EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

Definition of E [ g ( X )] , the expected value of a function of X:

n
E [ g ( X )] = g ( x1 ) p1 + ... + g ( x n ) pn = ∑ g ( x i ) pi
i =1

To find the expected value of a function of a random variable, one calculates all the possible
values of the function, weights them by the corresponding probabilities, and sums the
results.
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 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

Definition of E [ g ( X )] , the expected value of a function of X:

n
E [ g ( X )] = g ( x1 ) p1 + ... + g ( x n ) pn = ∑ g ( x i ) pi
i =1

Example:

E (X )= x
n
2 2
1 p1 + ... + x pn = ∑ x i2 pi
2
n
i =1

For example, the expected value of X2 is found by calculating all its possible values,
multiplying them by the corresponding probabilities, and summing.

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 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

The calculation of the expected value of a function of a random variable will be outlined in
general and then illustrated with an example.

3
 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

First one makes a list of the possible values of X and the corresponding probabilities.

4
 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

Next the function of X is calculated for each possible value of X.

5
 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

Then, one at a time, the value of the function is weighted by its corresponding probability.

6
 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

This is done individually for each possible value of X.

7
 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

The sum of the weighted values is the expected value of the function of X.

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 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

The process will be illustrated for X2, where X is the random variable defined in the first
sequence. The 11 possible values of X and the corresponding probabilities are listed.

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 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

First one calculates the possible values of X2.

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 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

The first value is 4, which arises when X is equal to 2. The probability of X being equal to 2
is 1/36, so the weighted function is 4/36, which we shall write in decimal form as 0.11.

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 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

Similarly for all the other possible values of X.

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 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… … …... ……... 7 6/36 49 8.17
… … …... ……... 8 5/36 64 8.89
… … …... ……... 9 4/36 81 9.00
… … …... ……... 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

The expected value of X2 is the sum of its weighted values in the final column. It is equal to
54.83. It is the average value of the figures in the previous column, taking the differing
probabilities into account.
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 EXPECTED VALUE OF A FUNCTION OF A RANDOM VARIABLE

xi pi g(xi) g(xi ) pi xi pi xi2 xi2 pi

x1 p1 g(x1) g(x1) p1 2 1/36 4 0.11
x2 p2 g(x2) g(x2) p2 3 2/36 9 0.50
x3 p3 g(x3) g(x3) p3 4 3/36 16 1.33
… … …... ……... 5 4/36 25 2.78
… … …... ……... 6 5/36 36 5.00
… E…( X 2 )…...
= 54.83……... 7 6/36 49 8.17
… E ( X )…...
… =7 ……... 8 5/36 64 8.89
… … …... ……...
E…( X 2 )…...
9 4/36 81 9.00
… ≠ ( E ( X……...
))2 10 3/36 100 8.83
… … …... ……... 11 2/36 121 6.72
xn pn g(xn) g(xn) pn 12 1/36 144 4.00

Σ g(xi) pi 54.83

Note that E(X2) is not the same thing as E(X), squared. In the previous sequence we saw
that E(X) for this example was 7. Its square is 49.

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Copyright Christopher Dougherty 2016.

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2015.12.17