Probability Theory and Mathematical Statistics

Homework 2, Vitaliy Pozdnyakov

Part 1

1. Prove that the frequency of an event A is an efficient estimator of probability P(A)

Let 𝑋1 , 𝑋2 ,…, 𝑋𝑛 — not dependent random variables, each distributed:

𝑃(𝐴) = 𝑃(𝑋𝑖 = 1) = 𝑝
𝑃(⎯𝐴⎯⎯⎯) = 𝑃(𝑋𝑖 = 0) = 1 − 𝑝 = 𝑞
Let frequency 𝜃̂ 𝑝 = 𝑚
𝑛 where 𝑚 — the number of happened events 𝐴 (if 𝑋𝑖 = 1) and 𝑛 — the number of all
attempts

𝑀(𝑋𝑖 ) = 1 ⋅ 𝑝 + 0 ⋅ 𝑞 = 𝑝
𝑀(𝑋) = 𝑀(𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛 ) = 𝑛𝑀(𝑋𝑖 ) = 𝑛𝑝
𝑀( 𝑚𝑛 ) = 𝑀( 𝑋1+𝑋2𝑛+⋯+𝑋𝑛 ) = 1𝑛 𝑀(𝑋) = 𝑛𝑝𝑛 = 𝑝
𝑚 is an unbiased estimator
Thereby 𝑛
𝐷(𝑋𝑖 ) = (1 − 𝑝)2 𝑝 + (0 − 𝑝)2 𝑞 = 𝑞 2 𝑝 + 𝑝2 𝑞 = 𝑝𝑞(𝑝 + 𝑞) = 𝑝𝑞
𝐷(𝑋) = 𝐷(𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛 ) = 𝑛𝑝𝑞
𝐷( 𝑚𝑛 ) = 𝐷( 𝑋1+𝑋2𝑛+⋯+𝑋𝑛 ) = 𝐷(𝑋)
𝑛2 = 𝑛
𝑝𝑞

Let 𝜑(1,𝑝) and 𝜑(0,𝑞) are PDFs of value 1 and 0 respectively, then

𝜑(1,𝑝) = 𝑝 and 𝜑(0,𝑝) = 1 − 𝑝

Fisher information
′ (1,𝑝) 2 𝜑′ (0,𝑝) 2 𝜑(0,𝑝) = [𝜑′ (1,𝑝)]2 + [𝜑′ (0,𝑝)]2 = 1
𝐼(𝑝) = 𝑀 [ln𝜑(𝑋,𝑝)′𝑝 ]2 = [ 𝜑𝜑(1,𝑝) ] 𝜑(1,𝑝) + [ 𝜑(0,𝑝) ] 𝜑(1,𝑝) 𝜑(0,𝑝) 𝑝
+ 1−𝑝1 = 𝑝(1−𝑝)
1 = 1
𝑝𝑞
min𝐷(𝜃̂ 𝑝 ) = 𝑛𝐼(𝑝)1 = 𝑝𝑞𝑛 = 𝐷( 𝑚𝑛 )
𝑚 is an efficent estimator
Thereby
𝑛
2. The sample set ( 𝑋1 … 𝑋𝑛 ) of random
⎯⎯⎯⎯⎯
variable 𝑋 corresponds the exponential distribution with
parameter 1 (𝐸( )). Prove that 𝑋 is an efficient estimator
1
𝜃 𝜃
𝜆 = 1𝜃 and 𝑋𝑖 ∼ 𝐸𝑥𝑝(𝜆)
Let

𝑀(𝑋𝑖 ) = 𝜆−1
𝑀(𝑋⎯⎯⎯⎯⎯) = 𝑀( 𝑋1+⋯+𝑛 𝑋𝑛 ) = 𝑛𝜆𝑛−1 = 𝜆−1
Thereby 𝑋⎯⎯⎯⎯⎯ is an unbiased estimator of parameter 𝜆−1
𝐷(𝑋𝑖 ) = 𝜆−2
𝐷(𝑋⎯⎯⎯⎯⎯) = 𝐷( 𝑋1+⋯+𝑛 𝑋𝑛 ) = 𝑛𝜆𝑛−22 = 𝜆𝑛−2 = 𝑛𝜆12
Let 𝜑(𝑥,𝜆) = 𝜆𝑒−𝜆𝑥
Fisher information 𝐼(𝜆) = 𝑀[ln𝜑(𝑥,𝜆) ′𝜆 ] 2 = 𝑀[(ln𝜆 − 𝜆𝑥) ′𝜆 ] 2 = 𝑀[ 1𝜆 − 𝑥] 2 = 𝑀[ 12 − 2𝑥
𝜆 𝜆 +𝑥 ]
2

= 𝜆12 − 2𝜆 𝑀[𝑋] + 𝑀[𝑋 2 ] = 𝜆12 − 𝜆22 + 𝜆2!2 = 𝜆−2 and then

𝐼(𝜆−1) = 𝜆2
min𝐷 = 𝑛𝐼(1𝜆−1 ) = 𝑛𝜆12 = 𝐷(𝑋⎯⎯⎯⎯⎯)
Thereby 𝑋⎯⎯⎯⎯⎯ is an efficent estimator of parameter 𝜆−1 = 𝜃
3. The random variable 𝑋 can be 0 or 1 with probability 0.5

a. What is mean 𝜇 and variance 𝜎 2 for 𝑋?

𝜇 = 𝑀(𝑋) = 0 ⋅ 0.5 + 1 ⋅ 0.5 = 0.5

𝜎 2 = 𝐷(𝑋) = (0 − 0.5)2 0.5 + (1 − 0.5)2 0.5 = 0.25 ⋅ 0.5 + 0.25 ⋅ 0.5 = 0.25 = 𝜇2
b. The set of 𝑋 : 𝑋1 … 𝑋9 . Let’s take a look at five different estimators of mean 𝜇:

𝜇^1 = 0.45
𝜇^2 = 𝑋1
 𝜇^3 = 𝑋⎯⎯⎯⎯⎯ 1
𝜇^4 = 𝑋1 + 3 𝑋2
𝜇^5 = 23 𝑋1 + 23 𝑋2 − 13 𝑋3
Which of estimators are unbiased? What is the bias for each estimator? Which one is the most efficient?

𝑀(𝜇^1 ) = 𝑀(0.45) = 0.45 ≠ 𝜇 ⇒ it is biased estimator, 𝐵𝑖𝑎𝑠 = 0.5 − 0.45 = 0.05

𝑀(𝜇^2 ) = 𝑀(𝑋1 ) = 𝜇 ⇒ it is unbiased estimator, 𝐵𝑖𝑎𝑠 = 0
𝑀(𝜇^3 ) = 𝑀(𝑋⎯⎯⎯⎯⎯) = 19 𝑀(𝑋1 + ⋯ + 𝑋9 ) = 0.5⋅99 = 0.5 = 𝜇 ⇒ it is unbiased estimator, 𝐵𝑖𝑎𝑠 = 0
𝑀(𝜇^4 ) = 𝑀(𝑋1 + 13 𝑋2 ) = 𝑀(𝑋1 ) + 13 𝑀(𝑋2 ) = 1530 + 305 = 2030 ≠ 𝜇 ⇒ it is biased estimator,
𝐵𝑖𝑎𝑠 = 2030 − 1530 = 305
𝑀(𝜇^5 = 23 𝑀(𝑋1 ) + 23 𝑀(𝑋2 ) − 13 𝑀(𝑋3 ) = 23 𝜇 + 23 𝜇 − 13 𝜇 = 𝜇 ⇒ it is unbiased estimator, 𝐵𝑖𝑎𝑠 = 0
Let 𝜑(0,𝜇) = 𝜇 and 𝜑(1,𝜇) = 𝜇
′ (1,𝜇) 2 𝜑′ (0,𝜇) 2 𝜑(0,𝜇) = 12 𝜇 + 12 𝜇 = 2
Fisher information 𝐼(𝜇) = [ 𝜑𝜑(1,𝜇) ] 𝜑(1,𝜇) + [ 𝜑(0,𝜇) ] 𝜇 𝜇 𝜇

min𝐷 = 𝑛𝐼(𝜇)
1 = 12 = 𝜇
9 𝜇 18

Consider only unbiased estimators

𝐷(𝜇^2 ) = 𝐷(𝑋1 ) = 𝜇2 ≠ min𝐷 ⇒ it is not efficent estimator

𝐷(𝜇^3 ) = 𝐷(𝑋⎯⎯⎯⎯⎯) = 912 𝐷(𝑋1 + ⋯ + 𝑋9 ) = 99𝜇22 = 18𝜇 = min𝐷
Answer: 𝜇^3 is an efficent estimator (the most efficent)

4. Topographer measures the square of a rectangle area. The measurement tool is set as the length 𝑋
𝑌
and width of area are independent. The real value for the length is 𝑋 10 𝑌 5
and for the width is . The
distribution of 𝑋 𝑌
and :

The estimation of the square 𝐴 = 𝑋𝑌 is a random variable.

 Is 𝑋 unbiased estimator of length? Prove
𝑀(𝑋) = 8 14 + 10 14 + 11 12 = 84 + 104 + 224 = 404 = 10 = 𝑋 ⇒ it is unbiased estimator
Is 𝑌 unbiased estimator of width? Prove

𝑀(𝑌) = 4 12 + 6 12 = 5 = 𝑌 ⇒ it is unbiased estimator

Is 𝐴 = 𝑋𝑌 unbiased estimator of square? Prove

𝑋𝑌 = 50
𝑀(𝑋𝑌) = ∑3𝑖=1 ∑2𝑗=1 𝑥𝑖 𝑦𝑗 𝑃(𝑋 = 𝑥𝑖 )𝑃(𝑌 = 𝑦𝑗 )
= 8 ⋅ 4 ⋅ 18 + 8 ⋅ 6 ⋅ 18 + 10 ⋅ 4 ⋅ 18 + 10 ⋅ 6 ⋅ 18 + 11 ⋅ 4 ⋅ 14 + 11 ⋅ 6 ⋅ 14
= 328 + 488 + 408 + 608 + 888 + 1328
= 4008 = 50 = 𝑋𝑌 ⇒ it is unbiased estimator
5. The two measurements of a side of square are taken 𝑋1 , 𝑋2 . Let measurements be independent with
mean 𝛼 (𝛼 is a real length of the square) and 𝜎 2 . What is MSE of the area estimator 𝑋1 𝑋2 ?

𝛼 2 — the real area of square

𝑀𝑆𝐸(𝑋1 𝑋2 ) = 𝐷(𝑋1 𝑋2 ) + 𝐵𝑖𝑎𝑠(𝑋1 𝑋2 , 𝛼 2 )2
𝐷(𝑋1 𝑋2 ) = 𝐷(𝑋1 )𝐷(𝑋2 ) + 𝛼 2 𝐷(𝑋1 ) + 𝛼 2 𝐷(𝑋2 ) = 𝜎 4 + 𝛼 2 𝜎 2 + 𝛼 2 𝜎 2 = 𝜎 4 + 2𝛼 2 𝜎 2
𝑀(𝑋1 𝑋2 ) = 𝑀(𝑋1 )𝑀(𝑋2 ) = 𝛼 2 ⇒ 𝐵𝑖𝑎𝑠 = 0
𝑀𝑆𝐸(𝑋1 𝑋2 ) = 𝜎 4 + 2𝛼 2 𝜎 2
6. The mean 𝜆 of Poisson distribution can be 1 or 2. The one measurement of random variable 𝑋 has
been taken. Two estimators of 𝜆 are defined as:

a) What is the mean and variance for ?𝜆̂ 

Poisson distribution: 𝑃(𝑋 = 𝑚) = 𝜆 𝑚!𝑒
𝑚 −𝜆
𝑀(𝑋) = 𝜆, 𝐷(𝑋) = 𝜆
For 𝜆 = 1

𝑀(𝜆̂ ) = 1 ⋅ 𝑃(𝑋 = 0,𝜆 = 1) + 1.5 ⋅ 𝑃(𝑋 = 1,𝜆 = 1) + 2 ⋅ 𝑃(𝑋 ≥ 2,𝜆 = 1)

= [𝑃(𝑋 ≥ 2,𝜆 = 1) = 1 − 𝑃(𝑋 = 0,𝜆 = 1) − 𝑃(𝑋 = 1,𝜆 = 1)]
= 𝑒−1 + 1.5 ⋅ 𝑒−1 + 2 ⋅ (1 − 2𝑒−1 )
= 2.5𝑒−1 + 2 − 4𝑒−1 = 2 − 1.5𝑒−1
In [6]:

import math

In [27]:

2 - 1.5 * math.exp(-1)

Out[27]:

1.4481808382428365

𝑀(𝜆̂ ) ≈ 1.45
𝐷(𝜆̂ ) = (1 − (2 − 1.5𝑒−1 ))2 𝑒−1 + (1.5 − (2 − 1.5𝑒−1 ))2 𝑒−1 + (2 − (2 − 1.5𝑒−1 ))2 (1 − 2𝑒−1 )
= (1.5𝑒−1 − 1)2 𝑒−1 + (1.5𝑒−1 − 0.5)2 𝑒−1 + (1.5𝑒−1 )2 (1 − 2𝑒−1 )
In [16]:

((1.5 * math.exp(-1) - 1) ** 2) * math.exp(-1) \

+ ((1.5 * math.exp(-1) - 0.5) ** 2) * math.exp(-1) \
+ (1.5 * math.exp(-1) ** 2) * (1 - 2 * math.exp(-1))

Out[16]:

0.12852405430626074

𝐷(𝜆̂ ) ≈ 0.13
For 𝜆 = 2

𝑀(𝜆̂ ) = 1 ⋅ 𝑃(𝑋 = 0,𝜆 = 2) + 1.5 ⋅ 𝑃(𝑋 = 1,𝜆 = 2) + 2 ⋅ 𝑃(𝑋 ≥ 2,𝜆 = 2)

= [𝑃(𝑋 ≥ 2,𝜆 = 2) = 1 − 𝑃(𝑋 = 0,𝜆 = 2) − 𝑃(𝑋 = 1,𝜆 = 2)]
= 𝑒−1 + 1.5 ⋅ 2𝑒−2 + 2 ⋅ (1 − 𝑒−1 − 2𝑒−2 )
= 𝑒−1 + 3𝑒−2 + 2 − 2𝑒−1 − 4𝑒−2
= 2 − 𝑒−1 − 𝑒−2
In [17]:

2 - math.exp(-1) - math.exp(-2)

Out[17]:

1.4967852755919449

𝑀(𝜆̂ ) ≈ 1.5
𝐷(𝜆̂ ) = (1 − (2 − 𝑒−1 − 𝑒−2 ))2 𝑒−1 + (1.5 − (2 − 𝑒−1 − 𝑒−2 ))2 2𝑒−2
+ (2 − (2 − 𝑒−1 − 𝑒−2 ))2 (1 − 𝑒−1 − 2𝑒−2 )
= (−1 + 𝑒−1 + 𝑒−2 )2 𝑒−1 + (−0.5 + 𝑒−1 + 𝑒−2 )2 2𝑒−2 + (𝑒−1 + 𝑒−2 )2 (1 − 𝑒−1 − 2𝑒−2 )
In [19]:

(-1 + math.exp(-1) + math.exp(-2))**2 * math.exp(-1) \

+ (-0.5 + math.exp(-1) + math.exp(-2))**2 * 2 * math.exp(-2) \
+ (math.exp(-1) + math.exp(-2))**2 * (1 - math.exp(-1) - 2*math.exp(-2))

Out[19]:

0.18232202392867392

𝐷(𝜆̂ ) ≈ 0.18
Answer:

for 𝜆 = 1: 𝑀(𝜆̂ ) ≈ 1.45, 𝐷(𝜆̂ ) ≈ 0.13

for 𝜆 = 2: 𝑀(𝜆̂ ) ≈ 1.5 , 𝐷(𝜆̂ ) ≈ 0.18

b) What is the mean and variance for 𝜆̃ ?

For 𝜆 = 1

𝑀(𝜆)̃  = 0 ⋅ 𝑃(𝑋 = 0,𝜆 = 1) + 1 ⋅ 𝑃(𝑋 = 1,𝜆 = 1) + 2 ⋅ 𝑃(𝑋 ≥ 2,𝜆 = 1)

= [𝑃(𝑋 ≥ 2,𝜆 = 1) = 1 − 𝑃(𝑋 = 0,𝜆 = 1) − 𝑃(𝑋 = 1,𝜆 = 1)]
= 𝑒−1 + 2(1 − 2𝑒−1 )
= 𝑒−1 + 2 − 4𝑒−1 = 2 − 3𝑒−1
In [21]:

2 - 3 * math.exp(-1)

Out[21]:

0.896361676485673

𝑀(𝜆)̃  ≈ 0.9
𝐷(𝜆)̃  = (0 − (2 − 3𝑒−1 ))2 𝑒−1 + (1 − (2 − 3𝑒−1 ))2 𝑒−1 + (2 − (2 − 3𝑒−1 ))2 (1 − 2𝑒−1 )
= (3𝑒−1 − 2)2 𝑒−1 + (3𝑒−1 − 1)2 𝑒−1 + 9𝑒−2 (1 − 2𝑒−1 )
In [34]:

(3 * math.exp(-1) - 2) ** 2 * math.exp(-1) \
+ (3 * math.exp(-1) - 1) ** 2 * math.exp(-1) \
+ 9 * math.exp(-2) * (1 - 2 * math.exp(-1))

Out[34]:

0.6213796567276975

𝐷(𝜆)̃  ≈ 0.62
For 𝜆 = 2

𝑀(𝜆)̃  = 0 ⋅ 𝑃(𝑋 = 0,𝜆 = 2) + 1 ⋅ 𝑃(𝑋 = 1,𝜆 = 2) + 2 ⋅ 𝑃(𝑋 ≥ 2,𝜆 = 2)

= [𝑃(𝑋 ≥ 2,𝜆 = 2) = 1 − 𝑃(𝑋 = 0,𝜆 = 2) − 𝑃(𝑋 = 1,𝜆 = 2)]
= 2𝑒−2 + 2 ⋅ (1 − 𝑒−1 − 2𝑒−2 )
= 2𝑒−2 + 2 − 2𝑒−1 − 4𝑒−2
= 2 − 2𝑒−1 − 2𝑒−2
In [35]:

2 - 2 * math.exp(-1) - 2 * math.exp(-2)

Out[35]:

0.9935705511838899

𝑀(𝜆)̃  ≈ 0.99
𝐷(𝜆)̃  = (0 − (2 − 2𝑒−1 − 2𝑒−2 ))2 𝑒−1 + (1 − (2 − 2𝑒−1 − 2𝑒−2 ))2 2𝑒−2
+ (2 − (2 − 2𝑒−1 − 2𝑒−2 ))2 (1 − 𝑒−1 − 2𝑒−2 )
= (−2 + 2𝑒−1 + 2𝑒−2 )2 𝑒−1 + (−1 + 2𝑒−1 + 2𝑒−2 )2 2𝑒−2 + (2𝑒−1 + 2𝑒−2 )2 (1 − 𝑒−1 − 2𝑒−2 )
In [36]:

(-2 + 2*math.exp(-1) + 2*math.exp(-2))**2 * math.exp(-1) \

+ (-1 + 2*math.exp(-1) + 2*math.exp(-2))**2 * 2 * math.exp(-2) \
+ (2*math.exp(-1) + 2*math.exp(-2))**2 * (1 - math.exp(-1) - 2*math.exp(-2))

Out[36]:

0.7292880957146957

𝐷(𝜆)̃  ≈ 0.73
Answer:

for 𝜆 = 1: 𝑀(𝜆̂ ) ≈ 0.9 , 𝐷(𝜆̂ ) ≈ 0.62

for 𝜆 = 2: 𝑀(𝜆̂ ) ≈ 0.99, 𝐷(𝜆̂ ) ≈ 0.73

c) Which estimator is more accurate?

𝜆=1
For

𝑀𝑆𝐸(𝜆̂ ) = 𝐷(𝜆̂ ) + 𝐵𝑖𝑎𝑠(𝜆̂ ,𝜆)2 ≈ 0.13 + 0.452

In [37]:

0.13 + 0.45 ** 2

Out[37]:

0.3325

≈ 0.33
𝑀𝑆𝐸(𝜆)̃  = 𝐷(𝜆)̃  + 𝐵𝑖𝑎𝑠(𝜆,𝜆̃  )2 ≈ 0.62 + 0.12
≈ 0.621
For 𝜆 = 2

𝑀𝑆𝐸(𝜆̂ ) = 𝐷(𝜆̂ ) + 𝐵𝑖𝑎𝑠(𝜆̂ ,𝜆)2 ≈ 0.18 + 0.52

In [38]:

0.18 + 0.5 ** 2

Out[38]:

0.43

≈ 0.43
𝑀𝑆𝐸(𝜆)̃  = 𝐷(𝜆)̃  + 𝐵𝑖𝑎𝑠(𝜆,𝜆̃  )2 ≈ 0.73 + 0.012
≈ 0.73
Answer: 𝜆̂ is more accurate then 𝜆̃ in both cases
7. Let 𝑋1 ,𝑋2 ,𝑋3 be a set of values for random variable with mean (𝜇) and variance (𝜎 2 ). Let’s take a look
at two estimators of 𝜎 2 :

^
1. 𝜎12 = 𝑐1 (𝑋1 − 𝜇) 2
^
2. 𝜎22 = 𝑐2 (𝑋1 − 𝜇) 2 + 𝑐2 (𝑋2 − 𝜇) 2 + 𝑐2 (𝑋3 − 𝜇) 2

^ ^
a) What 𝑐1 ,𝑐2 can be equal to satisfy the 𝜎12 , 𝜎22 are unbiased estimators of 𝜎 2 ?

𝑀(𝜎^12 ) = 𝑀[𝑐1 (𝑋1 − 𝜇)2 ] = 𝑐1 𝑀[(𝑋1 − 𝜇)2 ] = 𝑐1 𝜎 2 ⇒ 𝑐1 = 1

𝑀(𝜎^22 ) = 𝑀[𝑐2 (𝑋1 − 𝜇)2 + 𝑐2 (𝑋2 − 𝜇)2 + 𝑐2 (𝑋3 − 𝜇)2 ] = 𝑐2 𝑀[(𝑋1 − 𝜇)2 ]
+ 𝑐2 𝑀[(𝑋2 − 𝜇)2 ] + 𝑐2 𝑀[(𝑋3 − 𝜇)2 )] = 3𝑐2 𝜎 2 ⇒ 𝑐2 = 13
^ ^
b) Find proportion: efficiency(𝜎12 ) / efficiency(𝜎22 )

𝑐1 = 1 and 𝑐2 = 13 then 𝐵𝑖𝑎𝑠 = 0, so

If

𝑀𝑆𝐸(𝜎^12 ) = 𝐷(𝜎^12 ) = 𝐷[(𝑋1 − 𝜇)2 ]

𝑀𝑆𝐸(𝜎^22 ) = 𝐷[ 13 (𝑋1 − 𝜇)2 + 13 (𝑋2 − 𝜇)2 + 13 (𝑋3 − 𝜇)2 ] = 19 𝐷[(𝑋1 − 𝜇)2 ]
+ 19 𝐷[(𝑋2 − 𝜇)2 ] + 19 𝐷[(𝑋3 − 𝜇)2 ] = 13 𝐷[(𝑋𝑖 − 𝜇)2 ]
𝑀𝑆𝐸(𝜎^2 )
Thereby ^
1
𝑀𝑆𝐸(𝜎22 )
= 𝐷[(𝑋1 −𝜇)2 ]
1 𝐷[(𝑋𝑖 −𝜇)2 ]
3
=3

Part 2

(
1. The mean of the empirical distribution )2 is an estimator of ( the mean of the random variable)2 ?
Proof

Let 𝑋⎯⎯⎯⎯⎯ be the mean of the emperical distribution and 𝜇 is the mean of the random variable
𝐷(𝑋⎯⎯⎯⎯⎯) = 𝑀(𝑋⎯⎯⎯⎯⎯2 ) − 𝑀(𝑋⎯⎯⎯⎯⎯)2 ⇒ 𝑀(𝑋⎯⎯⎯⎯⎯2 ) = 𝐷(𝑋⎯⎯⎯⎯⎯) + 𝑀(𝑋⎯⎯⎯⎯⎯)2 = 𝐷(𝑋⎯⎯⎯⎯⎯) + 𝜇2
𝐷(𝑋⎯⎯⎯⎯⎯) = 𝐷( 𝑋1+⋯+𝑛 𝑋𝑛 ) = 𝑛12 𝐷(𝑋1 + ⋯ + 𝑋𝑛 ) = 𝑛12 𝑛𝜎 2 = 𝜎𝑛2
Thereby 𝑋⎯⎯⎯⎯⎯2 is biased estimator of 𝜇2 with 𝐵𝑖𝑎𝑠 = 𝜎𝑛2
2. Let 𝑋 be a random variable ∼ 𝑁(147.8, 12.32 ).

a. What is 𝑃(𝑋 < 163.3) ?

𝑎 = 147.8, 𝜎 2 = 12.32
163
𝑃(𝑋 < 163.3) = ∫−∞ ⎯ 1
⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯ − (𝑥−147.8)2
𝑒 2⋅12.32 𝑑𝑥 ≈ 0.89
√2𝜋 ⋅ 12.3 2

b. Let 𝑋⎯⎯⎯⎯⎯ be an empirical mean and 𝑠2 be an empirical

⎯⎯⎯⎯⎯
variance that have been obtained via sample set
with size 𝑛 = 25 of random variable 𝑋. What is 𝑃(𝑋 ≤ 150.9) ?

𝑋⎯⎯⎯⎯⎯ ≤ 150.9 ⇒ 𝑋1+⋯+ 25 ≤ 150.9 ⇒ 𝑋1 + ⋯ + 𝑋𝑛 ≤ 3772.5

𝑋25

Let 𝑌 = 𝑋1 + ⋯ + 𝑋25 ⇒ 𝑀(𝑌) = 𝑀(𝑋1 + ⋯ + 𝑋25 ) = 25 ⋅ 147.8 = 3695

and 𝐷(𝑌) = 𝐷(𝑋1 + ⋯ + 𝑋25 ) = 25 ⋅ 12.32 = 3782.25

Thereby 𝑌 ∼ 𝑁(3695,3782.25)

3772.5 1 ⎯ 𝑒− (𝑥−3695)
𝑃(𝑌 < 3772.5) = ∫−∞ √⎯2𝜋⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯
2
2⋅3782.25 𝑑𝑥 ≈ 0.83
⋅ 3782.25
c. What 𝑎 and 𝑏 can be equal to satisfy the 𝑃(𝑎 ≤ 𝑠2 ≤ 𝑏) = 0.95 ?

𝑠2 = (𝑋1−147.8)2+⋯+(
25
𝑋25 −147.8)2

Let 𝑌 = 𝑋 − 147.8 ⇒ 𝑀(𝑌) = 𝑀(𝑋 − 147.8) = 𝑀(𝑋) − 147.8 = 0

and 𝐷(𝑌) = 𝐷(𝑋 − 147.8) = 𝐷(𝑋) − 0 = 12.3

2

Thereby 𝑌 ∼ 𝑁(0, 12.32 ) ⇒ 𝑍 =

𝑌−0 ∼ 𝑁(0,1)
12.3

and 𝑎 ≤ 𝑠2 ≤ 𝑏 ⇒ 𝑎 ≤ 12.3(𝑍1225+⋯+𝑍252 ) ≤ 𝑏 ⇒ 12.325 𝑎 ≤ 𝑍12 + ⋯ + 𝑍252 ≤ 12.325 𝑏

⇒ 12.325 𝑎 ≤ 𝑊 ≤ 12.325 𝑏 where 𝑊 ∼ 𝜒 2 (𝑘 = 25)
12.3 𝑎 = 0 ⇒ 𝑃(0 ≤ 𝑊 ≤ 37.652) ≈ 0.95
Let
25
37.652 = 12.3
25𝑏 ⇒ 𝑏 = 37.652⋅12.3
25
In [65]:

37.652 * 12.3 / 25

Out[65]:

18.524784

Answer: 𝑎 = 0, 𝑏 ≈ 18.52
3.The table shows the average temperature in January per year in two cities:

a) What is empirical mean?

𝑋⎯⎯⎯⎯⎯ = 1𝑛 ∑ 𝑥𝑖
In [77]:

import pandas as pd

In [40]:

df = pd.DataFrame({
'city1': [-19.2, -14.8, -19.6, -11.1, -9.4, -16.9, -13.7, -4.9, -13.9, -9.4, -8.
'city2': [-21.8, -15.4, -20.8, -11.3, -11.6, -19.2, -13.0, -7.4, -15.1, -14.4, -

In [67]:

mean1 = 0
for i in list(df['city1']):
mean1 += i
mean1 = mean1 / len(df)
print('The emperical mean for City 1:', round(mean1, 2))

mean2 = 0
for i in list(df['city2']):
mean2 += i
mean2 = mean2 / len(df)
print('The emperical mean for City 2:', round(mean2, 2))

The emperical mean for City 1: -11.88

The emperical mean for City 2: -13.75

b) What is empirical variance?

𝑠2 = 1𝑛 ∑(𝑥𝑖 − 𝑋⎯⎯⎯⎯⎯)2 (a biased estimator)
In [71]:

var1 = 0
for i in list(df['city1']):
var1 += (i - mean1) ** 2
var1 = var1 / len(df)
print('The emperical variance for City 1:', round(var1, 2))

var2 = 0
for i in list(df['city2']):
var2 += (i - mean2) ** 2
var2 = var2 / len(df)
print('The emperical variance for City 2:', round(var2, 2))

The emperical variance for City 1: 22.14

The emperical variance for City 2: 20.09

c) What is empirical correlation coefficient?

⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯⎯ ⎯⎯⎯⎯⎯⎯⎯⎯ ⎯⎯⎯⎯⎯⎯⎯⎯

𝑐𝑜𝑟𝑟 = 𝑠𝑐𝑜𝑣1𝑠2 = 𝑋1𝑋2𝑠−1𝑠𝑋2 1 ⋅𝑋2
In [75]:

prod_mean = 0
for i in range(len(df)):
prod_mean += list(df['city1'])[i] * list(df['city2'])[i]
prod_mean = prod_mean / len(df)
cov = prod_mean - mean1 * mean2
corr = cov / (var1**(1/2) * var2**(1/2))
print('The emperical correlation coefficient:', round(corr, 2))

The emperical correlation coefficient: 0.96

d) Create the histogram using python/R

In [82]:

import matplotlib.pyplot as plt

In [98]:

df.hist(figsize=(10,5), bins=5, grid=False)

plt.show()