Lec 10,11

Probability and Statistics
Lec-10,11
Mathematical Expectation
Dr. Farkhanda Afzal

Dept. of Humanities and Basics Sciences
MCS, NUST
farkhanda@mcs.edu.pk
Contents
 Mean of Random Variables
 Variance of Random Variables
 Covariance of Random Variables
 Correlation
Mean of Random Variable
Let X be a random variable with probability distribution f(x). The mean or
expected value of X is
  EX    xf ( x)
x

  EX    xf ( x)dx

3
Example 4.1
A lot containing 7 components is sampled by a quality inspector; the lot
contains 4 good components and 3 defective components. A sample of 3 is
taken by the inspector. Find the expected value of the number of good
components in this sample.
4
Example 4.3
Let X be the random variable that denotes the life in hours of a certain electronic
device. The probability density function is
 20,000
 , for x  100
f ( x)   x 3
0, otherwise
Find the expected life of this type of device.
  
20,000 20,000 20,000 20,000 20,000
  E ( x)  x
100
x 3
dx  
100
x 2
dx  
x 100



100
 200
5
Theorem 4.1
Mean of Function of Random Variable
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

 g ( X )  Eg (Y )   g ( x) f ( x)dx

6
Example 4.4
7
Example 4.5
Let X be a random variable with density function
 x2
 , for  1  x  2
f ( x)   3
0,
 otherwise
Find the expected value of g(X) = 4X + 3.

 g ( X )  Eg (Y )   g ( x) f ( x)dx

8
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
 
 g ( X ,Y )  E g ( X , Y )    g ( x, y) f ( x, y)dxdy
x   y  
9
Example 4.6
10
Example 4.7
Find E(Y|X) for the density function
 x(1  3 y 2 )
 , for 0  x  2,0  y  1,
f ( x, y )   4
0,
 elsewhere.
11
Variance of Random Variables
Let X be random variable with probability distribution f(x) and mean . The
variance of X is
 2  E( X   ) 2    ( x   ) 2 f ( x)
x

 2  E( X   ) 2    ( x   ) 2 f ( x)dx

12
Variance of Random Variables
The variance of a random variable X is
  EX  
2 2 2
13
Example 4.9
14
Example 4.10
The weekly demand for Pepsi, in thousands of liters, from a local chain of
efficiency stores, is a continuous random variable X having the probability
density
2( x  1), for 1  x  2,
f ( x)  
0, elsewhere.
Find mean and variance
2  x3 2 x 2 2
 5
  EX    x.2( x  1)dx  2  
1  3 1 2 1

3
15
Theorem 4.3
Let X be a random variable with probability distribution f(x). The variance of the
random variable g(X) is
 2
g(X )  2

 E g ( X )   g ( X )    g ( x)   g ( X )  f ( x)
2
   g ( X )    f ( x)dx

  E g ( X )   g ( X )  
2 2 2
g(X ) g(X )

16
Example 4.12
Let X be a random variable with density function
 x2
 , for  1  x  2
f ( x)   3
0,
 otherwise
Find the variance of the random variable g(X) = 4X + 3.
17
Covariance of Random Variables
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
 
 XY  E X   X Y  Y      X   Y    f ( x, y)dxdy
X Y

18
Covariance of Random Variables
The covariance of two random variables X and Y with means X
and Y , respectively, is given by
 XY  EXY    X Y
EXY   EX EY 

 XY  0
19
Example 4.13
Let X and Y be the random variables with joint probability distribution indicated in
Table 3.1 on page 92. Find the expected value of g(X, Y) = XY. The table is
reprinted here for convenience.
Find covariance of X and Y
From Example 4.6, we see that E(XY) = 3/14.
20
Correlation Coefficient
21
Linear Combination of RVs
If a and b are constants, then
EaX  b  aEX   b
Theorem
4.5
22
Chapter Summary
Please help me summarize
23
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Probability and Statistics

Dr. Farkhanda Afzal

 Mean of Random Variables

 Variance of Random Variables

 Covariance of Random Variables

Find the expected life of this type of device.

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

 XY  E X   X Y  Y     X   X Y  Y  f ( x, y)

EXY   EX EY 

Find covariance of X and Y

From Example 4.6, we see that E(XY) = 3/14.

Please help me summarize

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