Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Introduction
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Introduction
1. The underlying ideas for expected value and variance are
the same as for discrete distributions.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Introduction
1. The underlying ideas for expected value and variance are
the same as for discrete distributions.
2. The expected value gives us the expected long term
average of measurements.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Introduction
1. The underlying ideas for expected value and variance are
the same as for discrete distributions.
2. The expected value gives us the expected long term
average of measurements. (The Central Limit Theorem
will formally confirm this statement.)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Introduction
1. The underlying ideas for expected value and variance are
the same as for discrete distributions.
2. The expected value gives us the expected long term
average of measurements. (The Central Limit Theorem
will formally confirm this statement.)
3. The variance is a measure how spread out the distribution
is.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
x x+dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
x x+dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
probability to
be in [x,x+dx] is
approximately
fX (x) dx (shaded)
-
x x+dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
probability to
be in [x,x+dx] is
approximately
fX (x) dx (shaded)
-
x x+dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
probability to
be in [x,x+dx] is
approximately
fX (x) dx (shaded)
-
x x+dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
probability to
be in [x,x+dx] is
approximately
fX (x) dx (shaded)
-
x x+dx
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Definition.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(X) := X :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(X) := X :=
This formula is exactly the same as the formula for the center of
mass of a linear mass density of total mass 1.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(X) := X :=
This formula is exactly the same as the formula for the center of
mass of a linear mass density of total mass 1.
Z
Cx =
x(x) dx.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(X) := X :=
This formula is exactly the same as the formula for the center of
mass of a linear mass density of total mass 1.
Z
Cx =
x(x) dx.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(X) := X :=
This formula is exactly the same as the formula for the center of
mass of a linear mass density of total mass 1.
Z
Cx =
x(x) dx.
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
q
E(X)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
q
E(X)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
q
E(X)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
q
E(X)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
q
E(X)
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(UA,B ) =
xf (x; A, B) dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(UA,B ) =
xf (x; A, B) dx =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(UA,B ) =
xf (x; A, B) dx =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
x
A
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(UA,B ) =
xf (x; A, B) dx =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
x
A
1
BA
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(UA,B ) =
xf (x; A, B) dx =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
x
A
1
dx
BA
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
E(UA,B ) =
=
xf (x; A, B) dx =
B
1
2
x
2(B A) A
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
x
A
1
dx
BA
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
1
xf (x; A, B) dx =
x
dx
A BA
B
1
B2 A2
2
x
=
2(B A) A 2(B A)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
1
xf (x; A, B) dx =
x
dx
A BA
B
1
B2 A2
B+A
2
x =
=
2(B A) A 2(B A)
2
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
1
xf (x; A, B) dx =
x
dx
A BA
B
1
B2 A2
B+A
2
x =
=
2(B A) A 2(B A)
2
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
BA
2
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
A
AA
BA
2
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Proof.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
t
L
L
L
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
(x)2
1
e 2 2 .
2
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
Proof.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
Proof. Substitution z :=
x
dz
1
leads to
=
dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
Proof. Substitution z :=
x
dz
1
leads to
= or dx = dz.
dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
Proof. Substitution z :=
x
dz
1
leads to
= or dx = dz.
dx
E(N, )
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
Proof. Substitution z :=
x
dz
1
leads to
= or dx = dz.
dx
(x)2
1
x
e 2 2 dx
2
E(N, ) =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
x
dz
1
leads to
= or dx = dz.
dx
2
Z
Z
2
(x)
( x
)
1
1
2
E(N, ) =
x e 2 2 dx =
x e
dx
2
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
x
dz
1
leads to
= or dx = dz.
dx
2
Z
Z
2
(x)
( x
)
1
1
2
E(N, ) =
x e 2 2 dx =
x e
dx
2
2
Z
z2
1
(z + ) e 2 dz
=
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
x
dz
1
leads to
= or dx = dz.
dx
2
Z
Z
2
(x)
( x
)
1
1
2
E(N, ) =
x e 2 2 dx =
x e
dx
2
2
Z
z2
1
(z + ) e 2 dz
=
2
Z
Z
z2
1 z2
1
=
z e 2 dz +
e 2 dz
2
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
x
dz
1
leads to
= or dx = dz.
dx
2
Z
Z
2
(x)
( x
)
1
1
2
E(N, ) =
x e 2 2 dx =
x e
dx
2
2
Z
z2
1
(z + ) e 2 dz
=
2
Z
Z
z2
1 z2
1
=
z e 2 dz +
e 2 dz = 0 +
2
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
x
dz
1
leads to
= or dx = dz.
dx
2
Z
Z
2
(x)
( x
)
1
1
2
E(N, ) =
x e 2 2 dx =
x e
dx
2
2
Z
z2
1
(z + ) e 2 dz
=
2
Z
Z
z2
1 z2
1
=
z e 2 dz +
e 2 dz = 0 + = .
2
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
e 2 2 .
2
The expected value is E(N, ) = .
f (x; , ) =
x
dz
1
leads to
= or dx = dz.
dx
2
Z
Z
2
(x)
( x
)
1
1
2
E(N, ) =
x e 2 2 dx =
x e
dx
2
2
Z
z2
1
(z + ) e 2 dz
=
2
Z
Z
z2
1 z2
1
=
z e 2 dz +
e 2 dz = 0 + = .
2
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
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Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Visualization
s
B
BB
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
+ +
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
+ +
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
+ +
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
+ +
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
-
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
-
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
++
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+++
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+++ +
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+++ +
++
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+ + + ++ + +
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+ + + + ++ + +
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+ + + ++ ++ + +
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
++ +
-+
average
electronic
measurement
+ + ++++ ++ + +
average
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Definition.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
2
Theorem. V(X) = E X 2 E(X) .
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
2
Theorem. V(X) = E X 2 E(X) .
Proof.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
2
Theorem. V(X) = E X 2 E(X) .
Proof.
V(X)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
2
Theorem. V(X) = E X 2 E(X) .
Proof.
V(X) = E
2
X E(X)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
2
Theorem. V(X) = E X 2 E(X) .
Proof.
V(X) = E
2
2
X E(X)
= E X 2 2XE(X) + E(X)
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
2
Theorem. V(X) = E X 2 E(X) .
Proof.
2
2
X E(X)
= E X 2 2XE(X) + E(X)
2
= E X 2 2E(X)E(X) + E(X)
V(X) = E
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
2
Theorem. V(X) = E X 2 E(X) .
Proof.
2
2
X E(X)
= E X 2 2XE(X) + E(X)
2
2
= E X 2 2E(X)E(X) + E(X) = E X 2 E(X) .
V(X) = E
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
p
The standard deviation of X is X := V(X).
2
Theorem. V(X) = E X 2 E(X) .
Proof.
2
2
X E(X)
= E X 2 2XE(X) + E(X)
2
2
= E X 2 2E(X)E(X) + E(X) = E X 2 E(X) .
V(X) = E
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
B+A
x fA,B (x) dx
2
2 Z
2
V(UA,B ) = E UA,B E(UA,B ) =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
2
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
B+A
x fA,B (x) dx
2
2 Z
2
V(UA,B ) = E UA,B E(UA,B ) =
Z B
=
A
x2
2
1
(B + A)2
dx
BA
4
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
B
1
(B + A)2
1
(B + A)2
=
x2
dx
=
x3
BA
4
3(B A) A
4
A
2 Z
2
V(UA,B ) = E UA,B E(UA,B ) =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
B
1
(B + A)2
1
(B + A)2
=
x2
dx
=
x3
BA
4
3(B A) A
4
A
2 Z
2
V(UA,B ) = E UA,B E(UA,B ) =
B3 A3
(B + A)2
=
3(B A)
4
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
B
1
(B + A)2
1
(B + A)2
=
x2
dx
=
x3
BA
4
3(B A) A
4
A
2
2
3
3
2
(B A) B + AB + A
B A
(B + A)
(B + A)2
=
3(B A)
4
3(B A)
4
2 Z
2
V(UA,B ) = E UA,B E(UA,B ) =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
B
1
(B + A)2
1
(B + A)2
=
x2
dx
=
x3
BA
4
3(B A) A
4
A
2
2
3
3
2
(B A) B + AB + A
B A
(B + A)
(B + A)2
=
3(B A)
4
3(B A)
4
2
2
2
2
B + AB + A
B + 2AB + A
=
3
4
2 Z
2
V(UA,B ) = E UA,B E(UA,B ) =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
B
1
(B + A)2
1
(B + A)2
=
x2
dx
=
x3
BA
4
3(B A) A
4
A
2
2
3
3
2
(B A) B + AB + A
B A
(B + A)
(B + A)2
=
3(B A)
4
3(B A)
4
2
2
2
2
2
B + AB + A
B + 2AB + A
(B A)
=
=
3
4
12
2 Z
2
V(UA,B ) = E UA,B E(UA,B ) =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Z B
B
1
(B + A)2
1
(B + A)2
=
x2
dx
=
x3
BA
4
3(B A) A
4
A
2
2
3
3
2
(B A) B + AB + A
B A
(B + A)
(B + A)2
=
3(B A)
4
3(B A)
4
2
2
2
2
2
B + AB + A
B + 2AB + A
(B A)
=
=
3
4
12
2 Z
2
V(UA,B ) = E UA,B E(UA,B ) =
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Proof.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Theorem.
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
x
dz
1
leads to
=
dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
x
dz
1
leads to
= or dx = dz.
dx
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
x
dz
1
leads to
= or dx = dz.
dx
V(N, )
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
2
(x)
1
V(N, ) =
(x )2 e 2 2 dx
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
Proof. Substitution z :=
= 2
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
1 z2 z
2
e 2
= z
2
z
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
Z
1 z2 z
1 z2
2
e 2 dz
= z e 2
2
2
z
Proof. Substitution z :=
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
Z
1 z2 z
1 z2
2
e 2 dz
= z e 2
2
2
z
Proof. Substitution z :=
= 2
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
Z
1 z2 z
1 z2
2
e 2 dz
= z e 2
2
2
z
Proof. Substitution z :=
= 2 [0
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
Z
1 z2 z
1 z2
2
e 2 dz
= z e 2
2
2
z
Proof. Substitution z :=
= 2 [0 + 1]
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
Z
1 z2 z
1 z2
2
e 2 dz
= z e 2
2
2
z
Proof. Substitution z :=
= 2 [0 + 1] = 2 .
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science
Expected Value
Variance
dx
Z
Z
2
(x)
z2
1
1
V(N, ) =
(x )2 e 2 2 dx =
( z)2 e 2 dz
2
2
Z
z2
1
= 2
z z e 2 dz
(integration by parts)
2
Z
1 z2 z
1 z2
2
e 2 dz
= z e 2
2
2
z
Proof. Substitution z :=
= 2 [0 + 1] = 2 .
Bernd Schroder
Expected Value and Variance for Continuous Random Variables
logo1
Louisiana Tech University, College of Engineering and Science