Professional Documents
Culture Documents
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
August 9, 2012
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Table of contents
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
1 Expected values
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Expected values
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
distribution
For discrete random variable X with PMF p(x), it is defined as follows
E [X ] =
Variances
Chebyshevs
inequality
xp(x).
{x, p(x)}
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
Example
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
a tail, respectively
What is the expected value of X ?
E [X ] = .5 0 + .5 1 = .5
Chebyshevs
inequality
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
E [X ] = 1
1
1
1
1
1
1
+ 2 + 3 + 4 + 5 + 6 = 3.5
6
6
6
6
6
6
Again, the geometric argument makes this answer obvious without calculation.
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
defined as follows
E [X ] =
tf (t)dt
Variances
Chebyshevs
inequality
This definition borrows from the definition of center of mass for a continuous
body
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
Z
E [X ] =
0
1
x 2
xdx =
= 1/2
2 0
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Brian Caffo
Expected
values
Rules about
expected
values
Variances
Discrete random
variables
Continuous
random variables
Chebyshevs
inequality
E [g (X )] 6= g (E [X ])
For example, in general, E [X 2 ] 6= E [X ]2
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
You flip a coin, X and simulate a uniform random number Y , what is the
Rules about
expected
values
Variances
Chebyshevs
inequality
Another example, you roll a die twice. What is the expected value of the
average?
Let X1 and X2 be the results of the two rolls
1
1
E [(X1 + X2 )/2] = (E [X1 ] + E [X2 ]) = (3.5 + 3.5) = 3.5
2
2
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
"
1X
E
Xi
n
#
=
i=1
Chebyshevs
inequality
=
=
" n
#
X
1
E
Xi
n
1
n
1
n
i=1
n
X
E [Xi ]
i=1
n
X
i=1
= .
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Remark
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
Therefore, the expected value of the sample mean is the population mean
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
The variance
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Var(X ) = E [(X )2 ]
Variances
Chebyshevs
inequality
lower variance
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Var(X ) = E [X 2 ] E [X ]2
Rules about
expected
values
Variances
Chebyshevs
inequality
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
Whats the sample variance from the result of the toss of a coin with
Var(X ) = E [X 2 ] E [X ]2 = p p 2 = p(1 p)
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Interpreting variances
Chebyshevs inequality is useful for interpreting variances
This inequality states that
P(|X | k)
1
k2
For example, the probability that a random variable lies beyond k standard
Chebyshevs
inequality
2 25%
3 11%
4 6%
Note this is only a bound; the actual probability might be quite a bit smaller
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Z
P(|X | > k) =
Z
(x )2
f (x)dx
k 22
{x:|x|>k}
Variances
Chebyshevs
inequality
f (x)dx
{x:|x|>k}
1
k2
(x )
f (x)dx
k 22
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality
is very conservative
The probability of a random draw from a bell curve being 4 standard deviations
from the mean is on the order of 105 (one thousandth of one percent)
Mathematical
Biostatistics
Boot Camp:
Lecture 3,
Expectations
Example
Brian Caffo
Expected
values
Discrete random
variables
Continuous
random variables
Rules about
expected
values
Variances
Chebyshevs
inequality