Linearity of expectation
Dependencies:
- Vector Space
- Probability
- Random variable
- Expected value of a random variable
- /measure-theory/linearity-of-lebesgue-integral
Let $V$ be a vector space over $\mathbb{R}$. Let $X_1, X_2, \ldots, X_n$ be random variables in $V$ over the probability space $(\Omega, \mathcal{F}, \Pr)$. Let $b, a_1, a_2, \ldots, a_n$ be real numbers. $\newcommand{\E}{\operatorname{E}}$
Let $Y = b + \sum_{i=1}^n a_iX_i$. Then \[ \E(Y) = b + \sum_{i=1}^n a_i\E(X_i) \]
Proof
\begin{align} \E(Y) &= \int_{\omega \subseteq \Omega} Y(\omega) \Pr(\omega) \\ &= \int_{\omega \subseteq \Omega} \left(b + \sum_{i=1}^n a_iX_i(\omega)\right) \Pr(\omega) \\ &= b \left( \int_{\omega \subseteq \Omega} \Pr(\omega) \right) + \sum_{i=1}^n a_i \left(\int_{\omega \subseteq \Omega}X_i(\omega) \Pr(\omega)\right) \tag{linearity of Lebesgue integral} \\ &= b + \sum_{i=1}^n a_i \E(X_i) \end{align}
Dependency for:
- Cantelli's inequality
- Chernoff bound
- Cauchy-Schwarz inequality for random variables
- Linearity of expectation for matrices
- Variance of sum of independent random variables
- Var(aX + b) = a^2 Var(X)
- Var(Y) = Var(E(Y|X)) + E(Var(Y|X))
- Covariance of 2 random variables
- Variance of a random variable
- |mean - median| ≤ stddev
- Minimizer of f(z) = E(|X-z|) is median
- Normal distribution
- Markov chains: recurrent iff expected number of visits is infinite
Info:
- Depth: 7
- Number of transitive dependencies: 19
Transitive dependencies:
- /analysis/topological-space
- /sets-and-relations/countable-set
- /sets-and-relations/de-morgan-laws
- /measure-theory/linearity-of-lebesgue-integral
- /measure-theory/lebesgue-integral
- σ-algebra
- Generated σ-algebra
- Borel algebra
- Measurable function
- Generators of the real Borel algebra (incomplete)
- Measure
- σ-algebra is closed under countable intersections
- Group
- Ring
- Field
- Vector Space
- Probability
- Random variable
- Expected value of a random variable