Math, asked by AnkaniJogendra7832, 1 year ago

derivation of the mean of geometric distributon

Answers

Answered by Pratik021205
1

Answer:

Derivation of the Mean and Variance of a Geometric Random Variable

Brett Presnell

Suppose that Y ∼ Geom(p), i.e., Y has probability function

p(y) = q

y−1

p, y = 1, 2, . . . .

Here is an alternative to the derivation of the mean of Y given in the course textbook. It basically

depends on the simple trick of writing y =

Py

k=1 1 and exchanging the order of summation.

E(Y ) = X

y

yp(y) = X∞

y=1

yqy−1

p = p

X∞

y=1

yqy−1

= p

X∞

y=1 " X

y

k=1

1

!

q

y−1

#

= p

X∞

y=1 X

y

k=1

q

y−1

!

(the trick)

= p

XX

1≤k≤y<∞

q

y−1 = p

X∞

k=1

X∞

y=k

q

y−1

(exchange order of summation)

= p

X∞

k=1

X∞

y=k

q

k−1

q

y−k

= p

X∞

k=1

q

k−1

X∞

y=k

q

y−k

= p

X∞

k=1

q

k−1

X∞

j=0

q

j

(j = y − k)

= p

X∞

k=1

q

k−1

1

1 − q

= ✁

p

1

p

X∞

k=1

q

k−1

=

X∞

j=0

q

j

(j = k − 1)

=

1

1 − q

=

1

p

.

Remark. The same trick can actually be used to show that if Y is a nonnegative integer-valued

random variable, then

E(Y ) = X∞

y=0

P(Y > y).

The derivation above for the case of a geometric random variable is just a special case of this. In

fact, if Y ∼ Geom(p), then P(Y > y) = q

y

for y = 0, 1, 2, . . . (see Exercise 3.71(a) in the course

textbook), and thus

E(Y ) = X∞

y=0

q

y =

1

1 − q

=

1

p

.

1

For the variance of Y , we proceed similarly. Here the trick is to notice that

Xn

i=1

i =

n(n + 1)

2

=⇒

X

y−1

k=1

k =

(y − 1)y

2

=⇒ y(y − 1) = 2X

y−1

k=1

k.

Using this we have

E[Y (Y − 1)] = X

y y(y − 1)p(y) = X∞

y=1

y(y − 1)q

y−1

p

= p

X∞

y=2

y(y − 1)q

y−1

(term w/ y = 1 equals 0)

= p

X∞

y=1 " 2

X

y−1

k=1

k

!

q

y−1

#

= 2p

X∞

y=1 X

y−1

k=1

kqy−1

!

(the trick)

= 2p

XX

1≤k<y<∞

kqy−1 = 2p

X∞

k=1

X∞

y=k+1

kqy−1

(exchange order of summation)

= 2p

X∞

k=1

kqk

X∞

y=k+1

q

y−k−1

= 2p

X∞

k=1

kqk

X∞

j=0

q

j

(j = y-k-1)

= 2p

X∞

k=1

kqk

1

1 − q

= 2✁

p

1

p

X∞

k=1

kqk = 2X∞

k=1

kqk

=

2q

p

X∞

k=1

kqk−1

p =

2q

p

· E(Y ) = 2q

p

·

1

p

=

2q

p

2

.

Thus,

E(Y

2

) = E[Y (Y − 1)] + E(Y ) = 2q

p

2

+

1

p

=

2q + p

p

2

,

and hence

Var(Y ) = E(Y

2

) − [E(Y )]2 =

2q + p

p

2

1

p

2

=

2q + p

p

2

1

p

2

=

2q − (1 − p)

p

2

=

2q − q

p

2

=

q

p

2

.

Step-by-step explanation:

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