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Week01 Workshop

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Loh Jun Xian
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15 views

Week01 Workshop

Uploaded by

Loh Jun Xian
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Week 1: Probability revision

Workshop aims
• Probability revision

• To look at some properties of Gaussian random variables

Recommended questions: 1.1, 2.2, 2.3

1 Random variables
1.1 Let X : Ω → R and Y : Ω → R be two random variables with probability density functions fX : R → R and
fY : R → R respectively, and with joint probability density function fX,Y : R2 → R. Show that, for any α, β ∈ R,
we have
E (αX + βY ) = αE (X) + βE (Y ) .

1.2 Now let X and Y be independent. Show that

V (X + Y ) = V (X) + V (Y ) .

2 Gaussian distribution
2.1 Consider a Gaussian random variable X : Ω → R with X ∼ N µ, σ 2 , where σ > 0. Show, using the


probability density function for X, that


E (X) = µ,
and
V (X) = σ 2 .

Hint: The probability density function for X is

1 (x−µ)2
fX (x) = √ e− 2σ 2 .
2πσ 2
R∞
Considering µ = 0, σ = 1, and noting that −∞ fX (x) dx = 1, leads to the standard integral
Z ∞ x2 √
e− 2 dx = 2π.
−∞

2.2 Given an a ∈ R, show that


1 2 2
E eaX = eaµ+ 2 a σ .


2.3 Let g : R → R be a smooth bounded function. Show that

E [Xg (X)] = σ 2 E g 0 (X) + µE (g (X)) .


 

1
3 Independent Gaussian random variables
Let X : Ω → R and Y : Ω → R be jointly Gaussian random variables. That is, Q = (X, Y )T is a multi-variate
Gaussian random variable. Show that if

E [(X − E (X)) (Y − E (Y ))] = 0

then X and Y are independent.


Hint: We have Q ∼ N (m, S), where m ∈ R2 and where S is a real symmetric non-negative definite matrix. You
may assume that S is invertible – so that it is symmetric positive definite. The probability density function for Q
is then
1 1 T −1
fQ (q) = q e− 2 (q−m) S (q−m) ,
(2π)2 det S

where q = (x, y)T .

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