Mathematical Expectation

31.10.2013
Dr. Bilge Eri

Mathematical Expectation
arose in connection with games of chance
Amount the player stands to win*probability
that he will win
one of the 10.000 tickets with a prize of $4800
one of the 10.000 tickets with a prize of $1200
one of the 10.000 tickets with a prize of $400

On average win;
Sum of the products obtained by multiplying each
amount by the corresponding probability

 if there is a second prize worth 1200$ and

third worth 400$
On average 4800+1200+400/10.000=0.64$ per
ticket

4.2 THE EXPECTED VALUE OF A RANDOM

VARIABLE
The amount won: Random variable
Sum of the products: Mathematical
expectation
Refer mathematical expectation of a random
variable as expected value

We may be expected in expected values of

random variables related with x

Calculating expected values from other known

expectations

Possible to extend mathematical expectation

4.3 MOMENTS
Mathematical expectations called moments of
a random variable

When r=1, we have

Other special moments

4.4 CHEBYSHEVS THEOREM

 P(X will take on value within 2 sd. of the

mean)=3/4 at least
P(X will take on value within 3 sd. of the
mean)=8/9 at least
Only when the distribution is known, we can
calculate the exact probability

4.5 MOMENT GENERATING FUNCTIONS

Alternative procedure to calculate moments

Basic theorems

4.6 PRODUCT MOMENTS

 Indepence implies zero covariance but zero

covariance does NOT imply independence!

Generalization of product moments

4.7 MOMENTS OF LINEAR COMBINATIONS

OF RANDOM VARIABLES
Derive mean, variance of linear combinations

4.8 CONDITIONAL EXPECTATION

Likewise the conditional distributions