Find the probability (normal + exponential)
$begingroup$
Let $X$ be normal with mean $0$ and variance $1/2$, Y exponential with mean $1$. $X$ and $Y$ are independent. Find $mathbb{P}(Y>X^2)$
$mathbb{P}(Y>X^2)=intlimits_{-infty}^{infty}mathbb{P}(Y>X^2|X=x)f_{X}(x)dx= ...=sqrt{2}/2$
Second approach. Since $2X^2$ is $Gamma(1/2,1/2)$, then $2cdot2X^2$ is $Gamma(1,1/2)$ which is exponential with mean $2$. Thus $mathbb{P}(Y>X^2)=P(4Y>4X^2)=P(Y>0.25T)=aneqfrac{sqrt{2}}{2}$, where $T$ is exponentially distributed, indepedent of $Y$.
The question is: where am I wrong? I suspect the second approach is wrong, but why?
probability
$endgroup$
add a comment |
$begingroup$
Let $X$ be normal with mean $0$ and variance $1/2$, Y exponential with mean $1$. $X$ and $Y$ are independent. Find $mathbb{P}(Y>X^2)$
$mathbb{P}(Y>X^2)=intlimits_{-infty}^{infty}mathbb{P}(Y>X^2|X=x)f_{X}(x)dx= ...=sqrt{2}/2$
Second approach. Since $2X^2$ is $Gamma(1/2,1/2)$, then $2cdot2X^2$ is $Gamma(1,1/2)$ which is exponential with mean $2$. Thus $mathbb{P}(Y>X^2)=P(4Y>4X^2)=P(Y>0.25T)=aneqfrac{sqrt{2}}{2}$, where $T$ is exponentially distributed, indepedent of $Y$.
The question is: where am I wrong? I suspect the second approach is wrong, but why?
probability
$endgroup$
1
$begingroup$
$2*2X^2simGamma(1/2,1)$ if $2X^2simGamma(1/2,1/2)$
$endgroup$
– Seyhmus Güngören
Jun 8 '13 at 20:21
add a comment |
$begingroup$
Let $X$ be normal with mean $0$ and variance $1/2$, Y exponential with mean $1$. $X$ and $Y$ are independent. Find $mathbb{P}(Y>X^2)$
$mathbb{P}(Y>X^2)=intlimits_{-infty}^{infty}mathbb{P}(Y>X^2|X=x)f_{X}(x)dx= ...=sqrt{2}/2$
Second approach. Since $2X^2$ is $Gamma(1/2,1/2)$, then $2cdot2X^2$ is $Gamma(1,1/2)$ which is exponential with mean $2$. Thus $mathbb{P}(Y>X^2)=P(4Y>4X^2)=P(Y>0.25T)=aneqfrac{sqrt{2}}{2}$, where $T$ is exponentially distributed, indepedent of $Y$.
The question is: where am I wrong? I suspect the second approach is wrong, but why?
probability
$endgroup$
Let $X$ be normal with mean $0$ and variance $1/2$, Y exponential with mean $1$. $X$ and $Y$ are independent. Find $mathbb{P}(Y>X^2)$
$mathbb{P}(Y>X^2)=intlimits_{-infty}^{infty}mathbb{P}(Y>X^2|X=x)f_{X}(x)dx= ...=sqrt{2}/2$
Second approach. Since $2X^2$ is $Gamma(1/2,1/2)$, then $2cdot2X^2$ is $Gamma(1,1/2)$ which is exponential with mean $2$. Thus $mathbb{P}(Y>X^2)=P(4Y>4X^2)=P(Y>0.25T)=aneqfrac{sqrt{2}}{2}$, where $T$ is exponentially distributed, indepedent of $Y$.
The question is: where am I wrong? I suspect the second approach is wrong, but why?
probability
probability
asked Jun 8 '13 at 20:10
czachurczachur
1769
1769
1
$begingroup$
$2*2X^2simGamma(1/2,1)$ if $2X^2simGamma(1/2,1/2)$
$endgroup$
– Seyhmus Güngören
Jun 8 '13 at 20:21
add a comment |
1
$begingroup$
$2*2X^2simGamma(1/2,1)$ if $2X^2simGamma(1/2,1/2)$
$endgroup$
– Seyhmus Güngören
Jun 8 '13 at 20:21
1
1
$begingroup$
$2*2X^2simGamma(1/2,1)$ if $2X^2simGamma(1/2,1/2)$
$endgroup$
– Seyhmus Güngören
Jun 8 '13 at 20:21
$begingroup$
$2*2X^2simGamma(1/2,1)$ if $2X^2simGamma(1/2,1/2)$
$endgroup$
– Seyhmus Güngören
Jun 8 '13 at 20:21
add a comment |
1 Answer
1
active
oldest
votes
$begingroup$
More generally: given $X$~$N(mu,sigma^2)$ and $Y$~Exponential(1), with $X$ and $Y$ independent, their joint pdf is $f(x,y)$:
Here is a quick check of the probability you seek, using the mathStatica
add-on to Mathematica:
Then, for your given parameter values, the correct solution is:
which is approximately 0.7.
Finally, a quick Monte Carlo check to confirm we haven't made any mistakes ... (the following sets $mu=0$ and $sigma = sqrtfrac12$):
datax = RandomReal[NormalDistribution[0, Sqrt[1/2]], 100000];
datay = RandomReal[ExponentialDistribution[1], 100000];
Count[datay - datax^2, x_ /; x > 0] /100000.
0.70418
:)
OP wrote: - Second approach.
"Since $2X^2$ is $Gamma(1/2,1/2)$ ..."
Correctly: Since $sqrt{2}X$ ~ $N(0,1)$, and the square of a standard Normal is Chisquared(1), it follows that: $2X^2$ ~ Chisquared(1) ... which is: Gamma$(frac12,2)$ ... not Gamma$(frac12,frac12)$.
$endgroup$
$begingroup$
Quote:The question is: where am I wrong?
$endgroup$
– Did
Jun 9 '13 at 16:18
2
$begingroup$
@DidThe answer is: everywhere
$endgroup$
– wolfies
Jun 9 '13 at 16:50
$begingroup$
Then, how is your post describing/identifying/remedying to, this "everywhere"? That is, how is it answering the question?
$endgroup$
– Did
Jun 9 '13 at 17:37
1
$begingroup$
@Did The OP's question title is:Find the probability
. This I have done. If you would like to address his second-level question as to how/where he went wrong, the site does allow (and in fact encourages) others to submit solutions that may be helpful, and I would certainly encourage you to do so. Though, as this may possibly be a homework assignment, you might want to take care not to unduly interfere with the parent university's ability to carry out proper assessments.
$endgroup$
– wolfies
Jun 9 '13 at 17:57
1
$begingroup$
As @Did probably knows, displaying a CAS calculation and Monte Carlo simulation that agree with the OP's first calculation and disagree with the second, answers part of "where am I wrong" and confirms the "I suspect the second approach is wrong". It is wasting everyone's time to post a potentially endless sequence of negative comments in which one user tries to control the interpretation of words like question and answer in a quixotic campaign to demonstrate that this (useful) answer and ones like it are not a valid response to the OP's question, or are "not mathematical".
$endgroup$
– zyx
Jun 10 '13 at 3:13
|
show 1 more comment
Your Answer
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "69"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f414948%2ffind-the-probability-normal-exponential%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
More generally: given $X$~$N(mu,sigma^2)$ and $Y$~Exponential(1), with $X$ and $Y$ independent, their joint pdf is $f(x,y)$:
Here is a quick check of the probability you seek, using the mathStatica
add-on to Mathematica:
Then, for your given parameter values, the correct solution is:
which is approximately 0.7.
Finally, a quick Monte Carlo check to confirm we haven't made any mistakes ... (the following sets $mu=0$ and $sigma = sqrtfrac12$):
datax = RandomReal[NormalDistribution[0, Sqrt[1/2]], 100000];
datay = RandomReal[ExponentialDistribution[1], 100000];
Count[datay - datax^2, x_ /; x > 0] /100000.
0.70418
:)
OP wrote: - Second approach.
"Since $2X^2$ is $Gamma(1/2,1/2)$ ..."
Correctly: Since $sqrt{2}X$ ~ $N(0,1)$, and the square of a standard Normal is Chisquared(1), it follows that: $2X^2$ ~ Chisquared(1) ... which is: Gamma$(frac12,2)$ ... not Gamma$(frac12,frac12)$.
$endgroup$
$begingroup$
Quote:The question is: where am I wrong?
$endgroup$
– Did
Jun 9 '13 at 16:18
2
$begingroup$
@DidThe answer is: everywhere
$endgroup$
– wolfies
Jun 9 '13 at 16:50
$begingroup$
Then, how is your post describing/identifying/remedying to, this "everywhere"? That is, how is it answering the question?
$endgroup$
– Did
Jun 9 '13 at 17:37
1
$begingroup$
@Did The OP's question title is:Find the probability
. This I have done. If you would like to address his second-level question as to how/where he went wrong, the site does allow (and in fact encourages) others to submit solutions that may be helpful, and I would certainly encourage you to do so. Though, as this may possibly be a homework assignment, you might want to take care not to unduly interfere with the parent university's ability to carry out proper assessments.
$endgroup$
– wolfies
Jun 9 '13 at 17:57
1
$begingroup$
As @Did probably knows, displaying a CAS calculation and Monte Carlo simulation that agree with the OP's first calculation and disagree with the second, answers part of "where am I wrong" and confirms the "I suspect the second approach is wrong". It is wasting everyone's time to post a potentially endless sequence of negative comments in which one user tries to control the interpretation of words like question and answer in a quixotic campaign to demonstrate that this (useful) answer and ones like it are not a valid response to the OP's question, or are "not mathematical".
$endgroup$
– zyx
Jun 10 '13 at 3:13
|
show 1 more comment
$begingroup$
More generally: given $X$~$N(mu,sigma^2)$ and $Y$~Exponential(1), with $X$ and $Y$ independent, their joint pdf is $f(x,y)$:
Here is a quick check of the probability you seek, using the mathStatica
add-on to Mathematica:
Then, for your given parameter values, the correct solution is:
which is approximately 0.7.
Finally, a quick Monte Carlo check to confirm we haven't made any mistakes ... (the following sets $mu=0$ and $sigma = sqrtfrac12$):
datax = RandomReal[NormalDistribution[0, Sqrt[1/2]], 100000];
datay = RandomReal[ExponentialDistribution[1], 100000];
Count[datay - datax^2, x_ /; x > 0] /100000.
0.70418
:)
OP wrote: - Second approach.
"Since $2X^2$ is $Gamma(1/2,1/2)$ ..."
Correctly: Since $sqrt{2}X$ ~ $N(0,1)$, and the square of a standard Normal is Chisquared(1), it follows that: $2X^2$ ~ Chisquared(1) ... which is: Gamma$(frac12,2)$ ... not Gamma$(frac12,frac12)$.
$endgroup$
$begingroup$
Quote:The question is: where am I wrong?
$endgroup$
– Did
Jun 9 '13 at 16:18
2
$begingroup$
@DidThe answer is: everywhere
$endgroup$
– wolfies
Jun 9 '13 at 16:50
$begingroup$
Then, how is your post describing/identifying/remedying to, this "everywhere"? That is, how is it answering the question?
$endgroup$
– Did
Jun 9 '13 at 17:37
1
$begingroup$
@Did The OP's question title is:Find the probability
. This I have done. If you would like to address his second-level question as to how/where he went wrong, the site does allow (and in fact encourages) others to submit solutions that may be helpful, and I would certainly encourage you to do so. Though, as this may possibly be a homework assignment, you might want to take care not to unduly interfere with the parent university's ability to carry out proper assessments.
$endgroup$
– wolfies
Jun 9 '13 at 17:57
1
$begingroup$
As @Did probably knows, displaying a CAS calculation and Monte Carlo simulation that agree with the OP's first calculation and disagree with the second, answers part of "where am I wrong" and confirms the "I suspect the second approach is wrong". It is wasting everyone's time to post a potentially endless sequence of negative comments in which one user tries to control the interpretation of words like question and answer in a quixotic campaign to demonstrate that this (useful) answer and ones like it are not a valid response to the OP's question, or are "not mathematical".
$endgroup$
– zyx
Jun 10 '13 at 3:13
|
show 1 more comment
$begingroup$
More generally: given $X$~$N(mu,sigma^2)$ and $Y$~Exponential(1), with $X$ and $Y$ independent, their joint pdf is $f(x,y)$:
Here is a quick check of the probability you seek, using the mathStatica
add-on to Mathematica:
Then, for your given parameter values, the correct solution is:
which is approximately 0.7.
Finally, a quick Monte Carlo check to confirm we haven't made any mistakes ... (the following sets $mu=0$ and $sigma = sqrtfrac12$):
datax = RandomReal[NormalDistribution[0, Sqrt[1/2]], 100000];
datay = RandomReal[ExponentialDistribution[1], 100000];
Count[datay - datax^2, x_ /; x > 0] /100000.
0.70418
:)
OP wrote: - Second approach.
"Since $2X^2$ is $Gamma(1/2,1/2)$ ..."
Correctly: Since $sqrt{2}X$ ~ $N(0,1)$, and the square of a standard Normal is Chisquared(1), it follows that: $2X^2$ ~ Chisquared(1) ... which is: Gamma$(frac12,2)$ ... not Gamma$(frac12,frac12)$.
$endgroup$
More generally: given $X$~$N(mu,sigma^2)$ and $Y$~Exponential(1), with $X$ and $Y$ independent, their joint pdf is $f(x,y)$:
Here is a quick check of the probability you seek, using the mathStatica
add-on to Mathematica:
Then, for your given parameter values, the correct solution is:
which is approximately 0.7.
Finally, a quick Monte Carlo check to confirm we haven't made any mistakes ... (the following sets $mu=0$ and $sigma = sqrtfrac12$):
datax = RandomReal[NormalDistribution[0, Sqrt[1/2]], 100000];
datay = RandomReal[ExponentialDistribution[1], 100000];
Count[datay - datax^2, x_ /; x > 0] /100000.
0.70418
:)
OP wrote: - Second approach.
"Since $2X^2$ is $Gamma(1/2,1/2)$ ..."
Correctly: Since $sqrt{2}X$ ~ $N(0,1)$, and the square of a standard Normal is Chisquared(1), it follows that: $2X^2$ ~ Chisquared(1) ... which is: Gamma$(frac12,2)$ ... not Gamma$(frac12,frac12)$.
edited Jan 17 at 21:36
Glorfindel
3,41381930
3,41381930
answered Jun 9 '13 at 6:26
wolfieswolfies
4,2692923
4,2692923
$begingroup$
Quote:The question is: where am I wrong?
$endgroup$
– Did
Jun 9 '13 at 16:18
2
$begingroup$
@DidThe answer is: everywhere
$endgroup$
– wolfies
Jun 9 '13 at 16:50
$begingroup$
Then, how is your post describing/identifying/remedying to, this "everywhere"? That is, how is it answering the question?
$endgroup$
– Did
Jun 9 '13 at 17:37
1
$begingroup$
@Did The OP's question title is:Find the probability
. This I have done. If you would like to address his second-level question as to how/where he went wrong, the site does allow (and in fact encourages) others to submit solutions that may be helpful, and I would certainly encourage you to do so. Though, as this may possibly be a homework assignment, you might want to take care not to unduly interfere with the parent university's ability to carry out proper assessments.
$endgroup$
– wolfies
Jun 9 '13 at 17:57
1
$begingroup$
As @Did probably knows, displaying a CAS calculation and Monte Carlo simulation that agree with the OP's first calculation and disagree with the second, answers part of "where am I wrong" and confirms the "I suspect the second approach is wrong". It is wasting everyone's time to post a potentially endless sequence of negative comments in which one user tries to control the interpretation of words like question and answer in a quixotic campaign to demonstrate that this (useful) answer and ones like it are not a valid response to the OP's question, or are "not mathematical".
$endgroup$
– zyx
Jun 10 '13 at 3:13
|
show 1 more comment
$begingroup$
Quote:The question is: where am I wrong?
$endgroup$
– Did
Jun 9 '13 at 16:18
2
$begingroup$
@DidThe answer is: everywhere
$endgroup$
– wolfies
Jun 9 '13 at 16:50
$begingroup$
Then, how is your post describing/identifying/remedying to, this "everywhere"? That is, how is it answering the question?
$endgroup$
– Did
Jun 9 '13 at 17:37
1
$begingroup$
@Did The OP's question title is:Find the probability
. This I have done. If you would like to address his second-level question as to how/where he went wrong, the site does allow (and in fact encourages) others to submit solutions that may be helpful, and I would certainly encourage you to do so. Though, as this may possibly be a homework assignment, you might want to take care not to unduly interfere with the parent university's ability to carry out proper assessments.
$endgroup$
– wolfies
Jun 9 '13 at 17:57
1
$begingroup$
As @Did probably knows, displaying a CAS calculation and Monte Carlo simulation that agree with the OP's first calculation and disagree with the second, answers part of "where am I wrong" and confirms the "I suspect the second approach is wrong". It is wasting everyone's time to post a potentially endless sequence of negative comments in which one user tries to control the interpretation of words like question and answer in a quixotic campaign to demonstrate that this (useful) answer and ones like it are not a valid response to the OP's question, or are "not mathematical".
$endgroup$
– zyx
Jun 10 '13 at 3:13
$begingroup$
Quote:
The question is: where am I wrong?
$endgroup$
– Did
Jun 9 '13 at 16:18
$begingroup$
Quote:
The question is: where am I wrong?
$endgroup$
– Did
Jun 9 '13 at 16:18
2
2
$begingroup$
@Did
The answer is: everywhere
$endgroup$
– wolfies
Jun 9 '13 at 16:50
$begingroup$
@Did
The answer is: everywhere
$endgroup$
– wolfies
Jun 9 '13 at 16:50
$begingroup$
Then, how is your post describing/identifying/remedying to, this "everywhere"? That is, how is it answering the question?
$endgroup$
– Did
Jun 9 '13 at 17:37
$begingroup$
Then, how is your post describing/identifying/remedying to, this "everywhere"? That is, how is it answering the question?
$endgroup$
– Did
Jun 9 '13 at 17:37
1
1
$begingroup$
@Did The OP's question title is:
Find the probability
. This I have done. If you would like to address his second-level question as to how/where he went wrong, the site does allow (and in fact encourages) others to submit solutions that may be helpful, and I would certainly encourage you to do so. Though, as this may possibly be a homework assignment, you might want to take care not to unduly interfere with the parent university's ability to carry out proper assessments.$endgroup$
– wolfies
Jun 9 '13 at 17:57
$begingroup$
@Did The OP's question title is:
Find the probability
. This I have done. If you would like to address his second-level question as to how/where he went wrong, the site does allow (and in fact encourages) others to submit solutions that may be helpful, and I would certainly encourage you to do so. Though, as this may possibly be a homework assignment, you might want to take care not to unduly interfere with the parent university's ability to carry out proper assessments.$endgroup$
– wolfies
Jun 9 '13 at 17:57
1
1
$begingroup$
As @Did probably knows, displaying a CAS calculation and Monte Carlo simulation that agree with the OP's first calculation and disagree with the second, answers part of "where am I wrong" and confirms the "I suspect the second approach is wrong". It is wasting everyone's time to post a potentially endless sequence of negative comments in which one user tries to control the interpretation of words like question and answer in a quixotic campaign to demonstrate that this (useful) answer and ones like it are not a valid response to the OP's question, or are "not mathematical".
$endgroup$
– zyx
Jun 10 '13 at 3:13
$begingroup$
As @Did probably knows, displaying a CAS calculation and Monte Carlo simulation that agree with the OP's first calculation and disagree with the second, answers part of "where am I wrong" and confirms the "I suspect the second approach is wrong". It is wasting everyone's time to post a potentially endless sequence of negative comments in which one user tries to control the interpretation of words like question and answer in a quixotic campaign to demonstrate that this (useful) answer and ones like it are not a valid response to the OP's question, or are "not mathematical".
$endgroup$
– zyx
Jun 10 '13 at 3:13
|
show 1 more comment
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f414948%2ffind-the-probability-normal-exponential%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
1
$begingroup$
$2*2X^2simGamma(1/2,1)$ if $2X^2simGamma(1/2,1/2)$
$endgroup$
– Seyhmus Güngören
Jun 8 '13 at 20:21