Coding Theorems

a and b = constants ; X and Y = random variables

1.
a X E a X E = ) ( ) (






2.

E(aX) = aE(X)






3.

E(a) = a






4.

VAR(X a) =VAR(X)







5.

VAR(aX) = a
2
VAR(X)








6.

VAR(a) =0




7.

COV(X a, Y b) =COV(X,Y)






8.

COV(aX, bY) = abCOV(X,Y)







9.

E(Sum) = Sumof expectations


| |
( ) ( ) ( )
( ) ( ) ( )
n n
n n
n n
X E a X E a X E a
X a E X a E X a E
X a X a X a E
+ + + =
+ + + =
+ + +
...
...
...
2 2 1 1
2 2 1 1
2 2 1 1












10.

V(Sum)
= Sum of individual variances
+ 2*(sum of all possible covariances)


VAR a
1
X
1
+ a
2
X
2
( )
=VAR a
1
X
1
( )
+VAR a
2
X
2
( )
+2COV a
1
X
1
, a
2
X
2
( )
= a
1
2
VAR X
1
( )
+ a
2
2
VAR X
2
( )
+2a
1
a
2
COV X
1
, X
2
( )
= a
1
2
o
1
2
+ a
2
2
o
2
2
+2a
1
a
2
o
12
= a
1
2
o
1
2
+ a
2
2
o
2
2
+2a
1
a
2

12
o
1
o
2

1 1
12
s s









12.

Corr X
1
a, X
2
b
( )
= Corr X
1
, X
2
( )








13.

Corr a
1
X
1
,a
2
X
2
( )
= Corr X
1
, X
2
( )







14.
) ( ) ( X Sk b aX Sk =







15.
) ( ) ( X Ku b aX Ku =