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Expectation of a Function of a RV in terms of PDF

  1. Mar 24, 2012 #1
    1. The problem statement, all variables and given/known data
    Find the expected value of cos(A+B) where A is a constant and B is a random variable with a pdf f(b). Present the answer in terms of f(b).

    3. The attempt at a solution
    I don't know how far I can go with the answer -- I have tried for a bit now to remove an integral with no success.

    [tex]\int\limits_{-\infty}^{\infty}\cos(A+b)f(b)\, db[/tex]

    From here, I tried integration by parts, which ended in evaluating a cosine at infinity (for the uv term). I thought perhaps to find the pdf of the r.v. C = cos(A + B) and then integrate cf_c(c), but the issue of removing the integral seems strong as ever with that approach too.

    Do you think the teacher intends for the answer to have an integral in it?
     
  2. jcsd
  3. Mar 24, 2012 #2

    Ray Vickson

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    Science Advisor
    Homework Helper

    Yes, of course. There is no other way to do it.

    RGV
     
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