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Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… STA 2204 CALCULUS FOR STATISTICS III

PURPOSE

To extend the concepts of differentiation and integration to functions of several variables, and also to investigate inequalities and estimates and their use in understanding the convergence of sequences and series.

OBJECTIVES By the end of this course the student should be able to;

a) Apply an appropriate convergence test for a given sequence or series

b) Apply the appropriate form of Taylor’s or Maclaurin’s series for a given function

c) Apply the trigonometric and hyperbolic representation of complex numbers

d) Apply reduction formulae in integration

e) Identify improper integrals and determine their convergence

f) Appreciate the integral as a limit of a sum

g) Evaluate double integrals

h) Apply the techniques for determining stationary points for functions of more than one variable

i) Apply the techniques for determining the terms of a Fourier series

DESCRIPTION Sequences and series: convergence tests. Power series: Taylor's and Maclaurin's theorems including applications to binomial, logarithmic, exponential, trigonometric and hyperbolic functions. Trigonometric and hyperbolic representation of complex numbers. Integration: reduction formulae and its applications. Improper integrals and their convergence. Integration as the limit of a sum including pincer method for evaluation of simple integrals. Double integrals including change of order of integration and change of variable, Jacobians. Stationary Points for functions of more than one variable. Lagrange multipliers. First and second order partial derivatives for functions of two or more variables. Techniques for Fourier series.

PRE-REQUISITES: STA 2105 Calculus for Statistics II

OURSE TEXT BOOKS

1. S J Salas and E Hille Calculus: One and Several Variables.7th ed. Wiley, 1995.

2. Thomas & Finney. Calculus and Analytical Geometry. 7 th . Addison-Wesley, 1988

COURSE JOURNALS:

1. Journal of the American Statistical Association

2. Calculus of Variations and Partial Differential Equations ISSN: 0944-2669 (print version) ISSN: 1432-

0835 (electronic version) Springer

FURTHER REFERENCE TEXT BOOKS AND JOURNALS:

1. Edwards, C. H. Multivariable Calculus With Analytic Geometry, 5 th . Prentice Hall, 1997 ISBN-10:

0137363311 ISBN-13: 978-0137363315

2. Larson, Ron; Hostetler, Robert P.; Edwards, Bruce H. Calculus With Analytic Geometry, 8 th ed. Houghton Mifflin College, 2005 ISBN: 0131246461

3. Stephenson, G. Mathematical Methods for Science Students,2 nd ed. Longman, 1995 ISBN 0-582-44416-0

4. Advanced Calculus with Applications in Statistics (Second Edition)

5. Stewart. Calculus Concepts and Contexts: Multi-variable and Single Variable. Brooks/Cole Pub Co, 2004 ISBN-10: 0495011630 ISBN-13: 978-0495011637.

6. Journal of Applied Mathematical Sciences

7. Journal of Convex Analysis

8. ESAIM: Control, Optimisation and Calculus of Variations  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… SEQUENCES AND SERIES

In this chapter we’ll be taking a look at sequences and (infinite) series. Actually, this chapter will deal almost exclusively with series. However, we also need to understand some of the

basics of sequences in order to properly deal with series. time on sequences as well.

Sequences

A sequence is a list of terms written down in a definite or specific order using a simple rule.

The list may or may not have an infinite number of terms in them although we will be dealing exclusively with infinite sequences in this unit. General sequence terms are denoted as;

We will therefore, spend a little

a 1

first term,

a

2

-second term,

a

n

- n

th

term,

a

n1

(n

1)

th

term,

Because we will be dealing with infinite sequences each term in the sequence will be followed by another term as noted above. In the notation above we need to be very careful

with the subscripts. The subscript

plus the

make sure that the “+1” doesn’t migrate out of the subscript! This is an easy mistake.

n 1

denotes the next term in the sequence and NOT one

a

n

1

a

n

1

so be very careful when writing subscripts to

n

th

term. In other words,

There is a variety of ways of denoting a sequence. The following are equivalent ways of

denoting a sequence. a

In the second and third notations above

a

n

a

n

n 1

1

,

a

2

,

a

n

,

a

n

1

,,

a

n is usually given by a formula.

Note the difference between the second and third notations above. If the starting point is not important or is implied in some way by the problem it is often not written down as we did in

the third notation. Next, we used a starting point of

could write one down. There is absolutely no reason to believe that a sequence will start at in the third notation only so we . A sequence will start where ever it needs to start.

Example 1 Write down the first few terms of each of the following sequences.

(a)

n

n

1

2

n

1

Solution (

1)

n 1

(b)  

2

n

 

n 0

(c)

b

n

n 1

, where (a)

To get the first few sequence terms here all we need to do is plug in values of n into the formula given and we’ll get the sequence terms.

 

n 1

n

2

n 1

  2,

3 4

5

6

,

4 9

, 16

, 25

,

  

Note the inclusion of the “…” at the end! This is an important piece of notation as it is the only thing that tells us that the sequence continues on and doesn’t terminate at the last term.

(

1)

n 1

(b)  

2

n

n 0

This one is similar to the first one. The main difference is that this

sequence doesn’t start at .

(

1)

n 1

2

n

n 0

1,

1

1

1

1

2

,

4

,

8

,

16

,

Note that the terms in this sequence alternate

in signs. Sequences of this kind are sometimes called alternating sequences.  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… (c)

b

n

1 where

n

b

n

n

th

digit of This sequence is different from the first two in the sense that it doesn’t have a specific formula for each term. However, it does tell us what each term should be. Each term should

be the n th digit of π. So we know that

3.14159265359

The sequence is then,

3,1,4,1,5,9,2,6,5,3,5, 9, .. ]

In parts a and b of the previous example note that we were really treating the formulas as functions that can only have integers plugged into them. Or,

f

(

n

)

n

1

2

n

g

(

n

)

(

1)

n 1

2

n

This is an important idea in the study of sequences (and series). Treating the sequence terms as function evaluations will allow us to do many things with sequences that we couldn’t do otherwise. Before delving further into this idea however we need to get a couple more ideas out of the way.

First we want to think about “graphing” a sequence. To graph the sequence

a

n we plot the

points

n,a

n

 

sequence

, as n ranges over all possible values on a graph. For instance, let’s graph the n 1

n

2

 

n

1

. The first few points on the graph are,

1,2 ,

2,

3 4    ,    3,

9 4   ,  

4,

16 5    ,    5,

25 6    ,,

The graph, for the first 30 terms of the sequence, is then, This graph leads us to an important idea about sequences. Notice that as n increases the sequence terms in our sequence, in this case, get closer and closer to zero. We then say that zero is the limit (or sometimes the limiting value) of the sequence and write,

lim

n 

a

n

lim

n 

n 1   0

n

2

If

doesn’t exist or is infinite we say the sequence diverges.

lim

n



a

n

exists and is finite we say that the sequence is convergent. If

lim

n



Sometimes we will say the sequence diverges to if

lim

n 

a 

n

and if

lim

n 

a 

n

we will sometimes say that the sequence diverges to . a

n

Get used to the terms “convergent” and “divergent” as we’ll be seeing them quite a bit throughout this chapter.  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… Example 2

converges determine its limit.

Determine if the following sequences converge or diverge. If the sequence

(a)  

3

2

n

1

10n

5 n

2

  n 1

(b)

e

 

 

2 n

n

n 1

( 1)

n

n

 

(c)

n 1

Solution

(a)  

3

2

n

1

10n

5

n

2

  n 1

To evaluate the limiting value we need to divide both numerator and

denominator by the largest power of n, in the numerator and then take the limit

lim

n



3

2

n

1

10n

5 n

2

 

So the sequence converges and its limit is .

lim

n



3

1

2

n

10

n

5

 

3

5

ie

(b)  

e

2 n

n

 

n 1 We will need to be careful with this one.

Rule on this sequence.

lim

n



e

n

2 n

 

So, the sequence in this part diverges to .

lim

n



e

2

1

2 n

We will need to use L’Hospital’s

 

More often than not we just do L’Hospital’s Rule on the sequence terms without first converting to x’s since the work will be identical regardless of whether we use x or n. However, we really should remember that technically we can’t do the derivatives while dealing with sequence terms.

(c)  

( 1)

n

n

 

n 1

We will also need to be careful with this sequence. We might be tempted to

just say that the limit of the sequence terms is zero (and we’d be correct). However, technically we can’t take the limit of sequences whose terms alternate in sign, because we don’t know how to do limits of functions that exhibit that same behaviour. Also, we want to be very careful to not rely too much on intuition with these problems. As we will see in the next section, and in later sections, our intuition can lead us astray in these problem if we aren’t careful.

we’ll first need to compute,

lim

n  (
1)
n
n

lim

n 

1

n

 0

Therefore, since the limit of the sequence terms with absolute value bars on them goes to zero

then,

lim

n 

(

1)

n

n

  0

which also means that the sequence converges to a value of zero.

Terms and Definitions.

Given any sequence

(i)

a

n we have the following.

a

n1

We call the sequence increasing if

a

n

and we call the sequence decreasing if

a

n

a

n1 for every n.

(ii)

(iii)If there exist a number m such that

If

a

n

is an increasing sequence or a decreasing sequence we call it monotonic.

m a

n

for every n we say the sequence is bounded

below. The number m is sometimes called a lower bound for the sequence.  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… (iv)If there exist a number M such that

above. The number M is sometimes called an upper bound for the sequence. (v) If the sequence is both bounded below and above we call the sequence bounded.

a

n

M for every n we say the sequence is bounded

Note that in order for a sequence to be increasing or decreasing it must be increasing or decreasing for every n. In other words, a sequence that increases for three terms and then decreases for the rest of the terms is NOT a decreasing sequence! Also note that a monotonic sequence must always increase or it must always decrease.

Example 3

Determine if the following sequences are monotonic and/or bounded.

(a)

n

2  
n  0

(b)

(

1)

n 1  
n  1

2

2

(c)

n

n 5 Solution

(a)

2

n

This sequence is a decreasing sequence (and hence monotonic) because, 2

n (n 1)

2

for every n.

Also, since the sequence terms will be either zero or negative

this sequence is bounded above. We can use any positive number or zero as the upper bound, M, however, it’s standard to choose the smallest possible bound if we can and it’s a nice

number. So, we’ll choose

This sequence is not bounded below however since we can always get below any potential bound by taking n large enough. Therefore, while the sequence is bounded above it is not bounded.

if we want to be specific).  for every n

since,

2

n 0

As a side note we can also note that this sequence diverges (to

(b)

(

1)

n 1

n 1

The sequence terms in this sequence alternate between 1 and -1 and so the

sequence is neither an increasing sequence nor a decreasing thus it is not monotonic The sequence is bounded since it is bounded above by 1 and bounded below by -1. Again, we can note that this sequence is also divergent.

(c)

2

2

n

n 5

This is a decreasing sequence (and hence monotonic) since,

2

2

n

2

(n

1)

2 The terms in this sequence are all positive and so it is bounded below by zero. Also, since the sequence is a decreasing sequence the first sequence term will be the largest and so we

can see that the sequence will also be bounded above by

bounded. We can also take a quick limit and note that this sequence converges and its limit is zero. . Therefore, this sequence is

Question

Determine if the following sequences are monotonic and/or bounded.

(a)

  n

n

1

n 1

(b)

n

3

n

4

10,000

 

n 0

Theorem: If

a

n

is bounded and monotonic then

a

n

is convergent.

Be careful to not misuse this theorem. It does not say that if a sequence is not bounded and/or not monotonic that it is

Note as well that we can make several variants of this theorem. If

a

n

is bounded above

and increasing then it converges and likewise if it converges.

a

n

is bounded below and decreasing then  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… Series the Basics

In this section we will introduce the topic that we will be discussing for the rest of this chapter. That topic is infinite series. So just what is an infinite series? Well, let’s start with

 a sequence  a n   n following, s 1  a 1 ,

1

(note

s

2

a

1 a

2

,

is for convenience, it can be anything) and define the

s

3

a

1

a

2

a

3

,

.

.

s

n

a

1

a

2

a

3

a

n

n

a

i 1

i

s

n

n

1

. Also

The

recall that the

common names are : series notation, summation notation, and sigma notation.

We want to take a look at the limit of the sequence of partial sums,

s

n

are called partial sums and notice that they will form a sequence, is used to represent this summation and called a variety of names. The most

s

n

n 1

.

Notation ally

we’ll define,

We will call

n

lim

n 

i 1

i

n 1 lim
s
n
n 
a
n
n1

a

a

n

an infinite series and note that the series “starts” at

n 1

because that is

a

n

n

1

, started. Had our original sequence started at 2 then

where our original sequence,

our infinite series would also have started at 2. The infinite series will start at the same value that the sequence of terms (as opposed to the sequence of partial sums) starts.

If the sequence of partial sums,

s

n

n

1

, is convergent and its limit is finite then we also call

the infinite series,

n1

a

n

convergent and if the sequence of partial sums is divergent then

the infinite series is also called divergent.

Note that sometimes it is convenient to write the infinite series as,

a

n 1

n

a

1

a

2

a

3

We do have to be careful with this however. This implies that an infinite series is just an infinite sum of terms and as we’ll see in the next section this is not really true.

First, we should note that in most of this chapter we will refer to infinite series as simply series. If we ever need to work with both infinite and finite series we’ll be more careful with terminology, but in most sections we’ll be dealing exclusively with infinite series and so we’ll just call them series.

Now, in

n1

a

n

the n is called the index of summation or just index in short and note that the

letter we use to represent the index does not matter. So for example the following series are all the same. The only difference is the letter we’ve used for the index.

n 1

3

2

n

1

n

1

3

i

2

1

n 1

3

k

2

1

etc

It is important to again note that the index will start at any value. Here we’ve used

the index could have started anywhere. In fact, we will usually use

infinite series in which the starting point for the index is not important. Do not forget however, that there is a starting point and that this will be an infinite series.

n 1

a

n to represent an

but  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… Properties of Infinite Series

If

a

n

and

b

n

are both convergent series then, ca

n

, where c is any number, is also convergent and

ca

n

n

k

a

n

n

k

b

n

is also convergent and,

     a n   b n   a n  b n

n

k

n

k

n

k

c

.

a

n The first property is simply telling us that we can always factor a multiplicative constant out of an infinite series The second property says that if we add/subtract series all we really need to do is add/subtract the series terms. Note as well that in order to add/subtract series we need to make sure that both have the same initial value of the index and the new series will also start at this value.

Note that,

n

k

a

n

 

n

k

b

n



n k

a b

n

n

rather

n 1

a

n

  

n

1

b

n



a

1

 

a

2

a

3



b

1

b

2

b

 

3

Index Shift

The basic idea behind index shifts is to start a series at a different value for whatever the reason (and yes, there are legitimate reasons for doing that). Consider the following series,

n 2

n 5

2

n n 0

Suppose that for some reason we wanted to start this series at

change the value of the series. This means that we can’t just change the

this would add in two new terms to the series and thus change its value. Performing an index shift is a fairly simple process to do. We’ll start by defining a new

index, say i, as follows, i n 2

, but we didn’t want to

n 2

to

n 0

as

 Now, when n  2 , we will get i  0 . Notice as well that if n  then i  2  so only the lower limit will change here. Next, we can solve this for n to get, n  i  2

We can now completely rewrite the series in terms of the index i instead of the index n simply by plugging in our equation for n in terms of i.

n 2

n 5

2

n

i 0

(

i

2)

5

2

i 2

i 0

i 7

2 i 2

To finish the problem out we’ll recall that the letter we used for the index doesn’t matter and so we’ll change the final i back into an n to get,

n 2

n 5

2

n

n 7

2

n 0

n 2

To convince yourselves that these really are the same summation let’s write out the first couple of terms for each of them,

n 2

n 5

7

8

2

2 3

n 2 2



9

2 4

10

2

5

and

n 0

n 7

2 n

2



7

2 2

8

2

3

9



2

4

10

2 5

.

So, sure enough the two series do have exactly the same terms.

There is actually an easier way to do an index shift. The method given above is the technically correct way of doing an index shift. However, notice in the above example we decreased the initial value of the index by 2 and all the n’s in the series terms increased by 2 as well. This will always work in this manner. If we decrease the initial value of the index by a set amount then all the other n’s in the series term will increase by the same amount. Likewise,  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… if we increase the initial value of the index by a set amount, then all the n’s in the series term will decrease by the same amount.

Let’s do a couple of examples using this shorthand method for doing index shifts.

Example 4

Perform the following index shifts.

(a)

Write

n 1

ar

n 1

as a series that starts at .

(b) Write

n 1

n

2

1 3

n 1

as a series that starts at .

Solution (a) In this case we need to decrease the initial value by 1 and so the n’s (okay the single n) in the term must increase by 1 as well.

ar

n 1

 

n 1

n 0

ar

(

1)

n  

1

n 0

ar

n (b) For this problem we want to increase the initial value by 2 and so all the n’s in the series term must decrease by 2.ie

n 1

2

n

1 3

n

1

n

3

(

n

2)

2

1 3

(

2)

n  

1

n 3

(

n

2)

2

1 3

n 1

The next concept is about alternate ways to write series when the situation requires it.

Let’s start with the following series and note that the convenience since we need to start the series somewhere. starting point is only for

n 1

a

n

a

1

 

a

2

a

3

a

4

a

5

Notice that if we ignore the first term the remaining terms will also be a series that will start

at

So, we can rewrite the original series as follows,

n 2

n 1

 

n 1

a

n

a

1

n 2

a

n

.

In this example we say that we’ve stripped out the first term.

We could have stripped out more terms if we wanted to. In the following series we’ve stripped out the first two terms and the first four terms respectively.

n

1

a

n

a

1

 

a

2

n 3

a

n

.

and

n

1

a

n

a

1

 

a

2

a

3

 

a

4

n 5

a

n

Being able to strip out terms will, on occasion, simplify our work or allow us to reuse a prior result so it’s an important idea to remember. Notice that in the second example above we could have also denoted the four terms that we stripped out as a finite series as follows,

a

n 1

n

a

1

a

2

a

3

 

a

4

  4   a n   a  n  a n n  5 n  1 n  5

This is a convenient notation when we are stripping out a large number of terms or if we need to strip out an undetermined number of terms. In general, we can write a series as follows,

  k   a  n  a n   a n n  1 n  1 n k   1

Series

Convergence/Divergence

Let’s recap just what an infinite series is and what it means for a series to be convergent or

sequence at

a

n

n

1

and again note that we’re starting the

n 1

only for the sake of convenience and it can, in fact, be anything.  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… Next we define the partial sums of the series as,

s

1

a

1

,

s

2

a

1

a

2

,

form a new sequence,

s

s

n

3

n

1

a

.

1

a

2

a

3

,

.

.

s

n

a

1

a

2

a

3

a

n

n

a

i 1

i

and these

An infinite series is then the limit of the partial sums. Or

n

1

a

n

lim

n



s

n

If the sequence of partial sums is a convergent sequence (i.e. its limit exists and is finite) then

the series is also called convergent and in this case if

n 1

lim

n



s

n

s

then,

a

n s

,

Likewise, if the sequence of partial sums is a divergent sequence (i.e. its limit doesn’t exist or is plus or minus infinity) then the series is also called divergent. Let’s take a look at some series and see if we can determine if they are convergent or divergent and see if we can determine the value of any convergent series we find.

Example 5

determine its value.

Determine if the following series is convergent or divergent. If it converges

a)

Solution

n1

n

b)

n 2

1

n

2

1

c)

n 0

( 1)

n

d)

n 1

1

3

n 1

a)

n1

n To determine if the series is convergent we first need to get our hands on a formula

n

(

n

1)

2

for the general term in the sequence of partial sums.

To determine if the series is convergent we will first need to see if the sequence of partial

s

n

1   

2

3

 

n

sums,

n n

(

1)

2

n 1

is convergent or divergent. That’s not terribly difficult in this case. The

(

1)

limit of the sequence terms is,

Therefore, the sequence of partial sums diverges to

lim

n 

lim n n

n



2

s

n 

and so the series also diverges to .

b)

n 2

1

n

2

1

This is actually one of the few series in which we are able to determine a

formula for the general term in the sequence of partial sum using partial fractions. As we shall see later .

The general formula for the partial sums is,

s

n

we have,

lim

n 

s

n

lim

n



3

4

1

1

2 n

2(

n

1)

 

3

4

 1  1  1 i 2  1 4 2 n 2( n  1)

n 3

i 2

and in this case

The sequence of partial sums converges and so the series converges also and its value is,

c)

n 0

( 1)

n2

1

3

n

2

1

4

n In this case we really don’t need a general formula for the partial sums to

determine the convergence of this series. Let’s just write down the first few partial sums.

s

0

1

s

1

  

1

1

0

s

2

   

1

1

1

1

s

3

   

1

1

1

1

0

etc  Time is precious, but we do not know yet how precious it really is. We will only know when we are no longer able to take advantage of it… So, it looks like the sequence of partial sums is,

sequence diverges since

s

n

n1

1,

0, 1, 0, 1, 0,

.

and this

lim

n 

s

n

doesn’t exist. Therefore, the series also diverges.

d)

n 1

1

3 n 1

The general formula for the partial sums is.

s

n

n

i 1

1 3

3 i 1

2

 

1

1

3

n

In

this case the limit of the sequence of partial sums is,

lim

n 

s

n

lim

n



3

2

 

1

1  

3

n

3

2

The sequence of partial sums is convergent and so the series will also be convergent. The

value of the series is,

n 1

1

3

3 n 1

2

So, we’ve determined the convergence of four series now. Two of the series converged and two diverged. Let’s go back and examine the series terms for each of these. For each of the series let’s take the limit as n goes to infinity of the series terms (not the partial sums!!).

lim

n



n 

thisseries diverged.

lim

n



1

n 1   0

2

thisseries converged.

lim

n 

(

1)

n

does not exist

thisseries diverged.

lim

n 

1

3

n 1

0

thisseries converged.

Theorem; If

a

n

converges then

lim

a

n

0

n

 Proof First let’s suppose that the series starts at

things as appropriate below. Then the partial sums are,

. If it doesn’t then we can modify

s

n

n

i 1

a

i

a

1

a

2

a

3

a

n

1

a

n

and

s

n

1

n

1

i

1

a

i

a

1

a

2

a

3

a

n 

1

Next, we can use these two partial sums to write,

a