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1
n1
Pn
i=1 (Xi
X )2 , min(X1 , . . . , Xn )
2/1
((+1)/2) 1
(1
(/2)
x 2 (+1)/2
.
)
3/1
1
x )
= 1 .
F (2 ,1 )
+(Y 1)
P( X 2 +(YX1)
2 +(W 2)2 /4 > k ) = P(
Since
1
1+a
1
(W 2)2 /4
1+ 2
X +(Y 1)2
> k) =
(W 2)2 /4
= P( 2
<
[X + (Y 1)2 ]/2
|
{z
}
2(1k )
)
k
1k
k .
= 0.05 Now
F (1,2)
2(1k )
k
= F0.95 (1, 2) =
1
F0.05 (2,1)
1
199.5
and k = 0.9975.
4/1
Order Statistics
Let X1 , . . . , Xn be independent, identically distributed random
variables (or a random sample) with a common density f (x)
and cdf F (x).
X1:n X2:n Xn:n are order statistics k th order statistic
is k th in magnitude.
n = 2 two observations: X1 , X2 and two order statistics:
X1:2 = min(X1 , X2 ) , X2:2 = max(X1 , X2 ).
n = 5 If x1 = 4, x2 = 3, x3 = 1, x4 = 6, x5 = 3, then
1 < 3 =3 < 4 < 6
x1:5 x2:5 x3:5 x4:5 x5:5
5/1
6/1
d
dt G1 (t)
d
= n[1 F (t)]n1 (1) dt
F (t)
= nf (t)[1 F (t)]n1
P
k = n Gn (t) = nr=n nr [F (t)]r [1 F (t)]nr
= nn [F (t)]n [1 F (t)]0 = [F (t)]n .
Also, Gn (t) = P(Xn:n t) = P(X1 t, . . . , Xn t)
= [P(Xi t)]n = [F (t)]n . Finally, gn (t) = nf (t)[F (t)]n1
gk (t) = k kn f (t)[F (t)]k 1 [1 F (t)]nk
7/1
8/1
1
(i) Xi U[0,
], f (x) = for 0 < x < and 0 otherwise,
0 for x < 0
x
for 0 < x <
F (x) =
1 for x >
g1 (t) = n (1 t )n1 ,
gn (t) = n ( t )n1
(ii) G1 (t) = 1 [1 t ]n ,
Gn (t) = ( t )n .
9/1
t n (1 t )n1 dt =
R1
t
n
n1 dw
=
w
then
dt
=
dw,
and
=
0 w (1 w)
R1
= n 0 w 1 (1 w)n1 dw
|
{z
}
(iii) E(X1:n ) =
BETA(2,n)
(n1)!
(n+1)! n
E(Xn:n ) =
=
Z
|0
R
0
(n + 2) 1
n!
w (1 w)n1 dw = (n+1)!
=
(2)(n)
{z
}
n+1 .
=1
t n ( t )n1 dt =
R n
1
n
n
0 t dt
n t n+1
n n+1 |0
nn+1
(n+1)n
n
n+1 .
10 / 1
2 )=
E(X1:n
R
0
t 2 g1 (t) =
R
0
t 2 n (1 t )n1 dt =
= u, t = (1 u), dt = du
R0
R1
and = 1 2 (1 u)2 n u n1 du = n2 0 u n1 (1 u)2 du
|
{z
}
1
BETA(n,3)
n2 (n)(3)
(n+3)
2n!
=
= 2 (n+2)!
Z
|0
(n + 3) n1
u
(1 u)2 du = 2 n(n1)!2
(n+2)!
(n)(3)
{z
}
=1
22
(n+1)(n+2)
11 / 1
2 ) (E(X ))2 =
Finally, Var(X1:n ) = E(X1:n
1:n
2
= 2 ( (n+1)(n+2)
1
)
(n+1)2
22
(n+1)(n+2)
2
[2(n
(n+1)2 (n+2)
t 2 n ( t )n1 dt =
2
( n+1
)
+ 1) (n + 2)]
n2
(n+1)2 (n+2)
Var(Xn:n ) :
2 )=
E(Xn:n
n t n+2
n n+2 |0
t 2 gn (t)dt =
R
0
t n+1 dt
n2
n+2 .
2 ) (E(X
2
Now, Var(Xn:n ) = E(Xn:n
n:n )) =
1
= n2 ( n+2
n
n
n
)
(n+1)2
n2
(n+2)(n+1)2
n2
n+2
2
n
( n+1
)2
n2
(n+2)(n+1)2
12 / 1
g1,n (s, t) =
= n(n
n(n1)
n (t
s)n2 ,
13 / 1
RRt
E(X1:n Xn:n ) = 0 0 st g1,n (s, t) ds dt
RRt
n2 ds dt
= 0 0 st n(n1)
n (t s)
Z t
R
n(n1)
= 0 t n
[t (t s)](t s)n2 ds dt =
|0
{z
}
=
=
=
n1
Rt
tn
n1
tn
n
NowR
= 0 t
(ts)n t
n )|0
t n+2
n+2
1
1
= t n ( n1
n1 ) = t n n(n1)
.
n(n1)
n
tn
n(n1)
2
[(n
(n+1)2 (n+2) |
1
n
2
n+2
dt =
t n+1 dt =
n+1
1
n
2
n+2 ,
n
n+1
2
(n+1)2 (n+2)
=1
14 / 1
15 / 1
=
R
r
1 nr
enw dw = n1 enw |
, and finally
r = ne
n
n+1
n+1
n1
n+1 .
If now
2n2
(n+1)2 (n+2)
22
(n+1)2 (n+2)
22 (n1)
(n+1)2 (n+2)
16 / 1
gk (t) =
=
F (t)]nk f (t)
17 / 1
(i) E(Xk :n ) =
n!
(k 1)!(nk )!
n!
(k 1)!(nk )!
k !(nk )!
(n+1)!
tgk (t)dt =
R1
0
n!
t k 1
t (k 1)!(nk
[1 t ]nk 1 dt
)! ( )
ww k 1 (1 w)nk 1 dw
|0
w k (1 w)nk dw =
{z
}
(k +1)(nk +1)
n!
(n+2)
(k 1)!(nk )!
n!
(k 1)!(nk )!
k
n+1 ,
and E(Xl:n ) =
l
n+1 .
(ii) Similarly,
R
R
n!
t k 1
E(Xk2:n ) = 0 t 2 gk (t)dt = 0 t 2 (k 1)!(nk
[1 t ]nk 1 dt
)! ( )
Z 1
2
n!
= (k 1)!(nk
w k +1 (1 w)nk dw
)!
|0
{z
}
=
(k +2)(nk +1)
(n+3)
18 / 1
k (k +1)
k 2
(iii) Var(Xk :n ) = E(Xk2:n ) [E(Xk :n )]2 = 2 (n+1)(n+2)
( n+1
)
2
(n+2)
k (n+1k )
= 2 k (k +1)(n+1)k
= 2 (n+1)
2 (n+2) .
(n+1)2 (n+2)
n!
(k 1)!(lk 1)!(nl)!
[F (s)]k 1 [F (t) F (s)]lk 1 [1
(iv) gk ,l (s, t) =
RRt
Now E(Xk :n Xl:n ) = 0 0 st gk ,l (s, t)
RRt
= 0 0 st( s )k 1 [ t s ]lk 1 [1 t ]nl 12 ds dt =???
Easier way: Let Y1 , . . . , Yn be a random sample from U[0, 1].
Then Xi = Yi , Xi:n = Yi:n , E(Xi:n ) = E(Yi:n ) and so on. Also
E(Xk :n Xl:n ) = 2 E(Yk :n Yl:n ).
19 / 1
n!
(k 1)!(lk 1)!(nl)! ,
RRt
E(Yk :n Yl:n ) = 0 0 st gk ,l (s, t)ds dt
RRt
= 0 0 st sk 1 [t s]lk 1 [1 t]nl ds dt
RRt
= 0 0 [1 (1 t)] sk [t s]lk 1 [1 t]nl ds dt
RRt
= 0 0 sk [t s]lk 1 [1 t]nl ds dt
RRt
0 0 sk [t s]lk 1 [1 t]nl+1 ds dt
and since 1 = k !(lk(n+1)!
1)!(nl)! ,
For =
A=
1
RRt
0
= A B,
1)!(nl)!
= k !(lk(n+1)!
.
20 / 1
Similarly B =
2
RRt
0
= k !(lk 1)!(nl+1)!
, since 2
(n+2)!
gk +1,l+1 (s,t)
(n+2)!
= k !(lk 1)!(nl+1)!
.
Next,
1)!(nl)!
=
=
n!
(k 1)!(lk 1)!(nl)!
k (l+1)
(n+1)(n+2) .
k !(lk 1)!(nl)!
[(n
(n+2)!
k !(lk 1)!(nl+1)!
)
(n+2)!
+ 2) (n l + 1)]
k (l+1)
Consequently, E(Xk :n Xl:n ) = 2 (n+1)(n+2)
k
n+1
l
n+1
= 2 k (l+1)(n+1)kl(n+2)
(n+1)2 (n+2)
k (n+1l)
= 2 (n+1)
2 (n+2) .
21 / 1
22 / 1
23 / 1
Now = 5!24
R1
0.5(1y42 )
24 / 1
Rt
0 sf (s|t)ds =
Rt
0
s ff(s,t)
ds.
T (t)
Since
f2,4 (s, t) =
=4
and f4 (t) =
5!
2 41 (1
(41)!(54)! (t )
t 2 )1 2s2t
t 2 )54 2t = 40t 7 (1 t 2 ).
Now, f (s|t) =
25 / 1
(iii) Y = XX2:5
= TS . Let W = S be a companion variable, so that
1:5
t = yw, and s = w. Since 0 < s < t < 1, we have
0 < w < yw < 1, and that means that w > 0, y > 1, and y < w1 .
J = |y1 w
0 | = w, |J| = w.
5!
11 [F (t) F (s)]211
(11)!(211)!(52)! [F (s)]
F (t)]53 f (s)f (t) = 20(1 t 2 )3 2s2t = 80st(1 t 2 )3
f1,2 (s, t) =
[1
Let 1 y 2 w 2 = z. Then w 2 = 1z
, 2wy 2 dw = dz, and =
y2
R0 3 3 1
R
R
1 4 1
3 dz = 1 y 4 1 (z 3 z 4 )dz
w
z
dz
=
y
(1
z)z
2
2
2
1
0
0
2wy
4
= 12 y 4 ( z4
z5 1
5 )|0 dz
1 4
,
40 y
F
S
F
F
S
F
0.5957
0.4801
0.2223
0.1718
0.2292
0.9815
F
F
F
F
F
S
X2 = 1
P(X = x)
0.1353
0.2707
0.2707
0.1804
0.0902
0.0361
FX (x) = P(X x)
0.1353
0.4060
0.6767
0.8571
0.9473
0.9834
0.0909
0
0.1850
1
0.1243
0
0.2991
1
0.4290
2
0.9272
4
1
2
Accept/Reject Algorithm
When the distribution of variable X is such that cdf F and/or
F 1 do not have closed form, one of the possible methods of
generating a random sample from the distribution of X is the
so-called accept/reject algorithm:
Let U U[0, 1], and let variable Y with density g be some
distribution that is easy to generate. Variables U and Y are
independent.
Additionally, let c be a constant such that f (y ) cg(y ) for any
f (y )
value y of Y , so in other words c = supy g(y
).
f (Y )
cg(Y ) .
Finally, X = Y if U <
31 / 1
Justification:
FX (y ) = FY (y |U
f (Y )
cg(Y ) )
Ry
Ry
R f (t)/[cg(t)]
f (y )
cg(y )
g(y )dy =
g(t) du dt = c
f (t)
g(t) cg(t) dt =
c
c
Ry
f (t) dt
1
c
f (Y )
cg(Y ) ).
=
R
f (y )dy
1
c
Ry
R f (t)/[cg(t)]
g(t)(
du) dt
= FX (y )
32 / 1
c = supy
f (y )
f (y )
,
g(y ) g(y )
(2)1/2 ey
1.5e|y |
2 /2
1.5 2
ey
2 /2+3|y |
2 /2+3y
d y 2 /2+3y
dy e
d y 2 /2+3y
(y
dy e
+ 3)
is equal to 0 if y = 3.
supy
f (y )
g(y )
f (3)
g(3)
X = Y if U <
U1
0.22295
0.847152
0.614370
e4.5+9
1.5 2
4.5
e
1.5 2
= 23.941 = c.
f (Y )
cg(Y ) .
U2
0.516174
0.466449
0.001058
Y
0.01096
-0.02315
-2.05270
f (y )/[cg(y )]
0.1148
0.0119
0.6385
X
none
none
-2.0527
x1 = 2.0527.
33 / 1
V1 = U1
1/
, V2 = U2 . X = V1 if V1 + V2 1
N
D
v ) = P(U1 v ) = v ,
34 / 1
R 1 R 1v
D = P(V1 + V2 1) = 0 0 1 v11 v21 dv2 dv1
Z
R 1 1 1v1 1
R1
= 0 v1
v2 dv2 dv1 = 0 v11 (1 v1 ) dv1
|0
{z
}
= 1 (1v1 )
= ()(+1)
(++1)
R1
(++1) 1
(1
0 ()(+1) v1
v1 ) dv1 =
(+1)(+1)
(++1)
and
N =
R a R 1v1
0
= ()(+1)
(++1)
=
Ra
(++1)
0 ()(+1) (1
Ra
0
(1 v1 ) v11 dv1
v1 ) v11 dv1
(+1)(+1)
(++1) FBETA(,+1) (a).
35 / 1
Now =
N
D
= FBETA(,+1) (a)
X BETA(, + 1).
36 / 1