Tag Archives: JCM_math340_HW7_F13

Point of increase

Suppose $$U_1,U_2, …$$ are independent uniform $$(0,1)$$ random variables. Let $$N$$ be the first point of increase. That is to say the first $$n \geq 2$$ such that $$U_n > U_{n-1}$$. Show that for $$u \in (0,1)$$:

1. $\mathbf{P}(U_1 \leq u \ { and } \ N=n)= \frac{u^{n-1}}{(n-1)!}-\frac{u^{n}}{n!} \quad;\quad n \geq 2$
2. $$\mathbf{E}(N)=e$$

Some useful observations:

• $\mathbf{P}(U_1 \leq u \ { and } \ N=n) = \mathbf{P}(U_1 \leq u \ { and } \ N \geq n) -\mathbf{P}(U_1 \leq u \ { and } \ N \geq n+1)$
• The following events are equal
$\{U_1 \leq u \quad{ and } \quad N \geq n\} = \{U_{n-1}\leq U_{n-2} \leq \cdots \leq U_2\leq U_{1} \leq u \}$
• $\mathbf{P}\{U_2 \leq U_1 \leq u \}= \int_0^u \int_0^{u_1} du_2 du_1$

Tail-sum formula for continuous random variable

Let $$X$$ be a positive random variable with c.d.f $$F$$.

1. Show using the representation $$X=F^{-1}(U)$$ where $$U$$ is $$\textrm{unif}(1,0)$$ that $$\mathbf{E}(X)$$ can be interpreted as the area above the graph on  $$y=F(x)$$ but below the line $$y=1$$. Using this deduce that
$\mathbf{E}(X)=\int_0^\infty [1-F(x)] dx = \int_0^\infty \mathbf{P}(X> x) dx \ .$
2. Deduce that if $$X$$ has possible values $$0,1,2,\dots$$ , then
$\mathbf{E}(X)=\sum_{k=1}^\infty \mathbf{P}(X\geq k)$

Min, Max, and Exponential

Let $$X_1$$ and $$X_2$$ be random variables and let $$M=\mathrm{max}(X_1,X_2)$$ and $$N=\mathrm{min}(X_1,X_2)$$.

1. Argue that the event $$\{ M \leq x\}$$ is the same as the event   $$\{X_1 \leq x, X_2 \leq x\}$$ and similarly that t the event $$\{ N > x\}$$ is the same as the event   $$\{X_1 > x, X_2 > x\}$$.
2. Now assume that the $$X_1$$ and $$X_2$$ are independent and distributed with c.d.f. $$F_1(x)$$ and $$F_2(x)$$ respectively . Find the c.d.f. of $$M$$ and the c.d.f. of $$N$$ using the proceeding observation.
3. Now assume that $$X_1$$ and $$X_2$$ are independently and exponentially  distributed with parameters $$\lambda_1$$ and $$\lambda_2$$ respectively. Show that $$N$$ is distributed exponentially and identify the parameter  in the exponential distribution of $$N$$.
4. The route to a certain remote island contains 4 bridges. If the time to collapse of each bridge is exponential distributed with mean 20 years and is independent of the other bridges, what is the distribution of the time until the road is impassable because one of the  bridges has collapsed.

[Jonathan Mattingly]

Order statistics I

Suppose $$X_1, … , X_n \stackrel{iid}{\sim} U(0,1)$$. How large must $$n$$ be to have that $${\mathbf{P}}(X_{(n)} \geq .95) \geq 1/2$$ ?

Max and Min’s

Let $$X_1,\cdots, X_n$$ be random variables which are i.i.d. $$\text{unifom}(0,1)$$. Let $$X_{(1)},\cdots, X_{(n)}$$ be the associated order statistics.

1. Find the distribution of $$X_{(n/2)}$$ when $$n$$ is even.
2. Find $$\mathbf{E} [ X_{(n)} – X_{(1)} ]$$.
3. Find the distribution of $$R=X_{(n)} – X_{(1)}$$.

Change of Variable: Gaussian

Let $$Z$$  be a standard Normal random variable (ie with distribution $$N(0,1)$$). Find the formula for the density of each of the following random variables.

1. 3Z+5
2. $$|Z|$$
3. $$Z^2$$
4. $$\frac1Z$$
5. $$\frac1{Z^2}$$

[based on Pitman p. 310, #10]

Change of variable: Weibull distribution

A random variable $$T$$ has the $$\text{Weibull}(\lambda,\alpha)$$ if it has probability density function

$f(t)=\lambda \alpha t^{\alpha-1} e^{-\lambda t^\alpha} \qquad (t>0)$

where $$\lambda >0$$ and $$\alpha>0$$.

1. Show that $$T^\alpha$$ has an $$\text{exponential}(\lambda)$$ distribution.
2. Show that if $$U$$ is a $$\text{uniform}(0,1)$$ random variable, then
$T=\Big( – \frac{\log(U)}{\lambda}\Big)^{\frac1\alpha}$
has a $$\text{Weibull}(\lambda,\alpha)$$  distribution.

Change of Variable: Uniform

Find the density of :

1. $$U^2$$ if $$U$$ is uniform(0,1).
2. $$U^2$$ if $$U$$ is uniform(-1,1).
3. $$U^2$$ if $$U$$ is uniform(-2,1).