Expected value and variance of Poisson random variables.

We said that λ is the expected

value of a Poisson(λ) random variable, but did not prove it. We did not (yet) say what
the variance was. For the expected value, we calculate, for X that is a Poisson(λ) random
variable:
∞
X e−λ λx
E(X) = x
x=0
x!
∞
X e−λ λx
= x since the x = 0 term is itself 0
x=1
x!
∞
X e−λ λx
= divided on top and bottom by x
x=1
(x − 1)!
∞
X λx−1
= λe−λ factor out e−λ and λ too
x=1
(x − 1)!
 λ0 λ1 λ2 
= λe−λ + + + ...
0! 1! 2!
∞ x
X λ
= λe−λ
x=0
x!
= λe−λ eλ
=λ

So in summary E(X) = λ. For Var(X) = E(X 2 ) − (E(X))2 = E((X)(X − 1) + X) −

(E(X))2 = E((X)(X − 1)) + E(X) − (E(X))2 = E((X)(X − 1)) + λ − λ2 . Now we calculate
∞
X e−λ λx
E((X)(X − 1)) = (x)(x − 1)
x=0
x!
∞
X e−λ λx
= (x)(x − 1) because x = 0 and x = 1 terms are themselves 0
x=2
x!
∞
X e−λ λx
= divide out by x and x − 1
x=2
(x − 2)!
∞
2 −λ
X λx−2
=λ e factor out e−λ and λ2
x=2
(x − 2)!
 λ0 λ1 λ2 
= λ2 e−λ + + + ... (I had extra e−λ in the video on this line)
0! 1! 2!
= λ2 e−λ eλ
= λ2

In summary, Var(X) = λ2 + λ − λ2 = λ.
So both the expected value and the variance of X are equal to λ.