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class03_8

class03_8

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Published by: Dr. Ir. R. Didin Kusdian, MT. on Apr 20, 2010
Copyright:Attribution Non-commercial

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04/20/2010

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1.017/1.010 Class 8Expectation, Functions of a Random Variable
 
Mean, variance of random variables
Expectation (population
mean
) of 
 x 
...
[
 x 
]
For a
discrete
 
 x 
:
)()(
i xi
 x p x E 
==
 x 
 
For a
continuous
 
 x 
:
∫ 
+∞
==
dx x xf  E 
 x
)()(
 x 
 
(Population)
variance
of 
 x 
...
Var 
[
 x 
]:
( )
2
)(
- x  x 
 E Var 
=
 
Derive these for uniform & triangular distributions
 
Functions of a random variable
 
 y
=
 g 
(
 x 
)
 x 
is a random variable with CDF
 
 F 
 x 
(
 x
)
 y
 
is a random variable with CDF
 F 
 y
(
 y
)
since it depends on
 
 x 
 
Derived distribution problems
 
Derive
 F 
 y
(
 y
)
from
 F 
 x 
(
 x
)
using either of these options:1. Analytical derivation
 
Apply definitions of 
 y
,
 F 
 x 
(
 x
),
and
 F 
 y
(
 y
).}])({[])([]
 y x g  x P  y g  P  y
[)(
 P  y F 
 y
====
y | x  x 
 2. Stochastic simulationGenerate many realizations of 
 x
, compute
 y
for each replicate,construct empirical
 F 
 y
(
 y
) from
 y
replicates
Example (analytical derivation): Distribution of 
 y = x
2
for a uniformlydistributed
 x
:
Uniform distribution centered on 0:
1

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