LESSON FOUR

EXPECTATION OF A RANDOM VARIABLE

4.1: Introduction
In this lesson will discuss expectation of a random variable. The
properties will be discussed this forum.

4.2: Lesson Learning outcomes

By the end of this lesson the learner will be able to:
i. Obtain the expectation of a random variable
ii. State properties of expectation.
4.3: Expectation
4.3.1: Expectation of a discrete random variable

Let X be a discrete random variable whose probability distribution is

defined by
( ) ( ).

The expected value of X, denoted by ( ) is defined by

( ) ∑ ( )

Example 4.1
Let X be a discrete random variable with probability distribution given by

( ) {

Obtain ( ).
Solution

( ) ∑ ( )

∑ ( )

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 Let us now consider a new random variable ( ) which depends on a
discrete random variable X. Then the expectation of ( ) is defined by

[ ( )] ∑ ( ) ( )

Example 4.2
The following table shows the probability distribution of a discrete
random variable X.

x 0 1 2 3
f(x)

Find the expected values of and ( ) [ ( )] .

Solution
(i) ( ) ∑ ( )

∑ ( )=

(ii) Therefore g(X)=* + .

Hence
[ ( )] ∑ ( ) ( )

∑ ( ) ( )

( ) ( ) ( ) ( ) ( ) ( )

( ) ( ) .

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4.3.2: Expectation of a continuous random variable

Let X be a continuous random variable with p.d.f ( ). Then the

expected value of X is defined by the integral

( ) ∫ ( ) .

More generally, if ( ) is a function of X, then

[ ( )] ∫ ( ) ( ) .

Example 4.3
Let X be a continuous random variable with p.d.f

( )
( ) {

Compute ( ) and ( ).
Solution

( ) ∫ ( ) .

∫ ( )
and
( ) ∫ ( ) .

∫ ( ) .

NB: If ( ) exists then | | also exists. If | | does not exist, then

| | .

Example 4.4

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Let X be a continuous random variable with p.d.f given by

( ) { ( )

Prove that ( ) does not exist.

Proof

( ) ∫ ( ) =∫ .
( )

But ∫ ( ) ∫ ( )

* ( )+

Therefore ( ) does not exist and | |

4.3.3 : Properties of Expectation

Let be a continuous random variable with p.d.f ( ). Let ( )

Where a and b are real numbers, be a function of X. Then

[ ( )] ∫ ( ) ( ) .

∫ ( ) ( ) .

∫ ( ) ∫ ( )

( ) …………………………………….. (1)

If a=0 , then ( ) and ( )

This expected value of a constant is a constant.

Let g(X) and ( ) be any two real valued functions of X. Then for any
constants a and b
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 [ ( ) ( )] ∫ ( ( ) ( )) ( ) .

∫ ( ) ( ) ∫ ( ) ( )

[ ( )] [ ( )]……………………… (2)

The two properties also hold for discrete random variables.

Example 4.5
Let X be a discrete random variable with probability distribution

( ) {

Compute [ ].
Solution
[ ] ( ) ( )

But ( ) ∑ ( ) ∑ and

( ) ∑ ( ) ∑

Therefore
[ ] ( ) ( )

4.5 Assessment
1. Let X be a discrete random variable with probability distribution given by

( ) {

Show that ( ) .

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 2. The following table shows the probability distribution function of a discrete
random variable X
x -5 -2 1 3
f(x) 0

Compute ( ) , ( ) and ( ).
1. Suppose the p.d.f of a continuous random variable is defined by

( ) {

Where a and b are real numbers. Show that

( ) and ( ) ( ).

2. Let X be a continuous random variable with p.d.f

( )
( ) {

Compute ( ) , ( ) ( )
References
1. Introduction to the Theory of Statistics by A.M. Mood, F.A. Graybill and
D.C. Boes .
2. Probability and Statistics by Rao V. Dukkip.
3. Statistical Methods by S.P. Gupta