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LetYbe a discrete random variable whose p.f. is the

functionfin Example 4.1.4. LetX= |Y|. Prove that the

distribution ofXhas the p.d.f. in Example 4.1.5

\({\bf{f}}\left( {\bf{x}} \right){\bf{ = }}\left\{ \begin{array}{l}\frac{{\bf{1}}}{{{\bf{2}}\left| {\bf{x}} \right|\left( {\left| {\bf{x}} \right|{\bf{ + 1}}} \right)}}{\bf{,x = \pm 1, \pm 2 \ldots ,}}\\{\bf{0,Otherwise}}\end{array} \right.\)

\({\bf{f}}\left( {\bf{x}} \right){\bf{ = }}\left\{ \begin{array}{l}\frac{{\bf{1}}}{{{\bf{x}}\left( {{\bf{x + 1}}} \right)}}{\bf{,x = 1,2,3 \ldots ,}}\\{\bf{0,Otherwise}}\end{array} \right.\)

Short Answer

Expert verified

We prove that \(X\) has continuous random variable.

Step by step solution

01

Given Information

Here \(Y\) be discrete random variable. We have to show \(X\) has continuous random variable.

02

Define the condition

From given information to find that \(X = \left| Y \right|\) .

03

Prove that the given distribution is continuous random variable

Firstly from random variable\(Y\)and \(f\left( y \right) = \frac{1}{{2\left| Y \right|\left( {\left| Y \right| + 1} \right)}}\). Then mean of\(Y\)is given by

\(\begin{array}{c}E\left( Y \right) = \sum\limits_{i = 1}^\infty {Y \times \frac{1}{{2\left| Y \right|\left( {\left| Y \right| + 1} \right)}}} \\ = \infty \end{array}\)

The random variable\(X\)is given by

\(f\left( X \right) = \frac{1}{{X\left( {X + 1} \right)}}\)

If we find the mean of\(X\) then it is given by

\(\begin{array}{c}E\left( x \right) = \sum\limits_{i = 1}^\infty {X \times \frac{1}{{2\left| X \right|\left( {\left| X \right| + 1} \right)}}} \\ = \infty \end{array}\)

If we define this random variable by pdf then it is defined by

\(f\left( x \right) = \frac{1}{{X\left( {X + 1} \right)}}\) where\(1 \le X \le \infty \)

We know that sum of the all pdf is 1.Then integrating to get

\(f\left( X \right) = \int_1^\infty {\frac{1}{{X\left( {X + 1} \right)}}} dx = 1\)

Hence proof that \(X\) is continuous random variable.

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Most popular questions from this chapter

Suppose that X is a random variable for which \(E\left( X \right) = \mu \), and\(Var\left( X \right) = {\sigma ^2}\). Show that\(E\left( {X\left( {X - 1} \right)} \right) = \mu \left( {\mu - 1} \right) + {\sigma ^2}\).

Suppose that on each play of a certain game a gambleris equally likely to win or to lose. Suppose that when hewins, his fortune is doubled and that when he loses, his fortune is cut in half. If he begins playing with a given

fortunec, what is the expected value of his fortune afternindependent plays of the game?

Consider the situation of pricing a stock option as in

Example 4.1.14.We want to prove that a price other than \(20.19 for the option to buy one share in one year for \)200 would be unfair in some way.

a.Suppose that an investor (who has several shares of

the stock already) makes the following transactions.

She buys three more shares of the stock at \(200 per

share and sells four options for \)20.19 each. The investor

must borrow the extra \(519.24 necessary to

make these transactions at 4% for the year. At the

end of the year, our investor might have to sell four

shares for \)200 each to the person who bought the

options. In any event, she sells enough stock to pay

back the amount borrowed plus the 4 percent interest.

Prove that the investor has the same net worth

(within rounding error) at the end of the year as she

would have had without making these transactions,

no matter what happens to the stock price. (Acombination

of stocks and options that produces no change

in net worth is called a risk-free portfolio.)

b.Consider the same transactions as in part (a), but

this time suppose that the option price is \(xwhere

x <20.19. Prove that our investor loses|4.16x−84´¥

dollars of net worth no matter what happens to the

stock price.

c.Consider the same transactions as in part (a), but

this time suppose that the option price is \)xwhere

x >20.19. Prove that our investor gains 4.16x−84

dollars of net worth no matter what happens to the

stock price.

Suppose that the return R (in dollars per share) of a stock has a uniform distribution on the interval [−3, 7]. Suppose also that each share of the stock costs $1.50. Let Y be the net return (total return minus cost) on an investment of 10 shares of the stock. Compute E(Y ).

Construct an example of a distribution for which the mean is finite but the variance is infinite.

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