eS x = 8% LW fens ocene® 1 Pain 40 Sia) baer WESATIVE VALVES POSITIVE VALUES OF ® os 4 4 ie at 3 3 84 3" 2 3 os} al a ml ° (b) ‘True PDF and estimated PDF based ‘on 1000 outcomes Figure 10.30: Computer generation of Laplacian random variable outcomes using prone Probability integral transformation. ESTIMATING THE PPE RECALL px (te) = P [xe-noy, EXE vo +497] bx Bur Pl xr Ae eX Hetaar) & > NUMBER DE OvT Comet iw [xo Ae zerdx J TOTAL WHER ea M A NUMGER OF ovTtemes WW [hea ro tay | 2 px [moi ~ = “ MoaIv PREVIOUS EXAM PLE AY =~ 0.£ AND ais Awe CH rad ba7-aas) La.75 #257 th 7 pews Be 3.58 Pal A SEE MATLAB Cort Ow AE, 328 Awd EXAMPLE 2.1 CHE PTER | -~-ExXPECED vALes Ee eee ee Ee eee FoR A DiscRETE RV. Ele) = fdr px lai} (See seerjen 6.3) ‘ EXAMPLE «FAIR DJE TOSS Oe ete 8) eé oe 1 Elxy = 2 * =e (i rrpr ress ee) ey ‘ = 82 FeR A cont RY. WE DEFiwE E(x) as eo E (x)= J ve prtusen 7 OO Caw PE THeUGHT CF AS Linsr oF 1Bve he Px lke ae AS Bure “=, * x ° © P [xenhex e ay 4aen) | gw pr tae) SEE Book FeR P/ScRETE Te CowT. DEF WIT Iu EXP LE Paleo EXAMPLE * xr Yess x” Elxp= J erat oe a EXANPLE pxla) eft . 2 Elx)= [KE 4p rei ll my ee ; Ley Jol | | i op eee = ETI ax] = ror Op a pee Figure 11.1: Example of nonuniform PDF and its mean, ANALOGOUS TO CENTER OF NAST > cn = J x mK aK MASS bencpry OZTOTAL VOlurre =} M/k) = teep OM Bure Bao AREA Avy> } AA /* A. _ aay TPAD = BAS Ran [x-ag + erat) = by ttn ax . Buy b= My = 1 S&S AM Ay “S = ae = 4x Awe Ar &%70 lat ao Exam hee 2 én J. Xm dx = E(x) SRYS we can BALANCE CHEESE AT 2 we 4) ° ec Ve Rf (wren) mrdne C76 ENT ASS TeRQUE ARM NOTE FROM DEFiasryoy of E(x) SL C8 2) pe (ms de 2?xF pelv SYMMETRIC AGQOUT Kz a Dd Elxj= 4. Cwverse Tevet NoT Arkh POF S Have EXPECTED VALVES. = t TRY SIMVLRTING Pr) = pera xa ° xe/ AND AVERAGING VALVES. FoR E(x) TS Exssr RE OUIRE ST” et px (wth © EXPECTED VALVES FoR sf) PORTANT PDFS yp Xv Ofabs efx} 2 Bards 2 xwexe (a) | a elkys> f, x Ae Ady ~ = f-~e 7% Se*)/, *F é SEE TABLE OF INTEBPALS SERIES AND PReDeCTsS By GRADSHTEYN Ave RYZHLEK, ACADEnre PRESS 177K) 32 xX Wl o? PPF SS SYAMETRC Abou a= Mm > Elxjzm RLSO CALLED EAN OR AVERAGE yALoeA Diketr confuratpe yee : — - Boe (0-4) ela: A. ™ yar dn = Jo ww den EON +fe a fee Oy ZET US home IN FRET INTE CARL - an. SE edu = or EVEN SE Cove saTECRPL > wart 4 LAPLA CLAW a [Fr sa PRO = FER e 00 4 REO dp Elx}=.e wy 2 SEE CTHERO Jy BOK EXPECTED Yarve ef yu fu) ASSUME X Ad Y ARE CONT. Ru By befstid EL S 9 paiydy¥7 REQUIRES VS Te Fyye nl? _ oe Aver THIS , VSE “ el 96a) J. 90S pl rd de very user. ! SEE APPENDA I1A FoR PROOF. (uF GO = > pEeraasryew oF elx)). EXAMPLE = gle = arts E [9f0) = Ln tant b) paladin 7 a Ll Kpelesan + b LS mwas —>-—-—_- —_ Elx) , = B@Elxy re fw CEW LRA L, EL a G0) tay a) 261g, fa2) + x EL Gale] =P ERPECTATIN CRERAT/oW £5 LyvENR ae EXANpLE ¢ pax” XN fen ECS = AVERACE PoweR nehors oH RESISTOR Cx * Vortec) ee be glee ® rS * anVSE SATE GRATION OY PARTS S vav = vi- fvde ; fgt 3 Utne ay OS en de d= de ys tee FR Veer Z t ~ ZF hese ELP)> 2f wR ree aK wy ? Lotte eles 2 [-* &* I, -a¥ Were. Lyasr oF xe ao sw I$ DER /L yoshirar’s Rue) = > AWD bee hey 2 ek WH? tL va e@ ax zt ¥ VAR AyCE RVD fenE_wrs VARIANCE MEASURES VARIABSerzY oF RY OVTeenesYI ay # it: f -f. > e Paya mS 1 tees (e) e200? 2 @paOoter Figure 10.9; Bxamples of Gaussian PDE with diferent 27. APPEARS AS JF THE w/OER THE PRF THE Nore VARIABILITY Te NeRsuRE WIDTH DE FWE VAR AWE x AVERBACIVE yar(ay = Lt. (%-e |x)” Px (wha me AERN ~ AVERAGE S@VRRED PEVIATIN FRom Rw Ex apes * x Mwl an 6%) ope Kew var (x) =f (x -Elx) * A dx maa o~Ygr 7° r £ ob ae = fra” pa OR or ke -4%* Of ay ee dx =~ or ELH) Hew, Aw NOM, GO ean Naeepce o> VG CALLED THE STRAP PRD DEVIA THA NOTE THAT BR WA, 6*) RY WILE DEVIATE FRom GRY ABOUT 79,8 To fF TIE Meso eX £m +30 (osEFu FoR PuyeK ASSEsStTHENT ef RANGE oF puTcoHEs) | (a) 68.2% for 1 standard (b) 95.5% for 2 standard (c) 99.8% for 3 standard deviation deviations deviations Figure 11.5: Percentage of outcomes of V(1,1) random variable that are within i = 1,2, and 3 standard deviations from the mean. Shaded regions denote area within interval p—ko <2 < pt ho.gt VERIFY THIS. plugs eXéucac) >? FoR x wenlae, 6%). ~ PROPERTIES — cee vy) yma) > TO Ct CONTA a VAR) = VAR YY vee Cer) _6? VAR(R) . NOTE: yarn. rel gos pel x Vaal bo) aot v0 9, (82) elej-e ly ~ ~ ~~ laps eee - ees Hortetr oe E lx) ALSO CALLED FIRST p 110A ENT 0 Ne AENT El.xr)_ (ip EL xtlee @ elatl ee. poe pes SFE A ATS 20 I EL XE) 2) 2 RY HAS Ex} = PEL XS MARIA). MOT DEFso LP\W EX AN PLE > & vEexpAs fnfee. Eix?) =f x? de 7 Xd preys... VSE JVTECRAT)IN BY PARTS To Fivo El x?) as Funetied of EL x7) C STANDARD TRICK) eer ve x? dy = Aeahag AUN de ys -ee® ZEyx) CH RRALTERS TIC FUNE TIONS VSEFUL TO FiInND MomenTS AND LATER 2 Wik ALiow VS Fe Fwd POF OFSvy of Rvs DEF WED AS $x Cup > ELed**) RECALL El gpol= LZ, PO prank gulp > El corwx +7 sux} = Eleosuxd + y (sux) a= ee 4 (e) Gey oo . a =f corun prodnty | Su wn pasty dy (20 =j/ re FO wy (addy oR FF J. [xO 2 TF de conr- “Time” Fovaser TRANSLORN RECA SH) o> Sl Now Pelt <> fx (eo) ONLY DIFFERENCE Jo USE oF +7 oR @ TIEE yrseppe of. e ~7%*™, ALSo, USiwe FouRte TRANSFOR THetRy oe . = ed" du p= TO bebo oeTeST AN yNvENSE FOURIER TRIM FofH, Te Fil NoHENTS LONG pxlws | Ez let)? ~~ a abate | wee 7° ALWwAys EASIER T° DJ FFEREWTIATE Tean preerate 6 [owce $xfwd Kvown) EXAHPLE « Xv exe (yy TO FWD Gulu * ~ su fu(w) = o£ Cet *J= L PxCpS 7 Hb . sa eo Anges e «fae Ae 6 I ay = Lae PO% bx . o 24 2 | e-d pe Gave) yg ° A-ge -OA- Bur Lin & ape =o Fee A>? eo wy? 4 Pal = az (oR Cove Loow vF WW TRELES J To Five EILX°) vee Forrna,TE Ly ly-goo? = aw dn A4-ge) = ALD (fg Yep a* pl = dw ACH a [A aye 3p) 2 A” Pcl Ayn - (ree, 2 AEDED.. (-a CA-gw 0-97? = Agra! Qupuy Or? AT wre Agra! arlate 77 ne L drtal _ Elx’) pp /... ChenysHey INE SUALITY CHEB rSHEY WE SURLI TY THE VaRiaAvee CAN ALSS BE vse re Bound A PRBADLITY. COWIE Fil 1 lento p} /X-£%x)} >a) QI , EB hx) Ia E)x-¢ WHAT Caw 8 SAD IF We AW’ I~ [ATE GRATE Pr OR JF WE Bow’ Kol plas?ASsreune we Kew Ex) Ave VAR (we Wee SEE Yow TO ESTIMATE THESE wext!) . THe, CHERITHEWS pyre puaLTyY PROVIDES RA gouve B So TUT Pp ( /x-eld/re) <8 PROBABsLETY OF X DEW BTV FROM Nowe by NoRE THAN + Is LESS TRAY tR EQvRe TO B. a= TAR ye EXAM PLE. x vale, w Elx)>e es VAR(K) 21 . Y PL Ix-0/ >3) * S ~ 4 sds Rervaeey P[Jxjrs) = > PF) xray =r = 6.0027 BovND Holes BuT Nor very “TIEHT” FOR Wyss EXAMPLE. ExaAnpLeE = FoR A LAPLACIAN PoF ——— WTA G7 =l = VARLH)D Pl/x)ra)e Ge ROMvReEeE Bounp FeA ALL VAR (x) =) Ghebyshey inequality Figure 11.6: Probabilities PX > 7] for Gauesian and Laplacian random variables with eera mean and unity yeriance compared to Chebysbey inequality Mos TT VSEFVL 7 PIF © With (DON’T NEED To Rrow PDFS PLIk1 73) * 2.0027 FR Gaessan P[IX/ 73) > aotyge PR LA PLAC AN FoR THEORET (EAL WRK - CAw PRE THAT AS VAR(i) > oO) Pl [s-@lalr>a¢) >? for PROOF : VAR bY = LR -E I pala aa 8x: } x-E Le} >g} ini /e-eWw) (-e WX) “pated de fx: jx-eGul >+3 o™ palasan 2 Six: [%-E lx) ] >¢) a> P)ix-Elwf or) Puy gf >e,ESTIMATING SERN AND VARIANCE BITUNE X IF A PISER ETE RANDO VARIDBLE * 4k (EME Figure 66: PMP and computer gmerated dat wed toillustrte estimation of mana glx)> = Apis Re eo MAb OF m” TWAES RB aur px lk) > PIX=kI = Oc ugen X TeT4l WIGER OF ovreoNes £ Zz RVR * 1)4 Dt 3) + Alte # FC? R=) sae Ske C8)Zz DS Elx) x XZ xe cmt ¥ A La oR tw GENERAL E Sus = yy 2 Ke = SAMPLE ep A> ESTIMATE a LA id Covenant El gf) = % z alm) So rmar vale) = Elx*)- 71x) > wc = A Bath Ze)” i i : i i ra Elx)23 Ht Vaarcy) = cea \ ! i SE Riso ExXanpe 2,3. pee FeR A cowT. RY. ela) = / %Patwsdx wo L SE Kh exlepse = Exar [ngag XS AgraL | &n = See EE dag = Wort oeR of R'E & “4 FALLIVE WL Ke Di TERVAL > HB 2X AS BE Fore) cnr WE WILE TULST/FY THIC NORE RIGSROVILY Latng (Law oF LARGE norgpeRs/) CHAPTR (27 MYLTI AE COWT. vs WE WHL CoW/DER Twe RVZ xX Awd Y. Trey MAKE SRID To BE JouWTLY DISTRIB VTE JF THRE OR NEINAL EXP ER/MENTRYL vAlpee SPAee SS MBPS pyro TW WungERs X(SD* K And isd = y ses (9), ¥(6) ST ett Sey ={(ay) 22 +? <1} Figure 12.1: Mapping of the outcome of a thrown dart to the plane (examuple of Jointly continuous random variables). In GENERAL, ouTlopes ARE ABW PRIRS OF WUMGERS CX 9) pwr pence Sey > § (epi sense, -o% 44eos 9 (FoR DieRETE RY HET AnD WEYCHT OF WPIVID UAL REE ToWTLY pis TRIGUTED