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Math Help - Random Variable Convergence

  1. #1
    Junior Member
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    Random Variable Convergence

    X1,...Xn are a random sample from U(0,theta). A sequence of random variables are defined Zn=n(theta-X(n)) for positive n.

    I need to show that Zn converges in distribution to Z, where Z~Exp(theta).



    Any help in getting started?

    Can I say that X(n) converges in law to theta and is that useful?
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  2. #2
    MHF Contributor
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    Re: Random Variable Convergence

    Hey Mick.

    I'm wondering if you can use the distribution of the order statistic to show it converges to the right distribution.

    One approach I would try is to use either the characteristic function or the moment generating function to show that the MGF has the form of an exponential distribution MGF.
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  3. #3
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    Re: Random Variable Convergence

    I can definetly go down the MGF route. The MGF of an Exponential(theta) random variable is 1/(1-theta*t).
    The MGF of a U(0, theta) random variable is (exp(theta*t)-1)/(theta*t). I'm guessing the uniform MGF will be needed somewhere but I'm not sure how the MGF of X applies to the MGF of Z.
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  4. #4
    MHF Contributor
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    Re: Random Variable Convergence

    I have two suggestions.

    The first is to get the PDF of X(n) and then use a transformation to get the PDF of the new random variable.

    The second is to get the MGF of the final random variable and prove it has the form of an exponential with that parameter.

    I would personally be inclined to use the first option after thinking about it, but you could really try any (including using the characteristic function which is a third option).
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