Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:

In this chapter you will learn about

 Linear functions of a random variable
- the mean and variance of aX + b
 Linear combinations of random variables
- the mean of aX + bY
- the variance of aX + bY when X and Y are independent
 The distribution of X + Y when X and Y have independent Poisson distributions
 The distribution of aX + b when X has a normal distribution
 The distribution of aX + bY when X and Y have independent normal distribution.

The expectation and variance of linear function of a random variable

1. 𝐸(𝑋 + 𝑏) = ,where b is a constant

2. 𝑉𝑎𝑟(𝑋 + 𝑏) = , where b is a constant

3. 𝐸(𝑎𝑋) = , where a is constant

4. 𝑉𝑎𝑟(𝑎𝑋) = , where a is constant

5. 𝐸(𝑎𝑋 + 𝑏) = , where a and b are constant

6. 𝑉𝑎𝑟(𝑎𝑋 + 𝑏) = , where a and b are constant

Example 2.1 Given that 𝐸(𝑋) = 2.2 and 𝑉𝑎𝑟(𝑋) = 3.5, find
(a) 𝐸(𝑋 + 3)
(b) 𝐸(𝑋 − 5)
(c) 𝐸(3𝑋 + 5)
(d) 𝐸(4𝑋 − 3)
(e) 𝑉𝑎𝑟(𝑋 − 2)
(f) 𝑉𝑎𝑟(𝑋 + 5)
(g) 𝑉𝑎𝑟(3𝑋 − 5)
(h) 𝑉𝑎𝑟(4𝑋 + 5)

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:
Example 2.2 The random variable X has p.d.f for 𝑥 = 1, 2 as shown

𝑋 1 2
𝑃(𝑋 = 𝑥) 0.7 0.3
Calculate

(a) 𝐸(𝑋)
(b) 𝑉𝑎𝑟(𝑋)
(c) 𝐸(3𝑋 − 4)
(d) 𝑉𝑎𝑟(2𝑋 + 5)

Example 2.4 The random variable X has mean 1 and variance 2 and
𝑌 = 𝑎𝑋 + 𝑏. It is given that 𝐸(𝑌) = 3 and 𝑉𝑎𝑟(𝑌) = 8, find the values of a and b

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:

Linear combinations of more than one random variable

Let X and Y be independent random variables.

Formula:

𝐸(𝑋 + 𝑌) =

𝑉𝑎𝑟(𝑋 + 𝑌) =

𝐸(𝑋 − 𝑌) =

𝑉𝑎𝑟(𝑋 − 𝑌) =

𝐸(𝑎𝑋 + 𝑏𝑌) = , where a and b are constant

𝑉𝑎𝑟(𝑎𝑋 + 𝑏𝑌) = , where a and b are constant

𝐸(𝑎𝑋 + 𝑏𝑌) = , where a and b are constant

𝑉𝑎𝑟(𝑎𝑋 − 𝑏𝑌) = , where a and b are constant

Example 2.4 X and Y are independent random variables such that

𝐸(𝑋) = 9, 𝑉𝑎𝑟(𝑋) = 1, 𝐸(𝑌) = 7, 𝑉𝑎𝑟(𝑌) = 2
Find
(a) 𝐸(4𝑋 + 5𝑌)
(b) 𝑉𝑎𝑟(4𝑋 + 5𝑌)
(c) 𝐸(0.5𝑋 − 𝑌)
(d) 𝑉𝑎𝑟(0.5𝑋 − 𝑌)

Example 2.5 The length, L cm of the boxes produced by a machine is a random variable with
mean 26 and variance 4 and the width B in cm is a random variable with mean 14 and variance
1. The variables L and B are independent. What are the expected and variance of the difference
between the length and the width?

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:
Example 2.6 My journey to work is made up of four stages: a walk to the bus – stop, a wait for
the bus, a bus journey and a walk at the other end. The times taken for these four stages are
independent random variables U, V, W and X with expected values (in minutes) of 4.7, 5.6, 21.6
and 3.7 respectively and standard deviations of 1.1, 1.2, 3.1 and 0.8 respectively. What is the
expected time and standard deviation for the total journey?

Note:
• For any random variables X, Y, U, V etc
𝐸 (𝑎𝑋 + 𝑏𝑌 + 𝑐𝑈 + 𝑑𝑉 + ⋯ )
= 𝑎𝐸 (𝑋) + 𝑏𝐸 (𝑌) + 𝑐𝐸 (𝑈) + 𝑑𝐸 (𝑉) + ⋯
• For independent random variables X, Y, U, V etc
𝑉𝑎𝑟(𝑎𝑋 + 𝑏𝑌 + 𝑐𝑈 + 𝑑𝑉 + ⋯ )
= 𝑎2 𝑉𝑎𝑟(𝑋) + 𝑏 2 𝑉𝑎𝑟(𝑌) + 𝑐 2 𝑉𝑎𝑟(𝑈) + 𝑑2 𝑉𝑎𝑟(𝑉) + ⋯
• In general, the result of variance when combined are always added.

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:

Distribution of 𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛

E(𝑋1 + 𝑋2 ) =

Var(𝑋1 + 𝑋2 ) =

E(𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛 )=

Var(𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛 )=

Example 2.7 Given that 𝐸(𝑋) = 3 and 𝑉𝑎𝑟(𝑋) = 4. Find

(a) 𝐸(𝑋1 + 𝑋2 )
(b) 𝐸(𝑋1 + 𝑋2 + 𝑋3 )
(c) 𝑉𝑎𝑟(𝑋1 + 𝑋2 )
(d) 𝑉𝑎𝑟(𝑋1 + 𝑋2 + 𝑋3 )

Example 2.8 The random variable X has mean 3.2 and variance 1.22. Find the expected and
variance of the sum of 60 independent observations.

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:
Example 2.9 Rods of length 2m or 3m are selected at random with probabilities 0.4 and 0.6
respectively.
(a) Find the expectation and variance of the length of a rod.
(b) Two lengths are now selected at random. Find the expectation and variance of the sum
of the two lengths.

Linear combinations of normal variables

The sum and difference of independent normal variables.
Example 2.10 If 𝑊~𝑁(100,8), 𝑋~𝑁(120,10) and Y~𝑁(110,12), find the
(a) 𝑃(𝑊 + 𝑋 + 𝑌 < 320)
(b) 𝑃(𝑊 + 𝑋 − 𝑌 > 115)

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:
Example 2.11 Masses of a particular article normally distributed with mean 20g and standard
deviation 2g. A random sample of 12 such articles is chosen. Find the probability that the total
mass is greater than 230g.

Example 2.12 The maximum load a lift can carry is 450kg. The weights of men are normally
distributed with mean 60kg and standard deviation 10kg. The weights of women are normally
distributed with mean 55kg and standard deviation 5kg. Find the probability that the lift will be
overloaded by 4 men and 3 women, if their weights are independent.

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:
Example 2.13 In a restaurant, ice cream is served either in ordinary portions or in children’s
portion. The quantity given for an ordinary portion is a normal variable with mean 90g and
standard deviation 3g and the quantity given for children’s portion is a normal variable with
mean 43g and standard deviation 2g. What is the probability that Ali, who has two children’s
portions, is given more than his father, who has an ordinary portion?

Example 2.14 The masses of teachers in a certain school are normally distributed with mean
60kg and standard deviation 4kg. The masses of students in the same school are also normally
distributed with mean 41kg and standard deviation 3kg. Find the probability that
a) A teacher in the school is more than 15kg heavier than a student
b) Three students are lighter than two teachers
c) The difference in masses of two teachers is less than 8kg.

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:
2.4.2 Multiples of independent normal variables
Example 2.15 X and Y are independent random variables and 𝑋~𝑁(100,8) and 𝑌~𝑁(55,10).
Find the probability that an observation from the population X is more than twice the value of
an observation from the population of Y.

Example 2.16 A soft drinks manufacturer sells bottles of drinks in two sizes. The amount in
each bottle, in
Mean (ml) Variance (ml2)
Small 252 4
Large 1012 25
Is normally distributed as shown in the table:
(a) A bottle of each size is selected at random. Find the probability that the large bottle
contains less than four times the amount in the small bottle.
(b) One large and four small bottles are selected at random. Find the probability that the
amount in the large bottle is less than the total amount in the four small bottles.

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:
Example 2.17 The thickness, P cm of a randomly chosen paperback book maybe regarded as an
observation from a normal distribution with mean 2.0 and variance 0.730. The thickness, H cm
of a randomly chosen paperback book maybe regarded as an observation from a normal
distribution with mean 4.9 and variance 1.920. Determine the probability that a randomly
chosen paperback is less than half as thick as a randomly chosen hardback.

Example 2.18 Amelia rents a phone under a scheme which has a fixed charge of $8 per month
with calls charged at $0.20 per minute. Betty rents her phone under a different scheme. This has
a fixed charge of $20 with calls charged at $0.10 per minute. The number of minutes that Amelia
uses her phone in a randomly chosen month is denoted by M and the number of minutes that
Betty uses her phone in a randomly chosen month is denoted by B. It is given that 𝑀~𝑁(120,49)
and 𝐵~𝑁(130,25), and M and B are independent.
(a) Find the distribution of the amount spent by Amelia on her phone in a randomly chosen
month.
(b) Find the distribution of the amount spent by Betty on her phone in a randomly chosen
month.
(c) Find the probability that in a randomly chosen month, Amelia pays more than Betty.

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Statistics CHAPTER 2: LINEAR COMBINATIONS OF RANDOM VARIABLES Date:
The distribution of the sum of two independent Poisson variables.
Suppose you have two Poisson variables, 𝑋~𝑃𝑜(𝜆1 ) and 𝑌~𝑃𝑜(𝜆2 ).
Then 𝐸(𝑋 + 𝑌) = 𝜆1 + 𝜆2 and 𝑣𝑎𝑟(𝑋 + 𝑌) = 𝜆1 + 𝜆2
Thus, 𝑋 + 𝑌~𝑃𝑜(𝜆1 + 𝜆2 ).

Example 2.19 The numbers of emissions per minute from two radioactive sources are
modelled by independent random variables X and Y which have Poisson distributions with
means 5 and 8 respectively. Calculate the probability that in any minute the total number of
emissions from the two sources is less than 6.

Example 2.20 Telephone calls reach a secretary independently and at random, internal ones at
a mean rate of 2 in any 5-minute period, and external ones at a mean rate of 1 in any 5-minute
period. Calculate the probability that there will be more than 2 calls in any period of 2 minutes.

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