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Eng Lecture 31 - Expected Value

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30 views9 pages

Eng Lecture 31 - Expected Value

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QWERTYUIOP
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Probability Theory and Statistics 114

Prof. Willie Brink


Applied Mathematics, Stellenbosch University

Lecture 31
Expected value of a continuous random variable

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Previously...

A continuous random variable X is defined by a probability density function f (x),


with the following properties :

• f (x) ≥ 0 for all x ∈ (−∞, ∞)

Z ∞
• f (x) dx = 1
−∞
Z b
• P{a ≤ X ≤ b} = f (x) dx
a

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Example 1c

Suppose X is the lifetime (in hours) of a certain radio tube, with density
(
0, x ≤ 100
f (x) = 100
x 2 , x > 100

Probability that exactly 2 out of 5 such tubes will have to be replaced within 150 hours?

Let Y be the number of tubes out of 5 that have to be replaced within 150 hours.
Then Y is a binomial random variable, with n = 5 and p = P{X ≤ 150}.

Z 150 Z 150
p= f (x) dx = 100x −2 dx = 1
3
−∞ 100

5 1 2 2 3
  
P{Y = 2} = 2 3 3 = 0.3292

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Cumulative distribution function

Consider a random variable X with probability density function f (x).


The cumulative distribution function associated with X is
Z a
F (a) = P{X ≤ a} = f (x) dx.
−∞

Note that P{a ≤ X ≤ b} = F (b) − F (a). y = f (x)

d
It also follows from the above that F (a) = f (a).
da
a b x

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Example 1d

Let X be a continuous random variable, with density function fX and distribution function FX .
Find the density function of the random variable Y = 2X .

FY (a) = P{Y ≤ a}
= P{2X ≤ a}
= P{X ≤ 2a }
= FX ( 2a )

Differentiate both sides with respect to a:

fY (a) = 12 fX ( 2a )

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5.2 Expected value and variance

The expected value of a continuous random variable X with density function f (x) is
defined as follows :
Z ∞
E [X ] = x f (x) dx.
−∞

Note: it is the continuous analogy to the expected value of a discrete random variable,
which we defined as
X
E [X ] = x P{X = x}.
x

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Example 2a

Find E [X ] if the density function of X is given by


(
2x, 0 ≤ x ≤ 1
f (x) =
0, otherwise

Z ∞
E [X ] = x f (x) dx
−∞

Z 1
= 2x 2 dx
0

2
=
3

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Proposition 2.1

If the probability density function of X is f (x), then for any real function g (·),
Z ∞
E [g (X )] = g (x) f (x) dx.
−∞

Note: the analogy to the discrete case is again quite clear:


X
E [g (X )] = g (x) P{X = x}.
x

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Example 2b

The probability density function of X is given by


(
1, 0 ≤ x ≤ 1
f (x) =
0, otherwise

Find E [e X ].

Z ∞
E [e X ] = e x f (x) dx
−∞

Z 1
= e x dx
0

= 1.7183

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