MATH 2005 Probability

Chapter 4 Mathematical
Power Expectation
Point Template
(enter texts here)
Hongwei YUAN
Office Room: E11-2008e
Email: hwyuan@um.edu.mo

Emails of Teaching Assistants:

Liu Chengyu: YC27474@um.edu.mo
Wang Yu: YC17474@um.edu.mo
Review of the previous chapter
• Random Variables
• Probability Distributions
• Continuous Random Variables Power Point Template
• Probability Density Functions (enter texts here)
• Multivariate Distributions
• Marginal Distributions
• Conditional Distributions
Random variable, probability distribution
and density
• DEFINITION 1. If is a sample space with a probability measure and is
called a random variable.
Power Point Template
• DEFINITION 2. If is a discrete random variable, is called
(enter texts the probability
here)
distribution of .
• DEFINITION 4. is called a probability density function of the continuous
random variable if and only if for any real constants and with .
Distribution function

• DEFINITION 3. If is a discrete random variable, is called the distribution

function of where is the value of the probability distribution of at .
Power Point Template
• DEFINITION 5. If is a continuous random(entervariable withhere)
texts probability density
, then , is called the distribution function of .
Joint Probability Distribution and Density

• DEFINITION 6. If and are discrete random variables, is called the joint

probability distribution of and .
Power Point Template
• DEFINITION 8. is called a joint probability density
(enter function
texts here)of the
continuous random variables and if and only if

for any region in the -plane.

Joint Distribution Function

• DEFINITION 7. If and are discrete random variables, is called the joint

distribution function of and .
Power Point Template
• DEFINITION 9. If and are continuous random
(entervariables, the function
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given by

is called the joint distribution function of and .

Marginal Distributions and Densities

DEFINITION 10. If and are discrete random variables, , is called the

marginal distribution of is called the marginal distribution of .
Power Point Template
DEFINITION 11. If and are continuous random (entervariables, is called the
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marginal density of , is called the marginal density of
Conditional Distributions and
Densities
DEFINITION 12. If is the joint probability distribution of the discrete
random variables and and is the marginal distribution of , , is called the
Power
conditional distribution of given . If is the Pointdistribution
marginal Template of , , is
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called the conditional distribution of given .
DEFINITION 13. If is the joint density of the continuous random variables
and and is the marginal distribution of , , is called the conditional density
of given . If is the marginal density of , , is called the conditional density of
given .
Independence

• DEFINITION 14. If is the value of the joint probability distribution of the

discrete random variables at and is the value of the marginal
distribution of at for then the random Power Point
variables areTemplate
independent if and
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only if for all within their range.
• DEFINITION 15. If is the value of the joint probability density of the
continuous random variables at and is the value of the marginal density
of at for then the random variables are independent if and only if for all
within their range.
Objectives in chapter 4
• The Expected Value of a Random Variable
• Moments
• Chebyshev’s Theorem Power Point Template
• Moment-Generating Functions (enter texts here)
• Product Moments
• Moments of Linear Combinations of Random Variables
• Conditional Expectations
Example: betting on "big" or "small"

• The concept of a mathematical expectation arose in connection with

games of chance, and in its simplest form it is the product of the amount
Power
a player stands to win and the probability thatPoint
he orTemplate
she will win.
(enter texts here)
• At a gambling table where you bet "small" against "big," if you bet 100
dollars on "small“, and then the dealer rolls three dice, if the sum of the
three dice is between 4(not 3) and 10, you win 100 dollars; otherwise, you
lose 100 dollars. On average, how much money would you win or lose?
Expected value

• DEFINITION 1. If is a discrete random variable and is the value of its

probability distribution at , the expected value of is Correspondingly, if is
a continuous random variable and is the Power
valuePoint
of its Template
probability density
(enter texts here)
at , the expected value of is .
Example: expected value (discrete)

• A lot of 12 television sets includes 2 with white cords. If 3 of the sets are
chosen at random for shipment to a hotel, how many sets with white
cords can the shipper expect to send to Power Point Template
the hotel?
(enter texts here)
Example: expected value (continuous)

• Certain coded measurements of the pitch diameter of threads of a fitting

have the probability density for , elsewhere. Find the expected value of
this random variable. Power Point Template
(enter texts here)
It's time for dice game!
• This class has a total of 74 enrolled students. There are 28 classes in this semester.
In each class, 3 students are randomly selected for attendance. The selected
students can come forward and roll a pair ofPower
dice. IfPoint Template
they roll a double six, they can
receive 20 Macau dollars from me. (enter texts here)
• Questions: What is the probability of each student getting these 20 Macau dollars
in each class? What is the expected profit for each student in each class? What is
the expected loss for me in each class? What is the expected profit for each
student in the whole semester? What is the expected loss for me in whole
semester?
The law of the unconscious statistician.

• THEOREM 1. If is a discrete random variable and is the value of its

probability distribution at , the expected value of is given by .
Powervariable
Correspondingly, if is a continuous random Point Template
and is the value of
(enter texts here)
its probability density at , the expected value of is given by
The law of the unconscious statistician

• Proof. Since a more general proof is beyond the scope of this chapter, we shall
prove this theorem here only for the case where is discrete and has a finite
range. Since does not necessarily define aPower Point
one-to-one Template
correspondence, suppose
that takes on the value when takes on the (enter
values .texts
Then, here)
the probability that
will take on the value is and if takes on the values , it follows that

where the summation extends over all values of .

Example: the law of the unconscious
statistician.
• If is the number of points rolled with a balanced die, find the expected
value of .
Power Point Template
(enter texts here)
Example: the law of the unconscious
statistician.
• If has the probability density for elsewhere. Find the expected value of .

Power Point Template

(enter texts here)
Linear property of expectation value

• THEOREM 2. If and are constants, then

• Proof. Using Theorem 1 with we get
Power Point Template
(enter texts here)
• COROLLARY 1. If is a constant, then
• COROLLARY 2. If is a constant, then
The law of the unconscious statistician

• THEOREM 3. If and are discrete random variables and is the value of

their joint probability distribution at , the expected value of is
Correspondingly, if and are continuous Power
randomPoint Template
variables and is the value
(enter texts here)
of their joint probability density at , the expected value of is .
Example: the law of the unconscious
statistician

• If the joint probability density of and is given by , for , elsewhere. Find

the expected value of .
Power Point Template
(enter texts here)
Linear property of expectation value

• THEOREM 4. If and are constants, then

• Proof. According to Theorem 1 with we get
Power Point Template
(enter texts here)
A generalization of Theorem 4

• THEOREM 5. If and are constants, then

Power Point Template

(enter texts here)
Example: expectation value

• If the probability density of is given by for elsewhere.

(a) show that
Power Point Template
(b) and use this result to evaluate (enter texts here)