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− − −2 −2
= > >
√2 √2
− −2
= 1−Φ 1−Φ
√2
− 2 −
=Φ Φ
√2
Then,
− 2 −
( )=1−Φ Φ
√2
and
1 − 2 − 1 − 2 −
( )= ( )= Φ + Φ ϕ
√2 √2 √2
for ∈ (−∞, ∞), where (∙) denotes the standard normal PDF and Φ(∙) denotes the
standard normal CDF.
b. For all ∈ ℝ, calculate (max( , ) − min( , ) > ).
There are two cases here: is either the maximum or the minimum of these two random
variables. If > , then max( , ) − min( , ) = − ; otherwise,
max( , ) − min( , ) = − . Thus, defining the event as the difference between
max( , ) and min( , ) being greater than ,
( )= ( | > ) ( > )+ ( | > ) ( > )
= ( − > ) ( > )+ ( − > ) ( > )
− − [ − ] −( −2 ) − − [ − ] 0−( −2 )
= > >
Var( − ) √2 + Var( − ) √2 +
+ +
= > > + 1− > 1− >
√3 √3 √3 √3
+ +
= 1−Φ 1−Φ +Φ Φ
√3 √3 √3 √3
( )= ( )= ( )[ ( )] for ∈ℝ
( )= ( )[1 − ( )] for ∈ℝ
No, they are not since the value can take must always be greater than the value of .
3. X and Y have joint density function
1
, ( , )= ≥ 1, ≥1
= ( , )= , = ( , )=
implies that
=√ = ℎ ( , ), = =ℎ ( , )
Thus,
( , )= =− ≠ 0 since ≥ 1, ≥1
1 −
Therefore,
1 1 1
, ( , )= , √ , ⁄ √ , ⁄ = ∙ =
2 2
for ≥ 1, ≥ .
,( , ) is defined on the shaded region given below (darker blue on the right), where the
vertical line is the -axis.
b. What are the marginal densities?
1 1 log
( )= , ( , ) = = ∙ log 1 = for ≥1
2 2
/
∞
⎧ 1 1 1 1
=− ∙ = for 0 < <1
⎪ 2 2 1/ 2
⎪ /
( )= , ( , ) =
⎨
⎪ 1 1 1 ∞ 1
⎪ =− ∙ = for ≥1
2 2 2
⎩