Expected Value
Expected Value (Математическое ожидание) of a Random Variable X
- is a sum of all possible values from $x_i \in \text{Dom}(X)$ multiplied by their probabilities $p_i$
- denoted $E[X]$ or $M[X]$
- it's often called the center of a Distribution
For discrete random values the formula is
- $E[X] = \sum_{i = 1}^{\infty} x_i p_i$
Mean
Expected Value of $X$ is approximately equal to the mean value of $X$
$\bar{X} = x_1 \cfrac{m_1}{n} + x_2 \cfrac{m_2}{n} + ... + x_k \cfrac{m_k}{n}$ where
- $\cfrac{m_i}{n} \approx p_i$ relative frequency of $x_i$
Properties
- $E[C] = C$
- $E[C \cdot X] = C \cdot E[X]$
- $E[X \cdot Y] = E[X] \cdot E[Y]$, if $X$ and $Y$ are independent (proof?)
- and $E[XYZ] = E[X] E[Y] E[Z]$, also if $X$, $Y$ and $Z$ are independent
See Also
Sources
- Гмурман В.Е., Теория вероятностей и математическая статистика -- 9-е издание. М.: Высш. шк., 2003.