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HW1 Solutions
HW1 Solutions
Calculation of mean:
Z
E[X] =
xfX (x) dx
Z
exp xa
x
b
2 dx
b 1 + exp xa
b
Calculation of variance:
E[X 2 ] =
Z
Z
x2 fX (x) dx
exp xa
x2
b
2 dx
b 1 + exp xa
b
Again using the change of variable t = exp
E[X 2 ] =
(a b log t)2
dt
(1 + t)2
a2
dt + b2
(1 + t)2
Z
=
0
xa
b
log t
1+t
Hence
V [X] = E[X 2 ] E[X]2 = a2 +
2
dt = a2 +
b2 2
3
b2 2
b2 2
a2 =
3
3
Calculation of m.g.f.:
Z
MX (t) =
Z
etx fX (x) dx
exp xa
etx
b
2 dx
b 1 + exp xa
b
b
log
du =
2
b 1 + exp xa
u
b
bt
Z 1
Z 1
1
MX (t) = eat
1
du = eat
ubt (1 u)bt du
u
0
0
u=
) e( x
2 )
v
2( 2 ) v2
x(
v2
2
0 x < ; p = 1, 2, ...
Calculation of mean:
Z
E[X] =
xfX (x) dx
Z ( v2 ) ( x
) e( x
2 )
x e 2 )
x
dx
=
=
dx
v
v
0
0
2( 2 ) v2
2( 2 ) v2
x
Z
v
x( 2 ) e( 2 )
v+2
= 2
dx
v+2
2
0
2( 2 ) v v+2
x(
v2
2
=v
0
v2
x
x( 2 ) e( 2 )
dx
v
2( 2 ) v2
= v
Calculation of variance:
Z
E[X 2 ] = x2 fX (x) dx
x
Z ( v+2
) e( x
2 )
x 2 ) e( 2 )
x
=
=
dx
dx
v
v
0
0
2( 2 ) v2
2( 2 ) v2
x
Z
v
v+4
x( 2 ) e( 2 )
= 4
dx
v+4
2
0
2( 2 ) v2 v+4
2
x
v v + 2 Z x( v2
2 ) e( 2 )
=4
= v(v + 2)
dx
v
2
2
0
2( 2 ) v2
x(
v2
2
e
0
tx
) e( x
2 )
dx
v
2( 2 ) v2
x(
v2
2
Z
=
0
x(
) e( x(12t)
)
2
dx
v
2( 2 ) v2
v2
2
Consider the change of variable u = x(1 2t), then du = (1 2t)dx. Also, u = 0 for x =
0 and u = for x = (when t < 1/2)
v2
u
v2
Z
v
(1 2t)( 2 ) u( 2 ) e( 2 )
1
MX (t) =
= (1 2t) 2 ,
for t <
du
v
v
(
)
1 2t
2
0
2 2 2
Calculation of mean:
Z
E[X] = xfX (x) dx
Z
x
|x |
=
exp
dx
2
Z
Z
x
x
x
(x )
=
exp
dx +
exp
dx
= + + =
(using integration by parts)
2
2
2
2
Calculation of variance:
Z
2
E[X ] = x2 fX (x) dx
Z 2
x
|x |
=
exp
dx
2
Z 2
Z 2
x
x
x
(x )
=
exp
dx +
exp
dx
Z
Z
x
2
(x )
2
x exp
dx +
+
x exp
dx
(using integration by parts)
=
2
2
2
+ 2 +
+ + 2 = 2 + 2 2
2
2
Hence
V [X] = E[X 2 ] E[X]2 = 2 + 2 2 2 = 2 2
Calculation of m.g.f.:
Z
MX (t) = etx fX (x) dx
Z
|x |
tx 1
=
e
exp
dx
2
Z
Z
1
x
x
+
=
exp tx
exp tx
2
Z
Z
1
x(t + 1)
x(t 1) +
=
+
exp
exp
2
1
=
exp t
exp t
(for |t| < 1/)
2 t + 1
t 1
et
=
,
for |t| < 1/
1 (t)2
( +1
2 ) 1
( 2 )
1
1+
x2
+1
2
Calculation of mean:
Z
E[X] =
xfX (x) dx
Z
=
( +1
2 ) 1
( 2 )
x
0
dx
+1
2
x2
1+
x2 fX (x) dx
E[X ] =
x2
=
0
=2
0
( +1
2 ) 1
( 2 )
( +1
2 ) 1
( 2 )
x2
,
( +1
2 ) 1
( 2 )
then dt =
1
1+
x2
x2
1+
dx
+1
2
dx
+1
2
2x
dx
2 1 (1 + t) 2 ( 2 1) dx
3
( +1
2 ) 1
B
= 2 3/2
( 2 )
3
, 1
2 2
23 2 1
( +1
2 ) 1
= 2 3/2
( 2 )
+1
2
=
2
=
( 2 )
0
With the same change of variable t =
E[X k ] =
xk
1+
x2
dx
+1
2
x2
,
(k+1)
( +1
2 ) 1 1
( 2 )
2
(k+1)
1
2
(1 + )
(k+1)
( +1
2 ) 1 1
=
2 B
( 2 )
2
k
1 k k+1
2
2
= 2
2
2 21
k+1 k
,
2
2
(k+1)
(k)
2
2
dt
Since the k-th moment exist only for > k, m.g.f. does not exist.
()
0 x < ; , > 0
Calculation of mean:
Z
E[X] =
xfX (x) dx
x
x
1
x
exp
dx
()
0
Z
1
x
( + 1)
x
exp
=
dx
()
( + 1) +1
0
Z
Calculation of variance:
Z
E[X] = x2 fX (x) dx
Z
x
x2
1
=
x
exp
dx
()
0
Z
1
x
2 ( + 2)
+1
=
x
exp
dx
()
( + 2) +2
0
= ( + 1) 2
Hence V [X] = E[X 2 ] E[X]2 = ( + 1) 2 2 2 = 2
Calculation of m.g.f.:
Z
MX (t) = etx fX (x) dx
Z
etx
x
1
=
x
exp
dx
()
0
Z
1
x(1 t)
1
=
x
exp
dx
()
0
Consider the change in variable u = x(1 t), then du = (1 t)dx
Z
1
1
u
1
dx
MX (t) =
u
exp
(1 t)(1 t)1 0 ()
1
= (1 t) ,
for t <
1
x(1) (1 x)(1)
B(, )
0 x 1 ; , > 0
Calculation of mean:
Z
E[X] =
xfX (x) dx
Z
1
x(1) (1 x)(1) dx
B(, )
0
Z 1
1
x((+1)1) (1 x)(1) dx
=
B(, ) 0
B( + 1, )
( + )( + 1)()
=
=
B(, )
()()( + + 1)
=
+
=
Calculation of variance:
E[X 2 ] =
Z
Z
x2 fX (x) dx
1
1
x(1) (1 x)(1) dx
B(, )
0
Z 1
1
=
x((+2)1) (1 x)(1) dx
B(, ) 0
( + )( + 2)()
B( + 2, )
=
=
B(, )
()()( + + 2)
( + 1)
=
( + )( + + 1)
=
x2
Hence
V [X] = E[X 2 ] E[X]2
( + 1)
=
( + )( + + 1)
()
=
( + )2 ( + + 1)
Calculation of m.g.f.:
2
etx fX (x) dx
MX (t) =
Z
1
x(1) (1 x)(1) dx
B(,
)
0
!
Z 1 X
(tx)k
1
x(1) (1 x)(1) dx
=
B(, ) 0
k!
k=0
k Z 1
X
1
t
=
x(+k)1 (1 x)(1) dx
B(, )
k! 0
etx
1
B(, )
k=0
k
X
k=0
t
B( + k, )
k!
k
X
t B( + k, )
=1+
k! B(, )
k=1
=1+
k k1
X
t Y
k=1
+n
,
k! n=0 + + n
< t <
0 x < ; 1 , 2 = 1, 2, ...
Calculation of mean:
Z
E[X] =
xfX (x) dx
1 /2 Z
1
2
1 +
1
x2
2
dx
=
2
h
i( 1 +
)
2
21 22
2
0
1
1 + 2 x
1
2
1 +2
2
2
2
1
2
1
2 x,
then dt =
2
t
1
1 /2 Z
1 /2
1
2 dx
(1 + t)
(1 +2 )
2
2
1
dt
1 +1 Z
1
2
2 ( 2 ) ( 21 +1)1
t
(1 + t)( 2 +1)( 2 1) dt
=
1
2
1
2 2
0
1 +2
2
1
2
2
=
B
+ 1,
1
1
2
2
21 22
2
1 +
2 ( 21 + 1)( 22 1)
2
2
=
=
1
2
2
1
2 2
1 +
22
2
1 +2
2
1
2
1 /2
Calculation of variance:
2
x2 fX (x) dx
1 /2 Z
2
1 +
1
2
=
h
2
21 22
0
E[X ] =
x
1+
1 +2
2
1
2 x
dx
2
i( 1 +
)
2
2
2
E[X ] =
t
(1 + t)
dt
1
2
2
1
1
2 2
0
1 /2 ( 1 +1) Z
2
2
1
1
2
1 +
1
2
2
t( 2 +2)1 (1 + t)( 2 +2)( 2 2) dt
=
1
2
2
1
2 2
0
1 +2
2
1
2
2
=
+ 2,
2
B
1
2
2
21 22
2
1 +
2 ( 21 + 2)( 22 2)
2
2
=
=
2
1
1 +2
2 2
1
22
2
Calculation of m.g.f: Consider the k-th moment
Z
k
E[X ] = xk fX (x) dx
=
1
2
1 +2
2
2
2
1
2
1 /2 Z
x
h
1+
1 +2(k1)
2
1
2 x
dx
2
i( 1 +
)
2
1
2 x,
1 +k Z
1
2
2 ( 2 ) ( 21 +k)1
t
(1 + t)( 2 +k)( 2 k) dt
1
1
2 2
0
1 +2
2
2
1
2
=
B
+
k,
k
1
2
2
21 22
k
2
(1 /2 + k)(2 /2 k)
=
1
(1 /2)(2 /2)
E[X k ] =
1 +2
2
2
1
2
1 /2
Hence the k-th moment exist only for k < 2 /2, and hence m.g.f. does not exist.
Calculation of mean:
E[X] = E[elog X ]
= E[eY ]
= E[e2Y ]
etx fX (x) dx
Z tx
1
1
e
2
=
exp 2 (log x ) dx
x
2
2 0
Z
1
(log x )2
=
exp tx
log x dx
2 2
2 0
MX (t) =
(log x )2
log x =
2 2
10
2. Suppose X
X
X
X0
X<0
For X 0:
Y = X, X 0 = Y 0 and
dx
=1
dy
dx
fY (y) = fX (x)
dy
1
x2
=
exp 2
2
2 2
For X < 0:
Y = X, X < 0 = Y 0 and
dx
= 1
dy
dx
fY (y) = fX (x)
dy
1
x2
=
exp 2
2
2 2
Hence, the distribution of Y is
1
x2
1
x2
fY (y) =
exp 2 +
exp 2
2
2
2 2
2 2
2
x2
= exp 2 ,
y>0
2
x2
2 2 ,
then dy =
xdx
2
2
2
E[X] =
exp (t) dt =
0
11
Calculation of variance:
Z
E[X 2 ] = x2 fX (x) dx
Z 2
x 2
x2
exp 2 dx
=
2
0
Z
2
x
x2
exp 2
=
=
2
2
Hence
2
2
2
V [X] = E[X ] E[X] = = 1
12
3. Near the end of the nineteenth century Karl Pearson developed the Pearson family
of distributions in which the p.d.f. f (y) satisfies the differential equation
1 d[f (y)]
a+y
=
f (y) dy
b + cy + dy 2
subject to the constraints that f (y) 0 and f (y) integrates to unity. If a formal
solution to the differential equation does not satisfy f (y) 0, then the range of
values of y is restricted to those for which f (y) > 0, and f (y) = 0 is assigned when
y is outside this range. For appropriate choices of a,b,c, and d, show that each of
the following distributions is a member of the Pearson family
(a) Normal distribution
The normal distribution is given as:
(
2 )
1
1 y
f (y) =
exp
2
2
2 2
exp
2
2
2
2
(
)
2
1 y
d[f (y)]
1
y
exp
=
dy
2
2
4
2 2
+ y
1 d[f (y)]
=
f (y) dy
4
1
d[f (y)]
=
dy
2 2
1
y 1 (1 y)1
B(, )
, > 0 ; 0 x 1
dy
B(, )
y
1y
1 d[f (y)]
( 1) + y(2 )
=
f (y) dy
y2 y
Hence beta distribution belongs to the Pearson Family with
1
1
a = 2
, b = 0 , c = d = 2
13
1
y
1
y
exp
()
1)y
=
exp
y
exp
dy
()
d[f (y)]
y
1
1
1
y 1 exp
=
dy
()
1 d[f (y)]
(1 ) + y
=
f (y) dy
y
Hence gamma distribution belongs to the Pearson Family with
a = (1 ), b = d = 0 and c =
(d) Student t-distribution
The student t-distribution is given as:
v+1
1
2
f (y) =
v
v
2
1+
1
( v+1
2 )
2
y
v
v
dy
2
v
v
2
v+1
d[f (y)]
1
2
=
dy
v
v2
1 d[f (y)]
=
f (y) dy
1+
y(1 + v)
v + y2
1
( v+1
2 )
2
y
v
1
( v+3
2 )
2
1 + yv
2y !)
v+1
2
1+
14
v
y2
v
1
2
2
exp x2
2xy
dy
2
2(1 2 )
2 (1 )
Z
1
x2
1
2
p
=
exp
exp
y 2xy dy
2(1 2 )
2(1 2 )
2 (1 2 )
!2
Z
2 x2
x2
y x
1
p
p
dy
exp
exp
exp
2(1 2 )
2(1 2 )
2 (1 2 )
2(1 2 )
2
1
x p
p
=
exp
2(1 2
2
2
2 (1 )
2
1
x
fX (x) = exp
2
2
(b) fY |X (y|x) =
1
2(12 )
h
i
2
exp 12 (yx)
(12 )
f(X,Y ) (x, y)
fX (x)
n
o
1
2
2
exp 2(1
2 ) x + y 2xy
2
=
2
1 exp x
2
2
1
1
2
2
2
2
=p
exp
x + y 2xy x (1 )
2(1 2 )
2(1 2 )
1
1 (y x)2
exp
fY |X (y|x) = p
2 (1 2 )
2(1 2 )
1
(12 )
(c) Cov(X, Y ) =
Covariance is defined as E[XY ] E[X]E[Y ]
15
xy
1
2
2
p
exp
x
+
y
2xy
dy dx
2
2(1 2 )
2 (1 )
Z
!
Z
1
x
x2
p
y exp
exp
y 2 2xy dy dx
=
2(1 2 )
2(1 2 )
2 (1 2 )
!2
2Z
Z
x
x
y
x
p
=
exp
y exp p
dy dx
2
2 (1 2 )
2(1 2 )
E[XY ] =
2(1 )
2Z
p
x
x
2
2
exp
E[XY ] =
(x + t 2(1 ) exp (t ) dt dx
2
2
2
Z 2
x
x
exp
dx
=
2
2
2
Z
x
dx
=
x2 exp
2
2
Z
E[XY ] =
Since E[X] = E[Y ] = 0, Cov(X, Y ) =
16