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Linear Combination of Random Variables: E (X) and Var (X) of Modified Random Variable

The document discusses linear combinations of random variables. It states that the expected value of a modified random variable aX + b is aE(X) + b, and the variance is a2Var(X). For two independent random variables X and Y, the expected value of aX + bY is aE(X) + bE(Y), and the variance is a2Var(X) + b2Var(Y). These properties also apply when X and Y are normally or Poisson distributed and independent.

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348 views2 pages

Linear Combination of Random Variables: E (X) and Var (X) of Modified Random Variable

The document discusses linear combinations of random variables. It states that the expected value of a modified random variable aX + b is aE(X) + b, and the variance is a2Var(X). For two independent random variables X and Y, the expected value of aX + bY is aE(X) + bE(Y), and the variance is a2Var(X) + b2Var(Y). These properties also apply when X and Y are normally or Poisson distributed and independent.

Uploaded by

Strix
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Linear combination of random

variables
Syllabus A2 Statistic

E(X) and Var(X) of modified random variable:

⭐
E(X) scales up if each of the value being
multiplied; adding also adds to E(X) E(aX ± b) =
Var(X) changed by square because σ is aE(X) ± b
changed by a; adding keep same distance

⭐ Var(aX ± b) =
a2 Var(X)

2 set of data: "2 times of X"=


 "2 random chosen X " ⟹ (2X) 
= (X1 + X2 )
A random variable 2X , twice the size of an observation from the random variable X

Square the size number

2X1 (X1 + X2 ), sum of two independent observations of the random variable X


No squaring the size number

E(X) and Var(X) of 2 independent random variables:

⭐
New set of value where X
is added to Y E(aX ± bY ) = aE(X) ± bE(Y )
Both random variable are
independent to each other

Linear combination of random variables 1


⭐ Var(aX ± bY ) =
a2 Var(X)+b2 Var(Y )

Normal distribution of independent random variable(s):

⭐ X ∼ N(μ, σ 2 ) ⟹ (aX + B) ∼ N(μ, σ 2 )

Both random variables have normal distribution and are independent to each other:

⭐ X ∼ N(μ1 , (σ1 )2 )
Y ∼ N(μ2 , (σ2 )2 )
} ⟹ (aX ± bY ) ∼ N(aμ1 ±

bμ2 , a2 (σ1 )2 +b2 (σ2 )2

Rules about E(X) and Var(X) are still applicable

Poisson distribution of independent random variable(s):


Both random variables have poisson distribution and are independent to each other:

⭐
Note that:

} ⟹ (aX + bY ) ∼ P o(aλ1 +
X ∼ P o(λ1 ) λ=
Y ∼ P o(λ2 ) Var(X)for
bλ2 ) Poisson dist

Rules about E(X) and Var(X) are still applicable

Linear combination of random variables 2

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