Sums of Random Variables

Consider n RVs xi and let s

n
n

xi .

i=1

If the RVs are statistically independent, then

< s > =

< xi >

Var(s) =

Var(xi)

8.044 L4B1

 The individual p(xi) could be quite dierent

Both continuous and discrete RVs could be present

True for any n

Even if one RV dominates the sum

8.044 L4B2

Results have a special meaning when

1) The means are nite (= 0)

2) The variances are nite (= )
3) No subset dominates the sum
4) n is large
p(s)

width
mean

n
n

8.044 L4B3

Given p(x, y), nd p(s x + y)

x+y =

y = x

dx

Ps() =

d px,y (, )

8.044 L4B4

ps() =

d px,y (, )

This is a general result; x and y need not be S.I.

Application to the Jointly Gaussian RVs in Section

2 shows that p(s) is a Gaussian with zero mean and
a Variance = 2 2(1 + ).

8.044 L4B5

In the special case that x and y are S.I.

ps() =

d px() py () =

d I px( I) py ( I)

The mathematical operation is called convolu

tion.

pq

p(z)q(x z)dz = f (x).

8.044 L4B6

Example

Given:
1
p(z) =
(z/a)n exp(z/a)

n!a

q(z) =
(z/a)m exp(z/a)

m!a

p(z)
( z / a ) n e-z/a
zn

0 < z and n, m = 0, 1, 2,
Find: p q

8.044 L4B7

q(z)

q(-z)

p(z)
q(x-z)=q(-(z-x))

q(x-z)

finite product

8.044 LB8

8.044 L4B8

1 1 x
pq =
n!m! a2 0

z
a

xz
a

ez/a e(xz)/a dz

1 n+m+1 x/a x n
e
z (x z)m dz
0
a

1 1
=
n!m! a

1 1
=
n!m! a

n+m+1

x
a

ex/a

1
0

n (1 )m d

n!m!
(n+m+1)!

8.044 L4B9

1
1
pq =
(n + m + 1)! a

n+m+1
x

ex/a

a function of the same class

8.044 L4B10

Example Atomic Hydrogen Maser

RF out

flask

= 1.4....... GHz
1 0 about 10 KHz

H* beam

1
cavity

p ( t wall | n stays) = ?

8.044 L4B11

8.044 LB11

twall (given n stays) =

n
n

ti

i=1

ti duration of ith stay on wall. Each stay is S.I.

p(t |1) = (1/ ) et/
p(t |2) = p(t |1) p(t |1) = (1/ )(t/ ) et/
p(t |3) = p(t |2) p(t |1) = (1/2)(1/ )(t/ )2 et/

8.044 L4B12

1
1
p(t |n) =
(n 1)!

p(t

0.15

n1
t

et/

| 12)

0.12
0.1
0.10
0.08
0.06

0.05
0.04
0.02

1100

15

2200

25

330
0

t/

8.044 L4B13

Facts about sums of RVs

Exact expressions for < s > and Var(s) if S.I.

p(s) = p(x) p(y) if S.I.

p(s) slightly more complicated if not S.I.

8.044 L4B14

 usually changes functional form

But not always

Fourier techniques are very useful

8.044 L4B15

Very important special case: Central Limit Theorem

RVs are S.I.

All have identical densities p(xi)
Var(x) is nite but < x > could be zero
n is large
p(s)

Central Limit Theorem:

p(s) is Gaussian

n
n

8.044 L4B16

If x is continuous

p(s) =

1
2 2

2 /2 2
(s<s>)
e

< s >= n < x >

2 = n x2

8.044 L4B17

If x is discrete in equal steps of x

p(s) =
i

2
v 2

2 /2 2
(s<s>)
e

envelope

(s
i x
))
v
comb

p(s)

8.044 L4B18

Non-rigorous extensions of the Central Limit Theorem

The Gaussian can be a good practical approxima

tion for modest values of n.
The Central Limit Theorem may work even if the
individual members of the sum are not identically
distributed.
The requirement that the variables be statistically
independent may even be waived in some cases,
particularly when n is very large
8.044 L4B19

MIT OpenCourseWare
http://ocw.mit.edu

8.044 Statistical Physics I

Spring 2013

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