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Operations on Random Variables Explained

The document discusses operations on single and multiple random variables, focusing on expectations, moments, and transformations. It covers concepts such as expected value, variance, skewness, and the Central Limit Theorem, along with practical examples illustrating how to calculate expected values. Additionally, it touches on joint distributions, conditional distributions, and the moment-generating function.

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29 views49 pages

Operations on Random Variables Explained

The document discusses operations on single and multiple random variables, focusing on expectations, moments, and transformations. It covers concepts such as expected value, variance, skewness, and the Central Limit Theorem, along with practical examples illustrating how to calculate expected values. Additionally, it touches on joint distributions, conditional distributions, and the moment-generating function.

Uploaded by

abdulahadkhan02223
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd

UNIT – II: Operations on Single & Multiple Random Variables – Expectations:

• Expected Value of a Random Variable, Function of a Random Variable, Moments about the Origin, Central
Moments, Variance and Skew, Chebychev’s Inequality, Characteristic Function, Moment Generating
Function, Transformations of a Random Variable: Monotonic and Non-monotonic Transformations of
Continuous Random Variable, Transformation of a Discrete Random Variable. Vector Random Variables,
Joint Distribution Function and its Properties, Marginal Distribution Functions, Conditional Distribution
and Density – Point Conditioning, Conditional Distribution and Density – Interval conditioning, Statistical
Independence. Sum of Two Random Variables, Sum of Several Random Variables, Central Limit Theorem,
(Proof not expected). Unequal Distribution, Equal Distributions. Expected Value of a Function of Random
Variables: Joint Moments about the Origin, Joint Central Moments, Joint Characteristic Functions, Jointly
Gaussian Random Variables: Two Random Variables case, N Random Variable case, Properties,
Transformations of Multiple Random Variables, Linear Transformations of Gaussian Random Variables
OPERATIONS ON RANDOM
VARIABLES
• Various operations on random variable will indicate the way it behaves.
• These operations are used to perform statistical analysis of real time
experiment where they exists much randomness.
• Expected values as well as moments are the parameter is used for
• describing the behaviour of random variable.
Expected value of
a RV
Example 1:
A third grade class was surveyed regarding the number of hours that they
played electronic games each day. The probability distribution is given
in the table below:

# of Hours (x) Probability P(x)


0 0.3
1 0.4
2 0.2
3 0.1

Calculate the Expected Value of the quantity of time that a third grader
spends each day playing electronic games.
E(x) = x1 P(x1) + x2 P(x2) + x3 P(x3) + … + xn P(xn)
# of Hours (x) Probability P(x)
0 0.3
1 0.4
2 0.2
3 0.1

Expected value, E(x) = 0 (0.3) + 1 (0.4) + 2 (0.2) + 3 (0.1)


Expected value, E(x) = 0 + 0.4 + 0.4 + 0.3
Expected value, E(x) = 1.1 hours

Conclusion: Third graders spend 1.1 hrs playing video games each
day.
Example 2:
Find the expected number of boys for a three-child family. Assume girls
and boys are equally likely. Key: b=Boy; g = Girl

# of Boys Probability Product


8 Combos
x P(x) x P(x)
bbb
bbg 0 1/8 0
bgb 1 3/8 3/8
bgg
2 3/8
gbb 6/8
gbg 3 1/8 3/8
ggb
Expected Value: E(x) =0 + 3/8 + 6/8 + 3/8
ggg = 12/8 or 1.5 boys

Concl: The expected # of boys for a 3-child family is 1.5 boys.


1) E[CX] = C E[X]

2) E[X+Y] = E[X] +E[Y]


MEAN SQUARE VALUE
Conditional Expected value
of a RV
Conditional Expected value of a
RV (contd..)
Moments
Moments of random variables are nothing but statistical averages. Basically, there

are two sets of moments defined for a random variable.

(i). Moments about origin.

(ii). Moments about mean.


Moments about
origin
Moments about origin
(contd..)
Moments about
mean
Moments about mean
(contd..)
Varian
ce
Variance
(contd..)
Ske
w
Skew
(contd..)
Show that the mean value and variance of the random variable having the uniform density function are
Moment generating
function
Moment generating
function
Monotonically
increasing RV
Monotonically increasing RV
(contd..)
Nonmonotonic Transformation
of a RV
Nonmonotonic Transformation of a RV
(contd..)
Nonmonotonic Transformation of a RV
(contd..)
Transformation of a
DiscreteRV
Transformation of a DiscreteRV
(contd..)
Characteristic function of r.v. X

 X ()  E[e ] jX
f X (x)e jxdx
 

Fourier transform
 X ()e jx
f X (x) 2 1 

d
  
 X () f X (x) e j x
fX (x)dx  1   X

d n  ()
 dx  (0)
f X (x)x dx  j E[X ]
  

 n n  n
X
f X (x) j x e
jx dx   n
n
d n   n
 j 0
 0

d n X n
mn  ( j)
() dn

0
Functions That Give
Moments
Moment generating function of r.v.
X
M X (v)  E[evX ]   X (x)evx dx
f 
dn M   
X
 X f (x)x e
n vx
dx  f (x)x n
dx 
(v) dvn  v  m
v 0 X
0 n

Ex 3.3-1 & Ex 3.3- xa



2: 1 e b
, x
f X (x) b
a
 0
xa
,

1
1 b e( b j ) x
a a
1 b  ( b1  )
 X ()  jX
]  e j e x dx  e

E[e b b
a
(1b j)
a ( 1b j ) a x
a
1 eb e  e ja
b 1 jb
1
( b  j ) dX jae ja (1 jb)  e ja

()d jb (1 jb)2
va
M X (v)  E[evX ] e  dMX (v) ae (1 vb) e b
 va va
 1 vb
dv (1 vb)2

m  ( j) d X () a m1 dM


X (v)
a
d
1
 b  dv v b
0
0
Chernoff's inequality Ex 3.3-3:

v
0


P[X  a]  a f X (x)dx   f X (x)u(x 
a)dx  f X (x)e v( xa )dx  eva M X (v)


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