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BSC-301 - Probability - Distribution 3

The document discusses key concepts in probability and statistics including expectation, variance, and their properties. It defines expectation as the average or mean of a random variable's probability distribution. Variance is defined as a measure of dispersion and is calculated using the random variable's expectation. The document provides formulas to calculate expectation and variance for both discrete and continuous random variables. It also lists four properties of expectation and variance including the addition theorem and how expectations and variances are affected by constants.

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Precisive One
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63 views

BSC-301 - Probability - Distribution 3

The document discusses key concepts in probability and statistics including expectation, variance, and their properties. It defines expectation as the average or mean of a random variable's probability distribution. Variance is defined as a measure of dispersion and is calculated using the random variable's expectation. The document provides formulas to calculate expectation and variance for both discrete and continuous random variables. It also lists four properties of expectation and variance including the addition theorem and how expectations and variances are affected by constants.

Uploaded by

Precisive One
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Course Name: Mathematics & Statistics III (BSC-M301)

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Expectation of a random variable


Expectation of a random variable refers to the mean or average of the
probability distribution followed by X .
It may also be said as the expected value of a random variable or what is
the expectation of the random variable X.
It is denoted by E(X) and is defined to be

𝑥𝑓(𝑥) , 𝑖𝑓 𝑋 𝑖𝑠 𝑎 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒 𝑟𝑎𝑛𝑑𝑜𝑚 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒


𝑥
𝐸 𝑋 = ∞

𝑥𝑓 𝑥 𝑑𝑥, 𝑖𝑓 𝑋 𝑖𝑠 𝑎 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠 𝑟𝑎𝑛𝑑𝑜𝑚 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒


−∞

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

In the previous example we have

𝑃(𝑋 = 𝑥𝑖 ) 0 1 2 Total
𝑓(𝑥𝑖 ) 1 1 1 1
4 2 4

1 1 1
Here E(X)= 0 * + 1* + 2 * = 1
4 2 4
This means the expected( or average) number of heads is 1.

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Variance of a random variable


Variance is a statistical measure to calculate the amount of dispersion in a
distribution.
For a random variable X following a certain probability distribution the
variance of X is denoted by Var(X) and is defined by
𝑉𝑎𝑟 𝑋 = 𝐸(𝑋 − 𝐸 𝑋 )2
2
𝑥−𝐸 𝑋 𝑓 𝑥 , 𝑖𝑓 𝑋 𝑖𝑠 𝑎 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒 𝑟𝑎𝑛𝑑𝑜𝑚 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒
𝑥
= ∞
2
𝑥−𝐸 𝑋 𝑓 𝑥 𝑑𝑥, 𝑖𝑓 𝑋 𝑖𝑠 𝑎 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠 𝑟𝑎𝑛𝑑𝑜𝑚 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒
−∞
The standard deviation of X is denoted by S.D.(X) and is defined as
𝑆. 𝐷. 𝑋 = 𝑉𝑎𝑟(𝑋)

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

In the previous example we have found E(x) =1 where X was the number of
heads obtained in tossing a coin twice in succession
The discrete probability distribution of X was
𝑃(𝑋 = 𝑥𝑖 ) 0 1 2 Total
𝑓(𝑥𝑖 ) 1 1 1 1
4 2 4

The variance of X is given by


1 1 1 1
Var(X) = (0 − 1)2 ∗ + 1 − 1 2 ∗ + (2 − 1)2 ∗ =
4 2 4 2
1
Therefore, S.D.(X) = 𝑉𝑎𝑟 𝑋 =
2

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Properties of Expectation and Variance

Prop1: (Addition Theorem on Expectation)


For n random variables 𝑋1 , 𝑋2 , … … 𝑋𝑛 we have
𝐸 𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛 = 𝐸 𝑋1 + 𝐸 𝑋2 + ⋯ + 𝐸(𝑋𝑛 )
Prop 2: For any real constant K we have
(i) E(k) = k
(ii) E(kX) = kE(X)
(iii) Var 𝐾𝑥 = 𝑘 2 𝑉𝑎𝑟(𝑋)
Prop 3: If 𝑋1 and 𝑋2 are two independent random variables such that X is
their linear combination i.e. 𝑋 = 𝑎𝑋1 + 𝑏𝑋2 where a and b are arbitrary
constants, then the variance of X is given by
Var (X)= 𝑎2 𝑉𝑎𝑟 𝑋1 + 𝑏 2 𝑉𝑎𝑟(𝑋2 )

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Prop 4: (Multiplication Theorem on Expectation)


For n mutually independent random variables 𝑋1 , 𝑋2 , … … 𝑋𝑛 we have
𝐸 𝑋1 . 𝑋2 … … 𝑋𝑛 = 𝐸(𝑋1 ). 𝐸 𝑋2 ……𝐸(𝑋𝑛 )

Alternative formula to calculate Variance


2
We know, Var(X) = 𝐸(𝑋 − 𝐸 𝑋 )2 = 𝐸*𝑋 2 + 𝐸 𝑋 − 2𝑋𝐸 𝑋 +
2 2
=𝐸 𝑋 +E 𝐸 𝑋 − 2E X E X , by property 1 and Property 2
2
=𝐸 𝑋2 + (𝐸 𝑋 )2 −2𝐸 𝑋
= 𝐸 𝑋 2 − (𝐸 𝑋 )2
Hence an alternative computing formula for variance is
Var(X) = 𝐸 𝑋 2 − (𝐸 𝑋 )2

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INSTITUTE OF ENGINEERING & MANAGEMENT, KOLKATA

Thank You

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