Math556 2019 Ex02
Math556 2019 Ex02
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
∑
n
Zn = Znj
j=1
have the same distribution, that is, the characteristic function of X can be written
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
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
As previously defined, the function 1A (x) is the indicator function for set A
{
1 x∈A
1A (x) = .
0 x∈ /A