Unit III (Part B) Statistical Characteristics of Random variables

A random variable can be described by its statistical features.

The three important statistical features of a random variable are
(i) Expected, Average or mean value
(ii) Mean square value
(iii) Variance/ Standard deviation
These are determined by using expectation operation on a random variable X. Expectation is a
process of finding different order mean values of a random variables.
Expected value: Also known as mean or average value.
With reference to time varying signals it is the DC value of the parameter.
It is denoted as E[X] and defined as
For Discrete random variable
N
E[ X ]   p( xi ) xi
i 1

For continuous random variable


E[ X ]  X   x f X ( x) dx


Mean square value:

It is denoted as E[X2] .
It represents the normalized power of a time varying signal.
For discrete random variable it is expressed as
N
E[ X 2 ]   p( xi ) xi2
i 1

For continuous random variable it is given by


E[ X ]  x
2
f X ( x) dx


Variance: An important statistical quantity which is used to describe a random variable is the
variance or standard deviation.
The variance σ2 is given by
 2  E[ X 2 ]  E[ x]2
For discrete random variable it is given by

 2   x  X  p( xi )
N
2

i 1

For continuous random variable it is given by


   x  X 
2 2
f X ( x) dx


The square root of variance is called standard deviation and expressed as σ .

If a time varying signal has mean value E[X] =0,then σ represents the root mean square voltage.

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 Unit III (Part B) Statistical Characteristics of Random variables

Expected value of a function of a random variable:

Quite often a random variable X is related to another random quantity Y. Then Y is said to be
function of X and written as g(x). The mean or expected value of a function of a random variable
is given by

E[ g ( x)]   g ( x) f

X ( x) dx

For discrete random variable

N
E[ g ( x)]   g ( x) p( x )
i 1
i

Moments of a random variable:

There are two types of moments for a random variable
(a) Moments about the origin
(b) Moments about the mean value
Moments about the origin: Moments about the origin are given by

mn  E[ X n ]   x n f X ( x) dx


Where n= 0, 1, 2, 3 ….
m0 is the zeroth order moment about the origin and is given by
 
m0  E[ X 0 ]   x 0 f X ( x) dx   f X ( x) dx  1
 

m1 is the first order moment about the origin and is given by


m1  E[ X ]   x f X ( x) dx  E[ X ]


m2 is the second order moment about the origin and is given by


m2  E[ X 2 ]   x 2 f X ( x) dx  E[ X 2 ]


Moments about the mean value: These are also known as central moments. These are given by

 n  E[X  X  ]   x  X  f X ( x) dx
n n



The various central moments are as below

 
 0  E[X  X  ]   x  X  f X ( x) dx  f
0 0
X ( x) dx  1
 

Zeroth order moment about the mean is unity.

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 Unit III (Part B) Statistical Characteristics of Random variables


1  E[X  X ]   x  X  f X ( x) dx

 
  xf

X ( x) dx   X f X ( x) dx  X  X  0


i.e. First order central moment is zero


 2  E[X  X  ]   x  X  f X ( x) dx   2
2 2



i.e. the second order central moment is variance of the given random variable.

Characteristic Function:
The characteristic function of a random variable X is defined as

 X ( )  E[e j x ]

 X ( )  E[e j x ]  f

X ( x) e j  x dx


1
Where f X ( x) 
2 

X ( ) e  j  x d

Differentiating ΦX(ω) with respect to ω we have


d
d
 X ( )   jx f

X ( x) e j  x dx


1 d
Or
j d
 X ( )  x f

X ( x) e j  x dx


d
Or ( j )
d
 X ( )  x f

X ( x) e j  x dx

Differentiating again with respect to ω we get


d2
( j )  X ( )  x f X ( x) e j  x dx
2 2

d 2 

Differentiating n times with respect to ω we get


dn
( j ) n  X ( )  x f X ( x) e j  x dx
n

d n 

Putting ω = 0 we get
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 Unit III (Part B) Statistical Characteristics of Random variables


dn
( j ) n  X ( )  x f X ( x) dx  E[ X n ]  mn
n
 0
d n 

Thus one can determine the characteristic function of a random variable X and then evaluating
the differential coefficients at ω=0 one can determine the moments of the random variable X.

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