Discrete. X takes values x1,x2,… with probabilities pi summing to 1.
E(X)=∑xipi,Var(X)=∑(xi−E(X))2pi=E(X2)−[E(X)]2.
Continuous. X has probability density function (pdf) f(x) with:
- f(x)≥0 for all x.
- ∫−∞∞f(x)dx=1.
- P(a≤X≤b)=∫abf(x)dx.
E(X)=∫−∞∞xf(x)dx,Var(X)=E(X2)−[E(X)]2=∫x2f(x)dx−[E(X)]2.
Worked example (discrete). X takes values 1,2,3 with probabilities 0.2,0.5,0.3.
E(X)=1(0.2)+2(0.5)+3(0.3)=2.1.
E(X2)=1(0.2)+4(0.5)+9(0.3)=4.9.
Var(X)=4.9−2.12=4.9−4.41=0.49. SD =0.7.
Worked example (continuous). f(x)=3x2 for 0≤x≤1, else 0. Verify pdf and find E(X).
∫013x2dx=[x3]01=1 ✓.
E(X)=∫01x⋅3x2dx=∫013x3dx=[3x4/4]01=3/4.