Solutions To Selected Problems: October 22, 2013
Solutions To Selected Problems: October 22, 2013
P (X > N )
=
N +1
1000 x
(2)
3.41a - We want to show that 1 > 2 = F (x|1 ) < F (x|2 ), i.e. x x 2 2 e(y1 ) dy < e(y2 ) dy (3)
There are several ways to this, but I think the easiest one is to notice that
x
(y 1 )2
dy =
x(1 2 )
e(y2 ) dy
(4)
Since 1 > 2 and e to any power is positive, we know that x 2 e(y2 ) dy > 0
x(1 2 )
(5)
4.27 - We know that the sum of indepenent normals is distributed U N + , 2 2 and if we use an analogous argument to the one that we used in classs (i.e., derive at the MGF of the dierence of two normals, its very easy) you should convince yourself that V N , 2 2 . To show that they are independent: We know the joint distribution of X and Y because they are independent (fXY = fX fY ). By a change of 1 variables, we can express x = 1 2 (u + v ) and y = 2 (u v ). It follows that fU V (u, v ) = fXY 1 1 (u + v ) , (u v ) 2 2 (6)
where is a constant. (This constant just ensures that fU V is a pdf, i.e., it integrates to 1). Plugging in for fXY we have fU V = 1 exp 2 2 2 u+v 2
2
uv 2
(7)
and you can do some algebra to show that this can be factored into a piece with just us and a piece with just v s. It will look something like fU V = k exp [quadratic in u] exp [quadratic in v ] where k is some crazy constant. 4.30 For simplicity, I would solve these in this order. The trick is to use the Law of Iterated Expectations. We didnt go over theorem 4.4.7 in class which gives the rst equality in the third line (Its like a law of iterated variances). You dont need to know it for the quiz. You should be able to compute E (X ), E X 2 and V (X ) in your sleep when X is uniform. E (Y ) = E (E (Y |X )) = E (X ) = 1/2 E (XY ) = E (E (XY |X )) = E X 2 = 1/3 V (Y ) = V (E (Y |X )) + E (V (Y |X )) = V (X ) + E X 2 = 1/12 + 1/3 Cov (X, Y ) = E (XY ) E (X ) E (Y ) = 1/3 1/4 from parts a and b. 4.43 C (X1 + X2 , X1 + X3 ) = E ((X1 + X2 ) (X1 + X3 )) E (X1 + X2 ) E (X1 + X3 ) = E = =
2
(8)
2 X1 + 2 2
C (X1 + X2 , X1 X2 )
= = =
(14) (15)