expected value calculation for squared normal distribution
I need help with the following problem. Suppose $Z=N(0,s)$ i.e. normally distributed random variable with standard deviation $\sqrt{s}$. I need to calculate $E[Z^2]$. My attempt is to do something like \begin{align} E[Z^2]=&\int_0^{+\infty} y \cdot Pr(Z^2=y)dy\\ =& \int_0^{+\infty}y\frac{1}{\sqrt{2\pi s}}e^{-\frac y{2s}}dy\\ =&\frac{1}{\sqrt{2\pi s}}\int_0^{\infty}ye^{-\frac y{2s}}dy. \end{align}
By using integration by parts we get
$$\int_0^{\infty}ye^{-\frac y{2s}}dy=\int_0^{+\infty}2se^{-\frac y{2s}}dy=4s^2.$$
Hence $E[Z^2]=\frac{2s\sqrt{2s}}{\sqrt{\pi}},$ which does not coincide with the answer in the text. Can someone point the mistake?
$\endgroup$ 22 Answers
$\begingroup$This is old, but I feel like an easy derivation is in order.
The variance of any random variable $X$ can be written as $$ V[X] = E[X^2] - (E[X])^2 $$
Solving for the needed quantity gives $$ E[X^2] = V[X] + (E[X])^2 $$
But for our case, $E[X] = 0$, so the answer of $\sigma^2$ is immediate.
$\endgroup$ $\begingroup$The answer is $s = \sigma^2$. The integral you want to evaluate is
$$E[Z^2] = \frac{1}{\sqrt{2 \pi} \sigma} \int_{-\infty}^{\infty} dz \: z^2 \exp{(-\frac{z^2}{2 \sigma^2})}$$
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