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Unformatted text preview: Stat 302, Introduction to Probability Jiahua Chen JanuaryApril 2011 Jiahua Chen () Lecture 13 JanuaryApril 2011 1 / 24 Moments and covariance formulas Let X be a random variable. If X is discrete, E ( X ) = ∑ x xP ( X = x ) , where P ( X = x ) = p ( x ) is the pmf of X . If X is (absolutely) continuous, E ( X ) = integraltext ∞ ∞ xf ( x ) , where f ( x ) is the pdf of X . Jiahua Chen () Lecture 13 JanuaryApril 2011 2 / 24 Moments and covariance formulas Let X be a random variable. If X is discrete, E ( X ) = ∑ x xP ( X = x ) , where P ( X = x ) = p ( x ) is the pmf of X . If X is (absolutely) continuous, E ( X ) = integraltext ∞ ∞ xf ( x ) , where f ( x ) is the pdf of X . The above formulas have their own range of applicability . Be sure to check whether X is discrete or continuous before one of them is applied. Jiahua Chen () Lecture 13 JanuaryApril 2011 2 / 24 Moments and covariance formulas Whether or not X is discrete or continuous, E ( aX + b ) = aE ( X ) + b where a , b are two nonrandom constants. A trivial example is E ( 2 X 4 ) = 2 E ( X ) 4 in which a = 2 and b = 4. Jiahua Chen () Lecture 13 JanuaryApril 2011 3 / 24 Moments and covariance formulas Let X and Y be two random variables (on the same Ω ). Apparently, aX + bY + c is another random variable (on the same Ω ), where a , b , c are two nonrandom constants. There is a formula that E ( aX + bY + c ) = aE ( X ) + bE ( Y ) + c . More concretely, E ( 2 X 3 Y + 4 ) = 2 E ( X ) 3 E ( Y ) + 4; E ( 3 X + 5 Y ) = 3 E ( X ) + 5 E ( Y ) . Jiahua Chen () Lecture 13 JanuaryApril 2011 4 / 24 Moments and covariance formulas Let X and Y be two random variables (on the same Ω ). Apparently, aX + bY + c is another random variable (on the same Ω ), where a , b , c are two nonrandom constants. There is a formula that E ( aX + bY + c ) = aE ( X ) + bE ( Y ) + c . More concretely, E ( 2 X 3 Y + 4 ) = 2 E ( X ) 3 E ( Y ) + 4; E ( 3 X + 5 Y ) = 3 E ( X ) + 5 E ( Y ) . Technically, the formulas are applicable when E ( X ) and E ( Y ) both exist. Jiahua Chen () Lecture 13 JanuaryApril 2011 4 / 24 Negative binomial Example Let T be the number of failures before the 2nd success in a sequence of Bernoulli trials. Using either probabilistic or mathematical tool, we find T has negative binomial distribution and its pmf is P ( T = k ) = ( k + 1 )( 1 p ) k p 2 for k = 0, 1, . . . and p is the probability of success. How much is E ( T ) ? A direct approach is to compute E ( T ) = ∞ ∑ k = k ( k + 1 )( 1 p ) k p 2 ....
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This note was uploaded on 04/07/2011 for the course STAT 302 taught by Professor Dr.chen during the Spring '11 term at UBC.
 Spring '11
 Dr.Chen
 Covariance, Probability, Variance

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