Mathematical Statistics (MA212M)

Lecture Slides
Lecture 8
Expectation of CRV

Def: Let X be a CRV with PDF fX (.). The expectation of X is

defined by
Z ∞ Z ∞
E (X ) = xfX (x)dx provided |x|fX (x)dx < ∞ .
−∞ −∞

Example 40: X ∼ U(a, b), what is E (X ) ?

Example 41: X ∼ Exp(λ), what is E (X ) ?
Example 42: X ∼ N(µ, σ 2 ), what is E (X ) ?
1
Example 43: Let X be a CRV having PDF fX (x) = π(1+x 2 )
, ∀x ∈ R.
What is E (X ) ?
Transformation of RV

1 If X is a random variable then Y = g (X ) is a random variable

where g : R → R.
2 Our aim is to find the distribution (CDF/PMF/PDF) of
Y = g (X ) for a known distribution of X .
3 There are mainly three techniques.
Technique 1

Example 44: Let the random variable X has the following PDF:
(
e −x if x > 0
f (x) =
0 otherwise.

Find the distribution of Y = [X ].

Example 45: Let the random variable X has the following PDF:
 |x|
 2 if − 1 < x < 1

f (x) = x3 if 1 ≤ x < 2

0 otherwise.


Find the distribution of Y = X 2 .

Technique 2 for DRV

Example 46: Let the random variable X has the following PMF:

1
 7 if x = −2, −1, 0, 1

3
f (x) = 14 if x = 2, 3

0 otherwise.


Find the distribution of Y = X 2 .

Technique 2 for DRV (Contd.)

Theorem: Let X be a DRV with PMF fX (·) and support SX . Let

g : R → R and Y = g (X ). Then Y is a DRV with support
SY = {g (x) : x ∈ SX } and PMF
X
 fX (x) if y ∈ SY
fY (y ) = x∈Ay
0 otherwise,


where Ay = {x ∈ SX : g (x) = y }.
Example 47: X ∼ Bin(n, p). Find the distribution of Y = n − X .