Let $X$ be a random variable with probability function $f(x)=\lambda e^{-\lambda x} \text{ if } x>0$ ($\lambda >1$ constant), and $0$ otherwise.

probabilityprobability distributionsprobability theorystatistics

  • Let $X$ be a random variable with probability function $\operatorname{f}\left(x\right)=\lambda{\rm e}^{-\lambda x}$ if $x>0$ and $\lambda >1$ Is a $constant$. $0$ otherwise.
  • Calculate the expected value of the variable $Y=e^X$ by first finding
    the density function of $Y$ and applying the elementary definition of
    expectation.
  • As a second method use the unconscious statistician's
    theorem.

Attempt

I have already tried, and according to my calculations, the density function of $Y$ is
$$g(y)=\frac{1}{y}\lambda e^{-\lambda (\frac{1}{y})} \text{ if } y>1 (\lambda >1 \text{ constant}),$$
and $0$ otherwise. Are my calculations correct?

Therefore, the expected value is

$$E(Y)=\int_{1}^{\infty}\, y\cdot g(y)\, dy=\int_{1}^{\infty}\, \lambda e^{-\lambda (\frac{1}{y})}\, dy$$

How do I calculate this integral?

Best Answer

The correct Y-density is

$$f_Y(y)=\lambda y^{-(\lambda+1)}$$

$y,\lambda>1$

thus

$$\mathbb{E}[Y]=\int_1^{\infty}\lambda y^{-\lambda}dy=\frac{\lambda}{\lambda-1}$$

LOTUS

$$\mathbb{E}[Y]=\int_0^{\infty}\lambda e^{-\lambda x}e^x dx=\int_0^{\infty}\lambda e^{-(\lambda-1)x}dx=\frac{\lambda}{\lambda-1}\int_0^{\infty}(\lambda-1)e^{-(\lambda-1)x}dx=$$

$$\frac{\lambda}{\lambda-1}\underbrace{\int_0^{\infty}\theta e^{-\theta x}dx}_{=1}=\frac{\lambda}{\lambda-1}$$


Calculation's detail for $f_Y$

$$f_Y(y)=\frac{\lambda}{y}\exp\left\{ -\lambda\log y \right\}=\frac{\lambda}{y}\exp\left\{ \log y^{-\lambda} \right\}=\lambda y^{-\lambda-1}$$