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• For example, consider the case thatPn = 2 with the values of {x1 , x2 } given by xP
1 = 0 and
x2 = 1. Suppose that c = 4. Then, i=1 4 × xi = 4 × 0 + 4 × 1 = 4 × (0 + 1) = 4 2i=1 xi .
2
Consider another sequence {y1 , y2 , ..., ym } in addition to {x1 , x2 , ..., xn }. Then, we may consider
doubleP
summations over possible values of x’s and y’s. For example, consider the case of n = m = 2.
Then, 2i=1 2j=1 xi yj is equal to x1 y1 + x1 y2 + x2 y1 + x2 y2 because
P
x1 y1 + x1 y2 + x2 y1 + x2 y2
= x1 (y1 + y2 ) + x2 (y1 + y2 ) (by factorization)
2
X
= xi (y1 + y2 ) (by def. of the summation operator by setting c = (y1 + y2 ) in (2) )
i=1
2
X 2
X P2
= xi yj (because y1 + y2 = j=1 yj )
i=1 j=1
2
X X2
P2 P2
= x i yj (because xi j=1 yj = xi (y1 + y2 ) = (xi y1 + xi y2 ) = j=1 xi yj )
i=1 j=1
2 X
X 2
= xi yj .
i=1 j=1
• Note thatP 2i=1P 2j=1 xi yj =P 2j=1P 2i=1 xi yj . In general case of {x1 , x2 , ..., xn } and {y1 , y2 , ..., ym },
P P P P
we have ni=1 m j=1 xi yj =
m
j=1
n
i=1 xi yj .
• Note that 2j=1 xi yj = xi 2j=1 yj using (2) because xi is treated as a constant in the sum-
P P
mation operator over j’s. Hence, we can write
2 X
X 2 2
X 2
X 2
X 2
X
xi yj = xi yj = yj xi .
i=1 j=1 i=1 j=1 j=1 i=1
1
In general, we have
n X
X m n
X m
X m
X n
X
xi yj = xi yj = yj xi . (3)
i=1 j=1 i=1 j=1 j=1 i=1
That is, when we have double summations, we can take xi ’s out of the summation over j’s.
Similarly, we can take yj ’s out of the summation over i’s.
pX,Y
ij = P (X = xi , Y = yj ) , i = 1, . . . n; j = 1, . . . , m.
1. If c is a constant, then
2.
E[X + Y ] = E[X] + E[Y ]. (5)
2
Proof:
n X
m
(xi + yj )pX,Y
X
E(X + Y ) = ij
i=1 j=1
n X
m
(xi pX,Y + yj pX,Y
X
= ij ij )
i=1 j=1
n X m n X
m
xi pX,Y yj pX,Y
X X
= ij + ij (6)
i=1 j=1 i=1 j=1
n m m n
!
X,Y
pX,Y
X X X X
= xi · pij + yj · ij (7)
i=1 j=1 j=1 i=1
Pm
because we can take xi out of j=1 because xi does not depend on j’s
n
X m
X
= xi · pX
i + yj · pYj
i=1 j=1
Pm X,Y Pn X,Y
because pX
i = j=1 pij and pYj = i=1 pij
= E(X) + E(Y )
2 X
2
xi pX,Y = x1 pX,Y X,Y X,Y X,Y
X
ij 11 + x1 p12 + x2 p21 + x2 p22
i=1 j=1
X,Y
· ( 2i=1 pX,Y
P2 P2 P2 P
Similarly, we may show that i=1 j=1 yj pij = j=1 yj ij ).
3
Proof:
n
X
E(a + bX) = (a + bxi )pX
i
i=1
n
X
= (apX X
i + bxi pi )
i=1
Xn n
X
= apX
i + bxi pX
i (8)
i=1 i=1
Xn Xn
=a pX
i +b xi p X
i , (by using (2))
i=1 i=1
Pn X
Pn Pn X
= a · 1 + bE(X), where i=1 pi = i=1 P (X = xi ) = 1 and i=1 xi pi = E(X)
= a + bE(X).
Pn X + bx pX ) =
Pn X
Equation
Pn (8): This is similar to (6). To understand i=1 (ap i i i i=1 api +
X
P 2 X + bx pX ) = (apx + bx pX ) + (apx +
P2 i=1 (ap
i=1 bxi pi , consider the case of n = 2. Then, i P i i 1 1 1 2
bx2 p2 ) = (ap1 + ap2 ) + (bx1 p1 + bx2 p2 ) = i=1 api + 2i=1 bxi pX
X x x X X X
i .
4
Proof: According to the definition of covariance, we can expand Cov(X, X) as follows:
= b1 b2 Cov(X, Y ).
5
8. If X and Y are independent, then Cov (X, Y ) = 0.
Equations (9) and (10): This is similar to equations (3) and (7). Please consider the case of
n = m = 2 and convince yourself that (9) and (10) hold.
6
Proof: By the definition of variance,
Then,
7
Proof: Expanding Cov(W, Z), we have
12. Let {xi : i = 1, . . . , n} and {yi : i = 1, . . . , n} be two sequences. Define the averages
n
1X
x̄ = xi ,
n
i=1
n
1X
ȳ = yi .
n
i=1
Pn
(a) i=1 (xi − x̄) = 0.
Proof:
n
X n
X n
X
(xi − x̄) = xi − x̄
i=1 i=1 i=1
n
X
= xi − nx̄
i=1
because ni=1 x̄ = x̄ + x̄ + ... + x̄ = nx̄
P
Pn
xi
= n i=1 − nx̄
n Pn
xi
because ni=1 xi = nn ni=1 xi = n i=1
P P
n
= nx̄ − nx̄
Pn
xi
because x̄ = i=1
n
= 0.
Pn
− x̄)2 =
Pn
(b) i=1 (xi i=1 xi (xi − x̄).
8
Proof: We use the result of 2.(a) above.
n
X n
X
2
(xi − x̄) = (xi − x̄) (xi − x̄)
i=1 i=1
Xn n
X
= xi (xi − x̄) − x̄ (xi − x̄)
i=1 i=1
Xn Xn
= xi (xi − x̄) − x̄ (xi − x̄)
i=1 i=1
n
X
because x̄ is constant and does not depend on i’s = xi (xi − x̄) − x̄ · 0
i=1
because ni=1 (xi − x̄) = 0. as shown above
P
n
X
= xi (xi − x̄) .
i=1
Pn Pn Pn
(c) i=1 (xi − x̄) (yi − ȳ) = i=1 yi (xi − x̄) = i=1 xi (yi − ȳ).
Also,
n
X n
X n
X
(xi − x̄) (yi − ȳ) = xi (yi − ȳ) − x̄ (yi − ȳ)
i=1 i=1 i=1
Xn Xn
= xi (yi − ȳ) − x̄ (yi − ȳ)
i=1 i=1
Xn
= xi (yi − ȳ) − x̄ · 0
i=1
Xn
= xi (yi − ȳ) .
i=1