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Slide - 4 - 02 (Lecture 4.2 Expectation)

Uploaded by

inomert9
Copyright
© © All Rights Reserved
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ECE 302: Lecture 4.

2 Expectation

Prof Stanley Chan

School of Electrical and Computer Engineering


Purdue University

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From last lecture

Today’s lecture: How to compute expectation?

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Outline

Expectation
Properties
Existence of expectation
Moment and variance

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Definition
Definition
The expectation of a continuous random variable X is
Z
E[X ] = x fX (x)dx. (1)
Ω

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Examples
Example 1. (Uniform random variable) Let X be a continuous random
1
variable with PDF fX (x) = b−a for a ≤ x ≤ b, and 0 otherwise. Find E[X ]

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Examples
Example 2. (Exponential random variable) Let X be a continuous random
variable with PDF fX (x) = λe −λx , for x ≥ 0. Find E[X ].

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Function of random variables
Theorem
Let g : Ω → R be a function and X be a continuous random variable, then
Z
E[g (X )] = g (x) fX (x)dx. (2)
Ω

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Example
Example 1. (Uniform random variable) Let X be a continuous random
1
variable with fX (x) = b−a for a ≤ x ≤ b, and 0 otherwise. Find E[X 2 ].

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Example
1
Example 2. Let Θ be a continuous random variable with PDF fΘ (θ) = 2π
for 0 ≤ θ ≤ 2π and is 0 otherwise. Let Y = cos(ωt + Θ). Find E[Y ].

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Example
Example 3. Let A ⊆ Ω. Let IA (X ) be an indicator function such that
(
1, if X ∈ A,
IA (X ) =
0, if X 6∈ A.
Find E[IA (X )].

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Properties
Theorem
E[aX ] = aE[X ]: Scalar multiple of random variable will scale the
expectation.
E[X + a] = E[X ] + a: Constant addition of a random variable will
offset the expectation.
E[aX + b] = aE[X ] + b: Linear transformation of a random variable
will translate to the expectation.

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Existence of expectation

Definition
A random variable X has an expectation if it is absolutely integrable, i.e.,
Z
E[|X |] = |x|fX (x)dx < ∞. (3)
Ω

Example. Let X be a Cauchy random variable with PDF


1
fX (x) = , x ∈ R. (4)
π(1 + x 2 )

Then X does not have E[X ].

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Mean of Cauchy distribution

We can evaluate:
Z ∞
1
E[|X |] = |x| · dx
−∞ π(1 + x 2 )
Z ∞
2 x
= dx.
π 0 (1 + x 2 )

The integral gives


Z ∞ ∞
x 1
2
dx = log(1 + x 2 ) = ∞.
0 (1 + x ) 2 0

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Moment and variance
Definition
The kth moment of a continuous random variables X is
Z
k
E[X ] = x k fX (x)dx. (5)
Ω

Definition
The variance of a continuous random variables X is
Z
Var[X ] = E[(X − µ)2 ] = (x − µ)2 fX (x)dx, (6)
Ω

def
where µ = E[X ].

Var[X ] = E[X 2 ] − µ2 , (7)


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Example
Example. (Uniform random variable) Let X be a continuous random
1
variable with PDF fX (x) = b−a for a ≤ x ≤ b, and 0 otherwise. Find
Var[X ].
a+b a2 +ab+b 2
Hint: We have shown that E[X ] = 2 and E[X 2 ] = 3 .

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Summary

Expectation
R
E[X ] = Ω xf
R X (x)dx
E[g (X )] = Ω g (x)fX (x)dx
Properties
E[aX ] = aE[X ]
E[X + a] = E[X ] + a
E[aX + b] = aE[X ] + b
Existence of expectation
E[X ] exists when E[|X |] < ∞
Moment and variance
Var[X ] = E[X 2 ] − µ2

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Questions?

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