Chapter 3: Problem 17
Find the uniform distribution of the continuous type on the interval \((b, c)\) that has the same mean and the same variance as those of a chi-square distribution with 8 degrees of freedom. That is, find \(b\) and \(c\).
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Chapter 3: Problem 17
Find the uniform distribution of the continuous type on the interval \((b, c)\) that has the same mean and the same variance as those of a chi-square distribution with 8 degrees of freedom. That is, find \(b\) and \(c\).
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Let \(U\) and \(V\) be independent random variables, each having a standard normal
distribution. Show that the mgf \(E\left(e^{t(U V)}\right)\) of the random
variable \(U V\) is \(\left(1-t^{2}\right)^{-1 / 2},-1
Suppose \(\mathbf{X}\) has a multivariate normal distribution with mean \(\mathbf{0}\) and covariance matrix $$\mathbf{\Sigma}=\left[\begin{array}{cccc} 283 & 215 & 277 & 208 \\\215 & 213 & 217 & 153 \\ 277 & 217 & 336 & 236 \\\208 & 153 & 236 & 194\end{array}\right]$$ (a) Find the total variation of \(\mathbf{X}\). (b) Find the principal component vector \(\mathbf{Y}\). (c) Show that the first principal component accounts for \(90 \%\) of the total variation. (d) Show that the first principal component \(Y_{1}\) is essentially a rescaled \(\bar{X}\). Determine the variance of \((1 / 2) \bar{X}\) and compare it to that of \(Y_{1}\).
Let \(X\) have an exponential distribution.
(a) For \(x>0\) and \(y>0\), show that
$$P(X>x+y \mid X>x)=P(X>y)$$
Hence, the exponential distribution has the memoryless property. Recall from
(3.1.9) that the discrete geometric distribution had a similar property.
(b) Let \(F(x)\) be the cdf of a continuous random variable \(Y\). Assume that
\(F(0)=0\) and \(0
For the Burr distribution, show that $$E\left(X^{k}\right)=\frac{1}{\beta^{k / \tau}} \Gamma\left(\alpha-\frac{k}{\tau}\right) \Gamma\left(\frac{k}{\tau}+1\right) / \Gamma(\alpha)$$ provided \(k<\alpha \tau\)
Let the mutually independent random variables \(X_{1}, X_{2}\), and \(X_{3}\) be \(N(0,1)\), \(N(2,4)\), and \(N(-1,1)\), respectively. Compute the probability that exactly two of these three variables are less than zero.
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