Probability: Problem Set 6
Instructor: W. D. Gillam
Due Nov. 6, start of class
Instructions. Print your name in the upper right corner of the paper and write “Problem
Set 6” on the ﬁrst line on the left. Skip a few lines. When you ﬁnish this, indicate on
the second line on the left the amount of time you spent on this assignment and rate its
diﬃculty on a scale of 1 −5 (1 = easy, 5 = hard).
(1) Let X, Y be Cauchy distributed independent random variables. Calculate the
density function for X+Y.
Solution. The density function for the Cauchy distribution is
f(x) = 1
π(1 + x2)
so the density for X+Yis given by the convolution product, which can be inte-
grated by partial fractions:
(f∗f)(x) = Z∞
(1 + y2)
1 + (x−y)2dy
x(arctan y−arctan(x−y)) + ln 1+y2
π(4 + x2)
Note that the terms in the logarithm approach 1 as y→ ±∞, so they drop out
and we have used
y→±∞ arctan y=±π
Notice that the density for X+Yis the same as the density for 2Xin this case.
This is not generally true, as we know from the Central Limit Theorem; the Cauchy
distribution shows the necessity of the assumptions of ﬁnite expected value and
variance (or at least some assumptions along these lines...) in the Central Limit
Theorem. For example, even when Xhas a uniform distribution, X+Ywill have
a Simpson distribution even though 2Xalso has a uniform distribution.
(2) For n∈Z≥0, show that
Hint: When n= 0, this is the Gaussian integral (note (−1)!! = 1 by convention).
Induct on nand use the functional equation Γ(z+ 1) = zΓ(z).
Solution. By induction, we compute, using the functional equation:
Γ(n+ 1 + 1
2) = (n+1
(3) Let Xbe a continuous random variable with cumulative distribution function F(x)
and density function f(x). Assume
x→+∞x(1 −F(x)) = 0
x→−∞ xF (x) = 0.
E(X) := Z∞
(1 −F(x))dx −Z0
Draw a typical such Fand shade the regions whose areas are given by these
integrals. You may want to think about the analog of this when the expected
value is replaced by the variance.
Solution. Since Z∞
exists, we must have:
yf(y)dy = 0
−∞ −yf(y)dy = 0.
For positive x, we have
0≤x(1 −F(x)) = xZ∞
1Technically speaking, one should assume this exists to even speak of the expected value, though I have not
really emphasized this much in class except when this arose in connection with the Cauchy distribution.