Introduction to Probability and Statistics for Engineers and Scientists

(Sean Pound) #1

4.5Properties of the Expected Value 115


That is, the expected value of a constant is just its value. (Is this intuitive?) Also, if we take
b=0, then we obtain


E[aX]=aE[X]

or, in words, the expected value of a constant multiplied by a random variable is just the
constant times the expected value of the random variable. The expected value of a random
variableX,E[X], is also referred to as themeanor thefirst momentofX. The quantity
E[Xn],n≥1, is called thenth moment ofX. By Proposition 4.5.1, we note that


E[Xn]=







x

xnp(x)ifXis discrete
∫∞

−∞

xnf(x)dx ifXis continuous

4.5.1 Expected Value of Sums of Random Variables

The two-dimensional version of Proposition 4.5.1 states that ifX andY are random
variables andgis a function of two variables, then


E[g(X,Y)]=


y


x

g(x,y)p(x,y) in the discrete case

=

∫∞

−∞

∫∞

−∞

g(x,y)f(x,y)dx dy in the continuous case

For example, ifg(X,Y)=X+Y, then, in the continuous case,


E[X+Y]=

∫∞

−∞

∫∞

−∞

(x+y)f(x,y)dx dy

=

∫∞

−∞

∫∞

−∞

xf(x,y)dx dy+

∫∞

−∞

∫∞

−∞

yf(x,y)dx dy

=E[X]+E[Y]

A similar result can be shown in the discrete case and indeed, for any random variablesX
andY,


E[X+Y]=E[X]+E[Y] (4.5.1)

By repeatedly applying Equation 4.5.1 we can show that the expected value of the sum
of any number of random variables equals the sum of their individual expectations.

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