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Module-3 Operation On Random Variable Variable

The document discusses key concepts related to operations on random variables including expected value, moments, variance, skewness, and characteristic functions. Expected value provides a summary of a random variable in terms of important parameters like mean and variance. Moments are parameters obtained from the expected value of functions of a random variable and are used to characterize properties like symmetry. Characteristic functions and moment generating functions can also be used to derive moments and other properties of a random variable.

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Nandini Rao G
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32 views41 pages

Module-3 Operation On Random Variable Variable

The document discusses key concepts related to operations on random variables including expected value, moments, variance, skewness, and characteristic functions. Expected value provides a summary of a random variable in terms of important parameters like mean and variance. Moments are parameters obtained from the expected value of functions of a random variable and are used to characterize properties like symmetry. Characteristic functions and moment generating functions can also be used to derive moments and other properties of a random variable.

Uploaded by

Nandini Rao G
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Module-3

OPERATION ON RANDOM
VARIABLE
• Expected Value of a Random Variable
• The expectation operation extracts a few parameters of a
random variable and provides a summary description of the
random variable in terms of these parameters.

• It is far easier to estimate these parameters from data than to


estimate the distribution or density function of the random
variable.
• Moments are some important parameters obtained through the
expectation operation.
Expected value or mean of a random
variable

• E[X]=

• Is also called the mean or statistical average of


the random variable X and is denoted by µx
• Note that, for a discrete RV X with the probability mass
function (pmf) px(xi) the pdf fx(x) given by
1.

Obtain E[X]
Expected value of a function of a
random variable
• Suppose Y =g(x) is a real-valued function of a random variable
X .Then,

• E[g(x)]=⅀g(xi)P(xi) ;Discrete random variable


Eg 1:It is known that a particular random voltage can be
represented as a Rayleigh random variable V having a density
function with a=0 and b=5. The voltage is applied to a device
that generates a voltage Y=g(V)=V2 that generates a power in
V. Find the average power .
Eg.2 : Communication systems- Define the information of a
source.
Moments
• An immediate application of a function g(.) of a random
variable X is calculating moments.
• Moment about origin
• Moment about the mean
Moments about the origin
• Function g(X) =X n n=0,1,2,3…
• The expectation of this function gives the
moment about the origin of the random
variable X.
• nth moment is given by mn
Central moments
• Moments about the mean value of X.
• µn
• Central moments are defined as the expected
value of the function
• g(X)=(X-X`)n
Variance and skew
• The second central moment is called variance
σx2

• The positive square root of variance is called


standard deviation σx
1.Let X have the exponential density function given as

fx (x)=1/b e-(x-a)/b x>a


0 x<a
Find the variance.
Skew
• The third central moment measures lack of symmetry of the
pdf of a random variable about x=X`=m1

•
• If a density is symmetric about x=X`, it has zero skew.
• The normalized third central moment µ3/ σx3 is known as the
skewness og the density function or coeffecient of skewness.
Eg. 1.Let X have the exponential density function given as
fx (x)=1/b e-(x-a)/b x>a
0 x<a
Compute the skew and coeffecient of skewness.
Chebyshev’s Inequality
• For a random variable X with mean value X` and variance σx2
Markov’s Inequality
• Applies to a non negative random variable X
Chernoffe’s Inequality and bound
• Application of moment generating function.

• The minimum value is called Chernoff’s bound


Characteristic function
The characteristic function of a random variable X is defined by

By formal differentiation n times with respect to w and setting w=0 in


the derivative, nth moment is given by
• A major advantage of using φx(w) to find moments is that
φx(w) always exists, so the moments can always be found if
φx(w) is known.

• It can be shown that the maximum magnitude of a


characteristic function is unity and occurs at w=0.
Eg. 1.Let X have the exponential density function given as
fx (x)=1/b e-(x-a)/b x>a
0 x<a
Find the characteristic function and the first moment.
Moment generating function
• Is defined by Mx(ν)=E[e νX ] where ν is a real number - ꝏ<
ν<ꝏ

• The main advantage of moment generating function derives


from the ability to give moments. Moments are related to
Mx(ν) as

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