1. No category

Theorem
For g: R  R
• If X is a discrete random variable then
Eg  X    g x  p X x 
x
• If X is a continuous random variable
Eg  X    g x  f X x dx


• Proof:
We proof it for the discrete case. Let Y = g(X) then
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Example to illustrate steps in proof
• Suppose Y  X 2 i.e. g x   x 2 and the possible values of X are
X : 1,  2,  3 so the possible values of Y are Y : 1, 4, 9 then,
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Examples
1. Suppose X ~ Uniform(0, 1). Let Y  X 2 then,
2. Suppose X ~ Poisson(λ). Let Y  e X , then
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Properties of Expectation
For X, Y random variables and a, b  R constants,
• E(aX + b) = aE(X) + b
Proof: Continuous case
• E(aX + bY) = aE(X) + bE(Y)
Proof to come…
• If X is a non-negative random variable, then E(X) = 0
if and only if X = 0 with probability 1.
• If X is a non-negative random variable, then E(X) ≥ 0
• E(a) = a
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Moments
• The kth moment of a distribution is E(Xk). We are usually interested in 1st
and 2nd moments (sometimes in 3rd and 4th)
• Some second moments:
1. Suppose X ~ Uniform(0, 1), then
 
E X2 
1
3
2. Suppose X ~ Geometric(p), then
E X
 x

2
2
pq x 1 
x 1
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Variance
• The expected value of a random variable E(X) is a measure of the “center”
of a distribution.
• The variance is a measure of how closely concentrated to center (µ) the
probability is. It is also called 2nd central moment.
• Definition
The variance of a random variable X is

 
Var  X   E  X  E  X   E  X   
2
2

2
• Claim: Var  X   E X 2   E  X   E X 2    2
Proof:
• We can use the above formula for convenience of calculation.
• The standard deviation of a random variable X is denoted by σX ; it is the
square root of the variance i.e.  X  Var X  .
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Properties of Variance
For X, Y random variables and are constants, then
• Var(aX + b) = a2Var(X)
Proof:
• Var(aX + bY) = a2Var(X) + b2Var(Y) + 2abE[(X – E(X ))(Y – E(Y ))]
Proof:
• Var(X) ≥ 0
• Var(X) = 0 if and only if X = E(X) with probability 1
• Var(a) = 0
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Examples
1. Suppose X ~ Uniform(0, 1), then E  X  
2
1 1
1
Var  X      
3 2
12
1
1
and E X 2   therefore
3
2
1 q
1
2


E
X

2. Suppose X ~ Geometric(p), then E  X   and
therefore
2
p
p
Var  X  
1 q 1
q
1 p



p2
p2
p2
p2
3. Suppose X ~ Bernoulli(p), then E X   p and E X 2   12 p  0 2 q  p
therefore,
Var  X   p  p 2  p1  p 
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Example
• Suppose X ~ Uniform(2, 4). Let Y  X 2. Find PY  9 .
• What if X ~ Uniform(-4, 4)?
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Functions of Random variables
• In some case we would like to find the distribution of Y = h(X) when the
distribution of X is known.
• Discrete case

  P X  x 
 
pY  y   PY  y   Ph X   y   P X  h 1  y  
xh 1 y
• Examples
1. Let Y = aX + b , a ≠ 0
1


PY  y   PaX  b  y   P X   y  b 
a


2. Let Y
 X2

 
P X  y  P X   y

PY  y   P X 2  y   P X  0
 0



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
if y  0
if y  0
if y  0
10
Continuous case – Examples
1. Suppose X ~ Uniform(0, 1). Let Y  X 2 , then the cdf of Y can be found as
follows
FY  y   PY  y   P X 2  y  P X  y  FX y

 

 
The density of Y is then given by
2. Let X have the exponential distribution with parameter λ. Find the
1
density for Y 
X 1
3. Suppose X is a random variable with density
x 1

f X x    2
 0
, 1  x  1
, elsewhere
Check if this is a valid density and find the density of Y  X 2 .
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Question
• Can we formulate a general rule for densities so that we don’t have to look
at cdf?
• Answer: sometimes …
Suppose Y = h(X) then


FY  y   Ph X   y   P X  h 1  y 
and
f X x  


d
FX h 1  y 
dy
but need h to be monotone on region where density for X is non-zero.
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• Check with previous examples:
1. X ~ Uniform(0, 1) and Y  X
2. X ~ Exponential(λ). Let Y 
2
1
 h X 
X 1
3. X is a random variable with density
x 1

f X x    2
 0
, 1  x  1
, elsewhere
and Y  X 2
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Theorem
• If X is a continuous random variable with density fX(x) and h is strictly
increasing and differentiable function form R  R then Y = h(X) has density
fY  y  f X

 

d 1
h y
h y
dy
1
for y  R .
• Proof:
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Theorem
• If X is a continuous random variable with density fX(x) and h is strictly
decreasing and differentiable function form R  R then Y = h(X) has density

 dyd h  y 
f Y  y    f X h 1  y 
1
for y  R .
• Proof:
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Summary
• If Y = h(X) and h is monotone then
fY  y  f X

 

d 1
h y
h y
dy
1
• Example
X has a density
 x3

f X x    4
0

for 0  x  2
otherwise
Let Y  X 6. Compute the density of Y.
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Indicator Functions and Random Variables
• Indicator function – definition
Let A be a set of real numbers. The indicator function for A is defined by
1
I A x   I x  A  
0
if x  A
if x  A
• Some properties of indicator functions:
 I A xI B x  I AB x
 g x 
 g x I A x   
0
for x  A
for x  A
• The support of a discrete random variable X is the set of values of x for
which P(X = x) > 0.
• The support of a continuous random variable X with density fX(x) is the set
of values of x for which fX(x) > 0.
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Examples
• A discrete random variable with pmf
x

p X x    6
0
x  1, 2, 3
otherwise
can be written as
p X x  
x
x
I  x  1, 2, 3   I 1, 2, 3   x 
6
6
• A continuous random variable with density function
e x
x0
f X x   
otherwise
 0
can be written as
f X x   e x I  0,   x 
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Important Indicator random variable
• If A is an event then IA is a random variable which is 0 if A does not occur
and 1 if it does. IA is an indicator random variable. IA is also called a
Bernoulli random variable.
• If we perform a random experiment repeatedly and each time measure the
random variable IA, we could get 1, 1, 0, 0, 0, 0, 1, 0, …The average of this
list in the long run is E(IA); it gives the proportion with which A occurs. In
the long run it is P(A), i.e.
P(A) = E(IA)
• Example: for a Bernoulli random variable X we have
E  X   E I A   1  P A  0  PA   P A  p
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Use of Indicator random variable
• Suppose X ~ Binomial(n, p). Let Y1,…, Yn be Bernoulli random variables
n
with probability of success p. Then X can be thought of as X   Yi ,
i 1
then
n
 n  n
E  X   E   Yi    E Yi    p  np
i 1
 i 1  i 1
• Similar trick for Negative Binomial:
Suppose X ~ Negative Binomial(r, p). Let
X1 be the number of trials until the 1st success
X2 be the number of trails between 1st and 2nd success
.
:
Xr be the number
of trails between (r - 1)th and rth success
r
Then X   X i and we have
i 1
r
1 r
 r
 r
E  X   E  X i    E  X i    
p
i 1 p
 i 1  i 1
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