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Instructor:

ProblemKonrad Menzel

Set #4

Due: Tuesday, March 17, 2009

Question One

Suppose that the P D F of X is as follows:

f (4= 0 forx5O

Question Two

Suppose that the P D F of a random variable X is as follows:

Lx forO<x<5

f (4= 0 otherwise

Also, suppose that Y = X(5-X). Determine the P D F and CDF of Y. You can solve

this in two ways. First, you can compute fy(y) using the formula given in class:

taking care that g(x) is piece-wise monotonic. Second, you can solve this by finding

Fy(y) = P [ Y 5 y] directly, as we did in recitation.

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Question Three

(BainIEngelhardt , p. 226)

(6 points) Let X be a random variable that is uniformly distributed on [ O , 1 ] (i.e.

f (x) = 1 on that interval and zero elsewhere). Use two techniques from class ("2-

stepn/CDF technique and the transformation method) to determine the PDF of each

of the following:

Question Four

(BainIEngelhardt p. 227)

If X Binomial(n,p), then find the pdf of Y = n

N - X.

Question Five

(BainIEngelhardt p. 227)

Let X and Y have joint PDF f (x, Y) = 4e- 2(x+y) for 0 < x < 00 and 0 < y < co,

and zero otherwise.

2. Find the joint pdf of U = $ and V = X.

Problem Set #4 - Solutions

14.30 - Intro. t o Statistical Methods in Economics

Question One

Suppose that the P D F of X is as follows:

f (4= 0 forx50

Solution t o 1: In order t o find the PDF, we can use the CDF or "2-Step"

method. We write:

Solution t o (2): This is just a straightforward generalization of part 1. We

can write:

Question Two

Suppose that the P D F of a random variable X is as follows:

$x forO<x<5

f (4= 0 otherwise

Also, suppose that Y = X(5-X). Determine the P D F and CDF of Y. You can solve

this in two ways. First, you can compute fy(y) using the formula given in class:

taking care that g(x) is piece-wise monotonic. Second, you can solve this by finding

Fy(y) = P [ Y 5 y] directly, as we did in recitation. You will receive extra-credit if

you can do it both ways.

obtain:

Now, we can apply the transformation result above since we do have a piecewise

monotonic function, g(x), with two roots over the interval. Since we know it is

a parabola, we solve for where the derivative is zero in order t o obtain the two

monotonic pieces (one will be monotonically increasing, the other decreasing).

So, we find

gf(x) = 5 - 2 2 = 0 * x = -.52

So, it turns out that at the midpoint, we have a maximum (since the second

derivative is negative).

We now simply apply the formula t o the two halves of the function and add

them together:

Both the PDF and CDF are defined on the interval 0 < y < ? and the PDF is

zero otherwise and the CDF is zero for y 5 0 and one for < y. Now, just to

check our answer, we will also use the CDF or "2-Step"

method:

Question Three

(BainIEngelhardt , p. 226)

(6 points) Let X be a random variable that is uniformly distributed on [0,1]

(i.e.

f (x) = 1 on that interval and zero elsewhere). Use two techniques from class ("2-

stepV/CDFtechnique and the transformation method) t o determine the P D F of each

of the following:

1. Y =xi.

Solution t o (1): First, g(x) = x i + gp'(y) = y4. Using the "2-step"

technique, we get

Using the transformation technique (after checking that g(x) is monotonic

on the nonzero support of f (x)), we get

Solution to (1): First, g(x) = e-x + gP1(w) = - log w (note: "log" typ-

ically denotes "ln" or the natural log, log base e in economics and many

other sciences). Using the "2-step" technique while paying close attention

t o the inequalities, we get

dx=

=./ x:xilog w

dx=

= (x)b"w

Fw(w) = logw

on the nonzero support of f (x)), we get

Solution to (1): First, g(x) = 1 - e-x + g-'(2) = -log (1 - x) (note:

"log" typically denotes "ln" or the natural log, log base e in economics and

many other sciences). Using the "2-step" technique, we get

on the nonzero support of f (x)), we get

Question Four

(BainIEngelhardt p. 227)

If X Binomial(n,p), then find the pdf of Y = n - X.

formation. We right the inverse function, g-l(y) = n - Y. We now write the

binomial pdf:

(which is monontonic with Jacobian is -1, i.e. absolute value of 1 for all possible

outcomes) :

= Binomial(n, 1 - p)

So, we see that this simple transformation simply relabeled a success as a failure

and vice versa in our n Bernoulli trials. This is what we would have expected.

Question Five

(BainIEngelhardt p. 227)

for 0 < x < oo and 0 < y < oo,

Let X and Y have joint PDF f (x, y) = 4e-2(x+~)

and zero otherwise.

+

Solution to (I): The CDF of W = X Y can be obtained by defining

Z = X and finding the joint distribution of W and Z , and then integrating

out Z to obtain the marginal of W. We first define the transformation of

x and y to obtain w and x and find its inverse:

The Jacobian is really easy to get once we've written g(x,y) as a linear

transformation in matrix not ation:

So, since g(x,y) is linear (and, hence, monotonic), we can just use the

transformation technique:

where 1. 1 denotes the absolute value of the determinant operator. Now,

to get the CDF we need to get the marginal of W and then integrate,

taking into account the bounds on X and Y inducing bounds on W of

Z<W<m:

Now that we have the marginal, we use integration by parts to obtain the

CDF:

Alternatively, we could have just used the convolution formula adapted to

this problem:

fm

Solution to (2): We use similar methods to those in part (1). Define g(x, y)

and g-l(u, v):

with its corresponding Jacobian:

the transformation methods without worrying about multiple roots:

v:

Finally, just t o check to make sure that we have a valid PDF, we can

integrate to verify that it does, in fact, integrate to one:

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