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3.03 Expectation PDF

The document defines mathematical expectation and how it is used to calculate the average or mean value of a random variable. Expectation is the sum of all possible values of the random variable weighted by their respective probabilities for discrete variables, and the integral of the random variable multiplied by the probability density function for continuous variables. Examples are provided to demonstrate calculating the mean or expectation of random variables with given probability distributions.

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Deepak Chaudhary
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64 views3 pages

3.03 Expectation PDF

The document defines mathematical expectation and how it is used to calculate the average or mean value of a random variable. Expectation is the sum of all possible values of the random variable weighted by their respective probabilities for discrete variables, and the integral of the random variable multiplied by the probability density function for continuous variables. Examples are provided to demonstrate calculating the mean or expectation of random variables with given probability distributions.

Uploaded by

Deepak Chaudhary
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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MATHEMATICAL EXPECTATION:

Using the pdf or the distribution function, we can obtain the average value of the r.v. X.

The average value, called the expectation or the expected value or the mean gives an idea
of where the values of the r.v. X are concentrated.

Mean is a first order quantity.

To know how the individual values are scattered around the mean, we consider the variance
and its positive square root, the standard deviation.

Variance is a second order quantity.

Definition [Expectation] : Suppose X is a discrete r.v. with probability mass function


p x  P( X  x), the expectation or the expected value of X is defined as:

E ( X )   xpx .
x
If X is a continuous r.v. with p.d.f. f ( x) then the expectation or the expected value of X is
defined as:


E(X)   xf ( x)dx

(Here   denotes the lower limit and  denotes the upper limit )

REMARKS:
(i) If Y = g(X) is a r.v. (i.e. Y is a function of X), then
  g ( x) p x , if X is discrete
x
E (Y )  E ( g ( X )  
  g ( x) f ( x)dx, if X is continuous
X

This implies that

 x2 p , if X is discrete
 x x
2
E( X )   
  x2 f ( x)dx, if X is continuous
 

(ii) Expectation of a constant is that constant itself i.e. E(a) = a, if a is a


constant
Examples
1. A r.v. X has the following distribution. Find k and the mean.
X -1 0 1 2 3
P(X=x) 0.2 0.1 k 2k 0.1
Solution: Since p ( x ) is a probability mass function, we have
 px  1
x
 0.2  0.1  k  2k  0.1  1
 3k  1  0.4
 k  0.2
Therefore, the probability distribution of X is:
X -1 0 1 2 3
P(X=x) 0.2 0.1 0.2 0.4 0.1
Therefore, the mean = E(X) is given by,
E ( X )   xpx
x
 (1)(0.2)  (0)(0.1)  (1)(0.2)  (2)(0.4)  (3)(0.1)
 1.1

2. If the mean of the following distribution is 16, find m and n.


X 8 12 16 20 24
P(X=x) 1/8 m n 1/4 1/12
Solution: Since p( x) is a probability mass function, we have
 px  1
x
1 1 1
  m  n   1
8 4 12
13
 m  n  ......(1)
24
Also Mean = E(X)=16
  xpx  16
x
1 1 1
 8*  12m  16n  20*  24*  16
8 4 12
 12m  16n  8.....(2)
9 4
Solving (1) and (2), we get, n  ;m  .
24 24
3. A fair coin is tossed until a head appears. What is the expectation of the number of tosses
required?
Solution: Let the random variable X denote the number of tosses required till a head appears.
Then X is a discrete r.v taking values 1,2,3,… Therefore the probability distribution of X is
given by

X 1 2 3 4 5 …
P(X=x) 1/2 (1/2) (1/2) (1/2) (1/2) …
2 3 4 5

Then E ( X )   xpx
x
2 3 4 5
1 1 1 1 1
1  2.   3.   4.   5.   ...
2 2 2 2 2
 2 3 4 
1 1 1 1 1
 1  2.   3.   4.   5.   ... 
2 2 2 2 2 
 
1 1
 ( )
2 1 1/ 2 2
 
2

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