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class03_8

# class03_8

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Published by: Dr. Ir. R. Didin Kusdian, MT. on Apr 20, 2010

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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