Expected Value

Variance

Expected Value and Variance for

Continuous Random Variables
Bernd Schroder

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

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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.
2. The expected value gives us the expected long term
average of measurements.

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.
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

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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.
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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

From Discrete to Continuous Probability

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

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(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

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0

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

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

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

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

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

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

probability to
be in [x,x+dx] is
approximately
fX (x) dx (shaded)
-

x x+dx

3. So an interval [x, x + dx] should contribute about xfX (x) dx.

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

probability to
be in [x,x+dx] is
approximately
fX (x) dx (shaded)
-

x x+dx

3. So an interval [x, x + dx] should contribute about xfX (x) dx.

4. The summation becomes an integral.

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

From Discrete to Continuous Probability

1. In the discrete expected value, the outcome x contributes a
summand xP(X = x).
2. In the continuous setting, P(X = x) = 0, but
fX

probability to
be in [x,x+dx] is
approximately
fX (x) dx (shaded)
-

x x+dx

3. So an interval [x, x + dx] should contribute about xfX (x) dx.

4. The summation becomes an integral.

Integrals are continuous sums.

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

Definition.

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

Definition. The expected value or mean of a continuous

random variable X with probability density function fX is

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

Definition. The expected value or mean of a continuous

random variable X with probability density function fX is
E(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

Definition. The expected value or mean of a continuous

random variable X with probability density function fX is
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

Definition. The expected value or mean of a continuous

random variable X with probability density function fX is
Z

E(X) := X :=

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

xfX (x) dx.

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Definition. The expected value or mean of a continuous

random variable X with probability density function fX is
Z

E(X) := X :=

xfX (x) dx.

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

Definition. The expected value or mean of a continuous

random variable X with probability density function fX is
Z

E(X) := X :=

xfX (x) dx.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Definition. The expected value or mean of a continuous

random variable X with probability density function fX is
Z

E(X) := X :=

xfX (x) dx.

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.

Hence the analogy between probability and mass and

probability density and mass density persists.

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

Definition. The expected value or mean of a continuous

random variable X with probability density function fX is
Z

E(X) := X :=

xfX (x) dx.

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.

Hence the analogy between probability and mass and

probability density and mass density persists.
As noted, the Central Limit Theorem will show that the
expected value gives the long term averages of sample values.
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

The Expected Value Itself Need Not Be Very

Likely

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

The Expected Value Itself Need Not Be Very

Likely

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Expected Value Itself Need Not Be Very

Likely

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Expected Value Itself Need Not Be Very

Likely

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Expected Value Itself Need Not Be Very

Likely

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Expected Value Itself Need Not Be Very

Likely

q
E(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

The Expected Value Itself Need Not Be Very

Likely

q
E(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

The Expected Value Itself Need Not Be Very

Likely

q
E(X)

So we should not necessarily expect measurements to give

numbers near the expected value.

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

The Expected Value Itself Need Not Be Very

Likely

q
E(X)

So we should not necessarily expect measurements to give

numbers near the expected value. Instead, long term averages
will be near the expected value.

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Expected Value Itself Need Not Be Very

Likely

q
E(X)

So we should not necessarily expect measurements to give

numbers near the expected value. Instead, long term averages
will be near the expected value. (So maybe expected average
would be more accurate, but expected value is customary.)
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

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
0; otherwise.

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
E(UA,B )

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
Z

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
Z B

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
Z B

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
Z B

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
Z B

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
Z B

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
E(UA,B ) =
=

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

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
E(UA,B ) =
=

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. The probability density function of a random

variable UA,B that is
uniformly distributed over the interval
1
; for A x B,
[A, B] is f (x; A, B) = BA
The expected
0; otherwise.
A+B
value is E(UA,B ) =
.
2
Proof.
E(UA,B ) =
=

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

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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

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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

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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

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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

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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

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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

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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

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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

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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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Expected Value

Variance

Visualization

A

AA
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

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

Theorem. The probability density function of an exponentially

distributed random variable W is
 1 x
e ; for x 0,
f (x; ) =
0; otherwise.

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

Theorem. The probability density function of an exponentially

distributed random variable W is
 1 x
e ; for x 0,
f (x; ) =
0; otherwise.
The expected value is
E(W ) = .

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

Theorem. The probability density function of an exponentially

distributed random variable W is
 1 x
e ; for x 0,
f (x; ) =
0; otherwise.
The expected value is
E(W ) = .

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

Theorem. The probability density function of an exponentially

distributed random variable W is
 1 x
e ; for x 0,
f (x; ) =
0; otherwise.
The expected value is
E(W ) = .

Proof. Good exercise for integration by parts.

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

Theorem. The probability density function of an exponentially

distributed random variable W is
 1 x
e ; for x 0,
f (x; ) =
0; otherwise.
The expected value is
E(W ) = .

Proof. Good exercise for integration by parts.

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

Theorem. The probability density function of an exponentially

distributed random variable W is
 1 x
e ; for x 0,
f (x; ) =
0; otherwise.
The expected value is
E(W ) = .

Proof. Good exercise for integration by parts.

Warning.

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

Theorem. The probability density function of an exponentially

distributed random variable W is
 1 x
e ; for x 0,
f (x; ) =
0; otherwise.
The expected value is
E(W ) = .

Proof. Good exercise for integration by parts.

Warning. Exponential distributions are also often given using
1
the parameter = .

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

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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

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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

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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

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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

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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

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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

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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

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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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
f (x; , ) =

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

(x)2
1

e 2 2 .
2

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Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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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Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

Theorem. The probability density function of a normally

distributed random variable N, with parameters and is
(x)2
1

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

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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

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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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. If X is a continuous random variable with density

function fX and g() is a function, then

Z
E g(X) =
g(x)fX (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

Theorem. If X is a continuous random variable with density

function fX and g() is a function, then

Z
E g(X) =
g(x)fX (x) dx.

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

Theorem. If X is a continuous random variable with density

function fX and g() is a function, then

Z
E g(X) =
g(x)fX (x) dx.

Theorem. If X is a continuous random variable, g() and h()

are functions, and a, b, c are numbers, then the expected value
of ag(X) + bh(X) + c is






E ag(X) + bh(X) + c = aE g(X) + bE h(X) + c

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

The Spread of Measurements

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

The Spread of Measurements

hand
measurement

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
-

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
-

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+ +

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+ +

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+ +

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+

+ +

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+

+ +

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+

+ +

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+

+ +

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+

++ +

-+

average

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

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

The Spread of Measurements

hand
measurement
+

++ +

-+

average
electronic
measurement
+ + ++++ ++ + +

average

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

Definition.

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

Definition. The variance of a continuous random variable X

with probability density function fX is

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

Definition. The variance of a continuous random variable X

with probability density function fX is
V(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

Definition. The variance of a continuous random variable X

with probability density function fX is


2 
V(X) := E X E(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

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (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

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

p
The standard deviation of X is X := V(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

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

Definition. The variance of a continuous random variable X

with probability density function fX is


2  Z

2
V(X) := E X E(X)
=
x E(X) fX (x) dx.

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

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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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let UA,B be a random variable that is uniformly

distributed over the interval [A, B].

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.

Bernd Schroder
Expected Value and Variance for Continuous Random Variables

logo1
Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.
V(UA,B )

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

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.



2
2
V(UA,B ) = E UA,B
E(UA,B )

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

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.


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

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.


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

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.

B+A 2
x fA,B (x) dx
2


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

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.

B+A 2
x fA,B (x) dx
2


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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.

B+A 2
x fA,B (x) dx
2


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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.

B+A 2
x fA,B (x) dx
2


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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.

B+A 2
x fA,B (x) dx
2


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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let UA,B be a random variable that is uniformly

(B A)2
.
distributed over the interval [A, B]. Then V(UA,B ) =
12
Proof.

B+A 2
x fA,B (x) dx
2


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

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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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let W be a random variable that is exponentially

distributed with parameter .

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

Theorem. Let W be a random variable that is exponentially

distributed with parameter . Then
V(W ) = 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

Theorem. Let W be a random variable that is exponentially

distributed with parameter . Then
V(W ) = 2 .

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

Theorem. Let W be a random variable that is exponentially

distributed with parameter . Then
V(W ) = 2 .

Proof. Good exercise in integration by parts.

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

Theorem. Let W be a random variable that is exponentially

distributed with parameter . Then
V(W ) = 2 .

Proof. Good exercise in integration by parts.

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

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

Theorem. Let N, be a random variable that is normally

distributed with parameters and .

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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
Proof. Substitution z :=

x
dz
1
leads to
= or dx = dz.

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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
Proof. Substitution z :=

x
dz
1
leads to
= or dx = dz.

dx

V(N, )

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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

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Louisiana Tech University, College of Engineering and Science

Expected Value

Variance

Theorem. Let N, be a random variable that is normally

distributed with parameters and . Then V(N, ) = 2 .
x
dz
1
leads to
= or dx = dz.

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

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Louisiana Tech University, College of Engineering and Science