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Expectations

E [X ] =

P (x1 < X x2 , y1 < Y y2 ) = FX,Y (x2 , y2 )FX,Y (x2 , y1 )FX,Y (x1 , y2 )+FX,Y (x1 , y1 ) P (X = xi ) xi
xX

xfX (x)dx E [X ] = xfX (x|A) dx g (x) fX (x) dx

Joint Probability Density Function (joint pdf)


FX,Y (x, y ) di.fX,Y (x, y ) = fX (x) =
2 FX,Y (x,y ) xy

E [X |A] =

E [g (X )] =

fX,Y (x, v ) dv

E [a1 g1 (X ) + an gn (X )] = a1 E [g1 (X )] + an E [gn (X )]

Statistical Independence of Random Variables


If X Y then,
FX,Y (x, y ) = FX (x) FY (y ) var (Y ) fX,Y (x, y ) = fX (x) fY (y ) var (X + Y ) = var (X )+

Variance
2 X

= E (X E [X ])

=E X

(E [X ]) 0

var (X + Y ) = var (X ) + var (Y ) 2 var (X + c) = var (X ) = X var (cX ) = c2 var (X )

If E [XY ] = E [X ] E [Y ] then X and Y are uncorrelated In general, for independent X1 , . . . , Xn var ( Xi ) = var (Xi )

Moments
mn (X ) = E [X n ] =

Two Functions of Two Random Variables


J (x1 , y1 ) = v/x w/x v/y w/y
x=x1 ,y =y1

xn fX (x) dx

fX,Y (x, y ) = J (v, w) =

fV,W (v1 ,w1 ) |J (v1 ,w1 )|

Moment Generating Function


gX (r) = E [exp (rX )] =
d dr gX

1 J (x,y )

v/x w/x

v/y w/y

erx fX (x) dx

(r ) =

d rx dr e fX

(x) dx =

xerx fX (x) dx

Joint Moments
mh,l (X, Y ) = E X h Y l =

(r) r=0 = E [X n ] = mn (X ) Y = X + a gY (r) = E [exp (r (X + a))] = era gX (r) Z = cX gZ (r) = E [exp rcX ] = gX (cr) gX (j ) = gX (r)|r=j Markov Inequality: Let X be a non-negative rv st E [X ] < P (X > x)
E [X ] x

dn dr n gX

Correlation: RXY = m1,1 (X, Y ) = E [XY ] Covariance: KXY = E [XY ] E [X ] E [Y ] K Correlation Coecient: XY =
XY X Y

xh y l fX,Y (x, y ) dxdy

2 Chebychev Inequality: Let X be a rv st X < P (|X E [X ]| > Cherno Inequality:

2 ) X 2

Multidimensional Case
X= X1 Xn
T

E X =

Multiple Random Variables


Joint Distribution Function (joint cdf) FX (x) = P
n

Correlation Matrix:
{Xi xi }
i=1

E XX T

E [X1 ] E [Xn ] 2 X1 X1 Xn . . .. . . =E . . . 2 Xn X1 Xn
T T

Covariance Matrix:

KX = E (X E [X ]) (X E [X ])

FX,Y (, y ) = FX,Y (x, ) = 0 FX,Y (x, ) = FX (x) FX,Y (, y ) = FY (y ) FX,Y (, ) = 1 P (x1 < X x2 , Y y ) = FX,Y (x2 , y ) FX,Y (x1 , y )

Cross-Covariance Matrix:

Z = AX + BY , E [X ] = E [Y ] = 0

T KXY = E XY T E [X ] E [Y ] = KY X

KZ = AKX AT + BKY B T + AKXY B T + BKY X AT

There exist distinct orthonormal eigenvectors s.t.


KX = QQT