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Answerkey 2

This document contains the answer key for expectations and variance questions. It includes calculations of expected values, variances, and higher moments for various probability distributions. Formulas are provided for the expected value and variance of uniform, exponential, and other distributions. Examples demonstrate computing these metrics for specific distributions and transforming or combining random variables.

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Jiayin Lee
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
26 views

Answerkey 2

This document contains the answer key for expectations and variance questions. It includes calculations of expected values, variances, and higher moments for various probability distributions. Formulas are provided for the expected value and variance of uniform, exponential, and other distributions. Examples demonstrate computing these metrics for specific distributions and transforming or combining random variables.

Uploaded by

Jiayin Lee
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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ECON2303

Professor Juwon Seo

Answerkey 2: Expectation and variance

1. (Ans)

(a)
E(X) = 2/3 × 0 + 1/3 × 1 = 1/3.

(b)

V ar(X) = E(X 2 ) − E(X)2

= (2/3 × 02 + 1/3 × 12 ) − (1/3)2 = 2/9

(c)

V ar(2X + 1000) = V ar(2X) = 4V ar(X) = 4 × 2/9.

(d)

E(X + Y ) = E(X) + E(Y ) = 1/3 + 1/3 = 2/3.

E(2X + 3Y ) = E(2X) + E(3Y ) = 2E(X) + 3E(Y ) = 2 × 1/3 + 3 × 1/3.

2. (Ans)

For the expected value, we have


1 2
∞ b b − 21 a2
Z Z
x 1
E(X) = xfX (x)dx = dx = 2 = (a + b),
−∞ a b−a b−a 2

which is just the midpoint of the interval (a, b). To obtain the variance, it is helpful to first
calculate E(X 2 ):
1 3
∞ b
x2 b − 31 a3
Z Z
2 2 1
E(X ) = x fX (x)dx = dx = 3 = (a2 + ab + b2 ).
−∞ a b−a b−a 3

1
Combining our expressions for E(X 2 ) and E(X) yields
 2
1 2 1 1
Var(X) = E(X 2 ) − E(X)2 = a + ab + b2 − (a + b) = (b − a)2 .

3 2 12

3. (Ans)

(a)
Z ∞ Z ∞
E(X) = xf (x)dx = 3x−3 dx = 3/2.
−∞ 1

(b)
Z ∞ Z ∞
2
E(X ) = 2
x f (x)dx = 3x−2 dx = 3.
−∞ 1

Thus
V ar(X) = 3 − (3/2)2 .

4. (Ans)

(a)
Z ∞
E(X) = 2x−2 dx = 2.
1

(b)
Z ∞
2
E(X ) = 2x−1 dx = 2 ln x|∞
1 =∞
1

The variance is infinite because V ar(X) = E(X 2 ) − E(X 2 ) explodes.

5. (Ans)

(a) Find c that defines fX (x) to be a valid pdf.


Z c
1
From xdx = 1, c = 4.
0 8

(b) Find t such that P (X ≤ t) = 14 .


Z t
1 1
From xdx = , t = 2.
0 8 4

2
(c) Find t such that P (t ≤ X) = 12 .
Z 4
1 1 √
From xdx = , t = 2 2.
t 8 2

(d) Calculate E(X).


Z 4
1 2 8
E(X) = x dx = .
0 8 3

(e) Calculate V ar(X) and Std(X) .


Z 4
2 1 3
E(X ) = x dx = 8 thus,
0 8
 2
8 8
V ar(X) = 8 − = .
3 9
r √
8 2 2
Std(X) = = .
9 3

(f) Calculate the third moment of X.


Z 4
1 4 128
E(X 3 ) = x dx = .
0 8 5

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