Lecture#09

MATHEMATICAL EXPECTATION
If 𝑋 is a discrete random variable with the probability function 𝑓(𝑥), then the
expected value or the mathematical expectation of 𝑋, 𝐸(𝑋) is defined as,
𝐸(𝑋) = ∑ 𝑥𝑓(𝑥)
𝑥
If 𝑋 is continuous having a density function 𝑓(𝑥) , then
∞

𝐸(𝑋) = ∫ 𝑥𝑓(𝑥)𝑑𝑥
−∞
*If C is a constant, 𝐸(𝐶) = 𝐶
*𝐸(𝐶 × 𝑔(𝑥)) = 𝐸(𝐶) × 𝐸(𝑔(𝑥)) = 𝐶 × 𝐸(𝑔(𝑥))

*[𝐸𝑊1 (𝑋) + 𝑊2 (𝑋) + ⋯ + 𝑊𝑘 (𝑋)}] = 𝐸[𝑊1 (𝑋)] + 𝐸[𝑊2 (𝑋)] + ⋯ 𝐸[𝑊𝑘 (𝑋)]
∑ 𝑊(𝑥)𝑓(𝑥), 𝑖𝑓 𝑋 𝑖𝑠 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒
𝑥
𝐸[𝑊(𝑋)] = ∞
∫ 𝑊(𝑥)𝑓(𝑥)𝑑𝑥, 𝑖𝑓 𝑋 𝑖𝑠 𝑐𝑜𝑛𝑡𝑖𝑛𝑢𝑜𝑢𝑠
{ −∞ }
*The Variance of a random variable x is

𝑉(𝑋) = 𝐸[ (𝑋 − 𝜇)2 ]

=𝐸(𝑋 2 ) − 𝜇2 ,

where 𝜇 is the expected value.

Example

X -3 -2 0 1 2

𝑃(𝑋 = 𝑥)
0.10 0.30 0.15 0.40 0.05
= 𝑓(𝑥)

Find 𝐸(𝑋) and 𝑉(𝑋).

Solution:

1
 𝜇 = 𝐸(𝑋) = ∑ 𝑥𝑓(𝑥)
𝑥

= (−3 × 0.1) + (−2 × 0.30) + (0 × 0.15) + (1 × 0.40) + (2 × 0.05)

= −0.4
2

𝑉(𝑋) = 𝐸(𝑋 − 𝜇)2 = ∑ (𝑋 − 𝜇)2 𝑥𝑓(𝑥)

−3

= (−3 + 0.4)2 × 0.1 + (−2 + 0.4)2 × 0.30 + ⋯ + (2 + 0.4)2 × .05

= 2.54

Or, 𝐸(𝑋 2 ) = ∑𝑥 𝑥 2 𝑓(𝑥)

= (−3)2 × .10 + (−2)2 × .30 + ⋯ + 22 × .05

= 2.7

∴ 𝑉(𝑋) = 𝐸(𝑋 2 ) − 𝜇2 = 2.7 − (−.4)2 = 2.54

∎Standard deviation (𝜎) is the square root of the variance, i.e.

𝜎 = √𝑉(𝑋) = √2.54 = 1.59 .

Example: A life insurance company in Bangladesh offers to sell a TK.25000 one

year term life insurance policy to a 25 year old man for a premium of TK.2500.
According to Bangladesh life table, the probability of serving one year for a 25 year
old man is 0.97. What is the company’s expected gain in the long run?

𝑆𝑜𝑙𝑢𝑡𝑖𝑜𝑛:

2
 The gain 𝑋 is a random variable that may take on the values 2500, if the man
survives or 2500-25000=-TK.22500 if he dies. Consequently, the probability of 𝑋 is

𝑋 ∶ 2500 − 22500

𝑓(𝑥) ∶ 0.97 0.03

𝑆𝑜, 𝐸(𝑋) = (2500 × .97) + (−22500 × .03) = 1750

Thus, the ultimate gain of the company is 1750.

Example: Find the mean (expected value) and the variation of the following
function

𝑓(𝑥) = 2(1 − 𝑥), 0 < 𝑥 < 1

𝑆𝑜𝑙𝑢𝑡𝑖𝑜𝑛:
1 0 1
1
𝐸(𝑋) = ∫ 𝑥(2𝑥 − 1) 𝑑𝑥 = 2 [∫ 𝑥 𝑑𝑥 − ∫ 𝑥 2 𝑑𝑥] =
0 1 0 3
1
2)
1
𝐸(𝑋 = ∫ 𝑥 2 . 2(1 − 𝑥) 𝑑𝑥 =
0 6

2 2) 2
1 1 2 1
∴ 𝑉(𝑋) = 𝜎 = 𝐸(𝑋 − [𝐸(𝑋)] = − ( ) =
6 3 18

Example: Given the following discrete distribution

𝑒 −𝑚 𝑚 𝑥
𝑓(𝑥) = , 𝑥 = 0, 1, 2, . . ∞
𝑥!
Find 𝐸(𝑋).

𝑆𝑜𝑙𝑢𝑡𝑖𝑜𝑛:

3
By definition
∞ ∞ ∞
𝑥𝑒 −𝑚 𝑚 𝑥 −𝑚
𝑥𝑚 𝑥
𝐸(𝑋) = ∑ 𝑥𝑓(𝑥) = ∑ =𝑒 ∑
𝑥! 𝑥!
𝑥=0 𝑥=0 𝑥=0

𝑚2 𝑚3
=𝑒 −𝑚 𝑚 (1 + 𝑚 + + + ⋯ ) = 𝑒 −𝑚 𝑚 = 𝑚.
2! 3!

Example: A lot of 7 markers is supplied by a quality inspector; the lot contains 4

good markers and 3 defective markers. A sample of 3 is taken by the inspector. Find
the expected value of the number of good markers in this sample.

Solution:

Let X represent the number of good markers in the sample. It can be shown that the
probability distribution of X is

(4Cx )(3C3−x )
f(x) = , x = 0, 1, 2, 3.
7C3

Calculation shows that the probability distribution of X is as shown in the

accompanying table:

Values of X 0 1 2 3

f(x) 1 12 18 4
35 35 35 35

1 12 18 4
Therefore, E(X) = (0) ( ) + (1) ( ) + (2) ( ) + (3) ( ) = 1.7.
35 35 35 35

Thus, if a sample of 3 markers is selected at random over and over again from a lot
of 4 good markers and 3 defective markers, it would contain, on average 1.7 good
markers.

4
Example: In a coin tossing program, a man is promised to receive TK. 5 if he gets
all heads or all tails when three coins are tossed and he pays off (loses) TK. 3 if he
either one or two heads appear. How much is he expected to gain in the long run?

Solution: The random variable here is the amount the man can win. If X is the
random variable, then X will be on a value 5 when the coins show all heads and -3,
otherwise. The table below shows the outcomes of the experiment, values of X and
the associated probabilities:

Outcome: HHH HTT HTH HHT THH THT TTH TTT

X 5 -3 -3 -3 -3 -3 -3 5

f(x) 1⁄8 1⁄8 1⁄8 1⁄8 1⁄8 1⁄8 1 ⁄8 1⁄8

It appears from the above table that the variable X assumes values -3 and 5 with
probabilities 6⁄8 and 2⁄8 respectively. Since the value -3 occurs 6 times and 5
occurs 2 times the expected value of X is
6 2
E(X) = ∑ xf(x) = −3 ( ) + 5 ( ) = −1.
8 3

Thus, the man is expected to lose TK. 1 in the long run.

Let us now examine what happens if the man receives TK. 5 for all heads or all tails,
Tk. “0” for 2 heads and pays off Tk. 3 for 1 head. The random variable X will now
assume the values, 5, 0 and -3 with associated probabilities 2⁄8, 3⁄8 and 3⁄8
respectively. The expected value in this case will be
2 3 3 1
E(X) = ∑ xf(x) = 5 ( ) +0( ) + (−3) ( ) = = 0.125.
8 8 8 8

This shows that the man will be marginally gainer winning only 12.5 paisa.

EXPECTED VALUE OF A FUNCTION OF TWO RANDOM VARIABLE

The notion of mathematical expectation can be expended of two or more random

variables. We will deal here with the case of two variables, which can be

5
analogously being extended for 3 or more variables. Let X and Y be two random
variables with joint probability distribution f(x, y). the expected value of the function
w(X, Y) is defined as

E[w(X, Y)] = ∑x ∑y w(x, y)f(x, y), if X and Y are discrete

∞ ∞
= ∫−∞ ∫−∞ w(x, y)f(x, y) dxdy, if X and Y are continuous

Further if w(X, Y) is a function of the random variable X and Y, and c is a constant,

then

E[cw(X, Y)] = cE[w(X, Y)] = c ∑ ∑ w(x, y)f(x, y)

y x

And, also, if X and Y are two random variable and w1 (X, Y), w2 (X, Y) are the
functions of X and Y, then

E[w1 (X, Y) + w2 (X, Y)] = E[w1 (X, Y)] + E[w2 (X, Y)].

𝐓𝐡𝐞𝐨𝐫𝐞𝐦 𝟏: The expected value of the sum of two random variables X and Y is the sum of

the expected values of the random variables. Symbolically,

E(X + Y) = E(X) + E(Y).

𝐂𝐨𝐫𝐨𝐥𝐥𝐚𝐫𝐲 𝟏: If X ≥ Y, then E(X) ≥ E(Y)

𝐂𝐨𝐫𝐨𝐥𝐥𝐚𝐫𝐲 𝟐: If a and b are two constants, then E(aX + bY) = aE(X) + bE(Y)

𝐂𝐨𝐫𝐨𝐥𝐥𝐚𝐫𝐲 𝟑: If a1 , a2……. ak are k constants, then for k RVs X1, X2 … Xk

E[∑ki=1 ai Xi ] = ai ∑ki=1 E(Xi ).

Theorem 2: The expected value of the two random variables X and Y is equal to the product

6
of their expected values, only when the variables are independent, i. e

E(XY) = E(X)E(Y)

Or, in other words,

The expected value of the product of two random variable is equal to the product of their

expectations.

Example: Given the following density function

f(x, y) = 2(x + y − 2xy), o < x < 1, 0 < y < 1

=0, elsewhere

(a) Find E(X), E(Y), E(X + Y) and E(XY)

(b) Also verify whether E(X + Y) = E(X) + E(Y)
(c) Are X and Y independent?

𝐒𝐨𝐥𝐮𝐭𝐢𝐨𝐧:

The marginal density of X is

1
1
g(x) = 2 ∫(x + y − 2xy)dy = 2 (x + − x) = 1
2
0

Hence,
1 1
1
E(X) = ∫ xg(x)dx = ∫ xdx =
2
0 0

Similarly,

7
 1
1
h(y) = 2 ∫(x + y − 2xy)dx = 2 ( + y − y) = 1
2
0

And
1 1
1
E(Y) = ∫ yh(y)dy = ∫ ydy =
2
0 0

1 1

E(X + Y) = 2 ∫ ∫(x + y)(x + y − 2xy)dxdy

0 0

1 1

= ∫ ∫(x 2 + y 2 + 2xy − 2x 2 y − 2xy 2 )dxdy

0 0

1
1 2x
= 2 ∫ (x 2 + + x − x 2 − ) dx
3 3
0

1
1 x
= 2 ∫ ( + ) dx = 1
3 3
0

1 1
Since E(X) + E(Y) = + = 1, we establish that E(X + Y) = E(X) + E(Y)
2 2

1 1

E(XY) = ∫ ∫ xyf(x, y)dxdy

0 0

1 1

= ∫ ∫ xy(x + y − 2xy)dxdy
0 0

8
 1 1

= ∫ ∫(x 2 y + y 2 x − 2x 2 y 2 ) dxdy dy
0 0

2
=
9
Now

1 1 1
E(X)E(Y) = × =
2 2 4
And

2
E(XY) =
9
Since E(XY) is not equal to E(X) × E(Y), the variables are not independent.

Example: Given the following density function of X and Y:

f(x, y) = 4xy, 0<x<1

= 0, elsewhere
Obtain E(X) and E(Y).
𝐒𝐨𝐥𝐮𝐭𝐢𝐨𝐧:
1 1 1 1 1
2
E(X) = ∫ ∫ xf(x, y)dxdy = 4 ∫ ∫ x 2 y dxdy = 2 ∫ x 2 dx =
3
0 0 0 0 0
1 1 1 1 1
4 2
E(Y) = ∫ ∫ yf(x, y)dxdy = 4 ∫ ∫ x 2 ydxdy = ∫ xdx =
3 3
0 0 0 0 0