Lectures 7 to 12: Sections III.c, III.
d and IV
III.c, III.d Exponential, Weibull, Gamma distributions
Mean, variance, PDF, CDF, as appropriate
Hazard rate for Exp(λ) and Weibull(λ, β)
Memoryless property of Exp(λ)
IV Joint distributions, independence, expectation
Joint PDF, marginal distributions, independence
Joint CDF, conditional distributions, the multiplication rule
The law of the unconscious statistician
Expectation of a function of RVs X and Y
Covariance and correlation
Professor C. Jennison MA10213 Revision Class 2
Exam question: 2007, Question 7
State the Memoryless Property and prove that it is attained by a
non-negative continuous random variable if and only if that
variable is exponentially distributed, that is it has probability
density function
f (x) = λ exp(−λ x), x > 0
where λ is a positive parameter. [15]
[Note: I approached this topic through the “hazard rate”. In
previous years, lecturers took a more direct approach — see the
proof given in the solution to this question.
The hazard rate is also useful in answering questions about the
nature of the Weibull distribution with β < 1 or β > 1.]
Professor C. Jennison MA10213 Revision Class 2
Example Sheet 3, Question 8
Suppose X ∼ N(0, 1) and Y = X 2 .
Show that Y ∼ Gamma(1/2, 1/2).
Hint: Write the event Y ≤ y as a statement about X . Divide this
event into two parts of equal probability. To find half the answer,
write the probability of one of these parts as an integral of the
normal density function. Make a change of variable to express
P(Y ≤ y ) as an integral of the appropriate Gamma density.
Professor C. Jennison MA10213 Revision Class 2
Exam question: 2008, Question 6
Let X and Y be two continuous random variables. Suppose the
conditional distribution of X given Y is given by
c1 2x , 0 < x < y , 0 < y < 1
y
fX |Y (x | Y = y ) =
0, otherwise
while the marginal distribution of Y is given by
(
c2 y 2 , 0 < y < 1
fY (y ) =
0, otherwise.
i) Find the constants c1 and c2 . [6]
ii) Find the joint distribution of X and Y . [2]
iii) Evaluate P( 12 < Y < 3
4 | X = 41 ). [4]
iv) Evaluate P( 12 < X < 3
4 | Y = 14 ). [3]
Professor C. Jennison MA10213 Revision Class 2
