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问题及解答

[Exer10-4] Exercise 19 of Book {Devore2017B} P.157

Posted by haifeng on 2020-04-21 09:20:14 last update 2020-04-22 23:18:00 | Edit | Answers (1)

Let $X$ be a continuous rv with cdf
\[
F(x)=\begin{cases}
       0, & x\leqslant 0, \\
       \frac{x}{4}\Bigl[1+\ln(\frac{4}{x})\Bigr], & 0 < x\leqslant 4, \\
       1, & x > 4.
     \end{cases}
\]
[This type of cdf is suggested in the article "Variability in Measured Bedload-Transport Rates" (Water Resources Bull., 1985:39--48) as a model for a certain hydrologic variable.] What is

  • (a) $P(X\leqslant 1)$?
  • (b) $P(1\leqslant X\leqslant 3)$?
  • (c) The pdf of $X$?
     

 

1

Posted by haifeng on 2020-04-22 23:51:11

(a)

\[
P(X\leqslant 1)=F(1)=\frac{1}{4}\Bigl[1+\ln(\frac{4}{1})\Bigr]=\frac{1}{4}(1+2\ln 2)\approx 0.59657359
\]


(b)

\[
\begin{split}
P(1\leqslant X\leqslant 3)&=F(3)-F(1)\\
&=\frac{3}{4}\Bigl[1+\ln(\frac{4}{3})\Bigr]-\frac{1}{4}\Bigl[1+\ln(\frac{4}{1})\Bigr]\\
&=\frac{3}{4}(1+2\ln 2-\ln 3)-\frac{1}{4}(1+2\ln 2)\\
&=\frac{3}{4}+\frac{3}{2}\ln 2-\frac{3}{4}\ln 3-\frac{1}{4}-\frac{1}{2}\ln 2\\
&=\frac{1}{2}+\ln 2-\frac{3}{4}\ln 3\\
&\approx 0.3691879900
\end{split}
\]


(c)

For $x < 0$ or $x > 4$, $f(x)=0$, since $F(x)$ is constant.

For $x=0$, it is clear that $F'_{-}(0)=0$ and

\[
\begin{split}
F'_{+}(0)&=\lim_{x\rightarrow 0^+}\frac{F(x)-F(0)}{x-0}\\
&=\lim_{x\rightarrow 0^+}\frac{\frac{x}{4}(1+\ln\frac{4}{x})-0}{x}\\
&=\lim_{x\rightarrow 0^+}\frac{1}{4}(1+\ln\frac{4}{x})\\
&=+\infty
\end{split}
\]

So, the derivative of the function $F(x)$ at the point $x=0$ doesn't exist.

 

For $x\in(0,4)$,

\[
\begin{split}
f(x)&=F'(x)=\biggl(\frac{x}{4}(1+\ln\frac{4}{x})\biggr)'\\
&=\biggl(\frac{x}{4}\biggr)'\cdot(1+\ln\frac{4}{x})+\frac{x}{4}\cdot\biggl(1+\ln\frac{4}{x}\biggr)'\\
&=\frac{1}{4}\cdot(1+\ln\frac{4}{x})+\frac{x}{4}\cdot\frac{x}{4}\cdot\biggl(\frac{4}{x}\biggr)'\\
&=\frac{1}{4}+\frac{1}{4}\ln\frac{4}{x}+\frac{x^2}{16}\cdot\frac{-4}{x^2}\\
&=\frac{1}{4}+\frac{1}{4}\ln\frac{4}{x}-\frac{1}{4}\\
&=\frac{1}{4}\ln\frac{4}{x}
\end{split}
\]

 

For $x=4$, it is clear that $F'_{+}(4)=0$. 

\[
\begin{split}
F'_{-}(4)&=\lim_{x\rightarrow 4^-}\frac{F(x)-F(4)}{x-4}\\
&=\lim_{x\rightarrow 4^-}\frac{\frac{x}{4}(1+\ln\frac{4}{x})-1}{x-4}\\
&=\lim_{x\rightarrow 4^-}\frac{x(1+\ln\frac{4}{x})-4}{4(x-4)}\\
&=\lim_{x\rightarrow 4^-}\frac{x-4+x\ln(1+\frac{4-x}{x})}{4(x-4)}\\
&=\frac{1}{4}+\lim_{x\rightarrow 4^-}\frac{x\ln(1+\frac{4-x}{x})}{4(x-4)}\\
&=\frac{1}{4}+\lim_{x\rightarrow 4^-}\frac{\ln(1+\frac{4-x}{x})}{x-4}\\
&=\frac{1}{4}+\lim_{x\rightarrow 4^-}\frac{\frac{4-x}{x}}{x-4}\\
&=\frac{1}{4}-\lim_{x\rightarrow 4^-}\frac{1}{x}\\
&=\frac{1}{4}-\frac{1}{4}\\
&=0
\end{split}
\]

Hence, $f(4)=F'(4)=0$.

 

Therefore, we have

\[
f(x)=\begin{cases}
0, & x < 0,\\
\frac{1}{4}\ln\frac{4}{x}, & 0 < x < 4,\\
0, & x\geqslant 4.
\end{cases}
\]

If write $f(x)$ in decimal format, we have $f(x)=0.34657359-0.25\ln x$ for $x\in(0,4)$.