MATHEMATICAL
EXPECTATION,
MOMENTS
CHAPTER 3
MATHEMATICAL EXPECTATION
Probability is used to denote the happening of a
certain event, and the occurrence of that event,
based on past experiences. The mathematical
expectation is the events which are either
impossible or a certain event in the experiment.
Probability of an impossible event is zero, which
is possible only if the numerator is 0. Probability
of a certain event is 1 which is possible only if
the numerator and denominator are equal.
Mathematical expectation, also
known as the expected
value, which is the summation of
all possible values from a random
variable.
It is also known as the product of
the probability of an event
occurring, denoted by P(x), and
the value corresponding with the
actually observed occurrence of
the event.
Fo r a r a n d o m v a r i a b l e e x p e c t e d
v a l u e i s a u s e f u l p r o p e r t y. E ( X ) i s
the expected value and can be
computed by the summation of the
overall distinct values that is the
random variable. The mathematical
expectation is denoted by the
formula:
E(X)= Σ (x1p1, x2p2, …, xnpn),
where, x is a random variable with the probability function, f(x),
p is the probability of the occurrence,
and n is the number of all possible values.
The mathematical expectation of an indicator variable can be 0 if there
is no occurrence of an event A, and the mathematical expectation of an
indicator variable can be 1 if there is an occurrence of an event A.
For example, a dice is thrown, the set of possible outcomes is
{ 1,2,3,4,5,6} and each of this outcome has the same probability 1/6.
Thus, the expected value of the experiment will be
1/6*(1+2+3+4+5+6) = 21/6 = 3.5. It is important to know that
“expected value” is not the same as “most probable value” and, it is
not necessary that it will be one of the probable values.
Properties of Expectation
• If X and Y are the two variables, then the mathematical expectation
of the sum of the two variables is equal to the sum of the
mathematical expectation of X and the mathematical expectation of
Y.
•Or
•E(X+Y)=E(X)+E(Y)
•The mathematical expectation of the product of the two random
variables will be the product of the mathematical expectation of those
two variables, but the condition is that the two variables are
independent in nature. In other words, the mathematical expectation
of the product of the n number of independent random variables is
equal to the product of the mathematical expectation of
the n independent random variables
•Or
• The mathematical expectation of the sum of a constant and the
function of a random variable is equal to the sum of the constant and
the mathematical expectation of the function of that random variable.
Or,
E(a+f(X))=a+E(f(X)),
where, a is a constant and f(X) is the function.
• The mathematical expectation of the sum of product between a
constant and function of a random variable and the other constant is
equal to the sum of the product of the constant and the mathematical
expectation of the function of that random variable and the other
constant.
Or,
E(aX+b)=aE(X)+b,
where, a and b are constants.
• The mathematical expectation of a linear combination of the random
variables and constant is equal to the sum of the product of ‘n’
constant and the mathematical expectation of the ‘n’ number of
variables.
Or
E(∑aiXi)=∑ ai E(Xi)
Where, ai, (i=1…n) are constants.
Solved Example on Mathematical Expectation
Q.What is the expected number of coin flips for getting two consecutive
heads?
Sol: Let the expected number of coin flips be x.
If the first flip is a tail then the probability of the event is 1/2. Thus, the
total number of flips required is x+1. If the first flip is a head and the
second flip is a tail, then the probability of the event is 1/4 and the total
number of flips we require is x+2. If the first flip is a head and the second
flip is also heads, then the probability of the event is 1/4 and the total
number of flips we require is 2.
By Adding, the equations we get
x = (1/2)(x+1) + (1/4)(x+2) + (1/4)2
By solving the equation, we get
x = 6.
So, the expected number of coin flips for getting two consecutive heads is
6.
Standard Deviation
The Standard Deviation is a measure of how spread out numbers are.
Its symbol is σ (the greek letter sigma)
The formula is easy: it is the square root of the Variance. So now you ask, "What
is the Variance?"
Variance
The Variance is defined as:
The average of the squared differences from the Mean.
To calculate the variance follow these steps:
• Work out the Mean (the simple average of the numbers)
• Then for each number: subtract the Mean and square the result (the squared
difference).
• Then work out the average of those squared differences. (Why Square?)
YOU AND YOUR
FRIENDS HAVE JUST
MEASURED THE
HEIGHTS OF YOUR
DOGS (IN
MILLIMETERS):
The heights (at the shoulders) are: 600mm, 470mm,
170mm, 430mm and 300mm.
Find out the Mean, the Variance, and the Standard
Deviation.
Your first step is to find the Mean:
Answer:
600 + 470 + 170 +
Mean =
430 + 3005
= 19705
= 394
SO THE MEAN (AVERAGE)
HEIGHT IS 394 MM. LET'S
PLOT THIS ON THE CHART:
NOW WE
CALCULATE EACH
DOG'S DIFFERENCE
FROM THE MEAN:
To calculate the Variance, take each difference, square it,
and then average the result:
So the Variance is 21,704
Variance
2062 + 762 + (−224)2 +
σ 2
=
362 + (−94)25
42436 + 5776 + 50176 +
=
1296 + 88365
= 1085205
= 21704
And the Standard Deviation is just the square root of
Variance, so:
Standard Deviation
σ = √21704
= 147.32...
= 147 (to the nearest mm)
And the good thing
about the Standard Dev
iation is that it is
useful. Now we can
show which heights are
within one Standard
Deviation (147mm) of
the Mean:
So, using the Standard Deviation we have a "standard" way of knowing what is
normal, and what is extra large or extra small.
The characteristic function (cf) is a complex function that completely
characterizes the distribution of a random variable.
How it is used
The use of the characteristic function is almost identical to that of the
moment generating function:
• it can be used to easily derive the moments of a random variable;
• it uniquely determines its associated probability distribution; it is often used to
prove that two distributions are equal.
The cf has an important advantage over the moment generating function: while
some random variables do not possess the latter, all random variables have a
characteristic function.
