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Math556 2019 Ex02

This document provides exercises related to characteristic functions and probability distributions. It asks students to find characteristic functions given probability density functions, find probability density functions given characteristic functions, determine whether a given function is a valid characteristic function, prove properties of characteristic functions, and show that the Gamma distribution is infinitely divisible. The exercises cover topics like independent and identically distributed random variables, convergence of characteristic functions, and approximating probability density functions with step functions.

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Frankie Huang
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34 views2 pages

Math556 2019 Ex02

This document provides exercises related to characteristic functions and probability distributions. It asks students to find characteristic functions given probability density functions, find probability density functions given characteristic functions, determine whether a given function is a valid characteristic function, prove properties of characteristic functions, and show that the Gamma distribution is infinitely divisible. The exercises cover topics like independent and identically distributed random variables, convergence of characteristic functions, and approximating probability density functions with step functions.

Uploaded by

Frankie Huang
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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MATH 556 - EXERCISES 2

Not for assessment.


1. Suppose that X is a continuous rv with pdf fX and characteristic function (cf) φX . Find φX (t) if
(a)
1
fX (x) = |x| exp{−|x|} x ∈ R.
2
(b)
fX (x) = exp{−x − e−x } x ∈ R.
(c)
∑ ∞
1 2
fX (x) = = −πx = (−1)k exp{−(2k + 1)π|x|} x ∈ R.
cosh(πx) e + eπx
k=0

Leave your answer as an infinite sum if necessary.

2. Find fX (x) if the cf is given by

φX (t) = 1 − |t| −1<t<1

and zero otherwise.


3. Suppose that random variable Y has cf φY . Find the distribution of Y if
(a)
2(1 − cos t)
φY (t) = t ∈ R.
t2
(b)
φY (t) = cos(θt) t ∈ R.
for some parameter θ > 0.

4. By considering derivatives at t = 0, and the implied moments, assess whether the function

1
φ(t) =
1 + t4
is a valid cf for a pmf or pdf.
5. Suppose that X1 , . . . , Xn are independent and identically distributed Cauchy rvs each with

1 1
fX (x) = x∈R φX (t) = exp{−|t|} t ∈ R.
π 1 + x2
Let continuous random variable Zn be defined by

1 n
Zn = = n .
X ∑
Xj
j=1

Find an expression for PZn [|Zn | ≤ c] for constant c > 0.

MATH 556 EXERCISES 2 Page 1 of 2


6. A probability distribution for rv X is termed infinitely divisible if, for all positive integers n, there
exists a sequence of independent and identically distributed rvs Zn1 , . . . , Znn such that X and

∑
n
Zn = Znj
j=1

have the same distribution, that is, the characteristic function of X can be written

φX (t) = {φZ (t)}n

for some characteristic function φZ . Show that the Gamma(α, β) distribution is infinitely divisible.
7. Prove that if fX is pdf for a continuous random variable, then

|φX (t)| −→ 0 as |t| −→ ∞.

Use the fact that fX can be approximated to arbitrary accuracy by a step-function; for each ϵ > 0, there exists
a step-function gϵ (x) defined (for some K) as

∑
K
gϵ (x) = ck 1Ak (x)
k=1

where ck , k = 1, . . . , K are real constants, and A1 , . . . , AK form a partition of R, such that


∫ ∞
|fX (x) − gϵ (x)| dx < ϵ.
−∞

As previously defined, the function 1A (x) is the indicator function for set A
{
1 x∈A
1A (x) = .
0 x∈ /A

MATH 556 EXERCISES 2 Page 2 of 2

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