STATS 100B Homework 1 2017
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STATS 100B Homework 1
2017
Problem 1 (15 pts)
Let Mx (t) = et + e2t + e3t be the moment-generating function (MGF) of a random variable X .
a. Find E(X). (5 pts)
b. Find Var(X). (5 pts)
c. Find the distribution of X. (5 pts)
Hint: consider the definition of MGF for discrete distributions.
Problem 2 (15 pts)
Show that the moment-generating function of a random variable X ~ Gamma(α, β) is Mx (t) = (1 _ βt)一a .
Note that the pdf of Gamma(α, β) is
f(x) =
xa一1 e一年/8 |
β a Γ(α) , |
α, β > 0, x > 0.
Problem 3 (15 pts)
Show that the moment-generating function of a random variable X ~ NegativeBinomial(r, p) is
Mx (t) = ┌ .r .
Note that the mass function of NegativeBinomial(r, p) is
P (X = x) = 、pr (1 _ p)年一r , x = r, r + 1, . . . .
Problem 4 (20 pts)
Let X ~ Poisson(λ). Its moment-generating function is Mx (t) = eA(ey 一1) .
a. Show that the moment-generating function of Z = ′A(x一)A is given by
MZ (t) = e一 ′At eA (ey入 y_ 一1) .
(10 pts)
b. Use the series expansion of
et/′A = 1 + t/′λ + ╱t/′λ、2 + ╱t/′λ、3
to show that
lim MZ (t) = et去 /2 .
A→&
In other words, as λ → &, the ratio Z = ′A(x一)A converges to the standard normal distribution. (10 pts)
Problem 5 (10 pts)
Use the results of Problem 4b to answer the following question.
In the interest of pollution control an experimenter wants to count the number of bacteria per small volume of water. Let X denote the bacteria count per cubic centimeter of water, and assume that X ~ Poisson(1000). If the allowable pollution in a water supply is a count of 1100 bacteria per
cubic centimeter, approximate the probability that X will be at most 1100.
Hint: consider the standard normal cumulative distribution function.
Problem 6 (10 pts)
Let X1 , X2 , . . . , Xn be independent normal random variables with means µi and variances σi(2). Show that Y = αiXi , where αi are scalars, is normally distributed, and find its mean and variance.
Problem 7 (15 pts)
Suppose that Θ is a random variable that follows Gamma(α, β), where α is an integer and β > 0, and suppose that, conditional on Θ, X follows Poisson(Θ). Show that the unconditional distribution of α + X is NegativeBinomial(α, ).
Hint: The MGF of X ~ Poisson(λ) is Mx (t) = eA(ey 一1) . Please consider the Tower Rule and the
results of Problems 2 and 3.
2022-02-15