Pertemuan 3-4 - Nilai Harapanxxxx Dan MGF

Prepared by : M. Dokhi, Ph.D.
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EXPECTED VALUE OF A FUNCTION &
JOINT MGF
EXPECTED VALUE OF A FUNCTION &
JOINT MGF
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Sessions target
Nilai harapan bersama (Joint expected value)
Kovarian (Covariance)
Korelasi (Correlation)
Nilai Harapan Bersyarat (Conditional Expected Value)
MGF Bersama (Joint MGF)
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Expected value (Review)
Expected value of discrete R.V.
1
( ) (1 ) ; 0,1
x x
X f x p p x
= =
1
1 0 1 1 0
0
( ) (1 ) 0 (1 ) 1 (1 )
x x
x
E X x p p p p p p p
=
= = + =
1
2 2 1 2 0 1 2 1 0
0
( ) (1 ) 0 (1 ) 1 (1 )
x x
x
E X x p p p p p p p
=
= = + =
( )
2
2 2
( ) [ ] [ ] (1 ) V X E X E X p p p p = = =
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Expected value (Review)
2
1
2
1
( ) ;
2
x
X f x e x
t

= s s
2 2
1 1
2 2
0
1 1
( ) 2 0
2 2
x x
E X x e dx x e dx
t t

= =
} }
2 2
1 1
2 2 2
2 2
0
1 1
( ) 2 1
2 2
x x
E X x e dx x e dx
t t

= =
} }
( )
2
2 2
( ) [ ] [ ] 1 0 1 V X E X E X = = =
0
( 1)
x
x e dx
o
o t

+ =
}
( )
1
2
t t =
1
0
!
x
k k
a
x e dx k a

+
=
}
Expected value of continuous R.V.
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Joint pdf and expected value
Let X and Y be random variables with joint probability f(x, y).
Their expected values (means) are written as
Discrete random variables:
or
Continuous random variables:
or
( , )
X
x y
x f x y =
( , )
Y
y x
y f x y =
( , )
X
x f x y dydx

=
} }
( , )
Y
y f x y dxdy

=
} }
( )
X
x
x f x =
( )
Y
y
y f y =
( )
X
x f x dx

=
}
( )
Y
y f y dy

=
}
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Contoh
A joint pdf of two random variables X, Y is given by
otherwise
y x
for y x f
xy
5 1 , 4 0
0
) , (
96
< < < <
=
4 5
0 1
4 5
2
0 1
5
4
2 2
0
1
4
2
0
4
3
0
[ ] ( , )
96
96
192
8
8
24 3
x y
E X x f x y dxdy
xy
x dydx
x y
dydx
x y
dx
x
dx
x

= =
=
| |
=
|
\ .
=
| |
| =
|
\ .
=
| |
| = =
|
\ .
} }
} }
} }
}
}
4 5
0 1
4 5
2
0 1
5
4
3
0
1
4
0
4
2
0
[ ] ( , )
96
96
288
31
72
31 31
144 9
x y
E Y y f x y dxdy
xy
y dydx
xy
dydx
xy
dx
x
dx
x

= =
=
| |
=
|
\ .
| |
=
|
\ .
| |
| =
|
\ .
=
| |
| = =
|
\ .
} }
} }
} }
}
}
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Expected value of a function
| |
E H =
( ). ( )
x
u x f x
( ) ( )
x
u x f x dx
}
; X diskrit
; X kontinu
Misalkan ( ) adalah sembarang fungsi dari X, maka H u X =
J ika ( ) [ ( )] [ ] Rata-rata
X
u X X E u X E X X = = = =
| | | |
( ) ( )
2
2
2
2 2
Jika ( ) ( [ ]) ( ) ( )
( ) [ ]
X
u X X E X E u X E X E X
E X E X V X o
= =
= = =
R.V. ( ) X f x
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If X and Y has a joint pdf f(x,y) and if is a
function of X and Y, maka
Discrete random variables:
Continuous random variables:
( ) ( , ) ( , )
x y
E H u x y f x y =
dxdy y x f y x u H E
} }

= ) , ( ) , ( ... ) (
) , ( Y X u H =
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If adalah joint fungsi dari
maka untuk
1
1 1
( ) ... ( ,..., ) ( ,..., )
k
k k
x x
E H u x x f x x =

1 2
( , ,..., )
k
H u X X X =
1 2
, ,...,
k
X X X
1 2
( , ,..., )
k
f X X X
Jika diskrit
1 2
, ,...,
k
X X X
Jika kontinu
1 2
, ,...,
k
X X X
1
1 1 1
( ) ... ( ,..., ) ( ,..., ) ...
k
k k k
x x
E H u x x f x x dx dx =
} }
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Example
Joint pdf of two random variables X, Y is given by
Let
The expected value of H is
96
0 4, 1 5
( , )
0
xy
x y
f x y for
otherwise
< < < <
=

4 5
0 1
4 5
2 2
0 1
[2 3 ] (2 3 ) ( , )
(2 3 )
96

48 32
47

3
x y
E X Y x y f x y dxdy
xy
x y dxdy
x y xy
dydx

= =
+ = +
| |
= +
|
\ .
| |
= +
|
\ .
=
} }
} }
} }
( , ) 2 3 H u X Y X Y = = +
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Covariance: Definition
X,Y discrete
X,Y continuous
Ukuran keeratan
hubungan linear
antara 2 R.V.
Misalkan ( , ) ( [ ])( [ ]) H u X Y X E X Y E Y = =
( )
Covar ,
XY
X Y
o
=
=
( )( )
( )( )
( )( )
( , )
( , )
X Y
X Y
x y
X Y
y x
E X Y
X Y f X Y
X Y f X Y dxdy

= (

=
=
} }
| | ( )( )
[ ] [ ] E H E X E X Y E Y = (

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Variance vs. Covariance
Case of 1 R.V.
( )
| |
( )
2
2
2
2
Var
( )
( ) [ ]

X
X
E X E X
E X E X
o =
=
=
Case of 2 R.V.
( )
( )( )
Covar ,
[ ] [ ]
( ) [ ] [ ]
XY
X Y
E X E X Y E Y
E XY E X E Y
o =
= (

=
Rumus hitung
Variance
Rumus hitung
Covariance
Var( ) Covar( , ) X X X =
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Some properties of Covariance
If X and Y are random variables and a and
b are constant, then
If X and Y are independent, then
( , ) ( , ) Cov aX bY abCov X Y =
) , ( ) , ( Y X Cov Y b X a Cov = + +
) ( ) , ( ) , ( X aVar X X aCov b aX X Cov = = +
0 ) ( ). ( ) ( ) , ( = = Y E X E XY E Y X Cov
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Covariance: Example
A joint pdf of two random variables X, Y is given by
Thus, Cov(X,Y) = E[XY] E[X]E[Y] :
otherwise
y x
for y x f
xy
5 1 , 4 0
0
) , (
96
< < < <
=
3
8
96
] [
4
0
5
1
=
|
.
|
\
|
=
} }
= = x y
dxdy
xy
x X E
9
31
96
] [
4
0
5
1
=
|
.
|
\
|
=
} }
= = x y
dxdy
xy
y Y E
4 5 4 5
2 2
0 1 0 1
[ ] ( , )
1 248

96 96 27
x y
E XY xyf x y dxdy
xy
xy dxdy x y dydx

= =
=
| |
= = =
|
\ .
} }
} } } }
0
9
31
3
8
27
248
] [ ]. [ ] [ =
|
.
|
\
|
|
.
|
\
|
= = Y E X E XY E
XY
o
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Variance of a function
Some properties of variance
If c is a constant, Var[cX] = c
2
Var[X]
If X and Y are independent random variables, then
Var[X Y] = Var[X] + Var[Y]
Var[aX + bX]= a
2
Var[X] + b
2
Var[Y],
where a, b are constants
2 2 2 2 2 2
]) [ ( ] [ ] [ ] ) [( X E X E X E X E
X
= = = o
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Correlation Coefficient
Correlation is another measure of the strength of
dependence between two random variables.
It scales the covariance by the standard deviation of
each variable.
If X and Y are independent, then = 0, but = 0 does
not imply independence
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Correlation Coefficient: Problem
Assume the length X in minutes of a particular type of
telephone conversation is a random variable with
probability density function
Determine
The mean length E(X) of this telephone
conversation.
Find the variance and standard deviation of X
Find
5 /
5
1
) (
x
e X f

=
< < x 0
] ) 5 [(
2
+ X E
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| |
| |
| |
5
25
5
1
25 5
5
1
5 1
5 5
5
1
5 5
5
1
5
1
] [
0
5 5
0
5
5
0
5 5
0
5
=
=
=
(
|
|
.
|
\
|
+ =
=
=
=
}
}
}
x x
x
x
x x
x
e xe
e
xe
dx e xe
vdu uv
dx xe X E
5
5
5
x
x
e v dx du
dx e dv x u
= =
= =
Use integration by part:
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| |
( ) | |
( ) | |
| |
50
5
250
250 50 5
5
1
25 5 10 5
5
1
5 5 10 5
5
1
10 5
5
1
5
1
] [
5 5 5 2
0
5 5 5 2
0
5 5 5 2
0
5 5 2
0
5 2 2
= =
=
+ =
+ =
=
=
=

}
}
}
}
x x x
x x x
x x x
x x
x
e xe e x
e xe e x
dx e xe e x
dx xe e x
vdu uv
dx e x X E
5
5
5
x
x
e v dx du
dx e dv x u
= =
= =
25 5 50 )) ( ( ) ( ) var(
2 2 2
= = = X E X E X
5 ) var( ) ( = = X X std
5
5 2
5 2
x
x
e v xdx du
dx e dv x u
= =
= =
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Correlation Coefficient: problem
E[(X + 5)
2
] = E[(X
2
+ 10X + 25)]
= E[X
2
] + 10E[X] + E[25]
= 50 + 10[5] + 25
= 125
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The joint density function of X and Y is given by
Find the covariance and correlation coefficient of X and Y
1
20 40
200
( , )
0
x y
f x y
elsewhere
< < <

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In order to calculate the covariance, we need the values of E[XY],
E[X], and E[Y]. First compute the marginal pdf of X and Y
20 < x < 40 20 < y < 40
Then from the marginal pdf calculate E[X], and E[Y]. The E[XY] is
calculated from the joint pdf
x
dy x g
x
005 . 0 2 . 0
200
1
) (
40
=
=
}
1 . 0 005 . 0
200
1
) (
20
=
=
}
y
dx y h
y
67 . 26
) 005 . 0 2 . 0 ( ] [
40
20
=
=
}
dx x x X E
33 . 33
) 1 . 0 005 . 0 ( ] [
40
20
=
=
}
dy y y Y E
900
2
800
200
1
200
1
] [
40
20
3
40 40
20
=
=
|
.
|
\
|
=
}
} }
dx
x
x
dydx xy XY E
x
Jadi, o
XY
= Cov[XY]
Cov[XY] = E[XY] E[X]*E[Y]
= 900 26.67(33.33)
= 11.09
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In order to calculate the correlation coefficient, we need the values of
E[X
2
], E[Y
2
], Var [X] and Var[Y].
X
2
= Var[X] = E[X
2
] E[X]
2
= 733.33 (26.67)
2
= 22.204
Y
2
= Var[Y] = E[Y
2
] E[Y]
2
= 1133.33 (33.33)
2
= 22.244
Thus the correlation coefficient is
33 . 733
) 005 . 0 2 . 0 ( ] [
40
20
2 2
=
=
}
dx x x X E
33 . 1133
) 1 . 0 005 . 0 ( ] [
40
20
2 2
=
=
}
dy y y Y E
[ ] 11.09
0.499
[ ] [ ] 22.204 22.244
XY
X Y
Cov EX
Var X Var Y
o
o o
= = = =

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Consider the joint density function
x >2; 0 < y < 1;
elsewhere;
Compute f(x), f(y), E[X], E[Y], E[XY], o
XY
,
XY
.
3
16
) , (
x
y
y x f =
0 ) , ( = y x f
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Moment
The k
th
moment about the origin of a random variable X is
The k
th
moment about the mean is
= =
}

continuous is X if x f x
discrete is X if x f x
X E
k
x
k
k
k
) (
) (
] [ '
k k
k
X E X E X E ) ( )] ( [ = =
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Moments are useful in characterizing some features of the
distribution
The first and the second moment about the origin are given by
We can write the mean and variance of a random variable as
The second moment about the mean is the variance.
The third moment about the mean is a measure of skewness of
a distribution.
2 2
2
] [ o = = X E
] [ '
1
X E =
] [ '
2
2
X E =
2
1 2
2
) ' ( ' o =
'
1
=
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Moment Generating Function (MGF)
Moment-generating function is used to determine the moments of
distribution
It will exist only if the sum or integral converges.
If a moment-generating function of X does exist, it can be used to
generate all the moments of that variable.
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=
=
m
i
i
tx
X
x f e t M
i
1
) ( ) (
=
=
m
i
i
tx
i X
x f e x t M
i
1
'
) ( ) (
=
=
m
i
i
tx r r
X
x f e x t M
i
i
1
) (
) ( ) (
9:01
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] [ ],..., [ ], [
2 k
X E X E X E
=
= =
m
i
i
r r
X
x f x t M
i
1
) (
) ( ) 0 (
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Find the moment-generating function of the binomial random
variable X and then use it to verify that and
First derivation, E[X]
Second derivation, E[X
2
]
Setting t = 0 we get
Therefore,
np =
npq =
2
o
( )
( )
n
t
n
x
x n
x
t
n
x
x n x tx
X
q pe
q pe
x
n
q p
x
n
e t M
+ =
|
|
.
|
\
|
=
|
|
.
|
\
|
=
0
0
) (
The last sum is
the binomial
expansion of
(pe
t
+q)
n
( )
t
n
t
X
pe q pe n
dt
t dM 1 ) (
+ =
( )( ) ( ) | |
t
n
t t
n
t t
X
e q pe pe q pe n e np
dt
t M d 1 2
2
2
1
) (
+ + + =
npq p np np = = = = = ) 1 (
2 '
2
2 '
1
o
( ) | | 1 1 ] [ ] [
'
2
2 '
1
1
+ = = = = p n np X E np X E

Pertemuan 3-4 - Nilai Harapanxxxx Dan MGF

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Prepared by : M. Dokhi, Ph.D.

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Prepared by : M. Dokhi, Ph.D.

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