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Chapter 2, Random Variable (Part2)

VARIABLE

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Siti Juariah
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31 views

Chapter 2, Random Variable (Part2)

VARIABLE

Uploaded by

Siti Juariah
Copyright
© © All Rights Reserved
Available Formats
Download as PDF or read online on Scribd
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24 SOME PROPERTIES OF EXPECTED VALUES a Freure 2.9 The COF of amixed distribution Po minutes is PLX < 05] =04 + 0.6(1 —e°4} = 0.636 The distribution of X given 0 < X corresponds to PlO ena) An important special expected value Is obtained if we consider the funetion wx) =e Example 24.9 24. SOME PROPERTIES OF EXPECTED VALUES 7 Definition 2.8.9 “The vatinnes of random variable X is piven by [ Var) = 2 = 8) eas) Other common notations for the variance are 62, a}, or V(X), and a related quantity, called the standard deviation of X, is the positive square root of the variance, ¢ = oy = /Var(®). The variance provides @ measurc of the variability or amount of “spread” in the distribution of a random variable. In the experiment of Example 2.2.2, E(X?) = 23(1/2) + 4°(1/4) + 8%(1/4) = 22, and thus Var(X) = 22—4? = 6 and oy = /6 = 245. For comparison, consider a slightly different experiment where two chips are labeled with zeros, one with a4, and one with a 12. If one chip is selected at random, and Y is its number, then E(¥)=4 as in the original example, However, Var(¥) = 24 and o = 276 > ox, which reflects the fact that the probability distribution of ¥ ‘more spread than that of X. Certain special expected values, called moments, arc useful in characterizing some features of the disttibution. —— inition 2.4.2 The Ath moment about the arigin ofa candor variable X is = BO) 288 ‘and the eh moment abou the enon is p= BLY ~ BUX) = 20 at aan ‘Thus EQ") may be considered as the kth moment of X or as the first moment of X*, The first moment is the mean, and the simpler notation 4, rather than 4, generally is preferred. The first moment about the mean is zero, Hy = BLX — E(X)] = EX) ~ EX) = 0 ‘The second moment about the mean is the variance, By = EEX — =o? cpgenaereeamaten nen 74 HAPTER 2. RANDOM VARIABLES AND THEE rsra/oUTIONS rand the second momeat about the origin # involved in the following theorem aabont the variance. Freorem 243 CX isarandom variable, shen vec(X) = BX?) - 2 Proof yas( i) = BX? = 2X +7") = BUX?) — HBO) tH? RX) e+ which yields the theorem. ‘also follows immediately that aso te as noted previously, the variance provides a measure of the ‘amount of spread jae distripation ot the variability moos ‘members of a populati ve ane example of this occurs when assumes only ome PLEX = 6) = 1 In this caso BU) = 6 snd Var(X) = © Ae cask following Theosets 2.42 dealt rit the expected valuc of a linear fonction of a random variable. The followin theorem deas with the va pheorem 2.44 s6X is random variable ‘and g and bare constants, ther var(ax + B= @ Vat() Proot arta +8) = BUX +b — Fx ol = Lee — =o? VarlX) Fis means thatthe variance is affected PY ® dxange of sale, but not by a (ATS tation. reser natural measure of variability would be the mean absolute B\X —p, but the variance 1s generally a more convenient quantity vit to work. Theorere 2.4.5 Theorem 2.4.8 2 SOME PROPERTIES OF EXPECTED VALUES 5 The mean and variance provide a good deal of information about a population distribution, but higher moments and other quantities also may be useful. For example, the thicd moment about the mean, 25, is a measure of asymmetry or “skewness” of a distribution. Hf the distribution of X is symmetric about the mean v= £(X), then the third moment about jis 22r0, us = 0. Proot See Exercise 28, a ‘We can conclude that if ., #0, then the distribution is not symmetric, but not conversely, because distributions exist that are not symmetric but which do have Ms = 0 (see Exercise 29). SOUNDS ON PROBABILITY tis possible, in some cases, to find bounds on probabilities based on moments. TCX isa random variable and u(x) is a nonnegative real-valued function, then for any positive constant ¢ > 0, pray ><) < SX. ett Proof HA = {x[u) > c), then for a continuous random variable, Ba) = £ 93) be - fuore are f wif) ax > fave ae 5 [erie = cP[X € A] = cP(MX)> 76 Yaeorem 24.7 quapren 2. RANDOM VARIABLES AND THER pisTAIBUTIONS ‘A similar proof holds for disoete variables a ‘A special case, knovin as the Marker inequality, is obtained if xf) = 1s for +> O,namely puxiza sO si) “Another well-known result the Chebycher Ineqoality, is given by the following theorem. if.X isa random variable with mean 1 and vari2ne then for any k > pax -m> eSB ata Praot wasp =(X Wee = (202, then using equation (2+ AA, so DE oS _ tone a 1x any and if we let 6 ko, then 2 \x—wl — | 1 for some integer 1% 1, and conversely. Thus, fh 1 (¥#e)=U [ix ~#l >] and using Boole’s inequality, equation (1.4.5), we have PIX #41 < Safix -ni>f] and using equation (2.4.16) we obtain PU 4x Zot =o which implies that PX = 42] ~ 1. a APPROXIMATE MEAN AND VARIANCE if a function of a random variable, say H(X), can be expanded in a Taylor series, thea an expression for the approximate mean and variance of HX) can be obyained in terms of the mean and variance of X. For example, suppose that H(x) has derivatives HG), °C), ... in an open interval containing jz = £(X). The function H() has a Taylor approximation about 4, Rl Hy) + als — a) + SHON — a (2437) cunaren 2. RANDOM VARIABLES AND THE OISTROUTIONS which suggests the approximation BTHOO) = Hu) + we and, using the first two terms, ‘Var HX] = Le wit? where o? = VarlX), “The accuracy of function H(x) as well as oa the amount (2.4.18) 2.449) these approximations depends primarily 09 the nature of the ‘of variability in the distribution of ee | exannple 2.4.5 Let ¥ bo a positive-valued random variable, and et HG) =In %, 80 that BG) = Lx and H%@) = — Us? Iefollows that Afi XJ sin a+ G- a) and 2.5 Bh BIOMENT GENERATING FUNCTIONS 1h special expected value that is quite usefl is Known as the moment generating function. Definition 2.8.1 1.x isa random vatiabl, then the expected value Mp = Be) sn) taneion (AGE) ot X sf shi expected ven ents For js called the moment quoessting the form —h << ffor some h > O- fil values of ria some intorvel of ju desirable 10 suppress the sabscrig and use the simplet In some situations it notation M(O. Exanpie 2.5.4 Theorem 2.5.1 28 MOMENT GENERATING FUNCTIONS 79 ‘Assume that X is 2 discrete finite-valued random variable with possible values x). syne The MGE is Md) ‘which i differentiable function of 1, with derivative mse = Series) and in goncral, for any poshve integer r mee) = Senha) Notice that if we evaluate Mp1) at ¢ = 0 we obtain MPO) = Yi xp feled = BO) the rth moment about the origin. Tt ing in a power series about ¢— = Ar. These properties hold for any random variable for which an MGF exists although a general proof is somewhat harder. is also suggests the possibility of expand- Mx) = cot etter bo, where ¢, ithe MGF of X exists, then AX) = MYO) for ally = 1, 2,... (2.6.2) myo=1+ § 08 ass a We will consider the case of a continuous random yariable X, The MGF for a continuous random variable is mat) = | ego ae When the MGF exists, it can be shown that the rth derivative exists, and it can bbe obtained by differentiating under tho integra! sign, mei [ee de HAPTER 2 RANDOM VARIABLES AND THEIR DISTRIBUTIONS fom which it follows that for all r= 4,2, ee) = f xfre) dx = f xoPMfa) dx = MEO) when the MGF exit it also ca be dhown that a power snes ORR about Wher possible, and from standard results about power Site the coefficients zero i lor (oy. We combine this wth the above result to obtain = MpO;! 2 Bt seqo=ie § OOF mee ‘The discrete casc is similar. a Consider 2 continuous random variable X with pats) otherwise. The MGF is H* if x > 0, and 22r0 5 Ot ‘The first derivative is My@)=el(@—e)~4, and thus EU) = My(0) 26(2 — 29}? = 1. It is possible to obtain higher derivatives, but the complox- ity increases with the order of the derivative, PHOPERTIES OF MOMENT GENERATING FUNCTIONS MEY = aX + b, then Mf {9 = eM, (a, Proof Md = Be) Rett Betti) Ae) = eM tap 5 One possible application is in computing the rth moment about the mean, FLX — ji], Because Mz._,(0) = eM (3), eux — w= Ste MO ne (254) Ie can be shown that MGFs uniquely determine a distribution. Suppose, for example, that X and ¥ ate both integer-valued with the same set of possible values—say 0, 1, and 2—and that % and ¥ have the same MGF, MO = eho = EHH) if we let s=e and co, =f4) — fd) for i= 0, 1, 2, then we have cote,s +c zs*=0 for all s>0. The only possible coefficients are co = 0, which implies that (el) = Ji) for = 0, 1,2, and consequently Xvand ¥ have the same distribution, In other words, X and Y cannot have the same MGF but different pas. Thus, the form of the MGF determines the form of the pat ‘This is true in general, although harder (o prove in general uarren 2. RANDOH VARIABLES AND THE DiSTAIBUTIONS Uniqueness 16%, and X, have respect CDF Fy) and F,{x), and MGFs May(f) and M,{0, then FC) = #68) for veal x stand only if M,G) = M6) foe MA Seome interval ~h << for some h > 0 a For nonnegative integer-valued randort variables, the derivation of moments often is made more tractable by Bist concidering another type of expectation ‘gnown as a factorial moment FACTORIAL MOMENTS Definition 2.8.2 “The rth fastortal moment of X is apex — ee or (258) ‘and the factorial mornent generating function (PMGE) of X is (25.8) in gome interval ofthe form 1— her 31 {@) Find the probably thatthe sore an 068 integst a bag eontins tres coins one of which has 0 Bead ‘poth sides while the other te ae oral A cia is chosen at rancor fom the PAB ‘and tossed three times: The carbon of heads is condom vatiable, say %. (a) Find the discrete pot X. (Hint: Use the Last of Totat Probability with B, = & eoemat coin and , = two-neaded coin) (py sketch the dizerete pal andthe CDF of % se box contains five colored bal, wo blac and then SS alls are dravin successively oo replacement FX isthe nurber of draws unt the fast black ball is obtained, Bnd the discrete pal ft) ac digorate candor variable has pat 4%) (o) Wyte) = MUA for xm 1, 2,3;and ete oe find k. {b) tnx function of the form 7) = MOAI yD] for x= 0, 12a pat or any B? ‘Denote by [x] the arestest integer aot excoodion Tt the palin Example 22.1, show Donat WEDE can be represented 18 Fx) = (EXV/U2F fr Dex < 132070 ifx < 02nd one it 1 Ap diveete rundown variable Xba apa of he Forma) = ag — 2) for ¥= 012245, tan 720 otherwise {@) Find the eonslant () Find the ODF, Fle (g Find PLX > 21 (a) Find ECO. nonnegative integet-valued random variable Has A CDF of the form SU" for ¥= 0.1 2e--and zeros < 0 () Find the pat of 8 ( Find P10< x < 20h fe) Find PLY is even Somedmes i i desirable to asian aumorical en values to experimental responses (hat Som basally of nureroal type: For exam7pe i ATS the color preferences of are ctental bie! suppose that so colors Bs SEH: ‘and red oceut with probabilities exercises a5 1/4, 1/4, and 1/2, respectively, different integer value is assigned to each color, and this corresporids to a random vaciable X that can take on one of these three integer values. fa) Can fs) = (18) 172" 1 for x= =, 10 be used 8 pes for thi ceperimont? () Can fis) = (e (2) for x = 0,1, 2 be used? (©) Cen fe) = 0/4 for = =1,0,2 be wed? 10, Let X be a discrete candom variable such that P[X 4 and PLX ~ x] = O otherwise. Suppose the CDI x= 12 3,0r4, (@) Skoteh the graph of the CDF, (b) Sketeh the graph of the disereve pal /(x) (6) Find BX). J >0 if x= 1,230 i F(x) = OSx(1 +x) atthe values 47. A player rolls a sixsided die und receives a number of dollars corresponding to the hhumber of dots on the face that turns up. What amount shoulé the player pay for rolling to make this a fale” game? 472. A continuous random variable X has pa given by f(x) = ofl — xh? if 0- 1/2}. (@) Find P(X < 1.25), (© Whatis PLX = 1251? 48. Acontinuows random variable X/has apa ofthe form f(x) = 23/9 for O-< > <3, and aro otherwise. (@) Find the CDF of X b) Find PLY < 2. (@) Find P[-1 mi fe) Find £(3), 49, A candom variable X bas the pal x fOcx<1 fayaraa iti fhs fegult extends to aux Th Peal de = [Fay aet ta) Use Chebyee's inequality to obtain alower bond on ppsg uppone atx is atandom varale wth MGR MA) = CIR + cyme + GB {@) Whats the distribution of X7 {o) Wat is POX = 22? ‘prove Theorem 24 fora sonnegatveinteger-vlued random variable “Assome thay X sa continuous andor: variable wth po “fs) exp Ele +2) Hf —2.< x < co: and ao OMENS (Gq) Finé the moment generating fonction of © {hy Use the MGP of et ind BOX) and EOS ee the FMGF of Example 2550 find FLX — NK — 2h an then find BP), tn Eveecie 26, sppoe instead of ordering our copies of PS software package, the store Ue eae copes 0 << ah Then he number sold S47 5 he smaller of¢ oF (a) Express the nt prof ¥ as. lincar function ofS {b) Find B(Y for cach value of cand india the soTavon © ‘that maximizes the expected profit. Show that of = £00 — D]~ ae 3 exERcises ae Let ya(@)— In LMC), where M0 is] MOF. The function fis calle the cumulant ageverating fonction of X, and he value ofthe rth derivative evaluated at 1 = 0, x, = 10), i ealled the rth cumlant of X. (a) Show mat w= ¥(0) {b) Show that a? ~ 40) (Q, Use y(t) to find ys and c? for the random variable of Exercise 26 (2) Use yafe to finds and o? for the random variable of Example 25.5,

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