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Random Signals and Processes: Chapter 6: Sums of Random Variables

This chapter discusses sums of random variables. It introduces concepts like the probability model of sums, expected values of sums, the PDF of the sum of two random variables, moment generating functions, and the central limit theorem. Key results proved include that the expected value of a sum is the sum of the expected values, and the moment generating function of a sum of independent random variables is the product of the individual MGFs. The central limit theorem states that the distribution of the normalized sum of iid random variables converges in distribution to the normal distribution as the number of terms increases.

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39 views21 pages

Random Signals and Processes: Chapter 6: Sums of Random Variables

This chapter discusses sums of random variables. It introduces concepts like the probability model of sums, expected values of sums, the PDF of the sum of two random variables, moment generating functions, and the central limit theorem. Key results proved include that the expected value of a sum is the sum of the expected values, and the moment generating function of a sum of independent random variables is the product of the individual MGFs. The central limit theorem states that the distribution of the normalized sum of iid random variables converges in distribution to the normal distribution as the number of terms increases.

Uploaded by

Nazifa Nawer
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Random Signals and Processes

Chapter 6: Sums of Random Variables

Dr. Mohammad Rakibul Islam


Professor, EEE Department,
Islamic University of Technology
• Introduction:
• Random variables of the form

• Derive the probability model of W, from


the PMF or PDF of X1, . . . , Xn,.
• Expected Values of Sums
• PDF of the Sum of Two Random Variables
• Moment Generating Functions
• Central limit theorem
• Expected Values of Sums:
• Theorem 6.1:

• Theorem 6.2:

• Theorem 6.3:
• PDF of the Sum of Two Random Variables:
• Theorem 6.4:

• Example 6.4
• Solution:
• Theorem 6.5:

– This refers to convolution

• Moment Generating Functions:


– For a random variable X, the moment generating
function (MGF) of X is
• Moment Generating Functions:
• When X is a continuous random variable,

• For a discrete random variable Y, the MGF is


• Moment Generating Functions:
• Moment Generating Functions:
• Moment Generating Functions:
– MGF of a continuous random variable is
similar to the Laplace transform of a time
function.
– The primary difference is that the MGF is
defined for real values of s.
– The set of values of s for which øx(s) exists is
called the region of convergence.
– The definition of the MGF implies that

– Moreover, the derivatives of øx(s) evaluated at


s = 0 are the moments of X.
• Theorem 6.6:

• Theorem 6.7:

• Proof :
– From the definition of the MGF,
• MGF of the Sum of Independent Random
Variables:
– If X and Y are independent, the MGF of W = X + Y is
the Product

• Theorem 6.8:
• Example 6.6:
• Solution:
• Central limit theorem:
– Figure 6.1 shows the binomial (n, 1/2) PMF for
n = 5, n = 10 and n = 20. We see that as n gets
larger, the PMF more closely resembles a bell-
shaped curve.
• Central limit theorem:

• Theorem 6.14:
• Central limit theorem (Approximation):
• De Moivre-Laplace Formula:

• Example 6.16

• Solution:
• Example 6.17

• Solution:
• The Chernoff Bound:
– Chernoff bound provides a way to guarantee
that the probability of an unusual event is
small.
• Example 6.18:

• Solution:

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