MATH 3033 based on Dekking et al. A Modern Introduction to Probability and Statistics. 2007 Slides by Yu Liang Instruct

1. MATH 3033 based onDekking et al. A Modern Introduction to Probability and Statistics. 2007Slides by Yu Liang Instructor Longin Jan Latecki Chapter 7: Expectation and variance

2. The expectation of a discrete random variable X taking the values a1, a2, . . . and with probability mass function p is the number: We also call E[X] the expected valueor meanof X. Since the expectation is determined by the probability distribution of X only, we also speak of the expectation or mean of the distribution. Expected values of discrete random variable

3. The expectationof a continuous random variableX with probability density function f is the number We also call E[X] the expected valueor meanof X. Note that E[X] is indeed the center of gravity of the mass distribution described by the function f: Expected values of continuous random variable

4. The EXPECTATION of a GEOMETRIC DISTRIBUTION. Let X have a geometric distribution with parameter p; then The EXPECTATION of an EXPONENTIAL DISTRIBUTION. Let X have an exponential distribution with parameter λ; then The EXPECTATION of a GEOMETRIC DISTRIBUTION. Let X have a geometric distribution with parameter p; then

5. The CHANGE-OF-VARIABLE FORMULA. Let X be a random variable, and let g : R → R be a function. If X is discrete, taking the values a1, a2, . . . , then If X is continuous, with probability density function f, then

6. The varianceVar(X) of a random variable X is the number Standard deviation: Variance of a normal distribution. Let X be an N(μ, σ2) distributed random variable. Then

7. An alternative expression for the variance. For any random variable X, is called the second moment of X. We can derive this equation from: Expectation and variance under change of units. For any random variable X and any real numbers r and s, and