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Let the random variables $X_1, X_2, \dots X_n$ denote a random sample from a population.

The sample mean of these random variables is: $\overline{X}=\frac{1}{n}\sum\limits_{i=1}^{n}X_i$

I would like to show that the mean of the sampling distribution of the sample mean is $\mu$, the population mean.

Here's what I have done:

$$\begin{align} E(\overline{X}) &= \int\limits_{\overline{X}} \bar{x} f(\bar{x})\,\, d\bar{x} \\ &=\int\limits_{\overline{X}} \left(\frac{1}{n} \sum\limits_{i=1}^n X_i \right) f(\bar{x}) \, d\bar{x} \end{align}$$

From here, I am not sure what to do anymore but anyway I end up with:

$$\begin{array} {cc} &=& \frac{1}{n} \left( \int\limits_{\overline{X}}X_1f(\bar{x}) \, d\bar{x} + \int\limits_{\overline{X}}X_2f(\bar{x}) \, d\bar{x}+ \dots + \int\limits_{\overline{X}}X_nf(\bar{x}) \, d\bar{x}\right) \end{array}$$

Now, I don't know how to complete this as I am unsure how to interpret the last equation. Somehow, the $\int\limits_{\overline{X}}X_if(\bar{x}) \, d\bar{x}$ is suppose to equal to $\mu$ but I don't see how that can be true.

I know the answer will be $\mu$ because of here but I would like to arrive at the answer using integrals instead.

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  • $\begingroup$ The approach in this answer may help you, math.stackexchange.com/questions/506352/… $\endgroup$ – Alecos Papadopoulos Oct 6 '13 at 22:02
  • $\begingroup$ @AlecosPapadopoulos Thanks for the link. I can't follow it very well yet as I have not covered the topics you touched on. Is trying to arrive at the answer using integrals really more complicated than relying on the properties of expected values? $\endgroup$ – mauna Oct 6 '13 at 22:09
  • $\begingroup$ It is more complicated, although not really more complex. You cannot avoid the joint density and the multiple integrals, since the sample mean is a function of many random variables (and you do not assume that the variables are independent in order to prove unbiasedness of the sample mean). $\endgroup$ – Alecos Papadopoulos Oct 6 '13 at 22:12
  • $\begingroup$ Okay, noted. Then I will have to revisit this question later on in the future. But I would appreciate it if you can post a complete answer. That way, I can accept it and mark this question as answered. $\endgroup$ – mauna Oct 6 '13 at 22:26
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No problem giving a complete answer. Let's see

As already stated, the sample mean is a function of many random variables, and so the symbol $E$ refers to the expected value with respect to their joint distribution. Denoting $\mathbf X$ the multivariate vector of the $n$ r.v.'s, their joint density can be written as $f_{\mathbf X}(\mathbf x)= f_{X_1,...,X_n}(x_1,...,x_n)$ and their joint support $D = S_{X_1} \times ...\times S_{X_n}$

The sample mean is a function of this multivariate vector, $\bar X = \frac 1n \sum_{i=1}^{n}X_i = g(\mathbf X)$. Using the Law of Unconcscious Statistician We have

$$E[\frac 1n \sum_{i=1}^{n}X_i] = \int_D g(\mathbf x)f_{\mathbf X}(\mathbf x)d\mathbf x$$.

Under convergence regularity conditions we can decompose the multidimensional integral into an n-iterative integral:

$$E[\frac 1n \sum_{i=1}^{n}X_i] = \int_{S_{X_n}}...\int_{S_{X_1}}\left[\frac 1n \sum_{i=1}^{n}x_i\right]f_{X_1,...,X_n}(x_1,...,x_n)dx_1...dx_n $$

and using the linearity of integrals we can decompose into

$$ = \frac 1n\int_{S_{X_n}}...\int_{S_{X_1}}x_1f_{X_1,...,X_n}(x_1,...,x_n)dx_1...dx_n \; + ...\\ ...+\frac 1n\int_{S_{X_n}}...\int_{S_{X_1}}x_nf_{X_1,...,X_n}(x_1,...,x_n)dx_1...dx_n $$

For each n-iterative integral we can re-arrange the order of integration so that, in each, the outer integration is with respect to the variable that is outside the joint density. Namely,

$$\frac 1n\int_{S_{X_n}}...\int_{S_{X_1}}x_1f_{X_1,...,X_n}(x_1,...,x_n)dx_1...dx_n = \\\frac 1n\int_{S_{X_1}}x_1\int_{S_{X_n}}...\int_{S_{X_2}}f_{X_1,...,X_n}(x_1,...,x_n)dx_2...dx_ndx_1$$

and in general

$$\frac 1n\int_{S_{X_n}}...\int_{S_{X_j}}...\int_{S_{X_1}}x_jf_{X_1,...,X_n}(x_1,...,x_n)dx_1...dx_j...dx_n =$$ $$=\frac 1n\int_{S_{X_j}}x_j\int_{S_{X_n}}...\int_{S_{X_{j-1}}}\int_{S_{X_{j+1}}}...\int_{S_{X_1}}f_{X_1,...,X_n}(x_1,...,x_n)dx_1...dx_{j-1}dx_{j+1}......dx_ndx_j$$

As we calculate one-by-one the integral in each n-iterative integral (starting from the inside), we "integrate out" a variable and we obtain in each step the "joint-marginal" distribution of the other variables. Each n-iterative integral therefore will end up as $\frac 1n\int_{S_{X_j}}x_jf_{X_j}(x_j)dx_j$.

Bringing it all together we arrive at

$$E[\frac 1n\sum_{i=1}^{n} X_i ] = \frac 1n\int_{S_{X_1}}x_1f_{X_1}(x_1)dx_1 +...+\frac 1n\int_{S_{X_n}}x_nf_{X_n}(x_n)dx_n $$

But now each simple integral is the expected value of each random variable separately, so

$$= E[\frac 1n\sum_{i=1}^{n} X_i ] = \frac 1nE(X_1) + ...+\frac 1nE(X_n) = \frac 1nE(X) + ...+\frac 1nE(X)$$ $$= \frac 1n nE(X) = E(X)$$

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You should not confuse the argument to the probability density function with the random variable. Often one uses a lower-case letter for the former and a capital letter for the latter. For example, if the density function for the random variable $X$ is $f$, then one can speak of $\int_{-\infty}^\infty xf(x)\,dx$, and the lower-case "$x$" is not the random variable $X$. It is analogous to such things as "$P(X\le x)$": the "$X$" and the "$x$" mean two different things. One can also write $f(3)$, and it doesn't mean the density function of a random variable called "$3$"; it means the value at the number $3$, of the random variable $X$.

Thus one can write $f_X(4)$ and $f_Y(4)$ and they're the values at $4$ of the density functions of two different random variables $X$ and $Y$.

If you're writing $$ \mathbb E(\bar X) = \int_{-\infty}^\infty \bar x f(\bar x)\,d\bar x, $$ then that means the same thing as $$ \mathbb E(\bar X) = \int_{-\infty}^\infty x f_{\bar X}(x)\,dx. $$ You can't put the random variable $\bar X$ in place of the bound variable $\bar x$.

To understand this, it may help to realize that $$ \sum_{j=1}^3 (i^2 j^3) \text{ and } \sum_{k=1}^3 (i^2 k^3) $$ both mean $$ i^2 1^3 + i^2 2^3 + i^2 3^3, $$ and thus both depend on the value of the "free variable" $i$ but not on any value of the "bound variable" that is either $j$ or $k$. There's no $j$ or $k$ for them to depend on. One can freely change the name of the bound variable from $j$ to $k$ without changing the value of the expression.

The same thing applies to $$ \mathbb E(X) = \int_{\mathbb R} x f_X(x)\,dx = \int_{\mathbb R} w f_X(w)\,dw. $$ One can freely change the name of the bound variable from $x$ to $w$. But the capital $X$ still refers to the same random variable.

If you intend $f$ to be the density function of $\bar X$, then in your second displayed line in your question, $f$ is still the density function of the random variable $\bar X$.

If I wanted to do this by using the density function of the sample mean $\bar X$, I'd actually need to show how that function depends on the density function of $X_1$. That would be an $n$-gold convolution.

I wouldn't do it that way if I could help it. Instead I'd use the linearity of expectation, thus: $$ \mathbb E\left(\frac{X_1+\cdots+X_n}{n}\right) = \frac1n\mathbb E(X_1+\cdots+X_n) = \frac1n((\mathbb E X_1)+\cdots+(\mathbb E X_n)) $$

There is of course the problem of how to prove the linearity of expectation. Maybe that's posted here somewhere as a separate question already.

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