Math 3018

Homework 3 Due: Thursday February 23

1. The Cauchy distribution C(λ, µ) with parameters λ > 0, µ ∈ R has p.d.f

1 λ
p(x) = · 2 , x ∈ R.
π λ + (x − µ)2

It can be shown that its characteristic function is ψ(t) = ei µt−λ|t| , t ∈ R. Suppose X ∼ C(1, 0).
Prove that E(|X|) = ∞ .
(This problem provides an example where any moments (thus the moment generating function)
do not exist.)

2. Let A = (ajk )j,k be an n × n matrix with ajk taking values in complex numbers C. A is
Pnsemi-definite if ajk = akj for j, k = 1, ..., n (in this case A is said to be
said to be positive
Hermitian) and j,k=1 ajk zj z̄k ≥ 0 for all z1 , ..., zn ∈ C where x + y i = x − y i is the complex
conjugate. A function ψ : Rp → C is said to be positive semi-definite if for any t1 , ..., tn ∈ Rp ,
the matrix (ψ(tj − tk ))nj,k=1 is positive semi-definite. Prove that the characteristic function of
any p dimensional random vector X is positive semi-definite.

3. Suppose
Pn ξ1 , ..., ξn are i.i.d
PN (0, 1) random variables. If m < n, find the joint distribution of
m
η1 = k=1 ξk and η2 = j=1 ξj . Hint: You may give the p.d.f. or the ch.f. or simply name
the distribution with parameters.
4–9 The following problems from the textbook by Johnson and Wichern: 4.4, 4.7, 4.8, 4.9, 4.13,
4.15.