Math & Stat ~ assignment question

2007-10-24 1:09 am
Suppose that a real-valued random variable U has a continuous distribution with density
function g(·) and distribution function G(·). Let μ and be constants with > 0. Show
that V = μ + U has density function f(·) and distribution function F(·) given by f(v) =
(1/)g[(v − μ)/] and F(v) = G[(v − μ)/], respectively.

回答 (1)

2007-10-24 2:11 am
✔ 最佳答案
Suppose that a real-valued random variable U has a continuous distribution with density function g(·) and distribution function G(·). Let μ be constants with > 0. Show that V = μ + U has density function f(·) and distribution function F(·) given by f(v) =(1/)g[(v − μ)/] and F(v) = G[(v − μ)/], respectively.
We have
F(v)
=Pr(V<=v)
=Pr( μ + U<=v)
=Pr( U<=v-μ )
=G(v-μ)
Differentiate F(v) with respect to v
f(v)=G'(v-μ)=g(v-μ)
參考: A First Course in Probability (6th Edition) by Sheldon Ross


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