EBK FIRST COURSE IN PROBABILITY, A
EBK FIRST COURSE IN PROBABILITY, A
10th Edition
ISBN: 9780134753683
Author: Ross
Publisher: VST
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Chapter 10, Problem 10.9P

Suppose we have a method for simulating random variables from the distributions F1 and F2. Explain how to simulate from the distribution F ( x ) = p F 1 ( x ) + ( 1 p ) F 2 ( x ) 0 < p < 1

Give a method for simulating from F ( x ) = { 1 3 ( 1 e 3 x ) + 2 3 x 0 < x 1 4 1 3 ( 1 e 3 x ) + 2 3 x > 1

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A random variable X has only two values a and b with P(X = a) = p , P(X = b) = q (p + q = 1).Find its mean value and variation.
Suppose X and Y are independent. X has a mean of 1 and variance of 1, Y has a mean of 0, and variance of 2. Let S=X+Y, calculate E(S) and Var(S). Let Z=2Y^2+1/2 X+1 calculate E(Z). Hint: for any random variable X, we have Var(X)=E(X-E(X))^2=E(X^2 )-(E(X))^2, you may want to find EY^2  with this. Calculate cov(S,X). Hint: similarly, we have cov(Z,X)=E(ZX)-E(Z)E(X), Calculate cov(Z,X). Are Z and X independent? Are Z and Y independent? Why? What about mean independence?
A discrete random variable X can only take the values -1, 0 and 1. The probabilities of this are P(X = -1) - p, P(X = 1) = p and therefore P(X = 0) = 1 - 2p. Here p is an unknown parameter that we want to estimate. We take a random sample X1, X2, .., Xn and consider two different estimators T1 and T2 for p: #(X; = 1) #(\X;| = 1) %3D en T, = n 2n Here # counts the number of elements, so T2 is the number of random variables that resulted in 1 or -1, divided by 2n. • Calculate the expected mean squared error (MSE) of T2 if p=0.3 and n=200. Give an exact answer. (Correct answer: 3/10000)
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