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Lecture14 PDF

This document contains a lecture summary from a Probability and Statistics class (MATH F113) taught by Chandra Shekhar. The lecture covered expectation, uniform distributions, exercises involving moment generating functions and the gamma function. The exercises calculate probabilities, means, and variances for various random variables.

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Apoorav Dhingra
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69 views

Lecture14 PDF

This document contains a lecture summary from a Probability and Statistics class (MATH F113) taught by Chandra Shekhar. The lecture covered expectation, uniform distributions, exercises involving moment generating functions and the gamma function. The exercises calculate probabilities, means, and variances for various random variables.

Uploaded by

Apoorav Dhingra
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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MATH F113

(Probability and Statistics)


Chandra Shekhar
Associate Professor

Department of Mathematics
BITS Pilani, Pilani Campus, Rajasthan 333 031
Email: [email protected]
Mobile: 9414492349
Chandra Shekhar MATH F113 (Probability and Statistics)
What have you covered?

In Lecture 13
Expectation
Mean, Variance and Moment Gener-
ating Function
Uniform Distribution

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise

Exercise 17/4.2/pp. 141


Let X denote the length in minutes
of a long distance telephone conver-
sation. The density for X is given
by
1 x
f (x) = e− 10 ; x > 0
10
(a) Find the moment generating func-
tion mx(t).

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

Z∞
 tx 1 −x
mx(t) = E e = etx e 10 dx
10
0

Z∞
1 −( 1 −t)x 1
= e 10 dx = (1 − 10t)−1 , t<
10 10
0

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

(b) Use mx(t) to find the average length


of such a call 
d
E(X) = (mx(t)) = 10 minutes
dx t=0
(c) Find the variance and standard
deviation of X.
2

d
E(X 2) = (mx(t)) = 200
dx2 t=0
Hence,
σ 2 = 200 − 102 = 100, σ = 10 minutes
Chandra Shekhar MATH F113 (Probability and Statistics)
Continuous Uniform Distribution

Exercise Let X be a uniformlydis-


tributed over (0, 1). Calculate E X 3
Solution Let Y = X 3 we calculate
the distribution Y as follows. For
0≤a≤1  3 
FY (a) = P [Y ≤ a] = P X ≤ a
h 1
i 1
= P X ≤ a3 = a3

Since X is a uniformly distributed


over (0, 1)
Chandra Shekhar MATH F113 (Probability and Statistics)
Continuous Uniform Distribution (Cont...)

Now, differentiating FY (a) , we shall


get density of Y .
1 2
fy (a) = a− 3 0≤a≤1
3
Hence
Z∞
1 2 1
a a− 3 da =
 3
E X = E [Y ] =
3 4
−∞

Chandra Shekhar MATH F113 (Probability and Statistics)


Continuous Uniform Distribution (Cont...)

Exercise: For the uniform random


variable X on the interval (1, 2) find
the probability that 0 < X < 3/2 given
that 5/4 < X < 9/4.
Solution:
P [0 < X < 3/2|5/4 < X < 9/4]
P [x ∈ (0, 3/2) ∩ (5/4, 9/4)]
=
P [x ∈ (5/4, 9/4)]
Chandra Shekhar MATH F113 (Probability and Statistics)
Continuous Uniform Distribution (Cont...)

P [5/4 < X < 3/2]


=
P [5/4 < X < 9/4]
P [5/4 < X < 3/2]
=
P [5/4 < X < 2]
(1/4)
= = 1/3
(3/4)

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise

Exercise 22 A random variable X


with density
1 a
f (x) = ;
π a2 + (x − b)2
−∞ < x < ∞ −∞<b<∞ a>0

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

A random variable X with density


is said to have a Cauchy distribu-
tion with parameters a and b. This
distribution is Interestingly in that
it provides an example of a contin-
uous random variable whose mean
does not exist. Let a = 1, b = 0 to
obtain a special Case of the Cauchy
distribution with density
Chandra Shekhar MATH F113 (Probability and Statistics)
Exercise (Cont...)

1 1
f (x) = −∞<x<∞
π 1 + x2
R∞
Show that |x|f (x)dx does not exist
−∞
Solution
Z∞ Z∞
1 1
|x|f (x)dx = |x| dx
π 1 + x2
−∞ −∞

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

Z∞ Z0 Z∞
1 −x 1 x
|x|f (x)dx = dx+ dx
π 1 + x2 π 1 + x2
−∞ −∞ 0

Multiply and divide by 2, we get


1 1
=− ln |1 + x2|}0−∞ + ln |1 + x2|}∞
0
2π 2π
which does not exist, as ln(∞) → ∞
Chandra Shekhar MATH F113 (Probability and Statistics)
Exercise (Cont...)

Exercise 24 Assume that the in-


crease in demand for electric power
in millions of kilowatt hours over the
next 2 years in particular area is a
random variable whose density is given
by
(
1 3
64 x 0<x<4
f (x) =
0 elsewhere

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

(a) Verify that this is a valid density


(b) Find the expression for the cu-
mulative distribution function F for
X, and use it to find the probability
that the demand will be at most 2
million kilowatt hours

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

(c) If the area only has the capacity


to generate an additional 3 million
kilowatt hours, what is the probabil-
ity that demand will exceed supply
?
(d) Find the average increase in de-
mand

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

Solution
(a)(i)
f (x) ≥ 0 for all x>0
(a)(ii)
Z4
f (x)dx = 1
0

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

(b)
Zx
1 3 x4
F (x) = x dx = 0<x<4
64 256
0
16
Therefore, P [x ≤ 2] = F (2) = 256

Chandra Shekhar MATH F113 (Probability and Statistics)


Exercise (Cont...)

(c)
P [X ≥ 3] = 1 − P [X ≤ 3]
1 − F (3) = 0.6836
(d)
Z4
1 4
E [X] = x dx = 3.2
64
0

Chandra Shekhar MATH F113 (Probability and Statistics)


Gamma Function

Gamma function
Z∞
Γ(α) = z α−1e−z dz α>0
0

Theorem: Properties of Gamma


function
Γ(1) = 1
Γ(α) = (α − 1) Γ(α − 1) for all α > 1

Chandra Shekhar MATH F113 (Probability and Statistics)


Gamma Function (Cont...)

By definition of Gamma function, we


have
Z∞
Γ(1) = z 1−1e−z dz = 1
0

By integration by parts, we have


Z∞
Γ(α) = z α−1e−z dz α > 0
0

Chandra Shekhar MATH F113 (Probability and Statistics)


Gamma Function (Cont...)

Z∞
= −e−z z α−1|α0 + (α − 1) z (α−1)−1e−z dz
0

= (α − 1)Γ(α − 1)
Hint: by repeated use of L hospital
rule, we shall have
−z α−1 −(α − 1)z α−2
lim = lim
z→∞ ez z→∞ ez
Chandra Shekhar MATH F113 (Probability and Statistics)
Gamma Function (Cont...)

1
= −(α − 1)! lim →0
z→∞ ez
Further Γα = (α − 1)!
Γα = (α − 1)Γ(α − 1)
Γα = (α − 1).(α − 2)...3.2.1.Γ1
Thus, Gamma function is a general-
ization of the Factorial notation
Z∞
1 −1/2 −z
√
Γ( ) = z e dz = π
2
0
Chandra Shekhar MATH F113 (Probability and Statistics)

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