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    Class03 8

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    Dr. Ir. R. Didin Kusdian, MT.

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    Class03 8

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    Dr. Ir. R. Didin Kusdian, MT.
    26 views2 pages

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    class03_8

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    26 views2 pages

    Class03 8

    Uploaded by

    Dr. Ir. R. Didin Kusdian, MT.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 2

    1.017/1.

    010 Class 8
    Expectation, Functions of a Random Variable

    Mean, variance of random variables

    Expectation (population mean) of x... E[x]

    For a discrete x:
    E ( x) = x = ∑ x p (x )
    i x i

    For a continuous x:
    +∞

    E ( x) = x =
    −∞
    ∫ xf ( x)dx
    x

    (Population) variance of x... Var[x]:

    [
    Var ( x ) = E ( x - x )
    2
    ]
    Derive these for uniform & triangular distributions

    Functions of a random variable

    y = g(x) x is a random variable with CDF Fx(x)


    y is a random variable with CDF Fy(y) since it depends on x

    Derived distribution problems

    Derive Fy(y) from Fx(x) using either of these options:

    1. Analytical derivation
    Apply definitions of y, Fx(x), and Fy(y).

    Fy ( y ) = P[ y ≤ y ] = P[ g ( x ) ≤ y ] = P[ x = {x | g ( x) ≤ y}]

    2. Stochastic simulation
    Generate many realizations of x, compute y for each replicate,
    construct empirical Fy(y) from y replicates

    Example (analytical derivation): Distribution of y = x2 for a uniformly


    distributed x:

    Uniform distribution centered on 0:

    1
    y = g ( x) = x 2
    x +1
    Fx ( x) = ; f x ( x) = 1 ; − 1 ≤ x ≤ 1
    2
    Fy ( y ) = P[ y ≤ y ] = P[ g ( x ) ≤ y ] = P[ x = {x | g ( x) ≤ y ]
    Fy ( y ) = P[ x = {x | x 2 ≤ y ] = P[− y 0.5 ≤ x ≤ y 0.5 ] = Fx ( y 0.5 ) − Fx (− y 0.5 ) = y 0.5 ; 0 ≤ y ≤1

    Uniform distribution centered on 0.5 (note need to split y interval into 2 parts):

    y = g ( x) = x 2
    Fx ( x) = ( x + 1) / 3 ; f x ( x) = 1 / 3 ; − 1 ≤ x ≤ 2
    Fy ( y ) = P[ y ≤ y ] = P[ g ( x ) ≤ y ] = P[ x = {x | g ( x) ≤ y ]
    2 y 0.5
    Fy ( y ) = P[ x = {x | x 2 ≤ y ] = P[− y 0.5 ≤ x ≤ y 0.5 ] = Fx ( y 0.5 ) − Fx (− y 0.5 ) = ; 0 ≤ y ≤1
    3
    = P[ x = {x | x 2 ≤ y ] = P[−1 ≤ x ≤ y 0.5 ] = Fx ( y 0.5 ) − Fx (−1) = ( y 0.5 + 1) / 3 ; 1 ≤ y ≤ 4

    Mean and variance of y = g(x) :

    E ( y ) = E[ g ( x )] = ∑ g(x )p (x )
    i
    i x i

    +∞

    E ( y ) = E[ g ( y )] = ∫ g ( x) f ( x)dx
    −∞
    x

    {
    Var ( y ) = Var[ g ( y )] = E [ g ( x ) - g ( x )] 2 }

    Copyright 2003 Massachusetts Institute of Technology


    Last modified Oct. 8, 2003

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