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STAT 410

0.

Fall 2016

Consider the following joint probability distribution p ( x, y ) of two random


variables X and Y:

a)

pX( x )

0.15

0.10

0.25

0.25

0.30

0.20

0.75

pY( y )

0.40

0.40

0.20

1.00

What is the probability distribution of U = X + Y ?

b)

pX( x )

pU( u )

0.15
u=1

0.10
u=2

0.25

0.25
u=2

0.30
u=3

0.20
u=4

0.75

1
2
3
4

0.15
0.35
0.30
0.20

pY( y )

0.40

0.40

0.20

1.00

What is the probability distribution of V = X Y ?

y
x

pX( x )

pV( v )

0.15
v=0

0.10
v=1

0.25

0.25
v=0

0.30
v=2

0.20
v=4

0.75

0
1
2
4

0.40
0.10
0.30
0.20

pY( y )

0.40

0.40

0.20

1.00

c)

What is the joint probability distribution of U = X + Y and V = X Y ?

y
x

pX( x )

0.15

0.10

0.25

u=1
v=0

u=2
v=1

0.25

0.30

0.20

0.75

u=2
v=0

u=3
v=2

u=4
v=4

0.40

0.40

0.20

pY( y )

1.00

v
u

pU( u )

0.15

0.15

0.25

0.10

0.35

0.30

0.30

0.20

0.20

pV( v )

0.40

0.10

0.30

0.20

1.00

Let X 1 and X 2 have joint p.d.f. f ( x 1 , x 2 ).

S = { ( x 1 , x 2 ) : f ( x 1 , x 2 ) > 0 } support of ( X 1 , X 2 ).
Let Y 1 = u 1 ( X 1 , X 2 ) and Y 2 = u 2 ( X 1 , X 2 ).

y 1 = u 1 ( x 1, x 2 )

one-to-one transformation

y 2 = u 2 ( x 1, x 2 )

maps S onto T support of ( Y 1 , Y 2 ).

x1
y1
J=
x2
y1

x 1 = w 1 ( y 1, y 2 )
x 2 = w 2 ( y 1, y 2 )

x1
y2
x2
y2

The joint p.d.f. g ( y 1 , y 2 ) of ( Y 1 , Y 2 ) is

g ( y 1, y 2 ) =

f ( w 1 ( y 1 , y 2 ), w 2 ( y 1 , y 2 ) ) | J |

( y 1, y 2 ) T

elsewhere.

1.

Let X 1 and X 2 have joint p.d.f. f ( x 1 , x 2 ) = 2 e

a)

Find the joint p.d.f. g ( y 1 , y 2 ) of the variables

( x1 + x2 )

, 0 < x 1 < x 2.

Y 1 = X 2 X 1 and Y 2 = X 1 .

Y2 = X1

X1 = Y2

Y1 = X2 X1

X2 = Y1 + X1 = Y1 + Y2

x1 > 0

y2 > 0

x2 > x1

y1 > 0

f Y 1 , Y 2 ( y 1 , y 2 ) = 2 e ( y 2 + y 1 + y 2 ) | 1 | = 2 e ( y 1 + 2 y 2 ),

J=

0 1
= 1
1 1

y 1 > 0,

y 2 > 0.

Note that

f Y 1 ( y 1 ) = e y 1,

y 1 > 0,

f Y 2 ( y 2 ) = 2 e 2 y 2,

y 2 > 0,

Y 1 and Y 2 are independent.

b)

Find the joint p.d.f. h ( z 1 , z 2 ) of the variables


Z 1 = X 1 + X 2 and Z 2 = X 2 / X 1 .

Z2 = X2 X1

X2 = Z2 X1

Z1 = X1 + X2 = X1 + Z2 X1

X1 = Z1 ( 1 + Z2 )

X2 = Z1 Z2 ( 1 + Z2 )

J =

1
1+ z 2

z2
1+ z 2

z1
(1 + z 2 ) 2
z 1 (1 + z 2 ) z 1 z 2
(1 + z 2 ) 2

1
1+ z 2

z2
1+ z 2

x1 > 0

z1 > 0

x2 > x1

z2 > 1

f Z 1 , Z 2 ( z 1, z 2 ) = 2 e z1

Note that

z1
(1 + z 2 ) 2
z1
(1 + z 2 ) 2

z1
,
(1 + z 2 ) 2

f Z 1 ( z 1 ) = z 1 e z 1,
f Z2( z2 ) =

(1 + z 2 ) 2

z 1 > 0,

z 1 > 0,
,

Z 1 and Z 2 are independent.

z 2 > 1,

z 1 + z 1z 2
z1
=
.
(1 + z 2 ) 3
(1 + z 2 ) 2

z 2 > 1.

2.

Let X 1 and X 2 have the joint probability density function

f X 1 , X 2 ( x 1 , x 2 ) = 15 x1 x 22 ,
a)

0 < x 2 < x1 < 1 ,

zero elsewhere.

Let Y 1 = X 1 + X 2 and Y 2 = X 1 .
Find the joint probability density function of ( Y 1 , Y 2 ), f Y , Y ( y 1 , y 2 ).
1 2
Sketch the support of ( Y 1 , Y 2 ).

X 1 = Y2
J=

X 2 = Y1 Y2

1 1

= 1

x2 > 0

y1 > y2

x1 > x2

y1 < 2 y2

x1 < 1

y2 < 1

f Y 1 , Y 2 ( y 1 , y 2 ) = 15 y 2 ( y 1 y 2 ) 2 | 1 | = 15 y 2 ( y 1 y 2 ) 2,
0 < y 2 < 1, y 2 < y 1 < 2 y 2 .

b)

Let Y 1 = X 1 X 2 and Y 2 = X 1 X 2.

Find the joint probability density function of ( Y 1 , Y 2 ), f Y , Y ( y 1 , y 2 ).


1 2
Sketch the support of ( Y 1 , Y 2 ).

Y2 = X1 X2

X1 = Y2 X2

Y1 = X 1 X 2 = Y 2 X 2 X 2

X 2 = ( Y 1 Y 2 ) = Y 1 Y 2

X 1 = ( Y 1 Y 2 ) = Y 1 Y 2

J =

1 1 2 1 2
y
y2
2 1
1 1 2 1 2
y
y2
2 1

1 1 2 1 2
y y2
2 1
1 1 2 3 2
y1 y 2
2

0 < x2

0 < y1

x2 < x1

y2 > 1

x1 < 1

y2 < 1 / y1

f Y 1 , Y 2 ( y 1 , y 2 ) = 15
= 7.5

y 1 y 2

y1
y2

1
1 1 1 1
.
y2 y2 =
2 y2
4
4

y 13
3 2 3 2
= 7.5 y 1 y 2 ,
y 23

1
2 y2

y 2 > 1, 0 < y 1 < 1 / y 2.

c)

Let Y 1 = X 2 / X 1 and Y 2 = X 1 + X 2 .
Find the joint probability density function of ( Y 1 , Y 2 ), f Y , Y ( y 1 , y 2 ).
1 2
Sketch the support of ( Y 1 , Y 2 ).

Y1 = X2 X1

X2 = Y1 X1

Y2 = X 1 + X 2 = X 1 + Y 1 X 1

X1 = Y2 ( 1 + Y1)

X2 = Y1 Y2 ( 1 + Y1 )

y2
1
1 + y1
(1 + y 1 ) 2
y 2 (1 + y 1 ) y 1 y 2
y1
2
1 + y1
(1 + y 1 )

y2
1
(1 + y 1 ) 2 1 + y 1
y2
y1
2
1 + y1
(1 + y 1 )

J =

y y + y2
y2
= 1 2
=
.
(1 + y 1 ) 3
(1 + y 1 ) 2
0 < x2

y 1 > 0, y 2 > 0

x2 < x1

y1 < 1

x1 < 1

y2 < y1 + 1

y2
y y y
f Y 1 , Y 2 ( y 1 , y 2 ) = 15 2 1 2
1 + y1 1 + y1
(1 + y 1 ) 2

y 12 y 24
= 15
,
(1 + y 1 ) 5

0 < y 1 < 1, 0 < y 2 < y 1 + 1.

3.

Let X and Y have the joint probability density function

f X, Y ( x, y ) = 60 x 2 y,
a)

x > 0, y > 0, x + y < 1,

zero elsewhere.

Let U = X Y and V = X.
Find the joint probability density
function of ( U, V ), f U, V ( u, v ).
Sketch the support of ( U, V ).

U
.
V

X = V,

Y=

x>0

v > 0,

y>0

u > 0,

x+y<1

v+

1
=

J =

v
v2
1

f U, V ( u, v ) = f X, Y ( v,

u
<1
v

u < v v 2.

|J| =

u
u
) | J | = 60 v 2
v
v

1
= 60 u,
v
0 < v < 1,

f U, V ( u, v ) = 0

otherwise.

0 < u < v v 2,

b)

Consider U = X Y. Use the answers to part (a) to find the p.d.f. of U, f U ( u ).

fU( u ) =

f U,V ( u, v ) dv .

u < v v2

v 1 < v < v 2 , where


v1 =

fU( u ) =

= 60 u

f U,V ( u, v ) dv =

v2 =

v2

60 u dv

= 60 u ( v 2 v 1 )

v1

1 4u ,

1
u ,
4

0<u<

1
.
4

1
+
2

1
u .
4

4.

2.7.1 ( 7th and 6th edition )


Let X 1 , X 2 , X 3 be iid, each with the distribution having pdf f ( x ) = e x,
0 < x < , zero elsewhere. Show that
Y1 =

X1
,
X1 + X 2

Y2 =

X1 + X 2
,
X1 + X 2 + X 3

Y3 = X1 + X2 + X3

are mutually independent.

Y1 =

X1
,
X1 + X 2

Y2 =

X1 + X 2
,
X1 + X 2 + X 3

Y3 = X1 + X2 + X3

X1 = Y1 Y2 Y3
X1 + X2 = Y2 Y3

X2 = ( 1 Y1 ) Y2 Y3

X3 = Y3 X1 X2 = Y3 Y2 Y3 = ( 1 Y2 ) Y3

y2 y3
y1 y 3
y1 y 2
J = y 2 y 3 (1 y 1 ) y 3 (1 y 1 ) y 2
(1 y 2 )
0
y3
= ( 1 y 1 ) ( 1 y 2 ) y 2 y 32 + y 1 y 22 y 32 + y 1 ( 1 y 2 ) y 2 y 32 + ( 1 y 1 ) y 22 y 32
= y 2 y 32

f X 1 , X 2 , X 3 ( x 1 , x 2 , x 3 ) = e x 1 e x 2 e x3
f Y 1 , Y 2 , Y 3 ( y 1 , y 2 , y 3 ) = e y 3 y 2 y 32 = y 2 y 32 e y 3,
0 < y 2 < 1,

0 < y 3 < .

f Y2( y2 ) = 2 y 2 ,

0 < y 2 < 1,

0 < y 1 < 1,

f Y 1 ( y 1 ) = 1,

0 < y 1 < 1,

f Y3( y3 ) =

1 2 y3
y e ,
2 3

Y 1 , Y 2 , Y 3 are mutually independent.

0 < y 3 < .

5.

Let X 1 and X 2 have independent Gamma distributions with parameters

, and , , respectively. Consider


Y1 =

X1
X1 + X 2

and Y 2 = X 1 + X 2 .

Show that Y 1 has a Beta distribution with parameters and , Y 2 has


a Gamma distribution with parameters + and , and Y 1 and Y 2 are
independent.

X1 = Y1 Y2

X2 = Y2 X1 = Y2 Y1 Y2

0 < y 1 < 1,

y 2 > 0.

J=

y2
y1
y 2 1 y1

f Y1 Y2 ( y 1 , y 2 ) =
=

= y2

( y1 y 2 )
( )
1

1e( y1 y2 )

( )

( y 2 y1 y 2 ) 1e( y2 y1 y2 ) y 2

( + )
1
( y1 ) 1(1 y1 ) 1
( y 2 ) + 1e y2 ,

( ) ( )
( + )
0 < y 1 < 1, y 2 > 0.

Y 1 has a Beta distribution with parameters and ,


Y 2 has a Gamma distribution with parameters + and ,
Y 1 and Y 2 are independent.

6.

Let X 1 and X 2 be independent random variables, each with p.d.f.

f ( x ) = e - x,
Let
a)

Y1 = X1 X2,

0 < x < .

Y2 = X1 + X2.

Find the joint pd.f. of Y 1 and Y 2 .

X1 =

Y1 + Y2
,
2

X2 =

Y2 Y1
.
2

f Y 1, Y 2 ( y 1, y 2 ) = e - x 1 - x 2,
x1 > 0

y2 > y1

x2 > 0

y2 > y1

f Y 1, Y 2 ( y 1, y 2 ) =

1
2

0 < y 2 < ,

J =
x 1 > 0,

1
.
2

x 2 > 0.

e - y 2,
y2 < y1 < y2.

OR

y2 > | y1 |

b)

Find the marginal p.d.f.s of Y 1 and Y 2 .

f Y 1( y 1 ) =

1
2

e - | y 1 |,

f Y 2 ( y 2 ) = y 2 e - y 2,
c)

< y 1 < .
0 < y 2 < .

Are Y 1 and Y 2 independent?


Y 1 and Y 2 are NOT independent.

( double exponential )
( Gamma, = 2, = 1 )

d)

Find f Y | Y ( y 1 | y 2 ).
1
2

f Y 1 |Y 2( y 1 | y 2 ) =

1
2 y2

y2 < y1 < y2,

0 < y 2 < .

Y 1 | Y 2 = y 2 is Uniform ( y 2 , y 2 ).

e)

Find f Y | Y ( y 2 | y 1 ).
2
1

f Y 2 | Y 1 ( y 2 | y 1 ) = e | y 1 | - y 2,

y 2 > | y 1 |,

< y 1 < .