4
votes
1answer
121 views
+50

Unbiased asymptotic variance

Problem: Let $X_1,...,X_n$ be indep. r.v.'s that satisfy, for $i = 1,...,n$, $E(X_i) = \mu_i(\theta)$ & $\mathrm{Var}(X_i)= \sigma_i^2(\theta)$. $\theta$ is the parameter of interest and the ...
0
votes
0answers
58 views

Taylor series approximation using for a pdf

I have an question which links Taylor series to expectation and variance, but I'm really not sure what it's asking me to do. X is exponential with rate 1. The question asks me to use a three term ...
4
votes
2answers
233 views

Derivation 9.97 in Jaynes' Probability Theory

In page 298 of Jaynes' Probability Theory: the Logic of Science, equation (9.97), Jaynes says: We expect that, if hypothesis $H$ is true, then $n_k$ will be close to $np_k$, in the sense that the ...
1
vote
1answer
66 views

Is there closed form for $(1-p)(1-p^2)(1-p^3)…$ or its Taylor expansion?

I was considering the following problem: Somebody uses a backup for something (e.g. backups a file) and the backup is equally reliable as original storage. The storage is not perfectly reliable and ...
0
votes
1answer
44 views

proof of property of exponential distribution, using taylor polynomial

I want to prove that if we have an exponential distribution with parameter $\lambda$, we have that $P(X \le x)=\lambda x + o(x)$. I want to do this by using Taylor-series and the lagrange remainder ...
0
votes
0answers
27 views

Bounding the quotient of random variables

I have two non-negative random variables $X, Y$ with finite expected values and variances, and I want to bound $E(X/Y)$ from above. I was reading these notes and they do a two-variable version of ...
0
votes
0answers
61 views

Estimate probability of event using moments of a distribution or a Taylor expansion involving the moments

Let's say we have four moments $(\mu_1, \mu_2, \mu_3, \mu_4)$ of a probabilty distribution of a random variable $X$ and the goal is to get the probability $\rm{P}(X \leq t)$ for a certain value of ...
1
vote
1answer
66 views

Estimate the scale of the power series with Poisson pdf-like terms

Sorry to bother you, but I guess that this question is not appropriate for MO, so I repost it here hoping that someone could give me a clue. I would like to have an estimate for the series $$P(t) = ...
1
vote
0answers
41 views

Inequality of Partial Taylor Series

For a given $\theta < 1$, and $N$ a positive integer, I am trying to find an $x > 0$ (preferably the smallest such $x$) such that the following inequality holds: $$\sum_{k=0}^{N} \frac{x^k}{k!} ...
0
votes
1answer
372 views

taylor expansion of exponential function

To prove CLT of binomial distribution, $$X \sim \mbox{bin}(n,p)$$ $M_X(t)=(p e^t+q)^n$ where $M$ is mgf. Let $Z=\frac{X-np}{ \sqrt{npq}}$, $\sigma =\sqrt{npq}$, then $$ \begin{align} ...
3
votes
1answer
103 views

Approximating the logarithm of a Laplace transform

Suppose $X$ is a random variable on $\mathbb R_+$ with finite mean, i.e. $\mathbb E X <+\infty$. Let $F_X(t)$ be its c.d.f. and $\mathcal{L}_X(\cdot)$ its Laplace transform, i.e. ...
4
votes
1answer
2k views

Expected value of a function of a random variable: help!

I am trying to show the following: but I really can't remember what I am supposed to do to get from the LHS to the RHS. I have tried using integration this way And then use integration by ...