STA1503/202/1/2013

Tutorial Letter 202/1/2013

Distribution Theory I
STA1503

Semester 1

Department of Statistics

SOLUTIONS TO ASSIGNMENT 2

BAR CODE

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Question 1
Y 3
Y N .3; 4/, so Z D N .0; 1/:
2
(a)
2 3 Y 3 5 3
P.2 < Y < 5/ D P < D P. 0:5 < Z < 1/
<
2 2 2
D 1 P.Z > 1/ P.Z < 0:5/ D 1 P.Z > 1/ P.Z > 0:5/
D 1 0:1587 0:3085 D 0:5328

c 3 c 3 c 3
(b) 0:9960 D P.Y c/ D P Z , so 0:004 D P Z > , and thus D 2:65
2 2 2
which means c D 3 C 2.2:65/ D 8:3:

Question 2

Let Y be the random error in the time of arrival of a wave.

(a)
Z 0:5 h i0:5
P.Y < 0:5/ D 2.1 y/dy D 2y y2
0 0
D 1 0:25 D 0:75

1 1
(b) E.Y / D D D :
C 1C2 3
2 2 1
V .Y / D D D D which means
. C /2 . C C 1/ .1 C 2/2 .1 C 2 C 1/ .9/.4/ 18
r
1
D D 0:2357:
18

Question 3

(a)
X
1 X
1 x
uu
E.X / D x p.x/ D xe
xD0 xD0
x!
X1
u 1
x X
1
ux 1
u u
D e u Du e (since x! D x.x 1/!)
xD1
.x 1/! xD1
.x 1/!
X1 y
uu
D u (upon letting y D x
e 1)
yD0
y!
P u u y D 1)
D u (since 1 yD0 e y!

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(b)
Z 1 Z 1
E.X / D x f .x/d x D x f .x/d x since f .x/ D 0 for x < 0
1 0
Z 1 Z 1
x x 1
D x e dx D xe 0
C e xdx
0 0
Z 1 1
x 1 x
D 0C e dx D e
0 0
1 1
D 0 . /D

(c) D E.X / D 0. 41 / C 1. 12 / C 2. 14 / D 1:
2
D V .X / D E.X /2
1 1 1
D .0 1/2 C .1 1/2 C .2 1/2 . /
4 2 4
1 1 2 1
D C0C D D
4 4 4 2

Question 4

Z 5Z 4
(a) To find c we use the fact that f .x; y/d xdy D 1: Thus,
1 0
Z !
5Z 4 Z 5 x2
4
1 D cx yd xdy D c y dy
1 0 1 2 0
Z 5 5
y2
D 8c ydy D 8c
0 2 1
D 4c.25 1/ D 4.24/c D 96c

1
It follows that c D :
96
(b)
Z 3Z 2 Z 3
1 1 4 1
P.1 < X < 2; 2 < Y < 3 D x yd xdy D y dy
96 2 1 96 2 2
2 3
3 y 1 1 5
D D .9 4/ D
192 2 2 64 2 128

(c) The marginal probability densities (distributions) of X and Y are

Z 5
1 x x
f X .x/ D x ydy D .24/ D ; 0 < x < 4
96 1 192 8

3
 and Z
1 5 x y
f Y .y/ D y xd x D .16/ D ; 1 < y < 5:
96 1 192 12

Question 5

(a)
Z Z Z 1 Z 1 y2 2y1 C y2
P.Y1 C Y2 1/ D f .y1 ; y2 /d A D . /dy1 dy2
A 0 0 4
Z
1 1h 2 i1 y2
D y1 C y1 y2 dy2
4 0 0
Z
1 1h 2
i
D .1 y2 / C .1 y2 /y2 dy2
4 0
Z
1 1h i
D 1 2y2 C y22 C y2 y22 dy2
4 0
Z " #1
1 1 1 y22
D .1 y2 /dy2 D y2
4 0 4 2
0
1 1
D [.1 1=2/ .0 0/] D
4 8

(b)
Z 1 Z 2 2y1 C y2
f 1 .y1 / D f .y1 ; y2 /dy2 D dy2
1 0 4
2
1 y2 1
D .2y1 y2 C 2 / D .4y1 C 2/
4 2 4
0
D y1 C 1=2

Thus,
y1 C 1=2; 0 < y1 < 1
f 1 .y1 / D
0; elsewhere

(c)
f .1=4; y2 /
f .y2 j1=4/ D
f .1=4/
( 1
.2.1=4/Cy2 /=4 1=2Cy2
D 1=4C1=2 D 3 ; 0 < y2 < 2
0; elsewhere
2y2 C1
D 6 ; 0 < y2 < 2
0; elsewhere

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Question 6

(a) The mgf for U is

m u .t/ D E.etY / D E.et .aY Cb/ /
D ebt m.at/

2 and b D 3, m 0bt bt 0
(b) For a D u m.at C ae m .at/:
m 0u .0/ D b C am 0 .0/ D b C a D3 2
D E.U /

m 00u .t/ D b2 ebt m.at/ C abebt m 0bt m 00 .at/

Ca 2 ebt m 00 .at/; so
m 00 .0/ D b2 C 2ab C a 2 E.Y 2 /

V .U / D b2 C 2ab C a 2 E.Y 2 /
D a 2 [E.Y 2 / 2
] D a2 2
D4 2

The mgf of U D 2Y C 3 is
m u .t/ D ebt m.at/ D e3t m. 2t/
2 t 2 =2
D e.3 2 /tC4

(c) By the uniqueness theorem of mgfs, U has a normal distribution with mean 3 2 and
variance 4 2 :

Question 7

Let FZ .z/ and f Z .z/ denote the standard normal distribution and density functions, respectively.
(a)
FU .u/ D P.U u/ D P.Z 2 u/
p p
D P. u Z u/
p p p
D FZ . u/ FZ . u/ D 2FZ . u/ 1

The density for U is then

1 p 1 u=2
fU .u/ D FU0 .u/ D p f Z . u/ D p e
u 2 u
for u > 0 and zero elsewhere.
(b) U has a gamma distribution with D 2 and D 2:
(c) This is the chi-square distribution with one degree of freedom.