Find the probability (normal + exponential)












0












$begingroup$


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?










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$endgroup$








  • 1




    $begingroup$
    $2*2X^2simGamma(1/2,1)$ if $2X^2simGamma(1/2,1/2)$
    $endgroup$
    – Seyhmus Güngören
    Jun 8 '13 at 20:21
















0












$begingroup$


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?










share|cite|improve this question









$endgroup$








  • 1




    $begingroup$
    $2*2X^2simGamma(1/2,1)$ if $2X^2simGamma(1/2,1/2)$
    $endgroup$
    – Seyhmus Güngören
    Jun 8 '13 at 20:21














0












0








0





$begingroup$


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?










share|cite|improve this question









$endgroup$




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






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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














  • 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










1 Answer
1






active

oldest

votes


















1












$begingroup$

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$(frac12,frac12)$.






share|cite|improve this answer











$endgroup$













  • $begingroup$
    Quote: The question is: where am I wrong?
    $endgroup$
    – Did
    Jun 9 '13 at 16:18






  • 2




    $begingroup$
    @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






  • 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














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1 Answer
1






active

oldest

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1 Answer
1






active

oldest

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active

oldest

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active

oldest

votes









1












$begingroup$

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$(frac12,frac12)$.






share|cite|improve this answer











$endgroup$













  • $begingroup$
    Quote: The question is: where am I wrong?
    $endgroup$
    – Did
    Jun 9 '13 at 16:18






  • 2




    $begingroup$
    @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






  • 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


















1












$begingroup$

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$(frac12,frac12)$.






share|cite|improve this answer











$endgroup$













  • $begingroup$
    Quote: The question is: where am I wrong?
    $endgroup$
    – Did
    Jun 9 '13 at 16:18






  • 2




    $begingroup$
    @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






  • 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
















1












1








1





$begingroup$

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$(frac12,frac12)$.






share|cite|improve this answer











$endgroup$



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$(frac12,frac12)$.







share|cite|improve this answer














share|cite|improve this answer



share|cite|improve this answer








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




    $begingroup$
    @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






  • 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






  • 2




    $begingroup$
    @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






  • 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




















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