Mathematical Expectation:
The average value of a random phenomenon is also termed as its
mathematical expectation or expected value.
The expected value of a discrete r.v. is a weighted average of all
possible values of the r.v., where the weights are the probabilities
associated with the corresponding values.
For a discrete r.v. with p.m.f. ,
For a continuous r.v. with p.d.f. ,
Expected Value of a function of a random variable
Consider a r.v. X with p.d.f. (p.m.f.) and distribution function .
If is a function such that g(X) is a r.v. and exists, then
Particular cases:
1. If we take , - being a positive integer, then
Which is defined as , the rth moment (about origin) of the probability
distribution. Thus ( about origin) =
In particular, if ( about origin) = = = Mean
( about origin) = =
2. If = , then
∞ ∞
𝑟
−∞
𝑟 = −∞
𝑟
𝑟
𝑥
𝑟 = 𝑥
𝑟
which is 𝒓 , the rth moment about mean.
∞
if , we get 2
2 = −∞
2 = Variance
3. If = constant = ,
= =
= =
Expected Value of Two-dimensional RV
If is a two-dimensional RV with joint p.d.f. or
joint p.m.f. , then
(for discrete r.v.)
(for continuous r.v.)
Properties of Expectation:
1. Addition theorem of Expectation:
Proof:
= +
Generalisation: =
or =
2. Multiplication theorem of Expectation:
If and are independent random variables, then
= [Since, X and Y are independent]
] [
Generalisation: If are - independent r.v.’s, then
or
3. If is a random variable and and are constants, then
Proof: =
If then we get =
However,
Example 1
Let X be a random variable with the following probability distribution:
: -3 6 9
: 1/6 1/2 1/3
Find the values of , and
Example 2
Find the expectation of the number on a die when thrown.
Answer:
Example 3:
Two unbiased dice are thrown. Find the expected values of the sum of
numbers of points on them.
Answer:
Let "x" indicate the sum of the points on the two dice
[Since you are required to find the expected value the sum of
the scores on the two dice, the variable would represent the
sum of the points on the dice]
The sum of the points on the two dice would be
•2 if the dice show up {(1,1)}
•3 if the dice show up {(1,2),(2,1)}
•4 if the dice show up {(1,3),(2,2),(3,1)}
•5 if the dice show up {(1,4),(2,3),(3,2),(4,1)}
•6 if the dice show up {(1,5),(2,4),(3,3),(4,2),(5,1)}
•7 if the dice show up {(1,6),(2,5),(3,4),(4,3),(5,2),(6,1)}
•8 if the dice show up {(2,6),(3,5),(4,4),(5,3),(6,2)}
•9 if the dice show up {(3,6),(4,5),(5,4),(6,3)} E(X)=
•10 if the dice show up {(4,6),(5,5),(6,4)}
•11 if the dice show up {(5,6),(6,5)}
•12 if the dice show up {(6,6)}
