STA 4321

Derivation of the Mean and Variance of a Geometric Random Variable

Brett Presnell

Suppose that Y ∼ Geom(p), i.e., Y has probability function

p(y) = q y−1 p, y = 1, 2, . . . .

Here is an alternative to the derivation of the mean of Y given in the course textbook. It basically
depends on the simple trick of writing y = yk=1 1 and exchanging the order of summation.
P

X ∞
X ∞
X
E(Y ) = yp(y) = yq y−1 p = p yq y−1
y y=1 y=1
∞ y ∞ y
" ! # !
X X X X
=p 1 q y−1 = p q y−1 (the trick)
y=1 k=1 y=1 k=1
 
XX ∞
X X∞
=p q y−1 = p  q y−1  (exchange order of summation)
1≤k≤y<∞ k=1 y=k
   
∞
X ∞
X ∞
X X∞
=p  q k−1 q y−k  = p q k−1  q y−k 
k=1 y=k k=1 y=k
 
∞
X X∞
=p q k−1  qj  (j = y − k)
k=1 j=0
∞ ∞
X 1 1 X k−1
=p q k−1 = p
q
1−q p

k=1 k=1
∞
X
= qj (j = k − 1)
j=0
1 1
= = .
1−q p

Remark. The same trick can actually be used to show that if Y is a nonnegative integer-valued
random variable, then
∞
X
E(Y ) = P (Y > y).
y=0

The derivation above for the case of a geometric random variable is just a special case of this. In
fact, if Y ∼ Geom(p), then P (Y > y) = q y for y = 0, 1, 2, . . . (see Exercise 3.71(a) in the course
textbook), and thus
∞
X 1 1
E(Y ) = qy = = .
1−q p
y=0

1
 For the variance of Y , we proceed similarly. Here the trick is to notice that

n y−1 y−1
X n(n + 1) X (y − 1)y X
i= =⇒ k= =⇒ y(y − 1) = 2 k.
2 2
i=1 k=1 k=1

Using this we have

X ∞
X
E[Y (Y − 1)] = y(y − 1)p(y) = y(y − 1)q y−1 p
y y=1
∞
X
=p y(y − 1)q y−1 (term w/ y = 1 equals 0)
y=2
∞ y−1 ∞ y−1
" ! # !
X X X X
y−1 y−1
=p 2 k q = 2p kq (the trick)
y=1 k=1 y=1 k=1
 
XX ∞
X ∞
X
= 2p kq y−1 = 2p  kq y−1  (exchange order of summation)
1≤k<y<∞ k=1 y=k+1
  
∞
X ∞
X
= 2p kq k  q y−k−1 
k=1 y=k+1
  
∞
X ∞
X
= 2p kq k  q j  (j = y-k-1)
k=1 j=0
∞   ∞ ∞
X 1 1 X k X
= 2p kq k = 2p
kq = 2 kq k
1−q p

k=1 k=1 k=1
∞
2q X 2q 2q 1 2q
= kq k−1 p = · E(Y ) = · = 2.
p p p p p
k=1

Thus,
2q 1 2q + p
E(Y 2 ) = E[Y (Y − 1)] + E(Y ) = 2
+ = ,
p p p2
and hence
 2
2 2q + p 2 1 2q + p 1 2q − (1 − p) 2q − q q
Var(Y ) = E(Y ) − [E(Y )] = − = − 2 = = = 2.
p2 p p2 p p2 p2 p