MTH 425: Distributions in Statistics

2013-2014-I Semester
Assignment No. 3
1. Let the r.v. X have the d.f. F (x) = 0, if x < 0, = 0.25, if 0 x < 1, = 0.4,
if 1 x < 2, = 0.5, if 2 x < 3, = x 2.5, if 3 x < 3.5, = 1, if x 3.5.
Find discrete and continuous components Fd () and Fc (), respectively, of F (x) =
aFd (x) + (1 a)Fc (x), x (, ). What is the value of a?
2. Let the r.v. X have the p.d.f. fX (x) = 0, if x 0, = 1/2, if 0 < x 1, = 1/(2x2 ),
if x > 1. Find the p.d.f. of the random variable Y = X 1 .
x

3. Let the random variable X have the p.d.f. fX (x) = 1 e , if x 0, = 0, otherwise;

here > 0. Find the p.d.f. of Y = (X )2 .
1

x2

4. Let the r.v. X have the p.d.f. f (x) = (2) 2 e 2 , < x < . Find the
p.d.f.s/p.m.f.s of Y1 = eX , Y2 = 2X 2 + 1 and Y3 = g(X), where g(x) = 1, if x > 0,
= 1/2 if x = 0, = 1, if x < 0.


5. Let the random variable X have the p.m.f. f (x) = nx px (1p)nx , if x = 0, 1, . . . , n,
= 0, otherwise; here n is a positive
integer and p (0, 1). Find the p.m.f.s of r.v.s
2
Y1 = n X, Y2 = X and Y3 = X.
6. Find E(X) (if it exists) in the following cases: (a) X has the p.m.f. f (x) = (x(x +
1))1 , if x = 1, 2, . . ., = 0, otherwise; (b) X has the p.d.f. f (x) = 1/(2x2 ), if |x| > 1,
= 0, otherwise.
7. (a) From a box containing N identical tickets, numbered 1, 2, . . . , N , n ( N ) tickets
are drawn with replacement. Let X = largest number drawn. Find E(X). (b) Find
the expected number of throws of a fair die required to obtain a 6.
8. P
(a) Let P (X = n) = C/n2+r , if n = 1, 2, . . ., = 0, otherwise, where C 1 =

2r
and r 0 is an integer. For what values of j {0, 1, 2, . . .}, E(X j )
n=1 n
exist? (b) Find a distribution for which no moment exist.
9. Find the mean and variance of the Weibull random variable having the p.d.f. f (x) =
c/a((x )/a)c1 exp[( x
)c ], if x > , = 0, otherwise; here c > 0, a > 0 and
a
(, ).
10. Show that Var(X) = 0 iff X is degenerate, i.e., P (X = c) = 1, for c = E(X).
11. Let E(|X|t ) < for some t > 0. Then show that E(|X|s ) < , s (0, t].
1

12. In each of the following cases, compute E(X), Var(X) and E(X n ) (for a positive
x
integer n), whenever they exist. (a) f (x) = 1 e , if x 0, = 0, otherwise; (b)
f (x) = 1 (1 + x2 )1 , < x < .
13. Let an absolutely continuous random variable X have the p.d.f. f (x) that is symmetric about c, i.e., f (x + c) = f (x c), x (, ). If E(X) exists, then show
that E(X) = c.
14. If X is an absolutely continuous random variable with median m, then show that
E(|X m|) E(|X c|), c (, ).
P
P
15. Let X be a positive r.v.. Show that
P
(X

n)

E(X)

1+
n=1
n=1 P (X n).
P
Hence show that E(X) < iff n=1 P (X n) < .
16. (a) If E(X) is finite, show that limx xF (x) = limx [x(1 F (x))] = 0, where
F () is the d.f. of X. (b) Let X be a r.v. with limx [x P (|X| > x)] = 0, for some
> 0. Show that E(|X| ) < , (0, ). What about E(|X| )?
17. (a) Let X be a non-negative and absolutely continuous random
R xvariable and let g()
be a real-valued function defined on (0, ). Define (x)R= 0 g(t)dt, x 0, and

suppose that g(x) 0, x 0. Show that E((X)) = 0 g(y)P (X > y)dy. (b)
Under
the assumptions of (a), show that for a positive real number , E(X ) =
R 1
0 x P (X > x)dx. (c) If F (0) = G(0) = 0 and F (t) G(t), t > 0, where F ()
and G() are d.f.s of absolutely continuous and non-negative random variables X
and Y , respectively, show that E(X k ) E(Y k ), k > 0, provided the expectations
exist.
18. (a) Find the moments of the random variable that has the m.g.f. M (t) = (1 t)3 ,
t < 1. (b) Let the r.v. X have the m.g.f. M (t) = e5t /2 + e4t /6 + e5t /8 + 5e25t /24.
Find the d.f. of X and find P (X 2 = 25). (c) If the m.g.f. of a random variable X
is M (t) = (3t)1 (et e2t ), for t 6= 0, = 1, for t = 0, find the p.d.f. of Y = X 2 .
19. Let X be a random variable with m.g.f. M (t), h < t < h. Prove that P (X
a) eat M (t), 0 < t < h and P (X a) eat M (t), h < t < 0.
20. (a) Let X be a random variable such that P (X 0) = 0 and let = E(X) exists.
Show that P (X 2) 0.5. (b) If X is a r.v. such that E(X) = 3 and E(X 2 ) = 13,
then determine a lower bound for P (2 < X < 8).
21. Let the r.v. X have the p.m.f. f (x) = 1/8, if x = 1, 1, = 6/8, if x = 0, = 0,
otherwise. Using this p.m.f., show that the bound for Chebyshevs inequality cannot
be improved (without additional assumptions).