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$X$ is $\text{Exp}(\lambda)$, $Y$ is $\text{Uniform}(0,X)$. How can I find $\Bbb E[Y]$ and $\text{Var}(Y)$?

I did tried to plug it like double integral of $\Bbb E[Y]$ from 0 to X which $f(t)$ is $\text{Exp}(\lambda)$. But I could not solve it. Could anyone point or hint me?

Thank you

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Do you mean E[Y] and Var[Y] –  Gautam Shenoy Feb 15 '13 at 11:05
    
Yes, I'm sorry. –  Zeal Chaiwut Feb 15 '13 at 11:15
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4 Answers

up vote 3 down vote accepted

Lets use conditional expectation. Compute $$\mathbb{E}[Y] = \mathbb{E}[\mathbb{E}[Y|X]]$$

Now $\mathbb{E}[Y|X]$ is the mean of a uniform [0,X] which is $X/2$. Thus $$\mathbb{E}[Y] = \mathbb{E}[X/2]= \frac{1}{2\lambda}$$

Similarly you can get the variance by working with $$\mathbb{E}[Y^2] = \mathbb{E}[\mathbb{E}[Y^2|X]]$$

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I do not know about this $E[Y] = E[E[Y|X]]$ before. Thank you for your answer. I will try to solve the variance by myself. –  Zeal Chaiwut Feb 15 '13 at 11:41
    
It's called the law of iterated expectation. Was this not covered? Any other way would be laborious. –  Gautam Shenoy Feb 15 '13 at 11:41
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First we see that for $x\geq 0$ we have $$ E[Y\mid X=x]=\frac{x}{2} $$ and so $$ E[Y\mid X]=\frac{X}{2}. $$ Now use that $$ E[Y]=E[E[Y\mid X]]. $$ For the variance you can use a similar argument using this.

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For finding the variance of $Y$, you can use the total variance formula which gives $$\begin{align*} \text{var}(Y) &= E[\text{var}(Y\mid X)] + \text{var}(E[Y\mid X])\\ &= E\left[\frac{X^2}{12}\right] + \text{var}\left(\frac{X}{2}\right) \end{align*}$$

Edit Note to OP: I just noticed that Stefan Hansen's answer already pointed out the total variance formula to you, but the second line above adds a little detail to get you further along the way.

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I did it by finding $E[E[X^2]]$ based on Gautam Shenoy hints. Then find $$Var(Y) = E[Y^2] - E[Y]^2 $$ By the way, thank you for your solution. –  Zeal Chaiwut Feb 17 '13 at 22:02
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Here's a hint: http://en.wikipedia.org/wiki/Law_of_total_expectation

Use the conditional distribution of $Y$ if $X$ is known.

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That is a good hint but unfortunately I already saw other post. Thank you. –  Zeal Chaiwut Feb 15 '13 at 11:42
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