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2.1. (a) Probability distribution function for Y
Outcome (number of heads)
Y=0
Probability
0.25
(b) Cumulative probability distribution function for Y
Outcome (number of
Y<0
0Y<1
heads)
Probability
0
0.25
(c) Y = E (Y ) = (0 0.25) + (1 0.50) + (2 0.25) = 1.00
Using Key Concept 2.3: var(Y ) = E (Y 2 ) [ E (Y )]2 ,
and
Y=1
0.50
Y=2
0.25
1Y<2
Y2
0.75
1.0
(a)
corr (W , V ) =
WV
3.528
=
= 0.4425.
W V
7.56 8.4084
(b) corr ( M, F ) =
cov( M , F )
M F
(d) First you need to look up the current Euro/dollar exchange rate in the Wall Street
Journal, the Federal Reserve web page, or other financial data outlet. Suppose that
this exchange rate is e (say e = 0.75 Euros per Dollar or 1/e = 1.33 Dollars per
Euro); each 1 Eollar is therefore with e Euros. The mean is therefore eC (in
units of thousands of euros per year), and the standard deviation is eC (in units
of thousands of euros per year). The correlation is unit-free, and is unchanged.
2.9.
Value of Y
Value of X
1
5
8
Probability distribution
of Y
14
0.02
0.17
0.02
0.21
22
0.05
0.15
0.03
0.23
30
0.10
0.05
0.15
0.30
40
0.03
0.02
0.10
0.15
Probability
Distribution
65
of X
0.01
0.21
0.01
0.40
0.09
0.39
0.11
1.00
(a) The probability distribution is given in the table above.
E(Y ) = 14 0.21+ 22 0.23+ 30 0.30 + 40 0.15 + 65 0.11 = 30.15
E(Y 2 ) = 142 0.21+ 222 0.23+ 302 0.30 + 402 0.15 + 652 0.11 = 1127.23
var(Y ) = E(Y 2 ) [E(Y )]2 = 218.21
Y = 14.77
(b)
The
conditional
probability
of
Y|X
=
8
is
given
in
the
table
below
Value of Y
14
22
30
40
65
0.02/0.39
0.03/0.39
0.15/0.39
0.10/0.39
0.09/0.39
(c)
E (Y Y ) 4
4
Y
E ( S |X = 0) = 0; E ( S 2 |X = 0) = 100, E ( S 3 |X = 0) = 0, E ( S 4 |X = 0) = 3 1002.
Similarly,
E (S|X = 1) = 0; E (S 2 |X = 1) = 1, E ( S 3|X = 1) = 0, E ( S 4 |X = 1) = 3.
From the large of iterated expectations
E ( S ) = E (S |X = 0) Pr (X = 0) + E (S |X = 1) Pr( X = 1) = 0
E (S 2 ) = E (S 2 |X = 0) Pr (X = 0) + E (S 2 |X = 1) Pr( X = 1) = 100 0.01 + 1 0.99 = 1.99
E (S 3 ) = E (S 3 |X = 0) Pr (X = 0) + E (S 3|X = 1) Pr( X = 1) = 0
E ( S 4 ) = E ( S 4 |X = 0) Pr (X = 0) + E ( S 4 |X = 1) Pr( X = 1)
= 3 1002 0.01 + 3 1 0.99 = 302.97
2.15. (a)
9.6 10 Y 10 10.4 10
Pr (9.6 Y 10.4) = Pr
4/n
4/n
4/n
10.4 10
9.6 10
= Pr
Z
4/n
4/n
10.4 10
9.6 10
(i) n = 20; Pr
Z
= Pr (0.89 Z 0.89) = 0.63
4/n
4/n
10.4 10
9.6 10
(ii) n = 100; Pr
Z
= Pr(2.00 Z 2.00) = 0.954
4/n
4/n
10.4 10
9.6 10
(iii)n = 1000; Pr
Z
= Pr(6.32 Z 6.32) = 1.000
4/n
4/n
(b)
c
Y 10
c
Pr (10 c Y 10 + c) = Pr
4/n
4/n
4/n
c
c
= Pr
Z
.
4/n
4/n
As n get large
c
gets large, and the probability converges to 1.
4/n
(c) This follows from (b) and the definition of convergence in probability given in
Key Concept 2.6.
0.6124 = 0.27
= Pr
0.24/n
0.24/n
0.24/n
(ii) P( Y 0.37) = Pr
1.22 = 0.11
= Pr
0.24/n
0.24/n
0.24/n
0.390.4
0.24/n
9220.
2.19. (a)
l
Pr (Y = y j ) = Pr ( X = xi , Y = y j )
i =1
l
= Pr (Y = y j | X = xi )Pr ( X = xi )
i =1
(b)
k
j =1
j =1
i =1
E (Y ) = y j Pr (Y = y j ) = y j Pr (Y = y j |X = xi ) Pr ( X = xi )
k
i =1 j =1
l
yj Pr (Y = yj |X = xi ) Pr ( X = xi )
= E (Y | X = xi )Pr ( X = xi ).
i =1
Pr (X = xi , Y = yj ) = Pr (X = xi )Pr (Y = y j ),
so
XY = E[( X X )(Y Y )]
l
= ( xi X )( y j Y ) Pr ( X = xi , Y = y j )
i =1 j =1
l
= ( xi X )( y j Y ) Pr ( X = xi ) Pr (Y = y j )
i =1 j =1
l
k
= ( xi X ) Pr ( X = xi ) ( yj Y ) Pr (Y = yj
i =1
j =1
= E ( X X ) E (Y Y ) = 0 0 = 0,
cor (X , Y ) =
XY
0
=
= 0.
XY XY
2. 21.
(a)
E ( X )3 = E[( X )2 ( X )] = E[ X 3 2 X 2 + X 2 X 2 + 2 X 2 3 ]
= E ( X 3 ) 3E ( X 2 ) + 3E ( X ) 2 3 = E ( X 3 ) 3E ( X 2 ) E ( X ) + 3E ( X )[ E ( X )]2 [ E ( X )]3
= E ( X 3 ) 3E ( X 2 ) E ( X ) + 2 E ( X ) 3
(b)
E ( X )4 = E[( X 3 3 X 2 + 3 X 2 3 )( X )]
= E[ X 4 3 X 3 + 3 X 2 2 X 3 X 3 + 3 X 2 2 3 X 3 + 4 ]
= E ( X 4 ) 4E ( X 3 ) E ( X ) + 6E( X 2 ) E ( X )2 4E( X ) E( X )3 + E( X ) 4
= E ( X 4 ) 4[ E ( X )][ E ( X 3 )] + 6[ E ( X )]2[ E ( X 2 )] 3[ E ( X )]4
2. 23. X and Z are two independently distributed standard normal random variables, so
X = Z = 0, X2 = Z2 = 1, XZ = 0.
(a) Because of the independence between X and Z , Pr ( Z = z| X = x) = Pr ( Z = z ),
and E ( Z |X ) = E ( Z ) = 0. Thus
E (Y| X ) = E ( X 2 + Z| X ) = E ( X 2| X ) + E (Z |X ) = X 2 + 0 = X 2 .
(b) E ( X 2 ) = X2 + X2 = 1, and Y = E ( X 2 + Z ) = E ( X 2 ) + Z = 1 + 0 = 1.
E ( XY ) = E ( X 3 ) + E (ZX ) = 0.
(d)
XY
0
=
= 0.
XY XY
ax
2.25. (a)
i =1
(b)
n
(x + y ) = (x + y
i =1
+ x2 + y2 + L xn + yn )
= ( x1 + x2 + L xn ) + ( y1 + y2 + L yn )
n
i =1
i =1
= xi + yi
(c)
a = (a + a + a + L
+ a ) = na
i =1
(d)
n
i =1
i =1
i =1
i =1
i =1
i =1
i =1
2.27
(a) E(W) = E[E(W|Z) ] = E[E(X X! )|Z] = E[ E(X|Z) E(X|Z) ] = 0.
(c) Using the hint: V = W h(Z), so that E(V2) = E(W2) + E[h(Z)2] 2E[Wh(Z)].
Using an argument like that in (b), E[Wh(Z)] = 0. Thus, E(V2) = E(W2) +
E[h(Z)2], and the result follows by recognizing that E[h(Z)2] 0 because h(z)2 0
for any value of z.