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THe Laplace random variable has a PDF that is a double exponential

  1. Nov 3, 2004 #1
    THe Laplace random variable has a PDF that is a double exponential, fT(t)=ae^(-|t|/2) for all values of t and a, a constant to be determined.


    A) Find a
    (Answer 1/4)

    B)Find the expected value of T, given T is greater than or equal to -1.
    (Answer 1.31)
     
  2. jcsd
  3. Nov 4, 2004 #2

    HallsofIvy

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    The total "cumulative probability" must be 1 and since this pdf is symmetric, we must have [itex]\int_0^{\infinity}ae^\frac{-t}{2}dt= 1/2[/itex]. Do that integration and solve for a.

    Knowing that "T is greater than or equal to -1" tells us that the distribution must be "normalized" so that the total integral from -1 to infinity must now be 1. Put the value of a you found in (A) in the pdf and integrate it from -1 to infinity (again, using symmetry, that is the same as [itex]\frac{1}{2}+ \int_0^1 ae^\frac{-t}{2}dt[/itex]). Divide the original pdf by that. Using "A" for "a" in that modified pdf, the expected value of T is
    [itex]A\int_{-1}^{\infinity}te^\frac{-t}{2}dt[/itex]. You can integrate that using "integration by parts".
     
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