Saturday, 29 June 2013

probability - Expectation value of symmetric random variable



Can someone please help me answer this question?



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From the definition of symmetry it follows that: P(Xb+x)=P(Xbx). What I did:
E[X]=xiP(X=xi)=(b+(xib))P(X=xi)=bP(X=xi)+(xib)P(X=xi)=b1 + (ab)P(X=a) + (ba)P(X=2ba) = b due to the symmetry of the random varible X since it follows that P(X=2ba)=P(X=a). Is this correct?



Thanks in advance!


Answer



We have $a<0. Thus $$\mathbb{P}(X=a)=\mathbb{P}(Xand
P(X=2ba)=P(X>b)



By symmetry of X about b:




P(Xb)=P(Xb)=1q



for some q(0,1)



Thus $$\begin{align*}\mathbb{P}(Xb)&=q\\\mathbb{P}(X=b)&=1-2q\end{align*}$$



It follows that



E[X]=qa+q(2ba)+(12q)b=b.


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