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1.
a) f X ( x) f ( x, y)dy e y dy e x , x 0
x
f ( y | x) e y
b) fY | X ( y | x) x e y x , y x 0
f X ( x) e
c) E (Y | X x)
yfY | X ( y | x)dy ye y x dy x 1
x
d) Var (Y | X x) E (Y 2 | X x) E (Y | X x) 2
E (Y 2 | X x) y 2 fY | X ( y | x)dy y 2e y x dy x 2 2 x 2
x
Var (Y | X x) E (Y | X x) E (Y | X x) 2 x 2 2 x 2 ( x 1) 2 1
2
e) Var (Y ) E (Y 2 ) E (Y )2
fY ( y ) f ( x, y )dx e y dx ye y , y 0
y
0
E (Y 2 ) y 2 fY ( y )dy y 3e y dy (4) 6
0
E (Y ) yfY ( y )dy y 2e y dy (3) 2
0
Var (Y ) E (Y ) E (Y ) 6 4 2
2 2
2.
X1 , X 2 Exponential ( ) Y X1 X 2
, and it is obvious that 0 Y
fY ( y )
f X1 ( x) f X 2 ( y x)dx (Lecture Note P21)
y y
e e x ( y x )
dx 2e y dx 2 ye y , 0 y
0 0
3.
There are 2 methods to calculate the density of Y.
Method 1:
y 1 1 y
. dx 2 , 0 y
0
1 . 1 dx 2 y , y 2
2
y
Method 2:
z, 0 z 1
fY ( y )
2 z,1 z 2
y
,0 y
Z 1 2
Since Z Y / , fY ( y ) f Z (Y / ) f Z (Y / )
Y 2 y
, y 2
2
4.
a) X1 , X 2 N (0,1) and are independent.
1 x1 2 x2
2 2 2 2
1 x21 1 x22
f X1 , X 2 ( x1 , x2 ) f X1 ( x1 ) f X 2 ( x2 ) e . e e
2 2 2
U V
X
U X Y 2
V X Y Y U V
2
Thus,
U V 2 U V 2
( ) ( ) 2
v2
u v u v ( X1 , X 2 ) 1 2 2
1 1 u
fU ,V (u, v) f X1 , X 2 ( , ) e 2
. e 4
2 2 (U , V ) 2 2 4
1 1
( X1 , X 2 )
Here, 2 2 1
(U , V ) 1 1 2
2 2
b)
2
v2 2
1 u 1 u4
fU (u ) fU ,V (u, v)dv e 4
dv e
4
4
2
v2 2
1 u 1 v4
fV (v) fU ,V (u, v)du e 4
du e
4
4
Thus,
2
v2 2 2
1 u 1 u4 1 v4
fU ,V (u, v) e 4
e . e fU (u ). fV (v)
4 4 4
Thus, U and V are independent.
5.
a)
n n n n
X i X i X i X i
Cov( X n , ( X 1 X n )) E ( i 1
.( X 1 i 1
)) E ( i 1
)E( X1 i 1
))
n n n n
n n
1 n n Xi Xi
2 E (( X i ).(nX 1 X i )) E ( i 1
)E( X1 i 1
)
n i 1 i 1 n n
And
n n
Xi E( X ) i
E ( X1 i 1
) E ( X1 ) i 1
0
n n
n n
E (( X i ).(nX 1 X i ))
i 1 i 1
n n n n
(n 1) E ( X 1. X 1 ) E ( X 1. X i ) (n 1) E ( X i , X 1 ) E ( X i .X j )
i2 i2 i2 j 2
And
E ( X i 2 ) E ( X i ) 2 Var ( X i ) 2 2 , i j
E ( X i .X j )
E ( X i ) E ( X j ) , i j
2
Thus,
n n
E (( X i ).(nX 1 X i ))
i 1 i 1
n n n
(n 1)( 2 2 ) 2 (n 1) 2 (n 1)( 2 2 ) ( n 2) 2 0
i2 i2 i 2
Thus
Cov( X n , ( X 1 X n )) 0
b)
class.