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Monday, June 2, 2014

Section 2.5 - Sum Expected Values

What is the expected value of the sum X+Y given X and Y are (not necessarily independent) random variables?

From the definition of expected value, E(X+Y)=xy(x+y)p(X=xY=y) Evaluating this sum as given requires work proportional to n2; can it be evaluated more efficiently? Because X and Y aren’t necessarily independent, the probability p(X=xY=y) can’t be simplified in the same way it was when computing the expected value of random-value products.? Are there some other tricks that can simplify evaluation?