EE 309: Probability Methods In

Engineering
Lecture 7
Chapter#4a

Dr. Sadia Murawwat

BE V (2016-2020)
Fall 2018
2 Overview

1. Measure of central tendency

2. Mathematical Expectation of a random variable
3. Variance
4. Standard deviation
5. Correlation coefficient
6. Chebyshev Inequality
7. Moment generating function
8. Characteristic function
3

Measure of central tendency

4 1. Measure of central tendency: Mean
5 Example#1
6 Solution
7 1. Measure of central tendency:
median
8 Cont..
9 Example#2
10 Solution
11 Cont..
12 Note:
13 1. Measure of central tendency:
MODE
14 Example
Find the mode of the following data sets
48 44 48 45 42 49 48
Solution:
The mode is 48 since it occur most often
Note:
 It is possible for a set of data values to have more
than one mode
 If there e two data values that occur most frequently,
we say that the set of data values is bimodal
 If there is no data value or data values that occur most
frequently, we say that the set of data values has no
mode
 Conclusion
15

Analyzing Data
 The mean. median and mode of a data set are collectively known as
measures of central tendency as these three measure focus on where
the data is centered or clustered. To analyses data using the mean,
median and mode, we need to use the most appropriate measure of
central tendency. The following points should be remembered
 The mean is useful for predicting future results when there are no
extreme values in the data set. However, the impact of extreme values
on the mean may be important and should be considered. E.g. The
impact of a stock market crash on average investment returns.
 The median may be more useful than the mean when there are extreme
values in the data set as is not affected by the extreme values.
 The mode is useful when the most common item. characteristic or
value of a data set is required.
16 Example
A student has gotten the following grades on his tests: 87,
95, 76, and 88. He wants an 85 or better overall, What is
the minimum grade he must get on the last test in order to
achieve that average?
17 Solution
18 Example
Find the mean, median, mode, and range for the
following list of values:
13, 18, 13, 14, 13, 16, 14, 21, 13
19 Solution
20 Example
21 2. Expectation
22 Expectation: in brief
23 Simple way: MEAN
 The mean of a discrete random variable X is a weighted average of the
possible values that the random variable can take. Unlike the sample
mean of group of observations, which gives each observation
 equal weight the mean of a random variable weights each outcome x.
according to s probability, Pi The common symbol for the mean (also
known as the expected value of) is ux, formally defined by

 The mean of a random variable provides the long-run average of the

variable, or the expected average outcome over many observations.
24 Expected Value - discrete
Example#1
 Expected Value - discrete Variables
25
Example# 2
26 Expected Value - Continuous Variables
Example# 3
 Expected Value - Continuous Variables
Example#4

 For continuous variables,

μ = E(X) = E(X) = ∫ x f(x) dx

 Vacuum cleaner example: problem 7 pg. 88

{
x, 0<x<1
f(x) = 2-x, 1≤x<2
0, elsewhere

(in hundreds of
x 3
 2 x3 
x 2  x  dx 
1 2 1 2
hours.)
E(X)   x dx   2

3
|0   x  3  |
1
0 1
 
= 1 * 100 = 100.0 hours of operation annually, on average
28 Expected Value - discrete Variables
Example# 5
 Example: Repair costs for a particular machine are
represented by the following probability distribution:

x $50 $200 $350

P(X = x) 0.3 0.2 0.5

 What is the expected value of the repairs?

 That is, over time what do we expect repairs to cost on average?
 Expected Value - discrete Variables
Example# 6
 μ = E(X)
 μ = mean of the probability distribution

 For discrete variables,

μ = E(X) = ∑ x f(x)

So, for our example,

 E(X) = 50(0.3) + 200(0.2) + 350(0.5) = $230
 Expected Value – discrete Variables
Example#7
 By investing in a particular stock, a person can take a
profit in a given year of $4000 with a probability of 0.3 or
take a loss of $1000 with a probability of 0.7. What is the
investor’s expected gain on the stock?

X $4000 -$1000
P(X) 0.3 0.7

E(X) = $4000 (0.3) -$1000(0.7) = $500

31 2.1 expectation when state space is
countable
32 2.2 Expectation of a function of a
random variable
33 Expectation of a function of a
random variable: In brief
34 Functions of Random Variables
Example# 1
35 Functions of Random Variables
Ex.2
 Functions of Random Variables
Example#3
 Probability of X, the number of cars passing
through a car wash in one hour on a sunny Friday
afternoon, is given by
x 4 5 6 7 8 9
P(X = x) 1/12 1/12 1/4 1/4 1/6 1/6

 Let g(X) = 2X -1 represent the amount of money

paid to the attendant by the manager. What can
the attendant expect to earn during this hour on
any given sunny Friday afternoon?
E[g(X)] = Σ g(x) f(x) = Σ (2X-1) f(x)
= (2*4-1)(1/12) +(2*5-1)(1/12) …+(2*9-1)(1/6)
= $12.67
 Expectation : joint probability
37
distribution
38 Example joint
39
40 More examples
41 More examples
42 Additive of expectation
43 Properties of Means

 If a random variable X is adjusted by multiplying by

the value b and adding the value a, then the mean is
affected as follows:
44 Cont..

 The mean of the sum of two random variables X

and Y is the sum of their means:
45 Why should we care about expectation?
46 Cont..
47 Variability of random variable
48 2. Variance and standard deviation
49 Cont..
50 Variance
Example#1
51 Solution
 Variance:
52
Example#2
 Variance of Continuous Variables
 For continuous variables,
σ2 = E [(X - μ)2] =[∫ x2 f(x) dx] – μ2
 Recall our vacuum cleaner example pr. 7 pg. 88
x, 0<x<1

{
f(x) = 2-x,
0,
1≤x<2
elsewhere
(in hundreds of hours of operation.)
 What is the variance of X? The variable is
continuous, therefore we will need to evaluate the
integral.
 Variance – Discrete Variables

 For discrete variables,

σ2 = E [(X - μ)2] = ∑ (x - μ)2 f(x) = E (X2) - μ2

 Recall, for our example,

μ = E(X) = $230
Preferred method of calculation:
σ2 = [E(X2)] – μ2
= 502 (0.3) + 2002 (0.2) + 3502 (0.5) – 2302 = $17,100

Alternate method of calculation:

σ2 = E(X- μ)2 f(x)
= (50-230)2 (0.3) + (200-230)2 (0.2) + (350-230)2 (0.5) =
$17,100
55 Variance of function of random
variable
56 Example
57 Solution
58 Variance

The variance of a discrete random variable X

measures the spread, or variability, of the
distribution, and is defined by
59 Cont..

For independent random variables X and Y, the

variance of their sum or difference is the sum of their
variances:
60 identity
61 4. Standard deviation
 5. Covariance/ Correlation
 A measure of the nature of the association between two
variables
 Describes a potential linear relationship
 Positive relationship
 Large values of X result in large values of Y
 Negative relationship
 Large values of X result in small values of Y
 “Manual” calculations are based on the joint probability
distributions
 Statistical software is often used to calculate the sample
correlation coefficient (r)
63 Covariance formulas
64 Ex. covariance
65 Cont..
66 6. Correlation coefficients
What if the distribution is
unknown?
 Chebyshev’s theorem:
The probability that any random variable X will
assume a value within k standard deviations of the
mean is at least 1 – 1/k2. That is,

P(μ – kσ < X < μ + kσ) ≥ 1 – 1/k2

 “Distribution-free” theorem – results are weak
 If we believe we “know” the distribution, we do
not use Chebyshev’s theorem to characterize
variability