Summer 2006 STAT 602 Homework 3 Solution

1. (a) CDF of X is:




 0, x≤0
 R
x
FX (x) = 0
2tdt = x2 , 0<x<1



1, x≥1


1 1
2x3  2
Z
(b) E(X) = x · 2xdx =  =3
0 3 0
Z 1 4 1

2 2 x  =1
E(X ) = x · 2xdx =
0 2 2 0
2 1
V ar(X) = E(X 2 ) − (E(X)) =
18
(c) For t 6= 0,
1 1 1 Z 1
2x tx 2x tx  2 tx
Z Z
tx
MX (t) = Ee tX
= e · 2xdx = de = e  − e dx = 2t−2 (tet − et + 1)
0 0 t t 0 0 t
For t = 0,

MX (t) = EetX = 1
2tet − 2et + 2 2et + 2tet − 2et
and lim 2t−2 (tet − et + 1) = lim 2
= lim = lim et = 1
t→0 t→0 t t→0 2t t→0

Thus, the mgf for X exists.

(d) Let m be the median, by the definition of median,

Z m √
1 2
F (m) = 2xdx = ⇒ m =
0 2 2
Z 1
1 ∞ 1 1
Z ∞ Z
t=− ln x
(e) E(ln X) = ln x · 2xdx = (−t) · 2e−t · (−e−t )dt = − te−2t dt = −
0 0 2 0 1 2
Γ(2) 2
2
2. (a)



 0, x<1


.10, 1≤x<2







.25, 2≤x<3






.35, 3≤x<6


FX (x) =



 .50, 6≤x<7


.65, 7≤x<8






.70, 8 ≤ x < 20







1, x ≥ 20

P
(b) E(X) = xPX (x) = 1(.10) + 2(.15) + 3(.10) + 6(.15) + 7(.15) + 8(.05) + 20(.3) = 9.05

E(X 2 ) = x2 PX (x) = 12 (.10) + 22 (.15) + 32 (.10) + 62 (.15) + 72 (.15) + 82 (.05) + 202 (.3) = 137.55
P

2
V ar(X) = E(X 2 ) − (E(X)) = 55.6475

1
Summer 2006 STAT 602 Homework 3 Solution

(c) The mgf of X is:

MX (t) = EetX = etx PX (x) = .1et + .15e2t + .1e3t + .15e6t + .15e7t + .05e8t + .3e20t
P

dMX (t) 
.1et + .3e2t + .3e3t + .9e6t + 1.05e7t + .4e8t + 6e20t t=0


=
dt t=0

= .1 + .3 + .3 + .9 + 1.05 + .4 + 6 = 9.05 = E(X)

2

d MX (t) 
.1et + .6e2t + .9e3t + 5.4e6t + 7.35e7t + 3.2e8t + 120e20t t=0


=
dt2  t=0

= .1 + .6 + .9 + 5.4 + 7.35 + 3.2 + 120 = 137.55 = E(X 2 )

2
So V ar(X) = E(X 2 ) − (E(X)) = 55.6475

(d) from (a), FX (x) = 0.5, 6 ≤ x < 7, median m is any value in [6,7).
2 2 2

θeθt (1 − η 2 t2 ) − eθt (−2η 2 t)  eθt(θ−θη t +2η t) 
 
dMX (t) 
3. E(X) = = = =θ
dt t=0 (1 − η 2 t2 )2 (1 − η 2 t2 )2 
 
t=0 t=0
d2 MX (t) 

E(X 2 ) = =
dt2 t=0
{θeθt [θ − θη 2 t2 + 2η 2 t] + eθt [−2θη 2 t + 2η 2 ]}(1 − η 2 t2 )4 + eθt (θ − θη 2 t2 + 2η 2 t)2(1 − η 2 t)(−2η 2 t) 


(1 − η 2 t2 )4 
t=0
2 2
= θ + 2η
2
V ar(X) = E(X 2 ) − (E(X)) = 2η 2

4. (a) When x > 0,

Z x
1 −t 1

1  −t x 1 x

FX (x) = e 2 + te−t dt = − e 2 + te−t + e−t  = − e− 2 + xe−x + e−x + 1
0 4 2 2 0 2
When x ≤ 0, FX (x) = 0
1

(b) P (2 < X < 3) = FX (3) − FX (2) = − e−1.5 + 4e−3 − e−1 − 3e−2 = 0.176
2
  Z ∞ 
1 1 1 (t− 12 )x 1 (t−1)x
Z ∞
x
(c) MX (t) = E(etX ) = etx e− 2 + xe−x dx = e + xe dx
0Z 4 2 0 4 2
1 (t− 21 )x 1 (t−1)x
Z ∞ ∞
= e dx + xe dx
0 4 −1 Z ∞ 0 2
1 1 1 1 1
Z ∞ −x

= −t e( t− 21 )x
dx + (1 − t) −2
xe
1
1−t dx
4 2 1 2 2
Γ(1) 1 −t
 
0 0 1
2 Γ(2) 1−t
 −1
1 1 1 −2 1
= −t + (1 − t) , t <
4 2 2 2
  −2 
dMX (t)  1 1 
−3 
(d) E(X) = = − t + (1 − t) =2
dt t=0 4 2


t=0
d2 MX (t) 
  −3
1 1 
E(X 2 ) =
−4 
= − t + 3 (1 − t) =7
dt2 t=0 2 2


t=0
2 2
V ar(X) = E(X ) − (E(X)) = 3

2
Summer 2006 STAT 602 Homework 3 Solution

5. (a) Rolling two dice, there are totally 36 possible outcomes for (X, Y ). Each has same probability
1/36.

For X < 2Y , the possible outcomes are the following:

X Y
1 1,2,3,4,5,6
2 2,3,4,5,6
3 2,3,4,5,6
4 3,4,5,6
5 3,4,5,6
6 4,5,6

There are total 27 possible outcomes. So P (X < 2Y ) = 27/36 = 0.75

X
Y-X 1 2 3 4 5 6
1 0 -1 -2 -3 -4 -5
2 1 0 -1 -2 -3 -4
(b)
3 2 1 0 -1 -2 -3
Y 4 3 2 1 0 -1 -2
5 4 3 2 1 0 -1
6 5 4 3 2 1 0
From the above table, we know that Y − X can be 5,4,3,2,1,0,-1,-2,-3,-4,-5.

So the probability distribution for Z = Y − X is:

P (Z = −5) = P (Z = 5) = 1/36
P (Z = −4) = P (Z = 4) = 1/18
P (Z = −3) = P (Z = 3) = 1/12
P (Z = −2) = P (Z = 2) = 1/9
P (Z = −1) = P (Z = 1) = 5/36
P (Z = 0) = 1/6

5
P
(c) E(Z) = i · P (Z = i) = 0
i=−5
5
E(Z 2 ) = i2 · P (Z = i) = 35/6
P
i=−5
V ar(Z) = 35/6

3
Summer 2006 STAT 602 Homework 3 Solution

6. (a) The intervals (−∞, 3.5] and (3.5, 7.3] are disjoint. Thus,

F (7.3) = P (X ≤ 7.3) = P (−∞ < X ≤ 3.5 or 3.5 < X ≤ 7.3)

= P (−∞ < X ≤ 3.5) + P (3.5 < X ≤ 7.3) = F (3.5) + P (3.5 < X ≤ 7.3)

Therefore, P (3.5 < X ≤ 7.3) = F (7.3) − F (3.5) = 0.83 − 0.3 = 0.53

(b) 


 0.3, x=2



0.15, x=5






 0.38,

x = 7.3
f (x) =



 0.07, x=9


0.01, x = 100






0, elsewhere



4 2
7. P (A > B) = P (A = 4 and B = 3) = P (A = 4) · P (B = 3) = ·1=
6 3
4 2
P (B > C) = P (B = 3 and C = 2) = P (B = 3) · P (C = 2) = 1 · =
6 3

P (C > D) = P [(C = 2 and D = 1) or (C = 6 and D = 5) or (C = 6 and D = 1)]

= P (C = 2) · P (D = 1) + P (C = 6) · P (D = 5) + P (C = 6) · P (D = 1)

4 3 2 3 2 3
= · + · + ·
6 6 6 6 6 6
2
=
3
P (D > A) = P [(D = 1 and A = 0) or (D = 5 and A = 0) or (D = 5 and A = 4)]

= P (D = 1) · P (A = 0) + P (D = 5) · P (A = 0) + P (D = 5) · P (A = 4)

3 2 3 2 3 4
= · + · + ·
6 6 6 6 6 6
2
=
3
Z 4 4 4
(x + 2)2 (x + 2)3 
Z
8. (a) E(X + 2) = (x + 2)f (x)dx = dx = =4
−2 −2 18 54 −2
Z 4 Z 4 4
(x + 2)3 (x + 2)4 
(b) E (X + 2)2 = (x + 2)2 f (x)dx =
 
dx = = 18
−2 −2 18 72 −2
(c) E(X) = E(X) + 2 − 2 = E(X + 2) − 2 = 4 − 2 = 2

E (X + 2)2 = E[X 2 + 4X + 4] = E(X 2 ) + 4E(X) + 4

 

Thus 18 = E(X 2 ) + 8 + 4, E(X 2 ) = 6

4
Summer 2006 STAT 602 Homework 3 Solution
2
Therefore, V ar(X) = E(X 2 ) − (E(X)) = 6 − 4 = 2

9. Remark: It is not correct to attempt to solve this problem using integration by part, since that assumes
that the CDF is differentiable on [0, ∞). This assumption does not always hold.

The correct solution involves expressing the term 1 − F (x) as an integral, and then interchanging the
order of integration.
Z x
Let x ∈ [0, ∞), then F (x) = f (t)dt.
0
Z ∞
Since X is non-negative, f (t)dt = 1.
0
Z ∞ Z x Z ∞
So 1 − F (x) = f (t)dt − f (t)dt = f (t)dt.
0 0 x
Z ∞ Z ∞Z ∞
Hence, [1 − F (x)]dx = f (t)dtdx.
0 0 x

Since the region x < t < ∞, 0 < x < ∞ is equivalent to 0 < x < t, 0 < t < ∞, interchanging the order
of integration gives:
Z ∞ Z ∞ Z t
[1 − F (x)]dx = f (t)dxdt
0 0 0

⇒
Z ∞ Z ∞ Z t
[1 − F (x)]dx = f (t) 1dxdt
0 0 0
Z t
But 1dx = t. Therefore,
0
Z ∞ Z ∞
[1 − F (x)]dx = tf (t)dt = E(X).
0 0

Remark: A similar result holds when X is a non-negative random variable of the discrete type.