Homework # 6

11.4. By assumption
1 1
fX (x) =
1 + (x )2
We first consider the case a > 0. When y > 0

FY (y) = P {a/X y} = P {X 0} + P {X a/y} = FX (0) + 1 FX (a/y)

When y < 0,
a
FY (y) = P {a/X y} = {a/y X < 0} = FX (0) FX
y

In any case,

a a a 1 y2 1 1
fY (y) = f X = =
y 2 y 2 2 2
y y + (a y ) 2 2 /2
1 + (y )

where r
a a

= and =
1 + 2 1 + 2

So Y has Cauchy distribution with parameters

and .
Assume now a < 0 and write Y = (a)/(X). Notice that X has Cauchy distribu-
tion and 1. Apply what we obtained in the previous case, Y has Cauchy distribution
with parameters r
(a)() = a

= and
1 + 2 1 + 2
In summary, in any case Y has Cauchy distribution with parameters
r
a |a|

= and =
1 + 2 1 + 2

11.13. Under the extra assumption that F (x) is strictly increasing, the inverse F 1 (x)
of F (x) exists. Then for each 0 < y < 1,


FY (y) = P {F (X) y} = P {X F 1 (y)} = F F 1 (y) = y

So Y is uniformly distributed on (0, 1).

Without the extra assumption we define, for each 0 < y < 1, that

F 1 (y) = inf{x; F (x) y}

1
 The key observation is that



{x; F (x) < y} = , F 1 (y) and F F 1 (y) = y ()

(Note: F 1 (y) here is a new notation we
introduced, does not have to be the inverse
function because the equality F 1 F (x) = x does not have to be true in general).
The first equality follows directly from the definition of F 1 (y). As for the second
equality, notice that for any x > F 1 (y), F (x ) y. Let x F 1 (y)+ . By the right
continuity of the distribution function we obtain that


F F 1 (y) y

On the other hand, F (x ) < y for any x < F 1 (y). By continuity assumption on F ,
letting x F 1 (y) leads to

F F 1 (y) y
Finally, for any 0 < y < 1,


FY (y ) = P {F (X) < y} = P {X < F 1 (y)} = P {X F 1 (y)} = F F 1 (y) = y

where the second equality follows from the first equation in (*), the first equality follows
from the continuity assumption of F , and the last equality follows from the second equation
in (*).
By monotonicity of FY , we have FY (y) = FY (y ) = y for all 0 < y < 1. So Y is
uniformly distributed on (0, 1).
Remark. Can you prove it without continuity assumption on F ? (Of course, as a
distribution function, F is always right continuous)

11.14. Notice that FU (u) = u for any 0 u 1.

FX (x) = P {F 1 (U ) x} = P {U F (x)} = FU F (x) = F (x)

12.1.
Z Z 2 +y 2
Z 2 Z Z
r2 r2
x
e 2 2 dxdy = d
e 2 2 rdr = 2 e 22 rdr = 2 2
0 0 0

12.3. Z
fX (x) = f (x, y)dy

Write
(x 1 )2 2r(x 1 )(y 2 ) (y 2 )2
+
12 1 2 22
y
2 r(x 1 ) 2 (x 1 )2
= + (1 2 )
2 1 12

2
Then
(x 1 )2
 
1
fX (x) = exp
21 2 1 r 2 12
Z  
1 y
2 r(x 1 ) 2
exp dy
2(1 r 2 ) 2 1
(x 1 )2 z2
 Z  
1
= exp exp dz
21 1 r 2 12 2(1 r 2 )
(x 1 )2
 
1
= exp
21 12
Therefore,
f (x, y)
fX=x (y) =
fX (x)
 
1 1 y
2 r(x 1 ) 2
=p exp
2(1 r 2 )2 2(1 r 2 ) 2 1
  2 
1 1 
2 r(x 1 ) 
=p exp y +
2(1 r 2 )2 2(1 r 2 )22 2 1

This result says, conditioning on X = x, Y has the normal distribution with expectation
2 r(x 1 )
x = +
2 1

and the variance (1 r 2 )22 .

12.11. First notice that Z 0 and /2 < W < /2. Let z > 0 and /2 < w < /2.
np Y o
FZ,W (z, w) = P X 2 + Y 2 z, arctan w
X
2 2o
1 x +y
ZZ n
= 2
exp dxdy
2 D 2 2
where n p y o
D = (x, y); x2 + y 2 z and arctan w
x
We now do the polar substitution

x = r cos and y = r sin

Or, p y
r= x2 + y 2 and = arctan
x
The Jacobian determinant
{x, y}
=r
{r, }

3
Thus Z w Z z
2 n r2 o
FZ,W (z, w) = exp rdr
2 2 /2 0 2 2
1   z r2 o
Z n
= w + exp rdr
2 2 0 2 2
So we have
2F
fZ,W (z, w) = = fZ (z)fW (w)
zw
where
1

w
fW (w) = 2 2

0 else
2 o
z exp z
n
z0
fZ (z) = 2 2 2

0 z<0