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Mathematics · Ch 11 — Probability Distributions

Properties of Mathematical expectation and variance

11.5.3

Properties of Mathematical expectation and variance

Three linearity/scaling laws hold for any random variable XX and constants a,ba,b.

(i) E(aX+b)=aE(X)+bE(aX+b)=aE(X)+b.

Proof (discrete case; the continuous case is identical with integrals in place of sums). E(aX+b)=∑i(axi+b)f(xi)=a∑ixif(xi)+b∑if(xi)=aE(X)+b⋅1=aE(X)+bE(aX+b)=\sum_i(ax_i+b)f(x_i)=a\sum_i x_if(x_i)+b\sum_i f(x_i)=aE(X)+b\cdot1=aE(X)+b, using ∑if(xi)=1\sum_i f(x_i)=1.

  • Corollary 1 (b=0b=0): E(aX)=aE(X)E(aX)=aE(X).
  • Corollary 2 (a=0a=0): E(b)=bE(b)=b — the expectation of a constant is the constant itself.

(ii) V(X)=E(X2)−(E(X))2V(X)=E(X^2)-\big(E(X)\big)^2.

Proof. With μ=E(X)\mu=E(X): V(X)=E((X−μ)2)=E(X2−2μX+μ2)=E(X2)−2μE(X)+μ2=E(X2)−2μ2+μ2=E(X2)−μ2V(X)=E((X-\mu)^2)=E(X^2-2\mu X+\mu^2)=E(X^2)-2\mu E(X)+\mu^2=E(X^2)-2\mu^2+\mu^2=E(X^2)-\mu^2 (using μ\mu constant and part (i)).

(iii) V(aX+b)=a2V(X)V(aX+b)=a^2V(X).

Proof. V(aX+b)=E((aX+b−E(aX+b))2)=E((aX+b−aE(X)−b)2)=E(a2(X−E(X))2)=a2E((X−E(X))2)=a2V(X)V(aX+b)=E\big((aX+b-E(aX+b))^2\big)=E\big((aX+b-aE(X)-b)^2\big)=E\big(a^2(X-E(X))^2\big)=a^2E\big((X-E(X))^2\big)=a^2V(X). …