I'm having difficulties with task 2, since given solution doesn't equal mine:
$f_{XY}(x,y) = \begin{cases} \left (6·e^{-3x}·e^{-2y} \right) &
\text{if } 00 & \text{otherwise } %
\end{cases}$
Task 1: Show that X and Y are independent
Task 2: Set $Z=X+Y$ and calculate the density function $f_Z$ for Z
I'll post the entire task, since others might seek help for a similar problem.
Task 1:
To show this we use that "Two continuous random variables X and Y are independent if:
$f_{XY}(x,y)=f_X(x)·f_Y(y),\space for\space all \space x,y$
We find the marginal PDF's
$f_X(x)=\int_0^\infty6·e^{-3x}·e^{-2y}$dy
$f_Y(y)=\int_0^\infty6·e^{-3x}·e^{-2y}$dx
We multiply the two:
$f_Y(y)·f_X(x)=6·e^{-3x}·e^{-2y}$
Which is the same as the joint PDF. We conclude they are independent.
Task 2:
We solve it by finding the CDF and differentiate this to find the PDF:
$P(Z\leq z)$
$P(x+y\leq z)$
$P(y\leq z-x)$
We solve the double integral:
$\int_0^\infty \int_0^{(z-x)}(6·e^{-3x}·e^{-2y}dydx=(1-3·e^{-2·z})$
We now have the CDF:
$F_{Z}(z) = \begin{cases} \left (0 \right) &
\text{if } 0>z \\(1-3·e^{-2·z}) & \text{}0
\end{cases}$
To find the PDF we differentiate the CDF:
$\frac{d}{dz}(1-3·e^{-2·z})=6·e^{-2z} $
Giving us a PDF of:
$f_{Z}(z) = \begin{cases} \left (6·e^{-2z} \right) &
\text{if } 0
\end{cases}$
However the solution provided is:
$f_Z(z)=6·e^{-2z}·(1-e^{-z})$
What am I doing wrong?
Besides this im unsure of:
The intervals in the CDF
Answer
$Y = z-X = -X + z$ is a linear equation with $y$-intercept $z$ and slope $-1$. The region where $Y \leq -X + z$ is in green below. Note where the line intersects with the $X$ and $Y$ axes.
Thus, the CDF is, according to the graph above,
$$\int_{0}^{z} \int_{0}^{-x+z}6e^{-3x}e^{-2y}\text{ d}y\text{ d}x = 2e^{-3z}-3e^{-2z}+1$$
from which we obtain
$$f_{Z}(z) = -6e^{-3z}+6e^{-2z}=6e^{-2z}-6e^{-3z}=6e^{-2z}(1-e^{-z})$$
for $z > 0$ as desired.
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