MATHEMATICAL STATISTICS Tutorial Exercises 4 Answers

1. The distribution function of U is given by

P (U ≤ u) = P (2Y 2 + 3 ≤ u)
u−3
= P (Y 2 ≤ )
r 2
u−3
= P (Y ≤ )
2
r
1 u−3
= ( − 1)
4 2

and the probability density function is

1  u − 3 − 12
f (u) = 5 ≤ u ≤ 53.
16 2
2. r
mv 2 2w dv 2 1  2w − 12
w= v= =
2 m dw m2 m

2w −b 2w 2 1  2w − 12
f (w) = a e m
m m2 m
2a  2 − 21 1 − 2bw
= 2 w2e m
m m
2a  2 − 21 1 − w
= 2 w 2 e kT
m m
1 1 w
= 3 3 w e
2 − kT

Γ( 2 )(kT ) 2

As W has a gamma( 23 , kT ) distribution, E(W ) = 3kT /2.

3.
M (t) = E(et(X1 −X2 ) )
= E(etX1 )E(e−tX2 )
1 2 2 1 2 2
= eµ1 t+ 2 σ1 t e−µ2 t+ 2 σ2 t
1 2 2 2
= e(µ1 −µ2 )t+ 2 (σ1 +σ2 )t

which is the moment generating function of a N (µ1 −µ2 , σ12 +σ22 ) distribution.
4. With both Y1 and Y2 being exponential with mean β the joint probability
density function of Y1 and Y2 is

1 − β1 (y1 +y2 )
f (y1 , y2 ) = e y1 , y2 > 0.
β2

The transformation

U 1 = Y1 + Y2
Y1
U2 =
Y2

has inverse

U1 U2
Y1 =
U2 + 1
U1
Y2 =
U2 + 1

with Jacobian
 u2 u1 
(u2 +1)2
J =  u21+1
 
−u1


u2 +1 (u2 +1)2

−u1
=
(u2 + 1)2

and the joint probability density function of U1 and U2 is

 
1 − β1 u1  −u1 
f (u1 , u2 ) = 2 e
β  (u2 + 1)2 
 

1 u1 1
= 2
u1 e − β u1 , u2 > 0.
β (1 + u2 )2
u1
1
The marginal probability density function of U1 is fU1 (u1 ) = β 2 u1 e
− β u1 > 0.
1
The marginal probability density function of U2 is fU2 (u2 ) = (1+u 2)
2 u2 > 0

and as f (u1 , u2 ) = fU1 (u1 )fU2 (u2 ) we have that U1 and U2 are independent.