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STATISTICS-3-1

The document discusses summary measures of random variables, including expectation (mean), median, variance, and covariance. It explains how to calculate the expectation for both discrete and continuous random variables, as well as the significance of variance in measuring the spread of a distribution. Additionally, it covers quantiles and percentiles, emphasizing their role in understanding the variability of a random variable's distribution.

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3 views4 pages

STATISTICS-3-1

The document discusses summary measures of random variables, including expectation (mean), median, variance, and covariance. It explains how to calculate the expectation for both discrete and continuous random variables, as well as the significance of variance in measuring the spread of a distribution. Additionally, it covers quantiles and percentiles, emphasizing their role in understanding the variability of a random variable's distribution.

Uploaded by

tanbirhasan20028
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Mathematical expectation.

Variance and covariance, properties of mean and variance

Whereas the probability mass function or the probability density function provides complete
information about the probabilistic properties of a random variable, it is often useful to employ
some summary measures of these properties. Some summary measures of these properties are:
1. Expectation, mathematical expectation or mean of a random variable
2. Median
3. Variance
4. Covariance

Expectation, mathematical expectation or mean of a random variable:

Expectations of Discrete Random Variables:

A discrete random variable X taking the values 𝑥𝑖 with probability values 𝑝𝑖 has an expected
value of

𝜇 = 𝐸 (𝑋) = ∑ 𝑝𝑖 𝑥𝑖
𝑖

E(X) provides a summary measure of the average value taken by the random variable and is also
known as the mean of the random variable.

Example: For the machine breakdown problem, The expected repair cost is
E(cost) = ($50 × 0.3) + ($200 × 0.2) + ($350 × 0.5) = $230

Example: If a fair die is rolled, the expected value of the outcome is

E(X) = (1 × 1/6) + (2 × 1/6) + (3 × 1/6) + (4 × 1/6) + (5 × 1/6) + (6 × 1/6)


= 3.5

Expectations of Continuous Random Variables:

The expectation of a continuous random variable X with a probability density function f (x) is
given by
∞
𝜇 = 𝐸 (𝑋) = ∫ 𝑥𝑓(𝑥 )𝑑𝑥
−∞

Example: The expected diameter of a metal cylinder is

Median:

The median of a continuous random variable X with a cumulative distribution function F(x) is
the value x in the state space for which F(x) = 0.5

It provides information about the “middle” value of the random variable.


Example: The median value of the metal cylinder diameters is the solution to

F(x) = 1.5x - 2(x - 50.0)3 - 74.5 = 0.5

Which is x = 50.0. This is not really a surprise because the probability density function is
symmetric about the point x = 50.0, so that a diameter is equally likely to be smaller than 50 mm
and larger than 50 mm.

Variance:

 The mean or expectation measures the central or average value of the random variable
 The variance measures the spread or deviation of the random variable about its mean
value.

The variance of a random variable X is defined to be

It is also denoted by 𝜎 2 or 𝜎𝑥 2

Larger values of the variance indicate that the distribution is more spread out.

𝑉𝑎𝑟(𝑋) = ∑(𝑥 − 𝜇)2 𝑝𝑖 , 𝑋 𝑖𝑠 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒


𝑥

∞
𝑉𝑎𝑟(𝑋) = ∫ (𝑥 − 𝜇)2 𝑓 (𝑥 )𝑑𝑥 , X is continuous
−∞

Example: Recall that the repair costs are $50, $200, and $350 with respective probability values
of 0.3, 0.2, and 0.5, and that the expected repair cost is E(X) = $230. The variance of the repair
cost can be calculated from the formula

Example: Find the variance of a random variable X, whose probability density function is given
by
2(1 − 𝑥), 0≤𝑥≤1
𝑓 (𝑥 ) = {
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

Standard deviation: The positive root of variance is called the standard deviation which is
denoted by 𝝈

Quantiles of Random Variables:

 Quantiles of random variables are additional summary measures that can provide
information about the spread or variability of the distribution of the random variable.
 The pth quantile of a random variable X with a cumulative distribution function F(x) is
defined to be the value x for which

F(x) = p

 So that there is a probability of p that the random variable takes a value smaller than the
pth quantile.
 The probability p is often written as a percentage, and the resulting quantiles are then
called percentiles
 This is also referred to as the p × 100th percentile of the random variable.

For instance, the 70th percentile of a distribution is the value x for which F(x) = 0.70

Illustration of 70th percentile Illustration of quartiles and median

 An idea of the spread of a distribution can be obtained by calculating its quartiles. The
upper quartile of a distribution is defined to be the 75th percentile of the distribution,
and the lower quartile of a distribution is defined to be the 25th percentile.
 Notice that the two quartiles, together with the median, partition the state space of a
random variable into four “quarters,” each of which has a probability of 0.25
 The interquartile range, defined to be the distance between the two quartiles can be
used similar to the variance to provide an indication of the spread of a distribution. Larger
values of the interquartile range obviously indicate that a random variable has a
distribution that is more spread out.

Illustration of the interquartile range


Example: Metal Cylinder Production

The cumulative distribution function of the metal cylinder diameters is

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