ch7 - Chapter 7 Sums of Random Variables and Long-Term...

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Unformatted text preview: Chapter 7 Sums of Random Variables and Long-Term Averages ENCS6161 - Probability and Stochastic Processes Concordia University Sums of Random Variables Let X 1 , ,X n be r.v.s and S n = X 1 + + X n , then E [ S n ] = E [ X 1 ] + + E [ X n ] V ar [ S n ] = V ar [ X 1 + + X n ] = E n summationdisplay i =1 ( X i- X i ) n summationdisplay j =1 ( X j- X j ) = n summationdisplay i =1 V ar [ X i ] + n summationdisplay i =1 n summationdisplay j =1 i negationslash = j Cov ( X i ,X j ) If Z = X + Y ( n = 2) , V ar [ Z ] = V ar [ X ] + V ar [ Y ] + 2 Cov ( X,Y ) ENCS6161 p.1/14 Sums of Random Variables Example : Sum of n i.i.d r.v.s with mean and variance 2 . E [ S n ] = E [ X 1 ] + + E [ X n ] = n V ar [ S n ] = nV ar [ X i ] = n 2 pdf of sums of independent random variables X 1 , ,X n indep r.v.s and S n = X 1 + + X n , then S n ( w ) = E [ e jwS n ] = E [ e jw ( X 1 + + X n ) ] = X 1 ( w ) X n ( w ) and f S n ( s ) = F- 1 { X 1 ( w ) X n ( w ) } ENCS6161 p.2/14 Sums of Random Variables Example : X 1 X n indep and X i N ( m i , 2 i ) . What is the pdf of S n = X 1 + + X n ? For a Guassian r.v. X N ( , 2 ) X ( w ) = e jw- w 2 2 2 (prove it by yourself) So S n ( w ) = n productdisplay i =1 e jwm i- w 2 2 i 2 = e jw ( m 1 + + m n )- w 2 ( 2 1 + + 2 n ) / 2 S n...
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This note was uploaded on 01/15/2011 for the course ECE 616 taught by Professor Khkjk during the Winter '10 term at Concordia Canada.

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ch7 - Chapter 7 Sums of Random Variables and Long-Term...

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