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Statistics
Mathematical Expectation
Introduction
In order to make use of the probabilities of
events for statistical purposes, these probability
values and the associated random variable must
be converted into a parameter useful in
statistics, the mean and the variance. This can
be readily acquired by the use of mathematical
expectation of the random variable.
Mean of a Random Variable
Let X be a random variable with probability
distribution f(X). The mean or expected value
of X is
µ = E ( X ) = ∑ xf ( x )
x
If X is discrete
∞
µ = E ( X ) = ∫ xf ( x ) dx
−∞
If X is continuous
For all (x, y) within their range.
Example 1
A sample of 3 items is selected at random from
a box containing 20 items of which 4 are
defective. Find the expected number of
defective items in the sample.
Solution
Let X represent the number of defective items in
the sample. The probability distribution of X is
4 16
x3− x
f ( x) = , x = 0,1, 2,3
20
3
Hence,
28 8 8 1
f ( 0) = , f (1) = , f ( 2) = , f ( 3) = ,
57 19 95 285
Solution
Therefore the expected number of X is
28 8 8 1
µ = E ( X ) = ∑ xf ( x ) = 0 • + 1 • + 2 • + 3 •
x 57 19 95 285
1 −x2
xe x>0
f (x) = 4
0 elsewhere
Solution
Since X is continuous, then,
∞
µ = E ( X ) = ∫ xf ( x ) dx
−∞
∞ 1 2 −x2
=∫ x e dx
0 4
∞
1
=− e
2
−x
2
( + 4 x + 8)
x 2
µ=4
Example 3
By investing in a particular stock a person can
make aprofit in one year of PHP 2,000,000
with probability 0.4 or take a loss of PHP
500,000 with probability 0.6. What is this
person’s expected gain?
Solution
Since X represents the person’s gain then there
are only two possible values
x1 = 2,000,000 (gain)
x2 = - 500,000 (loss)
Therefore,
µ = E ( X ) = 2, 000, 000 ( 0.4 ) + ( −500, 000 )( 0.6 )
= 500, 000
Variance of a Random Variable
Let X be a random variable with probability
distribution f(x) and mean μ. The variance of X
is
If X is discrete
σ = E ( x − µ ) = ∑ ( x − µ ) f ( x )
2 2 2
x
= ∑ x f ( x) − µ
2 2
x
Variance of a Random Variable
If X is continuous,
∞
σ = E ( x − µ ) = ∫ ( x − µ) f ( x ) dx
2 2 2
−∞
∞
= ∫ x f ( x ) dx − µ
2 2
−∞
µ =0
∞
σ = ∫ x 2 f ( x ) dx − µ 2
2
−∞
The variance is
= ∫ x (1 − x 2 ) dx − 02
1 3 2
−1 4
1
σ =
2
5
Chebyshev’s Theorem
The Russian mathematician P.L. Chebyshev
(1821-1894) discovered that the fraction of
the area between any two values symmetric
about the mean is related to the standard
deviation.
1
P ( µ − kσ < X < µ + kσ ) ≥ 1 − 2
k
Example 5
A random variable X has a mean μ = 12, and a
variance σ2 = 9, and an unknown probability
distribution. Using Chebyshev’s Theorem
estimate
a. P(6 < X < 18)
b. P(|X – 12| ≥ 9)
Solution
a. P(6 < X < 18) = P[12 – 2(3) < X < 12 + 2(3)]
Then k = 2
1
P ( 6 < X < 18 ) = 1 −
22
3
P ( 6 < X < 18 ) =
4
Solution
b. P(|X – 12| ≥ 9) = 1 – P(|X – 12| < 9)
= 1 – P[12 – 3(3) < X < 12 + 3(3)]
Then k = 3
1
P (| X − 12 |≥ 9 ) = 1 − 1 − 2
3
1
P (| X − 12 |≥ 9 ) =
9