Wednesday, 6 July 2016

probability - Discrete Random Variable Property




Let X0 be a random variable such that takes values in {1,2,...}. Show that: E(X)=n=1P(Xn)



So since,
E(X)=n=1x P(X=x)
and we can rewrite $\Bbb P(X=x)= \Bbb P(X\ge x\ \cap\ X

E(X)=n=1P(Xn)=n=1(1P(X<n))



Any ideas how to proceed from this two ideas or any other approach would be appreciated.



Answer



I think in the second equality you mean E[X]=n=0nP(X=n)We want to show this equals n=0P(Xn)



Let's fix a particular n, call it n0. In the first sum, this will contribute with n0P(X=n0).
In the second, how many times will it be counted? Well since P(Xn)=P(X=n)+P(X=n+1)+, we have that



P(X1) will contain P(X=n0). But so will P(X2) and so on, until P(Xn0). So how many terms? from 1 to n0 there are exactly n0 terms.



So how many times has P(X=n0) been counted? Exactly n0 times, so the contribute in the second sum is n0P(X=n0), just like in the first sum.




Since this holds for any n0, we have equality


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