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RamonAraujofifthist
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minor fix to the solution of problem 5.51
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  • src/chapters/5/sections/mixed_practice/problems
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(a) We know that, \(X^2 \le X\) with probability 1.
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So \(\mathbb{E}[X^2] \le \mathbb{E}{X}\)
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\begin{flalign}
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\begin{flalign*}
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V(X) & = \mathbb{E}[X^2] - \mathbb{E}[X]^2 \\
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& \le \mu - \mu^2 \\
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& \le \frac{1}{4} \text{taking the minimum of the above quadratic}
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\end{flalign}
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& \le \frac{1}{4} \text{ (taking the maximum of the above quadratic)}
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\end{flalign*}
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(b) I have to show that \(V(X) = 1/4\) leads to a unique distribution.
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From (a), \(V(X) \le \mu - \mu^2 \le 1/4\) implies that, \(\mu = 1/2\)
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Now \[\mathbb{E}[(X - 1/2)^2] = 1/4\]
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But \[0 \ge (X - 1/2)^2 \le 1/4\] with probability 1.
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But \[0 \le (X - 1/2)^2 \le 1/4\] with probability 1.
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To get \(\mathbb{E}[(X - 1/2)^2] = 1/4\), we need \((X - 1/2)^2 = 1/4\) with probability 1.
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So,
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\begin{equation}
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\begin{equation*}
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X =
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\begin{cases}
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0 & \text{with prob p} \\
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1 & \text{with prob 1 - p}
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\end{cases}
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\end{equation}
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\end{equation*}
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Using \(\mu = 1/2\) gives us, \(p = 1/2\).
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The distribution of $X$ is Bernoulli. More specifically, $X \sim \mathrm{Bern}(1/2)$.

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