Question

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.

Answer 1

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

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

Meanwhile,

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

Each of the $X_i$ have PDF

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

for $x\in\Bbb R$. From this we get

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

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