The following theorem formally states the third method we used in determining the expected value of \(Y\), the function of two independent random variables. Remember that the area under the graph of the random variable must be equal to 1 (see continuous random variables). E(X) is the expectation value of the continuous random variable X. x is the value of the continuous random variable X. P(x) is the probability density function. Watch more tutorials in my Edexcel S2 playlist: http://goo.gl/gt1up This is the third in a sequence of tutorials about continuous random variables. Since continuous random variables can take uncountably infinitely many values, we cannot talk about a variable taking a specific value. Chapter 14 Transformations of Random Variables. The expected value of a continuous random variable is calculated with the same logic but using different methods. Expected value or Mathematical Expectation or Expectation of a random variable may be defined as the sum of products of the different values taken by the random variable and the corresponding probabilities. If X ~ U(a,b), then: E(X) = ½ (a + b) Var(X) = (1/12)(b - a) 2. I used the Formulas for special cases section of the Expected value article on Wikipedia to refresh my memory on the proof. In this chapter, we discuss the theory necessary to find the distribution of a transformation of one or more random variables. We rather focus on value ranges. We state the theorem without proof. The expected value of a random variable is denoted by E[X]. The expected value of a uniform random variable is. The expected value can bethought of as the“average” value attained by therandomvariable; in fact, the expected value of a random variable is also called its mean, in which case we use the notationµ X. That section also contains proofs for the discrete random variable case and also for the case that no density function exists. Expected value of continuous random variables. Proof. But let me say that at the level of Ross's A First Course in Probability (assuming that is the book you mean) the fine points and formal proofs are probably not expected to be considered by the average reader who is allowed to blithely interchange order of integration etc. A continuous random variable has a uniform distribution if all the values belonging to its support have the same probability density. Expectation of continuous random variable. Proof of Expectation. Some random variables assume only nonnegative values.For example, the time X until a component fails cannot be negative. (If you're interested, you can find a proof of it in Hogg, McKean and Craig, 2005.) It can be derived as follows: (µ istheGreeklettermu.) In probability and statistics, the expectation or expected value, is the weighted average value of a random variable.. Expectation Value. Cumulative Distribution Function. Expectation and Variance. 2. Expectation of discrete random variable Expectations of Random Variables 1. While the emphasis of this text is on simulation and approximate techniques, understanding the theory and being able to find exact distributions is important for further study in probability and statistics.