Solutions to Week 2 Exercises

1.a.

Z c
M (t) = exp(tx)c−1 dx
0

= (ct)−1 exp(tx)|c0

(ct)−1 (exp(ct) − 1),

 t 6= 0,
=

1,
 t = 0.

1.b.

Z c
M (t) = exp(tx)2x/c2 dx
0

2/(c2 )(c exp(ct)/t − (exp(ct) − 1)/t2 ),

 t 6= 0,
=

1,
 t = 0.

1.c.

Z α Z ∞
M (t) = exp(tx)/(2β) exp((x − α)/β)dx + exp(tx)/(2β) exp(−(x − α)/β)dx
−∞ α
exp(−α/β) 1 exp(α/β) 1
= exp(x(1/β + t))|α
−∞ − exp(−x(1/β − t))|∞
α
2β 1/β + t 2β 1/β − t
4 exp(αt)
= , −2/β < t < 2/β.
4 − β 2 t2

2. Let s and t be in the support of X. Then

P (X > s + t, X > t)
P (X > s + t|X > t) =
P (X > t)
P (X > s + t)
=
P (X > t)
1 − F (s + t)
= .
1 − F (t)

Letting F (x) = 1 − exp(−λx), which is the cdf for the exponential distribution with rate parameter λ > 0,

1
we have

exp(−λ(s + t))
P (X > s + t|X > t) =
exp(−λt)

= exp(−λs)

= P (X > s).

For the geometric distribution, note that P (X > n) denotes the probability of no successes in n trials, and

hence P (X > n) = 1 − F (n) = (1 − p)n . Thus,

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

= (1 − p)s

= P (X > s).

3.a. Let T be a continuous random variable with pdf and cdf fT (t) and FT (t), respectively. Then

P (t ≤ T ≤ t + δ, T ≥ t)
P (t ≤ T ≤ t + δ|T ≥ t) =
P (T ≥ t)
P (t ≤ T ≤ t + δ)
=
P (T ≥ t)
FT (t + δ) − FT (t)
= .
1 − FT (t)

We also have

FT (t + δ) − FT (t) ∂
lim = FT (t)
δ→0 δ ∂t
= fT (t).

2
Therefore,

P (t ≤ T ≤ t + δ|T ≥ t)
hT (t) = lim
δ→0 δ
FT (t + δ) − FT (t) 1
= lim
δ→0 δ 1 − FT (t)
fT (t)
= .
1 − FT (t)

3.b. Let T ∼ Exp(β). Then fT (t) = β exp(−βt), and FT (t) = 1 − exp(−βt). Then

β exp(−βt)
hT (t) =
exp(−βt)

= β.

3.c. Let T ∼ Logistic(µ, β) so that FT (t) = (1 + exp(−(t − µ)/β))−1 . Then

1
fT (t) = [FT (t)]2 exp(−(t − µ)/β) ·
β
1
= FT (t)(1 − FT (t)) · .
β

Then

fT (t)
hT (t) =
1 − FT (t)
1
= FT (t) · .
β