By expanding oy = EX? ~ 2H +X] = BLN] — 2K ELT + ¥* = EX} X? =m — mi Chebychev’s Inequality A useful tool in some probability problems is Chebychev's inequality. For a random variable X with mean value Y and variance o¥, it states that PIX — X12 < 03/2 for any €>0. This expression can be demonstrated by integration of the probability density _ i a a rix—fiza=[ “pcoees |” peoar= |" penae eo ted But since oo ' ; a= [Pe -BAcoaee |” FP reeoae ? Piix—X| >} > ef” Su) de = Ie-diee must be true, we solve to show the validity of EXAMPLE, We find the largest probability that any random variable’s values are smaller than its mean by 3 standard deviations or larger than its mean by the same amount. This probability is P(X > X + 30y}+- PUX < ¥—3ex) = PX — ¥| > 3oy). with ¢=3ox we have P{\X — X| > 30x} < AiGoxe = 1/9, or about 11.1%.