Solutions in Introduction to Mathematical Statistics

8th edition by Hogg, McKean, and Craig

https://minerva.it.manchester.ac.uk/~saralees/statbook2.pdf
EXERCISES
1.2.6
Show that the following sequences of sets, {Ck } , are nondecreasing, then find limk→∞ Ck .

(a) Ck = {x :
1
≤ x ≤ 3 −
1
}, Ck+1 = {x :
1
≤ x ≤ 3 − , so 1
} Ck ⊂ Ck+1 .
(b) , so
k k k+1 k+1

1 2 2 1 1 2 2 1
Ck = {(x, y) : ≤ x + y ≤ 4 − }, Ck+1 = {(x, y) : ≤ x + y ≤ 4 − }

.
k k k+1 k+1

Ck ⊂ Ck+1

Solution:
(a)
∞

lim Ck = ⋃ Ck = {x : 0 < x < 3}.

k→∞
k=1

(b)
∞

2 2
lim Ck = ⋃ Ck = {(x, y) : 0 < x + y < 4}.
k→∞
k=1

1.2.9
Show that the following sequences of sets, {Ck } , are nonincreasing, then find limk→∞ Ck .

(a) Ck = {x : 2 −
1
< x ≤ 2}, Ck+1 = {x : 2 −
1
, so
< x ≤ 2} . Ck ⊃ Ck+1

(b) , so .
k k+1

1 1
Ck = {x : 2 < x ≤ 2 + }, Ck+1 = {x : 2 < x ≤ 2 + } Ck ⊃ Ck+1

(c) , so .
k k+1

2 2 1 2 2 1
Ck = {(x, y) : 0 ≤ x + y ≤ }, Ck+1 = {(x, y) : 0 ≤ x + y ≤ } Ck ⊃ Ck+1
k k+1

Solution:
(a)
∞

lim Ck = ⋂ Ck = {x : 2 < x ≤ 2} = {x : x = 2}.

k→∞
k=1

(b)
∞

lim Ck = ⋂ Ck = ∅.
k→∞
k=1

(c)
 ∞

2 2
lim Ck = ⋂ Ck = {(x, y) : x + y = 0} = {(x, y) : x = y = 0}.
k→∞
k=1

1.3.6
If the sample space is C = {c : −∞ < c < ∞} and if is a set for which the integral
C ⊂ C ∫ e
−|x|
dx

exists, show that this set function is not a probability set function. What constant do we multiply the
C

integrand by to make it a probability set function?

Solution:
∞ 0 ∞

−|x| −|x| x −x
∫ e = ∫ e = ∫ e + ∫ e = 2,
C −∞ −∞ 0

which means that this set function is not a probability set function and the constant is . 1

1.10.5
Let be a random variable with mgf
X M (t), −h < t < h . Prove that
−at
P (X ≥ a) ≤ MX (t), 0 < t < h,

and that
−at
P (X ≤ a) ≤ MX (t), −h < t < 0.

Solution:
If
0 < t < h,
tX
(2)
(1) E(e )
tX ta −at
P (X ≥ a) = P (e ≥ e ) ≤ = e MX (t) for ∀a > 0,
at
e

(1)since is increasing for ;

e
tx
x

(2)by replacing X → e
tX
(> 0), a → e
at
(> 0) in Markov’s inequality.
If
−h < t < 0 ,
tX
(4)
(3) E(e )
tX ta −at
P (X ≤ a) = P (e ≥ e ) ≤ = e MX (t) for ∀a > 0,
at
e

(3) since is decreasing for ;

e
tx
x

(4) by replacing X → e
tX
(> 0), a → e
at
(> 0) in Markov’s inequality.
3.3.15
Let have a Poisson distribution with parameter m. If m is an experimental value of a random variable
X

having a gamma distribution with and , compute

α = 2 β = 1 . P (X = 0, 1, 2)

Solution:
 −m x −m −2m x+1
e m me e m
fX,M (x, m) = fX|M (x|m)fM (m) = =
x! Γ(2) x!
∞ ∞ −t
x+1
1 t e
fX (x) = ∫ fX,M (x, m)dm = ∫ ( ) dt (2m = t)
0
x! 0
2 2
∞
1 Γ(x + 2)
x+1 −t
= ∫ t e dt =
x+2 x+2
x!2 0 x!2

Thus,
Γ(2) 1 Γ(3) 1 Γ(4) 3
P (X = 0) = = , P (X = 1) = = , P (X = 2) = =
2 3 4
0!2 4 1!2 4 2!2 16

11
⇒ P (X = 0, 1, 2) = .
16

3.3.24
Let be two independent random variables having gamma distributions with parameters
X1 , X2

α1 = 3, β1 = 3 and α , respectively.
α2 = 5, β2 = 1

(a) Find the mgf of .

Y = 2X1 + 6X2

(b) What is the distribution of ? Y

Solution:
MY (t) = MX1 ,X2 (2t, 6t) = MX1 (2t)MX2 (6t)

−α1 −α2 −3 −5 −8
= (1 − β1 (2t)) (1 − β2 (6t)) = (1 − 6t) (1 − 6t) = (1 − 6t)

provided that t < 1/6 . Thus Y ∼ Γ(8, 6) .

3.4.29.
Let and be independent with normal distributions N(6, 1) and N(7, 1), respectively. Find
X1 X2

.
P (X1 > X2 )

Solution:
Let then since and are independent, mgf of is
Y = X1 − X2 X1 X2 Y

2 2 2
MY (t) = MX1 (t)MX2 (−t) = exp(6t + t /2) exp(−7t + t /2) = exp(−t + t )

indicating that Y ∼ N (−1, 2) . Hence

P (X1 > X2 ) = P (Y > 0) = 1 − P (Y < 0)

Y + 1 1
= 1 − P( < )
√2 √2

= 1 − Φ(0.7071) = 0.240.

3.4.30.
Compute P (X1 + 2X2 − 2X3 > 7) if X1 , X2 , X3 are iid with common distribution N (1, 4) .
Solution:
Let Y = X1 + 2X2 − 2X3 then since X1 , X2 , and are independent, mgf of Y is
X3

2 2 2 2
MY (t) = MX (t)MX (2t)MX (−2t) = exp(t + 2t ) exp(2t + 8t ) exp(−2t + 8t ) = exp(t + 18t )
1 2 3

which means that Y ∼ N (1, 36) . Thus

P (Y > 7) = 1 − P (Y < 7)

Y − 1 6
= 1 − P( < )
√18 6

= 1 − Φ(1) = 0.159.