Scribd Logo
Upload

Welcome to Scribd!

  • 121 views

    HW1 Sol

    Uploaded by

    Kuangye Chen
    This document contains solutions to 10 problems from a homework assignment for an intermediate statistics course. The problems cover topics such as properties of sets and events, probability distributions, expectations, transformations of random variables, and moment generating functions. Specifically, the document: 1) Proves properties of unions and intersections of sets and events. 2) Finds probability distributions and densities after transformations of random variables. 3) Calculates expectations, variances, and moment generating functions for common distributions. In summary, the document provides detailed solutions to intermediate statistics problems involving properties of sets and events, transformations of random variables, and working with common probability distributions.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    HW1 Sol

    Uploaded by

    Kuangye Chen
    121 views8 pages
    This document contains solutions to 10 problems from a homework assignment for an intermediate statistics course. The problems cover topics such as properties of sets and events, probability distributions, expectations, transformations of random variables, and moment generating functions. Specifically, the document: 1) Proves properties of unions and intersections of sets and events. 2) Finds probability distributions and densities after transformations of random variables. 3) Calculates expectations, variances, and moment generating functions for common distributions. In summary, the document provides detailed solutions to intermediate statistics problems involving properties of sets and events, transformations of random variables, and working with common probability distributions.

    Original Description:

    Solution

    Original Title

    HW1sol

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    This document contains solutions to 10 problems from a homework assignment for an intermediate statistics course. The problems cover topics such as properties of sets and events, probability distributions, expectations, transformations of random variables, and moment generating functions. Specifically, the document: 1) Proves properties of unions and intersections of sets and events. 2) Finds probability distributions and densities after transformations of random variables. 3) Calculates expectations, variances, and moment generating functions for common distributions. In summary, the document provides detailed solutions to intermediate statistics problems involving properties of sets and events, transformations of random variables, and working with common probability distributions.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    121 views8 pages

    HW1 Sol

    Uploaded by

    Kuangye Chen
    This document contains solutions to 10 problems from a homework assignment for an intermediate statistics course. The problems cover topics such as properties of sets and events, probability distributions, expectations, transformations of random variables, and moment generating functions. Specifically, the document: 1) Proves properties of unions and intersections of sets and events. 2) Finds probability distributions and densities after transformations of random variables. 3) Calculates expectations, variances, and moment generating functions for common distributions. In summary, the document provides detailed solutions to intermediate statistics problems involving properties of sets and events, transformations of random variables, and working with common probability distributions.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 8

    Carnegie Mellon University Department of Statistics

    36-705 Intermediate Statistics Homework #1


    Solutions
    September 1, 2016
    Problem 1: Wasserman 1.3

    Let be a sample space and let A1 , A2 , . . . be events. Define Bn =


    i=n Ai and Cn = i=n Ai .

    (a) Show that B1 B2 and that C1 C2 .


    Proof. (By Induction)
    Base.

    i=1

    i=2

    B1 = Ai = A1 Ai = A1 B2 B1 B2
    Now for any k N,

    i=k

    i=k+1

    Bk = Ai = Ak Ai = Ak Bk+1 Bk Bk+1 .
    Proof. (By Induction)
    Base.

    i=1

    i=2

    C1 = Ai = A1 Ai = A1 C2 C1 C2
    Now for any k N,

    i=k

    i=k+1

    Ck = Ai = Ak Ai = Ak Ck+1 Ck Ck+1 .

    (b) Show that


    n=1 Bn if and only if belongs to an infinite number of the events
    A1 , A 2 , . . . .
    Proof.

    " Suppose belongs to an infinite number of the events A1 , A2 , . . . but


    n=1 i=n Ai .
    Then there exists a j such that
    i=j Ai . But this implies can be in at most j 1 of the

    Ai , a contradiction. Therefore,
    n=1 i=n Ai .

    " Assume
    n=1 i=n Ai . If does not belong to an infinite number of the events
    A1 , A2 , . . . , then pick the last (according to the index) Ai which contains and call it AT .
    Then Ak , k > T . Hence,
    n=1 Bn , a contradiction. Therefore, belongs to an infinite
    number of the events A1 , A2 , . . . .

    (c) Show that


    n=1 Cn if and only if belongs to all the events A1 , A2 , . . . except possibly
    a finite number of those events.

    36-705 Intermediate Statistics: Homework 1


    Proof.
    " Suppose that belongs to all the events A1 , A2 , . . . except possibly a finite number of
    those events. Pick the last Ai that is not in and call the next one An0 . An , n n0 so

    clearly
    i=n0 Ai . Since this set is part of the union n=1 Cn , weve shown n=1 Cn .

    " Suppose
    n=1 i=n Ai . Suppose further that no matter how high we run our index,
    we can always find an Ai such that Ai . More precisely, for any k N, j > k such that

    Aj . This of course implies


    i=n Ai for any n. That is, n=1 i=n Ai , a contradiction. Therefore, belongs to all the events A1 , A2 , . . . except possibly a finite number of
    those events.

    Problem 2: Wasserman 1.8


    Suppose that P(Ai ) = 1 for each i. Prove that

    P Ai = 1.
    i=1
    Proof. We will prove the equivalent proposition:

    P Aci = 0.
    i=1
    In order to show this note that:


    P Aci P(Aci ) = 0 = 0.
    i=1 i=1
    i=1

    Problem 3: Wasserman 1.13


    Suppose that a fair coin is tossed repeatedly until both a head and tail have appeared at least
    once.
    (a) Describe the sample space .
    We can partition the sample space into two subsets
    A = { HH T, n 1}

    n times

    B = { T T H, n 1}

    n times

    Then = A B.
    2

    36-705 Intermediate Statistics: Homework 1


    (b) What is the probability that three tosses will be required?
    This can occur in two ways: HHT or TTH. Each has probability ( 12 ) so
    3

    P (three tosses) = 2

    1 1
    = .
    23 4

    Problem 4: Wasserman 2.1


    Show that

    P(X = x) = F (x+ ) F (x ).

    We have by right continuity of the CDF F (x+ ) = F (x) = P(X x). Also by continuity of
    probabilities
    F (x ) = lim F (x 1/n) = lim P(X x 1/n) = P(X < x).
    n

    And these observations together with the fact that P(X = x) = P(X x) P(X < x) imply
    the desired result.

    Problem 5: Wasserman 2.4


    Let X have probability density function

    1/4 0 < x < 1

    fX (x) = 3/8 3 < x < 5

    otherwise.
    0
    (a) find the cumulative distribution function of X.

    x/4

    FX (x) = 1/4

    3x7

    x<0
    0x<1
    1x3 .
    3<x5
    x>5

    (b) Let Y = 1/X. Find the probability density function fY (y) for Y . Hint: Consider three
    cases: 51 y 13 , 31 y 1, and y 1.

    36-705 Intermediate Statistics: Homework 1


    Following the hint, let us first consider the case when y = 1/x 1, which occurs exactly when
    0 < x 1. Keep in mind X takes values in the interval (, 0] with probability 0. Now in
    this interval we have
    1
    fX (x) =
    0<x<1
    4
    and Y = g(X) = 1/X is indeed monotonic (therefore h(y) = g 1 = 1/y) so we can directly
    employ the transformation formula for p.d.f.s. That is,
    RRR
    R
    dh(y) RRRR
    fY (y) = fX (h(y))RRRRR
    R=
    RRR dy RRRRR

    R R
    1 RRRR 1 RRRR
    1
    R R=
    , y 1.
    4 RRRR y 2 RRRR 4y 2
    R R

    Using the same method, we first note that 51 y 13 corresponds exactly with 3 x 5 (we
    can drop the endpoints since were dealing with continuous probability here). For this interval
    we have
    3
    fX (x) =
    1 < x < 3,
    8
    and therefore
    RRR
    R
    R R
    dh(y) RRRR 3 RRRR 1 RRRR
    3
    1
    1
    R
    R
    RRR = RRR 2 RRR = 2 ,
    fY (y) = fX (h(y))RRR
    <y< .
    5
    3
    RRR dy RRR 8 RRR y RRR 8y
    Now for the only remaining interval,
    to the interval 1 < x < 3 and that
    Hence,

    1
    3

    < y < 1, we need only note that this corresponds exactly


    P (X (1, 3)) = 0.

    P (Y (1/3, 1)) = 0.

    So altogether,

    8y 2

    1
    fY (y) = 4y2

    1
    5

    <y<

    y>1

    1
    3

    otherwise.

    Problem 6: Wasserman 2.7


    Let X and Y be independent and suppose that each has a Uniform(0, 1) distribution. Let
    Z = min{X, Y }. Find the density fZ (z) for Z. Hint: It might be easier to first find P(Z > z).
    FZ (z) = P(Z z) = 1 P(Z > z) = 1 P(X > z)P(Y > z) = 1 (1 z)2 = 2z z 2 .
    fZ (z) =

    FZ (z)

    2 2z
    =

    0<z<1
    otherwise.

    36-705 Intermediate Statistics: Homework 1


    Problem 7: Wasserman 2.20
    Let Z = X Y . We can easily see that Z [1, 1]. To calculate FZ (z) we first consider the
    case 1 z 0:
    1+z
    1
    z2
    1
    1dydx
    =
    +z+

    2
    2
    0
    xz
    Now for 0 < z 1, FZ (z) is given by:
    1

    xz

    1dydx =

    z2
    1
    +z+
    2
    2

    So the density of Z is given by:

    1+z

    fZ (z) = 1 z

    if 1 z 0
    if 0 < z 1
    otherwise

    which is known as triangular distribution.


    Let W = X/Y , so that W (0, ). We have:
    P (W w) = P (X wY ) =

    1
    0

    min(1,wy)

    1dxdy =

    1
    0

    min (1, wy) dy

    Consider now the case w 1, then the integral becomes:

    wydy =

    w
    2

    Similarly for w > 1 we get:

    1/w
    0

    wydy +

    1
    1/w

    1dy = 1

    1
    2w

    So the density of W is given by:

    fW

    1/2

    (w) = 1/2w2

    if 0 w 1
    if w > 1
    otherwise

    Problem 8: Wasserman 3.8


    Theorem. Let X1 , . . . , Xn be IID and let = E(Xi ), 2 = V(Xi ). Then
    E(X n ) = , V(X n ) =

    2
    and E(Sn2 ) = 2 .
    n

    Proof.
    1 n
    E(X n ) = E( Xi )
    n i=1
    =

    1 n
    E(Xi )
    n i=1

    = .

    36-705 Intermediate Statistics: Homework 1

    1 n
    V(X n ) = V( Xi )
    n i=1

    E(Sn2 ) = E(

    1 n
    V(Xi )
    n2 i=1

    2
    .
    n

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

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

    i=1
    i=1

    1
    2
    2
    n( 2 + 2 ) 2nE(X n ) + nE(X n )
    n 1

    1
    n( 2 + 2 ) n( 2 /n + 2 )
    n 1

    n1 2

    n1
    = 2.

    Problem 9: Wasserman 3.22


    Let X Uniform(0, 1). Let 0 < a < b < 1. Let

    1 0 < x < b
    Y =

    0 otherwise

    1 a < x < 1
    Z=

    0 otherwise

    and let

    (a) Are Y and Z independent? Why/Why not? Notice


    P (Y = 1, Z = 1) = P (X (a, b))
    ba
    =
    10
    =ba
    and
    b0 1a

    10 10
    = b(1 a),

    P (Y = 1)P (Z = 1) =

    so Y and Z are not independent.

    36-705 Intermediate Statistics: Homework 1


    (b) Find E(Y Z). Hint: What values z can Z take? Now find E(Y Z = z).
    E(Y Z = 1) = 1 P (Y = 1Z = 1) + 0 P (Y = 0Z = 1)
    ba
    =
    .
    1a

    E(Y Z = 0) = 1 P (Y = 1Z = 0) + 0 P (Y = 0Z = 0)
    = 1.

    Problem 10: Wasserman 3.23


    Find the moment generating function for the Poisson, Normal, and Gamma distributions.
    Poisson

    MX (t) = E[etX ] = etx


    x=0

    t
    x
    (et )x
    e = e
    = e+e
    x!
    x!
    x=0
    t 1)

    MX (t) = e(e

    Gamma
    MX (t) = E[etX ] =

    etx

    1 x
    1 x(t)
    x e dx =
    dx.
    x e
    ()
    () 0

    Now we use the property that a p.d.f. integrates to 1 to obtain the formula

    ba a1 bx
    x e dx = 1,
    (a)

    which rearranges to

    xa1 ebx dx =

    (a)
    .
    ba

    So our moment generating function is


    MX (t) =

    ()

    1 x(t)

    dx =
    x e
    () 0
    () ( t)


    , t< .
    =
    t

    Normal
    First consider X N (0, 1).
    MX (t) = E[etX ] =

    (compl. the sq.)

    x2
    x2
    etx
    1
    etx 2 dx = etx 2 dx
    2
    2

    2
    t2

    1
    1
    u2
    2
    2
    1
    et /2
    1
    Let u = x t t
    e 2 e 2 (xt) dx = e 2 (xt) dx
    =
    e 2 e 2 du.
    2
    2
    2
    2

    36-705 Intermediate Statistics: Homework 1


    And
    now the integral we are left with is a famous form the the Gaussian integral and is equal
    to 2. Therefore,
    t2

    MX (t) = e 2 .
    Now consider a random variable Y with distribution N (, 2 ). Using the Central Limit
    Theorem, we have the equation,
    Y = + X.
    We now compute the desired moment generating function.
    MY (t) = E[eY t ] = E[e(+X)t ] = E[et eX ] = et E[eX ]
    = et MX (t) = et+ 2
    1

    2 t2

    You might also like