Saturday, 31 December 2016

probability - Set Z=X+Y and calculate the density function fZ for Z. Given solution doesn't match mine. (Continuous R.V)



I'm having difficulties with task 2, since given solution doesn't equal mine:





$f_{XY}(x,y) = \begin{cases} \left (6·e^{-3x}·e^{-2y} \right) &
\text{if } 00 & \text{otherwise } %
\end{cases}$



Task 1: Show that X and Y are independent



Task 2: Set Z=X+Y and calculate the density function fZ for Z





I'll post the entire task, since others might seek help for a similar problem.



Task 1:



To show this we use that "Two continuous random variables X and Y are independent if:



fXY(x,y)=fX(x)·fY(y), for all x,y



We find the marginal PDF's




fX(x)=06·e3x·e2ydy



fY(y)=06·e3x·e2ydx



We multiply the two:



fY(y)·fX(x)=6·e3x·e2y



Which is the same as the joint PDF. We conclude they are independent.




Task 2:



We solve it by finding the CDF and differentiate this to find the PDF:



P(Zz)



P(x+yz)



P(yzx)




We solve the double integral:



0(zx)0(6·e3x·e2ydydx=(13·e2·z)



We now have the CDF:



$F_{Z}(z) = \begin{cases} \left (0 \right) &
\text{if } 0>z \\(1-3·e^{-2·z}) & \text{}01 & \text{}z> \infty %
\end{cases}$




To find the PDF we differentiate the CDF:



ddz(13·e2·z)=6·e2z



Giving us a PDF of:



$f_{Z}(z) = \begin{cases} \left (6·e^{-2z} \right) &
\text{if } 00 & \text{otherwise } %

\end{cases}$



However the solution provided is:



fZ(z)=6·e2z·(1ez)



What am I doing wrong?



Besides this im unsure of:




The intervals in the CDF


Answer



Y=zX=X+z is a linear equation with y-intercept z and slope 1. The region where YX+z is in green below. Note where the line intersects with the X and Y axes.



enter image description here



Thus, the CDF is, according to the graph above,
z0x+z06e3xe2y dy dx=2e3z3e2z+1
from which we obtain
fZ(z)=6e3z+6e2z=6e2z6e3z=6e2z(1ez)

for z>0 as desired.


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