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Problem Set 1

This document contains 8 practice problems for a math, statistics, and econometrics class. The problems cover a range of statistical concepts including: verifying a cumulative distribution function (CDF); finding the probability and number of rolls needed for an event to occur; finding the distributions of maximum and minimum values of independent random variables; obtaining a joint probability distribution and best linear predictor from a joint density function; computing a conditional expectation; evaluating moment generating functions and expectations of a lognormal random variable; finding CDFs and densities of transformations of a uniform random variable; and showing that any random variable can be represented as a transformation of a uniform random variable.

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44 views

Problem Set 1

This document contains 8 practice problems for a math, statistics, and econometrics class. The problems cover a range of statistical concepts including: verifying a cumulative distribution function (CDF); finding the probability and number of rolls needed for an event to occur; finding the distributions of maximum and minimum values of independent random variables; obtaining a joint probability distribution and best linear predictor from a joint density function; computing a conditional expectation; evaluating moment generating functions and expectations of a lognormal random variable; finding CDFs and densities of transformations of a uniform random variable; and showing that any random variable can be represented as a transformation of a uniform random variable.

Uploaded by

damnedchild
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Intro. Math.

Statistics & Econometrics

1-1

Nese Yildiz

Problem Set 1
Due September 22

1. (Casella and Berger, Ch. 1, Ex. 53) FY (y) = P (Y y) = 1 y 2 for 1 y < .


Verify that FY (y) is a cdf. Find fY (y), the pdf of Y .
2. (Amemiya, Ch. 2, Ex. 10) A die is rolled successively until the ace turns up. How
many rolls are necessary before the probability is at least 0.5 that the ace will turn
up at least once?
3. Suppose X and Y are independent random variables with the same distribution
function, F ().
(i) Find the distribution functions of the random variables: Z1 = max{X, Y };
Z2 = min{X, Y }.
(ii) Suppose in addition that X and Y are continuously distributed with common
density function f (). Find the density functions of Z1 and Z2 .
4. Let X and Y be two random variables with joint probability density given by
f (x, y) = 1{(x, y) (0, 1)(0, 1)}. Denote Z1 := max{X, Y } and Z2 := min{X, Y }.
(a) Obtain the joint (cumulative) probability distribution function of (Z1 , Z2 ).
(b) Obtain the best linear predictor of Z1 given X.
(c) Obtain the best predictor of Z1 given X.
5. Suppose (X, Y ) Uniform(0, 1)2 . Compute E[max{X, Y }| min{X, Y }].
6. Let X be a random variable with density functions of the form:
1
f (x) = exp ([log x]2 /2)1{x > 0}.
x 2
(a) Let MX (t) denote its moment generating function. For what values of t is the
moment generating function defined?
(b) For what n values does E(X n ) exist? Evaluate E(X n ) for such n values.
7. Let ((0, 1], F, P ) be a probability space, where F = (I) with I denoting the
class of subintervals of (0, 1] and P ((a, b]) = b a if 0 < a b 1. Find the
cumulative distribution functions and (discrete or continuous) probability density

Intro. Math. Statistics & Econometrics

1-2

Nese Yildiz


P

i
functions for X() := log 1
, Y () :=
i=0 1{ > p (1 p)}, p (0, 1), and
Z() := sgn( 0.5) ln (2 min{, 1 }). Do the expectations of these random
variables exist? If so compute them.
8. Show that for every random variable X with continuous distribution function F
F (X) is distributed uniformly (i.e. density equal to 1 on [0, 1], 0 for all other
arguments). Furthermore, Suppose that U is a uniform random variable on [0, 1]
and F is a cdf (not necessarily the cdf of U , and F , not necessarily continuous).
Show that there is a transformation f of U such that F is the cdf of f (U ).

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