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Exercise 11.6 · Q1

Q.Let XX be a random variable with probability density function
[!FORMULA] f(x)={2x3x≥10x<1f(x)=\begin{cases}\dfrac{2}{x^3} & x\ge1\\ 0 & x<1\end{cases}
Which of the following statements is correct?

(1) both mean and variance exist
(2) mean exists but variance does not exist
(3) both mean and variance do not exist
(4) variance exists but mean does not exist.
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✓ Free question

Check normalisation, then test whether E(X)E(X) and E(X2)E(X^2) converge as improper integrals — E(X2)E(X^2) involves ∫1/x dx\int 1/x\,dx, the classic divergent case.

Step 1. Confirm ff is a valid pdf. ∫1∞2x3 dx=2[−12x2]1∞=2(0−(−12))=1\displaystyle\int_1^\infty\dfrac2{x^3}\,dx=2\left[-\dfrac1{2x^2}\right]_1^\infty=2\left(0-\left(-\dfrac12\right)\right)=1 ✓.

Step 2. Test the mean. E(X)=∫1∞x⋅2x3 dx=∫1∞2x2 dx=2[−1x]1∞=2(0−(−1))=2E(X)=\displaystyle\int_1^\infty x\cdot\dfrac2{x^3}\,dx=\int_1^\infty\dfrac2{x^2}\,dx=2\left[-\dfrac1x\right]_1^\infty=2(0-(-1))=2 — finite, so the mean exists.

Step 3. Test the variance via E(X2)E(X^2). E(X2)=∫1∞x2⋅2x3 dx=∫1∞2x dx=2[ln⁡x]1∞E(X^2)=\displaystyle\int_1^\infty x^2\cdot\dfrac2{x^3}\,dx=\int_1^\infty\dfrac2x\,dx=2\big[\ln x\big]_1^\infty, which diverges to ∞\infty as x→∞x\to\infty (the classic non-convergent ∫1/x dx\int 1/x\,dx).

Step 4. Conclude. Since E(X2)E(X^2) is infinite, V(X)=E(X2)−(E(X))2V(X)=E(X^2)-(E(X))^2 does not exist, while E(X)=2E(X)=2 is finite.

✓Final answer

Mean exists (=2=2) but variance does not exist — option (2).

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