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Old 04-28-2012, 07:02 PM
pventurelli@gotoibr.com pventurelli@gotoibr.com is offline
Join Date: Apr 2012
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Default Questions on Probability

I have a question on the use of the Expectation Value operation as used in the class and the book.

My (simplistic) understanding of the expectation value of a quantity is basically like taking a weighted average: for random variable X with probability distribution Pr(X) the expectation value would be either a sum (if X is discrete) or an integral (X is continuous) over all X values of X_i * Pr(X=X_i). And then I would multiply everything by a 1/N or a 1/Delta(X).

Is this more or less what is meant in the class by the E[] notation? Maybe I just need to become more comfortable using this operation, however language like that on page 61 of the book where the in sample error is defined as an averaging procedure in (implied?) contrast to the definition of E_out leaves me confused. Isn't expectation a weighted average *by definition*?

Thanks for your help!
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