1

F. Properties of Continuous Random Variables

F.1 The Expected Value of a Continuous Random Variabl e

The expected value of a random variable X , denoted by or ( ) E X is defined by

( ) ( ) E f x dx X x

=

(F.1)

Note the difference between the property (2) of a density function and the above integral. The value of the
above integral is bounded by the interval where the density function is non-zero.

The second raw moment of X is given by the expected value of
2
( ) g X X = i.e.

2 2
( ) ( ) E f x d X x x

=

(F.2)

The variance of a discrete random variable is given by

2 2 2
( ) ( ) ( ) E X x f x dy

= =

(F.3)

which can also be simplified as

2 2 2
( ) E X = (F.3a)

The expected value of a function ( ) g X of a continuous random variable X is given by

( ) ( ) [ ] ( ) . E f x d g X g x x

=

.

Exampl e F.1.1 The content of magnesium in an alloy is a random variable, given by the following pdf
(probability density function)

( ) , 0 6,
18
x
f x x = and ( ) 0 f x = elsewhere.

a. Find the expected content of magnesium.
b. Find variability of the content of magnesium.
c. What proportion of X values lie within and + ?
d. What proportion of X values lie within 2 and 2 + ?

Solution:


a.
6
6 6 3
3 3
0 0 0
1 1
( ) ( ) (6 0 ) 4
18 18 3 54
x x
E X x f x dx x dx
(
| |
= = = = =
| (
\ .


.
That is the mean content is 4. = Note 0 6. <

2
b.
6
6 6 4
2 2 2 4 4
0 0 0
1 1
( ) ( ) (6 0 ) 18
18 18 4 72
x x
E X x f x dx x dx
(
| |
= = = = =
| (
\ .


.
The variance is then given by ( )
2
2 2 2
( ) 18 4 2 E X = = =

c. which can be written as

( 5.414) ( 2.586), p P X P X = < < which by part (c ) equals

2 2
(5.414) (2.586)
,
36 36
which is 0.628.
Alternatively, one can find (2.586 5.414) P X < < by
5.414
2.586
0.628.
18
x
dx

d. By using part (c ), we have

( 2 2 ) (1.172 6.828), p P X P X = < < + < < which equals
(1.172 6) (6 6.828), p P X P X = < < + < < which equals ( 6) ( 1.172) 0, p P X P X = < < + which
equals 1 0.0381 0.962. p = =

Alternatively, one can find (1.172 6.828) P X < < by

6 6.828
1.172 6
0.962
18
0 .
x
dx dx +




Exampl e F.1.2 Find the expected value of exponential random variable with mean 1.

Solution: The density function is given by < =

y e y f
y
0 , ) ( . The expected value is, therefore,

= =
0 0
) ( ) ( dy e y dy y f y Y E
y
.
Since
1
0
( ) ( 1) ( 1)
y
y e dy

= =

which is simply ( 1)! if is a positive integer, it follows

that ( ) (2) 1 E Y = = .


Alternatively, use dy e dv y u
y
= = , in

= vdu uv udv so that

0
) ( , , c cy e dy c e vdu c e dy e v dy du
y y y y
+ + = + = + = = =


, and consequently

0
( ) ( ),
y y y
ye d y y e c e cy c

= + + +

or,
0
1
.
y
y
y
ye dy c
e

+
=

Finally, we have


3
0
0 0 0
0
1 1
( )
1 0 1 1 0
1 by L'Hosptiol's Rule
1
y
y y
y y
y y
y y
E Y ye dy c
e e
y
Lim Lim
e e e

( ( + + | | | |
= = =
| | ( (
\ . \ .
+ + + | | | |
= + = +
| |
\ . \ .
=

Theorem F.1.1 For a non-negative random variable, , Y we have

0
( ) ( ) . E Y P Y y dy

= >

Proof.

Ross (2010, 192).


F.1.2 Moments

For any number , a the -th a order moment of
j
X is denoted by
( ) ( ) ( ) .
a a
a j j j j
j E X x f x dx

= =

For any integer , a the -th a order central moment of
j
X is denoted by
( ) [ ( )] [ ( )] ( ) .
a a
a j j j j j j
j E X E X x E x f x dx

= =

Moments of independently and identically distributed random variables are defined below.

If a is not a non-negative integer, the expansion of [ ( )]
a
j j
X E X requires some conditions.

The -th a order moment of
j
X is given by

( ),
a
a
E X = or, ( ) .
a
a X
x f x dx

Note that
1
( )
X
x f x d x

is often denoted by for simplicity.

For any integer , a the -th a order central moment of
j
X is denoted by

( ) ,
a
a
E X = or, ( ) ( )
a
a X
x f x dx

where ( ) .
X
x f x d x

If a is a non-negative integer, the quantity ( )
a
a
E X = can be expanded as

0
( 1) .
j a
a j
a a j
j
a
j

=

=
| |
=
|
\ .

4

We refer to Stuard and Ord (1987, p.73) for further relevant formulas. In particular, we have

2
2 2
, =

3
3 3 2
3 2 , = +

2 4
4 4 3 2
4 6 3 . = +

J ohnson, Kotz and Kemp (1993, 42).


F.1.3 Coefficient of Skewness and Kurtosis


The coefficient of skewness in a probability density function ( ) f x is defined by

3
3
( ) ( ), X E Z = where

X
Z

= and
2 2
( ) . E X = It is popularly written as
3
3 3/2
2
( ) . X

=

4
4
( ) ( ), X E Z = where ( ) / , Z X =
2 2
( ) . E X = It is popularly written as
4 2
2
4
( ) . X

=

More generally, ( ) ( ),
a
a
X E Z = where
X
Z

= and
2 2
( ) . E X = It is popularly written as
/2
2
( ) .
a
a a
X

=

J ohnson, Kotz and Kemp (1993, 42).


F.2 Moment Generating Functions

Definition F.2.1 The moment generating function ( )
X
M t of a discrete random variable is defined by
( )
( ) ,
tX
X
M t E e = or, ( ) ( ),
tx
X X
M t e f x

where t is continuous in the neighborhood of zero.

( )
( ) ,
tX
X
d
M t E e
dt
= or, ( ) ,
tX
X
d
M t E e
dt
| |
=
|
\ .
or,
( )
( ) ,
tX
X
M t E Xe = where we have assumed that the
interchange of the differentiation and integration is allowed. Hence, (0) ( ).
X
M E X =

( ) ( ),
X X
d
M t M t
dt
= or,
( )
( ) ,
tX
X
d
M t E Xe
dt
(
=
(

or,
( )
2
( ) .
tX
X
M t E X e = Hence,
2
(0) ( ).
X
M E X =

In general,
( )
( ) ,
n n tX
X
M t E X e = 1,2, n = implying that
( )
(0) ,
n n
X
M E X = 1,2, n =

5

Exampl e F.2.1 Determine the moment generating function of exponential random variable.

Solution: The probability density function of exponential variable is given by

( ) ,
X
x
f x e

= 0 , x < 0 , < and ( ) 0,
X
f x = 0. x < < Since the non-zero value of the pdf
is on 0 , x < the moment generating function is

0
( ) 0 ,
tx x
X
M t e e dx

= +

( )
0
( ) ,
t x
X
M t e dx

=



( )
0
( ) ,
t x
X
e
M t
t

(
=
(

0 , t

( ) ,
X
M t
t

0 , t


Integration result: ,
a
a
x
x
e
e dx c
a
= +

where c is a constant of integration. It disappears in definite integrals.

F.3 The Characteristi c Function

The characteristic function ( )
X
C t of a random variable X is defined by ( ) ( ),
itX
X
C t E e = or,
( ) ( ) ,
itX
X X
C t e f x dx

where 1. i =
Since cos sin ,
itx
e tx i tx = + the above integral can be written as
( ) co s ( ) sin ( ) .
X X X
C t tx f x dx i tx f x dx


= +


The last two integrals are well defined since the sine and cosine functions are bounded in the interval.
Because of this the characteristic function always exists.
Like the moment generating function of a random variable, the characteristic function can be used to derive
the moments of X , as stated in the following proposition.

Theorem F.3.1 Let X be a random variable and ( )
X
C t its cf. Let a be a positive integer. If the
-th a moment of X exists and is finite, then ( )
X
C t is continuously differentible a times and
0
1
( ) ( ) .
a
a
X n a
t
d
E X C t
i dt
=
=

6
If a is even, the -th k moment of X exists and is finite for ; k a if If a is odd, the -th k moment of
X exists and is finite for . k a <


Exampl e F.3.1 Determine the characteristic function of exponential random variable.


Solution: The probability density function of exponential variable is given by

( ) ,
X
x
f x e

= 0 , x < 0 0, < < and ( ) 0,
X
f x = 0. x < < Since the non-zero value of the pdf
is on 0 , x < the characteristic function is

0
( ) 0 ,
itx x
X
C t e e dx

= +

where 1. i =

( )
0
( ) ,
it x
X
C t e dx

=



Note that it is a complex number and is different from zero. The quantity t is continuous in the
neighborhood of 0, and will not cause any problem in integration if we assume 0 . < <

( )
0
( ) ,
it x
X
e
C t
it

(
=
(

where t is continuous in the neighborhood of 0,

( ) ,
X
C t
it

where t is continuous in the neighborhood of 0.

(Leon-Garcia)

Integration result: ,
a
a
x
x
e
e dx c
a
= +

where c is a constant of integration. It disappears in definite integrals.

Exampl e F.3.2

a. Derive the mean of exponential random variable by using characteristic function.

b. Derive the variance of exponential random variable by using characteristic function.


Solution: In Example F.3.1 we derived that the characteristic function of exponential random variable, with
parameter , at t is given by
1
( ) ( ) ,
X
C t it

=

a. The first moment is
1
( ) (0).
X
E X C
i
= (1)

By differentiating once with respect to t , we have

1
( ) ( ) .
X
d
C t it
dt


=


7
Differentiation Rule: For any fixed number , we have
1
.
dx
x
dx

= (3)

By using the chain rule of differentiation, we have

1 1
( ) ( )
( ) ,
( )
X
d it d it
C t
d it dt

2
( ) ( 1)( ) [0 (1)],
X
C t it i

=


Then we have
2
( ) ( ) .
X
C t i it

= (4)


Evaluating the above at 0 t = we have

2
(0) ( 0) .
X
i
C t i

= =


Hence, by (1), the first moment for the exponential random variable is

1
( ) . E X

=

b. The variance of a variable X is defined by


The quantity ( )
X
C t is the derivative of

2
( ) ( ) .
X
C t i it

=


That is

2
( ) ( ) ,
X
d
C t i it
dt


=

2 3
( ) 2 ( ) .
X
C t i it

=

2
2
2
(0) .
X
C i

=

Hence by (2), we have
2
2 2
1 2
( ) (0) .
X
E X C
i
= =


By (1), the variance of X is then given by

8
2 2
2 1
( ) , V X

=

2
1
( ) . V X

=


In the above, we have used a theorem.

Exampl e F.3.3 Derive the c.f. of (0,1). N

Solution: Let is a complex random variables. Then

2
1
[exp( )] exp( )exp ,
2 2
z
E z z dz

| |
=
|
\ .

exists for all complex variable and is an analytic function, which for real coincides with

2 2
2
1 1
exp exp ( ) exp .
2 2 2 2
z dz

| | | |
(
+ =
| |
(

\ . \ .

Therefore, it coincides with the analytic function
2
exp
2
| |
|
\ .
for all complex ; in particular, for , i = we
have

2 2
( )
[exp( )] exp exp
2 2
i
E i z

| | | |
= =
| |
\ . \ .


is the characteristic function of ~ (0,1). Z N See, for example, Rozanov (1995, 74).


Theorem F.3.2 If the moment generating function ( )
X
t of the random variable X exists for c t c
for some 0, c > then ( )
a
E X exists for 1,2,3, a = and ( )
X
t can be expanded in a neighborhood of
0 t = as follows:

2
2
( ) ( ) ( )
( ) 1 ( ),
1! 2! !
k
k k
X
E X E X E X
t t t t o t
k
= + + + + +

Where
0
( )
lim 0.
k
k
t
o t
t

=

(Dudewiscz and Misra, 1988, 263).


F.4 Probability Inequaliti es


Markov Inequality

9
Theorem F.4.1 Let X be a nonnegative random variable , X discrete or continuous. Then for every
positive constant , c

{ } ( ) / P X c E X c

Proof. For 0, c > let

1 if
0 if
X c
I
X c

=

<

Since 0, c > 1 I = implies that 1 / X c < which implies that 1 / , I X c = or, / . I X c Again, since
0 I = implies that / 1. X c < Since 0, X and 0, c > we have 0 / 1 X c < which implies that
0 / 1, I X c = < or, / . I X c That is in both cases, / . I X c

Taking mathematical expectation in both sides of the inequality, we have

( ) ( / ), E I E X c

1
( ) ( ). E I E X
c
(1)

By definition of the expected value, we have

( ) 1 ( 1) 0 ( 0), E I P I P I = = + = or,

( ) ( 1). E I P I = =

By the definition of I , then, we have

( ) ( ). E I P X c = (2)

From (1) and (2), we have

1
( ) ( ). P X c E X
c


The theorem is proved.


Theorem F.4.2 Let ( ) u X be a nonnegative function of the random variable , X discrete or continuous. If
[ ( )] E u X exists, then, for every positive constant c ,

1
[ ( ) ] [ ( )] P u X c E u X
c
.

Proof. The proof is given when the random variable X is of the continuous type; but the proof can be
adapted to the discrete case if we replace integrals by sums. Let { : ( ) } A x u x c = < ,
{ : ( ) } A x u x c = and let ( ) f x denote the density function of . X Then

( ) ( ) ( ) [ ( )] ( ) ( ) ( ) .
A A
u x f x d x u x f x E dx u x f x d X x u


= = +


10

Since each of the integral in the right hand side is nonnegative, the left-hand member is at least as large as
either of them. That is

( ) ( ) ( ) ( ) 0 . [ ( )]
[ ( ) ( ) ( ) ( ) ( . )]
A
A
E u X
E u X
u x f x dx u x f x dx
u x f x dx u x f x dx

=
=

In particular,

( ) [ ( )] ( ) , u x f x dx E u X

0 + ( ) ( )

(

[ )]

A
u x f x d u X x E

) [ , ( ( )]
A
cf x dx E u X

( [ ( ] ) )
A
c f x d E u X x

Since, ( ) ( ) [ ( ) ],
A
f x dx P X A P u X c

= =

it follows that

( ) ( ) ( ) [ ( )] [ ( ) ].
B
u x f x dx c f x dx cP u X E u X c

=




Letting ( ) , u X X = in TheoremG.4.2, we can prove Theorem G.4.1.

Theorem F.4.3 Let the random variable X having a finite variance
2
. Then for every 0 k > ,
2
1
(| | ) P X k
k
,
or equivalently,
2
1
(| | ) 1 . P X k
k
<

Proof. Put
2
( ) ( ) u X X = and
2 2
c k = in Theorem F.4.2. Then we have

2 2
2
2 2
2 2
( ) ( )
( )
1
[ ] [ ],
1 1
[ ] ] ( [ )
c
c
k
k
P E u X u
P
X
X X E
k

Note that the assumption of finite variance implies that there is a finite mean.

Exampl e F.4.1 Let
2
~ ( , ). X N Determine (| | 1.96 ) P X < by the Chebysevs Inequality and
compare it with the normal result.

11
Solution: By Chebyshevs Inequality, we have
2
(| | 1.96 ) 1 (1.96) , P X

< or,
(| | 1.96 ) 0.74. P X < But an approximate probability by the normal distribution is 0.95.

Exampl e F.4.2 Let ~ (10). X Exp Determine (| | 1.96 ) P X < by the Chebysevs Inequality and
compare it with the normal result.

Solution: By Chebyshevs Inequality, we have
2
(| | 1.96 ) 1 (1.96) , P X

< or,
(| | 1.96 ) 0.74. P X < But an approximate probability by the exponential distribution is

( 1.96 1.96 ) (10 1.96(10) 10 1.96(10)), P X P X < < + = < < + or,

( 1.96 1.96 ) (0 29.6), P X P X < < + = < < or,

( 1.96 1.96 ) 1 exp( 29.6/10), P X < < + =

( 1.96 1.96 ) 0.9482. P X < < +

Theorem F.4.4 Chernoff Bound ( ) ( ).
ta
t
P X a e M X

=
Leon-Garcia (2008, 183).


Exampl e F.4.3 Determine Chernoff bound for the normal distribution

Solution:
2 2
1
( ) exp( )exp ,
2
P X a ta t t
| |
+
|
\ .
0 . t
( )
2 2
1
( ) exp ( ) exp ,
2
P X a t a t
| |

|
\ .
0 . t

( ) exp( ( )), P X a q t

where
2 2
1
( ) ( ) ,
2
q t t a t = + 0 . t

By minimizing the exponent, we have
2
( ) / . t a = The resulting upper bound is

2
1
( ) exp .
2
a
P X a

| |
| |

|
|
|
\ .
\ .


This bound is better than Chebyshev bound and is similar to

2/2
2
1 1
( ) ,
2
(1 )
x
P X x e
a x a x b

(

(
+ + (



where 1 a = and 2. b =

Leon-Garcia (2008, 168).

Gallager, R.G. (1968). Information Theory and Reliable Communication. Wiley.

12

F.5 Probability Distribution through Moment generating Function
Exampl e: Let ~ (0,1). Z N Determine the moment generating function of
2
W Z = and identify the
distribution.
Solution: By definition, ( ) ( ),
tW
W
M t E e =
( )
2
( ) exp( ) ,
W
M t E tZ = or,
( )
2 2
1 1
( ) exp exp ,
2 2
W
M t tz z dz

| |
=
|
\ .

or,
2
1 1
( ) exp (1 2 ) .
2 2
W
M t z t dz

| |
=
|
\ .

2
1/2 1 1/2
1 1 1
( ) exp ,
(1 2 ) 2(1 2 ) 2 (1 2 )
W
M t z dz
t t t

| |
=
|

\ .

1/ 2. t >
The integrand may be thought of proportional to the probability density function of
( )
1
~ 0,(1 2 ) , Z N t


for 1/ 2. t > Then
1/2
1
( ) ,
(1 2 )
W
M t
t
=

for 0. t >
The above is known to be the moment generationg function of
2
~ (1), W so that by uniqueness theorem
of moment generating function, we conclude that
2
~ (1). W

Inversion of Characteristi c Function
Since there is a one-to-one correspondence between cumulative distribution functions and characteristic
functions, it is always possible to find one of these functions if we know the other one. The formula in
definition of characteristic function allows us to compute when we know the distribution function F (or
density f). If, on the other hand, we know the characteristic function and want to find the corresponding
distribution function, then the following inversion theorem can be used.
Theorem F.5.1 If characteristic function ( )
X
C t is integrable, then F
X
probability density function
is absolutely continuous, and
therefore X has the given by
( )
X
f x =
1
( ) ,
2
itx
X
e C t dt

Galambos, J anos (1995, 113).

Exampl e F.5.1 The characteristic function of a random variable X at t is given by ( ) 1 | |,
X
C t t = for
| | 1, t and ( ) 0,
X
C t = for 1. t > Prove that the probability density function of the random variable is given
by
2
1
( ) (1 cos ),
X
f x x
x
= . x < <
13
Solution: The probability density function of X is given by
1
( ) ( ) .
2
itx
X X
f x e C t dt

=

Consider
( ) .
itx
X
I e C t dt

It can be written as
| | 1 | | 1
( ) ( ) ,
itx itx
X X
t t
I e C t dt e C t dt

>
= +

or,
| | 1 | | 1
(1 | |) (0) ,
itx itx
t t
I e t dt e dt

>
= +

or,
0 1
1 0
(1 | |) (1 | |) ,
itx itx
I e t dt e t dt

= +

or,
0 1
1 0
(1 ( )) (1 ) ,
itx itx
I e t dt e t dt

= +

or,
0 1
1 0
(1 ) (1 ) .
itx itx
I e t dt e t dt

= + +



It can be checked that ??? (imaginary number???)
( )
0
2
1
1 1
(1 ) 1 ,
( )
itx ix
e t dt e
ix ix

+ = +

and
( )
1
2
0
1 1
(1 ) 1 .
( )
itx ix
e t dt e
ix ix

= +

Then adding the above two integrals, we have

( ) ( )
2 2
1 1
1 1 ,
( ) ( )
ix ix
I e e
ix ix

= + or,

( )
2
1
2 .
( )
ix ix
I e e
ix

= +


Finally the probability density function is

1
( )
2
f x

=
( )
2
1
2 ,
( )
ix ix
e e
ix

(
+
(

. x < <

(G and K, 1994, 330-331.)

Exampl e F.5.2 The characteristic function of a random variable X at t is given by ( ) exp( | |),
X
C t t = for
. t < < Prove that the probability density function of the random variable is given by
2
1
( ) ,
(1 )
X
f x
x
=
+
. x < <

(K and S, 1960, 238)
14

Solution: The probability density function of X is given by
1
( ) ( ) .
2
itx
X X
f x e C t dt

=

Then here, we
have
| |
1
( ) .
2
itx t
X
f x e e dt

=

The integral can be split as

0 0
( ) ( )
1 1
( ) .
2 2
itx t itx t
X
f x e e dt e e dt



= +



Transforming , t = in the first integral, we have

0 0
1 1
( ) .
2 2
i x itx t
X
f x e e d e e dt

= +



In the first integral, 0 < can be replaced by 0 , t < so that

0
1
( ) ( ) .
2
t itx itx
X
f x e e e dt

= +

Since cos sin
itx
e tx i tx = + and cos sin ,
itx
e tx i tx

= we have

0
1
( ) cos .
t
X
f x tx e dt

=



Then integration by parts, we have

0 0
( ) co s ( ) ( sin )( ) .
t t
X
f x tx e x tx e dt


( =



0
( ) 1 (sin ) .
t
X
f x x tx e dt


=



Integrating by parts again, we have

0 0
( ) 1 (sin )( ) ( cos )( )
t t
X
f x x tx e x x tx e dt


( = +



2
0
( ) 1 (0) (cos )
t
X
f x x x tx e dt


= +



2
( ) 1 ( ).
X X
f x x f x =


Integration

Let ( ) , u x u = ( ) , v x v = ( )
d
u x u
dx
= and ( ) ( ), v x dx I v =

then

| | ( ) [ ( )] .
b b
b
a
a a
uvdx uI v u I v dx =




F.6 Jensen Inequality
15

Convex function: A continuous function ( ) g x with domain and counterdomain the real line is called
convex if for every
0
x on the real line, there exists a line which goes through the point
0 0
( , ( )) x g x and lies
on or under the graph of the function.

Theorem F.6.1 Let X be a random variable with mean ( ), E X and ( ) g x be a convex function; then
( ) [ ( )] ( ) . E g X g E X

Proof. Since ( ) g x is continuous and convex, there exists a line, say ( ) , h x a bx = + satisfying
( ) ( ) h x a bx g x = + and ( ( )) ( ( )). h E X g E X = The line passes through ( ( ), ( ( )). E X g E X Also
[ ( )] ( ) ( ) ( ( )). E h X E a bX a bE X h E X = + = + = Then ( ( )) ( ( )) ( ( )) ( ( )) g E X h E X E h X E g X = =
Where the last step follows by the property of expected value.

The theorem is known as J ensens inequality. It provides a lower bound of the expected value of a convex
function (Mood, Graybil and Boes, 1974, 72).

Al ternative Proof. A function ( ) g x is convex, if for any point
0
, x the graph of ( ) g x lies entirely above the
tangent at
0
, x i.e. ( ) ( ), g x l x for all , x where ( ) l x is the tangent at
0
. x Hence
0 0
( ) ( ). g x l x =

By subtracting
0
( ) g x from both sides of ( ) ( ), g x l x we have
0 0
( ) ( ) ( ) ( ). g x g x l x g x Then by
virtue of
0 0
( ) ( ), g x l x = we have
0 0
( ) ( ) ( ) ( ). g x g x l x l x For any linear form of ( ), l x say,
( ) , l x a bx = + we have
0 0
( ) ( ) ( ) ( ), g x g x a bx a bx + + or,
0 0
( ) ( ) ( ), g x g x b x x for all . x

Replacing X for , x and ( ) E X for
0
, x we have ( ) ( ( )) ( ( )). g X g E X b X E X Now taking the
expected value in both sides of the inequality, we have [ ( ) ( ( ))] [ ( ( ))], E g X g E X E b X E X
[ ( )] [ ( ( ))] ( ) [ ( )]. E g X E g E X b EX b EE X Since ( ) E X is non-random, [ ( ( ))] ( ( )), E g E X g E X =
And [ ( )] ( ). E E X E X = Then [ ( )] ( ( )) 0. E g X g E X This completes the proof.

Theorem F.6.2 Let X be a random variable with mean ( ), E X and ( ) g x be a concave function; then
( ) [ ( )] ( ) . E g X g E X

Proof. If ( ) g x is a concave function, then ( ) g x is a convex function, and by J ensens inequality, we have
( ) [ ( )] ( ) . E g X g E X Multiplying both sides by 1, we have

( ) [ ( )] [ ( ) ], E g X g E X or, ( ) ( ) ( ) ( ) . E g X g E X


http://www.statlect.com/subon/inequa1.htm by Marco Taboga. It has many other cases.

In mathematics, a real-valued function ( ) f x defined on an interval is called convex (or convex downward
or concave upward) if the graph of the function lies below the line segment joining any two points of the
graph; or more generally, any two points in a vector space. Equivalently, a function is convex if its epigraph
(the set of points on or above the graph of the function) is a convex set. Well-known examples of convex
functions are the quadratic function
2
( ) f x x = and the exponential function ( ) ,
x
f x e = ( )
x
f x e

= for any
real number x.
Convex function: To name it in terms of convexity, move towards tangent; since the movement is
downward, we call the function convex downward. To name it in terms of concavity, move away from
tangent; since the movement is upward, we call the function concave upward.
16
Concave function: To name it in terms of convexity, move towards tangent; since the movement is
upward, we call the function convex upward. To name it in terms of concavity, move away from tangent;
since the movement is downward, we call the function concave downward.

Convex function Convex downward Concave upward
( ) 0 f x >
2
( ) , f x x = ( )
x
f x e =
Concave function Convex upward Concave downward
( ) 0 f x <
2
( ) , f x x = ( )
x
f x e =

Convex functions play an important role in many areas of mathematics. They are especially important in the
study of optimization problems where they are distinguished by a number of convenient properties. For
instance, a (strictly) convex function on an open set has no more than one minimum. Even in infinite-
dimensional spaces, under suitable additional hypotheses, convex functions continue to satisfy such
properties and, as a result, they are the most well-understood functionals in the calculus of variations. In
probability theory, a convex function applied to the expected value of a random variable is always less or
equal to the expected value of the convex function of the random variable. This result, known as J ensen's
inequality underlies many important inequalities (including, for instance, the arithmetic-geometric mean
inequality and Hlder's inequality).
Exponential growth is a special case of convexity. Exponential growth narrowly means "increasing at a rate
proportional to the current value", while convex growth generally means "increasing at an increasing rate
(but not necessarily proportionally to current value)".

(http://en.wikipedia.org/wiki/Convex_function#Properties)


If the second derivative of a function is positive, the function is convex. Some examples of convex functions
are given below:
a. The function
2
( ) f x x = has ( ) 2 0 f x = > at all points, so f is a convex function. It is also strongly
convex (and hence strictly convex too), with strong convexity constant 2.
b. The function
4
( ) f x x = has
2
( ) 12 0 f x x = , so f is a convex function. It is strictly convex, even
though the second derivative is not strictly positive at all points. It is not strongly convex.
c.. The absolute value function ( ) | | f x x = is convex, even though it does not have a derivative at the point
x =0. It is not strictly convex.
d. The function ( ) | |
p
f x x = for 1 p is convex.
e. The exponential function ( )
x
f x e = is convex. It is also strictly convex, since ( ) 0
x
f x e = > , but it is
not strongly convex since the second derivative can be arbitrarily close to zero.
f. The exponential function ( )
x
f x e

= is convex. It is also strictly convex, since ( ) 0

x
f x e = > , but it is
not strongly convex since the second derivative can be arbitrarily close to zero.
Corollary Let X be a random variable and ( ) g x a non-degenerate function such that ( ) 0. g x >
Then
1 1
.
( ) [ ( )]
E
g X E g X
(
>
(


Kapadia, Asha S. et.al. (2005, 106-107).

17
Exampl e F.6.2 Consider a uniform random variable ~ (0,1), X U with probability density
function ( ) 1,
X
f x = for 0 1, x and ( ) 0
X
f x = elsewhere.
a. Derive the cumulative distribution function of ( ) .
X
g X e =
b. Evaluate ( ( )). E g X
c. Determine a lower bound of ( ( )) E g X by J ensens Inequality, and compare with part (b).
Solution:
a. Let ( ). Y g X = Since Y is a function of , X we denote the cumulative distribution function by ( ).
Y
F x
Then ( ) ( ),
Y
F x P Y x = or, ( ) ( ),
X
Y
F x P e x = or, ( ) ( ln ).
Y
F y P X x = Since 0 1, x the subset
ln X x requires a condition given by 1 . x e Then
ln
0
( ) ( ) ,
x
Y X
F x f z dz =

or, ( ) ln ,
Y
F x x =
1 . x e
b. By differentiating ( ) ln ,
Y
F x x = 1 , x e we have
1
( ) ,
Y
f x
x
= 1 . x e
The density function of Y can also be written as
1
( ) ,
Y
f y y

= 1 . y e
Hence ( ) ( ),
X
E e E Y = or,
1
( ) ( ) ,
e
X
Y
E e yf y dy =

or,
1
( ) ,
e
X
E e dy =

or, ( ) 1.
X
E e e =
Ross (2010, 191).
Alternative Method:
1
0
( ( )) (1) ,
x
E g X e dx =

or, ( ( )) 1 1.71828. E g X e =
c. Since ( ) 0, g x the function ( )
x
g x e = is convex. Hence, by J ensens Inequality, we have
[ ( )] ( [ ]), E g X g E X or, [ ( )] (1/ 2), E g X g or, [ ( )] 1.6487. E g X e
http://en.wikipedia.org/wiki/Convex_function#Examples)


F.7 Differential Entropy

The Shannon entropy is restricted to random variables taking discrete values. The corresponding formula
for a continuous random variable with probability density function ( )
X
f x on the real line is defined by
analogy, using the above form of the entropy as an expectation:

( ) ( )ln ( ).
X X
H f f x f x

A precursor of the continuous entropy H(f) is the expression for the functional H in the H-theorem of
Boltzmann.


Exampl e F.7.1 Determine the differential entropy for the standard normal distribution.
18

Solution:
( )
ln 2 4.13. e


F.8 Distribution of a function of a Random Vari able

Write introduction from Hogg and Craig (1978, 132).


Cumulative Distribution Function Method

Theorem F.8.1 Let X be a continuous random variable having probability density function ( ),
X
f x and
cumulative distribution function ( ) ( ) .
t x
X X
t
F x f t dt
=
=
=

Then ( ) ( ).
X X
d
f x F x
dx
=

Exampl e F.8.1 Let X be uniformly distributed over (0,1). Derive the cumulative distribution function of
n
Y X = and differentiate to derive probability density function of ,
n
Y X = 0. n >

Solution: ( ) ( ),
Y
F y P Y y = or, ( ) ( ),
n
Y
F y P X y = or,
1/
( ) ( ),
n
Y
F y P X y = or,
1/
( ) ( ),
n
Y X
F y F y =
or,
1/
( ) ,
n
Y
F y y = for 0, n > 0 1. y Then by differentiating with respect to , y we have

(1/ ) 1
1
( ) (1) ,
n
Y
f y y
n

= for 0, n > 0 1. y
( ) 0,
Y
f y = elsewhere.


Transformation Method

Theorem F.8.2 Let X be a continuous random variable having probability density function ( ).
X
f x
Suppose that ( ) y g x = is a strictly monotonic (increasing or decreasing), differentiable function of . x Then
the random variable ( ) Y g X = has the following probability density function

1 1
( ) ( ( )) ( ) ,
Y X
d
f y f g y g y
dy

= if ( ) y g x = for some ; x

( ) 0,
Y
f y = if ( ) y g x for all . x

Proof. (Kapadia, Asha S. 2005, 111-112)


Exampl e F.8.2 Let X be uniformly distributed over (0,1). Derive the probability density function of
,
n
Y X = 0. n

Solution: The probability density function of X is given by ( ) 1,
X
f x = for 0 1, x and
( ) 0,
X
f x = elsewhere.

Let ( )
n
y g x x = = so that
1 1/
( ) .
n
g y y

= Then
1 1/
( ( )) ( ),
n
X X
f g y f y

= or,
1 1/
( ( )) ( ),
n
X X
f g y f y

= or,
1
( ( )) 1,
X
f g y

= 0 1. y
19

Also
1 1/ (1/ ) 1
1
( ) ,
n n
d d
g y y y
dy dy n

= = 0. n >


Then by Theorem F.8.2, we have

(1/ ) 1
1
( ) (1) ,
n
Y
f y y
n

= for 0, n 0 1. y

( ) 0,
Y
f y = elsewhere.

Exampl e F.8.3 Let X be a continuous random variable with probability density function ( ).
X
f x Derive the
cumulative distribution function of
2
Y X = and differentiate to derive probability density function of
2
. Y X =

Solution: ( ) ( ),
Y
F y P Y y = or,
2
( ) ( ),
Y
F y P X y = or, ( ) ( ),
Y
F y P y X y = or,
( ) ( ) ( ).
Y X X
F y F y F y =

Then by differentiating with respect to , y we have

( ) ( )
1
( ) .
2
Y X X
f y f y f y
y
(
= +



Exampl e F.8.3 Let
2
~ ( , ) X N with probability density function ( ).
X
f x Use the previous example to
derive probability density function of
2
. Y X =


Solution: From the previous example, we have

( ) ( )
1
( ) .
2
Y X X
f y f y f y
y
(
= +



Since the probability density function of X is given by

2
1 1
( ) exp ,
2 2
X
f x x

| |
=
|
\ .
, x < <

we have

1 1 1
( ) exp exp ,
2 2 2 2 2
Y
y y
f y
y
( | | | |
= +
| | (
\ . \ .


1 1
( ) exp ,
2 2
Y
y
f y
y
| |
=
|
\ .
0 . y <

This is the probability density function of
2
~ Y random variable with 1 degrees of freedom.

20
Exampl e F.8.4 Let X be a random variable of the continuous type, having the probability density
function

( ) 2 ,
X
f x x = 0 1, x and ( ) 0,
X
f x = elsewhere.

Derive the distribution of
2
4 . Y x =

Solution: The space Aof x where ( ) 0
X
f x > is given by { :0 1}.
x
A x x = Under the transformation
2
4 y x = , the set Amaps on to { :0 4}
y
B y y = and moreover the transformation is one to one. For
every 0 4 a b < , the event a Y b will iff, the event
1 1
2 2
a X b occurs because there is a
one to one correspondence between the points in
x
A and .
y
B Thus, we have

1 1
( ) ,
2 2
P a Y b P a X b
| |
=
|
\ .
or,

1
2
1
2
( ) 2 .
b
a
P a Y b xdx =

Rewriting this integral by the transformation
2
4 y x = , we have


( ) ,
4
b
a
dy
P a Y b y
y
| |
=
|
|
\ .

or,


1
( ) .
4
b
a
P a Y b dy =



Since this is true for every 0 4, a b < the probability density function of Y is the integrand; that is

1
( ) ,
4
Y
f y = 0 4. y


Note that


1 1
( ) ,
2 2
Y X
d
f y f y y
dy
| | | |
=
| |
\ . \ .
0 4. y


Distribution of the Distribution Function


G and K, Casella and Berger


F.9 Hazard Rate Function

21
Definition F.9.1 Let X a positive continuous random variable with probability density function ( )
X
f x
and cumulative distribution function ( ).
X
F x The hazard rate (failure rate) ( ) t of F is defined by
( )
( ) .
1 ( )
X
X
f t
t
F t
=

Exampl e F.9.1 The hazard rate function of exponential distribution with mean 1/ is given by .



F.10 The Mean and Quantile Inequality

The following lemma is well known .

Lemma F.10.1 If X is a nonnegative random variable, then
0
( ) (1 ( )) E X F x dx

where ( ) F x is the cumulative distribution function (cdf) of X .

Lemma F.10.2 Let G be a nonnegative decreasing function on [0, ) . Then
0
( ) ( ) .
x
xG x G t dt

Proof. Since ( ) ( ) G x G t for all 0 t x , ( ) G x is (Riemann) integrable on each interval [0, ] x for
0 x > and then it follows that
0 0
( ) ( ) ( )
x x
G t dt G x dt xG x =

for all 0 x .

Theorem F.10.1 Let ( ) F x be the cdf of a nonnegative continuous random variable X . Then /
p
x p
for each (0 1) p p < < such that ( ) 1 .
p
F x p =

Proof. Since the function ( ) 1 ( ) G x F x = is decreasing on [0, ) and nonnegative, by Lemma F.10.1
and Lemma F.10.2, we have the following for all 0 x :
0
( ) ( ). G t dt xG x

=

Hence for each (0,1) p , if we denote by
p
x , the real number x such that ( ) 1 , F x p = we have
( )
p
G x p = and hence .
p
px

It is worth noting that in case 1/ 2 p = , it follows from Theorem F.10.1 that 2 where
0.5
x = , the
median of X .



Let X be a random variable with mean and standard deviation . For 0 1 p < < , the p th quantile
x
p
of X is defined by ( ) P X x p
p
and ( ) 1 P X x p
p
or equivalently
( ) ( ) P X x p P X x
p p
< (Rohatji, 1984, 164). For example if 2 / 1 = p , then x
p
= , the
median of the random variable X . Page and Murty (1982 and 1983) published an elementary proof of the
22
inequality | | . OCinneide (1990) presented a new proof for | | and stated the
following generalization.

Proposition F.10.1 Let X be a random variable with mean and standard deviation . Then for
1 0 < < p and p q =1 , the following inequality holds

( )
| | max / , / x p q q p
p
where x
p
is the p th quantile.

For 2 / 1 = p , it follows from the above proposition that | | . Dharmadhikari (1991) noted that
for 2 / 1 p , the inequality is somewhat unsatisfactory. The refined inequality proved by her with the help
of one-sided Chebyshev inequality is stated in the following theorem.

Proposition F.10.2 Let X be a random variable with mean and standard deviation . Then for
1 0 < < p and p q =1 , the following inequalities hold

/ / . q p x q p
p
+

For stimulating discussions, readers may go through Mallows (1991) and the references therein. A
more general inequality than that in Proposition 1.2 relating sample standard deviation to mean and the i -
th order statistic discussed by David (1988 and 1991) is presented in Theorem 1.2. Interested readers can
go through the references in David (1988) for bounds of order statistics.


11. Creating Skewed Distribution

Farnandez and Steel (1998) have devised a clever way for inducing skewness in symmetric distributions
such as normal and t-distributions. See for example, Ruppert, David (2011). S



References

Ruppert, David (2011). Statistics and Data Analysis for Financial Engineering. Springer.

Fernandez, C. and Steel, M.F.J . (1998). On Bayesian modelling of fat tailes and skewness. J ournal of the
American Statistical association, 93, 359-371.



Tutorial

F.1 Consider a popular probability density function.

a. Write out the probability density function. Check that the function integrates to 1.
b. Consider the identity ( ) 1,
X
f x dx

in some parameters. Differentiate the identity with respect to

every parameter 4 times and simplify to have 4 new identities.

c. Determine the factorial moments.

d. Determine the raw moments.

e. Determine the mean centered moments.

f. Determine the coefficient of skewness and kurtosis.
23

g.. Determine the moment generating function.

h. Determine the characteristic function.

i. Derive the moment generating function 4 times.




Essential Problems

F.2 A box is to be constructed so that its height is 5 inches and its bases Y inches by Y inches , where
Y is a random variable described by

( ) 6 (1 ), 0 1. f y y y y = < <

a. Find the expected value of
2
5 Y .

b. Explain the quantity you found in part (a). (Larsen, Richard and Marx, Morris L. , 2001, 213).


Parti al Solution:
a.
1
2
0
(5 ) {6 (1 )} 1.5. E Y y y y dy = =

(b) The expected volume.

F.3 The probability that a baker will have sold all of his loaves X hours after baking is given by the pdf

( )
2
36 , 0 6
( )
0 elsewhere
k x x
f x

Calculate the mean number of hours by which the baker sells all his loaves.(Brayars, 1983, 125)

F.4 The length X of an offcut of wooden planking is a random variable which can take any value up to 0.5
m. It is known that the probability of the length being not more than x m (0 0.5) x is kx .
a. What is the expected length of X ?
b. What is the standard deviation of X ?
(Bryars, 1983, 127)

(Ans: a. 0.25m, b. 0.144 m)


F.5 Petrol is delivered to garage every Monday morning. At this garage the weekly demand for petrol, in
thousands of units, is a continuous random variable X with pdf

( ), 0 1
( )
0 elsewhere
ax b x x
f x

=

a. Given that the mean weekly demand is 600 units, determine the values of and a b .
b. If the storage tanks at this garage are filled to their total capacity of 900 units every Monady morning,
what is the probability that in any given week the garage will be unable to meet the demand for petrol?
(Bryars, 1983, 127)

(Ans: (a) 12/5, 3/2 (b) 0.125)

24
F.6 The lifetime X in years of an electric light bulb has the pdf

(5 ), 0 5
( )
0 elsewhere
cx x x
f x

=

a. Show that 6/125 c =
b. Find the mean lifetime of the bulb.
c. Given that a lamp standard is fitted with two such new bulbs and their failures are independent, find the
probability that neither bulb fails in the first year.
d. Given that a lamp standard is fitted with two such new bulbs and their failures are independent, find the
probability that exactly one of the two bulbs fails within two year. (Bryars, 1983, 128)

(b) 5/2 , (c) 0.803, (d) 0.456


F.8 If the amount of cosmic radiation to which a person is exposed while flying by jet across the US is a
random variable having the normal distribution with mean 4.35 mrem and standard deviation 0.59 mrem,
find the probability that the amount of cosmic radiation to which a person will be exposed on such a flight is
at least 5.50 mrem. ( Miller, Irwin et. Al. ,1990, 145)

F.9 Find the mean of the time to failure random variable possessing the density function
4
( ) ( 1) , 0 f y k y y

= + (Dougherty, 1990, 305)

where k is the normalizing constant.

Parti al Solution: ( 1) 3/ 2 E y + =

F.10 Prove that
2
( ) , 1 f y y y

= is a valid pdf.

a. Prove that the mean of the distribution is not finite.
b. Find the median of the distribution. (Larsen and Marx, 2001, 200)

Ans. b.
0.5
2 y =

F.11 Consider the pdf defined by
3
( ) 2 , 1 f y y y

= . Calculate variance of the distribution. (Larsen and

Marx, 2001, 200)


F.12 Certain coded measurements of the pitch diameter of threads of a fitting have the pdf (probability
density function )

2
4
, 0 1
(1 ) ( )
0, otherwise
x
x f x

< <

+ =

a. Check if the above is a pdf.
b. Find the probability that the coded measurements vary between 0.25 to 0.75.
c. Find the variance of the coded measurements.

Partial Ans (c ) 2 ( ) ln2 E X = .


Advanced Problems

F.13 An engineer designed a ball whose radius r changes from 10 inches to 20 inches with pdf given by
25

1 2
1500 (225 (3 45) ),10 20
( )
0, otherwise
r r
f r

a. Sketch the function ( ) f r
b. What proportion of balls have radius more than 15 inches?
c. What is the expected radius of the balls?
d. Find the expected surface area ( ) S of the balls.
e. Find the expected volume ( ) V of the balls?

Parti al Solution.
2
6 9 3
( )
5 50 500
f r r r = + ,
( )
3
45000 11600 63000 3600 E R = + = ,
2
4 S r = ,
3 3
4
( ) 4800 in
3
V E R = =


F.14 A random variable Y , which represent the weight (in ounces) of an article, has probability density
function given by

8 8 9
( ) 10 9 10
0
y for y
f y y for y
otherwise

= <

a. Calculate the mean of the random variable Y .

b. What is the probability that the weight of an article is more than 8.25 ounces?

c. The manufacture sells the article for a fixed price of $2.00. He guarantees to refund the purchase money
to any customer who finds the weight of his article to be less than 8.25 ounces. His cost of production is
related to the weight of the article by the relation ( /15) 0.35 Y + . Find the expected profit per article.

Parti al Solution:

a. 9 b. 0.969 approx. c. The sale price of the article is given by 2 for 8.25 X and 0 for 8.25 X < . The
profit (sale price cost) is given by

0 [( /15) 0.35] if 8.25
2 [( /15) 0.35] if 8.25
Y X
Z
Y X
+ <
=

+

F.15 The pH of a reactant is measured by the random variable X whose density function is given by

25( 3.8) if 3.8 4
( ) 25( 4.2) if 4 4.2
0 elsewhere
x x
f x x x

a. What is the median pH of the reactant
b. What is the probability that the pH of the reactant exceeds 3.9?

Hints: (a) ( 4) 1/ 2 P X = (b) ( 3.9) 1 ( 3.9) 0.875 P X P X > = =
26



Mathematical Problems


F.16 Find the expected value of exponential random variable with mean 1.

F.17 Consider the gamma probability function
1
( )
( ) .
( )
x
X
x e
f x

Prove that
2 2
( ) ( 1) / E X = +
and
2
( ) / . Var X =


F.18 Let X be a continuous random variable with probability density function


1
( )
2
f x

=
( )
2
1
2 ,
( )
ix ix
e e
ix

(
+
(

. x < <

a. Show that the above probability function can be expressed as the following:

2
1 cos
( ) ,
x
f x
x

= . x < <

b. Derive the characteristic function of the above probability density function.


F.19 Let X be uniformly distributed over (0,1).

a. Derive the cumulative distribution function of
3
Y X = and differentiate to derive probability density
function of
3
. Y X = Draw the probability function.

b. Prove that the mean and variance of Y are given by 1/4 and 9/112 respectively.


F.20 Let X be a continuous random variable with probability density function

2
2 2
1
( ) exp ,
2
X
x
f x x

| |
=
|
\ .
0 , x < and ( ) 0
X
f x = elsewhere.

a. Prove that the cumulative probability function of
X
Y e = is given by

( ) (ln ).
Y X
F y F y =

b. Simplify the cumulative probability function in part (a).

c. Prove that
1
(ln ) (ln ).
X X
d
F y f y
dy y
=
d. Determine the probability density function of ( ) .
X
g X e =
e. Evaluate (e ).
X
E
f. Determine a lower bound of (e )
X
E and compare with part (c).
27
g. Evaluate that that
1 1
.
2
E
X

| |
=
|
\ .

h. Evaluate that ( ) .
2
E X

=
i. Prove that
2
W X = is an exponential random variable with mean
2
2 .

i. Prove that
( )
( ) exp / 2 .
X
E e
j. Prove that
( )
(ln ) ln / 2 . E X
k. Prove that ( ) .
2
P X




Kapadia, Asha S. et.al. (2005, 113).


F.21 Let X be a continuous random variable with probability density function

2
2 2
2
( ) exp ,
X
x
f x x

| |
=
|
\ .
0 , x < and ( ) 0
X
f x = elsewhere.

a. Prove that the cumulative probability function of
X
Y e = is given by

( ) (ln ).
Y X
F y F y =

b. Simplify the cumulative probability function in part (a).

c. Prove that
1
(ln ) (ln ).
X X
d
F y f y
dy y
=
d. Determine the probability density function of ( ) .
X
g X e =
e. Evaluate (e ).
X
E
f. Determine a lower bound of (e )
X
E and compare with part (c).
g. Evaluate ( ), E X
1
, E
X
| |
|
\ .
(ln ) E X and ( ).
X
E e
k. Find an upper bound of ( ). P X
l. Prove that ( ) .
tX
E e I =

where
( )
0
exp . I t u u du

j. Substitute
2
t
v u = to prove that
( )
2
2
1/2
2exp exp ,
4 2
t t
I v v dv

| |
| |
= +
| |
\ .
\ .

k. Prove that
2
1/4
1 1
exp 1
4 2 2
t
I e t

( | | | |
= +
` | ( |
\ . ) \ .


28
where ( ) ( )
2
0
2
exp ,
y
y t du

is the error function.

l. Prove that
2
2
1
exp( ) ,
1
E tX
t
( =


1
| | . t

<


F.22 Let X be a continuous random variable with probability density function

( )
( ) exp ,
X
f x kx x

= 0 , x < 0 , < < 0 , < < and ( ) 0
X
f x = elsewhere.

Determine the constant . k


F.23 Suppose that W is an exponential random variable with mean
2
2 . Prove that X W = has
The following probability function:

2
2 2
1
( ) exp ,
2
X
x
f x x

| |
=
|
\ .
0 , x < and ( ) 0
X
f x = elsewhere.


F.24 Let ~ ( / 2, / 2). X U Prove that tan Y X = has the following probability function:
2
1
( ) ,
(1 )
Y
f y
y
=
+
. y < <


F.25 Consider the probability function

| |
( ) exp ,
X
x
f x

| |
=
|
\ .
. x < <

a. Prove that the moment generating function ( )
X
M t of X can be expressed as

2
1 1
2 ( ) exp exp .
X
eM t t x dx e t x dx

( ( | | | |
= + +
| | ( (
\ . \ .



b. Prove that the moment generating function ( )
X
M t of X can be expressed as

2 2
(1 ) ( ) .
t
X
t M t e

=

c. Prove that the moment generating function ( )
X
M t of X can be expressed as

2
2
( ) 1 3
2!
X
t
M t t = + + +

and that mean and variance are given by and
2
2 respectively. (K and S, 1960, 236).


F.26 Let X be a continuous random variable with probability density function
29

( )
( ) exp ,
(1/ )
X
f x x

0 , x < 0 , < < and ( ) 0

X
f x = elsewhere.

Check if the above is a pdf.


F.27 Let X be a continuous random variable with probability density function

( )
( ) exp ,
X
f x kx x

= 0 , x < 0 , < < 0 , < < and ( ) 0
X
f x = elsewhere.

Determine the constant . k


F.28 Let
1 2
, ,
n
X X X be independently and identically distributed normal variables with unknown mean
and known variance
2
. Evaluate that the Fisher Information
2
2
( ) ln ( ) ,
d
I E L
d

(
=
(



for the unknown parameter , is given by
2
/ . n Note that ( ) L is the joint density function of the sample
treated as a function of parameter .



References

Taboga, Marco (2012). Lectures on Probability Theory and Mathematical Statistics. e/2

Kapadia, Asha S. et.al. (2005). Mathematical Statistics with Applications. Chapman and Hall / CRC Press

Kapur, J .N. and Saxena, H.C. (1960). S. Chand and Company Ltd, New Delhi, India.

Datta, Gauri S. and Sarker, Sanat K. (2008). A general proof of some known results of independence
between two statistics, TAS, 62(2), 141-143.

Paulo, Aureo De (2008). Conditional moments and independence, TAS, 62(2), 219-221.



















30

































F.1 ( ) ( ) . E X x f x dx

=


F.2
2 2 2 2 2
( ) ( ) , ( ) ( ) . E X x f x d x V X E X

= =

F.3 ( ) ( ) ,
a a
E X x f x dx

=


F.4 ( ) ( ) ( ) ,
a a
a
E X x f x dx