Expectation and Fubinis theorem

Lung-Chi Chen
Department of Mathematical Sciences, National Chengchi University

October 7, 2015

Lung-Chi Chen

Expectation and Fubinis theorem

Definition If X is a random variable on (, F, P), we define the

expected value of X ( or the mean of X ) to be
Z
Z
EX = X d P =
X () d P().

Clearly EX = EX + EX if EX + < or EX < .

Lung-Chi Chen

Expectation and Fubinis theorem

Definition If X is a random variable on (, F, P), we define the

expected value of X ( or the mean of X ) to be
Z
Z
EX = X d P =
X () d P().

Clearly EX = EX + EX if EX + < or EX < .

Theorem 4.1 Suppose X , Y 0 or E |X |, E |Y | < .
(a) E (aX + Y ) = aEX + EY
(b) IfX Y

for

a R.

then EX EY .

Theorem 4.2 (Jensens inequality) Suppose is convex. then

(E (X )) E ((X )).

Lung-Chi Chen

Expectation and Fubinis theorem

Theorem 4.3 (H
o lders inequality) If p, q [1, ] with
1/p + 1/q = 1, then
E |XY | kX kp kY kq .
Theorem 4.4 (Chebyshevs Inequality) Suppose : R R has
0, let A B and iA = inf{(y ) : y A}


iA P(X A) E {(X ) : X A} E (A).
Remark. Chebyshevs Inequality is called Markovs inequality if
(x) = x 2 and A = {x : |x| a}, that is,
a2 P(|X | a) EX 2 .
Theorem 4.5 (Fatous Lemma) If Xn 0 then


E lim inf Xn lim inf EXn
n

Lung-Chi Chen

Expectation and Fubinis theorem

Theorem 4.6 (Monotone convergence theorem) If Xn 0 and

Xn X then
EXn EX .

Lung-Chi Chen

Expectation and Fubinis theorem

Theorem 4.6 (Monotone convergence theorem) If Xn 0 and

Xn X then
EXn EX .
Theorem 4.7 (Dominated convergence theorem) If Xn X
a.e. and |Xn | Y for all n and EY < then
EXn EX .
Theorem 4.8 (Change of variables formula) Let X be a random
variable on (, F, P) and (A) = P(X A) for all A B. If f is a
measurable function from (R, B) to (R, B) so that f 0 or
E |f (X )| < , then
Z
Ef (X ) =
f (y ) (d y ).
R

Lung-Chi Chen

Expectation and Fubinis theorem

Remark.
Z
EX

X () d P()

Lung-Chi Chen

Expectation and Fubinis theorem

Remark.
Z
EX

X () d P()
Z

y 1{:X ()=y } d P()

R

Lung-Chi Chen

Expectation and Fubinis theorem

Remark.
Z
EX

X () d P()
Z

y 1{:X ()=y } d P()

ZR
y d P( : X () y )

=
R

Lung-Chi Chen

Expectation and Fubinis theorem

Remark.
Z
EX

X () d P()
Z

y 1{:X ()=y } d P()

ZR

=
ZR
=

y d P( : X () y )
Z
y d (y ) :=
y (d y ).

Lung-Chi Chen

Expectation and Fubinis theorem

Remark.
Z
EX

X () d P()
Z

y 1{:X ()=y } d P()

ZR

=
ZR
=

y d P( : X () y )
Z
y d (y ) :=
y (d y ).

Notation: EX k is called the k-moment of X for k N.

Lung-Chi Chen

Expectation and Fubinis theorem

Remark.
Z
EX

X () d P()
Z

y 1{:X ()=y } d P()

ZR

=
ZR
=

y d P( : X () y )
Z
y d (y ) :=
y (d y ).

Notation: EX k is called the k-moment of X for k N. If

EX 2 < , the variance of X is defined to be
Var(X ) = E (X EX )2 .

Lung-Chi Chen

Expectation and Fubinis theorem

Remark.
Z
EX

X () d P()
Z

y 1{:X ()=y } d P()

ZR

=
ZR
=

y d P( : X () y )
Z
y d (y ) :=
y (d y ).

Notation: EX k is called the k-moment of X for k N. If

EX 2 < , the variance of X is defined to be
Var(X ) = E (X EX )2 .
It is easy to check that Var(X ) = EX 2 (EX )2 .

Lung-Chi Chen

Expectation and Fubinis theorem

Example 4.1 If X has an exponential distribution with rate 1.

Show the k-moment of X is k!.

Lung-Chi Chen

Expectation and Fubinis theorem

Example 4.1 If X has an exponential distribution with rate 1.

Show the k-moment of X is k!.
Example 4.2 If X has a standard normal distribution. Find its
mean and variance.

Lung-Chi Chen

Expectation and Fubinis theorem

Example 4.1 If X has an exponential distribution with rate 1.

Show the k-moment of X is k!.
Example 4.2 If X has a standard normal distribution. Find its
mean and variance.
Example 4.3 We say that X has a Bernoulli distribution with
parameter p if P(X = 1) = p and P(X = 0) = 1 p. Find its
mean and variance.

Lung-Chi Chen

Expectation and Fubinis theorem

Example 4.1 If X has an exponential distribution with rate 1.

Show the k-moment of X is k!.
Example 4.2 If X has a standard normal distribution. Find its
mean and variance.
Example 4.3 We say that X has a Bernoulli distribution with
parameter p if P(X = 1) = p and P(X = 0) = 1 p. Find its
mean and variance.
Example 4.4 We say that X has a Poisson distribution with
parameter if P(X = k) = e k /k! for k = 0, 1, 2, ... Find its
mean and variance.

Lung-Chi Chen

Expectation and Fubinis theorem

Example 4.1 If X has an exponential distribution with rate 1.

Show the k-moment of X is k!.
Example 4.2 If X has a standard normal distribution. Find its
mean and variance.
Example 4.3 We say that X has a Bernoulli distribution with
parameter p if P(X = 1) = p and P(X = 0) = 1 p. Find its
mean and variance.
Example 4.4 We say that X has a Poisson distribution with
parameter if P(X = k) = e k /k! for k = 0, 1, 2, ... Find its
mean and variance.
Example 4.5 We say that X has a geometric distribution with
parameter p (0, 1) if P(X = k) = p(1 p)k1 for k = 1, 2, ...
Find its mean and variance.

Lung-Chi Chen

Expectation and Fubinis theorem

Let (X1 , B1 , 1 ) and (X2 , B2 , 2 ) be two -finite measure space.

Let
X = X1 X2 := {(x1 , x2 ) : x1 X1 , x2 X2 },
B = {A B : A B1 , B B2 }.
Theorem 4.9 There is an unique measure on F with
(A B) = 1 (A)2 (B).
Note is often denoted by 1 2 .
R
Theorem 4.10 Fubinis theorem If f 0 or |f | d < then
Z
Z Z
f d =
f (x1 , x2 )2 (dx2 )1 (dx1 )
X
X1 X2
Z Z
=
f (x1 , x2 )1 (dx1 )2 (dx2 ).
X2

X1

Lung-Chi Chen

Expectation and Fubinis theorem

Example 4.6 Let X = Y = {1, 2, ...} with A = B = all subsets

and 1 = 2 = counting measure. For m 1, let f (m, m) = 1 and
fR (mR+ 1, m) = 1, and Rlet fR(m, n) = 0 otherwise. Find


1
1 f d 1 d 2 and 1
1 f d 2 d 1

Lung-Chi Chen

Expectation and Fubinis theorem

Example 4.6 Let X = Y = {1, 2, ...} with A = B = all subsets

and 1 = 2 = counting measure. For m 1, let f (m, m) = 1 and
fR (mR+ 1, m) = 1, and Rlet fR(m, n) = 0 otherwise. Find


1
1 f d 1 d 2 and 1
1 f d 2 d 1
Example 4.7 Let X = (0, 1), Y = (1, ), both equipped with the
Borel sets and Lebesgue measure. Let f (x, y ) = e xy 2e 2xy .
R1R
RR1
Find 0 1 f (x, y ) d x d y > 0 and 1 0 f (x, y ) d y d x < 0.

Lung-Chi Chen

Expectation and Fubinis theorem

Example 4.6 Let X = Y = {1, 2, ...} with A = B = all subsets

and 1 = 2 = counting measure. For m 1, let f (m, m) = 1 and
fR (mR+ 1, m) = 1, and Rlet fR(m, n) = 0 otherwise. Find


1
1 f d 1 d 2 and 1
1 f d 2 d 1
Example 4.7 Let X = (0, 1), Y = (1, ), both equipped with the
Borel sets and Lebesgue measure. Let f (x, y ) = e xy 2e 2xy .
R1R
RR1
Find 0 1 f (x, y ) d x d y > 0 and 1 0 f (x, y ) d y d x < 0.
Example 4.8 Let X = (0, 1) with B = the Borel sets and 1 =
Lebesgue measure. Let Y = (0, 1) with A = all subsets and 2 =
counting
measure. Let f (x, y ) = 1Rif Rx = y and 0 otherwise. Find
R R
f
(x,
y ) 2 (d y ) 1 (d x) and Y X f (x, y ) 2 (d x) 1 (d y )
X Y

Lung-Chi Chen

Expectation and Fubinis theorem

Exercises
4.1 Apply Cauchy-Schwarz inequality to show
P(Y > 0) (EY )2 /EY 2 .
4.2 If E |X |k < then for 0 < j < k, E |X |j < and
E |X |j (E |X |k )j/k .
4.3 Let X 0 but do not assume E (1/X ) < . Show
lim E (1/X : X > y ) = 0,

lim yE (1/X : X > y ) = 0.

y 0

4.4 Let be a finite measure on R and F (x) = ((, x]). Show

that
Z


F (x + c) F (x) d x = c(R).
4.6 Show that e xy sin x is integrable in 0 < x < a, 0 < y . Perform
the double integral in the two order to ger
Z ay
Z ay
Z a
e
ye
sinx
1
d x = tan a(cos a)
d y (sin a)
dy
2
x
1+y
1 + y2
0
0
0
Ra
and replace 1 + y 2 by 1 to conclude | 0 sinx x d x tan1 a| 2a for
a 1.
Lung-Chi Chen

Expectation and Fubinis theorem