Expectation from a continuous density
For X with density f and measurable g, E[g(X)]=∫R g(x)f(x)dx when ∫|g(x)|f(x)dx<∞.
Key knowledge
For X with density f and measurable g, E[g(X)]=∫R g(x)f(x)dx when ∫|g(x)|f(x)dx<∞. For nonnegative g the expectation may instead be infinite. Finite expectations add linearly without assuming independence.
Conditions and scope
- A density is one form of a probability law; discrete and mixed laws use their corresponding measure.
- A finite signed expectation cannot be obtained by subtracting two infinite integrals.
Sources · 1
References
Sources retain their recorded scope. A source link alone does not establish verification of every statement.
Evidence and review
Lecture 2 expectation formulas and linearity; integrability restriction retained.
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Entry details
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- math-continuous-expectation
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- university-core.1
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- University core expansion