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0.5

0.4

0.3

0.2

0.1

0

-4 -3 -2 -1 0 1 2 3 4

January 1, 2017 1 / 24

Expected value

X continuous with range [a, b] and pdf f (x):

� b

E (X ) = xf (x) dx.

a

n

n

E (X ) = xi p(xi ).

i=1

January 1, 2017 2 / 24

Variance and standard deviation

Standard deviation: measure of spread, scale

For any random variable X with mean µ

Var(X ) = E ((X − µ)2 ), σ= Var(X )

X continuous with range [a, b] and pdf f (x):

Z b

Var(X ) = (x − µ)2 f (x) dx.

a

n n

Var(X ) = (xi − µ)2 p(xi ).

i=1

View these as essentially the same formulas.

January 1, 2017 3 / 24

Properties

1. E (X + Y ) = E (X ) + E (Y ).

2. E (aX + b) = aE (X ) + b.

3. If X and Y are independent then

Var(X + Y ) = Var(X ) + Var(Y ).

4. Var(aX + b) = a2 Var(X ).

5. Var(X ) = E (X 2 ) − E (X )2 .

January 1, 2017 4 / 24

Board question

(a) Find c.

(b) Find the mean, variance and standard deviation of X .

(c) Find the median value of X .

(d) Suppose X1 , . . . X16 are independent

identically-distributed copies of X . Let X be their

average. What is the standard deviation of X ?

(e) Suppose Y = X 4 . Find the pdf of Y .

January 1, 2017 5 / 24

Quantiles

Quantiles give a measure of location.

φ(z)

z

q0.6 = 0.253

Φ(z)

1

F (q0.6 ) = 0.6

z

q0.6 = 0.253

January 1, 2017 6 / 24

Concept question

Each of the curves is the density for a given random variable. The

median of the black plot is always at q. Which density has the

greatest median?

4. All the same 5. Impossible to tell

(A) (B)

Curves coincide to here.

q q

January 1, 2017 7 / 24

Law of Large Numbers (LoLN)

than a single measurement.

Formally: Let X1 , X2 , . . . be i.i.d. random variables all with mean

µ and standard deviation σ.

Let n

X1 + X2 + . . . + Xn 1 n

Xn = = Xi .

n n i=1

Then for any (small number) a, we have

n→∞

X n as close as we want to µ with probability close to 1.

January 1, 2017 8 / 24

Concept Question: Desperation

Your only way to get it is to gamble.

If you bet $k, you either win $k with probability p or lose $k with

probability 1 − p.

each time.

(a) Maximal (b) Minimal (c) They are the same

(a) Maximal (b) Minimal (c) They are the same

January 1, 2017 9 / 24

Histograms

Density: area of bar is the fraction of all data points that lie in the

frequency density

4 0.8

3 0.6

2 0.4

1 0.2

x x

0.25 0.75 1.25 1.75 2.25 0.25 0.75 1.25 1.75 2.25

January 1, 2017 10 / 24

Board question

1. Make both a frequency and density histogram from the data below.

Use bins of width 0.5 starting at 0. The bins should be right closed.

2.1 2.2 2.6 2.7 3.1

3.2 3.4 3.8 3.9 3.9

reasonable representation of the data.

January 1, 2017 11 / 24

Solution

3.0

0.4

Frequency

Density

2.0

0.2

1.0

0.0

0.0

0 1 2 3 4 0 1 2 3 4

0.4

8

Frequency

Density

6

0.2

4

2

0.0

0

0 1 2 3 4 0 1 2 3 4

January 1, 2017 12 / 24

LoLN and histograms

0.5

0.4

0.3

0.2

0.1

0

-4 -3 -2 -1 0 1 2 3 4

a standard normal distribution. Standard normal pdf is

overlaid in red.

January 1, 2017 13 / 24

Standardization

σ.

X −µ

Standardization: Y = .

σ

Y has mean 0 and standard deviation 1.

Standardizing any normal random variable produces

the standard normal.

If X ≈ normal then standardized X ≈ stand. normal.

We use reserve Z to mean a standard normal random

variable.

January 1, 2017 14 / 24

Concept Question: Standard Normal

within 1 · σ ≈ 68%

within 3 · σ ≈ 99%

68%

95%

99%

z

−3σ −2σ −σ σ 2σ 3σ

(a) 0.025 (b) 0.16 (c) 0.68 (d) 0.84 (e) 0.95

2. P(Z > 2)

(a) 0.025 (b) 0.16 (c) 0.68 (d) 0.84 (e) 0.95

January 1, 2017 15 / 24

Central Limit Theorem

Setting: X1 , X2 , . . . i.i.d. with mean µ and standard dev. σ.

For each n:

1

Xn = (X1 + X2 + . . . + Xn ) average

n

Sn = X1 + X2 + . . . + Xn sum.

Conclusion: For large n:

σ2

� �

X n ≈ N µ,

n

Sn ≈ N nµ, nσ 2

Standardized Sn or X n ≈ N(0, 1)

Sn − nµ X n − µ

nσ σ/ n

January 1, 2017 16 / 24

CLT: pictures

Standardized average of n i.i.d. uniform random variables

with n = 1, 2, 4, 12.

0.4 0.5

0.35

0.4

0.3

0.25 0.3

0.2

0.15 0.2

0.1

0.1

0.05

0 0

-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3

0.4 0.4

0.35 0.35

0.3 0.3

0.25 0.25

0.2 0.2

0.15 0.15

0.1 0.1

0.05 0.05

0 0

-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3

January 1, 2017 17 / 24

CLT: pictures 2

The standardized average of n i.i.d. exponential random

variables with n = 1, 2, 8, 64.

1 0.7

0.6

0.8

0.5

0.6 0.4

0.4 0.3

0.2

0.2

0.1

0 0

-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0 0

-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3

January 1, 2017 18 / 24

CLT: pictures 3

The standardized average of n i.i.d. Bernoulli(0.5)

random variables with n = 1, 2, 12, 64.

0.4 0.4

0.35 0.35

0.3 0.3

0.25 0.25

0.2 0.2

0.15 0.15

0.1 0.1

0.05 0.05

0 0

-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3

0.4 0.4

0.35 0.35

0.3 0.3

0.25 0.25

0.2 0.2

0.15 0.15

0.1 0.1

0.05 0.05

0 0

-3 -2 -1 0 1 2 3 -4 -3 -2 -1 0 1 2 3 4

January 1, 2017 19 / 24

CLT: pictures 4

The (non-standardized) average of n Bernoulli(0.5)

random variables, with n = 4, 12, 64. (Spikier.)

1.4 3

1.2 2.5

1

2

0.8

1.5

0.6

1

0.4

0.2 0.5

0 0

-1 -0.5 0 0.5 1 1.5 2 -0.2 0 0.2 0.4 0.6 0.8 1 1.2 1.4

7

6

5

4

3

2

1

0

-0.2 0 0.2 0.4 0.6 0.8 1 1.2 1.4

January 1, 2017 20 / 24

Table Question: Sampling from the standard normal

distribution

January 1, 2017 21 / 24

Board Question: CLT

50% of the population supports Ani, 25% supports Ruthi, and the

remaining 25% is split evenly between Efrat, Elan, David and Jerry.

A poll asks 400 random people who they support. What is the

probability that at least 55% of those polled prefer Ani?

3. What is the probability that less than 20% of those polled prefer

Ruthi?

January 1, 2017 22 / 24

Bonus problem

An accountant rounds to the nearest dollar. We’ll assume

the error in rounding is uniform on [-0.5, 0.5]. Estimate

the probability that the total error in 300 entries is more

than $5.

January 1, 2017 23 / 24

MIT OpenCourseWare

https://ocw.mit.edu

Spring 2014

For information about citing these materials or our Terms of Use, visit: https://ocw.mit.edu/terms .

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