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k
X
P(X = x, Y = k x).
x=0
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Example 5.1
(x + y ) =
k
X
k
i=0
x i y ki ,
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Example 5.1
Assume that X Poisson() and Y Poisson(), we have
k
k
X
X
P(S = k)=
P(X = i, Y = k i) =
P(X = i)P(Y = k i)
i=0
k
X
i=0
i=0
e i e ki
i! (k i)!
k
e X k!i ki
k!
i!(k i)!
i=0
e ( + )k
=
k!
Hence, X + Y Poisson( + ).
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fX ,Y (x, k x)dx.
fS (k) =
0
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Example 5.2
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Example 5.2
= ke
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7 / 78
Note that if all of the Xi are less than some x, then their
maximum is less than x. Hence,
FU (x) = P(U < x)=P(X1 < x, X2 < x, . . . Xn < x)
=P(X1 < x)n
We can find the density function of the maximum by differentiating
the cumulative distribution function, i.e. fU (x) = FU0 (x).
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Example 5.3
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Example 5.3
We have
FU (x) = P(U < x)=P(X1 < x, X2 < x, . . . Xn < x)
=P(X1 < x)n
Note that
Z x
P(X1 < x)=
e t dt
h0
ix
= e t = 1 e x
0
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Example 5.3
Hence,
n
FU (x)= 1 e x
n1
fU (x) = FU0 (x)=ne x 1 e x
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Example 5.4
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Example 5.4
We have
P(V > x) = 1 FV (x)=P(X1 > x, X2 > x, . . . Xn > x)
=P(X1 > x)n
Note that
Z
P(X1 > x)=
e t dt
hx
i
= e t
= e x
x
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Example 5.4
Hence,
n
1 FV (x)= e x = e nx
FV (x)=1 e nx
fV (x) = FV0 (x)=ne nx
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Example 5.4
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Example 5.4
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Example 5.5
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Example 5.5
We have
Z
MX (t) = E [e tx ]=
e tx e x dx
Z0
=
e x(t) dx
0
h x(t) i
e
.
t
x=0
MX (t) =
, > t.
t
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E [e tX ]=E [1 + tX +
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Example 5.6
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Example 5.6
P(Xi = 1) = p.
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Example 5.6
We have
MXi (t)=E [e tXi ] =
e tx P(Xi = x)
x=0,1
t
=(1 p) + pe
It follows that
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Example 5.6
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Example 5.6
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Example 5.6
Thus
Var (X )=E (X 2 ) E (X )2 = np + n(n 1)p 2 n2 p 2
=np np 2 = np(1 p)
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P(X = x),
xSX :y =g (x)
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Example 5.7
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Example 5.7
1
4
1/6
2
1
1/6
3
0
1/6
4
1
1/6
5
4
1/6
6
9
1/6
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Example 5.7
It follows that
P(Y = 0)=P(X = 3) = 1/6
P(Y = 1)=P(X = 2) + P(X = 4) = 1/6 + 1/6 = 1/3
P(Y = 4)=P(X = 1) + P(X = 5) = 1/6 + 1/6 = 1/3
P(Y = 9)=P(X = 6) = 1/6
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Example 5.8
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Example 5.8
i) First consider the support of Y . Since SX = [0, 1],
0 1 X 1 Y [0, ).
We then calculate the cumulative distribution function of Y . Using
the form of Y as a function of X , we have
FY (y ) = P(Y y ) = P( ln(1 X ) y )
We now rearrange this probability into the form P(X A) and
express this probability using the distribution function of X .
FY (y ) = P( ln(1 X ) y )=P(ln(1 X ) y ) = P(1 X e y )
=P(X 1 e y ) = FX (1 e y ).
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Example 5.8
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Example 5.8
=FZ ( w ) FZ ( w )
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Example 5.8
0
FW
(w ) = fW (w )=FZ0 ( w )[ w ]0 FZ0 ( w )[ w ]0
fZ ( w ) fZ ( w )
fW (w )=
+
2 w
2 w
Using the symmetry of the standard normal distribution around 0,
we have fZ (z) = fZ (z), thus
fZ ( w )
fW (w ) =
.
w
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Example 5.8
exp[w 2 /2]
.
2
fZ ( w )
exp[w /2]
fW (w ) =
=
.
w
2w
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We have
FY (y )=P(Y < y ) = P(F 1 (X ) < y )
=P(F [F 1 (X )] < F (y )) = P(X < F (y ))
Since 0 F (y ) 1, then
FY (y ) = P(X < F (y )) = F (y ).
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Example 5.9
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Example 5.9
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Example 5.9
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U
Y
V
X
V
Y
U
J(U, V ) = det
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fX ,Y (x, y )
.
|J(U, V )|
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Example 5.10
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Example 5.10
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Example 5.10
1 1
1 1
= 2.
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Example 5.10
It follows that
2
fX ,Y (x, y )
1
x + y2
fU,V (u, v ) =
=
exp
().
|J(U, V )|
4
2
The final thing to do is to substitute in x = X (u, v ) and
y = Y (u, v ). We have
U=X + Y
(1)
V =X Y
(2)
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Example 5.10
U +V
U V
Y Y = Y (U, V ) =
2
2
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Example 5.10
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Example 5.10
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Example 5.10
We have
2
2
1
u
1
v
fU,V (u, v ) =
exp
exp
.
4 2
4
2
It can be seen that U and V have the same distribution.
Comparing this with the general formula for the density function of
a normal distribution
(x )2
1
,
f (x) = exp
2 2
2
it follows that = 0 and 2 = 2.
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Example 5.11
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Example 5.11
U
=1
Y
V
=0
Y
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Example 5.11
Hence,
J(U, V ) = det
1 1
1 0
= 1.
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Example 5.11
fX ,Y (x, y )
= 2 e (x+y ) .
|J(U, V )|
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Example 5.11
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Example 5.11
2 e u dv = 2 ue u
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Appendix
1
, x R.
(1 + x 2 )
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1
= tan1 (x)
1
=
= 1.
2
2
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= ln(1 + x 2 )
This integral is undefined as ln(1 + x 2 ) is unbounded as x tends to
or .
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Two Inequalities
1
.
k2
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Rk
xf (x)dx 0 and
Z
Z
ii)
xf (x)dx k
f (x)dx = kP(X > k).
Note that i)
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It follows that
E (X ) kP(X > k) P(X > k)
E (X )
k
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Z
Z
2
=
(x E [X ]) f (x)dx +
2
|xE (x)|k
(x E [X ])2 f (x)dx
|xE (x)|>k
|xE (x)|>k
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It follows that
2 k 2 2 P(|X E (X )| > k)
1
P(|X E (X )| > k)
k2
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Example A.1
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Example A.1
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Example A.1
P(|X E (X )| > k)
We have
P(|X E (X )| 4) = 1 P(|X E (X )| > 4) 1
1
15
= .
16
16
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Example A.1
1
.
16
1
32 .
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Jensens Inequalities
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