Professional Documents
Culture Documents
Fall 2016
Review
random variables
discrete
continuous
p( x ) = P ( X = x )
f( x )
0 p( x ) 1
f( x ) 0
p( x ) = 1
f (x ) d x
all x
=1
p( y )
F( x ) =
y x
f (y) d y
expected value
E( X ) = X
discrete
continuous
If
x p ( x)
< ,
x p ( x)
E( X ) =
all x
x f ( x) d x
discrete
continuous
If
g ( x) p ( x)
< ,
all x
E(g(X ) ) =
g ( x) p ( x)
all x
< ,
all x
E( X ) =
x f ( x) d x
If
If
g ( x) f ( x) d x
< ,
E(g(X ) ) =
g ( x) f ( x) d x
variance
Var ( X ) = 2X = E ( [ X X ] 2 ) = E ( X 2 ) [ E ( X ) ] 2
discrete
Var ( X ) =
continuous
( x X ) p ( x)
2
( x X )
Var ( X ) =
all x
f ( x) dx
x 2 p ( x)
[E ( X ) ] 2
all x
= x 2 f ( x) dx [ E ( X ) ] 2
moment-generating function
MX( t ) = E( e t X )
discrete
MX(t ) =
continuous
e t x p( x )
MX(t ) =
t x f ( x ) dx
all x
Example 1:
p( x )
F( x )
1
2
3
4
0.2
0.4
0.3
0.1
0.2
0.6
0.9
1.0
F( x ) =
0
0.2
0.6
0.9
1
x <1
1 x < 2
2 x<3
3 x<4
x4
p( x )
x p( x )
1
2
3
4
0.2
0.4
0.3
0.1
0.2
0.8
0.9
0.4
E ( X ) = X = 2.3.
2.3
p( x )
x 2 p( x )
1
2
3
4
0.2
0.4
0.3
0.1
0.2
1.6
2.7
1.6
E ( X 2 ) = 6.1
Var ( X ) = 6.1 2.3 2 = 0.81
6.1
Example 2:
Let X be a continuous random variable
with the probability density function
a)
f ( x ) = k x 2,
0 < x < 1,
f ( x ) = 0,
otherwise.
1)
f (x) 0,
2)
f ( x ) dx = 1 .
f ( x ) dx
kx
b)
dx
k x 2 dx
x3 1
0
3
1
k
k
3
k = 3.
f X ( x ) = 3 x
0 < x <1
x<0
F X ( x ) = 0.
0x<1
FX( x ) =
o.w.
3y
x1
fX( x )
c)
FX( x )
P( 0.4 X 0.8 ) =
0. 8
f (x ) dx
0. 4
0.8
3 x
0.4
dx = x 3
0.8
0.4
F X ( x ) = 1.
d y = x 3.
OR
P( 0.4 X 0.8 ) = F X ( 0.8 ) F X ( 0.4- ) = 0.8 3 0.4 3 = 0.448.
d)
f ( x ) dx =
1
=
2
m=
e)
f ( x ) dx =
3 x
dx = x 3
m
0
1
.
2
= m3.
= 0.7937.
Find X = E ( X ).
E ( X ) = X =
x f ( x ) dx = x ( 3 x
)dx = 3 x 3 dx .
1
x4 1
3
= 3
= 0.75.
=
4 0
4
f)
Find X = SD ( X ).
Var ( X ) = X =
2
x 2 f ( x) dx ( ) 2 =
X
1
3 x 4 dx 3
4
x 5 1 3 2
3
3
9
= 3
= 0.0375.
=
=
5 0 4
80
5
16
X = SD ( X ) =
Var( X ) =
0.0375 = 0.19365.
g)
MX( t ) = E( e t X ) =
e t x f (x ) dx =
dv = e t x dx,
du = 6 x dx,
v =
MX(t ) =
t x 3 x 2 dx .
e t x.
1
1
e t x 3 x 2 dx = 3 x 2 e t x
t
0
3
= et
1 t x
6 x dx
e
1 t x
6 x dx
t e
0
u = 6 x,
dv = =
du = 6 dx,
v =
t
3
MX(t ) = e t
e
0
u = 3 x 2,
e t x dx,
e t x.
1 1
3 t
1
1 t x
t
x
6 x dx = e 6 x e
e
t
t
t2
0 0
0
t 2 e
t x 6 dx
6
1
3 t
6
3
6
6
6
e 2 e t + 3 e t x = e t 2 e t + 3 e t 3 ,
t
t
t
t
t
t
t
0
t 0.
M X ( 0 ) = 1.
h)
Find E (
X ) and E ( ln X ).
1
E(
X) =
x 3x 2 d x =
6
.
7
E ( ln X ) =
ln x 3 x
1
dx = .
3
Example 3:
6
f X ( x ) = 5 x
x<1
F X ( x ) = 0.
x1
FX( x ) =
x >1
o.w.
5y
dy
= y 5
fX( x )
x
1
= 1 x 5.
FX( x )
6
5
x 5x d x = 5x d x =
E( X ) = X =
E( X ) =
5x
Var ( X )
5
= 1.25.
4
5
d x = 5 x 4 d x = .
3
1
= E( X 2)
[ E( X) ]2 =
10
5 5
3 4
5
.
48
5 x 6 d x diverges.
Median:
FX( m ) =
30th percentile:
1
.
2
F X ( 0.30 ) = 0.30.
1 m5 =
1
.
2
m=
2 1.1487.
1 ( 0.30 ) 5 = 0.30.
0.30 =
1
1.07394.
0.70
Example 4:
fX( x ) =
1+ x 2
),
< x < .
1
dx = .
x
2
1
+
x
FX( x ) =
2
1 + y
dy =
arctan( x ) + ,
1
2
< x < .
M X ( 0 ) = 1.
Theorem 1:
Theorem 2:
M X' ( 0 ) = E ( X )
fX1( x ) = fX2( x )
M X" ( 0 ) = E ( X 2 )
(k)
MX ( 0) = E( X k)
Theorem 3:
Let Y = a X + b. Then M Y ( t ) = e b t M X ( a t )
Example 5:
Suppose a discrete random variable X has the following probability distribution:
P( X = 0 ) = p,
a)
P( X = k ) =
1
, k = 1, 2, 3,
k
2 k!
Find the value of p that would make this a valid probability distribution.
1
= 1.
k
k =1 2 k !
p+
Must have
Since
1
ak
= e 1 2 1.
= ea,
k
k =0 k !
k =1 2 k !
Therefore, p + ( e 1 2 1 ) = 1
b)
p = 2 e1 2.
and
Find E ( X ).
E(X) =
x p ( x)
= 0 2e
)+
k =1
12
all x
c)
2 k =1 2 k 1 ( k 1 )!
2 n=0
1
=
k
2 k k!
1
=
2 n n!
e1 2
k
k =1 2 ( k 1 )!
.
E(X(X 1)) =
k =2
=
1
=
k ( k 1 )
2 k k!
1
4 k = 2 2 k 2 ( k 2 )!
4 n=0
2 k ( k 2 )!
1
k =2
1
=
2 n n!
e1 2
4
E( X2) = E( X (X 1) ) + E( X) =
e1 2 .
Var ( X ) = E ( X 2 )
3
[E ( X )]2 = e1 2
e.
d)
MX(t ) =
e t x p ( x) = 1 2 e 1 2
all x
) + e t k k1
2 k!
k =1
t
e
(2 e1 2 ) +
k!
k =1
(2 e1 2 ) +
et 2
e
1
= 1 e1 2 + e e 2 .
e)
f)
ee
t
e 2 ,
E ( X ) = M X' (0 ) = e
12
t
e 2
E ( X 2 ) = M X'' (0 ) =
Var ( X ) = E ( X 2 )
ee
t
e 2 ,
e1 2.
3
[E ( X )]2 = e1 2
4
1
4
e.
Example 6:
Let a > 2. Suppose a discrete random variable X has the following probability
distribution:
p ( 0 ) = P ( X = 0 ) = c,
1
,
k
a
p(k) = P( X = k ) =
a)
k = 1, 2, 3, .
Find the value of c ( c will depend on a ) that makes this is a valid probability
distribution.
Must have
p(x ) = 1.
1
= 1.
k =1 a k
c+
all x
bk
k =0
1
1 b
| b | < 1.
1
1
1
1
.
=
k k 1 = 1 1 =
1
1
a
a
k =1
k = 0
a
OR
1
1 1
1
1
1
.
=
=
=
k =1 a k a k = 0 a k a 1 1 a a 1
c+
b)
a 1
= 1.
c = 1
a
a2
.
= 2
a 1
a 1 a 1
1
Find P ( odd ).
P ( odd ) = p ( 1 ) + p ( 3 ) + p ( 5 ) + =
1
=
c)
first term
=
1 base
a
1
a
a 2 1
a2
MX(t) = E(et X) = 1 c +
bk
k =0
1
1 b
k =1
1
.
ak
| b | < 1.
etk k =
a
k =1
k = 0
etk
t
e
a
k
1
et
a
1
1
1.
=
t
t aet
e
e
a
1
a
OR
t
tk 1 = e
e
a k a k =0
k =1
Need
et
a
MX(t) =
< 1.
et
k
=
et
a 1
1
et
et
aet
t < ln a.
et
a2
a
1
,
+
=
a 1 a e t a e t a 1
t < ln a.
a
aet
1.
d)
Find E ( X ).
E ( X ) = M 'X ( 0 ).
et
d a 2
M 'X ( t ) =
+
dt a 1 a e t
e t a e t e t e t
a e t
a e t
a e t
OR
M 'X ( t ) =
1
d a
a e t
a
e t =
.
=
2
2
dt a e t a 1
t
a e t
ae
E ( X ) = M 'X ( 0 ) =
( a 1 ) 2
OR
k 1
a 1
1
1
1
1 a
E(X) = k
E(Y ) ,
k
=
=
a 1
a k a a 1 k = 1 a
k =1
a
a 1
a
E(Y ) =
a
a 1
Therefore, E ( X ) =
( a 1 ) 2
OR
E ( X ) = 1
a
1
E(X) =
a
1
+ 3
a
1
+ 2
a
+ 3
+ 4
+ 5
1
5
a
+ 4
+ 6
1
6
a
+ 5
+ ...
+ ...
1
1
1
1
1
1
1
1
1
.
+
+
+
+
+
+ ... =
=
1 E ( X ) =
k
a
1
a
a1 a 2 a 3 a 4 a 5 a 6
k =1 a
Therefore, E ( X ) =
e)
+ 2
( a 1 ) 2
If x < 0,
F ( x ) = P ( X x ) = 0.
If k = 0, 1, 2, 3, ,
1
1
1
1
=
=
n
a k ( a 1 )
a k +1 1 1 a
n = k +1 a
F(k) = 1
a k ( a 1 )
F(x) = F(k) = 1
a k ( a 1 )
Therefore,
F(x) =
1
1 k
a ( a 1)
x<0
k x < k +1
k = 0, 1, 2, 3, ...
Example 7:
Let > 0. Suppose the probability density function of X is f X ( x ) = e
, x > 0.
( Exponential distribution. )
a)
MX( t ) = E( e t X ) =
e t x f (x ) dx =
t x e x dx
x( t )
e
(
)
x
t
= e
=
dx =
b)
t < .
'
MX(t ) =
( t )2
t < .
1
E( X ) = MX(0 ) =
.
'
Example 8:
Let X be a discrete Binomial ( n, p ) random variable. That is, suppose the p.m.f.
of X is
n
p X ( k ) = p k ( 1 p ) n k ,
k
MX(t ) =
k =0
k = 0, 1, 2, , n.
e t k p k ( 1 p ) n k
k
n
p e t ( 1 p ) n k =
k
k =0
[(1 p) + p et]
Example 9:
Let X be a discrete Geometric ( p ) random variable. That is, suppose the
x 1 p, x = 1, 2, 3, .
probability mass function of X is p X ( x ) = ( 1 p )
a)
MX(t ) =
e t k ( 1 p ) k 1 p = p e t
e t (k 1) (1 p ) k 1
k =1
k =1
= p e t
( 1 p ) e t
n=0
b)
n
=
p e t
,
1 (1 p ) e t
t < ln ( 1 p ).
p e t 1 (1 p ) e t
'
MX(t ) =
2
1 (1 p ) e t
'
t
t
p e (1 p ) e
(1 (1 p ) e t ) 2
p e t
E( X ) = MX(0 ) =
t < ln ( 1 p ).
p
1
=
.
( p )2
p
Example 10:
Let X be a random variable distributed uniformly over the interval [ a , b ].
MX( t ) = E( e t X ) =
b
t x f ( x ) dx =
et x b
b a t a
1
M X ( 0 ) = 1.
e
a
etb et a ,
t (b a )
tx
ba
t 0.
dx
Example 11:
Let X be a Poisson ( ) random variable. That is,
P(X = k) =
a)
k e
,
k!
k = 0, 1, 2, 3, .
k e
t
k
MX(t ) =
=
e
k
!
k =0
e e e
e (e
e t
k =0
1)
k!
( ln M X ( t ) ) '
Since
M X' ( t )
( ln M X ( t ) ) "
MX (t )
M X ( 0 ) = 1,
M X ' ( 0 ) = E ( X ),
M X" ( t ) M X ( t ) M X' ( t )
[ MX (t ) ]
M X " ( 0 ) = E ( X 2 ),
X' ( 0 ) = ( ln M X ( t ) ) ' | t = 0 = E ( X ) = X
X" ( 0 ) = ( ln M X ( t ) ) " | t = 0 = E ( X 2 ) [ E ( X ) ] 2 = Var ( X ) = X2
b)
ln M X ( t ) = ( e t 1 ).
( ln M X ( t ) ) ' = e t.
( ln M X ( t ) ) ' | t = 0 = E ( X ) = .
( ln M X ( t ) ) " = e t.
( ln M X ( t ) ) " | t = 0 = Var ( X ) = .
Example 12:
Let Y denote a random variable with probability density function given by
1
2
f(y) =
a)
< y < .
0
ty 1 y
MY(t ) = e e
dy =
2
1 0
=
2
ty 1 y
ty 1 y
dy
e e
dy + e e
2
2
0
ty 1 y
ty 1 y
dy
e dy + e e
2
2
0
y (t +1 )
1 y ( t 1 )
dy
dy + e
2 0
b)
y(t +1 ) 0
y ( t 1 )
1
1
1
1
+
=
e
e
0
2 ( t +1 )
2 ( t 1 )
2 ( t +1 ) 2 ( t 1 )
( t 1 ) ( t +1 )
2 ( t + 1 )( t 1 )
2 t 2 1
1
1 t 2
1 < t < 1.
Find E( Y ).
M Y' ( t ) = ( 1 t 2 ) 2 ( 2 t ) = 2 t ( 1 t 2 ) 2
E ( Y ) = M Y' ( 0 ) = 0.
OR
E( Y ) =
1
y 2 e
dy = 0,
since y
1 y
e
2
is an odd function.
c)
Find Var( Y ).
M Y" ( t )
2 2
= 2(1 t )
2 3
+ 2 t(2)(1 t )
E ( Y 2 ) = M Y" ( 0 ) = 2.
(2t) =
2 + 6t 2
(1 t 2 ) 3
Var( Y ) = 2 0 2 = 2.
OR
2
Var( Y ) = E ( Y ) [ E ( Y ) ] =
d)
2 1
y 2e
dy = = 2.
If y < 0,
F(y) =
If y 0,
F(y) =
1 x
e
dx =
2
1 x
dx =
e
2
1 x
1 y
e dx = e .
2
2
1 x
e dx +
2
y
1 1
1 y
= 1 e
.
+ 1 e
2 2
2
Therefore,
1 y
e
F(y) =
1 y
1 e
2
y<0
y0
1 x
e dx
2
Example 13:
A simple model for describing mortality
in the general population in a particular
country is given by the probability density
function
f (y) =
252
10
18
y 6 ( 100 y ) 2 ,
0 < y < 100.
a)
f ( y ) 0 for each y;
2.
f ( y ) dy = 1 .
100
y ( 100 y ) dy = 252 x ( 1 x ) 2 dx
f ( y ) dy = 10 18
252
1 8 1 9 1
2
1 7
= 252 x 2 x + x = 252
= 1.
8
9
504
7
0
b)
80
A:
252
10 18
70
y ( 100 y ) dy =
6
0.8
252 x
( 1 x ) 2 dx
0.7
1 8 1 9 0.8
1 7
= 252 x 2 x + x
8
9
7
0.7
0.7382 0.4628 = 0.2754.
100
B:
y ( 100 y ) dy =
252
10 18
1.0
252 x
( 1 x ) 2 dx
0.8
80
1 8 1 9 1 .0
1 7
= 252 x 2 x + x
8
9
7
0.8
1 0.7382 = 0.2618.
A is more likely.
c)
Given that a randomly selected individual just celebrated his 60th birthday, find
the probability that he will live past age 80.
100
P ( over 80 | over 60 ) =
252
10
P ( over 80 over 60 )
= 80
100
P ( over 60 )
252
60 10
d)
18
18
y 6 ( 100 y ) 2 dy
y 6 ( 100 y ) 2 dy
1 0.7382
0.2618
=
0.3408.
1 0.2318
0.7682
f '(y) =
5
6
252
6 y ( 100 y ) 2 2 y ( 100 y )
18
10
252
10
252
10
18
18
y ( 100 y ) [ 6 ( 100 y ) 2 y ]
5
y ( 100 y ) [ 600 8 y ] = 0.
5
e)
100
y f ( y ) dy =
E( Y ) =
252
0 10
18
1
1
2
1
1
= 252 100 x 8 2 x 9 + x 10 = 252 100
= 70 years.
9
10
720
8
0
OR
Y
.
100
Consider X =
f)
7
= 0.70.
7+3
E ( Y ) = 100 E ( X ) = 70 years.
Var ( X ) =
73
11 10 2
21
.
1100
E( Y ) =
f ( y ) dy =
100
252
0 10
18
y 8 ( 100 y ) 2 dy =
Var ( Y ) = E ( Y 2 ) [ E ( Y ) ] 2 =
SD ( Y ) =
Var (Y ) =
2100
.
11