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    Math 361, Problem Set 6

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    BrianHillz-matic
    This document contains a math problem set that is due on October 18, 2010. It includes 6 problems related to probability and statistics concepts. Problem 1 involves calculating expectations of functions of a random variable X. Problem 2 requires approximating the expectation of 1/X where X is uniformly distributed. Problem 3 finds the expectation of X where the probability density function is f(x) = 1/x^3, but shows the expectation of X^2 does not exist. Problem 4 calculates expectations of functions of a random variable X with probability density function f(x) = 3x^2. Problems 5 and 6 prove properties about expectations, including showing that the expectation of X^2 is minimized when the expected value is used.

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    Math 361, Problem Set 6

    Uploaded by

    BrianHillz-matic
    63 views3 pages
    This document contains a math problem set that is due on October 18, 2010. It includes 6 problems related to probability and statistics concepts. Problem 1 involves calculating expectations of functions of a random variable X. Problem 2 requires approximating the expectation of 1/X where X is uniformly distributed. Problem 3 finds the expectation of X where the probability density function is f(x) = 1/x^3, but shows the expectation of X^2 does not exist. Problem 4 calculates expectations of functions of a random variable X with probability density function f(x) = 3x^2. Problems 5 and 6 prove properties about expectations, including showing that the expectation of X^2 is minimized when the expected value is used.

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    assn6-solns (1)

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    This document contains a math problem set that is due on October 18, 2010. It includes 6 problems related to probability and statistics concepts. Problem 1 involves calculating expectations of functions of a random variable X. Problem 2 requires approximating the expectation of 1/X where X is uniformly distributed. Problem 3 finds the expectation of X where the probability density function is f(x) = 1/x^3, but shows the expectation of X^2 does not exist. Problem 4 calculates expectations of functions of a random variable X with probability density function f(x) = 3x^2. Problems 5 and 6 prove properties about expectations, including showing that the expectation of X^2 is minimized when the expected value is used.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    63 views3 pages

    Math 361, Problem Set 6

    Uploaded by

    BrianHillz-matic
    This document contains a math problem set that is due on October 18, 2010. It includes 6 problems related to probability and statistics concepts. Problem 1 involves calculating expectations of functions of a random variable X. Problem 2 requires approximating the expectation of 1/X where X is uniformly distributed. Problem 3 finds the expectation of X where the probability density function is f(x) = 1/x^3, but shows the expectation of X^2 does not exist. Problem 4 calculates expectations of functions of a random variable X with probability density function f(x) = 3x^2. Problems 5 and 6 prove properties about expectations, including showing that the expectation of X^2 is minimized when the expected value is used.

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    of 3

    Math 361, Problem set 6

    Due 10/18/10

    1. (1.8.3) Let X have pdf f (x) = (x + 2)/18 for −2 < x < 4, zero elsewhere.
    Find E[X], E[(X + 2)3 ] and E[6X − 2(X + 2)3 ].
    Answer:
    4 4
    1 x3
    Z
    1
    x2 + 2xdx = + x2 = 2.

    E[X] = (
    18 −2 18 4 −2
    Z 4
    3 1 1 4 432
    E[(X + 2) ] = (x + 2)4 = (x + 2)5 −2 = .
    18 −2 90 5
    864
    E[6X − 2(X + 2)3 ] = 6E[X] − 2E[(X + 2)3 ] = 12 − .
    5
    2. (1.8.5) Let X be a number selected uniformly random from a set of num-
    bers {51, . . . , 100}. Approximate E[1/X]. Hint: Find reasonable upper
    and lower bounds by finding integrals bounding E[1/X].
    Answer:
    Note that
    Z 100 100 Z 101
    1 X 1 1
    dx > > dx.
    50 x n=51
    n 51 x
    Thus
    100 Z 100 Z 101
    1 X 1 1 1 1 1
    E[1/X] = ≈ ( dx+ dx) = (ln(100)+ln(101)−ln(50)−ln(51)).
    50 n=51 n 100 50 x 51 x 100

    Plenty of other reasonable estimates are available, eg.


    Z 100.5
    1 1
    E[1/X] ≈ dx.
    50 50.5 x

    3. Let X have the pdf f (x) = 1/x3 . Find E[X], but show that e[X 2 ] does
    not exist.

    1
    Answer: This problem is badly misstated. To make it make sense, we can
    assume that f (x) = 1/x3 on x > √12 so that the pdf integrates to 1. Then
    Z ∞ √
    1
    E[X] = √ 2
    dx = 2.
    1/ 2 x

    but Z ∞
    2 1
    E[X ] = √ dx = ∞.
    1/ 2 x

    4. (1.8.14) Let X have the pdf f (x) = 3x2 , 0 < x < 1, zero elsewhere.
    (a) Compute E[X 3 ]
    (b) Show that Y = X 3 has a uniform(0,1) distribution.
    (c) Compute E[Y ] and compare this result with the answer obtained in
    Part (a).
    Answer:
    We have Z 1
    1
    E[X 3 ] = 3x5 dx = .
    0 2

    Note that if Y = g(X) where g(x) = x3 . Thus g −1 (y) = y 1/3 , and


    (g −1 )0 (y) = 13 y −2/3 . Thus

    1
    fY (y) = fX (g −1 (y))(g −1 )0 (y) = 3y 2/3 · y −2/3 = 1,
    3
    for 0 < y < 1, zero else. Thus Y has a uniform(0,1) distribution.
    Thus Z 1
    1
    E[Y ] = ydy = .
    0 2
    and (of course) the answer to (a) and (c) are the same.
    5. (1.9.4) If the E[X 2 ] exists, show that

    E[X 2 ] ≥ (E[X])2

    Answer:
    We have that

    0 ≤ E[(X − E[X])2 ] = E[X 2 ] − (E[X])2 .

    Rearranging gives the result. (Note: This is a special case of Jensen’s


    inequality).

    2
    6. (1.9.8) Let X be a random variable such that E[(X − b)] exists for all real
    b. Show that E[(X − b)2 ] is minimized when b = E[X].
    Answer:
    We have that

    E[(X − b)2 ] = E[X 2 − 2bX + b2 ] = E[X 2 ] − 2bE[X] + b2 .

    Differentiating with respect to b, we have


    d
    E[(X − b)2 ] = −2E[X] + 2b.
    db
    d
    This has a critical point at b = E[X]. This point is a minimum as db E[(X −
    b)2 ] is positive if b > E[X] and negative if b < E[X].

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