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ST202 PS10 MT - PDF 1

The document discusses the derivation of the marginal distribution of a random variable X and its properties, including the calculation of expected values and variances. It also covers the moment generating function (MGF) for a random sum and its application to Poisson and Bernoulli distributions. The final sections involve comparing expressions and finding parameters to match distributions.

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Yash Khatri
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34 views10 pages

ST202 PS10 MT - PDF 1

The document discusses the derivation of the marginal distribution of a random variable X and its properties, including the calculation of expected values and variances. It also covers the moment generating function (MGF) for a random sum and its application to Poisson and Bernoulli distributions. The final sections involve comparing expressions and finding parameters to match distributions.

Uploaded by

Yash Khatri
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

a We start by deriving the marginal distribution of X

Fx D la g dy β at β é é dy

atp é é é
atp é β é dy atp x o

Note that Exp β


é éβY
fu 19 a
D β B βé x y a

atp éktBx
otherwise
0

ote that Ytx X x Exp B exponential shifted by


I 9

b To calculate the properties of Y X x

we could do it from first principle since we

have the p.m f of Y x

Alternatively recognised the [Link]


since we

as
exponential shifted by x then use the
known results of this distribution

x
Y c
E Y a ICY 2

IE Y X

var E Y D var X var


β
Since we know the conditional part of Y

[Link]
EEfg
E
It a function

IX IE X IE X
Exp atp

3B
ftp.t
x
p βK β
N total people that arrived by time I in hours

N Poisson 7 7 2

i
the ith person arriving joins queue A

in Bernoulli p O p

5 total people that joined queue is a

random sum S 2

Find moment generating function


the
to determine the distribution of 5
definition [Link] IE ets
substitute [Link]
from independence et IE etXn
definition of MGF
M t
[Link] M 4
Xi areidentically
distributed

explenix x exp en M 4

enxt [Link]
exp N ln MID
definition of MGF
M t
of Nevaluated
at ln MIA Mpµ
NNPoisson MAY
MnlA exp let 1 exp y eʰ 1

exp a MH 1

exp 7 pet p
Bernoulli p
MID petti p
exp xp et 1 [Link]
This is a Poisson MGF with parameter Xp
Thus 5N Poisson Xp O Xp 2

At 10am 7 2 then Poisson Ip

10am

R Wi is a random sum

following the steps in


a

Mp t Ms Malt
S Poisson21

exp 2p eʰ 1
MsH expEp É 1

exp 2p Malt 1
Malt W

EXPC [Link]
MWCH
[Link] fetwo5wdw
ft t e
o t
wdw

exp 2p 1
exp 8pe Mplt to
Since we know the MGF of R we can

derive the ECR ECR by differentiation

P D
Mplt exp 8 PQ
exp LY e M'pA

IE R M 6 é

[Link] exp 8 exp 47


ECR M 0
1 218
41
4
48 P
var R E R ECR f P
1 P Mx t
My t Mn en Mce
1 [Link]
1 ti
p i p α
1 P2
α t pa
2
and them
Rearrange the two expressions compare

My D
w
It G w
t

WA H D 1 w µ 7 t 7h w7 1 a 4 t
7 t µ t 7 t µ t

1 p α
M G pa t
α t a x
rpα
1 p α

l α t CHF X D
f

Matching the denominators


7 4 F α
Its 7.4 11 p α

µ G α
we need to find w such that for allt
Finally
WA 1 w H o WA th who w
g
F α
w
F G A 1ft

Ht
My D
If
w r w W

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