Module 29 Some Special Absolutely Continuous Distributions

Module 29
Some Special Absolutely Continuous Distributions
() Module 29 Some Special Absolutely Continuous Distributions 1 / 53

X : an A.C. r.v. with support SX , d.f. FX (·) and p.d.f. fX (·);
Z∞
µ = E (X ) = x fX (x)dx (Mean)
−∞
Z∞
2 2
σ = Var(X ) = E (X − µ) = (x − µ)2 fX (x)dx (Variance)
−∞
For any function h(·),

Z∞
E (h(X )) = h(x) fX (x)dx. (provided integral is finite)
−∞
M.G.F.
Z∞
tX
MX (t) = E (e ) = e tX fX (x)dx, t ∈ R.
−∞

I. Uniform or Rectangular Distribution
Let α and β be real numbers such that α < β. An A.C. r.v. X is said
to have uniform (or rectangular) distribution over the interval (α, β)
(written as X ∼ U(α, β)) if the p.d.f. of X is given by
(
1
, if α < x < β
fX (x) = β−α .
0, otherwise
Clearly
(
1 β−α β−α
α + β α + β
β−α , if − 2 <x < 2
fX −x = fX +x = .
2 2 0, otherwise

α+β
Thus, the distribution of X is symmetric about 2 , i.e.
α+β d α+β
X− 2 = 2 − X.
For m ∈ {1, 2, . . .},

Z∞
E (X m ) = x m fX (x)dx
−∞
Zβ
1
= x m dx
β−α
α
β m+1
− αm+1
= .
(m + 1)(β − α)
α+β
Mean = µ = E (X ) = 2 = Median.

β 3 −α3 β 2 +βα+α2
E (X 2 ) = 3(β−α) = 3 .
Variance = σ 2 = Var(X ) = E (X 2 ) − (E (X ))2

(β − α)2
= .
12
The m.g.f. of X ∼ U(α, β) is given by
Zβ
tX 1
MX (t) = E (e ) = e tX dx
β−α
α
e tβ −e tα
(
t(β−α) , if t 6= 0
= .
1, if t = 0

The d.f. of X ∼ U(α, β) is given by
Zx
FX (x) = fX (t)dt
−∞

0,
 if x < α
x−α
= , if α ≤ x < β .
 β−α
1, if x ≥ β


Result 1.
(i) Let −∞ < α < β < ∞. Then
X −α
X ∼ U(α, β) ⇒ Y = ∼ U(0, 1).
β−α
(ii) Let X be a r.v. with d.f. F (·). Define the quantile function
Q : (0, 1) → R by
Q(p) = inf{x ∈ R : F (x) ≥ p}, 0 < p < 1.
(a) If X is continuous, show that Y = F (X ) ∼ U(0, 1);

d
(a) If U ∼ U(0, 1), show that Q(U) = X .

Proof.
(i) We have 
0,
 if x < α
x−α
FX (x) = , if α ≤ x < β .
 β−α
1, otherwise

Thus,

X −α
FY (y ) = P ≤y = P(X ≤ α + (β − α)y )
β−α

 0, if y < 0
= FX α + (β − α)y = y , if 0 ≤ y < 1 ,

1, if y ≥ 1

which is the d.f. of U(0, 1) distribution.

(ii) See Assignment V, Problem 5.
Remark 1.
Uniform distributions are used in modeling experiments whose outcomes

are number X chosen at random from an interval [α, β] in the sense that if
I ⊆ [α, β] is any sub-interval then P(X ∈ I ) depends only on length of I
and not on location of I in [α, β].

II. Gamma Distribution
The gamma function Γ : (0, ∞) → (0, ∞) is defined by

Z∞
Γ(α) = e −t t α−1 dt.
0
It can be shown that the above integral is finite for any α > 0.
Properties of Gamma Function:

Γ(α + 1) = αΓ(α), α > 0 (integration by parts).
Γ(α) = (α − 1)!, if α is a positive integer.

R∞ e −t √
Γ( 12 ) = √
t
dt = π.
0

A r.v. X is said to have gamma distribution with parameters α > 0
(called shape parameter) and θ > 0 (called scale parameter) if its
p.d.f. is given by
− θx α−1
(
1
θα Γ(α) e x , if x > 0
fX (x) = ,
0, otherwise
and we write X ∼ G(α, β).

Clearly fX (x) ≥ 0, ∀ x ∈ R, and
Z∞ Z∞
1 x
fX (x) dx = α e − θ x α−1 dx
θ Γ(α)
−∞ 0
Z∞
1
= e −t t α−1 dt
Γ(α)
0
= 1.

Z∞
tX
MX (t) = E (e ) = e tX fX (x)dx
−∞
Z∞
1 x
= α e tX e − θ x α−1 dx
θ Γ(α)
0
Z∞
1 1−tθ
= e− θ
x
x α−1 dx
θα Γ(α)
0
−α
Γ(α) 1−tθ
θ 1
= = (1 − tθ)−α , t < .
θα Γ(α) θ

We have
α(α + 1) α(α + 1)(α + 2)
MX (t) = 1 + αtθ + (tθ)2 + (tθ)3 +
2! 3!
1
..., t < .
θ
Mean = µ = E (X ) = coefficient of t in MX (t) = αθ

t2
E (X 2 ) = coefficient of in MX (t) = α(α + 1)θ2
2!
Variance = σ 2 = Var(X ) = E (X 2 ) − (E (X ))2 = αθ2 .

A G(1, θ) distribution is called exponential distribution with mean
θ > 0 (denoted by Exp(θ), θ > 0). If X1 ∼ Exp(θ), then
1 − θx
(
e , if x > 0
fX1 (x) = θ .
0, otherwise
Mean = µ = E (X1 ) = θ, Variance = σ 2 = Var(X1 ) = θ2 ,

1
and MX1 (t) = (1 − tθ)−1 , t < .
θ

For a positive integer n, a G( n2 , 2) distribution is called Chi-squared
distribution with n degrees of freedom (d.f.) and is denoted by χ2n . If
X2 ∼ χ2n , then
 − x n −1
 e n2 x 2 , if x > 0
fX2 (x) = 2 2 Γ( n2 ) .
0, otherwise
Mean = µ = E (X2 ) = n;
Variance = σ 2 = Var(X2 ) = 2n;
n 1
and MX2 (t) = (1 − 2t)− 2 , t < .
2
Quantiles of chi-squared distributions (for various values of degrees of
freedom) are tabulated in various textbooks.

Result 2.
Let X1 , . . . , Xk be independent r.v.s with Xi ∼ G(αi , θ), αi > 0, θ > 0,
k
P P k
i = 1, . . . , k. Then Y = Xi ∼ G αi , θ .
i=1 i=1
Proof. We have
k
Y
MY (t) = E (e tY ) = MXi (t)
i=1
k
Y
= (1 − θt)−αi
i=1
k
P
− αi 1
= (1 − θt) i=1 , t< ,
θ
k
P
which is the m.g.f. of G( αi , θ). The result now follows by uniqueness
i=1
of m.g.f.s.
Corollary 1.
k
P
Let X1 , . . . , Xk be independent r.v.s and let Y = Xi .
i=1
(i) Xi ∼ Exp(θ), i = 1, . . . , k ⇒ Y ∼ G(k, θ).
(ii) Xi ∼ χ2ni , i = 1, . . . , k ⇒ Y ∼ χ2P
k .
ni
i=1
Suppose that X ∼ Exp(θ), θ > 0. Then

Z∞
1 −x s
P(X > s) = e θ dx = e − θ , s > 0
θ
s
P(X > s + t) t
P(X > s + t|X > s) = = e − θ = P(X > t), ∀s, t > 0.
P(X > s)

Thus for exponential distribution, ∀ s, t > 0,
P(X > s + t|X > s) = P(X > t) (1)
i.e., P(X > s + t) = P(X > S)P(X > t). (2)

Let X ∼ Exp(θ) denote the lifetime of a component. Then the
property (1) (equivalently property (2)) about lifetime X of the
component has the following interesting interpretation: Given that the
component has survived s units of time, the probability that it will
survive additional t units of time is the same as the probability that a
fresh unit (of age 0) will survive t units of time. In other words, the
component is not aging with time, i.e., the used component is the
same as the new one. This property of a continuous r.v. is also
known as the lack of memory or memory less property (at each state
component forgets its age and behaves like a fresh component).

Result 3.
Let Y be a continuous r.v. with FY (0) = 0. Then Y has the lack of
memory property (1) if and only if Y ∼ Exp(θ), for some θ > 0.
Proof. Clearly if Y ∼ Exp(θ), for some θ > 0, then Y has lack of memory
property . Conversely, suppose that Y has lack of memory property (1).
Let
F̄Y (t) = 1 − FY (t); t ∈ R.
Then,
F̄Y (s + t) = F̄Y (s) F̄Y (t), ∀s, t > 0
⇒ F̄Y (s1 + · · · + sm ) = F̄Y (s1 ) · · · F̄Y (sm ), si > 0, i = 1, . . . , m
m h 1 im
F̄Y = F̄Y , m∈N
n n
h 1 in
F̄Y (1) = F̄Y , n∈N
n
m h im
n
F̄Y = F̄Y (1) , m, n ∈ N
n
Let λ = F̄Y (1), so that 0 ≤ λ ≤ 1.
1
λ = 0 ⇒ F̄Y = 0, ∀n = 1, 2, . . .
n
1
⇒ lim F̄Y =0
n→∞ n
⇒ F̄Y (0) = 0
⇒ FY (0) = 1 (contradiction)
λ = 1 ⇒ F̄Y (n) = [F̄Y (1)]n = 1, ∀n = 1, 2, . . .

⇒ F̄Y (∞) = 1
⇒ FY (∞) = 0 (contradiction)

1
Thus 0 < λ < 1. Let λ = e − θ , θ > 0. Then
r
F̄Y (r ) = [F̄Y (1)]r = e − θ , ∀ r ∈ Q,
where Q denotes the set of positive rational numbers. Now let x > 0.
Then there exists a sequence {rn }n≥1 ⊆ Q such that rn → x. Then, since
FY is continuous
rn x
F̄Y (x) = lim F̄Y (rn ) = lim e − θ = e − θ ,
n→∞ n→∞
implying that X ∼ Exp(θ).

III. Beta Distribution
The beta function β : (0, ∞) × (0, ∞) → (0, ∞) is defined by
Z1
β(a, b) = t a−1 (1 − t)b−1 dt, a > 0, b > 0.
0
It can be shown that

Γ(a) Γ(b)
β(a, b) = , a > 0, b > 0.
Γ(a + b)
A r.v. X is said to have beta distribution with parameters a > 0 and
b > 0 (written as X ∼ B(a, b)) if its p.d.f. is given by
(
1
x a−1 (1 − x)b−1 , if 0 < x < 1
fX (x) = β(a,b) .
0, otherwise

Note that B(1, 1) distribution is nothing but U(0, 1) distribution.
Suppose that X ∼ B(a, b), a > 0, b > 0. Then, for r > −a,
Z1
1
E (X r ) = x r x a−1 (1 − x)b−1 dx
β(a, b)
0
Z1
1
= x a+r −1 (1 − x)b−1 dx
β(a, b)
0
β(a + r , b) Γ(a + r ) Γ(a + b)
= = , r > −a.
β(a, b) Γ(a) Γ(a + b + r )

a
Mean = µ = E (X ) = ;
a+b
a(a + 1)
E (X 2 ) = ;
(a + b)(a + b + 1)
Variance = σ 2 = Var(X ) = E (X 2 ) − (E (X ))2
ab
= 2
.
(a + b) (a + b + 1)
If X ∼ B(a, a), a > 0, then
1 1
fX − x = fX +x
2  2 a−1 a−1
 1 1
− x 1
+ x , if − 21 < x < 1
= β(a,a) 2 2 2 ,
0, otherwise
i.e., distribution of X ∼ B(a, a) is symmetric about 21 .

If X ∼ B(a, b), a > 0, b > 0, then
MX (t) = E (e tX )
∞
X Γ(a + r ) Γ(a + b) t r
= , t ∈ R.
Γ(a) Γ(a + b + r ) r !
r =0

IV. Normal (or Gaussian) Distribution
We know that
Z ∞ t2
I = e − 2 dt
−∞
Z ∞
t2
=2 e − 2 dt
0
Z ∞ −z
2 e
=√ √ dz
2 0 z
√ 1 √
= 2Γ = 2π
2
Z ∞
1 t2
⇒√ e − 2 dt = 1
2π −∞
Z ∞
1 (x−µ)2
⇒ √ e − 2σ2 dx = 1, ∀ µ ∈ R, σ > 0.
σ 2π −∞

A r.v. X is said to have the normal distribution with parameters
µ ∈ (−∞, ∞) and σ > 0 (written as X ∼ N(µ, σ 2 )) if its p.d.f. is
given by

(x−µ)2
 √1 −
e 2σ 2 , if − ∞ < x < ∞
fX (x) = σ 2π .
0, otherwise
Clearly if X ∼ N(µ, σ 2 ), then
1 x2
fX (µ − x) = fX (µ + x) = √ e − 2σ2 , ∀ − ∞ < x < ∞,
σ 2π
d
i.e., X − µ = µ − X , and distribution of X is symmetric about µ.
The N(0, 1) distribution is called the standard normal distribution.

The p.d.f. and d.f. of N(0, 1) distribution will be denoted by φ(·) and
Φ(·), respectively, i.e.,
1 z2
φ(z) = √ e − 2 , −∞ < z < ∞
2π
Zz Zz
1 x2
and Φ(z) = φ(x)dx = √ e − 2 dx.
2π
−∞ −∞
Clearly N(0, 1) distribution is symmetric about 0.

Suppose that X ∼ N(µ, σ 2 ), for some µ ∈ (−∞, ∞) and σ > 0.
Then,
d
X −µ=µ−X
P(X − µ ≤ x) = P(µ − X ≤ x)
P(X ≤ µ + x) = P(X ≥ µ − x)
⇒ FX (µ + x) = 1 − FX (µ − x)
⇒ FX (µ + x) + FX (µ − x) = 1.
In particular, Φ(x) + Φ(−x) = 1, ∀ x ∈ R.

Result 4.
(a) Let X ∼ N(µ, σ 2 ), for some µ ∈ (−∞, ∞) and σ > 0. Then,
X −µ
Z= ∼ N(0, 1).
σ
(b) If Z ∼ N(0, 1), then Y = Z 2 ∼ χ21 .
Proof.
X −µ
(a) Suppose that X ∼ N(µ, σ 2 ). Then, the p.d.f. of Z = σ is
fZ (z) = fX (µ + σz) |σ| I(−∞,∞) (z)

1 z2
=√ e − 2 , −∞ < z < ∞,
2π
i.e., Z ∼ N(0, 1).
(a) Let Z ∼ N(0, 1) and Y = Z 2 . Then, for t < 0, FY (t) = 0. For t ≥ 0,
FY (t) = P(Z 2 ≤ t)
√ √
= P(− t ≤ Z ≤ t)
√
Z t
1 z2
= √ e − 2 dz
√ 2π
− t
Z √t
2 z2
=√ e − 2 dz
2π 0
Z t 1 −1 − z
z2 e 2
= 1
dz.
0 22 Γ 1
2

Thus,

0,
 if t < 0
1 z
FY (t) = R t z 2 −1 e − 2
dz, if t ≥ 0
 0
 1
22 Γ 1
2
Z t
= fY (z)dz,
−∞
 1 −1 − z
 z 21 e 2 dz, if z > 0
1
where fY (z) = 22 Γ 2
0, otherwise.

⇒ Y ∼ χ21 .

Result 4.
Let X ∼ N(µ, σ 2 ), for some µ ∈ (−∞, ∞) and σ > 0.

σ2 t 2
(a) Then MX (t) = e µt+ 2 , t ∈ R.
(b) Then E (X ) = µ = Median and Var(X ) = σ 2 .
(c) Let Y = aX + b, where a 6= 0 and b ∈ R are fixed real constants.

Then Y ∼ N(aµ + b, a2 σ 2 ).
X −µ
(d) Let Z = σ (so that Z ∼ N(0, 1)). Then

0, if r = 1, 3, 5, . . .
r
E (Z ) = r! .
 r r , if r = 2, 4, 6, . . .
22 2
!

(e) Then, Co-efficient of skewness = β1 = 0
and Kurtosis = γ1 = 3.
Proof.
(a) For t ∈ R
Z∞
1 (x−µ)2
MX (t) = E (e tX
)= √ e tx e − 2σ 2 dx
σ 2π
−∞
Z∞
1 z2
=√ e t(µ+σz) e − 2 dz
2π
−∞
Z∞
2 2 1 (z−tσ)2
µt+ σ 2t
=e √ e− 2 dz
2π
−∞
2 2
µt+ σ 2t
=e , t ∈ R.

Let
σ2t 2
ψX (t) = ln(MX (t)) = µt + , t ∈ R.
2
Then,
(1)
ψX (t) = µ + tσ 2 , t ∈ R
(2)
ψX (t) = σ 2 , t ∈ R
(1)
⇒ Mean = ψX (0) = µ
(2)
Variance = ψX (0) = σ 2 .
d
Also, X − µ = µ − X implies that
µ = Median.
(c) The m.g.f. of Y = aX + b is
MY (t) = E (e t(aX +b) )
= e tb E (e atX )
= e tb MX (at)
σ 2 a2 t 2
= e tb e µat+ 2
a2 σ 2 t 2
= e (aµ+b)t+ 2 , t ∈ R,
which is the m.g.f. of N(aµ + b, a2 σ 2 ) distribution.

(d) By (c) we have
t2
MZ (t) = e 2
∞
X t 2k
= , t ∈ R.
2k k!
k=0
For r ∈ {1, 2, . . .}
tr
E (Z r ) = coefficient of in expansion of MZ (t)
 r!
0, if r = 1, 3, 5, . . .
= r! .
 r r , if r = 2, 4, 6, . . .
2 2 ( 2 )!

(e)
E (Z 3 ) = 0
⇒ E ((X − µ)3 ) = 0
⇒ β1 = 0.
Also
4!
E (Z 4 ) = =3
4 × 2!
⇒ E ((X − µ)4 ) = 3σ 4
µ4
⇒ Kurtosis = γ1 = 2 = 3.
µ2

X −µ
If X ∼ N(µ, σ 2 ). Then, for Z = σ (so that Z ∼ N(0, 1))
FX (x) = P(X ≤ x)
x −µ
= P(Z ≤ )
σ

x −µ
= Φ , x ∈ R.
σ
Let τα be the (1 − α)th quantile of N(0, 1) distribution, i.e.,
Φ(τα ) = 1 − Φ(−τα ) = 1 − α.
If X ∼ N(µ, σ 2 ) then FX (µ) = 21 .

Φ(0) = 12 .

The following table provides various quantiles of N(0, 1) distribution.
α .001 .005 .01 .025 .05 .1 .25

τα 3.092 2.5758 2.326 1.96 1.6499 1.282 .675
Tables of Φ(z) (for various values of z) are available in various text

books.

Example 1:
Let X ∼ N(10, 4). Find P(X ≤ 6.08), P(X > 13.3), P(X > 7.44) and
P(X ≤ 11.35).
Solution

6.08 − 10
P(X ≤ 6.08) = Φ = Φ(−1.96) = 1−Φ(1.96) = 1−.975 = .025;
2

13.3 − 10
P(X > 13.3) = 1 − Φ = 1 − Φ(1.65) = .05;
2

7.44 − 10
P(X > 7.44) = 1 − Φ = 1 − Φ(−1.28) = Φ(1.28) = .9;
2

11.35 − 10
P(X ≤ 11.35) = Φ = Φ(.675) = .75.
2

Result 6 :
Let X1 , X2 , . . . , Xk be independent random variables with Xi ∼ N(µi , σi2 ),

µi ∈ (−∞, ∞), σi > 0, i = 1, . . . , k. Let a1 , a2 , . . . , ak be real constants
k
ai2 > 0. Then
P
such that
i=1
k k k

ai2 σi2
P P P
(a) ai Xi ∼ N ai µi , ;
i=1 i=1 i=1
k
2
Xi −µi
∼ χ2k .
P
(b) σi
i=1
Proof.
k
P
(a) Let Y = ai Xi . Then
i=1

k
P
t ai X i
MY (t) = E e i=1
k
Y
tai Xi
= E e
i=1
k
Y
E e tai Xi

=
i=1
Yk
= MXi (tai )
i=1
Yk σi2 ai2 t 2
= e ai µi t+ 2
i=1
k

ai2 σi2 t 2
P
k
P i=1
ai µi t+ 2
= e i=1 ,
k k

2 2
P P
which is the m.g.f. of N ai µi , ai σ i .
i=1 i=1
Xi −µi
(b) Let Zi = σi , i = 1, . . . , k. Then
Z1 , Z2 , . . . , Zk are i.i.d. N(0, 1) r.v.s.

⇒ Z12 , Z22 , . . . , Zk2 are i.i.d. χ21 r.v.s.
k
X
⇒ Zi2 ∼ χ2k .
i=1

Result 7 :
Let X1 , . . . , Xn (n ≥ 2) be a random sample (i.i.d.) from N(µ, σ 2 )

n
distribution, where µ ∈ (−∞, ∞) and σ > 0. Let X̄ = n1
P
Xi and
i=1
n
1
S2 X̄ )2
P
= n−1 (Xi − denote the sample mean and the sample variance
i=1
respectively. Then
2
(i) X̄ ∼ N(µ, σn );
(ii) X̄ and S 2 are independently distributed;
(n−1)S 2
(iii) σ2
∼ χ2n−1 ;
2σ 4
(iv) E (S 2 ) = σ 2 and Var(S 2 ) = n−1 .

Proof.
(i) Follows from Result 6 (a).

(ii) Let Yi = Xi − X̄ , i = 1, . . . , n and Y = (Y1 , . . . , Yn ). Then
n
X n
X n
X
Yi = (Xi − X̄ ) = Xi − nX̄ = 0
i=1 i=1 i=1
n
X n
X
2 2
(n − 1)S = (Xi − X̄ ) = Yi2 .
i=1 i=1
The joint m.g.f. of (Y , X̄ ) is given by

n
P
ui Yi +v X̄
MY ,X̄ (u, v ) = E e i=1 , u = (u1 , . . . , un ) ∈ Rn , v ∈ R.

n
X n
X
ui Yi + v X̄ = ui (Xi − X̄ ) + v X̄
i=1 i=1
n

P
n v− ui n
i=1
X X
= uj Xj + Xj
n
j=1 j=1
n
X v
= uj − ū + Xj
n
j=1
n
X
= tj Xj ,
j=1
n
1
ui , and tj = uj − ū + vn , j = 1, . . . , n. Note that
P
where ū = n
i=1
n
P
(ui − ū) = 0 and therefore
i=1
n n
X X v
tj = uj − ū + =v
n
j=1 j=1
n n n
v 2 X v2
X X
2
tj = uj − ū + = (ui − ū)2 + .
n n
j=1 j=1 i=1
Consequently
P n
ui Yi +v X̄
MY ,X̄ (u, v ) = E e i=1
P n
tj Xj

= E e j=1
n
Y
= MXj (tj )
j=1
Yn σ 2 tj2
µtj +
= e 2
j=1
n 2 n
tj + σ2 tj2
P P
µ
= e j=1 j=1
2 2 2 n
µv + σ2nv + σ2 (ui −ū)2
P
= e i=1 , u ∈ Rn , v ∈ R
n
σ2
(ui −ū)2
P
2
MY (u) = MY ,X̄ (u, 0) = e i=1 , u ∈ Rn
σ2 v 2
MX̄ (v ) = MY ,X̄ (0, v ) = e µv + 2n , v ∈ R.
Clearly
MY ,X̄ (u, v ) = MY (y )MX̄ (v ), ∀ (u, v ) ∈ Rn+1
⇒ Y = (X1 − X̄ , . . . , Xn − X̄ ) and X̄ are independent.
n
X
⇒ (X1 − X̄ )2 and X̄ are independent.
i=1
⇒ S 2 and X̄ are independent.

√
Xi −µ n(X̄ −µ)
(iii) Let Zi = σ ,i = 1, . . . , n, Z = σ and
n
−X̄ )2
P
2
(Xi
Y = (n−1)S
σ2
= i=1 σ2 .
Then Z1 , . . . , Zn are i.i.d N(0, 1) r.v.s and Z ∼ N(0, 1). Let
n(X̄ − µ)2
W = Z2 = (so that W ∼ χ21 )
σ2
and
n
X
T = Zi2 (so that T ∼ χ2n ).
i=1

Then
n n
Xi − µ 2
X X
T = Zi2 =
σ
i=1 i=1
n
1 X
= (Xi − X̄ + X̄ − µ)2
σ2
i=1
n
X (Xi − X̄ )2 n(X̄ − µ)2
= +
σ2 σ2
i=1
= Y +W
By (ii) Y and W are independently distributed. Thus
MT (t) = MY (t)MW (t)
n 1 1
(1 − 2t)− 2 = MY (t) × (1 − 2t)− 2 , t <
2
(n−1) 1
⇒ MY (t) = 1 − 2t)− 2 , t< ,
2
which is the m.g.f.of χ2n−1 r.v.
(iv)
(n − 1)S 2

E = E (χ2n−1 ) = n − 1
σ2
⇒ E (S 2 ) = σ 2 .
Moreover
(n − 1)S 2

Var = 2(n − 1)
σ2
2
⇒ Var(S 2 ) = σ4.
n−1

Take Home Problems
1 Let −∞ < α < β < ∞ and let X be an A.C. r.v. such that
P(α ≤ X ≤ β) = 1. Show that X ∼ U(α, β) iff
P(X ∈ I ) = P(X ∈ J) for any pair of intervals I , J ⊆ [α, β) having
the same length.
2 Let X1 , . . . , Xn (n ≥ 2) be a random sample (i.i.d.) from a population
(distribution) having mean µ ∈ (−∞, ∞) and variance σ 2 > 0. Let
n n
X̄ = n1 1 P
Xi and S 2 = n−1 (Xi − X̄ )2 denote the sample mean
P
i=1 i=1
and the sample variance respectively. Show that E (X̄ ) = µ and
E (S 2 ) = σ 2 .

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Module 29

Some Special Absolutely Continuous Distributions

() Module 29 Some Special Absolutely Continuous Distributions 1 / 53

For any function h(·),

() Module 29 Some Special Absolutely Continuous Distributions 1 / 53

() Module 29 Some Special Absolutely Continuous Distributions 2 / 53

For m ∈ {1, 2, . . .},

() Module 29 Some Special Absolutely Continuous Distributions 3 / 53

Variance = σ 2 = Var(X ) = E (X 2 ) − (E (X ))2

() Module 29 Some Special Absolutely Continuous Distributions 4 / 53

() Module 29 Some Special Absolutely Continuous Distributions 5 / 53

(i) Let −∞ < α < β < ∞. Then

Q(p) = inf{x ∈ R : F (x) ≥ p}, 0 < p < 1.

(a) If X is continuous, show that Y = F (X ) ∼ U(0, 1);

() Module 29 Some Special Absolutely Continuous Distributions 6 / 53

which is the d.f. of U(0, 1) distribution.

Uniform distributions are used in modeling experiments whose outcomes

() Module 29 Some Special Absolutely Continuous Distributions 8 / 53

The gamma function Γ : (0, ∞) → (0, ∞) is defined by

Properties of Gamma Function:

Γ(α) = (α − 1)!, if α is a positive integer.

() Module 29 Some Special Absolutely Continuous Distributions 9 / 53

and we write X ∼ G(α, β).

() Module 29 Some Special Absolutely Continuous Distributions 10 / 53

() Module 29 Some Special Absolutely Continuous Distributions 11 / 53

Mean = µ = E (X ) = coefficient of t in MX (t) = αθ

() Module 29 Some Special Absolutely Continuous Distributions 12 / 53

Mean = µ = E (X1 ) = θ, Variance = σ 2 = Var(X1 ) = θ2 ,

() Module 29 Some Special Absolutely Continuous Distributions 13 / 53

() Module 29 Some Special Absolutely Continuous Distributions 14 / 53

Suppose that X ∼ Exp(θ), θ > 0. Then

() Module 29 Some Special Absolutely Continuous Distributions 16 / 53

P(X > s + t|X > s) = P(X > t) (1)

i.e., P(X > s + t) = P(X > S)P(X > t). (2)

() Module 29 Some Special Absolutely Continuous Distributions 17 / 53

λ = 1 ⇒ F̄Y (n) = [F̄Y (1)]n = 1, ∀n = 1, 2, . . .

() Module 29 Some Special Absolutely Continuous Distributions 19 / 53

implying that X ∼ Exp(θ).

() Module 29 Some Special Absolutely Continuous Distributions 20 / 53

The beta function β : (0, ∞) × (0, ∞) → (0, ∞) is defined by

It can be shown that

() Module 29 Some Special Absolutely Continuous Distributions 21 / 53

() Module 29 Some Special Absolutely Continuous Distributions 22 / 53

i.e., distribution of X ∼ B(a, a) is symmetric about 21 .

() Module 29 Some Special Absolutely Continuous Distributions 24 / 53

() Module 29 Some Special Absolutely Continuous Distributions 25 / 53

Clearly if X ∼ N(µ, σ 2 ), then

The N(0, 1) distribution is called the standard normal distribution.

() Module 29 Some Special Absolutely Continuous Distributions 26 / 53

Clearly N(0, 1) distribution is symmetric about 0.

() Module 29 Some Special Absolutely Continuous Distributions 27 / 53

In particular, Φ(x) + Φ(−x) = 1, ∀ x ∈ R.

() Module 29 Some Special Absolutely Continuous Distributions 28 / 53

(a) Let X ∼ N(µ, σ 2 ), for some µ ∈ (−∞, ∞) and σ > 0. Then,

(b) If Z ∼ N(0, 1), then Y = Z 2 ∼ χ21 .

fZ (z) = fX (µ + σz) |σ| I(−∞,∞) (z)

() Module 29 Some Special Absolutely Continuous Distributions 30 / 53

() Module 29 Some Special Absolutely Continuous Distributions 31 / 53

Let X ∼ N(µ, σ 2 ), for some µ ∈ (−∞, ∞) and σ > 0.

(b) Then E (X ) = µ = Median and Var(X ) = σ 2 .

(c) Let Y = aX + b, where a 6= 0 and b ∈ R are fixed real constants.

() Module 29 Some Special Absolutely Continuous Distributions 32 / 53

() Module 29 Some Special Absolutely Continuous Distributions 33 / 53