Calculating expected values for a random variable with a continuous distribution

Click For Summary

Discussion Overview

The discussion revolves around calculating the expected value E(e^(ax)) for a random variable X with a continuous distribution defined by the density function f(x)=e^(-2|x|). Participants explore the implications of the choice of parameter a and the integration bounds for the expectation calculation.

Discussion Character

  • Mathematical reasoning, Technical explanation

Main Points Raised

  • One participant asks how to calculate E(e^(ax)) for a continuous random variable X with the given density function and questions the appropriateness of the integration bounds from -Infinity to Infinity.
  • Another participant points out that |x| is not integrable over the entire range with a single definition and suggests breaking the expectation calculation into parts to ensure integrability.
  • A later reply confirms the need to solve the expectation separately for the cases where x is non-negative and where x is negative.

Areas of Agreement / Disagreement

Participants generally agree on the necessity of addressing the integral in parts due to the nature of |x|, but there is no consensus on the specific approach to calculating the expected value.

Contextual Notes

Participants note that |x| behaves differently depending on whether x is greater than or less than zero, which affects the integrability and the calculation of the expected value.

Halen
Messages
13
Reaction score
0
X is a random variable with a continuous distribution with density f(x)=e^(-2|x|), x e R
How would you calculate E(e^(ax)) for a e R?

Will it be right to take a certain range of a?
And also, can you take the bounds for the integral to be between -Infinity and Infinity?
 
Physics news on Phys.org
Halen said:
X is a random variable with a continuous distribution with density f(x)=e^(-2|x|), x e R
How would you calculate E(e^(ax)) for a e R?

Will it be right to take a certain range of a?
And also, can you take the bounds for the integral to be between -Infinity and Infinity?

|x| is not integrable over the whole range with a single definition. It is C0 continuous but you can't differentiate it and get a continuous function over the interval of the reals.

If you want to find the expectation break it up into parts where you have a completely integrable function over the associated domain.

As you know |x| = x if x >= 0 and -x if x < 0. That should hopefully give you a head start.
 
Thank you! Helps indeed!
So do you suggest that i solve it separately for the two cases of x?
 
Yes you will have to do that.
 

Similar threads

  • · Replies 7 ·
Replies
7
Views
2K
  • · Replies 30 ·
2
Replies
30
Views
5K
  • · Replies 1 ·
Replies
1
Views
3K
  • · Replies 6 ·
Replies
6
Views
3K
  • · Replies 1 ·
Replies
1
Views
2K
  • · Replies 2 ·
Replies
2
Views
2K
  • · Replies 6 ·
Replies
6
Views
5K
  • · Replies 1 ·
Replies
1
Views
2K
  • · Replies 1 ·
Replies
1
Views
3K
  • · Replies 2 ·
Replies
2
Views
2K