Stat 309

1/2

Quoc Tran

HW 6 Solutions
7. Find the joint and marginal densities corresponding to the cdf:
F x , y =1e x 1e y ,
x0,
y0, 0, 0
Ans:
Joint density (joint pdf, jpdf):
d2
d2
d
f X ,Y x , y=
F X , Y x , y=
1e x 1e y = 1e x e y = e x e y
dxdy
dxdy
dx
Marginal densities:

Marginal density of X:

f X x = f

Marginal density of Y:

f Y y= f X ,Y x , y dx= e

x
e y dy= e x e y dy= e x
X ,Y x , y dy= e
0

dx= e

e x dx= e y
0

14. Suppose that f x , y =x ex y1 , 0x , 0 y

a. Find the marginal densities of X and Y. Are X and Y independent?
b. Find the conditional densities of X and Y.
Ans:
a. Marginal densities:
Marginal density of X:

f X x = f x , y dy= x e
0

Marginal density of Y:

x y1

dy= x e

xy x

e dy =e

x exy dy=ex
0

f Y y= f x , y dx= x e x y1 dx
1 x y1
e
dx and
y1
1 x y1
1
1 x y1
e
dx=0
[
e
]
y1
y1 y1
x=0

Integration by parts: Let u=x , dv=e x y1 dx then du=dx , v=

f Y y= udv=[uv] 0 udv =[ x
So

1
f Y y=
y12

1 x y1
e
]
y1
x=0
0

1
f X , Y x , y , X and Y are not independent.
y12
b. Conditional densities:
f
x , y x e x y1
f X Y xy = X ,Y
=
= y12 x ex y1
f Y y
1
Conditional density of X given Y:
y12
f X ,Y x , y x e x y1
=
=xe xy
Conditional density of Y given X: f YX yx =
x
f X x
e
Since

f X x f Y y=ex

Stat 309

2/2

Quoc Tran

19. T 1, T 2 have independent exponential distributions with parameters and respectively.

Find: a. P T 1T 2
b. P T 12T2
Ans:
t
t
Densities of T 1, T 2 : f T t 1 = e
, f T t 2=e
. Since they are independent, we have
t t
joint density: f T ,T t 1 , t 2= f T t 1 f T t 2 = e e
a. P T 1T 2 is calculated by taking the integration of joint density in the region T 1T 2
1

P T 1T 2= f T

t1

,T 2

t 1 , t 2= f T

T 1T 2

t1

t 1 , t 2 dt 2 dt 1= e t et dt 2 dt 1
1

,T 2

0 0

0 0

t1

So P T 1T 2= e t et dt 2 dt 1= e t [e t ]tt =0 dt 1 = e t e t 1 dt 1
1

P
T
T
=

e
dt
=[
e
] 1=1
=

Then
1
2
1

t =0
0
P
T
2T

b.
is calculated by taking the integration of joint density in the region
1
2
T 12T2
t1t 1

t 1

P T 12T 2 =

t 1/ 2

fT

,T 2

t 1 , t 2= f T

T 12 T 2

So P T 12T 2 = e t
0

Then

,T 2

et dt 2 dt 1= et [e t ]tt /=02 dt1= e t e t / 21 dt1

2

P T 12T 2 = e t t / 2 e t dt 1=[
1

t 1 , t 2 dt 2 dt 1= e t et dt 2 dt 1
1

t1 / 2

t1 /2

/2

e /2 t ] 1=1
=
=
/2
/2 /2 2
t =0
1

20. X 1 is uniform on [0,1], and conditional on

marginal distribution of X 1 , X 2

X1 ,

X 2 is uniform on [0, X 1 ] , find joint and

Ans:
By definition of uniform distribution we have:
Marginal density of X 1 , f X x 1=1 when 0x 11 and is 0 otherwise.
1
Conditional density of X 2 given X 1 : f X X x 2x1 =
when 0x 2 x1 and is 0 otherwise.
x1
1
So joint density (jpdf) of X 1 , X 2 : f X , X x 1 , x 2= f X x 1 f X X x 2x1 =
when
x1
0x 2 x1 1 and is 0 otherwise.
1
1
1
1
Hence marginal density of X 2 : f X x 2 = f X , X x 1 , x 2 dx 1= dx 1=[ln x 1]x =ln x 2
x
0
x
1
0x
1
when
and is 0 otherwise.
2
1