PSTAT 120B Practice Midterm

Instructions: 1 Closed books and Notes. 2 A cheat/formula sheet allowed and Density and
Distribution Tables are allowed. 3. Calculator is allowed. 4 Answer all questions and write
them clearly/neatly. 4 Need extra space, write answers back. 5. Midterm includes 4 or 5
questions; 6. Dont ignore the bivariate transformations.
1 (This is for practice from 120A class. Dont expect it in the midterm). Let X have the pdf
fX (x) = ex for x > 0 and >
0. a. Derive the MGF of X .
b. Derive E(X ) using MGF.
Answers:
a (7pts):
Z
MX (t) =
etx ex dx
Z0
e(t)x dx
=
0

=
e(t)x
( t)
0

= 0
, for t <
( t)

MX (t) =
t , for t < .
b (3pts).
dMX (t)
dt
t=0

= ( t)2
t=0
1
E(X ) = .
E(X ) =

2 (10pts). Let X have the pdf fX (x) = ex for x > 0 and > 0. Suppose Y = X .
Derive the pdf of Y .
Answers:
y = g(x) = x, dy = 1 > 0, for allx > 0. Hence it is increasing function. Therefore X
to
dx
2 x
Y is one-to-one onto transformation.
x = g 1 (y) = y 2 . Hence dydx = 2y.
Since the transformation one-to-one onto and increasing,
fY (y) = fX (g 1 (y))
fY (y) = 2 y ey

dy
dx
for 0 < y < .

Note: Only for the domain y (0, ), fY (y) integrates to 1.

3 (10pts). Let X1 , , Xn be a random sample from the population X with the density
P
Xi .
function
fX (x) = ex for x > 0 and > 0. Let X n = 1
n
i=1

a. Find the MGF of X n

. b. Find the E(X n ).
Answers:
a.
For iid random variables:

t
MX ( )
n

MX n (t) =

nt
n
n t

=
MX n (t) =

b.
Xn

E(X n ) =

dM

(t)

dt

t=0

n
= n
(n t)
= n

n
(n)

n1

n1

n
(n t)2

t=0

n
(n)2

1
.

4 (10pts).
Let X1 , , Xn be a random sample and let X n =
P
n
E(X n ) =

1
i=1

Xinand S 2 =
P
n

(Xi
i=1

n1

Xn )2 . Suppose another independent observation Xn+1 becomes available. Show the following
recursion equations are true.
Xn+1 +nX
n
a. X n+1 = n+1
2
n
b. n(S n+1
) = (n 1)Sn2 + n+1
(Xn+1 X n )2 .
part b for Computer Science students; how to update information from the past
with the present without repeating calculations; dont expect it in the midterm.
Answers:
a. (5pts) 4pts for showing the work and 1 pt for the end result.
X n+1 = Pn+1 Xi
i=1

X n+1
Pn

Note that X n =

i=1

n+1 P
n
= Xn+1 + i=1
Xi
n+1
= X
n+1 + nX n
.
n+1

, that gives nX n =

Pi=1
n

Xi .

b. (5pts)
Using the well known result for sample variance S 2

Pn

X 2 nX
n

variance of X1 , , Xn , Xn+1 ,
S 2n+1

n1

i=1

n+1
n+1
1X
1 X 2
2
=
(Xi X n+1 )2 =
X (n + 1)X n+1
n i=1
n i=1 i

, the sample

!
.

Then,
2
nSn+1

n+1
X

i=1
n
X

X i2

(n + 1)X n+1
!
2
(n + 1)X 2n+1
+ Xn+1

Xi2

i=1
n
2

!
X Xi nX n

2
+ nX n + X n+1
(n + 1)X n+1 , (adding and subtracting nX n )
i=1
2
2
n+1 (n + 1)X n+1
2
2
= (n 1)S n + nX n + X
2

2
2
(n + 1)
= (n 1)S 2n + nX n + X n+1

= (n

1)S 2n

= (n 1)S 2 +
n

2
2
(n + 1) X n+1
+ n2 Xn + 2nX n Xn+1
(n + 1)2
!
2
2 2
2
nX n n Xn + X 2n+1 Xn+1 2 n X n Xn+1
n+1
n+1
n+1

2
nX n +

2
n+1

= (n

1)S 2n

Xn+1 + nX n (using the result from part a)

n+1

Xn+

n
n+1

2
n X n+1
n X n Xn+1
2
n+1
n+1

n
2
2
2X n Xn+1
X n + X n+1
n+1
n
n
2
= (n 1)S 2 + n + 1 Xn+1 X n .

= (n 1)S 2 +
n

2
nSn+1

5 (20 pts).P Let X1 , , Xn be iid samples from the pdf fX (x) = 6x(1 x), 0 < x < 1. Let
n
P
Xn = 1
Xinand S 2 = 1
(Xi X n )2 .
n

i=1

n1

i=1

a. Find E(X n ).
b. Find Var(X n ).
c. Find E(S 2 ).
d. Explain what happens to E(X n ) and Var(X n ) at n = .
Answers:
Notice that fX (x) = 6x(1 x), 0 < x < 1 is Beta distribution with = 2 and = 2. Then
2

E(X ) = +
= 21 and Var(X ) = (+
) ( + + 1) = 20 1 .
a. Using the properties of identically distributed samples, E(X n ) = E(X ) = 21 .
b. Using the properties of iid samples, Var(X n ) =

Var(X )
n

= 20n1 .

c. Using the properties of iid samples, E(S 2 ) = Var(X ) = 201 .

d. E(X n ) = stays as it is when n = but Var(X n ) = 0.
2
1

6 (15 pts). Let X1 , , Xn be iid samples from the pdf fX (x) = x3 2 , 1 < x < . Denote
the
sample minimum as X(1) .
a. Find the sampling distribution of X(1) .
b. Find the expected value and the variance of X(1) .
c. Explain what happens to E(X(1) ) and Var(X(1) ) at n = .
Answers:
R
fX (x) = 32 , 1 < x < . Then (x) = x fX (u)du = 1 1 .
x
1
FX
x2
a. For iid samples, fX(1) (x) = nfX (x)(1 FX (x))n1 = n x23 (1 1 +
2n
fX(1) (x) = x2n+1
, 1 < x < .
R
R 2n
2n
b. EX(1)R= 1 xfX(1) (x)dx =
1 x2n dx = 2n1 .
R

2
2n
2n
n
EX (1)
= 1 x2 fX(1) (x)dx = 1 x2n1
dx = 2(n1)
=(n1)
.
2
n
VarX(1) = EX(1)
(EX(1) )2 = (n1)

c. At n = , EX(1) 1 and VarX(1) =

2n 2
2n1

n
(2n1)2 (n1) .

=
1

= 0.

1 )n1 = 2n ( 1 )n1
x2
x3 x2

(2n1)2 (n1)

n3

n2