Professional Documents
Culture Documents
Sol 1
Sol 1
Sol 1
2017
Exercise 1
Gal Cohen 201306909
1. Denote T for ”Tails” and H for ”Heads”. Let X ∼ U (−1, 1) and Y be r.v. which is the result of a coin
toss. The PDF and CDF of X are
(
0, x ≤ −1
0.5, x ∈ [−1, 1]
x+1
fX (x) = , FX (x) = , −1 < x ≤ 1
0, o.w 2
1, 1<x
FZ (z) = P (Z ≤ z) = P (Y = T ) · P (Z ≤ z | Y = T ) + P (Y = H) · P (Z ≤ z | Y = H)
0, z ≤ −1
z + 1
, −1 < z ≤ 0
1 1 1 1
4
= P (X ≤ z) + P (0 ≤ z) = FX (z) + U (z) =
2 2 2 2 z+3
, 0<z≤1
4
1, 1<z
(random variable which gets exactly one value c has CDF U (c)) and
d 1 1
fZ (z) = FZ (z) = fX (z) + δ(z)
dz 2 2
(
X, Y =T
(b) Z = , thus
X + 1, Y =H
FZ (z) = P (Z ≤ z) = P (Y = T ) · P (Z ≤ z | Y = T ) + P (Y = H) · P (Z ≤ z | Y = H)
0, z ≤ −1
z+1
, −1 < z ≤ 0
4
1 1 1 1
2z + 1
= P (X ≤ z) + P (X + 1 ≤ z) = FX (z) + FX (z − 1) = , 0<z≤1
2 2 2 2
4
z+2
, 1<z≤2
4
1, 2<z
Accordingly,
0.25, −1 < z ≤ 0
d 0.5, 0<z≤1
fZ (z) = FZ (z) =
dz
0.25, 1<z≤2
0, o.w
Exercise 1, page 1
(
X, Y =T
(c) Z = , thus
2X, Y =H
FZ (z) = P (Z ≤ z) = P (Y = T ) · P (Z ≤ z | Y = T ) + P (Y = H) · P (Z ≤ z | Y = H)
0, z ≤ −2
z + 2
, −2 < z ≤ −1
8
1 1 1 1 z
3z + 4
= P (X ≤ z) + P (2X ≤ z) = FX (z) + FX = , −1 < z ≤ 1
2 2 2 2 2
8
z + 6
, 1<z≤2
8
1, 1<z
Accordingly,
0.125, −2 < z ≤ −1
d 0.375, −1 < z ≤ 1
fZ (z) = FZ (z) =
dz
0.125, 1<z≤2
0, o.w
(
X, Y =T
(d) Z = , thus
−X, Y =H
FZ (z) = P (Z ≤ z) = P (Y = T ) · P (Z ≤ z | Y = T ) + P (Y = H) · P (Z ≤ z | Y = H)
1 1 1 1
= P (X ≤ z) + P (−X ≤ z) = FX (z) + F−X (z)
2 2 2 2
Now,
Exercise 1, page 2
2. First, we compute some required values
1 1
E [A] = E [E [A | Y ]] = E [X] + E [0] = 0
2 2
1 1 1
E [B] = E [E [B | Y ]] = E [X] + E [X + 1] =
2 2 2
1 1
E [C] = E [E [C | Y ]] = E [X] + E [2X] = 0
2 2
1 1
E [D] = E [E [D | Y ]] = E [X] + E [−X] = 0
2 2
1 1 1
V [A] = E A − E [A] = E E A | Y = E X 2 + E [0] =
2 2
2
2 2 6
1 1 1 1
V [B] = E B 2 − E2 [B] = E E B 2 | Y − = E X 2 + E (X + 1)2 −
4 2 2 4
2 1 7
= E X + 2E [X] + =
4 12
1 1 5
V [C] = E C − E [C] = E E C | Y = E X 2 + E (2X)2 =
2 2
2
2 2 6
1 2 1 1
V [D] = E D − E [D] = E E D | Y = E X + E (−X) = E X 2 =
2 2
2 2
2 2 3
1 2 1 1
σAB = E [AB] − E [A] E [B] = E [E [AB | Y ]] = E X + E [0] =
2 2 6
1 2 1 1
σCD = E [CD] − E [C] E [D] = E [E [CD | Y ]] = E X + E −2X 2 = −
2 2 6
(a) The optimal estimator of B from A is
1 1 1
B̃(A) = E [B | A] = E [E [(B | A) | Y ]] = E [X | X] + E [X + 1 | 0] = X +
2 2 2
The MSE is
1 1
E (B − X − 0.5)2 = E E (B − X − 0.5)2 | Y = E [0.25] + E [0.25] = 0.25
2 2
The MSE is
1 1
E (B − A − 0.5)2 = E E (B − A − 0.5)2 | Y = E [0.25] + E (X + 0.75)2
2 2
1 1 2 9 41
= E [0.25] + E X + 1.5E [X] + =
2 2 16 48
Exercise 1, page 3
(d) The optimal linear estimator of D from C is
σCD 1
D̃(C) = ηD + (C − ηC ) = − C
V [C] 5
i.e, the MSE of x̂(y) is minimal, hence it is the optimal linear estimator.
(b) Let x̃(y) = q(y) be some estimator of x from y. We have
h i h i h i h i
2 2 2 2
E (x̃ − x) = E (x̂ − x + x̃ − x̂) = E (x̂ − x) + 2E [(x̂ − x) (x̃ − x̂)] + E (x̃ − x̂)
| {z }
≥0
h i h i
2 2
≥ E (x̂ − x) + 2 E [ε(x, y) [q(y) − x̂(y)]] = E (x̂ − x)
| {z }
=0
Exercise 1, page 4