Defining random variable which follows multiple distribution by case

probability distributionsrandom variablesstatistics

It might be a stupid question but, I want to ask that it is possible to define a special random variable described as follow,

Let $Y$ to be a random variable which I want to define. Then,

$$
Y \sim \left\{
\begin{array}{ll}
N_{1}(\mu_{1}, \sigma_{1}) & \quad \text{with probability of 0.3} \\
N_{2}(\mu_{2}, \sigma_{2}) & \quad \text{with probability of 0.5} \\
N_{3}(\mu_{3}, \sigma_{3}) & \quad \text{with probability of 0.2} \\
\end{array}
\right.
$$

  1. Is it possible to define $Y$ as a random variable following above probability distribution?

  2. If possible, how can I get $E(Y)$ and $Var(Y)$? Can I calculate the $E(Y)$ in an intuitive way like the below or there is another right way to calculate the expectation and variation?

$$
E(Y) = 0.3E(N_{1}) + 0.5E(N_{2}) + 0.2E(N_{3})$$

  1. If there is any theory or keyword about this, please let me know about it. I tried to google about my problem but I couldn't because I don't know what to search.

I always appreciate so much for your sincere help, thank you.

Best Answer

The terminology is that $Y$ is a mixture distribution. More precisely, it is a finite mixture of the r.v.s $N_1,N_2,N_3$ with weights $0.3,0.5,0.2$. The probability density of $Y$ is then simply the mixture density $$f_Y(y)=0.3f_{N_1}(y)+0.5f_{N_2}(y)+0.2f_{N_3}(y).$$ That immediately implies your conjecture for $E(Y)$, and indeed in general one has $$E[H(Y)]=0.3E[H(N_1)]+0.5E[H(N_2)]+0.2E[H(N_3)]$$ for any function $H(\cdot)$ with finite expectated value. (For proof and applications, see the Wikipedia link above.)

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