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1. (a) By definition,
x y
fX (x) =
2e e
dy = 2e
and
Z
fY (y) =
= 2e2x , x > 0,
e
y
y
x y
2e e
dx = 2e
y
= 2ey 1 ey ,
e
x
y > 0.
1. (b) Since fX,Y (x, y) 6= fX (x) fY (y), we immediately conclude that X and Y are not
independent random variables.
1. (c) By definition,
fY |X=x (y) =
fX,Y (x, y)
2exy
=
= exy , 0 < x < y < .
fX (x)
2e2x
1. (d) By definition,
Z
E(Y |X = x) =
y fY |X=x (y) dy =
y exy dy.
1
3
= .
2
2
X=V
The Jacobian of this transformation
x
u
J =
y
u
is
x
v 0 1
=
= 1.
y 1 1
v
Therefore, we conclude
fU,V (u, v) = fX,Y (v, u v) |J| = 2ev(uv) 1 = 2eu
provided that 0 < 2v < u < (or, equivalently, 0 < v < u2 < ). The marginal for
U is given by
Z
Z u/2
u
fU (u) =
fU,V (u, v) dv =
2eu dv = 2eu = ueu , u > 0.
2
0
We recognize this as the density of a (2, 1) random variable. That is, U = X + Y
(2, 1) as required.
2. (a) We find
E(Xn+1 |X1 , . . . , Xn ) = E(Xn Yn+1 |X1 , . . . , Xn )
= Xn E(Yn+1 |X1 , . . . , Xn ) (by taking out what is known)
= Xn E(Yn+1 ) (since Yn+1 is independent of X1 , . . . , Xn )
= Xn 1
= Xn
and so {Xn , n = 1, 2, . . .} is, in fact, a martingale.
2. (b) For n = 1, 2, . . ., we find
E(Xn ) = E(Y1 Y2 Yn ) = E(Y1 ) E(Y2 ) E(Yn ) = 1
using the fact that Y1 , Y2 , . . . are independent.
3. (a) By the law of total probability,
Z
P (X = 0) =
Z
P (X = 0|A = a)fA (a) da =
and
Z
P (X = 1) =
1
1
a2
(1 a) da = a =
2 0 2
Z
P (X = 1|A = a)fA (a) da =
1
a2
1
a da = = .
2 0 2
3. (b) By definition,
fA|X=0 (a) =
(1 a) 1
P (X = 0|A = a)fA (a)
=
= 2(1 a),
P (X = 0)
1/2
0 < a < 1,
and
3U + V
U 3V
X=
and Y =
.
4
4
fA|X=1 (a) =
4.
1
fX
4
!
3u + v u 3v
,
|J|
4
4
!
!
3u + v
u 3v
fY
, < u, v < ,
4
4
using the assumed independence of X and Y . The exact form of fX and fY gives
!2
!2
1
1
1
3u + v
1
1 u 3v
fU,V (u, v) = exp
exp
2
4
4
4
2
2
1
1 2
2
2
2
=
exp
3u + 2 3 uv + v + u 2 3 uv + 3v
8
2 16
1
1
2
2
=
exp
4u + 4v
8
2 16
u2
u2
1
1
exp
= exp
24
24
2 2
2 2
provided that < u < , < v < . Hence, we immediately conclude
that fU,V (u, v) = fU (u) fV (v) and so U and V are independent random variables.
Furthermore, we recognize that both U and V have a N (0, 4) density. Together, this
implies that U |V = v N (0, 4).