Homework 2 - Solution

(P.307: 6.2)
Let Y be a random variable with density function given by

(3 / 2) y 2 , 1 y 1,
f ( y)
0, elswhere.
a.
b.
c.

Find the density function of U1 = 3Y.

Find the density function of U2 = 3 - Y.
Find the density function of U3 = Y2.

Solution:
The distribution function of Y is FY ( y )

t dt 12 ( y 3 1), 1 y 1.

3 2
1 2

(a)

FU1 (u ) P(U1 u ) P(3Y u ) P(Y 13 u ) FY ( 13 u ) 12 ( 271 u 3 ) .

Thus, fU1 (u )

dFU1 ( u )
du

181 u 2 , 3 u 3.

(b)

FU 2 (u ) P(U 2 u ) P(3 Y u ) P(Y 3 u ) 1 FY (3 u ) 12 [1 (3 u ) 3 ] .

Thus, fU 2 (u )

dFU 2 ( u )
du

32 (3 u ) 2 , 2 u 4.

(c)
3

FU 3 (u ) P(U 3 u ) P(Y 2 u ) P( u Y u ) FY ( u ) FY ( u ) u 2 .
Thus, fU 3 (u )

dFU3 ( u )
du

32 u 2 , 0 u 1.

(p.317: 6.28)
Let Y be a uniform (0,1) distribution. Show that U = -2ln(Y) has an exponential distribution
with mean 2.
Solution:
If Y is uniform on (0,1), fY(y) = 1, 0 < y < 1. Then Y = e-U/2 and dy/du = (-1/2)e-u/2. Then

fU (u ) 1 12 e

u2

12 e 2 , u 0,

which is exponential with mean 2.

3
Let Y1 ,..., Yn be i.i.d. geometric(p). Using the mgf techniques, find the distribution of

U i 1 Yi .
n

Solution:
By Thm 6.2, mU (t )

i 1

mYi (t ) i 1 1(1pe p ) et ( 1(1pe p ) et ) n .

n

This is the mgf of negative binomial distribution.

By Thm 6.1, U follows negative binomial distribution.
4
Let Y1 ,..., Y10 be i.i.d. Uniform on the interval (0,1).
a. Find the density of Y(1).
b. Find the density of Y(10).
Solution:
Let Y be a uniformly distributed random variable on (0,1).
Then the density function of Y is

1, 0 y 1,
fY ( y)
0, elsewhere.
And the distribution function of Y is

0, y 0,

FY ( y ) y, 0 y 1,
1, y 1.

(a)

g1 ( y ) n(1 F ( y )) n 1 f ( y )
10(1 0)101 (0),

10(1 y )101 (1),

10(1 1)101 (0),

10(1 y ) 9 , 0

0, elsewhere.

y 0,
0 y 1,
y 1,
y 1,

(b)

g10 ( y ) n[ F ( y )]n 1 f ( y )
10(0)101 (0), y 0,

10( y )101 (1), 0 y 1,

10(1)101 (0), y 1,

10 y 9 , 0 y 1,

0, elsewhere.