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2.1-5. Expectation - Variance and Moment Generating Function

Chapter 2 discusses continuous random variables and their probability distributions, focusing on the probability density function (p.d.f.) and cumulative distribution function (c.d.f.). It covers concepts such as expectation, variance, and the properties of these distributions, including the calculation of expected values and theorems related to expectation. The chapter also introduces moment generating functions and Chebyshev's Inequality.

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2 views31 pages

2.1-5. Expectation - Variance and Moment Generating Function

Chapter 2 discusses continuous random variables and their probability distributions, focusing on the probability density function (p.d.f.) and cumulative distribution function (c.d.f.). It covers concepts such as expectation, variance, and the properties of these distributions, including the calculation of expected values and theorems related to expectation. The chapter also introduces moment generating functions and Chebyshev's Inequality.

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aphiwesibaya3
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Chapter 2.

Continuous random variable

Theorems from Discrete Distributions still


hold in Continuous Distributions
A random variable that takes on any value in an interval is called continuous and the
purpose of this chapter is to study probability distributions for continuous random variables.

2. 1. Definition: The probability density function (p.d.f.) of X


2. 2. The Cumulative distribution function (c.d.f)

Reasonable probability model for X is given by the p.d.f.


• Suppose we wish to find the probability that the distance between bad records is greater than 40.
Then
𝐴 = 𝑥: 40 < 𝑥 < ∞
and ∞
1 −𝑥/40
𝑃 𝑋 ∈ 𝐴 = 𝑃 𝑋 > 40 = න 𝑒 𝑑𝑥 = 𝑒 −1
40
40
Properties of the cdf
Percentile of a Distribution
Definition 2.2. If the pdf has a unique maximum at 𝑥 = 𝑚0 say max 𝑓(𝑥) = 𝑓(𝑚0 ), then 𝑚0 is
called the mode of X.
In general, the mean, median, and mode may all be different, but there are cases in which they all agree.
2.3. Expectation and Variance

Definition 2.3. The expected value of X is defined as follows


Examples
Let x be continuous r.v with the following p.d.f.
4𝑥 3 , 0 < 𝑥 < 1
a. 𝑓 𝑥 = ቊ
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Find the expected value of x.
Solution:
∞ 1
4
𝐸(𝑋) = න 𝑥𝑓 𝑥 𝑑𝑥 = න 𝑥 4𝑥 3 𝑑𝑥 = .
−∞ 0 5
20000
,𝑥 > 100
b. 𝑓 𝑥 = ൝ 𝑥 3

0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
∞ ∞ 20000𝑥𝑑𝑥
Solution : 𝐸 𝑋 = ‫׬‬−∞ 𝑥𝑓 𝑥 𝑑𝑥 = ‫׬‬100 𝑥 3 =200
Theorem on Expectation
1.If 𝒄 is a constant, then 𝐸 𝒄 = 𝒄, since for continuous X,
• 𝐸[𝒄. 𝑢(𝑋)] = 𝒄𝐸 𝑢(𝑋)
∞ ∞
• E(c)=‫׬‬−∞ 𝑐𝑓 𝑥 𝑑𝑥 = 𝑐 ‫׬‬−∞ 𝑓 𝑥 𝑑𝑥 = 𝑐

∞ ∞
2. E[cu(X)]=‫׬‬−∞ 𝑐𝑢(𝑥)𝑓 𝑥 𝑑𝑥 = 𝑐 ‫׬‬−∞ 𝑢 𝑥 𝑓 𝑥 𝑑𝑥 = 𝑐𝐸 𝑢 𝑋

If 𝒂 and 𝒃 are constants and then 𝑢 𝑋 and 𝑣(𝑋) are functions of X, then
• 𝐸[𝒂. 𝑢 𝑋 + 𝒃. 𝑣(𝑋)] = 𝒂𝐸[𝑢 𝑋 ] + 𝒃𝐸[𝑣(𝑋)]
Proof
∞

𝐸[𝒂𝑢 𝑋 + 𝒃𝑣(𝑋)] = න [𝑎𝑢 𝑥 + 𝑏𝑣 𝑥 ]𝑓 𝑥 𝑑𝑥


−∞
∞ ∞
= ‫׬‬−∞ 𝑎𝑢 𝑥 𝑓 𝑥 𝑑𝑥+ ‫׬‬−∞ 𝑏𝑣 𝑥 𝑓 𝑥 𝑑𝑥
∞ ∞
= a‫׬‬−∞ 𝑢 𝑥 𝑓 𝑥 𝑑𝑥+ b‫׬‬−∞ 𝑣 𝑥 𝑓 𝑥 𝑑𝑥
=𝒂𝐸[𝑢 𝑋 ] + 𝒃𝐸[𝑣(𝑋)]
This can be extended to a sum of say n functions, 𝑢1 𝑋 , … , 𝑢𝑛 𝑋 , 𝑖. 𝑒.
𝐸[𝑎1 𝑢1 𝑋 + 𝑎2 𝑢2 𝑋 + ⋯ + 𝑎𝑛 𝑢𝑛 𝑋 ]
= 𝑎1 E[𝑢1 𝑋 ]+ 𝑎2 E[𝑢2 𝑋 ]+…+𝑎𝑛 E[𝑢𝑛 𝑋 ].
Variance
Examples
1.

2.
3.
4.
2.4. Moment Generating Functions
Class Activity
• 1. Find the mgf, mean, and variance of the following exponential
distribution

• Solution
2. Find the moment generating function of the random variable X whose probability density is given
by

• Solution
1 ∞
= 𝑒 −𝑥 1−𝑡 ቚ
1−𝑡 0
1
=
1−𝑡
3.

Solution
2.5. Chebyshev’s Inequality

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