Summer 2006 STAT 602 Homework 5 Solution

1. (a) The possible values of X are: n, n + 1, . . . , N . Apart from the maximum x, there are n − 1 sample
values to be selected from the
x − 1 numbers below x.
x−1
n−1
Therefore, P (X = x) = N

, x = n, n + 1, . . . , N .
n
N
x N +1
P


(b) Using the result that n = n+1 ,
x=n
x−1


N
P P n−1
E(X) = xP (X = x) = x· N


x x=n n
N
1 X (x − 1)!
= N
x·
(n − 1)!(x − n)!


n x=n

N  
n X x
= N n


n x=n
 
n N +1
= N n+1


n

n!(N − n)! (N + 1)!

= n·
N! (n + 1)!(N − n)!
n(N + 1)
=
n+1
(c) Let Ñ = X be the estimate of N .

2. (a) Since W and Z are independent, the joint pdf of W and Z is f (w, z) = g(w)h(z).
Z Z Z ∞ Z z 
P (W < Z) = P ((W, Z) ∈ A) = f (w, z)dwdz = f (w, z)dw dz
−∞ −∞
A
Z ∞ Z z
= g(w)h(z)dwdz
−∞ −∞

(b) The pdf of U = max{X1 , . . . , Xm } is h(u) = m[FX (u)]m−1 fX (u), −∞ < u < ∞.

The pdf of V = min{Y1 , . . . , Yn } is g(v) = n[1 − FX (v)]n−1 fX (v), −∞ < v < ∞.

Using the result in (a), we have

1
Summer 2006 STAT 602 Homework 5 Solution
Z ∞ Z v
P (U < V ) = h(u)g(v)dudv
−∞ −∞
Z ∞ Z v 
= g(v) h(u)du dv
−∞ −∞
Z ∞ Zv 
m−1
= g(v) m[FX (u)] fX (u)du dv
−∞ −∞
Z ∞
v
= g(v) [FX (u)]m |−∞ dv
−∞
Z ∞
= g(v)[FX (v)]m dv
−∞
Z ∞
= n[1 − FX (v)]n−1 fX (v)[FX (v)]m dv
−∞
Z 1
= ntm (1 − t)n−1 dt, t = FX (v)
0

Γ(m + 1)Γ(n) nm!(n − 1)! 1

= n = = m+n


Γ(m + n + 1) (m + n)! n

3. (a) Recall that for any x ∈ R, let [x] be the largest integer among those integers that is at most x.
The cdf for this geometric distribution is

 0,
 x<1
FX (x) = P (X ≤ x) = [x] [x]
p[1 − (1 − p )]
p(1 − p)k−1 = = 1 − (1 − p)[x] , [x] ≤ x < [x] + 1
 P

k=1 1 − (1 − p)
(b) The cdf of W = min{X1 , . . . , Xn } is
FW (w) = P (W ≤ w) = 1 − P (W > w)
= 1 − P (X1 > w)P (X2 > w) · · · P (Xn > w)
= 1 − [1 − FX (w)]n
= 1 − [1 − (1 − (1 − p)[w] )]n = 1 − (1 − p)n[w] , [w] ≤ w < [w] + 1
= 0, w < 1
The probability distribution of W is
P (W = w) = FW (w) − FW (w − 1), w = 1, 2, 3, . . . ,
= 1 − (1 − p)nw − [1 − (1 − p)n(w−1) ]
= (1 − p)n(w−1) − (1 − p)nw
= (1 − p)n(w−1) [1 − (1 − p)n ], w = 1, 2, 3, . . . ,
= 0, elsewhere
So W is distributed as a geometric distribution with parameter 1 − (1 − p)n .
Z x Z x
4. (a) The cdf for this distribution if FX (x) = P (X ≤ x) = fX (t)dt = e−(t−θ) dt
 −∞ θ
h ix  1 − e−(x−θ) , θ < x < ∞
= −e−(t−θ)  =

θ  0, x≤θ

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Summer 2006 STAT 602 Homework 5 Solution

(b) The cdf for U = min{X1 , . . . , Xn } is

FU (u) = P (U ≤ u) = 1 − P (U > u)
n
= 1 − (P (X > u))
= 1 − [1 − FX (u)]n
= 1 − [1 − (1 − e−(u−θ) )]n
= 1 − e−n(u−θ) , θ < u < ∞
= 0, u ≤ θ

5. The mgf of V is
" P n # n
n n λi (et −1)
P
t Xi
λi (et −1)
Q Q
MZ (t) = E e i=1 = MXi (t) = e =e
i=1 ,t ∈ R
i=1 i=1
 n

P
Thus V ∼ Possion λi
i=1

v −λ
 λ e , v = 0, 1, 2, . . . ,

The pmf for V is PV (v) = v!
 0,

elsewhere
n
P
Where λ = λi .
i=1

6. X12 , . . . , Xn2 are independent random variables with common mean E(X 2 ) = m2 and a finite common
variance (since E(X 4 ) < ∞).
n
1X 2 P
By the WLLN, M2 = X −→ E(X 2 ) = m2 .
n i=1 i
n
1X 1
To prove this, E(M2 ) = E(Xi2 ) = · n · m2 = m2 ,
n i=1 n
and
n
1 X
V ar(M2 ) = V ar(Xi2 )
n2 i=1
n
1 X
E(Xi4 ) − (E(Xi2 ))2


=
n2 i=1
1
= · n · (E(X 4 ) − m22 )
n2 4
E(X ) − m22
= −→ 0 as n −→ 0
n
(since E(X 4 ) < ∞)
n
1X 2
7. Write S 2 = X − X̄ 2 = M2 − X̄ 2
n i=1 i
Let µ = E(X) and σ 2 = V ar(X).
P
By the WLLN, X̄ −→ µ.
P
Since the function u 7→ u2 is continuous, X̄ 2 −→ µ2 .

3
Summer 2006 STAT 602 Homework 5 Solution

P
Combining this with problem 6, S 2 = M2 − X̄ 2 −→ E(X 2 ) − µ2 = σ 2 .

8. Since the population distribution is gamma(α, β), then µ = αβ, σ 2 = αβ 2 .

P P
By the result in problem 7, S 2 −→ σ 2 when n −→ ∞ and by WLLN, X̄ −→ µ
P
U = S 2 /X̄ −→ σ 2 /µ = αβ 2 /αβ = β
P
Set g(u) = u2 that is continuous function, we have g(X̄) = X̄ 2 −→ g(µ) = µ2 = (αβ)2
n→∞
P
Thus, V = X̄ 2 /S 2 −→ α2 β 2 /αβ 2 = α
n→∞

9. (a) The cdf of X is

Z x Z x x
e−t −d(1 + e−t ) 1  1
FX (x) = 2
dt = 2
= = , −∞ < x < ∞.
−∞ (1 + e ) −∞ (1 + e ) 1 + e −∞ 1 + e−x
−t −t −t 
The cdf of Yn is

GYn (t) = [FX (t)]n = [(1 + e−t )−1 ]n = (1 + e−t )−n , −∞ < t < ∞

The pdf of Yn is
d d
fYn (t) = GYn (t) = [(1 + e−t )−n ] = n(1 + e−t )−(n+1) e−t , −∞ < t < ∞
dt dt
(b) The cdf of Wn = Yn − ln(n) is

Gn (t) = P (Wn ≤ t) = P (Yn ≤ t + ln(n)) = GYn (t + ln(n)) = [1 + e−(t+ln(n)) ]−n

 −n
e−t
= 1+ , −∞ < t < ∞
n
 −n
e−t −t
lim Gn (t) = lim 1 + = e−e , −∞ < t < ∞
n→∞ n→∞ n
d
Define cdf G(t) = e−e , −∞ < t < ∞. The pdf is g(t) = G(t) = e−(e +t) , −∞ < t < ∞.
−t −t

dt
Thus, the asymptotic distribution of Wn is g(t).
n !   n
t
t
P
n Xi
tX̄
10. (a) The mgf of X̄ is Q(t) = E(e ) = E e i=1 = MX
n
(b) Proof:
d(k) MX (t) 

= E(X k ), for k = 1, 2, . . . and MX (0) = 1
dtk 
t=0
A taylor series expansion of MX (t) about t = 0 is
MX (t) = 1 + E[X]t + o(t) as t → 0
= 1 + µt + o(t) as t → 0
  n
t

  n     n µt + o · n
t t t  n
So, Q(t) = MX = 1+µ +o =1 + 
n n n  n 

4
Summer 2006 STAT 602 Homework 5 Solution
 
t
  o
t n
Note, o ·n= · t → 0 as n → ∞.
n t
n
So,
    n
t t
lim Q(t) = lim 1 + µ +o = eµt .
n→∞ n→∞ n n

 1, x = µ
And eµt is the mgf for X ∼ PX (x) =
 0, elsewhere

therefore,
D P
X̄ −→ µ ⇒ X̄ −→ µ since µ is a constant
n→∞ n→∞

The weak law of large number is proved.