Let X1, . . . ,Xn be an i.i.d. random sample from a N(0, 1) population. Define Y1 = 1 n n X i=1 Xi , Y2 = 1 n n X i=1 |Xi| . Calculate E(Y1) and E(Y2), and compare them.

Respuesta :

For each [tex]1\le i\le n[/tex], [tex]E[X_i]=0[/tex], so that

[tex]\displaystyle E[Y_1]=E\left[\frac1n\sum_{i=1}^nX_i\right]=\frac1n\sum_{i=1}^nE[X_i]=0[/tex]

Meanwhile,

[tex]\displaystyle E[Y_2]=\frac1n\sum_{i=1}^nE[|X_i|][/tex]

Each of the [tex]X_i[/tex] have PDF

[tex]f_{X_i}(x)=\dfrac1{\sqrt{2\pi}}e^{-x^2/2}[/tex]

for [tex]x\in\Bbb R[/tex]. From this we get

[tex]E[|X_i|]=\displaystyle\frac1{\sqrt{2\pi}}\int_{-\infty}^\infty|x|e^{-x^2/2}\,\mathrm dx=\sqrt{\frac2\pi}\int_0^\infty xe^{-x^2/2}\,\mathrm dx=\sqrt{\frac2\pi}[/tex]

[tex]\implies E[Y_2]=n\sqrt{\dfrac2\pi}[/tex]