1/27/2011

ESC92 – Engineering Probability

and Statistics
Mathematical Expectation

Introduction
In order to make use of the probabilities of
events for statistical purposes, these probability
values and the associated random variable must
be converted into a parameter useful in
statistics, the mean and the variance. This can
be readily acquired by the use of mathematical
expectation of the random variable.

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Mean of a Random Variable

Let X be a random variable with probability
distribution f(X). The mean or expected value
of X is
µ = E ( X ) = ∑ xf ( x )
x

If X is discrete
∞
µ = E ( X ) = ∫ xf ( x ) dx
−∞
If X is continuous
For all (x, y) within their range.

Example 1
A sample of 3 items is selected at random from
a box containing 20 items of which 4 are
defective. Find the expected number of
defective items in the sample.

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Solution
Let X represent the number of defective items in
the sample. The probability distribution of X is
 4   16 
  
x 3− x
f ( x) =   , x = 0,1, 2,3
 20 
 
3
Hence,
28 8 8 1
f (0) = , f (1) = , f ( 2) = , f ( 3) = ,
57 19 95 285

Solution
Therefore the expected number of X is
28 8 8 1
µ = E ( X ) = ∑ xf ( x ) = 0 • + 1• + 2 • + 3 •
x 57 19 95 285

Thus if a sample of size 3 is selected at random

over and over again from a box of 20 items, it
would contain on average, 0.6 defective item.

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Example 2
Compute the expected value of X if X has a
density function given by

 1 −x2
 xe x>0
f (x) =  4
 0 elsewhere

Solution
Since X is continuous, then,
∞
µ = E ( X ) = ∫ xf ( x ) dx
−∞
∞ 1 2 −x2
=∫ x e dx
0 4
∞

= − e 2 ( x 2 + 4 x + 8)
1 −x
2 0

µ=4

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Example 3
By investing in a particular stock a person can
make aprofit in one year of PHP 2,000,000
with probability 0.4 or take a loss of PHP
500,000 with probability 0.6. What is this
person’s expected gain?

Solution
Since X represents the person’s gain then there
are only two possible values
x1 = 2,000,000 (gain)
x2 = - 500,000 (loss)
Therefore,
µ = E ( X ) = 2, 000, 000 ( 0.4 ) + ( −500, 000 )( 0.6 )
= 500, 000

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Variance of a Random Variable

Let X be a random variable with probability
distribution f(x) and mean μ. The variance of X
is
If X is discrete
σ 2 = E ( x − µ )  = ∑ ( x − µ ) f ( x )
2 2
  x

= ∑ x2 f ( x ) − µ 2
x

Variance of a Random Variable

If X is continuous,
∞
σ 2 = E ( x − µ )  = ∫ (x − µ) f ( x ) dx
2 2
  −∞
∞
= ∫ x 2 f ( x ) dx − µ 2
−∞

The positive square root of the variance, σ, is

called the standard deviation.

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Example 4
Suppose the density function of X is given by
3
 (1 − x ) −1 < x < 1
2
f ( x) =  4
 0 elsewhere

Find the mean and variance of X.

Solution
x (1 − x 2 ) dx
3
The mean is µ = E ( X ) = ∫
1

−1 4

µ =0

∞
σ 2 = ∫ x 2 f ( x ) dx − µ 2
−∞
The variance is
x (1 − x 2 ) dx − 02
3 2
1
=∫
−1 4

1
σ2 =
5

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Chebyshev’s Theorem
The Russian mathematician P.L. Chebyshev
(1821-1894) discovered that the fraction of
the area between any two values symmetric
about the mean is related to the standard
deviation.
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P ( µ − kσ < X < µ + kσ ) ≥ 1 −
k2

Example 5
A random variable X has a mean μ = 12, and a
variance σ2 = 9, and an unknown probability
distribution. Using Chebyshev’s Theorem
estimate
a. P(6 < X < 18)
b. P(|X – 12| ≥ 9)

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Solution
a. P(6 < X < 18) = P[12 – 2(3) < X < 12 + 2(3)]

Then k = 2
1
P ( 6 < X < 18 ) = 1 −
22
3
P ( 6 < X < 18 ) =
4

Solution
b. P(|X – 12| ≥ 9) = 1 – P(|X – 12| < 9)
= 1 – P[12 – 3(3) < X < 12 + 3(3)]

Then k = 3
 1
P (| X − 12 |≥ 9 ) = 1 − 1 − 2 
 3 
1
P (| X − 12 |≥ 9 ) =
9