GCE A Level Maths 9709

SMIYL
March 2023

6.2 Linear Combinations of Random Variables

In this topic we will learn how to:
• use when solving problems, the results that
– E(aX + b) = aE(X) + b
– V ar(aX + b) = a2 V ar(X)
– E(aX − b) = aE(X) − b
– V ar(aX − b) = a2 V ar(X)
– E(aX + bY ) = aE(X) + bE(Y )
– V ar(aX + bY ) = a2 V ar(X) + b2 V ar(Y )
– E(aX − bY ) = aE(X) − bE(Y )
– V ar(aX − bY ) = a2 V ar(X) + b2 V ar(Y )
Linear Combinations of Random Variables
We can combine random variables to form new and more complicated random
variables. Random variables consisting of an amalgamation of other random
variables are called linear combinations of random variables. The following are
results you should know and apply in questions concerning this topic:
1. E(aX + b) = aE(X) + b
2. V ar(aX + b) = a2 V ar(X)
3. E(aX − b) = aE(X) − b
4. V ar(aX − b) = a2 V ar(X)
5. E(aX + bY ) = aE(X) + bE(Y )
6. V ar(aX + bY ) = a2 V ar(X) + b2 V ar(Y )
7. E(aX − bY ) = aE(X) − bE(Y )
8. V ar(aX − bY ) = a2 V ar(X) + b2 V ar(Y )

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Note: Variances are always added, this is because the coefficient in
the calculation of variance is always squared.

Normal Distribution of aX + b

If X has a normal distribution then so does aX + b. This rule also

applies for aX − b.

Let’s look at an example

Given that X ∼ N (15, 9), state the distribution of 2X + 5, giving its
parameters.

We know that X follows a normal distribution, therefore, 2X+5 follows

a normal distribution.

2X + 5 ∼ N µ, σ 2

Now we have to find the parameters. To do that we use the results

from earlier. To find E(2X + 5) we use the first result,

E(X) = 15

E(aX + b) = aE(X) + b
E(2X + 5) = 2E(X) + 5
E(2X + 5) = 2(15) + 5
E(2X + 5) = 35

So the mean for 2X + 5 is 35. To find V ar(2X + 5) we use the second

result,
V ar(X) = 9
V ar(aX + b) = a2 V ar(X)
V ar(2X + 5) = (2)2 V ar(X)
V ar(2X + 5) = 4(9)
V ar(2X + 5) = 36

So the variance for 2X + 5 is 36. Therefore, our final answer is

2X + 5 ∼ N (35, 36)

Normal Distribution of X + Y

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If X and Y have independent normal distributions then aX + bY has
a normal distribution. This rule also applies aX − bY .

If,
X ∼ N µ1 , σ12 asdf asdf Y ∼ N µ2 , σ22

Then,
X + Y ∼ N µ1 + µ2 , σ12 + σ22

The procedure for finding the parameters of aX + bY is the same

as the one outlined above, however, different results will be used to
calculate the parameters (mean and variance) of aX + bY .

Poisson Distribution of X + Y

If X and Y have independent Poisson distributions then X + Y has a

Poisson distribution.

If,
X ∼ P o(λ1 )asdf asdf Y ∼ P o(λ2 )

Then,
X + Y ∼ P o(λ1 + λ2 )

Let’s look at an example.

Given that X ∼ P o(2) and Y ∼ P o(3) independently, state the distribution of
X + Y giving its parameters.
X ∼ P o(2)asdf asdf Y ∼ P o(3)

Since X and Y follow Poisson distributions independently, then,

X + Y ∼ P o(λ1 + λ2 )

We can say that,

X + Y ∼ P o(2 + 3)

Therefore, the final answer is,

X + Y ∼ P o(5)

Sums and Multiples

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A sum denotes independent observations of the same random vari-
able. If there are two independent observations of the random vari-
able X we denote this as,
X1 + X2

The general formula to find the mean of,

X1 + X2 + ...Xn

is,
E(X1 + X2 + ...Xn ) = nE(X)

And to find the variance,

V ar(X1 + X2 + ...Xn ) = nV ar(X)

However, when you multiply an observation of the same random vari-

able i.e doubling, tripling, we call this a multiple. If we are doubling
the observation of the random variable X we denote this as,

2X

The general formula to find the mean of,

nX

is,
E(nX) = nE(X)

And to find the variance,

V ar(nX) = n2 V ar(X)

Note: The difference between a sum and a multiple is in the variance.

Let’s look at some past paper questions to put all the concepts we
have learnt so far into practice.

1. The masses, in grams, of large boxes of chocolates and small boxes of

chocolates have the distributions N (325, 6.1) and N (167, 5.6) respectively.
(9709/72/O/N/19)
(a) Find the probability that the total mass of 10 randomly chosen large
boxes of chocolates is less than 3240g.

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Firstly, let’s define our random variables so everything is
clearer,

L - r.v, masses, in grams, of large boxes of chocolates

L ∼ N (325, 6.1)
S - r.v, masses, in grams, of small boxes of chocolates
S ∼ N (167, 5.6)

The question requires us to find the total mass of 10 ran-

domly chosen large boxes of chocolates. Since these are 10
random, independent observations of the same variable, this
is a sum. We denote this as,

L1 + L2 + ...L10

To clean this up let’s define L1 + L2 + ...L10 with another

letter, W
Let W = L1 + L2 + ...L10

We are required to find the probability that the total mass

of 10 randomly chosen large boxes of chocolates is less than
3240g. Let’s write that out mathematically,

P (W < 3240)

To be able to find that we have to first find the distribution

and parameters of W .

Since we have identified that this is a sum, let’s use the

general formula for finding mean of a sum to find the mean,

E(X1 + X2 + ...Xn ) = nE(X)

E(L) = 325
E(W ) = 10E(L)
E(W ) = 10(325)
E(W ) = 3250

Note: Remember that W is L1 + L2 + ...L10 .

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 To find the variance we use the general formula for finding
variance of a sum,

V ar(X1 + X2 + ...Xn ) = nV ar(X)

V ar(L) = 6.1
V ar(W ) = 10V ar(L)
V ar(W ) = 10(6.1)
V ar(W ) = 61

Therefore,
W ∼ N (3250, 61)

Now let’s solve the question,

W ∼ N (3250, 61)

P (W < 3240)
 
3240 − 3250
P Z< √
61
P (Z < −1.280)
1 − ϕ(1.280)
0.100

Therefore, the final answer is,

P (W < 3240) = 0.100

(b) Find the probability that the mass of a randomly chosen large box of
chocolates is more than twice the mass of a randomly chosen small
box of chocolates.

The question states that, ”...twice the mass of a randomly

chosen small box of chocolates.” They have doubled the ob-
servation of the random variable, so it is a multiple,

2S

Now that we know what we’re dealing with, let’s write out
the question mathematically,

P (L > 2S)

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Rearrange the inequality so that all the terms are on one
side,
L − 2S > 0
P (L − 2S > 0)

So our linear combination of random variables is L − 2S. We

need to find its distribution and parameters to be able to
solve the question.

Since L and S both follow a normal distribution indepen-

dently, then L − 2S also follows a normal distribution.

To find the mean of L − 2S we use the seventh result,

E(aX − bY ) = aE(X) − bE(Y )
E(L − 2S) = E(L) − 2E(S)
E(L − 2S) = 325 − 2(167)
E(L − 2S) = −9

To find the variance we use the eighth result,

V ar(aX − bY ) = a2 V ar(X) + b2 V ar(Y )
V ar(L − 2S) = V ar(L) + 22 V ar(S)
V ar(L − 2S) = 6.1 + 4(5.6)
V ar(L − 2S) = 28.5

We can now define the distribution of L − 2S,

L − 2S ∼ N (−9, 28.5)

We can now solve the question,

L − 2S ∼ N (−9, 28.5)
P (L − 2S > 0)
 
0 − (−9)
P Z> √
28.5
P (Z > 1.686)
1 − ϕ(1.686)
0.0459

Therefore, the final answer is,

P (L − 2S > 0) = 0.0459