Further properties of random variables

In this section, further fundamental results regarding the expectation and variance of random variables (discrete or continuous) are stated and proved. For some constant \(c \in \real\) and random variable \(X\),

$$ \mathbf{E}(cX) = c\mathbf{E}(X). \tag{13} $$

The proof of (13) is trivial. From (2), for \(X\) discrete

$$ \begin{align*} \mathbf{E}(cX) &= \sum_{x} cx \cdot f_{X}(x) \\ &= c \sum_{x} x \cdot f_{X}(x) \\ &= c \mathbf{E}(X), \end{align*} $$

while from (9), for \(X\) continuous

$$ \begin{align*} \mathbf{E}(cX) &= \int_{-\infty}^{\infty} cx \cdot f_{X}(x) \mathrm{d}x \\ &= c \int_{-\infty}^{\infty} x \cdot f_{X}(x) \mathrm{d}x \\ &= c \mathbf{E}(X). \end{align*} $$

For discrete or continuous random variables \(X\) and \(Y\),

$$ \mathbf{E}(X + Y) = \mathbf{E}(X) + \mathbf{E}(Y). \tag{14} $$

The proof of (14) is as follows. Suppose \(X\) and \(Y\) have joint mass function \(f_{X, Y} : \real^2 \to [0, 1]\) given by \(f_{X,Y}(x, y) = \mathbf{P}(X = x \text{ and } Y = y)\). Then, for \(X\) and \(Y\) discrete, an extension of (2) gives

$$ \begin{align*} \mathbf{E}(X + Y) &= \sum_{x} \sum_{y} (x + y) \cdot f_{X, Y}(x, y) \\ &= \sum_{x} \sum_{y} x \cdot f_{X, Y}(x, y) + \sum_{x} \sum_{y} y \cdot f_{X, Y}(x, y) \\ &= \sum_{x} x \sum_{y} f_{X, Y}(x, y) + \sum_{y} y \sum_{x} f_{X, Y}(x, y) \\ &= \sum_{x} x \cdot f_{X}(x) + \sum_{y} y \cdot f_{Y}(y) \\ &= \mathbf{E}X + \mathbf{E}Y. \end{align*} $$
\(\mathbf{E}(X + Y) = \sum_{x} \sum_{y} (x + y) \cdot f_{X, Y}(x, y) = \sum_{x} \sum_{y} x \cdot f_{X, Y}(x, y) + \sum_{x} \sum_{y} y \cdot f_{X, Y}(x, y) = \sum_{x} x \sum_{y} f_{X, Y}(x, y) + \sum_{y} y \sum_{x} f_{X, Y}(x, y) = \sum_{x} x \cdot f_{X}(x) + \sum_{y} y \cdot f_{Y}(y) = \mathbf{E}X + \mathbf{E}Y.\)

Noting (9), for \(X\) and \(Y\) continuous the proof begins

$$ \mathbf{E}(X + Y) = \int_{-\infty}^{\infty} \int_{-\infty}^{\infty} (x + y) \cdot f_{X, Y}(x, y) \mathrm{d}x \mathrm{d}y $$
\(\mathbf{E}(X + Y) = \int_{-\infty}^{\infty} \int_{-\infty}^{\infty} (x + y) \cdot f_{X, Y}(x, y) \mathrm{d}x \mathrm{d}y\)

where \(f_{X,Y}(x, y) : \real^2 \to [0, \infty)\) is the joint density function of \(X\) and \(Y\). The proof then proceeds in a similar way to the discrete case with summations replaced by integrations.

For discrete or continuous independent random variables \(X\) and \(Y\),

$$ \mathbf{E}(XY) = \mathbf{E}(X) \cdot \mathbf{E}(Y). \tag{15} $$

The proof of (15) is first presented for discrete random variables \(X\) and \(Y\). Let \(X\) and \(Y\) have joint mass function \(f_{X,Y}(x, y) : \real^2 \to [0, 1]\) given by \(f_{X,Y} = \mathbf{P}(X = x \text{ and } Y = y)\). If \(X\) and \(Y\) are independent, then (by definition) the probability of \(Y\) occurring is not affected by the occurrence or non-occurrence of \(X\). For \(X\) and \(Y\) independent,

$$ \begin{align*} \mathbf{P}(X = x \text{ and } Y = y) &= \mathbf{P}\left((X = x) \cap (Y = y)\right) \\ &= \mathbf{P}(X = x) \cdot \mathbf{P}(Y = y), \end{align*} $$
\(\mathbf{P}(X = x \text{ and } Y = y) = \mathbf{P}\left((X = x) \cap (Y = y)\right) = \mathbf{P}(X = x) \cdot \mathbf{P}(Y = y),\)

so that \(f_{X,Y}(x, y) = f_{X}(x) \cdot f_{Y}(y)\). Therefore,

$$ \begin{align*} \mathbf{E}(X, Y) &= \sum_{x} \sum_{y} xy \cdot f_{X, Y}(x, y) \\ &= \sum_{x} \sum_{y} xy \cdot f_{X}(x) f_{Y}(y) \\ &= \sum_{x} \Big\{ x \cdot f_{X}(x) \cdot \sum_{y} y \cdot f_{Y}(y) \Big\} \\ &= \sum_{x} \{ x \cdot f_{X}(x) \cdot \mathbf{E}Y \} \\ &= \mathbf{E}X \cdot \mathbf{E}Y. \end{align*} $$

For \(X\) and \(Y\) continuous, the proof begins

$$ \mathbf{E}(XY) = \int_{-\infty}^{\infty} \int_{-\infty}^{\infty} xy \cdot f_{X, Y}(x, y) \mathrm{d}x\mathrm{d}y $$

where \(f_{X,Y} : \real^2 \to [0, \infty)\) is the joint density function of \(X\) and \(Y\). The proof then proceeds in a similar way to the discrete case with summations replaced by integrations.

For the discrete or continuous random variable \(X\),

$$ \sigma^{2} = \mathbf{E}\left(\left(X - \mathbf{E}(X)\right)^{2}\right) = \mathbf{E}(X^{2}) - \left(\mathbf{E}(X)\right)^{2}. \tag{16} $$
\(\sigma^{2} = \mathbf{E}\left(\left(X - \mathbf{E}(X)\right)^{2}\right) = \mathbf{E}(X^{2}) - \left(\mathbf{E}(X)\right)^{2}.\)
\((16)\)

The proof of (16) holds for \(X\) discrete or continuous. As a shorthand notation, let \(\mu = \mathbf{E}(X)\). Then,

$$ \mathbf{E}\left(\left(X - \mu\right)^{2}\right) = \mathbf{E}(X^{2} - 2 \cdot \mu \cdot X + \mu^{2}). $$

From (13) and (14),

$$ \begin{align*} \mathbf{E}(X^{2} - 2 \cdot \mu \cdot X + \mu^{2}) &= \mathbf{E}(X^{2}) - 2 \cdot \mu \cdot \mathbf{E}(X) + \mu^{2} \\ &= \mathbf{E}(X^{2}) - \mu^{2} \\ &= \mathbf{E}(X^{2}) - \left(\mathbf{E}(X)\right)^{2}. \end{align*} $$
\(\mathbf{E}(X^{2} - 2 \cdot \mu \cdot X + \mu^{2}) = \mathbf{E}(X^{2}) - 2 \cdot \mu \cdot \mathbf{E}(X) + \mu^{2} = \mathbf{E}(X^{2}) - \mu^{2} = \mathbf{E}(X^{2}) - \left(\mathbf{E}(X)\right)^{2}.\)

For the discrete or continuous random variable \(X\) and the constant \(c \in \real\),

$$ \text{Var}(cX) = c^{2} \cdot \text{Var}(X). \tag{17} $$

The proof of (17) holds for \(X\) discrete or continuous. Again, let \(\mu = \mathbf{E}(X)\). Then, \(\text{Var}(cX) = \mathbf{E}((cX - c\mu)^2) = \mathbf{E}(c^{2}\cdot(X - \mu)^{2}) = c^{2} \cdot \mathbf{E}((X - \mu)^2) = c^{2} \cdot \text{Var}(X)\).

Finally, for discrete or continuous independent random variables \(X\) and \(Y\),

$$ \text{Var}(X + Y) = \text{Var}(X) + \text{Var}(Y). \tag{18} $$
\(\text{Var}(X + Y) = \text{Var}(X) + \text{Var}(Y).\)
\((18)\)

The proof of (18) holds for \(X\) and \(Y\) discrete or continuous. As a shorthand notation, let \(\mu_{X} = \mathbf{E}(X)\) and \(\mu_{Y} = \mathbf{E}(Y)\). Then,

$$ \begin{align*} \text{Var}(X + Y) &= \mathbf{E}\Big\{\big((X + Y) - (\mu_{X} + \mu_{Y})\big)^{2}\Big\} \\ &= \mathbf{E}\Big\{\big((X - \mu_{X}) + (Y - \mu_{Y})\big)^{2}\Big\} \\ &= \mathbf{E}\Big\{ (X - \mu_{X})^{2} + 2(X - \mu_{X}) \cdot (Y - \mu_{Y}) + (Y - \mu_{Y})^{2} \Big\} \\ &= \mathbf{E}((X - \mu_{X})^{2}) + 2\mathbf{E}((X - \mu_{X}) \cdot (Y - \mu_{Y})) + \mathbf{E}((Y - \mu_{Y})^{2}) \\ &= \text{Var}(X) + 2\mathbf{E}((X - \mu_{X}) \cdot (Y - \mu_{Y})) + \text{Var}(Y). \end{align*} $$
\(\text{Var}(X + Y) = \mathbf{E}\Big\{\big((X + Y) - (\mu_{X} + \mu_{Y})\big)^{2}\Big\} = \mathbf{E}\Big\{\big((X - \mu_{X}) + (Y - \mu_{Y})\big)^{2}\Big\} = \mathbf{E}\Big\{ (X - \mu_{X})^{2} + 2(X - \mu_{X}) \cdot (Y - \mu_{Y}) + (Y - \mu_{Y})^{2} \Big\} = \mathbf{E}((X - \mu_{X})^{2}) + 2\mathbf{E}((X - \mu_{X}) \cdot (Y - \mu_{Y})) + \mathbf{E}((Y - \mu_{Y})^{2}) = \text{Var}(X) + 2\mathbf{E}((X - \mu_{X}) \cdot (Y - \mu_{Y})) + \text{Var}(Y).\)

However, from (15), if \(X\) and \(Y\) are independent random variables, then \(\mathbf{E}((X - \mu_{X}) \cdot (Y - \mu_{Y})) = \mathbf{E}(X - \mu_{X}) \cdot \mathbf{E}(Y - \mu_{Y}) = 0\).