Scribd
Upload
4 views

W6-PS

The document outlines an exercise set focused on moment generating functions (mgfs) and properties of random variables, consisting of five questions. Each question involves deriving mgfs, calculating means and variances, and working with probability distributions and density functions. Students are required to submit their answers as a PDF to Moodle by the week of November 6, 2023.

Uploaded by

Lucy Z
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
4 views

W6-PS

The document outlines an exercise set focused on moment generating functions (mgfs) and properties of random variables, consisting of five questions. Each question involves deriving mgfs, calculating means and variances, and working with probability distributions and density functions. Students are required to submit their answers as a PDF to Moodle by the week of November 6, 2023.

Uploaded by

Lucy Z
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
You are on page 1/ 2

ST102/ST109 Exercise 6

In this exercise you will practise moment generating functions (mgfs) and properties of random
variables. Question 1 involves the derivation of a moment generating function and then using
it to find the mean and variance of a distribution. Question 2 requires the mean and variance
of one random variable to be expressed in terms of another. Question 3 requires the derivation
of a probability distribution from an mgf. Question 4 relates to a continuous random variable.
Finally, Question 5 concerns a continuous random variable whose probability density function
(pdf) takes different functional forms depending on the values of x.

Your answers to this problem set should be submitted as a pdf file upload to Moodle. It will be
covered by your class teacher in your sixth class, which will take place in the week commencing
Monday 6 November 2023.

1. The random variable X has a discrete distribution such that we have P (X = 1) = π,


P (X = 0) = 1 − π, and P (X = x) = 0 for all other real x.

(a) Derive the moment generating function, MX (t), of X.


(b) Use MX (t) to calculate the expected value and variance of the distribution.

2.* Let X be a random variable with mean µ and variance σ 2 , and let MX (t) denote the
mgf of X for −∞ < t < ∞. Let c be a given positive constant, and let Y be a random
variable for which the mgf is:
MY (t) = ec(MX (t)−1)
for −∞ < t < ∞. Find expressions for the mean and the variance of Y in terms of the
mean and the variance of X.

3. Suppose that X is a discrete random variable for which the mgf is:
2 t 4 4 1
MX (t) = e + e2t + e4t + e8t
11 11 11 11
for −∞ < t < ∞. Write down the probability distribution of X.

4. A random variable, X, has the following probability density function:


(
αx + βx2 for 0 ≤ x ≤ 1
f (x) =
0 otherwise

where α and β are constants. You are also given that E(X) = 25/36.

(a) Determine the values of α and β.


(b) Does Var(1/X) exist? Explain your answer.
(c) Calculate P ((2X − 1)2 < 1/4 | X < 1/2).

1
5.* A random variable, X, has the following pdf:

2x/3
 for 0 ≤ x < 1
f (x) = (3 − x)/3 for 1 ≤ x ≤ 3

0 otherwise.

(a) Sketch the graph of f (x).


(b) Derive the cumulative distribution function, F (x), of X.
(c) Find the mean and the standard deviation of X.

You might also like