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Tutorial 4 Expected Value, Variance and Moment Generating Function

This document discusses expected value, variance, and moment generating functions. It provides examples of calculating the expected value and variance of random variables like the Poisson distribution, the uniform distribution, and the binomial distribution. It also discusses how the moment generating function and its derivatives relate to the expected value and central moments of a random variable.

Uploaded by

Sadiq Akbar
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© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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113 views15 pages

Tutorial 4 Expected Value, Variance and Moment Generating Function

This document discusses expected value, variance, and moment generating functions. It provides examples of calculating the expected value and variance of random variables like the Poisson distribution, the uniform distribution, and the binomial distribution. It also discusses how the moment generating function and its derivatives relate to the expected value and central moments of a random variable.

Uploaded by

Sadiq Akbar
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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1

Tutorial 4

Expected Value, Variance and
Moment Generating Function

2
Expected Value
If X is a discrete random variable having a
probability mass function p(x), the
expectation or the expected value of X, is
defined by



E[X] is a weighted average of the possible
values that X can take on, each value being
weighted by the prob. that X assumes it.

>
=
0 ) ( :
) ( ] [
x p x
x xp X E
3
Expected Value
If X is a continuous random variable having a
probability density function f(x), then the
expected value of X is defined by



If a and b are constants, then

}


= dx x xf X E ) ( ] [
b X aE b aX E + = + ] [ ] [
4
Example 1
Calculate E[X] if X if a Poisson random variable
with parameter .

= =
=

=
=

e e
k
e
i
e
i
e
i
ie
X E
k
k
i
i
i
i
i
i
0
1
1
1
0
)! (
)! 1 (
)! 1 (
!
] [
5
Example 2
Calculate the expectation of a random variable
uniformly distributed over (a, b).








The expected value of a random variable uniformly
distributed over the interval (a, b) is just the
midpoint of the interval.


2
) ( 2
] [
2 2
b a
a b
a b
dx
a b
x
X E
b
a
+
=

=
}
6
Variance
If X is a random variable with mean ,
then the variance of X is defined by



The variance of X measures the expected
square of the deviation of X from its expected
value.

] ) [( ) (
2
= X E X Var
7
Variance
2 2
2 2 2
2 2
2 2
2
2
] [
2 ] [
) ( ) ( 2 ) (
) ( ) 2 (
) ( ) (
] ) [( ) (

=
+ =
+ =
+ =
=
=

X E
X E
x p x xp x p x
x p x x
x p x
X E X Var
x x x
x
x
2 2
]) [ ( ] [ ) ( X E X E X Var =
8
Variance
If a and b are constants, then



The square root of the Var(X) is called
the standard deviation of X.

) ( ) (
2
X Var a b aX Var = +
9
Example 3
Calculate Var(X) when x represents the
outcome when a fair die is rolled.

2
7
] [ = X E
6
91
)
6
1
( 6 )
6
1
( 5 )
6
1
( 4 )
6
1
( 3 )
6
1
( 2 )
6
1
( 1
] [
2 2 2 2 2
2
=
+ + + + + =
X E
12
35
)
2
7
(
6
91
) (
2
= = X Var
10
Moment Generating Functions
Moment generating function is define as
follow:

| |
f(x) density with continuous is X if ) ( e

p(x) function mass with discrete is X if ) (
) (
tx
}


=
=
=
dx x f
or
x p e
e E t M
x
tx
tX
11
Moment Generating Functions
| |
| |
| | E[X] (0) M'


(t) M'
Then,
) 0 (
= =
=
(

=
=
X
tX
tX
tX
Xe E
Xe E
e
dt
d
E
e E
dt
d
12
Moment Generating Functions
Similarly,

| |
| | ] E[X (0) ' M'

)] ( [
] [
) ( ' (t) ' M'
2 ) 0 ( 2
2
= =
=
=
=
=
X
tX
tX
tX
e X E
e X E
Xe
dt
d
E
Xe E
dt
d
t M
dt
d
13
Moment Generating Functions
In general, the nth derivative of M(t) is
given by


Implying that


] [ ) (
tX n n
e X E t M =
1 > n
] [ ) 0 (
n n
X E M =
1 > n
14
Example 4
Binomial Dist. (n,p)

| |
t n t
n t
k n k t
k n k tk
tX
pe - p pe n t M
- p pe
p pe
k
n
p p
k
n
e
e E t M
1
n
0 k
n
0 k
) 1 ( ) ( '
) 1 (
) 1 ( ) (
) 1 (
) (

+ =
+ =

|
|
.
|

\
|
=

|
|
.
|

\
|
=
=

15
Example 4 (cont)
t n t
pe - p pe n t M
1
) 1 ( ) ( '

+ =
t n t t n t
pe - p pe n pe - p pe n n
t M
1 2 2
) 1 ( ) ( ) 1 ( ) 1 (
) ( ' '

+ + + =
Mean = M(0) = np

E[X
2
] = M(0) = n(n-1)p + np

Variance = E[X
2
] (E[X])
= n(n-1)p + np (np)
= np(1-p)

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