EXAMPLE 6.5 Solution Let U be a uniform random variable on the interval (0, 1). Find a transformation G(U) such that G(U) possesses an exponential distribution with mean B. If U possesses a uniform distribution on the interval (0, 1), then the distribution function of U (see Exercise 4.38) is given by 0, u < 0, 0 ≤u ≤ 1, Fu (u) = U, 1, u > 1. Let Y denote a random variable that has an exponential distribution with mean p. Then (see Section 4.6) Y has distribution function Fy (y) = {i-e-x/P. Notice that Fy (y) is strictly increasing on the interval [0, ∞). Let 0 < u < 1 and observe that there is a unique value y such that Fy (y) = u. Thus, Fy¹ (u), 0 < u < 1, is well defined. In this case, Fy (y) = 1 - e-y/B = u if and only if y = -ß ln(1-u) = Fy¹ (u). Consider the random variable Fy¹(U) = -8 ln(1-U) and observe that, if y > 0, P(Fy¹ (U) ≤ y) = P[-8 ln(1 - U) ≤y] = P[ln(1 - U) ≥ -y/B] = P(U ≤ 1-e-/B) = 1- e-y/B. y < 0, y ≥ 0. Also, P[F'(U) ≤y] = 0 if y ≤ 0. Thus, Fy'(U) = -8 ln(1 - U) possesses an exponential distribution with mean ß, as desired.
EXAMPLE 6.5 Solution Let U be a uniform random variable on the interval (0, 1). Find a transformation G(U) such that G(U) possesses an exponential distribution with mean B. If U possesses a uniform distribution on the interval (0, 1), then the distribution function of U (see Exercise 4.38) is given by 0, u < 0, 0 ≤u ≤ 1, Fu (u) = U, 1, u > 1. Let Y denote a random variable that has an exponential distribution with mean p. Then (see Section 4.6) Y has distribution function Fy (y) = {i-e-x/P. Notice that Fy (y) is strictly increasing on the interval [0, ∞). Let 0 < u < 1 and observe that there is a unique value y such that Fy (y) = u. Thus, Fy¹ (u), 0 < u < 1, is well defined. In this case, Fy (y) = 1 - e-y/B = u if and only if y = -ß ln(1-u) = Fy¹ (u). Consider the random variable Fy¹(U) = -8 ln(1-U) and observe that, if y > 0, P(Fy¹ (U) ≤ y) = P[-8 ln(1 - U) ≤y] = P[ln(1 - U) ≥ -y/B] = P(U ≤ 1-e-/B) = 1- e-y/B. y < 0, y ≥ 0. Also, P[F'(U) ≤y] = 0 if y ≤ 0. Thus, Fy'(U) = -8 ln(1 - U) possesses an exponential distribution with mean ß, as desired.
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter10: Sequences, Series, And Probability
Section10.8: Probability
Problem 32E
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