# Solution Using the geometric series a/(1 r) = x=1. x=1. Problem For each of the following distributions, compute

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1 Math 472 Homework Assignment 1 Problem Let p(x) 1/2 x, x 1, 2, 3,..., zero elsewhere, be the pmf of the random variable X. Find the mgf, the mean, and the variance of X. Solution Using the geometric series a/(1 r) x1 arx 1 for r < 1, we are able to compute the mgf of X, m(t) E[e tx ] e tx p(x) e tx /2 x (e t /2) x x1 x1 e t /2 1 (e t /2) (2e t 1) 1, for t < ln 2. With m(t) (2e t 1) 1, we are able to compute the first and second derivatives of m(t), m (t) 2e t (2e t 1) 2 m (t) 2e t (2e t + 1)(2e t 1) 3. The first and second moments of X are m () 2 and 2 m () 6, and the variance is Therefore the mgf, the mean, and the variance of X are x1 m(t) (2e t 1) 1, 2, 2 2. Problem For each of the following distributions, compute P ( 2 < X < + 2). (1) f(x) 6x(1 x), < x < 1, zero elsewhere. (2) p(x) 1/2 x, x 1, 2, 3,..., zero elsewhere. Solution (1) The mean and second moment are 2 xf(x) dx x 2 f(x) dx 6x 2 (1 x) dx 1/2 6x 3 (1 x) dx 3/1, so the variance is /1 (1/2) 2 1/2 and the standard deviation is 1/ 2 5/1 <.224. Hence P ( 2 < X < + 2) P ( < X < ) x(1 x) dx

2 2 Remark: f(x) 6x(1 x) is the density for a Beta distribution with parameters α 2, β 2, so you can quickly find the mean and variance using the equations on page 667. (2) From problem 1.9.2, we know that 2 and 2. Since < and P ( 2 < X < + 2) P (X 4) x Problem Let a random variable X of the continuous type have a pdf f(x) whose graph is symmetric with respect to x c. If the mean value of X exists, show that E[X] c. x1 Solution Given that f(c x) f(c+x), we will show that E[X c] E[X] c. E[X c] c (x c)f(x) dx (x c)f(x) dx + c (x c)f(x) dx. In the first integral, make the substitution x c u, dx du and in the second integral make the substitution x c + u, dx du. Then E[X c] c (x c)f(x) dx + uf(c u) du + c uf(c + u) du + (x c)f(x) dx. uf(c + u) du uf(c + u) du, as desired. We conclude that if the density function for a random variable X is symmetric about the point c, then E[X] c. Problem Let the random variable X have mean, standard deviation, and mgf M(t), h < t < h. Show that [ ] [ (X ) ] X 2 E, E 1, and { [ ( )]} ( ) X t E exp t e t/ M, h < t < h.

3 Solution Using the linear properties of expected value (see Theorem 1.8.2) and the definition of E[X], we calculate [ ] X E[X ] E E[X], which verifies the first equation. Using the linear properties of expected value again and the definition of 2 E[(X ) 2 ], we calculate [ (X ) ] 2 [ ] (X ) 2 E E 2 E[(X )2 ] , which verifies the second equation. If h < t < h then h < t/ < h, which shows that t/ is in the domain of M. Using the definition of M(t) E[exp(tX)] and the linear properties of the expected value, we calculate e t M ( t ) e t E [e t X] E which verifies the third equation. [e t e t X] E [e t ] t X E 3 ] [e t (X ), Problem Show that the moment generating function of the random variable X having the pdf f(x) 1/3, 1 < x < 2, zero elsewhere, is { e 2t e t M(t) 3t, t 1, t. Solution As with every mgf, M() E[e ] E[1] 1. For t, M(t) E [ e tx] 2 e tx e tx 2 etx f(x) dx dx e2t e t. 3 3t 3t Problem Let X denote a random variable such that K(t) E[t X ] exists for all real values of t in a certain open interval that includes the point t 1. Show that K (m) (1) is equal to the mth factorial moment E[X(X 1) (X m + 1)]. Solution Differentiating k(t) t x m times we find m 1 k (m) (t) x(x 1) (x m + 1)t x m. We may therefore expand t x in its Taylor series about t 1 t x k (m) (t 1)m (t 1)m (1) x(x 1) (x m + 1). m! m! m 1

4 4 Using this Taylor series we see that K(t) E [ [ ] t X] (t 1)m E X(X 1) (X m + 1) m! m E [X(X 1) (X m + 1)] m K (m) (t 1)m (1). m! m Comparing the last two series shows that (t 1)m m! K (m) (1) E [X(X 1) (X m + 1)]. Problem Let X be a random variable. If m is a positive integer, the expectation E[(X b) m ], if it exists, is called the mth moment of the distribution about the point b. Let the first, second, and third moments of the distribution about the point 7 be 3, 11, and 15, respectively. Determine the mean of X, and then find the first, second, and third moments of the distribution about the point. Solution We are given E[X 7] 3, E[(X 7) 2 ] 11, and E[(X 7) 3 ] 15. Expanding the first equation gives E[X 7] E[X] 7 7 3, and therefore 1. Continuing the calculations, E[(X ) 2 ] E[(X 1) 2 ] E { [(X 7) 3] 2} E[(X 7) 2 6(X 7) + 9] E[(X 7) 2 ] 6E[X 7] E[(X ) 3 ] E[(X 1) 3 ] E { [(X 7) 3] 3} E[(X 7) 3 ] 9E[(X 7) 2 ] + 27E[X 7] Thus the first, second, and third moments of X about the mean 1 are respectively, 2, and 3. Problem Let X be a random variable with a pdf f(x) and mgf M(t). Suppose f is symmetric about ; i.e., f( x) f(x). Show that M( t) M(t).

5 Solution We will use the substitution x u, dx du in the following calculation. M( t) M(t). e ( t)x f(x) dx e tu f( u) du e t( x) f(x) dx e tu f(u) du Problem If X is a random variable such that E[X] 3 and E[X 2 ] 13, use Chebyshev s inequality to determine a lower bound for the probability P ( 2 < X < 8). Solution Chebyshev s inequality states that P ( X < k) 1 (1/k 2 ). In this problem 3 and , giving 2. Thus P ( 2 < X < 8) P ( 5 < X 3 < 5) P ( X 3 < 5) P ( X 3 < 5 2 2) ( ) From the Chebyshev inequality we conclude that P ( 2 < X < 8) 21/25. Problem Let X be a random variable with mgf M(t), h < t < h. Prove that P (X a) e at M(t), < t < h, and that P (X a) e at M(t), h < t <. Solution We will use Markov s inequality (Theorem 1.1.2), which states that if u(x) and if c > is a constant, then P (u(x) c) E[u(X)]/c. We will also use the facts that increasing functions preserve order and decreasing functions reverse order. Consider the function u(x) e tx >, which is an increasing function of x as long as t >. So, for t > we have that X a if and only if e tx u(x) u(a) e ta. Applying Markov s inequality and the definition of M(t) we have for < t < h P (X a) P (e tx e ta ) E[e tx ]/e ta e ta M(t). When t <, u(x) e tx > is a decreasing function of x, so X a if and only if e tx u(x) u(a) e ta. Applying Markov s inequality again we have for h < t < P (X a) P (e tx e ta ) E[e tx ]/e ta e ta M(t). 5

6 6 Problem The mgf of X exists for all real values of t and is given by M(t) et e t, t, M() 1. 2t Use the result of the preceding exercise to show that P (X 1) and P (X 1). Solution Taking a 1 in problem 1.1.4, we see that for all t >, P (X 1) e t M(t) (1 e 2t )/(2t). Taking the limit as t 1 e 2t P (X 1) lim t 2t which shows that P (X 1). Taking a 1 in problem 1.1.4, we see that for all t <, P (X 1) e t M(t) (e 2t 1)/(2t). Taking the limit as t e 2t 1 P (X 1) lim t 2t which shows that P (X 1). Problem If (1 2t) 6, t < 1/2, is the mgf of the random variable X, find P (X < 5.23). Solution The mgf of X is that of a χ 2 -distribution with r 12 degrees of freedom. Using Table II on page 658, we see that the probability P (X < 5.23).5. Problem If X is χ 2 (5), determine the constants c and d so that P (c < X < d).95 and P (X < c).25. Solution Using Table II on page 658 we find P (X <.831).25 and P (X < ).975. So, with c.831 and d we have P (c < X < d) and P (X < c).25. Problem Find P (3.28 < X < 25.2) if X has a gamma distribution with α 3 and β 4. Solution The mgf of X is M X (t) (1 4t) 3. From this we see that M(t/2) E[e tx/2 ] (1 2t) 3, which is the mgf for a χ 2 with r 6 degrees of freedom. Using Table II on page 658 we calculate P (3.28 < X < 25.2) P (1.64 < X/2 < 12.6) Problem Show that (1) z k 1 e z Γ(k) dz k 1 x x e, k 1, 2, 3,.... x! This demonstrates the relationship between the cdfs of the gamma and Poisson distributions.

7 Solution An easy calculation shows that equation (1) is valid for k 1, which establishes the base case for an induction proof. The key to establishing the induction step is the following calculation: (2) k e Γ(k + 1) zk e z Γ(k + 1) d dz [ zk e z ] dz Γ(k + 1) kzk 1 e z kγ(k) zk 1 e z Γ(k) + zk e z Γ(k + 1) dz + zk e z Γ(k + 1) dz. Now add k e /Γ(k + 1) to both sides of equation (1) to obtain z k 1 e z Γ(k) dz + k e k 1 Γ(k + 1) x x e x! + k e Γ(k + 1) k x e. x! Using equation (2) to simplify the left hand side of the previous equation yields z k e z k Γ(k + 1) dz x e, x! which shows that equation (1) is true for k + 1 if it is true for k. Therefore, by the principle of mathematical induction, equation (1) is true for all k 1, 2, 3,.... Problem Let X have a gamma distribution with parameters α and β. Show that P (X 2αβ) (2/e) α. Solution From appendix D on page 667, we see that the mgf for X is M(t) (1 βt) α for t < 1/β. Problem shows that for every constant a and for every t > in the domain of M(t), P (X a) e at M(t). Applying this result to our gamma distributed random variable we have for all < t < 1/β P (X 2αβ) x e 2αβt (1 βt) α. Let us try to find the minimum value of y e 2αβt (1 βt) α over the interval < t < 1/β. A short calculation shows that the first two derivatives of y are y αβe 2αβ (1 βt) α 1 (2βt 1) y αβ 2 e 2αβ (1 βt) α 2 [ 1 + α(2βt 1) 2]. x 7

8 8 Since y at t 1/(2β) (, 1/β) and since y > we see that y takes its minimum value at t 1/(2β) and therefore ( ) P (X 2αβ) e 2αβt 2 α (1 βt) α. e t 1 2β Problem Let X have a Poisson distribution with parameter m. If m is an experimental value of a random variable having a gamma distribution with α 2 and β 1, compute P (X, 1, 2). Solution We will be using techniques from the topic of joint and conditional distributions. We are given that m has a gamma distribution with α 2 and β 1, therefore its marginal probability density function is f m (m) me m for m >, zero elsewhere. For the random variable X, we are given the conditional probability mass function given m is p(x m) m x e m /x! for x, 1, 2,... and m >, zero elsewhere. From the given information we are able to determine that the joint mass-density function is f(x, m) p(x m)f m (m) m x+1 e 2m /x! for x, 1, 2,... and m >, zero elsewhere. We calculate the marginal probability mass function for X, p X (x) f(x, m) dm m x+1 e 2m dm (letting u 2m, du 2dm) x! 1 2 x+2 u (x+2) 1 e u du x! Γ(x + 2) 2 x+2 x! x x+2, for x, 1, 2,..., zero elsewhere. This allows us to find P (X ) p X () 1 4, P (X 1) p X (1) 1 4, P (X 2) p X (2) Determine the constant c in each of the following so that each f(x) is a β pdf: (1) f(x) cx(1 x) 3, < x < 1, zero elsewhere. (2) f(x) cx 4 (1 x) 5, < x < 1, zero elsewhere. (3) f(x) cx 2 (1 x) 8, < x < 1, zero elsewhere.

9 9 Solution (1) c 1/B(2, 4) Γ(6)/(Γ(2)Γ(4)) 5!/(1!3!) 2. (2) c 1/B(5, 6) Γ(11)/(Γ(5)Γ(6)) 1!/(4!5!) 126. (3) c 1/B(3, 9) Γ(12)/(Γ(3)Γ(9)) 11!/(2!8!) 495. Problem Show, for k 1, 2,..., n, that p n! (k 1)!(n k)! zk 1 (1 z) n k dz k 1 x ( ) n p x (1 p) n x. x This demonstrates the relationship between the cdfs of the β and binomial distributions. Solution This problem is very similar to problem In this case the key to the induction step is the following calculation: ( ) n p k (1 p) n k n! 1 k k!(n k)! zk (1 z) n k p [ ] d n! dz k!(n k)! zk (1 z) n k dz p p p kn! k!(n k)! zk 1 (1 z) n k (n k)n! + k!(n k)! zk (1 z) n k 1 dz n! (k 1)!(n k)! zk 1 (1 z) n k n! + k!(n k 1)! zk (1 z) n k 1 dz The rest of the proof is similar to the argument in problem Remark: an alternate proof is to observe that k 1 ( n x x) p x (1 p) n x is a telescoping series, when you take advantage of the above calculation. Problem Let X 1 and X 2 be independent random variables. Let X 1 and Y X 1 + X 2 have chi-square distributions with r 1 and r degrees of freedom, respectively. Here r 1 < r. Show that X 2 has a chi-square distribution with r r 1 degrees of freedom. Solution From appendix D on page 667, we see that the mgfs of X 1 and Y are, respectively, M X1 (t) (1 2t) r 1/2 and M Y (t) (1 2t) r/2. Since Y X 1 + X 2 is the sum of independent random variables, M Y (t) M X1 (t)m X2 (t) (by Theorem 2.2.5). Solving, we find that M X2 (t) M Y (t) (1 2t) r/2 M X1 (t) (1 2t) r 1/2 (1 2t) (r r 1)/2, which is the mgf of a chi-square random variable with r r 1 degrees of freedom. Therefore, by Theorem 1.9.1, X 2 has a chi-square distribution with r r 1 degrees of freedom.

10 1 Problem Let X 1, X 2 be two independent random variables having gamma distributions with parameters α 1 3, β 1 3 and α 2 5, β 2 1, respectively. (1) Find the mgf of Y 2X 1 + 6X 2. (2) What is the distribution of Y? Solution (1) The mgfs of X 1 and X 2 are, respectively, M X1 (t) (1 3t) 3 and M X2 (t) (1 t) 5. Since X 1 and X 2 are independent, theorem implies that M Y (t) E [e ] t(2x 1+6X 2 ) E [ e 2tX 1 e 6tX ] 2 E [ e 2tX 1 ] E [ e 6tX 2 ] M X1 (2t)M X2 (6t) (1 3(2t)) 3 (1 1(6t)) 5 (1 6t) 8. (2) Since (1 6t) 8 is the mgf of a gamma distribution with parameters α 8 and β 6, Theorem shows that Y has a gamma distribution with parameters α 8 and β 6.

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