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Chapter 2nd Exercises Part2

This document contains 22 exercises related to key probability distributions: 1. The normal distribution, gamma function, chi-square distribution, t-distribution, and F-distribution are introduced. Properties including expected values, variances, and moment generating functions are explored. 2. Examples of computing gamma functions, expressing integrals in terms of the gamma function, and finding expected values of ratios of chi-square random variables are provided. 3. Additional exercises involve using distribution tables to find probabilities, such as the probability that a chi-square random variable is between two values or that the absolute value of a t-distributed variable is less than a given amount.

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Kamil Ibra
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43 views

Chapter 2nd Exercises Part2

This document contains 22 exercises related to key probability distributions: 1. The normal distribution, gamma function, chi-square distribution, t-distribution, and F-distribution are introduced. Properties including expected values, variances, and moment generating functions are explored. 2. Examples of computing gamma functions, expressing integrals in terms of the gamma function, and finding expected values of ratios of chi-square random variables are provided. 3. Additional exercises involve using distribution tables to find probabilities, such as the probability that a chi-square random variable is between two values or that the absolute value of a t-distributed variable is less than a given amount.

Uploaded by

Kamil Ibra
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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TD 2 part 2 - NORMAL DISTRIBUTION

Exercise 9

Exercise 10

Exercise 11 : Gamma Function


The Gamma function is a function satisfying the following equation for x>0 :

Given the above definition, prove that the Gamma function satisfies the following recursions:

1-
2- When the argument of the Gamma function is a natural number n then its value is
equal to the factorial of (n-1) :

3-

4-
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M. EL AZIZ – TD 2 – Normal distribution
Exercise 12

Compute the following calcul of gamma function: ,

Exercise 13

Express the following integral in terms of the Gamma function:


Exercise 14 : Chi square distribution
The continuous random variable X has a chi-squared distribution, with v degrees of freedom,
if its density function is given by

Proof that :
1- the expected value of a Chi-square random variable X is E(X) = v
2- The variance of a Chi-square random variable X is Var(X) = 2v
3- The moment generating function of a Chi-square random variable X is defined for any
t<1/2 : Mx(t) = (1-2t)^(-v/2)
4- Explain the proof of theorem 5.2 of main lesson (page 23)

Exercise 15
Suppose the random variable X has a Chi-square distribution with 5 degrees of freedom.
Define the random variable Y as follows: Y=exp(1-X)
Compute the expected value of Y

Exercise 16 : t - distribution
Proof thatThe expected value of a standard Student's t random variable X is well-defined only
for n>1 and it is equal to: E(X)=0 ( remark : the density function is symmetric around 0)

Exercise 19 : F distribution
Let X1 be a chi square random variable with parameters n1=3. Let X2 be another chi square
random variable, independent of X1 , with parameters n2=5.
Find the expected value of the ratio: X1/X2

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M. EL AZIZ – TD 2 – Normal distribution
Exercise 20 – using chi square table
Let X be a chi-square random variable with 3 degrees of freedom. Compute the following
probability: P(0.35≤X≤7.81)
Exercise 21 – using t-distribution table
Let T follow a t-distribution with v = 8 df. What is the probability that the absolute value
of T is less than 2.306?
Exercise 22 – using F-distribution table
Let X be an F random variable with 4 numerator degrees of freedom and 5 denominator
degrees of freedom. What is the F value such that the probability to the left of α=0.95 ?

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M. EL AZIZ – TD 2 – Normal distribution

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