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Yang Zhenlin
zlyang@smu.edu.sg
http://www.mysmu.edu/faculty/zlyang/
Chapter Contents
Chapter 2
Discrete r.v.
Continuous r.v.
Random Variable
Chapter 2
Random Variable
Chapter 2
Random Variable
Chapter 2
Chapter 2
Random Variable
n 1
P{N n} P (TT
T
H
)
(
1
p
)
p
n 1
n 1
1
1 (1 p )
Zhenlin Yang, SMU
Chapter 2
(right continuous)
(c)
(nondecreasing).
Chapter 2
1/16
4/16
9/16
Chapter 2
Solution: (a) ,
F(x)
1
3/4
2/3
1/2
1/4
0
9
Chapter 2
x = x1, x2, . . .
10
Chapter 2
and
(ii) p ( x) 1.
all x
k
(
1
1
/
2
(
1
/
2
)
) 2k , k 1 / 2
all x
(b) Since p(0) = k/2, and p(2) = k/4, the two values of the function have
opposite signs no matter what value k takes. Therefore, it is impossible for
p(x) to be always nonnegative, and hence p(x) cannot be a pmf.
STAT151, Term I 12-13
11
Chapter 2
12
13
Chapter 2
Chapter 2
F(x)
1
0,
1,
f ( x)
0.5,
0,
.5
0
.5
1.5
x
14
x0
0 x 0.5
0.5 x 1.5
1.5 x
Zhenlin Yang, SMU
Chapter 2
and
(ii)
f ( x)dx 1
15
Chapter 2
= E(X) =
x p( x),
all x
= E(X) =
x f ( x)dx,
Chapter 2
36
36
36
36
all x
17
Chapter 2
all x
Example 2.8 The r.v. X has pmf p(x) = 1/3, for x = 1, 0, 1. Find
E(X) and E(X2).
Solution:
E ( X ) x p ( x) (1)
2
all x
(0) (1)
2 1
3
2 1
3
2 1
3
The above result says that the expectation of the r.v., u(X), can
simply be found through the distribution of the original r.v. X !
STAT151, Term I 12-13
18
Chapter 2
(X) = {Var(X)}1/2.
Variance and standard deviation (sd) measure how much the
values of X vary around its mean .
As (X )2 is a function of X, i.e., u(X) = (X )2, from the results
given in the last slide, we have
Var(X) =
Var(X) =
STAT151, Term I 12-13
20
Chapter 2
Chapter 2
We note in Example 2.9 Var(X) and Var(Y) are the same. Why?
If X is a r.v. with mean , and a and b are arbitrary constants, then
E(aX + b) = aE(X) + b
Var(X) = E(X2) 2
Var(aX + b) = a2Var(X)
(aX + b) = |a|(X).
To show the second result,
Var(X) = E[(X )2]
= E(X2 2X+ 2)
= E(X2) 2 E(X)+ 2
= E(X2) 2
STAT151, Term I 12-13
21
Chapter 2
22
Chapter 2
23
Chapter 2
24
Chapter 2
25
Chapter 2
M (t )
d
dt
t x1
p ( x1 ) et x 2 p( x2 ) et x3 p( x3 )
et x1 x1 p( x1 ) et x 2 x2 p( x2 ) et x3 x3 p( x3 )
Thus, M (0) x1 p ( x1 ) x2 p ( x2 ) x3 p ( x3 ) E ( X )
M (t )
d2
dt 2
t x1
p ( x1 ) et x 2 p ( x2 ) et x3 p ( x3 )
M
(
0
)
x
p
(
x
)
x
p
(
x
)
x
p
(
x
)
E
(
X
)
Thus,
1
1
2
2
3
3
In general,
(r )
(t ) i 1 e x p ( xi ),
t xi
r
i
M
26
(r )
(0) i 1 xir p ( xi ) E ( X r )
Chapter 2
p(x)
3/6
2/6
1/6
27
Chapter 2
1
Recall:
1 z z 2 z 3 ,
1 z
1 z 1
we have,
That is, P(X = x) = (1/2)x,
for positive integer x; the
pmf of X is thus,
e 2
M (t )
1 et 2
e t e t 2 e 3t
1 2 3
2
2
2
et
1
1
e 2t
2
2
et
STAT151, Term I 12-13
1
2
1
p( x) , x 1,2,3, .
2
e3t
28