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Homework for 1/8

1. [4-6] Let X be a continuous random variable with probability density
function f (x) = 2x, 0 x 1.
(a) Find E[X].
(b) Find E[X 2 ].
(c) Find Var[X].
(a) We have

Z
E[X] =

xf (x) dx =

x 2x dx =

2x3
3

 1

 = 2.

3
0

(b) We have
2

E[X ] =

x 2x dx =

x f (x) dx =

x4
2

 1

 = 1.

2
0

(c) We have
Var[X] = E[X 2 ] E[X]2 =

 2
2
1
.
=
3
18

2. [4-31] Let X be uniformly distributed on the interval [1, 2]. Find E[1/X].
Is E[1/X] = 1/E[X]?
Since X is uniformly distributed on [1, 2], the pdf of X is
(
1, 1 x 2
f (x) =
.
0, otherwise
On one hand, we have
Z
Z
E[X] =
xf (x) dx =


x 1 dx =

x2
2

 2

 = 3.

2
1

On the other hand, we have

2
  Z
Z 2

1
1
1
E
=
f (x) dx =
1 dx = (ln x)  = ln 2 ln 1.
X
x
x

1
1
It follows immediately that E[1/X] 6= 1/E[X].

3. [4-42] Let X be an exponential random variable with standard deviation

. Find P(|X E[X]| > k) for k = 2, 3, 4, and compare the results to
the bounds from Chebyshevs inequality.
Since X is exponentially distributed and has variance 2 , the pdf of X is

1 ex/ , x > 0
f (x) =
.

0,
otherwise
It follows immediately that E[X] = . Thus we have
P(|X E[X]| > k) = P(X > (k + 1) or X < (1 k))
Z
1 x/
e
dx we only consider k = 2, 3, 4
=

(k+1)
Z
=
ey dy (change of variable y = x/)
k+1

= e(k+1) .
Therefore, we have
P(|X E[X]| > 2) = e3 = .0498,

P(|X E[X]| > 3) = e4 = .0183,

P(|X E[X]| > 4) = e5 = .0067.

On the other hand, the Chebyshevs inequality gives us
P(|X E[X]| > k)

Var[X]
1
= 2.
k2 2
k

In particular, we have
1
1
= 0.25, P(|X E[X]| > 3) 2 = 0.1111,
2
2
3
1
P(|X E[X]| > 4) 2 = 0.0625.
4

P(|X E[X]| > 2)

4. [4-80] Let X be a continuous random variable with density function

f (x) = 2x, 0 x 1. Find the moment-generating function of X,
M (t), and verify that E[X] = M 0 (0) and that E[X 2 ] = M 00 (0).
2

The mgf of X is
Z
Z 1
M (t) = E[etX ] =
etx f (x) dx =
etx 2x dx

0
"
#
1
Z
1 tx  1 1 tx
= 2 e x
e dx
t
0 t 0
 t



e
1 t
=2
2 e 1
(integration by parts)
t
t

 t
1
e
et
=2
2+ 2 .
t
t
t
Note that by LHospital rule, we have
tet et + 1
tet + et et
=
2
lim
= lim et = 1.
t0
t0
t0
t2
2t

lim M (t) = 2 lim

t0

Furthermore, we have

2et
2et
2
et
2 +
3 , and
M (t) = 2
t
t
t3
t
2 t
t
t
e

2te
+
2et 2
lim M 0 (t) = 2 lim
t0
t0
t3
2 t
t e + 2tet 2tet 2et + 2et
= 2 lim
t0
3t2
2
2
= lim et = ,
3 t0
3


and

et
3et
6et
6et
6
2 +
4 + 4 , and
t
t
t3
t
t
3 t
2 t
t
t
e

3t
e
+
6te
6et + 6
lim M 00 (t) = 2 lim
4
t0
t0
t
t3 et + 3t2 et 3t2 et 6tet + 6tet + 6et 6et
= 2 lim
t0
4t3
1
1
= lim et = .
2 t0
2

M 00 (t) = 2

Combing with the first problem (4-6), we see that E[X] = M 0 (0) and
E[X 2 ] = M 00 (0).

5. [4-91] Use the mgf to show that if X follows an exponential distribution,

cX(c > 0) does also.
Let the pdf of X be
(
f (X) =

ex , x > 0
.
0,
otherwise

Then the mgf of X is

Z
etx ex dx =
MX (t) =
0

( t)e(t) dx =

,
t

for all t < . (The trick here is to identify a pdf for Exp( t)). Let
Y = cX. Then the mgf of Y is
MY (t) = E[etY ] = E[et(cX) ] = E[e(ct)X ] = MX (ct) =

/c

=
,
ct
/c t

for all t with ct < , that is, t < /c. Compare MY (t) to MX (t), we see
that Y is also exponentially distributed and the parameter is /c.
Note that the result
McX (t) = MX (ct)
is generally true as long as the mgf are defined (for example, we need to
make sure ct < ). More generally, we have
MaX+b (t) = ebt MX (t).

Homework for 1/10

1. [5-16] Suppose that X1 , . . . , X20 are independent random variables with
density functions
f (x) = 2x, 0 x 1
Let S = X1 + + X20 . Use the central limit theorem to approximate
P(S 10).
From Problem 1 of Homeowrk 1/8, we have
= E[X] =

2
,
3

and

2 = Var[X] =

1
.
18

Therefore, according the central limit theorem, we have



10 20 23
S 20 23
10 n
S n

= P q
P(S 10) = P
q1
n
n
1
20
20
18

18

P(Z 3.16) = 0.0008,

where Z N (0, 1).

2. [5-17] Suppose that a measurement has mean and variance 2 = 25.

Let X be the average of n such independent measurements. How large
should n be so that P(|X | < 1) = .95?
By applying central limit theorem, we have


|X |
1
<

0.95 = P(|X | < 1) = P

/ n
/ n




1
1
1
P |Z| <
=P <Z<
,
5/ n
5/ n
5/ n
where Z N (0, 1). Since 0.95 = P(1.96 < Z < 1.96), we have
1
= 1.96,
5/ n
which implies that
n = (5 1.96)2 = 96.04 96.

3. [5-18] Suppose that a company ships packages that are variable in weight,
with an average weight of 15 lb and a standard deviation of 10. Assuming
that the packages come from a large number of different customers so that
it is reasonable to model their weights as independent random variables,
find the probability that 100 packages will have a total weight exceeding
1700 lb.
Let X1 , X2 , . . . , X100 denote the weight of these 100 packages, and S100 =
X1 + +X100 the total weight. Since = E[Xi ] = 15 and 2 = Var[Xi ] =
102 for 1 i 100, the central limit theorem gives


1700 100
S100 100

>
P(S100 > 1700) = P
100
100


S100 100 15
1700 100 15

=P
>
10 100
10 100
P(Z > 2) = 0.0228.