MTH2222 – Mathematics of Uncertainty 1 MTH2222 – Sem 2, 2016 Assignment 3 Due Date: 5.00 pm on Monday 10 October 2016 Assignments are to be put in the MTH2222 box on the ground floor of Building 28. 1. Let X have the Pareto distribution with shape parameter 1, fX(x) = x −2, x > 1. Find the PDF and CDF of Y = ln(X − 1). 2. Let X be a random variable with PDF f(x) = c|x|α−1e−λ|x|, where α > 0 and λ > 0. (a) Find c. (b) Identify the conditional distribution of X given X > 0. (c) Compute the nth moment of X. (d) Obtain the MGF of X. 3. (a) Let X be a random variable with PDF f(x) = 1− |x|, |x| ≤ 1. Obtain the MGF of X. (b) Find the PDF of a random variable Y with MGF MY (t) = ( et − 1 t )2 , for t #= 0, and MY (0) = 1. Assignment due May 26 by 5 pm (via Moodle) 20 pts 5pts 10 pts 1 Deadli e: Tuesday 24 MaylTE⑨B☆BB÷sBBBH@EB MTH2222 – Mathematics of Uncertainty 2 4. Let the pair (X, Y ) have joint PDF fX,Y (x, y) = c, x 2 + y2 ≤ 1. (a) Find c and the marginal PDFs of X and Y . (b) What are the means ofX and Y ? No calculations are needed, only a brief explanation is required. (c) Find the conditional PDF of Y given X = x and deduce E[Y |X = x]. (d) Obtain E[XY ] and compare it to E[X]E[Y ]. (e) Are X and Y independent? Explain. (f) Obtain var(Y ) without resorting to integration. Hint: Use the fact that var(X) = var(Y ) and (c). 5. Let U and R be independent continuous random variables taking values in [0, 1]. We assume that R is uniform and that U has PDF f , CDF F and mean µ. Define the random variable V sa follows V = { R + (1−R)U if R ≤ 1/2 RU if R > 1/2 (a) Obtain the mean of V in terms of µ. (b) Obtain an integral expression of the CDF G of V in terms of F . (c) Deduce an integral expression of the PDF g of V in terms of f . Hint: You may assume that in this case d dt ∫ b a φ(t, r)dr = ∫ b a ∂ ∂t φ(t, r)dr. (d) Suppose that f(u) = 6u(1− u), 0 < u < 1. Compute the mean of V . Optional. Obtain g. 30 pts 20 pts
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