概论理论的基础.ppt

3 Random Vectors…8 Statistical Estimate of the Correlation Coefficient Assume that there are n observations of variable X and n observations of variable Y sample mean sample standard deviation sample estimate of the correlation coefficient 4 Functions of Random Variables…1 1. Linear Functions of Random Variables where, the are constants. Let Y be a linear function of random variables : Moments of Linear Functions of Random Variables 4 Functions of Random Variables…2 Variance of Linear Functions of Uncorrelated Random Variables If the n random variables are uncorrelated with each other, then for Properties of Linear Functions of Random Variables (1) The probability distributions of the random variables are not needed. (2) The linear function Y of uncorrelated normal random variables is a normal random variable with distribution parameters and . (3) The constant does not affect the variance, but it does affect the mean value. 4 Functions of Random Variables…3 2. Product of Lognormal Random Variables Let Y be a function involving the products of several random variables For example, where K is a constant. Assume that these random variables are statistical independent , lognormal random variables. The above formula represents the sum of normally distributed random variables . The quantity is a normally distributed random variable is a lognormally distributed random variable 4 Functions of Random Variables…5 Moments of the lognormally distributed random variable Y 4 Functions of Random Variables…6 3. Nonlinear Functions of Random Variables Let Y be a general nonlinear function of the random variables The First Order Taylor Series Expansion of Y Moments of Nonlinear Function Y . Mathematically Where, is called “design point” which is denoted by . for are un