Re: [理工] 機率 隨機變數個的期望值
: : 有隨機變數 X1, X2,X3........Xn 已知 E[Xi] = μ
: : x
: : r.v.N E[N] = μ 與 Xi 獨立
: : N
: : 求 E[X1+X2+..............X ] =?
: : N
: : 解法:先求出E[X1+X2+........Xn] = nμ
: : x
: : 再利用條件期望值 E[X1+X2+.......X ] = E[ E[X1+X2+....X |N] ]
: : N N
: : 可得 E[ E[X1+X2+....X | N=n] ] (Why N=n? 從哪來的???)
: : N
: : 之後條件可拿掉答案是 μμ
: : x N
: 先計算 E[X1+X2+....X_N | N=n] = E[X1+X2+....Xn] = nμ_X
: 再計算 E[X1+X2+....X_N]
: = E[ E(X1+X2+....X_N|N) ]
: = E[ Nμ_X] = μ_X E[N] = μ_X μ_N
: 希望對你有幫助
那我可以這樣算嗎?
E[X1+X2+....X_N | N=n-1] = E[X1+X2+........X_n-1| N=n-1]
(由E[ E[X|Y] ] =E[X]的觀念)
E[ E[X1+X2+........X_n-1| N=n-1] ]
=E[X1+X2+........X_n-1] = (n-1)μ
x
E[X1+X2+......X_N] = E[(n-1)μ N ] = (n-1)μE[N] = (n-1)μμ
x x x N
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