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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

## 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

## 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

## 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 Coecient: XY =
XY X Y

## 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

KX = QQT