Stat 310 Homework 3 Key

Chapter 2, problems 61, 67, 69, Chapter 3, problems 8, 12, 18, 19, 20, 34, 37. Due 9/23/99. . Find the density of cX when X follows a gamma distribution. Show that only is a ected by such a transformation, which justi es calling a scale parameter. Let Y = cX . Then 1 fY (y ) = fX (y=c): jcj
2.61

When X is a Gamma( ; ) random variable, this becomes

fY (y ) = fY (y ) = c ( ) ( =c)

(y=c)
y
1

y=c =c)y

( )

so Y has a Gamma( ; =c) distribution.

2.67

. The Weibull cumulative distribution function is

FX (x) = 1 e
(

x=

; x

0;

> 0;

> 0:

Note: there is a typo in my copy of the book! In my copy, at any rate, the exponent is missing a minus sign. Most of you didn't seem to have this problem, so I hope that got corrected at a later printing. a) Find the density function. Ok, di erentiating with respect to x
fx (x) = @ @x = ( = )x 1e e
(

x=

(x= )
(

x=

b) Show that if W follows a Weibull distribution, then X = (W= ) follows an exponential distribution. Let g (x) = (x= ) . Then g 1(x) = x1= . We know that
fX (x) = fW (g 1(x)) @ 1 g (x) @x = ( = ) x1= ] 1 e x ( = )x(1 = 1 1 + 1+1 x( 1)= +(1 )= e = e x; 0 < x < 1
= x
)

so X follows an exponential distribution. c) How could Weibull random variables be generated from a uniform random number generator? Let U be a uniform(0,1) random variable. We showed in class that log(U ) follows an exponential distribution. Combining this with the result from part b), Y = log(U )]1= will follow a Weibull( ; ) distribution. 1

2.69. If the radius of a sphere is an exponential random variable, nd the density function of the volume. Let 3 x 1=3 : 4 g (x) = x3 ; g 1 (x) = 3 4 Letting X denote the radius of the sphere and Y the volume, Y = g (X ) so

fY (y ) = fX (g 1(y ))

1 3 3 y 2=3 34 4 " # 3 y 1=3 ; 3 1=3 y 2=3 exp = 3 4 0 y < 1: 4 = exp 3y 4

1 3

"

@ 1 g (y ) @y #
=

3.8

. Let X and Y have the joint density 6 fXY (x; y ) = (x + y )2 ; 0 x 1; 0 y 1: 7 1), (iii)

P (X

a) By integrating over the appropriate regions, nd (i) P (X > Y ), (ii) P (X + Y 1=2). (i) We can let the limits of integration be 0 to 1 for x, and 0 to x for y , so
P (X > Y ) =

Z1Zx
1

7 3 (x + y ) 0 dx Z12 (8x3 x3 )dx = 7 Z01 2x3dx = 0 1 x4 1 = 1 : = 2 0 2 For this part, we could have also found this result by symmetry, noting that P (X > Y ) + P (X < Y ) = 1 and realizing that the joint density is symmetric in x and y so that each of the two terms should contribute equally. (ii) Here, we can again let the range of integration be 0 to 1 for x, but the range for y is now from 0 to 1 x. Thus, Z 1Z 1 x 6 2 P (X + Y 1) = 7 (x + y ) dydx 0 0 =
3 0

Z Zx6 = (x + y ) dydx Z 671 x

2 0 1 0

fXY dydx

= =

Z
0 0

= 2 x 1 x4 7 4

Z 2 7 (1 x )dx
1 3 1

6 1 (x + y )3 1 7 3 0 = 3: 14 0

dx

(iii) In this case the limits are easy; from 0 to 1=2 for x, and from 0 to 1 for y . Z 1=2 Z 1 6 2 P (X 1=2) = 7 (x + y ) dydx Z01=2 20 3 3 = 7 (x + 1) x ]dx = 2 7 1 = 14
0

1 (x + 1)4 x4] 1=2 4 0 81 1 1 + 0 = 4 : 16 16 14

b) Find the marginal densities of X and Y . This is largely carryover from part a);
fX = fX (x) =

Z1
1 0

1 2 = 7 (x + y )3 0 2 (x + 1)3 x3 ] = 7 2 = 7 3x2 + 3x + 1]; 0 x 1: As the joint density is symmetric in x and y , an identical exercise yields 2 fY (y ) = 3y 2 + 3y + 1]; 0 y 1: 7

Z 6 (x + y ) dy 7
2

fXY dy

c) Find the two conditional densities. Well,

fX jY = fX jY (xjy ) =

(x + y )2 2 3y 2 + 3y + 1] 7 + 2 = 3 3y(x+ 3y )+ 1] ; 0 x 1: 2 y
6 7

fXY fY

Arguing by symmetry again gives

fY jX (y jx) = 3

(x + y )2 ; 0 y 1: 3x2 + 3x + 1] 3

3.12

. Let

fXY (x; y ) = c(x2 y 2 )e x ; 0

x < 1;

x:

a) Find c. To do this, we need to integrate the joint density over its entire allowable region, set the result equal to 1, and solve for c. 1 = = = =

Z1Z1 Z
0 0

1 1 1Z x
x

fXY dydx y3

Z1 Z1
0

c(x2 y 2 )e x dydx
2

cx y c

3 e
x3

x x

4 c Z 1 x3 e x dx: = 3 0 Now at this point, we can proceed in two equivalent ways. We can do the integration by parts, getting (after a few splitting into parts)
xe
3

2cx

2c 3 e x dx

dx

x j1
0

3x e
2

x j1
0

6xe

x j1 +
0

Z1
0

6e x dx = 6;

or we can recognize that the above integral is the Gamma function with parameter 3+1 = 4, and (4) = (4 1)! = 6. This integral occurs su ciently often that it is worth learning to look for it. At any rate, 1 = 4 c 6 = 8c ! c = 1 : 3 8 b) Find the marginal densities. Well, we went a long way towards nding the marginal density for x in solving part a);
fX (x) =

Zx

= 4 cx3e x 3 = 1 x3 e x ; 0 x < 1 6 which we recognize as a Gamma( = 4; = 1) density. In solving for fY , we need to be a bit careful with the limits of integration; for a speci c value of y , x ranges from jy j to 1. It is also easier to split up the x2 and y 2 parts of the joint density in doing the integration.
fY (y ) =

c(x2 y 2 )e x dydx

Z1
jyj

cx2e x dx
2

Z1
jy j

cy 2e x dx
jyj

cx e
2

x j1 jyj

2cxe

x j1 + jy j

Z1

= c (y 2 + 2jy j + 2) y 2 ]e jyj = 1 (jy j + 1)e jyj ; 1 < y < 1: 4 4

= cjy j e jyj + 2cjy je jyj

2ce

jy j x j1 + cy 2e x j1 jy j jyj

2ce

x dx

Z1

cy 2e x dx

c) Find the conditional densities. Ok.

fY jX (y jx) = fXY (x; y ) fX (x) 2 2 e x = c(x4 3y )x cx e 3 3 2 2 = 4 x x3 y ; x

and

fX jY (xjy ) =

fXY (x; y ) fY (y ) 2 2 x = c(x y )e jyj 2c(jy j + 1)e 2 2 (x jy j) = 1 (x jy j )e 1 ; 2 y +

jyj x 1:

3.18

. Let X and Y have the joint density function

fXY (x; y ) = k(x y ); 0 y x

and 0 elsewhere. a) Sketch the region of integration over which the density is positive and use it in determining limits of integration to answer the following questions. This is a bit di cult to do in a typesetting environment - the region is triangular with vertices at (0; 0), (1; 0), and (1; 1). b) Find k. Again, we need to integrate the density over its entire positive region, set the value to 1, and solve for k. 1 = = =

Z Zx
1 0 1 0 0 1

Z Z

k(x y )dydx y2

k xy x2 k dx
3 1

!x
0

dx

= kx = k 6 0 6 so k = 6. c) Find the marginal densities of X and Y . Starting with stu from part b),
fX (x) =

Zx
0

k(x y )dy

= k x = 3x2 ; 0 < x < 1: 2

2

fY (y ) =

Z
y

k(x y )dx x2

= k 2 xy y ! 1 y k y2 y2 = k 2 2 ! 2 = k y2 y + 1 2 2 = 3(1 y ) ; 0 < y < 1: d) Find the conditional densities of Y given X and X given Y . f (x; y ) 6(x y ) fY jX (y jx) = XY = = 2x 2 y ; 0 < y < x 2 fX (x) 3x x fXY (x; y ) 6(x y ) = = 2 x y 2; y < x < 1 fX jY (xjy ) = 2 fY (y ) 3(1 y ) (1 y )

T1 and T2, with parameters and respectively. Find a) P (T1 > T2). OK. The limits of integration here are 0 to t1 for t2 , and 0 to 1 for t1 . P (T1 > T2 ) =

3.19

. Suppose that two components have independent exponentially distributed lifetimes,

Z 1 Z t1
0 0 0 0

= = = =

Z 1 Z t1 Z1 Z1
0

fT1 T2 (t1 ; t2)dt2 dt1 fT1 (t1)fT2 (t2 )dt2dt1 independence

fT1 (t1 )

Z t1
0

Z1
0 0

fT1 1 e fT1 (t1 )dt1 e

fT2 (t2)dt2 dt1

t1
1

i dt cdf of an exponential Z1
0

( + ) 1

+ 0 = 1 + = + : Note that this does something sensible - if we let = , so that the two random variables are identically distributed, then the chances are equal that one is greater than the other. b) P (T1 > 2T2). This is much like part a), but the limits of integration for t2 are now from 0 to t1 =2.
P (T1 > 2T2) =

= 1

( + ) 1

dt1

Z 1 Z t1=
0 0

fT1 T2 (t1 ; t2)dt2 dt1

Z1
0

= 1 = 1

Z1
0

fT 1 1 e e
( +

t1 =2

dt1 cdf of an exponential

1

=2)t1 dt

= +=2=2 : + =2 Note that this is equivalent to what we got for part a) if we change the value of the parameter of T2 from to =2. This ts with the result we found earlier (problem 2.61) where we found that if X has a Gamma( ; ) distribution, then cX has a Gamma( ; =c) distribution. The exponential distribution is a gamma distribution with = 1, so letting c = 2 the result follows. . If X1 is uniform on 0; 1], and, conditional on X1, X2 is uniform on 0; X1], nd the joint and marginal distributions of X1 and X2. Well, from the statement of the problem, the densities that we are given are fX1 and fX2 jX1 . These can easily be used to construct the joint density function, as
3.20

1 1 = 1 x = x ; 0 < x1 < 1; 0 < x2 < x1: 1 1 Now, starting with the joint we can integrate to get the marginals:
fX1 (x1 ) = 1; 0 < x1 < 1 (given) fX2 (x2 ) =

fX1 X2 (x1; x2) = fX1 (x1)fX2 jX1 (x2 jx1)

Z 1 dx x2 x = log(x )jx2
1 1

log(x2 ); 0 < x2 < 1:

3.34

. Let N1 and N2 be independent random variables following Poisson distributions with parameters 1 and 2 . Show that the distribution of N = N1 + N2 is Poisson with parameter 1 + 2 .
pN (n) =
1 X
n1 = 1

pN1 N2 (n1 ; n n1 )

= = =

pN1 (n1 )pN2 (n n1 ) independence n1 = 1 n X pN1 (n1 )pN2 (n n1 ) pmfs both positive n1 =0 n X n1 e 1 n n1 e 2
1

1 X

n1 =0

n1 !

(n n1 )! 7

( 1+ = e n!

which is the pmf of a Poisson random variable with parameter

3.37

n! n1 n1 !(n n1 )! 1 n1 =0 ! n ( 1 + 2) X e n n1 n n1 = n! n1 =0 n1 1 2 ( 1 + 2) = e n! ( 1 + 2)n
2)

n X

n n1

+ 2.

. Let X and Y by independent standard normal random variables. Find the density of Z = X + Y , and show that Z is normally distributed as well. (Hint: Use the technique of completing the square to help in evaluating the integral.) As X and Y are independent,
fZ (z ) =

Z1

and as both x and y range from 1 to 1 we leave the integration limits alone. Z1 1 1 1 p exp 2 x2 p1 exp 2 (z x)2 dx fZ (z ) = 2 1 2 1 Z 1 exp 1 x2 + (z x)2] dx = 2 Z 1 2 1 1 exp 1 2x2 2xz + z 2 ] dx = 2 Z 1 2 1 1 exp 1 2(x 1 z )2 + 1 z 2 ] dx = 2 2 2 2 1 exp 1 z 2 Z 1 exp @ 1 x p1 z 2 A dx 2 = 2 4 2 1= 2 1 ! z 1 exp 1 p 2 q2 (1=p2)2 = 2 2 2 ! 1 p 2 z 1 = q p exp 2 2 2 ( 2)2
1

fX (x)fY (z x)dx

"

#1

which is the density function of a N (0; 2) random variable.