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Mathematical Statistics: Prof. Dr. M. Junaid Mughal

1) The document discusses key concepts in mathematical statistics including the mean, variance, and covariance of distributions and random variables. 2) It provides formulas for calculating the mean and variance of discrete and continuous distributions and the variance of functions of random variables. 3) The document also defines covariance as a measure of the association between two random variables, provides the formula for calculating covariance, and discusses how it indicates the nature of the relationship between dependent variables.

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Khan Dr
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45 views19 pages

Mathematical Statistics: Prof. Dr. M. Junaid Mughal

1) The document discusses key concepts in mathematical statistics including the mean, variance, and covariance of distributions and random variables. 2) It provides formulas for calculating the mean and variance of discrete and continuous distributions and the variance of functions of random variables. 3) The document also defines covariance as a measure of the association between two random variables, provides the formula for calculating covariance, and discusses how it indicates the nature of the relationship between dependent variables.

Uploaded by

Khan Dr
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPTX, PDF, TXT or read online on Scribd
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Mathematical Statistics

Lecture 16
Prof. Dr. M. Junaid Mughal

1
Last Class

• Statistical Independence
• Mean and Variance of a distribution

2
Today’s Agenda

• Mean and Variance (continued)


• Theorems on Variance
• Covariance

3
Mean of a function of Random Variable

4
Example

5
Example

6
Mean of Joint Dist.

• Let X and Y be random variables with joint


probability distribution f(x, y). The meanor
expectedvalue of the random variable g(X, Y)
is

if X and Y are discrete, and

if X and Y are continuous.

7
Example

• Let X and Y be the random variables with


joint probability distribution indicated in given
Table. Find the expected value of g(X, Y) = XY

8
Example

Find E(X/Y)for joint density function


0 < x < 2, 0 < y < 1 and f(x, y) = 0 elsewhere

9
Variance

• Let X be a random variable with probability


distribution f(x) and mean μ the variance of X
is

if X is discrete and

if X is continuous.
• Positive square root of variance is called
StandardDeviation.

10
Example
The weekly demand of a product is x having the prob.
distribution

Find mean and variance of x.

11
Variance of a function of Random Variable

12
Example

13
Example

variance

14
Covariance

15
Covariance
• The covariance between two random variables is a
measurement of the nature of the association
between the two.
• If large values of X often result in large values of Y
or small values of X result in small values of Y. Then
positive (x — µx) will often result in positive (y — µy),
and negative (x — µx) will often result in negative (y
— µy). Thus (x — µx)(y — µy) will tend to be positive.
• On the other hand, if large X values often result in
small Y values, the product (x — µx)(y — µy) will tend
to be negative.
• Thus the sign of the covariance indicates whether
the relationship between two dependent random
variables is positive or negative.

16
Covariance

• When X and Y are statistically independent, the


covariance is zero, because some of the values
of (x — µx)(y — µy) will be positive and some will
be negative, resulting in the sum to be zero.
• The converse, however, is not generally true.
Two variables may have zero covariance and
still not be statistically independent.
• Note that the covariance only describes the
linear relationship between two random
variables. Therefore, if a covariance between X
and Y is zero, X and Y may have a nonlinear
relationship, which means that they are not
necessarily independent.

17
Theorem

The covariance of two random variables X and


Y with means respectively is given by

Proof:

18
Summary

• Variance of a distribution
• Covariance

References
• Probability and Statistics for Engineers and
Scientists by Walpole
• Schaum outline series in Probability and
Statistics

19

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