ISEN 609 Lecture 5

# ISEN 609 Lecture 5 - Sums of Independent Random Variables:...

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Sums of Independent Random Variables: Convolutions Let X ~ F and Y ~ G be two independent variables and suppose we are interested in their sum Z=X + Y. What is the distribution of Z? 1. Compute the distribution function directly: F Z ( a )= P ( Z a )= P ( X + Y a ) = ±± x + y a f ( x, y ) dxdy = ±± x + y a f ( x ) g ( y ) dxdy = ± -∞ ± a - y -∞ f ( x ) g ( y ) dxdy = ± -∞ F X ( a - y ) g ( y ) dy = ± -∞ F X ( a - y ) dG ( y )

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Convolutions, con’t 2. Use moment generating functions: Which approach is easier? It depends. = E [ e tX ] E [ e tY ]= φ X ( t ) φ Y ( t ) φ Z ( t )= E [ e tZ ]= E [ e t ( X + Y ) ]= E [ e tX e tY ]
Example Suppose X and Y are independent Poisson random variables, parameters and , resp. What is the distribution of Z = X+Y ? or and now? Recognize this as the mgf of a Poisson r.v. with parameter φ Z ( t )= e λ 1 ( e t - 1) e λ 2 ( e t - 1) = e ( λ 1 + λ 2 )( e t - 1) λ 1 + λ 2 . λ 1 λ 2 F Z ( n )= n ± i =0 ² n - i ± j =0 e - λ 1 λ j 1 j ! ³ e - λ 2 λ i 2 i !

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5. Conditional Probability, Conditional Distributions, and Conditional Expectation Knowing something about the outcome of an experiment (i.e., knowing an event occurred) reduces the possible outcomes and may change the probability we assign to other events. Suppose A occurred, with P ( A ) > 0. Then Note that P ( B | A ) := P ( A B ) P ( A ) P ( A | A ) 1
Now let’s move to random variables Suppose X and Y are discrete and let P ( X = x | Y = y ) = P ( X = x,Y = y ) P ( Y = y ) P ( X A| Y B ) = P ( X A Y B ) P ( Y B ) = P ( X - 1 ( A ) Y - 1 ( B )) P ( Y - 1 ( B )) A = { x } , B = { y }

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Conditional Density and Distribution Functions Now we can define a conditional mass function and a conditional density function and finally a conditional distribution function
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## This note was uploaded on 04/28/2011 for the course ISEN 609 taught by Professor Klutke during the Spring '08 term at Texas A&M.

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ISEN 609 Lecture 5 - Sums of Independent Random Variables:...

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