SQQS1043 Probability & Statistics: Matehematical Expectation
SQQS1043 Probability & Statistics: Matehematical Expectation
PROBABILITY &
STATISTICS
CHAPTER 1
MATEHEMATICAL EXPECTATION
1/2 H TH 1
1/2 T
1/2
T TT 0
3
SQQS1043 Statistics and Probability
Continue…
• Now consider that we are interested to know the number of
heads occurred in the outcome of the experiment
• Let X be the number of heads occurred
• We then have the set of numbers {2, 1, 1, 0}
• We can further assign these numbers to a variable X
• Next, we can have event X with value such as {X=2}
• Since variable X possessed integer values (usually through
counting process), variable X is of type discrete.
• Thus, X is a discrete random variable
P(X=x) = f(x) ¼ ½ ¼ 1
f(x)
¼
x
0 1 2 11
SQQS1043 Statistics and Probability
Probability Functions & Distribution
=> via Formula
•Example
1:
• let X be an event of getting heads when a coin is tossed twice. The
probability function f(x) can be written as:
•Theorem
1.1
A function can serve as the probability distribution of a discrete
random variable X if and only if its values, f(x)= P(X=x) satisfy the
conditions:
• for all values of X, the probability value f(x)= P(X=x) is fraction
between 0 and 1 (inclusive)
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Continue…
Example of continuous random variables:
The weight of a person.
The time taken to complete a 100 meter dash.
The duration of a battery.
The height of a building.
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Probability Density Functions
Def. 1.4: A function with values f(x), defined over the set of all real
numbers, is called a probability density function of the continuous
random variable X if and only if
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Probability Density Functions
Theorem 1.2
If X is a continuous random variable and a and b are real
constants with , then
Theorem 1.3
A function can serve as a probability density of a
continuous random variable X if its values, f(x), satisfy the
conditions
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Probability Density Functions
• Probability associated with the value of a continuous random
variables X can be displayed in two ways:
Via formula
Via graph
f(x)
1
0 1 x
19
SQQS1043 A191
Example 2
•If X has the probability density
Solution:
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Example 2(Cont.)
•
Solution:
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Distribution functions for Discrete random
variable
• There are many problems in which it is of interest to know
the probability that the value of a random variable is less
than or equal to some real number x.
• Solutions:
X 1 2 3 4 5
f(x) 1 / 15 2 / 15 3 / 15 4 / 15 5 / 15
F(x) 1 / 15 3 / 15 6 / 15 10 / 15 15 / 15
is given by:
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Continue…
Theorem 1.4
If f(x) and F(x) are the values of the probability density and
the distribution function of X at x, then
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Example 4
• the distribution function of the random variable X of Example 2
Find
and use it to reevaluate .
For ,
𝟑
𝐹 ( 𝑥 )= 𝒙 for 0< 𝑥 <1
{
0 𝑒𝑙𝑠𝑒𝑤h𝑒𝑟𝑒
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Example 4 (Cont.)
•
8750
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Class Activity 1
1. A mutual fund salesperson has arranged to call on three
people tomorrow. Based on past experience the salesperson
knows that there is a 20% chance of closing a sale on each call.
a) Determine the probability distribution of the number of
sales the salesperson will make. Let X be the number of
sales the sales person will make.
b) What is the probability that the salesperson will make less
than two sales?
c) Thus, obtain the distribution function of the number of
sales the salesperson will make.
x
1 2 3
a)Show that
b)Write down the probability density function of
a) Draw the area under the probability density function of X, and thus show that
the total area is equal to 1.
b) Obtain the distribution function of X
c) Use your answer in (b) to determine P(X>1.5)
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Class Activity 1
•7. The p.d.f. of the random variable X is given by
c) Find
d) Find the probability density function of X and use it to reevaluate part (a).
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Mathematical Expectation
Def 1.7: If X is a discrete random variable, and f(x) is the
value of its probability distribution at x, the expected
value of X is given by
∑ 𝑓 (𝑥)=1
1 𝑘 +2 𝑘 +3 𝑘 +4 𝑘 +5 𝑘 =1
1
15 𝑘 =1 ∴ 𝑘=
15
SQQS1043 Statistics and Probability 38
Example 4: cont’…
•ii. The expected value of X
Theorem 1.5:
If X is a discrete random variable and f(x) is the value of
it’s probability distribution at x, the expected value of g(X)
is given by
where
•Refer
to example 5
• If X is the number of points rolled with a balanced die, find the
expected value of .
Solution using theorem 1.6:
With a balanced die,
+
Theorem 1.7
If X is a continuous random variable and f(x) is the value of its probability
density at x, the expected value of g(X) is given by
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Example 7
•Let
be a continuous random variable with probability density function
as below.
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Example 8
•If X has the probability density
=4
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Moments &
Moment Generating Function
Def.1.9: The rth moment about the origin of a random
variable X is denoted by , is the expected value of
Def.1.10: is called the mean of the distribution of X or
simply the mean of X. It is simply denoted by
Theorem 1.8:
The variance of the distribution of X can also be
obtained through the use of the 1st and the 2nd moment
of origin.
Proof:
Theorem 1.9:
If X has the variance , then
= 3.5
Def. 1.14: The rth moment about the mean of a continuous random
variable X, denoted by , is the expected value of , symbolically
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Example 10
•Refer
back to Example 7, find the mean and standard deviation of the
random variable X.
Solution:
Recall…
In Example 7, we showed that .
mean = .
Standard deviation, =
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Example 10 (Cont.)
•
= 0.05
Therefore, the standard deviation is
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Moments Generating Functions
Def.1.10: The moment generating function of a random
variable X where it exists, is given by
E(et/b(X)) + E(ea/b(t))
Theorem 1.12:
59
SQQS1043 Statistics and Probability
•Example
11:
• Given that X has the probability distribution
X 0 1 2 3
P(X=x) 1/8 3/8 3/8 1/8
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Example 12
Find the moment generating function of the random variable whose
probability density function is given by
and use the moment generating function, find mean and variance.
Solution:
63
Example 12 (Cont.)
•
64
SQQS1043 A191
Factorial Moment Generating
Function
Theorem 1.13
Let X be a random variable with factorial moment generating
function . Then
Corollary
Let X be a random variable. Then
Theorem 1.14:
+
2. Find for the random variable X that has the probability distribution
=4
a) Find the mean of age of babies being brought to a postnatal clinic.
Answer: E(X) = 1
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Class Activity 2
•
2. Find the moment-generating function of the continuous variable X
whose probability density is
Answer: - 1 ) / t
Answer:
73
Class Activity 2
•4. Find the moment generating function of the distribution
random variable X that has the probability distribution
++
= 1.3333
= 2.2222