See this article on my own blog https://dyingdown.github.io/2020/01/02/Numerical-Characteristics-of-Rando-variables/
第四章 随机变量的数字特征
一、数学期望
-
离散型
E ( X ) = ∑ k = 1 ∞ x k p k E(X)=\sum_{k=1}^{\infty} x_{k} p_{k} E(X)=k=1∑∞xkpk当上式发散时, X X X的数学期望不存在。
-
连续型
E ( X ) = ∫ − ∞ + ∞ x f ( x ) d x E(X)=\int_{-\infty}^{+\infty} x f(x) d x E(X)=∫−∞+∞xf(x)dx
发散时, X X X的数学期望不存在
-
随机变量函数
(1) 一维
Y = g ( X ) Y=g(X) Y=g(X) ( g g g是连续函数) X X X是随机变量。 ∑ k = 1 ∞ g ( x k ) ρ k \sum_{k=1}^{\infty} g\left(x_{k}\right) \rho_{k} ∑k=1∞g(xk)ρk绝对收敛,则
连续型:
E ( Y ) = E [ g ( X ) ] = ∑ k = 1 ∞ g ( x k ) P k E(Y)=E[g(X)]=\sum_{k=1}^{\infty} g\left(x_{k}\right) P_{k} E(Y)=E[g(X)]=k=1∑∞g(xk)Pk
离散型:
E ( Y ) = E [ g ( X ) ] = ∫ − ∞ + ∞ g ( x ) f ( x ) d x E(Y)=E[g(X)]=\int_{-\infty}^{+\infty} g(x) f(x) dx E(Y)=E[g(X)]=∫−∞+∞g(x)f(x)dx
(2) 二维
离散型:
E ( Z ) = E [ g ( X , Y ) ] = ∑ i = 1 ∞ ∑ j = 1 ∞ g ( x i , y j ) p i j E(Z)=E[g(X, Y)]=\sum_{i=1}^{\infty} \sum_{j=1}^{\infty} g\left(x_{i}, y_{j}\right) p_{i j} E(Z)=E[g(X,Y)]=i=1∑∞j=1∑∞g(xi,yj)pij
连续型:
E ( Z ) = E [ g ( X , Y ) ] = ∫ − ∞ + ∞ ∫ − ∞ + ∞ g ( x , y ) f ( x , y ) d x d y E(Z)=E[g(X, Y)]=\int_{-\infty}^{+\infty} \int_{-\infty}^{+\infty} g(x, y) f(x, y) d x d y E(Z)=E[g(X,Y)]=∫−∞+∞∫−∞+∞g(x,y)f(x,y)dxdy
- 数学期望的性质
(1) C C C是常数 E ( C ) = C E(C)=C E(C)=C
(2) E ( C X ) = C E ( X ) E(CX)=CE(X) E(CX)=CE(X)
(3)任意两个随机变量 X , Y X,Y X,Y E ( X + Y ) = E ( X ) + E ( Y ) E(X+Y)=E(X)+E(Y) E(X+Y)=E(X)+E(Y)
有限个 E ( X 1 + E 2 + ⋯ + X n ) = E ( X 1 ) + E ( X 2 ) + ⋯ + E ( X n ) E\left(X_{1}+E_{2}+\cdots+X_{n}\right)=E\left(X_{1}\right)+E\left(X_{2}\right)+\cdots+E\left(X_{n}\right) E(X1+E2+⋯+Xn)=E(X1)+E(X2)+⋯+E(Xn)
(4)相互独立的 X , Y X,Y X,Y E ( X Y ) = E ( X ) E ( Y ) E(X Y)=E(X) E(Y) E(XY)=E(X)E(Y)
有限个 E ( X 1 X 2 ⋯ X n ) = E ( X 1 ) E ( X 2 ) ⋯ E ( X n ) E\left(X_{1} X_{2} \cdots X_{n}\right)=E\left(X_{1}\right) E\left(X_{2}\right) \cdots E\left(X_{n}\right) E(X1X2⋯Xn)=E(X1)E(X2)⋯E(Xn)
二、方差
-
定义
D ( X ) = Var ( X ) = E { [ X − E ( X ) ] 2 } D(X)=\operatorname{Var}(X)=E\left\{[X-E(X)]^{2}\right\} D(X)=Var(X)=E{ [X−E(X)]2}
D ( X ) \sqrt{D(X)} D(X) 标准差 or 均方差
-
计算
离散型 D ( X ) = ∑ k = 1 ∞ [ x k − E ( x ) ] 2 p k D(X)=\sum_{k=1}^{\infty}\left[x_{k}-E(x)\right]^{2} p_{k} D(X)=∑k=1∞[xk−E(x)]2pk
连续型 D ( X ) = ∫ − ∞ + ∞ [ x − E ( x ) ] 2 f ( x ) d x D(X)=\int_{-\infty}^{+\infty}[x-E(x)]^{2} f(x) d x D(X)=∫