Lecture-5

Expectation, Variance and Standard deviation.

If 𝑋 is a random variable, then Mean or Expectation or Expected value of 𝑋
is denoted by,
𝐸 [𝑋] = 𝜇 is defined by
𝐸 [𝑋] = 𝑥𝑖 𝑃[𝑋 = 𝑥𝑖 ]

= 𝑥𝑖 𝑓𝑋 [𝑥𝑖 ] when 𝑋 is discrete


𝐸 [𝑋] =  x f X (x)dx when 𝑋 is continuous

and Variance is denoted by
𝑉𝑎𝑟 [𝑋] = 𝜎𝑥2 is defined by
𝑉𝑎𝑟 [𝑋] = 𝐸 {[𝑋 − 𝜇]2 }
= 𝐸 {[𝑋 − 𝐸[𝑋]]2 }
• Therefore Var[X] = (xi-) 2 fx(xi) when 𝑋 is discrete
𝑉𝑎𝑟[𝑋] =  (x - μ) 2 f X (x)dx when 𝑋 is continuous

• standard deviation is denoted by 𝑆𝐷(𝑋) = 𝜎𝑋
𝑆𝐷(𝑋) = Var[X]
i.e., The standard deviation is the positive square root of the Variance.
Note: 𝑉𝑎𝑟 [𝑋] = 𝐸 {{[𝑋 − 𝜇]2 }
= 𝐸[𝑋2] – {𝐸[𝑋]} 2
Laws of the Expected Value
• 𝐸[𝑎] = 𝑎 𝑎-constant
• 𝐸 [𝑎𝑋] = 𝑎 𝐸[𝑋]
• 𝐸 [ 𝑎𝑋 + 𝑏] = 𝑎 𝐸[𝑋] + 𝑏
• Let 𝑋1, 𝑋2, … … . 𝑋𝑛 be random variables on the same sample space
then
𝐸[𝑋1 + 𝑋2 … … . +𝑋𝑛] = 𝐸[𝑋1] + 𝐸[𝑋2] + ⋯ … … + 𝐸[𝑋𝑛]

• If 𝑋 and 𝑌 are independent random variables

𝐸 [𝑋. 𝑌] = 𝐸[𝑋]. 𝐸[𝑌]
Laws of Variance
• 𝑉𝑎𝑟 (𝑋 + 𝑘) = 𝑉𝑎𝑟 (𝑋) where, 𝑘 is a Constant.
• 𝑉𝑎𝑟 (𝑘 𝑋) = 𝑘2 𝑉𝑎𝑟(𝑋)
• 𝑉𝑎𝑟 (𝑎 𝑋 + 𝑏) = 𝑎2 𝑉𝑎𝑟(𝑋)
• If 𝑋 and 𝑌 are independent random variables
1. 𝑉𝑎𝑟 (𝑋 + 𝑌) = 𝑉𝑎𝑟 (𝑋) + 𝑉𝑎𝑟 (𝑌)
2. 𝑉𝑎𝑟 (𝑋 − 𝑌) = 𝑉𝑎𝑟 (𝑋) + 𝑉𝑎𝑟 (𝑌)
Example:
An unbiased coin is tossed four times. Let 𝑋 denotes the number of
heads. Find,
(i) 𝐸(𝑋) (ii) 𝑉𝑎𝑟 (𝑋)
X 0 1 2 3 4
P(X=x) 1/16 4/16 6/16 4/16 1/16
4
E(X)   x i P(X  x i )
i 0

1 4 6 4 1
= 0.  1.  2.  3.  4.
16 16 16 16 16

=2
 4
E(X )   x i2 P(X  x i )
2

i 0

= 1 4 6 4 1
0.  1.  4.  9.  16.
16 16 16 16 16

=5

Var(X)  E(X )  [E(X)] 2 2

=5-4

=1
Exercise 1: A PDF of a random variable X is given by
3e 3x for x  0
f X (x)  
0 o/w
Find (i) 𝐸 (𝑋) and (ii) 𝑉𝑎𝑟 (𝑋)
Solution:- 
E(X)   x.f

X (x).dx
0 

 x.f (x)dx   x.f X (x)dx

=
X
 0



 3x
=0+ x.3e dx
0
= 1
3
 
E(X 2 )   .f X (x).dx
2
x

0 

 X   .f X (x)dx
2 2
= x .f (x)dx x
 0


=0+ 
2  3x
x .3e dx
0
= 2
9
Var(X)  E(X 2 )  E(X) 
2

2 1
= -
9 9

= 1
9
Exercise 2:
If the PDF of X is given by
2(1  x) for 0  x  1
f X (x)  
0 o/w
2
Show that E(X r )  and use this result to evaluate E[(2X  1) 2 ]
(r  1)(r  2)