Probability Theory, Math 170b, Winter 2013, Toni Antunovi - Homework 3 c c

From the textbook solve the problems 29, 30, 31, 32 and 33 from the Chapter 4. Solve the problems 1, 2, 4, 5 and 6 from the Chapter 4 additional exercises at http://www.athenasc.com/prob-supp.html And also the problems below: Problem 1. Given a positive random variable X assume that the transform of the random variable Y = log X is given by es 1 e3s + + . 4 2es 4 4 Use the denition of the transform of Y to compute E[ X]. MY (s) = Solution: We have 1 1 E[ X] = E e 2 log X = E e 2 Y = MY (1/2) = e1/2 1 e3/2 . + + 4 4 2e1/2 4

Problem 2. Consider the function f (s) = (sin s + 2)2 . Compute the 2nd derivative f (s) and by analyzing the sign of f (s) explain why f (s) cant be a transform MX (s) of some random variable X. Solution: The second derivative is f (s) = 2 cos2 s 2 sin2 s 4 sin s = 2 cos(2s) 4 sin s which is negative for say s = /2. However, the 2nd derivative of a transform MX (s) cant be negative since MX (s) = E X 2 esX , and since the expression under the expectation X 2 esX is never negative.

Problem 3. Assume that the transform of a continuous random variable X satises MX (s) = MX (s). Show that its PDF fX satises fX (t) = fX (t). (Hint: compare the transforms and PDFs of X and X). Solution: Lets nd the transform of X: MX (s) = E es(X) = E esX = MX (s). By the assumption this is the same as MX (s) so MX (s) = MX (s). Therefore, random variables X and X have the same distribution and since they are both continuous they have the same PDF so fX (t) = fX (t). However, it always holds that fX (t) = fX (t). This is because FX (t) = P(X t) = P(X t) = 1 FX (t) fX (t) = fX (t), where the implication follows by dierentiation with respect to t. Therefore, fX (t) = fX (t) = fX (t). 1

Problem 4. You are raising funds for a good cause and so you ask n people to give you money. Each person is equally likely to give you either 0 or 1 or 2 dollars independently of all other people. If X is total amount of money you got, compute E[X], var(X) and E[X 3 ]. Solution: If Xi represents the amount of the money the ith person gave you then E[Xi ] = 1 and var(Xi ) = 2/3 the total amount of money X = X1 + + Xn satises E[X] = n, var(X) = 2n/3. For the 3rd moment we dont have simple formulas, so lets try to use the transform. The transform of Xi is MXi (s) = 1 (1 + es + e2s ) so MX (s) = 31 (1 + es + e2s )n . The 3rd derivative n 3 comes after some computation MX (s) =
(3)

n(n 1)(n 2) (1 + es + e2s )n3 (es + 2e2s )3 3n n(n 1) n +3 (1 + es + e2s )n2 (es + 2e2s )(es + 4e2s ) + n (1 + es + e2s )n1 (es + 8e2s ). 3n 3

At s = 0 the value is MX (0) = n(n 1)(n 2) + 5n(n 1) + 3n = n3 + 2n2 . Therefore E[X 3 ] = n3 + 2n2 .
(3)