MATH 368, Summer 2025

Dr. A. Alpers
Tutorial in Week 2

Exercise 5. Let X1 , . . . , Xn be exponentially distributed random variables (i.e., their pdfs are
fXi (t) = λe−λt ) with λ = 0.2. Using matlabs exprnd command draw nTrials = 104 samples of
each Xi and plot a histogram of

(a) X1 and
√
(b) n · n1 ni=1 Xi − µ for n = 1, 5, and 30.
P

How do your plots compare with the results predicted by the central limit theorem?
Solution. Note that 1/λ is required as input to exprnd, hence exprnd(1//lambda,1,nTrials
generates the required number of samples from the distribution. It is known (or can be looked up)
that mean and variance of the exponential distribution are µ = 1/λ and σ 2 = 1/λ2 , respectively.
Results are shown in Fig. 1.
Here is the matlab code.
1 clear all ;
2 n =5; lambda =0.2;
3 nTrials =10^4;
4 a = -15; b =15;
5
6 sigma2 =1/ lambda .^2; mu =1/ lambda ;
7
8 u = zeros (1 , nTrials ) ;
9 for i =1: n
10 u = u + exprnd ( mu ,1 , nTrials ) ;
11 end ;
12 u = sqrt ( n ) *( u - n * mu ) / n ;
13
14 [f , x ] = hist (u ,150) ;
15 dx = diff ( x (1:2) ) ;
16 bar (x , f / ( sum ( f ) * dx ) ) ; hold on ; xlim ([ a b ]) ; yLimits = get ( gca , ’ YLim ’) ;
17
18 if ( n ==0)
19 plot ([0:0.1: b ] , exp ( -([0:0.1: b ]) * lambda ) * lambda , ’r ’ , ’ LineWidth ’ ,2) ; m = mean ( u ) , plot ([ m , m ] ,[0 , yLimits (2) ] , ’k ’) ;
% title ( sprintf ( ’ n =% d ’ , n ) ) ;
20 else
21 m = mean ( u ) ; plot ([ m , m ] ,[0 , yLimits (2) ] , ’k ’) ; m
22 error = mean ( abs ( f / ( sum ( f ) * dx ) -1/ sqrt (2* pi * sigma2 ) * exp ( -0.5*( x ) .^2/ sigma2 ) ) ) ;
23 xx = a :0.1: b ; plot ( xx ,1/ sqrt (2* pi * sigma2 ) * exp ( -0.5*(( xx ) .^2/ sigma2 ) ) , ’r ’ , ’ LineWidth ’ ,2) ; title ( sprintf ( ’n =% d (
mean error = %.5 f ) ’ ,n , error ) ) ;
24 end ;

CLTfigures2.m

Exercise 6. Let X be a standard Cauchy random variable, i.e., X has the pdf
1
fX (x) = , x ∈ R.
π(1 + x2 )

Let Y = |X|. It can be shown that X and Y have no finite mean.

(a) Plot the pdf of X.

1
Pn
(b) Give plots of four realizations of n i=1 Yi . What do you observe?
(Hint: In matlab, nTrials standard Cauchy random variables can be generated by the
command tan(pi*(rand(1,nTrials)-0.5)).)

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 n=1 (mean error = 0.00893)
0.2 0.2

0.18 0.18

0.16 0.16

0.14 0.14

0.12 0.12

0.1 0.1

8 · 10−2 8 · 10−2

6 · 10−2 6 · 10−2
−2
4 · 10 4 · 10−2

2 · 10−2 2 · 10−2

0 0
−14−12−10 −8 −6 −4 −2 0 2 4 6 8 10 12 14 −14−12−10 −8 −6 −4 −2 0 2 4 6 8 10 12 14

n=5 (mean error = 0.00577) ·10−2 n=30 (mean error = 0.00316)

0.1 9

9 · 10−2 8
−2
8 · 10 7
7 · 10−2
6
6 · 10−2
5
5 · 10−2
4
4 · 10−2
3
3 · 10−2
2
2 · 10−2

1 · 10−2 1

0 0
−14−12−10 −8 −6 −4 −2 0 2 4 6 8 10 12 14 −14−12−10 −8 −6 −4 −2 0 2 4 6 8 10 12 14

Figure 1: Illustration of the central limit theorem: Histogram√ of samples from
the exponential
distribution with λ = 0.2 (upper left) and histograms of n · n1 ni=1 Xi − µ for n = 1, 5, 30
P
where the Xi are exponentially distributed with λ = 0.2 (hence, µ = 1/λ). Number of samples
is 104 . For n = 1, 5, 30 the pdf for the normal X ∼ N (0, σ 2 ) with σ 2 = 1/λ2 is shown in red; the
respective means of the histogrammed samples are shown as black lines.

Solution. Fig. 2 shows a plot of the respective Ppdfs.

1 n
Fig. 3 shows a plot of four realizations of n i=1 Yi .
1
P n
Note that, because of the ‘shocks’ the n i=1 Yi do not seem to settle down to a constant value.
This is no contradiction to the law of large numbers, because Cauchy random variables have no
finite mean (and therefore the theorem does not apply).
Here is the matlab code.

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 0.35 0.7

0.3 0.6

0.25 0.5

0.2 0.4

fY
fX

0.15 0.3

0.1 0.2

5 · 10−2 0.1

0 0
−10 −8 −6 −4 −2 0 2 4 6 8 10 0 1 2 3 4 5 6 7 8 9 10
x y

Figure 2: Pdfs of X and Y. Note that the pdf of Y is fY (y) = 2fX (x), x ≥ 0.
30

25

20
(X1 +...+Xn )/n

15

10

0
0 100 200 300 400 500 600 700 800 900 1,000
n

1
Pn
Figure 3: Four realizations of n i=1 Yi .

1 n =20;
2 nTrials =10^3;
3 MAXN =10^3;
4
5 u = abs ( tan ( pi *( rand (1 , nTrials ) -0.5) ) ) ; % Abs of Cauchy distributed random variable ( by inverse CDF )
6 u2 = abs ( tan ( pi *( rand (1 , nTrials ) -0.5) ) ) ;
7 u3 = abs ( tan ( pi *( rand (1 , nTrials ) -0.5) ) ) ;
8 u4 = abs ( tan ( pi *( rand (1 , nTrials ) -0.5) ) ) ;
9
10 for i =1: MAXN
11 m ( i ) = mean ( u (1: i ) ) ;
12 m2 ( i ) = mean ( u2 (1: i ) ) ;
13 m3 ( i ) = mean ( u3 (1: i ) ) ;
14 m4 ( i ) = mean ( u4 (1: i ) ) ;
15 end ;
16
17 figure , plot (1:1: MAXN , m (1:1: end ) , ’b ’ , ’ LineWidth ’ ,2) ; hold on ;
18 plot (1:1: MAXN , m2 (1:1: end ) , ’k ’ , ’ LineWidth ’ ,2) ;
19 plot (1:1: MAXN , m3 (1:1: end ) , ’ color ’ ,[0.5 0.2 0.2] , ’ LineWidth ’ ,2) ;
20 plot (1:1: MAXN , m4 (1:1: end ) , ’ color ’ ,[0.2 0.5 0.2] , ’ LineWidth ’ ,2) ;
21 xlabel ( ’n ’) ; ylabel ( ’( X_1 +...+ X_n ) / n ’) ;

CLTfigures2.m

Exercise 7. Consider the random variable Y := e−X , where X is a random variable uniformly

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distributed on the interval (0, 1). Give precise values of E[Y ] and var(Y ).
Solution. By definition and simple calculus,
Z 1
1
E[Y ] = e−x dx = [−e−x ]10 = 1 − .
0 e
Moreover,
1
3e−2 2 1
Z
1 1
2
var(Y ) = E[Y ] − E[Y ] = 2
e−2x dx − (1 − )2 = [−e−2x /2]10 − (1 − )2 = − + − .
0 e e 2 e 2
Exercise 8. Consider the task of computing

1
e−x
Z
dx.
0 1 + x2

(a) Approximate the integral via matlab’s integrate command.

(b) Approximate the integral via direct Monte Carlo. Give plots of µ̂n and the (theoretical)
RMSE as a function of n.

Solution. Here is the matlab code. Fig. 4 shows a sample path of the µ̂n and the correspond-
ing RMSE.
1 nTrials =6*10^2;
2 u = rand (1 , nTrials ) ;
3 gx = exp ( - u ) ./(1+ u .^2) ;
4 for n =1: nTrials
5 muhat ( n ) = mean ( gx (1: n ) ) ; % Main part : computing the mu_n
6 end ;
7 fun = @ ( x ) exp ( - x ) ./(1+ x .^2) ; % This is only used to compute the integral ( mu and sigma2 )
8 fun2 = @ ( x ) ( exp ( - x ) ./(1+ x .^2) ) .^2; % you can skip this
9 mu = integral ( fun ,0 ,1) % you can skip this
10 sigma2 = integral ( fun2 ,0 ,1) - mu ^2; % you can skip this
11
12 figure , plot (1: nTrials , muhat , ’b ’ , ’ LineWidth ’ ,2) ; xlabel ( ’n ’) ; ylabel ( ’\ mu_n ’) ; % plots mu_n
13 hold on ; plot (1: nTrials , mu * ones (1 , nTrials ) , ’r ’ , ’ LineWidth ’ ,2) ;
14
15 figure , plot (1: nTrials , abs ( muhat - mu ) , ’b ’ , ’ LineWidth ’ ,2) ; xlabel ( ’n ’) ; ylabel ( ’ RMSE of \ mu_n ’) ; hold on ;
16 plot (1: nTrials , sqrt ( sigma2 ) ./ sqrt (1: nTrials ) , ’k ’ , ’ LineWidth ’ ,2) ;

MCintegralexample2.m

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 0.65 0.3

0.6
0.25
0.55
0.2
0.5
RMSE of µn
µn

0.45 0.15

0.4
0.1
0.35
5 · 10−2
0.3

0.25 0
0 50 100 150 200 250 300 350 400 450 500 550 600 0 50 100 150 200 250 300 350 400 450 500 550 600
n n

(a) (b)

Figure 4: Direct Monte Carlo for Exercise 8. (a) Sample path of µ̂n as a function of n (blue) and
√
µ = 0.5248 (red), (b) corresponding (realized) RMSE as a function of n (blue) and plot of σ/ n
(black).

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