Chapter 4: Mathematical Expectation

Definition 4.1

Let X be a random variable with probability distribution f(x). The

mean or expected value of X is

 = E ( x) =  xf ( x)
x

If X is discrete, and


 = E ( x) =  xf ( x)dx
−

Example 4.1

A lot containing 7 motorcycle headlights is sampled by a quality

inspector; the lot contains 4 good headlights and 3 defective
headlights. A sample of 3 is taken by the inspector. Find the expected
value of the number of good headlights in this sample.

ANS:
Let x represent the number of good headlights in the sample. The
probability distribution of x is

 4  3 
  
−
f ( x) =   
x 3 x
7 , X = 0, 1, 2, 3.
 
 3

f(0) = 1/35, f(1) = 12/35, f(2) = 18/35, f(3) = 4/35

 = E ( x) = 0(1 / 35) + 1(12 / 35) + 2(18 / 35) + 3(4 / 35) = 12 / 7

Example 4.2

In a gambling game a man is paid $5 if he gets all heads or all tails

when three coins tossed, and he will pay out $3 if either one or two
heads show. What is his expected gain?

ANS:

S = {HHH, HHT, HTH, THH, HTT, THT, TTH, TTT}

Each of these possibilities is equally likely and occurs with probability

equal to 1/8.

The random variable of interest is Y, the amount the gambler can win;
and the possible values of Y are $5 if event E1 = {HHH, TTT} occurs
and -$3 if event

E2 = {HHT, HTH, THH, HTT, THT, TTH}

 = E (Y ) = 5 p( E1 ) + (−3) p( E 2 ) = 5(1 / 4) + (−3)(3 / 4) = −1

Example 4.3

Let X be the random variable that denotes the life in hours of a traffic
light. The probability density function is

 20000
 , x  100
f ( x) =  x 3
0, elsewhere

Find the expected life of this type of device

ANS:

 
20000 20000
 = E ( X ) =  x 3 dx =  2
dx =200
100
x 100
x

Therefore, we can expect this type of device to last, on average, 200

hours.

Theorem 4.1

Let X be a random variable with probability distribution f(x). The

expected value of the random variable g(X) is

 g ( x ) = E ( g ( x)) =  g ( x) f ( x)
x

If X is discrete, and

 g ( x ) = E ( g ( x)) =  g ( x) f ( x)dx
−

If X is continuous.
Example 4.4

Suppose that the number of X that pass though a car wash between
4:00 pm and 5:00 pm on any sunny Friday has the following
probability distribution:

X 4 5 6 7 8 9
P(X=x) 1/12 1/12 ¼ 1/4 1/6 1/6

Let g(x) = 2x-1 represent the amount of money in dollars, paid to the
attendant by the manager. Find the attendant’s expected earnings for
this particular time period.

ANS:

9
E ( g ( x)) = E (2 x − 1) =  (2 x − 1) f ( x)
x=4

= 7(1 / 12) + 9(1 / 12) + 11(1 / 4) + 13(1 / 4) + 15(1 / 6) + 17(1 / 6) = $12.67

Example 4.5

Let X be a random variable with density function

 x2

f ( x) =  3 , − 1  x  2
0, elsewhere

Find the expected value of g(x) =4x+3

ANS:

(4 x + 3) x 2
2 2
1
E (4 x + 3) =  dx =  (4 x 3 + 3x 2 )dx =8
−1
3 3 −1
Definition 4.2

Let X and Y be random variables with joint probability distribution

f(x,y). The mean or expected value of the random variable g(x,y) is

 g ( x , y ) = E ( g ( x, y )) =  g ( x, y ) f ( x, y )
x y
If X and Y are discrete, and

 
 g ( x , y ) = E ( g ( x, y )) =   g ( x, y) f ( x, y)dx
−−

Example 4.6

Let X and Y be the random variables with joint probability distribution

indicated in Table below. Find the expected value of g(x,y) =xy.

f(x,y) x Row Totals

0 1 2
0 3 9 3 15
Y 28 28 28 28
1 3 3 0 3
14 14 7
2 1 0 0 1
28 28
Column Totals 5 15 3 1
14 28 28

2 2
E ( xy) =  xyf ( x, y ) = (0)(0) f (0,0) + (0)(1) f (0,1) + .. + (2)(0) f (2,0) +
x =0 y

.. + (1)(1) f (1,1) = 3 / 14
Example 4.7
Find E(y/x) for the density function

 x(1 + 3 y 2 )
 , 0  x  2, 0  y  1
f ( x, y ) =  4
 0, elsewhere

ANS:
y (1 + 3 y 2 ) y + 3y3
1 2 1
5
E ( y / x) =   dxdy =  dy =
0 0
4 0
2 8

Tutorial
1. In a gambling game a woman is paid $3 if she draws a jack or
a queen and $5 if she draws a king or an ace from an ordinary deck
of 52 playing cards. If she draws any other card, she loses. How
much should she pay to play if the game is fair?

2. A private pilot wishes to insure his airplane for $200,000. The

insurance company estimates that a total loss may occur with
probability 0.002, a 50% loss with probability 0.01, and a 25% loss
with probability 0.1. Ignoring all other partial losses, what premium
should the insurance company charge each year to realize an
average profit of $500?

3. Suppose that X and Y have the following joint probability

function:

f(x,y) x
2 4
1 0.10 0.15
y 3 0.20 0.30
5 0.10 0.15

a. Find the expected value of g(x,y) =xy2

b. Find  x and  y
4. A bus company purchases several new buses at the end of
each year, the exact number depending on the frequency of repairs
in the previous year. Suppose that the number of buses, X, that are
purchased each year has the following probability distribution:

X 0 1 2 3
f(x) 1/10 3/10 2/5 1/5

If the cost of the desired model will remain fixed at $1200

throughout this year and a discount of 50X2 dollars is credited toward
any purchase, how much can this firm expect to spend on new buses
at the end of this year?

Variance and Covariance of Random Variables

Definition 4.3

Let X be a random variable with probability distribution f(x) and

mean, μ. The variance of X is

 
 2 = E (x −  )2 =  (x −  )2 f ( x) if X is discrete, and
x

   (x −  )

 = E (x −  ) =
2 2 2
f ( x)dx if X is continuous
−

The positive square root of the variance, σ, is called the standard

deviation of x.
Example 4.8

Let the random variable X represent the number of automobiles that

are used for official business purpose on any given workday. The
probability distribution for company A is

x 1 2 3
f(x) 0.3 0.4 0.3

and for company B is

x 0 1 2 3 4
f(x) 0.2 0.1 0.3 0.3 0.1

Show that the variance of the probability distribution for company B

is greater than that of company A.

ANS:

For company A:

 = E ( x) = 1(0.3) + 2(0.4) + 3(0.3) = 2.0

3
 =  ( x − 2) 2 f ( x) = (1 − 2) 2 (0.3) + (2 − 2) 2 (0.4) + (3 − 2) 2 (0.3) = 0.6
2
A
x =1

For company b:

 = E ( x) = 0(0.2) + 1(0.1) + 2(0.3) + 3(0.3) + 4(0.1) = 2.0

4
 =  ( x − 2) 2 f ( x) = (0 − 2) 2 (0.2) + (1 − 2) 2 (0.1) + (2 − 2) 2 (0.3) + (3 − 2) 2 (0.3)
2
B
x =0

+ (4 − 2) 2 (0.1) = 1.6
Theorem 4.2
The variance of a random variable X is
 2 = E(x 2 ) −  2

Example 4.9

Let the random variable X represent the number of defective parts

for a motorcycle headlight when 3 parts are sampled from a
production line and tested. The following is the probability
distribution of X.

X 0 1 2 3
f(x) 0.51 0.38 0.10 0.01

ANS:
 = E ( x) = 0(0.51) + 1(0.38) + 2(0.10 ) + 3(0.01) = 0.61
E ( x 2 ) = 0(0.51) + 1(0.38) + 4(0.10 ) + 9(0.01) = 0.87
 2 = 0.87 − (0.61) 2 = 0.4979

Example 4.10
The weekly demand for petrol, in thousands lf liters, from a local
chain of efficiency stores, is a continuous random variable X having
the probability density
2( x − 1) 1 x  2
f ( x) = 
 0 elsewhere
Find the mean and variance of X

ANS:
2
5
 = E ( x) = 2 x( x − 1)dx =
1
3
2
17
E ( x 2 ) = 2 x 2 ( x − 1)dx =
1
6
17 5 2 1
2 = −( ) =
6 3 18
Theorem 4.3

Let X be a random variable with probability distribution f(x). The

variance of the random variable g(X) is

 
 g2( X ) = E (g ( X ) −  g ( X ) )2 =  (g ( X ) −  g ( X ) )2 f ( x)
x
if X is discrete, and

   (g ( X ) −  )

 = E (g ( X ) −  g ( X ) ) =
2 2 2
g(X ) g(X ) f ( x)dx
−
if X is continuous

Example 4.11

Calculate the variance of g(X) = 2X +3, where X is a random variable

with probability distribution

X 0 1 2 3
f(x) 1/4 1/8 1/2 1/8

ANS:

3
 2 X +3 = E (2 X + 3) =  (2 x + 3) f ( x) = 6
x =0

 
 22X +3 = E ((2 X + 3) −  2 x +3 )2 = E (2 X + 3 − 6) 2 
3
= E (4 X − 12 X + 9) =  (4 X 2 − 12 X + 9) f ( x) = 4
2

x =0
Example 4.12

Let X be a random variable with density function

 x2

f ( x) =  3 , − 1  x  2
0, elsewhere
Find the variance of the random variable g(X)=4X+3

ANS:

(4 x + 3) x 2
2 2
1
E (4 x + 3) =  dx =  (4 x 3 + 3x 2 )dx =8
−1
3 3 −1

 
 42X +3 = E ((4 X + 3) − 8)2 = E (4 X − 5) 2 
2 2
x3 1 51
=  (4 x − 5) 2
dx =  (16 x 4 − 40 x 3 + 25 x 2 )dx =
−1
3 3 −1 5

Definition 4.4

Let X and Y be random variables with joint probability distribution

f(x,y). The covariance of X and Y is

 XY = E( X −  X )(Y − Y ) =  ( x −  x )( y −  y ) f ( x, y )
x y
If X and Y are discrete, and

 
 XY = E( X −  X )(Y − Y ) =   (x −  x )( y −  y ) f ( x, y )dxdy
−−
If X and Y are continuous.
Theorem 4.4

The covariance of two random variables X and Y with means μx and

μy, respectively, is given by

 XY = E XY  −  x  y

Example 4.13

Example 3.15 describes a situation involving the number of blue

refills X and the number of red refills Y. Two refills for a ballpoint pen
are selected as random from a certain box, the following is the joint
probability distribution.

f(x,y) X Row Totals

0 1 2
0 3 9 3 15
Y 28 28 28 28
1 3 3 0 3
14 14 7
2 1 0 0 1
28 28
Column Totals 5 15 3 1
14 28 28

Find the covariance of X and Y.

ANS:
2
 5   15   3  3
 x =  xg ( x) = 0  + 1  + 2  =
x =0  14   28   28  4
2
 5  3  1  1
 y =  yh( y) = 0  + 1  + 2  =
x =0    7   28  2
28
3  3  1   9
 XY = EXY  −  x  y = −    = − 
14  4  2   56 
Example 4.14

The fraction X of male car racers and the fraction Y of female car
racers who compete in car racing competition are described by the
joint density function.

8 xy, 0  y  x  1
f ( x, y ) = 
 0, elsewhere

Find the covariance of X and Y.

ANS:

We first compute the marginal density functions. They are

 4x3 , 0  x  1
g ( x) = 
0, elsewhere

4 y (1 − y 2 ), 0  y  1
h( y ) = 
 0, elsewhere

1 1
4 8
 x = E ( X ) =  4 x dx =
4
and  y = E (Y ) =  4 y 2 (1 − y 2 )dx =
0
5 0
15

1 1
4
E ( XY ) =  8 x 2 y 2 dxdy =
0 0
9
4  4  8 
 XY = EXY  −  x  y = −  
4
=
9  5  15  225
Tutorial:

1. The random variable X, representing the number of traffic

violations per 100 driving, has the following probability
distribution:

X 2 3 4 5 6
f(x) 0.01 0.25 0.4 0.3 0.04

Find the standard deviation of X.

2. The total number of hours, in units of 100 hours, that a family

riding a motorcar over a period of one year is a random
variable X having the density function

 x 0  x 1

f ( x ) = 2 − x 1 x  2
0
 elsewhere
Find the variance of X.

3. Let X denotes the number of times a traffic light will

malfunction: 1, 2, or 3 times on any given day. Let Y denotes
the number of times a technician is called on an emergency call.
Their joint probability distribution is given as

f(x,y) X
1 2 3
1 0.05 0.05 0.1
y 2 0.05 0.1 0.35
3 0 0.2 0.1

Find the covariance of the random variables X and Y.

4. A dealer’s profit, in units of $5000, on a new automobile is a
random variable X having the density function

2(1 − x), 0  x  1
f ( x) = 
 0, elsewhere

Find the variance of X.

Means and Variances of Linear Combinations of Random

Variables

Theorem 4.5

If a and b are constants, then

E (aX + b) = aE ( X ) + b

Corollary 4.1

Setting a =0, we see that

E (b ) = b

Corollary 4.2

Setting b =0, we see that

E (aX ) = aE ( X )
Example 4.15

Applying Theorem 4.5 to the discrete random variable f(X) = 2X-1,

rework Example 4.4.

ANS:

E(2X-1) = 2E(X) – 1

9
1 1  1  41
 = E ( X ) =  xf ( x) = 4  + 5  + .... + 9  =
x=4  12   12  6 6

 41 
 2 X −1 = 2  − 1 = 12.67
 6

Example 4.16

Applying Theorem 4.5 to the continuous random variable g(X) =

4X+3, rework Example 4.5.

ANS:

E (4 X + 3) = 4 E ( X ) + 3

2
 x2  2 3
x 5
E ( X ) =  x dx =  dx =
−1 
3  −1
3 4

5
E (4 X + 3) = 4  + 3 = 8
4
Theorem 4.6

The expected value of the sum or difference of two or more functions

of a random variable X is the sum or difference of the expected
values of the functions. That is,

E g ( X )  h( X ) = E g ( X )  E h( X )

Example 4.17

Let X be a random variable with probability distribution as follows:

X 0 1 2 3
f(x) 1/3 1/2 0 1/6

Find the expected value of Y = (X-1)2

ANS:

  ( )
E ( X − 1) 2 = E X 2 − 2 X + 1 = E ( X 2 ) − 2 E ( X ) + E (1)

1 1 1

E ( X ) = (0)  + (1)  + (2)(0) + (3)  = 1
 3  2 6

1 1 1

E ( X 2 ) = (0)  + (1)  + (4)(0) + (9)  = 2
 3 2 6

 
E ( X − 1) 2 = 2 − (2)(1) + 1 = 1
Example 4.18

The weekly petrol demand, in thousands of liters, at a chain of petrol

stations is a continuous random variable g(X) =X2+X-2, where X and
y have the density function

2( x − 1), 1  x  2
f ( x, y ) = 
 0, elsewhere

Find the expected value for the weekly petrol demand.

ANS:

( )
E X 2 + X − 2 = E ( X 2 ) + E ( X ) − E (2)

E (2 ) = 2

2 2
E ( X ) =  2 x( x − 1)dx = 2 ( x 2 − x)dx =
5
1 1
3

( ) =  2x
2 2
17
E X 2 2
( x − 1)dx = 2 ( x 3 − x 2 )dx =
1 1
6

(
E X 2 + X −2 = ) 17 5
+ −2=
6 3
5
2

So that the average weekly petrol demand is 2500 liters.

Theorem 4.7

The expected value of the sum or difference of two or more functions

of the random variables X and Y is the sum or difference of the
expected values of the functions. That is,

E g ( X , Y )  h( X , Y ) = E g ( X , Y )  E h( X , Y )

Corollary 4.3

Setting g ( X , Y ) = g ( X ) and h( X , Y ) = h(Y ) , we see that

E g ( X )  h(Y ) = E g ( X )  E h(Y )

Corollary 4.4

Setting g ( X , Y ) = X and h( X , Y ) = Y , we see that

E  X  Y  = E X   E Y 

Corollary 4.5

Let X and Y be two independent random variables. Then

 XY = 0

Theorem 4.8

Let X and Y be two independent random variables. Then

E XY  = E X E Y 
Example 4.19

In producing air-bag microchips, it is known that the ratio between

gallium and sip is independent of producing a high percentage of
workable wafers, which are the main components of microchips. Let
X denotes the ratio of gallium to sip and Y denotes the percentage of
workable microwafers retrieved during a 1-hour period. X and Y are
independent random variables with the joint density being known as

 x(1 + 3 y 2 )
 , 0  x  2,0  y  1
f ( x, y ) =  4
 0, elsewhere

Illustrate that E(XY) = E(X)E(Y).

ANS:

x 2 y (1 + 3 y 2 )
1 2 1 2
E ( XY ) =  xyf ( x, y )dxdy =  dxdy
0 0 0 0
4
x =2
x 3 y (1 + 3 y 2 ) 2 y (1 + 3 y 2 )
1 1
5
= dy =  dy =
0
12 x =0 0
3 6

x 2 (1 + 3 y 2 )
1 2 1 2
E ( X ) =  xf ( x, y )dxdy =  dxdy
0 0 0 0
4
x=2
x 3 (1 + 3 y 2 ) 2(1 + 3 y 2 )
1 1
4
= dy =  dy =
0
12 x =0 0
3 3

xy(1 + 3 y 2 )
1 2 1 2
E (Y ) =  yf ( x, y )dxdy =  dxdy
0 0 0 0
4
 x =2
x 2 y (1 + 3 y 2 ) y (1 + 3 y 2 )
1 1
5
= dy =  dy =
0
8 x =0 0
2 8

Hence

 4  5  5
E ( X )E (Y ) =    = = E ( XY )
 3  8  6

Theorem 4.9

If a and b are constants, then

 aX
2
+b = a  X = a 
2 2 2 2

Corollary 4.6

Setting a =1, we see that

 X2 +b =  X2 =  2

Corollary 4.7

Setting b =0, we see that

 aX
2
= a 2 X2 = a 2 2
Theorem 4.10

If X and Y are random variables with joint probability distribution

f(x,y), then

 aX
2
+ bY = a  X + b  Y + 2ab XY
2 2 2 2

Corollary 4.8

If X and Y are independent random variables, then

 aX
2
+ bY = a  X + b  Y
2 2 2 2

Corollary 4.9

If X and Y are independent random variables, then

 aX
2
−bY = a  X + b  Y
2 2 2 2

Example 4.20

If X and Y are random variables with variances  X = 2 ,  Y = 4 , and

2 2

covariance  XY = −2 , find the variance of the random variable

Z=3X-4Y+8.

ANS:

 Z2 =  32X −4Y +8 =  32X −4Y = 9 X2 + 16 Y2 − 24 XY

= (9)(2) + (16)(4) − (24)(−2) = 130
Example 4.21

Let X and Y denote the amount of two different types of impurities in

a batch of a certain petrol product. Suppose that X and Y are
independent random variables with variances  X2 = 2 and  Y2 = 3 .
Find the variance of the random variable Z=3X-2Y+5.

 Z2 =  32X −2Y +5 =  32X −2Y = 9 X2 + 4 Y2

= (9)(2) + (4)(3) = 30

Tutorial

1. Let X be a random variable with the following probability

distribution:

X -3 6 9
f(x) 1/6 1/2 1/3
Find E(X) and E(X ) and then, using these values, evaluate
2

E((2X+1) 2).

2. A motorcar company manufacturers a 100-watt lights bulb,

which, according to specifications written on the package, has a
mean life of 900 hours with a standard deviation of 50 hours.
At most, what percentage of the bulbs fails to last even 700
hours? Assume that the distribution is symmetric about the
mean.

3. If the joint density function of X and Y is given by

2
 ( x + 2 y ), 0  x  1,1  y  2
f ( x, y ) =  7
 0, elsewhere
X
Find the expected value of g ( X , Y ) = 3 + X Y
2

Y
4. Suppose that a grocery store purchases 5 cartons of skim milk
at wholesale price of $1.20 per carton and retails the milk at
$1.65 per carton. After the expiration date, the unsold milk is
removed from the shelf and the grocer receives a credit from
the distributor equal to three-fourths of the wholesale price. If
the probability distribution of the random variable X, the
number of cartons that are sold from this lot, is

X 0 1 2 3 4 5
f(x) 1/15 2/15 2/15 3/15 4/15 3/15
Find the expected profit