Probability Operations:

Mean, Variance & Expectation

Describing random events.
1
2
The probable is what usually happens.
Aristotle
Recall: Probability Distribution/Mass Function
The distribution of the probability mass function of a discrete r.v. is defined for every
number x such that
[1]
:
4
= = = : =
Depends on the mapping of the
event space to the random variable

= 1

= 1
Discrete Distribution Continuous Distribution
[1] Devore, J.L., Probability and Statistics for Engineering and the Sciences 5
th
Edition, Duxbury, Pacific Grove, pg 101
Under the condition that:
and () 0
Characterizing a Random Variable
The probability density function gives a very detailed
description of a random variable but:
It may not be that compact.
It is difficult to compare two different r.v.s.
What are some techniques for summarizing the properties of a
random variable?
5
= =

()
Definition of the Mean / Expected Value
Let X be an r.v. with set of possible values D and a pdf p(x). The mean
value (expected value) of X, denoted E(X) or is
[1]
:
6
= =

()
Discrete Distribution Continuous Distribution
Note: does not have to be an element of D.
[1] Devore, J.L., Probability and Statistics for Engineering and the Sciences 5
th
Edition, Duxbury, Pacific Grove, pg 101
Weighting factor to the probability distribution
Definition of Variance
Let X have a pdf p(x) and an expected value . The variance of X,
denoted by V(X) or

2
, is:
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V() =

2
=

2
() V() =

2
=

2
()
Discrete Distribution
Continuous Distribution
Weighting factor to the probability distribution
V() =
2
=
2

2
Measure of variation around the mean.
What is six sigma?
Six Sigma is a set of techniques and tools for process improvement. It
was developed by Motorola in 1986.
Improves the quality of process outputs by identifying and removing
the causes of defects (errors) and minimizing variability in
manufacturing and business processes.
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Standard Deviation (Root-Mean-Square)
9
Range Confidence
Interval
0.6826895
2 0.9544997
3 0.9973002
4 0.9999366
6=4.5 0.9999966
5 0.9999994
www.six-sigma-material.com/Normal-Distribution.html
Normal (Gaussian) Distribution
Many distributions or processes can be approximated as Gaussian
useful for analysis.
Role of a lopsided die
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Mean: =

= = 0.2 2 + 0.2 4 + 0.1 6 + 0.1 8 + 0.2 10 + 0.2 12 = 7

Variance:

2
= 2 7
2
0.2 + 4 7
2
0.2 + 6 7
2
0.2 + 8 7
2
0.2 +
10 7
2
0.2 + 12 7
2
0.2 = 13.8
Event
Space
X 2 4 6 8 10 12
P(X=x) 0.2 0.2 0.1 0.1 0.2 0.2
Building some intuition (1)
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(2) Variance
< A
= B
> C
(1) Mean
< A
= B
> C
Building some intuition (2)
12
(2) Variance
< A
= B
> C
(1) Mean
< A
= B
> C
Building some intuition (3)
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(2) Variance
< A
= B
> C
(1) Mean
< A
= B
> C
Generalization: Moment Generating Function
The mean and variance are weightings of the PDF which provide some
information about the distribution.
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=

() (moment generating function)

=

= 0 (mean, 1
st
moment)

2
=

= 0 ( = 0)
2
(variance, 2
nd
central moment)
What transforms does this remind you of?

1
=

=0 3
2

3
(Skewness, 3
rd
standardized moment)
Importance to the course
The concept of weighting a root function is central to the description
and analysis of communication systems:
1. Weighting of probability functions to describe distributions (mean,
variance).
2. Laplace transform for modeling the behaviour of circuits, control
and stability (less significant in this course).
3. Fourier transform for representing signals, noise and filters.
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Learning Outcomes
1. Apply mean and variance definitions to probability distributions.
2. Heuristic understanding of the definitions of mean and variance as
it applies to probability distributions.
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