Lecture 2 Functions of random variables, Variance

Recap of Expectation:

Notation: E (X) or μ
In Discrete RV:

If X is a discrete random variable, its expected value E(X) or μ is given by:

Example:

Expectations of a function g(X) can always be calculated directly from the

probability distribution of g(X).

In Continuous RV:
Rules of expected values:

Functions of Random Variables:

- If we have random variable X, we can also work out other values eg: g(X)
- Given any random variable X we can consider random variables which are
functions of X which we denote g(X). For example if g(X) = 2X:
Expectations of a function g(X) can always be calculated directly from the
probability distribution of g(X).

Variance:

- The variance provides an important summary of the extent of a random variable’s

variation about its mean

Notation:

The variance of a random variable X is denoted here either as σX2 or V(X). It is defined as

Example:

Standard deviation

Since the variance of X is measured in terms of the units of X squared, we often work
with the positive square root of the variance (which therefore has the same units as X).
This quantity is known as the standard deviation of X and is denoted by σX.
Rules of Variance