Statistics for Engineers Lecture 2 - cosmologistΒ Β· Statistics for Engineers Lecture 2 ... What is...
Transcript of Statistics for Engineers Lecture 2 - cosmologistΒ Β· Statistics for Engineers Lecture 2 ... What is...
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Statistics for Engineers
Lecture 2
Antony Lewis
http://cosmologist.info/teaching/STAT/
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Complements Rule: π π΄π = 1 β π(π΄)
Summary from last time
Multiplication Rule: π π΄ β© π΅ = π π΄ π π΅ π΄ = π π΅ π(π΄|π΅)
Special case: if independent then π π΄ β© π΅ = π π΄ π π΅
Addition Rule: π π΄ βͺ π΅ = π π΄ + π π΅ β π(π΄ β© π΅)
Alternative: π π΄ βͺ π΅ = 1 β π(π΄π β© π΅π)
Special case: if mutually exclusive π π΄ βͺ π΅ = π π΄ + π(π΅)
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1. 2. 3. 4. 5. 6.
38%
8%
31%
15%
5%
3%
Failing a drugs test
A drugs test for athletes is 99% reliable:
applied to a drug taker it gives a positive
result 99% of the time, given to a non-taker it
gives a negative result 99% of the time. It is
estimated that 1% of athletes take drugs.
A random athlete has failed the test. What is
the probability the athlete takes drugs?
1. 0.01
2. 0.3
3. 0.5
4. 0.7
5. 0.98
6. 0.99
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Similar example: TV screens produced by a manufacturer
have defects 10% of the time.
An automated mid-production test is found to be 80%
reliable at detecting faults (if the TV has a fault, the test
indicates this 80% of the time, if the TV is fault-free there is
a false positive only 20% of the time).
If a TV fails the test, what is the probability that it has a
defect?
Split question into two parts
1. What is the probability that a random TV fails the test?
2. Given that a random TV has failed the test, what is the
probability it is because it has a defect?
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Example: TV screens produced by a manufacturer have
defects 10% of the time.
An automated mid-production test is found to be 80%
reliable at detecting faults (if the TV has a fault, the test
indicates this 80% of the time, if the TV is fault-free there is
a false positive only 20% of the time).
What is the probability of a random TV failing the mid-
production test?
Answer:
Let D=βTV has a defectβ
Let F=βTV fails testβ
= 0.8 Γ 0.1 + 0.2 Γ 1 β 0.1 = 0.26
Two independent ways to fail the test:
TV has a defect and test shows this, -OR- TV is OK but get a false positive
The question tells us: π π· = 0.1 π πΉ π· = 0.8 π πΉ π·π = 0.2
π πΉ = π πΉ β© π· + π(πΉ β© π·π) = π πΉ π· π π· + π πΉ π·π π π·π
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If π΄1,π΄2 ... , π΄π form a partition (a mutually exclusive list of all possible
outcomes) and B is any event then
π π΅ = π π΅ π΄1 π π΄1 + π π΅ π΄2 π π΄2 +β―+ π π΅ π΄π π π΄π
= π π΅ π΄π π(π΄π)
π
A
A
A
A
A1
2
3
4
5B
+ +
=
π π΄3 β© π΅ = π π΅ π΄3 π(π΄3) π π΄1 β© π΅ = π π΅ π΄1 π(π΄1) π π΄2 β© π΅ = π π΅ π΄2 π(π΄2)
Is an example of the
π πΉ = π πΉ β© π· + π(πΉ β© π·π) = π πΉ π· π π· + π πΉ π·π π π·π
Total Probability Rule
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A
B
C
D
P(A)
P(B)
P(C)
P(D)
π(π΄)π(πΉ|π΄) π(πΉ|π΄)
πΉ β© π΄
πΉ β© π΅
πΉ β© πΆ
πΉ β© π·
π(π΅)π(πΉ|π΅)
π(πΆ)π(πΉ|πΆ)
π(π·)π(πΉ|π·)
+
+
+
π(πΉ|π΅)
π(πΉ|πΆ)
π(πΉ|π·)
π πΉ =
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Example: TV screens produced by a manufacturer have
defects 10% of the time.
An automated mid-production test is found to be 80%
reliable at detecting faults (if the TV has a fault, the test
indicates this 80% of the time, if the TV is fault-free there is
a false positive only 20% of the time).
If a TV fails the test, what is the probability that it has a
defect?
Answer:
Let D=βTV has a defectβ
Let F=βTV fails testβ
π πΉ = π πΉ π· π π· + π πΉ π·π π π·π = 0.8 Γ 0.1 + 0.2 Γ 1 β 0.1 = 0.26
We previously showed using the total probability rule that
When we get a test fail, what fraction of the time is it because the TV has a defect?
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All TVs
10% defects
80% of TVs with defects fail the test
20% of OK TVs give false positive
π β© π«π
πΉ β© π·
+
πΉ: TVs that fail the test
π π· πΉ =π πΉ β© π·
π πΉ=
π πΉ β© π·
π πΉ β© π· + π(πΉ β© π·π)
πΉ β© π·π π·π: TVs without defect
π·
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All TVs
10% defects
20% of OK TVs give false positive
π β© π«π
πΉ β© π·
+
πΉ: TVs that fail the test
π π· πΉ =π πΉ β© π·
π πΉ=
π πΉ β© π·
π πΉ β© π· + π(πΉ β© π·π)
πΉ β© π·π π·π: TVs without defect
π·
80% of TVs with defects fail the test
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All TVs
10% defects
80% of TVs with defects fail the test
20% of OK TVs give false positive
π β© π«π
πΉ β© π·
+
πΉ: TVs that fail the test
π π· πΉ =π πΉ β© π·
π πΉ=
π πΉ β© π·
π πΉ β© π· + π(πΉ β© π·π)
πΉ β© π·π π·π: TVs without defect
π·
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Example: TV screens produced by a manufacturer have
defects 10% of the time.
An automated mid-production test is found to be 80%
reliable at detecting faults (if the TV has a fault, the test
indicates this 80% of the time, if the TV is fault-free there is
a false positive only 20% of the time).
If a TV fails the test, what is the probability that it has a
defect?
Answer:
Let D=βTV has a defectβ
Let F=βTV fails testβ
π πΉ = π πΉ π· π π· + π πΉ π·π π π·π = 0.8 Γ 0.1 + 0.2 Γ 1 β 0.1 = 0.26
We previously showed using the total probability rule that
Know π πΉ π· = 0.8, π π· = 0.1: π π· πΉ =π π· β© πΉ
π πΉ
β 0.3077
When we get a test fail, what fraction of the time is it because the TV has a defect?
π π· πΉ =π πΉ π· π π·
π πΉ =0.8 Γ 0.1
0.26
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Note: as in the example, the Total Probability rule is often used to
evaluate P(B):
π π΄ π΅) =π π΅ π΄ π π΄
π π΅|π΄π π(π΄π)π
=π π΄ and π΅
π π΄ and π΅ + π π΄2 and π΅ + π π΄3 and π΅ + β―
The Rev Thomas Bayes
(1702-1761)
π π΄ β© π΅ π π΄ π΅ π π΅ = π π΅ π΄ π(π΄) =
The multiplication rule gives
Bayesβ Theorem
Bayesβ Theorem
If you have a model that tells you how likely B is given A, Bayesβ theorem
allows you to calculate the probability of A if you observe B. This is the key to
learning about your model from statistical data.
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Example: Evidence in court
The cars in a city are 90% black and 10% grey.
A witness to a bank robbery briefly sees the escape car, and says it is grey. Testing the witness under similar conditions shows the witness correctly identifies the colour 80% of the time (in either direction).
What is the probability that the escape car was actually grey?
Answer: Let G = car is grey, B=car is black, W = Witness says car is grey.
π πΊ π =π π β© πΊ
π π=π π πΊ π πΊ
π π. Bayesβ Theorem
Use total probability rule to write
π π = π π πΊ π πΊ + π π π΅ π π΅
π πΊ π =π π πΊ π πΊ
π π Hence:
= 0.8 Γ 0.1 + 0.2 Γ 0.9 = 0.26
=0.8 Γ 0.1
0.26 β 0.31
Know π π πΊ want π(πΊ|π)
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1 2 3 4 5
2%
46%
19%19%
13%
Failing a drugs test
A drugs test for athletes is 99% reliable:
applied to a drug taker it gives a positive
result 99% of the time, given to a non-taker it
gives a negative result 99% of the time. It is
estimated that 1% of athletes take drugs.
Part 1. What fraction of randomly tested
athletes fail the test?
1. 1%
2. 1.98%
3. 0.99%
4. 2%
5. 0.01%
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Failing a drugs test
A drugs test for athletes is 99% reliable: applied to a drug taker
it gives a positive result 99% of the time, given to a non-taker it
gives a negative result 99% of the time. It is estimated that 1%
of athletes take drugs.
What fraction of randomly tested athletes fail the test?
Let F=βfails testβ
Let D=βtakes drugsβ Question tells us
π π· = 0.01, π(πΉ|π·) = 0.99, π πΉ π·π = 0.01
From total probability rule: π πΉ = π πΉ π· π π· + π πΉ π·π π π·π = 0.99 Γ 0.01 + 0.01 Γ 0.99
=0.0198
i.e. 1.98% of randomly tested athletes fail
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1. 2. 3. 4. 5.
4%
13%
21%
12%
50%
1. 0.01
2. 0.3
3. 0.5
4. 0.7
5. 0.99
Failing a drugs test
A drugs test for athletes is 99% reliable:
applied to a drug taker it gives a positive
result 99% of the time, given to a non-taker it
gives a negative result 99% of the time. It is
estimated that 1% of athletes take drugs.
A random athlete has failed the test. What is
the probability the athlete takes drugs?
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Failing a drugs test
A drugs test for athletes is 99% reliable: applied to a drug taker
it gives a positive result 99% of the time, given to a non-taker it
gives a negative result 99% of the time. It is estimated that 1%
of athletes take drugs.
A random athlete is tested and gives a positive result. What is
the probability the athlete takes drugs?
Bayesβ Theorem gives
Let F=βfails testβ
Let D=βtakes drugsβ
Question tells us
π π· = 0.01, π(πΉ|π·) = 0.99, π πΉ π·π = 0.01
π π· πΉ =π πΉ π· π π·
π πΉ
We need π πΉ = π πΉ π· π π· + π πΉ π·π π π·π = 0.99 Γ 0.01 + 0.01 Γ 0.99
Hence: π π· πΉ =π πΉ π· π π·
π πΉ =0.99 Γ 0.01
0.0198 =0.0099
0.0198=1
2
= 0.0198
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Reliability of a system
General approach: bottom-up analysis. Need to break down the system into
subsystems just containing elements in series or just containing elements in
parallel.
Find the reliability of each of these subsystems and then repeat the process at
the next level up.
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p1
p2
p3
pn
The system only works if all n elements work. Failures of different elements
are assumed to be independent (so the probability of Element 1 failing does
alter after connection to the system).
π π π¦π π‘ππ ππππ πππ‘ ππππ = π(1 ππππ πππ‘ ππππ π΄ππ· 2 ππππ πππ‘ ππππ π΄ππ· β¦π ππππ πππ‘ ππππ)
= 1 β π1 1 β π2 β¦ 1 β ππ = (1 β ππ)
π
π=1
Series subsystem: in the diagram ππ= probability that element i fails, so
1 β ππ= probability that it does not fail.
Hence π π π¦π π‘ππ ππππ ππππ = 1 β π(π π¦π π‘ππ ππππ πππ‘ ππππ)
= 1 β (1 β ππ)
π
π=1
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Parallel subsystem: the subsystem only fails if all the elements fail.
p
p
p
1
2
n
π π π¦π π‘ππ πππππ = π(1 πππππ π΄ππ· 2 πππππ π΄ππ·β¦π πππππ )
= π1π2β¦ππ = ππ
π
π=1
= π 1 πππππ π 2 πππππ β¦π(π πππππ ) [Special multiplication rule
assuming failures independent]
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Example:
Subsystem 1:
P(Subsystem 1 doesn't fail)
= 1 β 0.05 1 β 0.03 = 0.9215
Hence P(Subsystem 1 fails)=
0.0785
0 .0 7 8 5
0 .0 7 8 5
Subsystem 2: (two units of subsystem 1)
P(Subsystem 2 fails)
=
0.0785 x 0.0785 =
0.006162
0 .02 0 .006162 0 .01
Subsystem 3:
P(Subsystem 3 fails)
= 0.1 x 0.1 = 0.01
Answer:
P(System doesn't fail) = (1 - 0.02)(1 - 0.006162)(1 - 0.01)
= 0.964
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Answer to (b)
Let B = event that the system does not
fail
Let C = event that component * does fail
We need to find P(B and C).
Use π π΅ β© πΆ = π(π΅|πΆ)π πΆ . We know P(C) = 0.1.
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P(B | C) = P(system does not fail given component * has failed)
0 .02 0 .10 .006162Final diagram is then
P(B | C) = (1 - 0.02)(1 β 0.006162)(1 - 0.1) = 0.8766
If * failed replace with
Hence since P(C) = 0.1
P(B and C) = P(B | C) P(C) = 0.8766 x 0.1 = 0.08766
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1 2 3 4 5
44%
38%
15%
4%
0%
Triple redundancy
What is probability that this system
does not fail, given the failure
probabilities of the components?
1
3
1
3
1
2
1. 17/18
2. 2/9
3. 1/9
4. 1/3
5. 1/18
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Triple redundancy
What is probability that this system
does not fail, given the failure
probabilities of the components?
1
3
1
3
1
2
P(failing) = P(1 fails)P(2 fails)P(3 fails)=1
3Γ1
3Γ1
2=1
18
Hence: P(not failing) = 1 β P(failing) = 1 β1
18=17
18
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Combinatorics
Permutations - ways of ordering k items: k!
Factorials: for a positive integer k, k! = k(k-1)(k-2) ... 2.1
e.g. 3! = 3 x 2 x 1 = 6.
By definition, 0! = 1.
The first item can be chosen in k ways, the second in k-1 ways, the third, in
k-2 ways, etc., giving k! possible orders.
e.g. ABC can be arranged as ABC, ACB, BAC, BCA, CAB and CBA,
a total of 3! = 6 ways.
A B C F D E
6 choices 5 choices 4 choices 1 choice 3 choices 2 choices
Total of 6 Γ 5 Γ 4 Γ 3 Γ 2 Γ 1 = 6! possible orderings of the 6 items
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Ways of choosing k things from n, irrespective of ordering:
Binomial coefficient: for integers n and k where π β₯ π β₯ 0:
πΆππ =ππ=π!
π! π β π !
Sometimes this is also called βn choose kβ. Other notations include ππΆπ and
variants.
Justification: Choosing k things from n there are n ways to choose the first
item, n-1 ways to choose the secondβ¦. and (n-k+1) ways to choose the last,
so
π π β 1 π β 2 β¦ π β π + 1 =π!
π β π !
ways. This is the number of different orderings of k things drawn from n. But
there k! orderings of k things, so only 1/k! of these is a distinct set, giving the
πΆππ distinct sets.
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A B C F D E
6 choices 5 choices 4 choices
Total of 6 Γ 5 Γ 4 =6Γ5Γ4Γ3Γ2Γ1
3Γ2Γ1=6!
3! possible orderings of a choice of 3 items
Example: choosing 3 items from 6
C E B
But: the same three choices can be ordered in 3!=6 Different ways
C B
E E C B E B C
B E C B C E
Hence: 6!
3!3!=6Γ5Γ4
3Γ2Γ1= 20 distinct sets of 3 things chosen from 6
ABC, ABD, ABE, ABF, ACD, ACE,ACF, ADE, ADF, AEF, BCD, BCE, BCF, BDE, BDF, BEF,
CDE, CDF, CEF, DEF
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Example: What is the probability of winning the National Lottery? (picking
6 numbers from a choice of 49)
Each possible combination of 6 numbers is equally likely.
So the probability of winning with a given random ticket is about 1/(14 million).
Answer: the numbers of ways of choosing 6 numbers from 49 (1, 2, ... ,
49) is:
πΆ649 =
π!
π! π β π !=49!
6! 43!=49 Γ 48 Γ 47 Γ 46 Γ 45 Γ 44
6 Γ 5 Γ 4 Γ 3 Γ 2 Γ 1= 13,983,816
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Calculating factorials and πͺππ
Many calculators have a factorial button, but they become very large very quickly:
15! = 1,307,674,368,000 β 1.3 Γ 1012, so be careful they do not overflow.
Some calculators have a button for calculating πΆππ or you can calculate it directly by
cancelling factorials.
Beware that πΆππ can also become very large for large n and k, for example there are
100891344545564193334812497256 β 1029 ways to choose 50 items from 100.
For computer users: In MatLab the function is called βnchoosekβ, in other systems
like Maple and Mathematica it is called βbinomialβ.
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1 2 3 4
10%
56%
19%15%
Coin tosses
A fair coin is tossed four times.
Let π(π΄) be probability of 4 heads
Let π(π΅) be probability of 2 heads and then 2 tails
Let π πΆ be probability of 1 head, then two tails, then 1 head
What is the relation between these probabilities?
1. P(A)<P(B)<P(C)
2. P(A)<P(B)=P(C)
3. P(A)=P(B)<P(C)
4. P(A)=P(B)=P(C)
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Coin tosses
A fair coin is tossed four times.
Let π(π΄) be probability of 4 heads
Let π(π΅) be probability of 2 heads and then 2 tails
Let π πΆ be probability of 1 head, then two tails, then 1 head
Answer:
For each coin toss π π» = π π =1
2
For a fair coin, tosses are independent:
P(Head then tails)=P(first toss heads)P(second toss tails)=P(H)P(T), etc.
π π΄ = π π» π π» π π» π π» =1
2Γ1
2Γ1
2Γ1
2=1
16
π π΅ = π π» π π» π π π π =1
2Γ1
2Γ1
2Γ1
2=1
16
π πΆ = π π» π π π π π π» =1
2Γ1
2Γ1
2Γ1
2=1
16
Any specific ordering of results has the same probability
What is the relation between these probabilities?
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If the chance outcome of the experiment is the result of a random process,
it is called a random variable.
. Random variables
Discrete random variable: the possible outcomes can be listed
e.g. 0, 1, 2, ... ., or yes/no, or A, B, C.. etc.
Notation for random variables: capital letter near the end of the alphabet
e.g. X, Y.
Continuous random variable: the possible outcomes are on a
continuous scale e.g. weights, strengths, times or lengths.
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P(X = k) denotes "The probability that X takes the value k".
Discrete Random variables
Note: 0 β€ π π = π β€ 1 for all k, and π π = π = 1π .
How to we quickly quantify the main properties of the distribution of the variable?
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Mean (or expected value) of a variable
For a random variable X taking values 0, 1, 2, ... , the mean value of X is:
π = π π π = π = 0 Γ π π = 0 + 1 Γ π π = 1 + 2 Γ π π = 2 +β―
π
Intuitive idea: if X is observed in repeated independent experiments and
π π =1
π ππ
π
π+1
is the sample mean after n observations then as n gets bigger, π π tends to the
mean π.
The mean is also called: population mean
expected value of X
average of π E(X)
β¨πβ©
Example: mean of a random whole number π between 1 and 10 is
π = π Γ1
1010π=1 = (1 + 2 + 3 + 4 + 5 + 6 + 7 + 8 + 9 + 10)/10 = 5.5
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Mean (or expected value) of a function of a random variable
For a random variable X, the expected value of π(π) is given by
πΈ π π β‘ π π = π π π(π = π)
π
For example π(π) might give the winnings on a bet on π. The expected winnings
of a bet would be the sum of the winnings for each outcome multiplied by the
probability of each outcome.
E.g. you bet on a coin toss: Heads (H) wins W=50p, Tails (T) loses W=-Β£1.
What is your expected winnings?
Note: βexpected valueβ is a somewhat misleading technical term, equivalent in normal
language to the mean or average of a population. The expected value is not necessarily
a likely outcome, in fact often it is impossible. It is the average you would expect if the
variable were sampled very many times.
The expected βwinningsβ W is
πΈ π = β¨πβ© = Β£0.5 Γ π π» + βΒ£1 Γ π π = Β£0.5 Γ1
2β Β£1 Γ
1
2= βΒ£0.25
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1 2 3 4 5
7%
46%
20%
9%
17%
Roulette
A roulette wheel has 37 pockets.
Β£1 on a number returns Β£36 if it comes
up (i.e. your Β£1 back + Β£35 winnings).
Otherwise you lose your Β£1.
What is the expected winnings (in
pounds) on a Β£1 number bet?
1. -1/36
2. -1/37
3. -2/37
4. -1/35
5. 1/36
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Roulette
A roulette wheel has 37 pockets.
Β£1 on a number returns Β£36 if it comes
up (i.e. your Β£1 back + Β£35 winnings).
Otherwise you lose your Β£1.
What is the expected winnings (in
pounds) on a Β£1 number bet?
Expected winnings is
Β£35 Γ P(right number) + Β£(-1) Γ P(wrong number)
= Β£35 Γ1
37β Β£1 Γ
36
37= Β£ β
1
37β βΒ£0.027
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Sums of expected values
Means simply add, so e.g.
β¨π π + π π β© = π π + π π π π = π
π
e.g. for constants π and π, and random variables π and π:
ππ + ππ = ππ + ππ = π π + π π = πππ + πππ
Note ππ = π π π π = ππ = π π π π = π = πβ¨π β©π
This also works for continuous random variables
This also works for functions of two (or more) different random variables X and Y.
= π π + β¨π π β©
= π π π π = π + π π π π = π
ππ