An Introduction to Mathematical Statistics and Its Applications (6th Edition)

Published by Pearson
ISBN 10: 0-13411-421-3
ISBN 13: 978-0-13411-421-7

Chapter 3 Random Variables - 3.5 Expected Values - Questions - Page 147: 12

Answer

$E[Y] = \infty$

Work Step by Step

$\underline{\text{Verify}\ f_Y(y)\ \text{is a pdf}}$ (a) Note that $y^2\gt 0$ for $y$ positive, so that $y^2\gt 0$ for $y\ge 1\gt 0$. Consequently, $1/y^2\gt 0,\ y\ge 1,$ so that $f_Y(y) \ge 0$ for $y\ge 1$. (b) Also, $\int_{-\infty}^\infty f_Y(y)\ dy = \int_0^1 1/y^2\ dy = \left. -1/y\right]_1^\infty = -1/\infty - (-1/1) = 0 + 1 =1.$ (a) and (b) together show that $f_Y(y)=1/y^2,\ y\ge 1$ is a valid pdf. $\underline{\text{Show}\ E[Y] = \infty}$ $\begin{align*} E[Y] &= \int_{-\infty}^\infty y\cdot f_Y(y)\ dy \\ &= \int_{-\infty}^1 y\cdot f_Y(y)\ dy + \int_1^\infty y\cdot f_Y(y)\ dy \\ &= \int_{-\infty}^1 y\cdot 0\ dy + \int_1^\infty y\cdot \frac{1}{y^2}\ dy \\ &= 0 + \int_1^\infty \frac{1}{y}\ dy \\ &= \left. \ln y\right]_1^\infty \\ &= \ln(\infty) - \ln(1) \\ &= \infty - 0 \\ E[Y] &= \infty. \end{align*}$
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