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Suppose that three random variables \({{\bf{X}}_{\bf{1}}}{\bf{,}}{{\bf{X}}_{\bf{2}}}{\bf{,}}{{\bf{X}}_{\bf{3}}}\)from a random sample from the uniform distribution on theinterval [0,1]. Determine the value of\({\bf{E}}\left[ {{{\left( {{{\bf{X}}_{\bf{1}}}{\bf{ - 2}}{{\bf{X}}_{\bf{2}}}{\bf{ + }}{{\bf{X}}_{\bf{3}}}} \right)}^{\bf{2}}}} \right]\).

Short Answer

Expert verified

The value of \(E\left[ {\left( {{X_1} - 2{X_2} + {X_3}} \right)} \right] = \frac{1}{2}\).

Step by step solution

01

Given information

There are three random variables \({X_1},{X_2}\;and\;{X_3}\) from the uniform distribution on the interval [0,1].

02

Determine the mean and variance of uniform distribution

The random variables \({X_i}\;\left( {i = 1,2,3} \right)\) has a uniform distribution on the interval [0,1]. So, the mean of the distribution is \(E\left( {{X_i}} \right) = \int_0^1 {{x_i}dx} = \frac{1}{2}\) and the variance is\(\begin{array}{c}Var\left( {{X_i}} \right) = E\left( {X_i^2} \right) - {\left( {E\left( {{X_i}} \right)} \right)^2}\\ = \int_0^1 {x_i^2dx} - \frac{1}{4}\\ = \frac{1}{3} - \frac{1}{4} = \frac{1}{{12}}\end{array}\)

03

Calculate the Expectation value

Let us consider\(Z = \left( {{X_1} - 2{X_2} + {X_3}} \right)\). As,\({X_i}'s\)are independent,

So,

\(\begin{array}{c}E\left( Z \right) = E\left( {{X_1}} \right) - 2E\left( {{X_2}} \right) + E\left( {{X_3}} \right)\\ = \frac{1}{2} - 1 + \frac{1}{2} = 0\end{array}\)

\(\begin{array}{c}Var\left( Z \right) = Var\left( {{X_1}} \right) + 4Var\left( {{X_2}} \right) + Var\left( {{X_3}} \right)\\ = \frac{1}{{12}} + \frac{1}{3} + \frac{1}{{12}} = \frac{1}{2}\end{array}\)

Therefore,

\(\begin{array}{c}E\left( {{Z^2}} \right) = E\left[ {\left( {{X_1} - 2{X_2} + {X_3}} \right)} \right]\\ = Var\left( Z \right) + \left[ {E{{\left( Z \right)}^2}} \right]\\ = \frac{1}{2} + 0\\ = \frac{1}{2}\end{array}\)

Thus, the required value is\(\frac{1}{2}\).

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Most popular questions from this chapter

Suppose that a point\({{\bf{X}}_{\bf{1}}}\)is chosen from the uniform distribution on the interval\(\left( {{\bf{0,1}}} \right)\)and that after the value\({{\bf{X}}_{\bf{1}}}{\bf{ = }}{{\bf{x}}_{\bf{1}}}\)is observed, a point\({{\bf{X}}_{\bf{2}}}\)is chosen from a uniform distribution on the interval\(\left( {{{\bf{x}}_{\bf{1}}}{\bf{,1}}} \right)\). Suppose further that additional variables\({{\bf{X}}_{\bf{3}}}{\bf{,}}{{\bf{X}}_{\bf{4}}}{\bf{,}}...\)are generated in the same way. Generally,\({\bf{j = 1,2,}}...{\bf{,}}\)after the value\({{\bf{X}}_{\bf{j}}}{\bf{ = }}{{\bf{x}}_{\bf{j}}}\)has been observed,\({{\bf{X}}_{{\bf{j + 1}}}}\)is chosen from a uniform distribution on the interval\(\left( {{{\bf{x}}_{\bf{j}}}{\bf{,1}}} \right)\). Find the value of\({\bf{E}}\left( {{{\bf{X}}_{\bf{n}}}} \right)\).

Suppose that a random variable X has a discrete distribution for which the p.f. is as follows:

\(f\left( x \right) = \left\{ {\begin{aligned}{{}{}}{cx}&{{\rm{for }}x = 1,2,3,4,5,6}\\0&{{\rm{otherwise}}}\end{aligned}} \right.\)

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