Sum of i.i.d.

Random Variables

Consider a series of independent and identically distributed (i.i.d.)

r.v.’s {Xi }, i = 1, · · · , n, with expected value µ and standard
deviation .
Define the sample mean, X̄, by
X1 + X2 + · · · + Xn
X̄ :=
n
Then we have
2
E(X̄) = µ and V(X̄) =
n

Remark: The first equality above says that X̄ is an unbiased

estimator for µ.

c Bin Zou MATH 5639 45/64

 Sum of Two Random Variables
Discrete Case
Consider two discrete r.v.’s X and Y , which take only non-negative
integers, i.e., X, Y = 0, 1, 2, · · · .
Let the sum be defined as Z = X + Y , then we have

P(Z = n) = P(X + Y = n)
= P(X = 0, Y = n) + P(X = 1, Y = n 1) + · · · + P(X = n, Y = 0)

= P(X = 0) · P(Y = n) + P(X = 1) · P(Y = n 1) + · · · +

P(X = n) · P(Y = 0) (if X and Y are independent)
(the so-called discrete convolution formula)

c Bin Zou MATH 5639 46/64

 Continuous Case
Let X and Y be two continuous r.v.’s, with joint pdf given by f (x, y).
Define the sum by Z = X + Y , then we have

FZ (z) = P(X + Y  z)
Z Z Z 1 Z z y
= f (x, y) dx dy = f (x, y) dx dy
1 1
| {z }
x+yz
Z 1 Z z y
= dy fX (x) · fY (y) dx (if X and Y are independent)
1 1
Z z Z 1
= fX (u y) · fY (y) dy du (u := x + y)
1 1

Z 1
fZ (z) = fX (z y) · fY (y) dy
1

c Bin Zou MATH 5639 47/64

 Outline

1 Preliminaries in Probability

2 Discrete Random Variables

3 Joint Distribution

4 Known Distributions

5 (a, b, 0) Class

6 Constructing New Distributions

c Bin Zou MATH 5639 48/64

 (a, b, 0) Class
Definition 21
A nonnegative discrete random variable X is in the (a, b, 0) class if its
pf fX (x) satisfies the following recursion
✓ ◆
b
fX (x) = a + · fX (x 1), x = 1, 2, · · ·
x

where a and b are constants, with given fX (0).

Table 2: The (a, b, 0) Class of Distributions

c Bin Zou MATH 5639 49/64

 I Meaning of “0”: fX (0) is given, and the recursion formula begins
with x = 1.
I As an extension, one may define (a, b, 1) class, with fX (1) given
and the recursion formula starting at x = 2.
Given X 2 (a, b, 1), fX (0) does NOT need to be 0.
I (a, b, 0) class and (a, b, 1) class only di↵er at the initial pf values.
I It is possible to specify fX (0) which fits empirical data and at the
same time mimic the shape of a pf from the (a, b, 0) class (or
some simple parametric distributions).
1 Given a base distribution of (a, b, 0) class, with pf denoted by fX
2 Specify the probability of X = 0 for the modified distribution,
M
i.e., fX (0)
M
3 Construct fX (x) by
M
fX (x) = c · fX (x), x = 1, 2, · · ·

where c is an appropriate positive constant.

c Bin Zou MATH 5639 50/64

 P
Recall that x fX (x) = 1, we then have
1
X
M M
1 = fX (0) + fX (x)
x=1
1
X
M
= fX (0) + c · fX (x)
x=1
M
= fX (0) + c · (1 fX (0))
M
1 fX (0)
) c=
1 fX (0)

I Note that the above procedure can be applied to construct a

modified distribution, which belongs to (a, b, 1) class and is based
on the given base distribution from (a, b, 0) class.
This is called the zero-modified distribution of the base (a, b, 0)
distribution.
M
In particular, if fX (0) = 0, the modified distribution is called the
zero-truncated distribution.
c Bin Zou MATH 5639 51/64
 Example 9 (Example 1.6 of [3])
X is distributed as N B(1.8, 0.3). What is the recursion formula for
the pf of X? Derive the recursion formula for the zero-modified
M
distribution of X with fX (0) = 0.6. Compute the mean and variance
of the zero-modified distribution.

c Bin Zou MATH 5639 52/64