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Let \({\rm{X}}\) have the Pareto pdf

\({\rm{f(x;k,\theta ) = }}\left\{ {\begin{array}{*{20}{c}}{\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{{\rm{x}}^{{\rm{k + 1}}}}}}}&{{\rm{x}} \ge {\rm{\theta }}}\\{\rm{0}}&{{\rm{x < \theta }}}\end{array}} \right.\)

introduced in Exercise \({\rm{10}}\). a. If \({\rm{k > 1}}\), compute \({\rm{E(X)}}\). b. What can you say about \({\rm{E(X)}}\) if \({\rm{k = 1}}\)? c. If \({\rm{k > 2}}\), show that \({\rm{V(X) = k}}{{\rm{\theta }}^{\rm{2}}}{{\rm{(k - 1)}}^{{\rm{ - 2}}}}{{\rm{(k - 2)}}^{{\rm{ - 1}}}}\). d. If \({\rm{k = 2}}\), what can you say about \({\rm{V(X)}}\)? e. What conditions on \({\rm{k}}\) are necessary to ensure that \({\rm{E}}\left( {{{\rm{X}}^{\rm{n}}}} \right)\) is finite?

Short Answer

Expert verified

(a)The value is\({\rm{E(X) = }}\frac{{{\rm{k \times \theta }}}}{{{\rm{k - 1}}}}\).

(b)In this,\({\rm{E(X)}}\)will be undefined.

(c)The value is\({\rm{V(X) = }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{2}}}}}{{{\rm{(k - 2)(k - 1}}{{\rm{)}}^{\rm{2}}}}}\).

(d)In this,\({\rm{V(X)}}\)will be infinite.

(e) The value is \({\rm{k > n}}\).

Step by step solution

01

Define variable

An unknown number, unknown value, or unknown quantity is represented by a variable, which is an alphabet or word. In the context of algebraic expressions or algebra, the variables are particularly useful.

02

Explanation

(a) We are given a pdf of x as follows:

\({\rm{f(x;k,\theta ) = }}\left\{ {\begin{array}{*{20}{l}}{\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{{\rm{x}}^{{\rm{k + 1}}}}}}}&{{\rm{x}} \ge {\rm{\theta }}}\\{\rm{0}}&{{\rm{x < \theta }}}\end{array}} \right.\)

The anticipated value\({\rm{E(X)}}\)can be calculated as follows:

\(\begin{array}{c}{\rm{E(X) = }}\int_{{\rm{ - }}\infty }^\infty {\rm{x}} {\rm{ \times f(x;k,\theta ) \times dx}}\\{\rm{ = }}\int_{\rm{\theta }}^\infty {\rm{x}} {\rm{ \times }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{{\rm{x}}^{{\rm{k + 1}}}}}}{\rm{ \times dx}}\\{\rm{ = }}\int_{\rm{\theta }}^\infty {\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{{\rm{x}}^{\rm{k}}}{\rm{ \times dx}}}}} {\rm{ (1}}{\rm{.1)}}\\{\rm{ = k \times }}{{\rm{\theta }}^{\rm{k}}}\left( {\frac{{{\rm{ - 1}}}}{{{\rm{(k - 1)}}{{\rm{x}}^{{\rm{k - 1}}}}}}} \right)_{\rm{\theta }}^\infty {\rm{ (since k is greater than 1)}}\\{\rm{ = }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{\rm{k - 1}}}}\left( {\frac{{\rm{1}}}{{{{\rm{\theta }}^{{\rm{k - 1}}}}}}} \right)\\{\rm{E(X) = }}\frac{{{\rm{k \times \theta }}}}{{{\rm{k - 1}}}}\end{array}\)

The anticipated value of a continuous\({\rm{rv}}\)\({\rm{X}}\)with pdf\({\rm{f(x)}}\)is defined as

\({\rm{E(X) = }}\int_{{\rm{ - }}\infty }^\infty {\rm{x}} {\rm{ \times f(x) \times dx}}\)

Therefore, the value is \({\rm{E(X) = }}\frac{{{\rm{k \times \theta }}}}{{{\rm{k - 1}}}}\).

03

Explanation

(b)If\({\rm{k = 1}}\), our analysis will be the same until we get to equation\({\rm{(1}}{\rm{.1)}}\), as shown in the preceding section. As a result, we pick up where we left off and substitute\({\rm{k = 1}}\), yielding:

\(\begin{array}{c}{\rm{E(X) = }}\int_{\rm{\theta }}^\infty {\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{{\rm{x}}^{\rm{k}}}}}} {\rm{ \times dx ( from 1}}{\rm{.1)}}\\{\rm{ = }}\int_{\rm{\theta }}^\infty {\frac{{\rm{\theta }}}{{\rm{x}}}} {\rm{ \times dx (putting k = 1 in above equation)}}\\{\rm{ = \theta (ln x)}}_{\rm{\theta }}^\infty \\{\rm{E(X) = \theta (ln(}}\infty {\rm{) - ln(\theta ))}}\end{array}\)

As a result, in this scenario, \({\rm{E(X)}}\) will be undefined.

04

Explanation

(c)To begin, we must calculate\({\rm{E}}\left( {{{\rm{X}}^{\rm{2}}}} \right)\):

\(\begin{array}{c}{\rm{E}}\left( {{{\rm{X}}^{\rm{2}}}} \right){\rm{ = }}\int_{{\rm{ - }}\infty }^\infty {{{\rm{x}}^{\rm{2}}}} {\rm{ \times f(x;k,\theta ) \times dx}}\\{\rm{ = }}\int_{\rm{\theta }}^\infty {{{\rm{x}}^{\rm{2}}}} {\rm{ \times }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{{\rm{x}}^{{\rm{k + 1}}}}}}{\rm{ \times dx}}\\{\rm{ = }}\int_{\rm{\theta }}^\infty {\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{{\rm{x}}^{{\rm{k - 1}}}}}}} {\rm{ \times dx (1}}{\rm{.1)}}\\{\rm{ = k \times }}{{\rm{\theta }}^{\rm{k}}}\left( {\frac{{{\rm{ - 1}}}}{{{\rm{(k - 2)}}{{\rm{x}}^{{\rm{k - 2}}}}}}} \right)_{\rm{\theta }}^\infty {\rm{ (since k is greater than 2)}}\\{\rm{ = }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{k}}}}}{{{\rm{k - 2}}}}\left( {\frac{{\rm{1}}}{{{{\rm{\theta }}^{{\rm{k - 2}}}}}}} \right)\\{\rm{E}}\left( {{{\rm{X}}^{\rm{2}}}} \right){\rm{ = }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{2}}}}}{{{\rm{k - 2}}}}\end{array}\)

\({\rm{V(X)}}\)can then be written as:

\(\begin{array}{c}{\rm{V(X) = E}}\left( {{{\rm{X}}^{\rm{2}}}} \right){\rm{ - (E(X)}}{{\rm{)}}^{\rm{2}}}\\{\rm{ = }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{2}}}}}{{{\rm{k - 2}}}}{\rm{ - }}{\left( {\frac{{{\rm{k \times \theta }}}}{{{\rm{k - 1}}}}} \right)^{\rm{2}}}\\{\rm{ = }}\frac{{\left( {{\rm{k \times }}{{\rm{\theta }}^{\rm{2}}}{{{\rm{(k - 1)}}}^{\rm{2}}}} \right){\rm{ - }}\left( {{{\rm{k}}^{\rm{2}}}{{\rm{\theta }}^{\rm{2}}}{\rm{(k - 2)}}} \right)}}{{{\rm{(k - 2)(k - 1}}{{\rm{)}}^{\rm{2}}}}}\\{\rm{V(X) = }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{2}}}}}{{{\rm{(k - 2)(k - 1}}{{\rm{)}}^{\rm{2}}}}}\end{array}\)

Therefore, the value is \({\rm{V(X) = }}\frac{{{\rm{k \times }}{{\rm{\theta }}^{\rm{2}}}}}{{{\rm{(k - 2)(k - 1}}{{\rm{)}}^{\rm{2}}}}}\).

05

Explanation

(d) Since the integral in the expression \({\rm{E}}\left( {{{\rm{X}}^{\rm{2}}}} \right)\) evaluates to infinity if \({\rm{k = 2}}\), \({\rm{V(X)}}\) will be infinite.

06

Explanation

(e)We can deduce from sections (b) and (d) that to assure that\({\rm{E}}\left( {{{\rm{X}}^{\rm{n}}}} \right)\)is finite:

\({\rm{k > n}}\)

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Most popular questions from this chapter

The authors of the article "A Probabilistic Insulation Life Model for Combined Thermal-Electrical Stresses" (IEEE Trans. on Elect. Insulation, \({\rm{1985: 519 - 522}}\)) state that "the Weibull distribution is widely used in statistical problems relating to aging of solid insulating materials subjected to aging and stress." They propose the use of the distribution as a model for time (in hours) to failure of solid insulating specimens subjected to \({\rm{AC}}\) voltage. The values of the parameters depend on the voltage and temperature; suppose \({\rm{\alpha = 2}}{\rm{.5}}\) and \({\rm{\beta = 200}}\) (values suggested by data in the article).

a. What is the probability that a specimen's lifetime is at most \({\rm{250}}\)? Less than\({\rm{250}}\)? More than\({\rm{300}}\)?

b. What is the probability that a specimen's lifetime is between \({\rm{100}}\) and \({\rm{250}}\)?

c. What value is such that exactly \({\rm{50\% }}\) of all specimens have lifetimes exceeding that value?

Determine \({{\rm{z}}_{\rm{\alpha }}}\) for the following values of \({\rm{\alpha }}\): a. \({\rm{\alpha = }}{\rm{.0055}}\) b. \({\rm{\alpha = }}{\rm{.09}}\) c. \({\rm{\alpha = }}{\rm{.663}}\)

A college professor never finishes his lecture before the end of the hour and always finishes his lectures within \({\rm{2}}\) min after the hour. Let \({\rm{X = }}\)the time that elapses between the end of the hour and the end of the lecture and suppose the pdf of \({\rm{X}}\) is

\({\rm{f(x) = \{ }}\begin{array}{*{20}{c}}{{\rm{k}}{{\rm{x}}^2}}&{{\rm{0}} \le {\rm{x}} \le {\rm{2}}}\\{\rm{0}}&{{\rm{otherwise}}}\end{array}\)

a. Find the value of \({\rm{k}}\) and draw the corresponding density curve. (Hint: Total area under the graph of \({\rm{f(x)}}\) is \({\rm{1}}\).)

b. What is the probability that the lecture ends within \({\rm{1}}\) min of the end of the hour?

c. What is the probability that the lecture continues beyond the hour for between \({\rm{60}}\) and \({\rm{90}}\) sec?

d. What is the probability that the lecture continues for at least \({\rm{90}}\) sec beyond the end of the hour?

The article 鈥淎 Model of Pedestrians鈥 Waiting Times for Street Crossings at Signalized Intersections鈥 (Transportation Research, \({\rm{2013: 17--28}}\)) suggested that under some circumstances the distribution of waiting time X could be modelled with the following pdf:

\({\rm{f(x;\theta ,\tau ) = }}\left\{ {\begin{array}{*{20}{c}}{\frac{{\rm{\theta }}}{{\rm{\tau }}}{{{\rm{(1 - x/\tau )}}}^{{\rm{\theta - 1}}}}}&{{\rm{0}} \le {\rm{x < \tau }}}\\{\rm{0}}&{{\rm{ otherwise }}}\end{array}} \right.\)

a. Graph \({\rm{f(x;\theta ,80)}}\) for the three cases \({\rm{\theta = 4,1}}\) and \({\rm{.5}}\) (these graphs appear in the cited article) and comment on their shapes. b. Obtain the cumulative distribution function of X. c. Obtain an expression for the median of the waiting time distribution. d. For the case \({\rm{\theta = 4,\tau = 80}}\) calculate \({\rm{P(50}} \le {\rm{X}} \le {\rm{70)}}\) without at this point doing any additional integration.

The error involved in making a certain measurement is a continuous rv \({\rm{X}}\) with pdf

\({\rm{f(x) = \{ }}\begin{array}{*{20}{c}}{{\rm{.09375(4 - }}{{\rm{x}}^2})}&{{\rm{ - 2}} \le {\rm{x}} \le {\rm{2}}}\\{\rm{0}}&{{\rm{otherwise}}}\end{array}\)

a. Sketch the graph of \({\rm{f(x)}}\).

b. Compute \({\rm{P(X > 0)}}\).

c. Compute \({\rm{P( - 1 < X < 1)}}\).

d. Compute \({\rm{P(X < - }}{\rm{.5 or X > }}{\rm{.5)}}\).

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