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Original Title: Maths Probability Expectation and Conditional Expectation lec6/8.pdf

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Maths Probability Expectation and Conditional Expectation lec6/8.pdf

Maths Probability Expectation and Conditional Expectation

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In this chapter, we introduce expected value or the mean of a random variable. First we define expectation for discrete random variables and then for general random variable. Finally we introduce the notion of conditional expectations using conditional probabilities.

equal almost surely (in short a.s.) if

are said to be

there exists a partition

where

may be

Proof. Let

. Here

is discrete, we have

Set

Then

Now define

Then

is a partition of

and

Remark 6.0.6 If

range of is at the most countable. Here 'effective' range means those values taken by positive probability. This leads to the name 'discrete' random variable.

Remark 6.0.7 If

that

is a discrete random variable, then one can assume without the loss of generality

Since if

, then set

and

for

Then if

be such that

is a countable partition of

then

, set

Then clearly

Also if

then

. Therefore

expectation of

. Then

denoted by

has range

, then

be a Bernoulli(

Hence

be a Binomial

Hence

be a Poisson (

Hence

be a Geometric (

Hence

means. Then (i) If (ii) For , then .

and

. Hence

be a representation of

. Then

implies

for all

(ii) Let

has a representation

. Now by setting

and

. Therefore

Hence

Definition 6.3. (Simple random variable) A random variable is said to be simple if it is discrete and the

distribution function has only finitely many discontinuities. Theorem 6.0.26Let be random variable in satisfying . such that , then there exists a sequence

. as follows:

Proof. For

Then

Proof. Since

exists. Also since

Therefore

simple and

Let

where

is a partition of

. Fix

, set for

and

Since

Also

Hence

we have

Hence

(6.0.1)

Now let,

in (6.0.1), we get

Since,

is arbitrary, we get

is defined as (6.0.2)

where

Remark 6.0.9

. Then

Proof. By using the simple functions given in the proof of Theorem 6.0.25, we get

(6.0.3)

where

Hence

exists if either or

is said to

where

Note that

Theorem 6.0.28

Let

. Then

Proof. Set

Hence

Then

Similarly, set

Hence

Then

Now

(6.0.4)

and

(6.0.5)

The last equality follows by the arguments from the proof of Theorem 6.0.26. Combining (6.0.4) and (6.0.4), we get

Now as in the proof of Theorem 6.0.26, we complete the proof. We state the following useful properties of expectation. The proof follows by approximation argument using the corresponding properties of simple random variables

(i) If , then .

(ii) For

(iii) Let

. Then

In the context of Riemann integration, one can recall the following convergence theorem. `` If , then is a sequence of continuous functions defined on the such that uniformly in

i.e., to take limit inside the integral, one need uniform convergence of functions. In many situations in it is highly unlikely to get uniform convergence. In fact uniform convergence is not required to take limit inside an integral. This is illustrated in the following couple of theorem. The proof of them are beyond the scope of this course.

random variables such that . Then

Let

[Here

means

.]

(i) (ii) (iii) Then has finite mean.

Definition 6.6. (Higher Order Moments) Let moment of and is called the

is called the

th

called the variance. Now we state the following theorem whose proof is beyond the scope of this course.

and

be a continuous

The above theorem is generally referred as the ``Law of unconscious statistician'' since often users treat the

above as a definition itself. Now we define conditional expectation denoted by E[Y|X] of the random variable Y given the information about the random variable X. If Y is a Bernoulli (p) random variable and X any discrete random variable, then we expect E[Y|X = x] to be P{Y = 1|X = x}, since we know that EY = p = P{Y = 1}. i.e.,

Where

liner and any discrete random variable can be written as a liner combination of Bernoulli random variable we get the following definition.

conditional expectation of

. Then

Example 6.0.41

. Calculate Set

Let

For

Now

Therefore

i.e.,

Now

When X and Y are discrete random variable. E[Y|X] is defined using conditional pmf of Y given X. Hence we define E[Y|X] when X and Y are continuous random variable with joint pdf f in a similar way as follows.

expectation of given

. Then conditional

Remark 6.0.10 One can extend the defination of E[Y|X] when X is any random variable (discrete, continuous or mixed) and Y is a any random variable with finite mean. But it is beyound the scope of this course. Theorem 6.0.33 (i)

respectively. Then if Let be discrete random variables with joint pmf has finite mean, then , marginal pmfs and

be continuous random variables with joint pdf has finite mean, then

, marginal pdfs

and

respectively.

Find

. Note that

and

Also

elsewhere. Therefore

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