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2.14
FINAL VERSION
2.14
Part A: Let X be a continuous, nonnegative random variable [f (x) = 0 for x < 0]. Show that EX =
0 [1
FX (x)]dx
d[FX (x)].
After integrating by parts (u = x, du = dx, v = F X (x), dv = dFX (x)) and inserting some convenient terms: EX = xFX (x)| 0 EX = [x(1 EX = 0 0 +
0 FX (x)dx + x|0 x|0 . FX (x)]| 0 + 0 (dx) 0 FX (x)dx. 0 (dx) 0 [1
Which when evaluated, and simplied, yeilds: FX (x)dx = FX (x)]dx the expression of interest.
Part B: Let X be a discrete random variable whose range is the nonnegative integers. Show that EX =
0 [1
FX (x)]dx
0 x
x fX (x) =
0 x
fX (x) =
0 x
P (X = x)
(FX (x) FX (x 1)) based on the properties of cdfs. ((FX (x)) FX (x 1) + 1 1) ((1 FX (x)) + (1 FX (x 1))) = FX (x 1))
x=0 x(1 0 x
FX (x)) FX (x))
Reindexing: EX = EX =
x=0 (x 0 [1
x=0 x(1
An intergral is a Summand taken over innitely small intervals, and since 1-Fx(x) is monotonic, it is intuitively clear that the limit of the summand would be an integral, linking parts A and B.
2.24
2.24
Compute EX and VarX for each of the following probability distributions. (a) fX (x) = axa1 , 0 < x < 1, a > 0 EX = EX 2 =
a1 dx xax
1 a 0 ax dx
axa+1 a+1
a1 |1 0 = ( a+1
a+1
a0a+1 a+1 )
a a+1
2 a1 dx x ax
1 a+1 dx 0 ax a a+2
axa+2 a+2
a1 |1 0 = ( a+2
a+2
a0a+2 a+2 )
a a+2
a2 (a+1)2
1 n
+
12 n
2 n
+ +
22 n
n n
1+2++n n
n(n+1) 2n
(n+1) 2 .
n 21 i=1 i n
+ +
n2 n
12 +22 ++n2 n
n(n+1)(n+2) 6n (n+1)(n1) 12
(n+1)(n+2) . 6
(n+1)(n+2) 6
(n+1)2 22
n2 1 12
EX =
x(3/2)(x
1)2 dx = (3/2)
2 3 0 x
2x2 + x dx
2 0
Similarly, EX 2 =
2 x (3/2)(x
1)2 dx = (3/2)
x3 2x2 + x dx
2.33A
2.33a
Verify the expression given for the mgf and use the mgf to calculate EX and VarX . (a) P (X = x) = Answer: Fact: For any R, MX (t) =Eetx = MX (t) = e
xX (et )x 0 x! x x=0 x! e x x! ,
MX (t) = e(e
t 1)
, x = 0, 1, . . . ; > 0.
= e .
tx 0 e
t 1)
g (x) P (X = x) = = e ee = e(e
t
e x x! .
. t (, ) so mgf exists.
1 (0) = EX 1 = MX
d1 dt1 MX (t)|t=0
e(e
t 1)
et |t=0 = e(11) e0 = .
d2 dt2 MX (t)|t=0 d dt |t=0
t 1)+t
2 (0) = EX 2 = MX
EX 2 = e(e EX 2 = e(e
= e(e
t 1)+t
d ((et 1) + t dt ) |t=0 .
t 1)+t
(et + 1 |t=0 .
2.34
2.34
A distribution cannot be uniquely dened by a nite collection of moments... Let X have the normal distribution, that is X has pdf fX (x) =
2 1 ex /2 , 2
Dene a discrete rv Y by P (Y = 3) = P (Y = 3) = 1/6, Show that EX r =EY r for r = 1, 2, 3, 4, 5. Answer: MX (t) =Eetx = MX (t) =
tx e
2 1 ex /2 , 2
< x < .
2
txx2 /2 1 2 e
2txx 1 2 2 e
Which, after inserting some convenient terms and rearranging becomes: MX (t) = MX (t) =
x 1 2 e 2 +2txt2 +t2 2
(x 1 2 e
2 2tx+t2 )+t2 2 2
(xt) 1 2 2 e 2
2 +t2
= et
2 /2
(xt) 1 2 2 e
(xt) 1 2 2 e
MX (t) = et
2 /2
ty y Y e P (Y = 1 t 3 1 t 3 t0 e + e +2 6 6 3e 1 t 3t 3 ( e )+ 2 6 3
y ),
The following table shows rst 5 derivatives of the the MGFs for X and Y and what they evaluate to: r 1 2 3 4 5
r (t) MX 2 tet /2 2 2 t2 et /2 + et /2 2 2 t3 et /2 + 3tet /2 2 2 2 t4 et /2 + 6t2 et /2 + 3et /2 2 2 2 t5 et /2 + 10t3 et /2 + 15tet /2 r (t) MY 1 t3 1 t3 1 [ 3 e + ( 3) e ] 6 2 t3 2 t3 1 6 [3 e + (3) e ] 3 t 3 1 3 t 3 6 [3 e + (3) e ] 4 1 t 3 4 t 3 6 [3 e + (3) e ] 5 1 t 3 + ( 3)5 et 3 ] 6[ 3 e r (0) MX 0 1 0 3 0 r (0) MY 0 1 0 3 0
3.5
3.5
A standard drug is known to be eective in 80% of cases in which it is used. A new drug is tested on 100 patients and found to be eective in 85 cases. Is the new drug superior? (Hint: Evaluate the probability of observing 85 or more successes assuming that the new and old drugs are equally eective.) Answer: Let S be a drug success. P (S 85) =
100 100 i=85 i
While promising this is not enough to choose the new drug over the old. A larger sample size with the same proportion would be more convincing. For example, if there were 850 successes out of 1000 patients, the probability drops to 2.64e05.