1

If X ~ Exponential(λ), show that

𝛌
𝝋𝑿 (𝒕) = −
𝐢𝐭 − 𝛌

𝛌
𝝋𝑿 (𝒕) =
𝛌 − 𝐢𝐭

PDF of X 𝒇𝑿 (𝒙) = 𝛌𝐞−𝛌𝐱

𝝋𝑿 (𝒕) = 𝑬|𝒆𝒊𝒕𝒙 |

∞
= ∫ 𝛌𝐞−𝛌𝐱 𝒆𝒊𝒕𝒙 𝒅𝒙
𝟎

∞ Since 𝛌 > 𝟎 then 𝒆(𝒋𝝎−𝛌)𝐱

𝛌 when evaluated at x = + ∞ is
=[ 𝒆(𝒊𝒕−𝛌)𝐱 ] zero.
𝐢𝐭 − 𝛌 𝟎

𝛌
=−
𝐢𝐭 − 𝛌

Alt//
𝛌
=
𝛌 − 𝐢𝐭
Find the Expected value and the Variance

EXPECTED VALUE

𝛌
𝝋𝑿 (𝒕) = −
𝐢𝐭 − 𝛌

First derivative

𝛌𝐢
𝝋′𝑿 (𝒕) =
(𝐢𝐭 − 𝛌)𝟐

𝑬(𝑿) = 𝟎

𝛌𝐢 𝛌𝐢
𝝋′𝑿 (𝟎) (𝐢(𝟎) − 𝛌)𝟐
𝛌 𝟐 𝟏
𝑬(𝑿) = = = =
𝒊 𝒊 𝒊 𝛌

VARIANCE

Part 1 Second derivative

𝛌𝐢
𝝋′𝑿 (𝒕) =
(𝐢𝐭 − 𝛌)𝟐

𝟐𝛌𝐢𝟐
𝝋′′𝑿 (𝒕) = −
(𝐢𝐭 − 𝛌)𝟑
𝟐𝛌𝐢𝟐 −𝟐𝛌𝐢𝟐
𝝋′′𝑿 (𝟎) − 𝟐
𝟐 (𝐢𝟎 − 𝛌)𝟑 𝛌 𝟑
𝑬(𝑿 ) = = = = 𝟐
𝒊𝟐 𝒊𝟐 𝒊𝟐 𝛌
 Variance
Part 2

𝑽(𝑿) = 𝑬(𝑿𝟐 ) − 𝑬(𝑿)𝟐

𝟐 𝟏 𝟐 𝟏
𝑽(𝑿) = 𝟐 − ( ) = 𝟐
𝛌 𝛌 𝛌

Compute the characteristic function of the Poisson distribution of

parameter λ and deduce the mean and variance of the distribution.

𝝀𝒙
DF of X 𝒇𝑿 (𝒙) = 𝒆−𝝀 𝒙!

𝝋𝑿 (𝒕) = 𝑬|𝒆𝒊𝒕𝒙 |

∞
𝒊𝒕𝒙 −𝝀
𝝀𝒙
𝝋𝑿 (𝒕) = ∑ 𝒆 𝒆
𝒙!
𝟎

∞
−𝝀 𝒊𝒕𝒙
𝝀𝒙
=𝒆 ∑𝒆
𝒙!
𝟎
 ∞ 𝒙
−𝝀
(𝝀𝒆𝒊𝒕 )
=𝒆 ∑
𝒙!
𝟎

𝒊𝒕
= 𝒆−𝝀 𝒆𝝀𝒆

𝒊𝒕 −𝟏)
𝝋𝑿 (𝒕) = 𝒆𝝀(𝒆

∞ 𝒙
(𝝀𝒆𝒊𝒕 ) 𝒊𝒕
∑ = 𝑻𝒂𝒚𝒍𝒐𝒓 𝒔𝒆𝒓𝒊𝒆𝒔 𝒆𝒙𝒑𝒂𝒏𝒔𝒊𝒐𝒏 = 𝒆𝝀𝒆
𝒙!
𝟎

Expected value
First derivative
𝒊𝒕 −𝟏)
𝝋𝑿 (𝒕) = 𝒆𝝀(𝒆

𝝀(𝒆𝒊𝒕 −𝟏)
𝒅𝝀(𝒆𝒊𝒕 − 𝟏)
𝝋′𝑿 (𝒕) = 𝒆
𝒅𝒕

𝒊𝒕 −𝟏)
= 𝒆𝝀(𝒆 𝝀𝒊𝒆𝒊𝒕

𝒊𝒕 −𝟏)+𝒊𝒕
= 𝝀𝒊𝒆𝝀(𝒆
𝒊𝒕 −𝟏)+𝒊𝒕
𝝋′𝑿 (𝒕) = 𝝀𝒊𝒆𝝀(𝒆
𝑬(𝑿) = 𝟎
𝒊𝟎
𝝋′𝑿 (𝟎) 𝝀𝒊 𝒆𝝀(𝒆 −𝟏)+𝒊𝟎
𝑬(𝑿) = = =𝝀
𝒊 𝒊

Variance
Second derivative
𝒊𝒕 −𝟏)+𝒊𝒕
𝝋′𝑿 (𝒕) = 𝝀𝒊𝒆𝝀(𝒆

𝒅 𝝀(𝒆𝒊𝒕 −𝟏)+𝒊𝒕
𝝋′′𝑿 (𝒕) = 𝝀𝒊 𝒆
𝒅𝒕
𝒊𝒕 𝒅
= 𝝀𝒊 𝒆𝝀(𝒆 −𝟏)+𝒊𝒕 [𝝀(𝒆𝒊𝒕 − 𝟏) + 𝒊𝒕]
𝒅𝒕
𝒊𝒕 −𝟏)+𝒊𝒕
= 𝝀𝒊 𝒆𝝀(𝒆 [𝝀𝒊𝒆𝒊𝒕 + 𝒊]
𝒊𝒕 −𝟏)+𝒊𝒕
𝝋′′𝑿 (𝒕) = 𝝀𝒊 𝒆𝝀(𝒆 𝒊[𝝀𝒆𝒊𝒕 + 𝟏]
𝒊𝒕 −𝟏)+𝒊𝒕
𝝋′′𝑿 (𝒕) = 𝝀𝒊𝟐 𝒆𝝀(𝒆 [𝝀𝒆𝒊𝒕 + 𝟏]

𝟐 𝝀(𝒆 𝒊𝟎 −𝟏)+𝒊𝟎
𝝋′′ 𝑿 (𝟎 ) 𝝀𝒊 𝒆 [𝝀𝒆𝒊𝟎 + 𝟏]
𝑬(𝑿𝟐 ) = =
𝒊𝟐 𝒊𝟐
𝑬(𝑿𝟐 ) = 𝝀(𝝀 + 𝟏) = 𝝀𝟐 + 𝝀

Variance = 𝑬(𝑿𝟐 ) − 𝑬(𝑿)𝟐 = 𝝀𝟐 + 𝝀 − 𝝀𝟐 = 𝝀

3
Show that for any R.V. X and Y = a + bX
𝒈𝒀 (𝒕) = 𝒆𝒂𝒕 𝒈𝑿(𝒃𝒕)

𝝋𝒀 (𝒕) = 𝑬|𝒆𝒊𝒕𝒚 | = 𝑬|𝒆𝒊𝒕𝒚 | = 𝑬|𝒆𝒊𝒂𝒕+𝒊𝒃𝒕𝒙 |

= 𝑬|𝒆𝒊𝒂𝒕+𝒊𝒃𝒕𝒙 | = 𝑬|𝒆𝒊𝒂𝒕 𝒆𝒊𝒃𝒕𝒙 |
= 𝒆𝒊𝒂𝒕 𝑬|𝒆𝒊𝒃𝒕𝒙 |
= 𝒆𝒊𝒂𝒕 𝝋𝒙 (𝒃𝒕)

Let (𝑿𝟏,…., 𝑿𝒏) ne n independent r.v. Is the characteristic function of

𝑿𝟏,…., 𝑿𝒏
𝒀= given by:
𝒏

𝒏 𝟏/𝒏

𝒈𝒀 (𝒕) = (∏ 𝒈𝑿𝒊 (𝒕))

𝒊=𝟏

Or

𝒏
𝒕
𝒈𝒀 (𝒕) = ∏ 𝒈𝑿𝒊 ( )
𝒏
𝒊=𝟏

𝒈𝒀 (𝒕) = 𝑬|𝒆𝒊𝒕𝒚 |
 𝒙𝒊
𝒊𝒕 ∑𝒏
= 𝑬 |𝒆 𝒊=𝟏 𝒏 |
𝒙𝒊
∑𝒏
𝒊=𝟏 𝒊𝒕 𝒏 |
= 𝑬 |𝒆
𝒏
𝒙
𝒊𝒕 𝒏𝒊
= 𝑬 |∏ 𝒆 |
𝒊=𝟏
𝒏
𝒙𝒊
= ∏ 𝑬 |𝒆𝒊𝒕 𝒏 |
𝒊=𝟏
𝒏
𝒕
= ∏ 𝒈𝒀 ( )
𝒏
𝒊=𝟏

5
Compute the characteristic function of the uniform distribution on
[𝟎, 𝟏]

𝟏
𝟏
𝝋𝑿 (𝒕) = ∫ 𝒆𝒊𝒕𝒙 𝒅𝒙
𝟎 𝒃−𝒂
𝟏
𝟏
𝝋𝑿 (𝒕) = ∫ 𝒆𝒊𝒕𝒙 𝒅𝒙
𝒃−𝒂 𝟎

𝟏 𝟏 𝟏
𝒆𝒊𝒕𝒙 − 𝟏
𝝋𝑿 (𝒕) = [ 𝒆𝒊𝒕𝒙 + 𝒄] =
𝒃 − 𝒂 𝒊𝒕 𝟎 𝒊𝒕(𝒃 − 𝒂)
 https://www.statlect.com/probability-distributions/uniform-
distribution

6
Let X 𝝐{𝟏, 𝟐, 𝟑, 𝟒, 𝟓, 𝟔} the outcome of rolling a dice. Show that the
(𝒆𝒕 −𝒆𝟕𝒕 )
characteristic function is
𝟔(𝟏−𝒆𝒕 )

x 1 2 3 4 5 6
Px 1/6 1/6 1/6 1/6 1/6 1/6

Characteristic function
𝝋𝑿 (𝒕) = 𝑬|𝒆𝒊𝒕𝒙 |
 𝒏=𝟔
𝟏 𝟏
𝝋𝑿 (𝒕) = ∑ 𝒆𝒊𝒕 = (𝒆𝒕 + 𝒆𝟐𝒕 + 𝒆𝟑𝒕 + 𝒆𝟒𝒕 + 𝒆𝟓𝒕 + 𝒆𝟔𝒕 )
𝟔 𝟔
𝒊=𝟏

𝒏=𝟔

𝑨 = ∑ 𝒆𝒊𝒕
𝒊=𝟏

𝒏=𝟔 𝒏=𝟓

∑ 𝒆𝒊𝒕 = 𝒆𝒕 ∑ 𝒆𝒊𝒕 = 𝒆𝒕 (𝟏 + 𝒆𝒕 + 𝒆𝟐𝒕 + 𝒆𝟑𝒕 + 𝒆𝟒𝒕 + 𝒆𝟓𝒕 )

𝒊=𝟏 𝒊=𝟎

= 𝒆𝒕 (𝟏 + 𝒆𝒕 + 𝒆𝟐𝒕 + 𝒆𝟑𝒕 + 𝒆𝟒𝒕 + 𝒆𝟓𝒕 + 𝒆𝟔𝒕 − 𝒆𝟔𝒕 )

= 𝒆𝒕 (𝟏 + 𝒆𝒕 + 𝒆𝟐𝒕 + 𝒆𝟑𝒕 + 𝒆𝟒𝒕 + 𝒆𝟓𝒕 + 𝒆𝟔𝒕 − 𝒆𝟔𝒕 )
= 𝒆𝒕 (𝟏 + 𝑨 − 𝒆𝟔𝒕 )
= 𝒆𝒕 + 𝑨𝒆𝒕 − 𝒆𝟔𝒕 𝒆𝒕
= 𝑨𝒆𝒕 + 𝒆𝒕 (𝟏 − 𝒆𝟔𝒕 )

𝑨 = 𝑨𝒆𝒕 + 𝒆𝒕 (𝟏 − 𝒆𝟔𝒕 )

𝑨 − 𝑨𝒆𝒕 = 𝒆𝒕 (𝟏 − 𝒆𝟔𝒕 )
𝑨(𝟏 − 𝒆𝒕 ) = 𝒆𝒕 (𝟏 − 𝒆𝟔𝒕 )
𝒆𝒕 (𝟏 − 𝒆𝟔𝒕 )
𝑨=
(𝟏 − 𝒆𝒕 )
(𝒆𝒕 − 𝒆𝟕𝒕 )
𝑨=
(𝟏 − 𝒆𝒕 )
 𝒏=𝟔
𝟏 𝟏
𝝋𝑿 (𝒕) = ∑ 𝒆𝒊𝒕 = (𝒆𝒕 + 𝒆𝟐𝒕 + 𝒆𝟑𝒕 + 𝒆𝟒𝒕 + 𝒆𝟓𝒕 + 𝒆𝟔𝒕 )
𝟔 𝟔
𝒊=𝟏

𝟏 (𝒆𝒕 − 𝒆𝟕𝒕 )
𝝋𝑿 (𝒕) =
𝟔 (𝟏 − 𝒆𝒕 )