Random Variable and Mathematical Expectation - Summary | 12th Business Maths and Statistics : Chapter 6 : Random Variable and Mathematical Expectation

Chapter: 12th Business Maths and Statistics : Chapter 6 : Random Variable and Mathematical Expectation

Summary

A variable which can assume finite number of possible values or an infinite sequence of countable real numbers is called a discrete random variable.

Summary


·           A variable which can assume finite number of possible values or an infinite sequence of countable real numbers is called a discrete random variable.

 

·           Probability mass function (p.m.f.)


 

·           Discrete distribution function (d.f.):

FX ( x) = P ( X ≤ x ) for all x R

i .e., FX (x) = ∑ xi ≤ x p(xi )

 

·           A random variable X which can take on any value (integral as well as fraction) in the interval is called continuous random variable.

 

·           Probability density function (p.d.f.)

The probability that a random variable X takes a value in the (open or closed) interval [t1 ,t 2 ] is given by the integral of a function called the probability density function f X ( x)


Other names that are used instead of probability density function include density function, continuous probability function, integrating density function.

Conditions:

f ( x) 0 x

-∞ f ( x)dx = 1

 

·           Continuous distribution function

If X is a continuous random variable with the probability density function f X ( x), then the function FX ( x) is defined by


is called the distribution function (d.f) or sometimes the cumulative distribution function (c.d.f) of the random variable X .

 

·           Properties of cumulative distribution function (c.d.f.)

The function FX (X) or simply F(X) has the following properties


(iii) F() is a monotone, non-decreasing function; that is, F (a) ≤ F (b) for a < b .

 (iv) F() is continuous from the right; that is, lim h → 0 F (x + h ) = F(x).

(v) F ′(x) = d/dx F (x) = f (x) ≥ 0

(vi) F ′(x) = d/dx F (x) = f (x) dF(x ) = f (x )dx

(vii) dF(x) is known as probability differential of X .

(viii) 

 = P ( X ≤ b) − P( X ≤ a)

 = F (b) − F (a)

 

·           Mathematical Expectation

The expected value is a weighted average of the values of a random variable may assume.

 

·           Discrete random variable with probability mass function (p.m.f.)


 

·           Continuous random variable with probability density function


 

·           The mean or expected value of X, denoted by μX or E(X).

 

·           The variance is a weighted average of the squared deviations of a random variable from its mean.

 

·           Var (X) = ∑ [x − E(X )]2 p(x)

if X is discrete random variable with probability mass function p(x).

 


if X is continuous random variable with probability density function f X ( x) .

 

·           Expected value of [X E(X)]2 is called the variance of the random variable.

i.e.,Var (X) = E  [ X − E (X)]2 = E ( X2 )− [ E (X)]2


 

·           If X is a random variable, the standard deviation of X , denoted by σX , is defined as + √Var [ X ] .

 

·           The variance of X , denoted by σX2 or Var ( X) or V ( X) .

 

·           Properties of Mathematical expectation

(i) E (a) = a , where ‘a’ is a constant

(ii) E (aX ) = aE ( X)

(iii) E (aX + b) = aE( X ) + b , where ‘a’ and ‘b’ are constants.

(iv) If X ≥ 0, then E(X) ≥ 0

(v) V (a) = 0

(vi) If X is random variable, then V (aX + b) = a2V ( X)

 

·           Raw moments


 

·           Central Moments

mr = E[(X–mX )r]

m1 = E(X) = mX , the mean of X.

m1 = E[XmX] = 0.

m2 = E[(XmX)2], the variance of X .

 

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