Skip to main content

A Proof of the Law of the Unconscious Statistician

It's simple (and highly useful) enough in practice. If g(X)g(X) is some function of Random Variable XX,

E[g(X)]=SUM[g(x).fX(x)]E[g(X)] = \text{SUM}[g(x).f_X(x)]

I do not completely understand the proof but here it is for reference.