Let X1, X2, .. be independent, U(0, 1)-distributed random variables, and let Nm E Po(m) be independent of X1, X2, Set Vm = max{X1,...2 0 when Nm =0). Determine (Vm (a) the distribution function of Vm, (b) the moment generating function of V- It is reasonable to believe that V is "close" to 1 when m is "large" (cf. Problem 8.1). The purpose of parts (c) and (d) is to show how this can be made more precise, %3D

MATLAB: An Introduction with Applications
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21. Let X1, X2, ... be independent, U (0, 1)-distributed random variables, and
let Nm E Po(m) be independent of X1, X2,
Set
V= max{X1,...,
(Vm = 0 when Nm =0). Determine
(a) the distribution function of Vm,
(b) the moment generating function of Vm.
It is reasonable to believe that V is "close" to 1 when m is "large"
(cf. Problem 8.1). The purpose of parts (c) and (d) is to show how
this can be made more precise.
(c) Show that E V,
(d) Show that m(1 - V) converges im distribution as m → x. and de-
termine the limit distribution.
→l as m→.
Transcribed Image Text:21. Let X1, X2, ... be independent, U (0, 1)-distributed random variables, and let Nm E Po(m) be independent of X1, X2, Set V= max{X1,..., (Vm = 0 when Nm =0). Determine (a) the distribution function of Vm, (b) the moment generating function of Vm. It is reasonable to believe that V is "close" to 1 when m is "large" (cf. Problem 8.1). The purpose of parts (c) and (d) is to show how this can be made more precise. (c) Show that E V, (d) Show that m(1 - V) converges im distribution as m → x. and de- termine the limit distribution. →l as m→.
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