Monday, 4 June 2018

probability - Find the Mean for Non-Negative Integer-Valued Random Variable




Let X be a non-negative integer-valued random variable with finite mean.
Show that
E(X)=n=0P(X>n)



This is the hint from my lecturer.



"Start with the definition E(X)=x=1xP(X=x). Rewrite the series as double sum."



For my opinion. I think the double sum have the form of f(x), but how to get this form? And how to continue?



Answer



0P(X=0)+1P(X=1)+2P(X=2)+3P(X=3)+=P(X=1)+P(X=2)+P(X=3)++P(X=2)+P(X=3)++P(X=3)++



The sum in the first row is P(X>0); that in the second row is P(X>1); that in the third row is P(X>2), and so on.



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