Paper 2, Section I, F

Probability | Part IA, 2013

Let XX be a random variable with mean μ\mu and variance σ2\sigma^{2}. Let

G(a)=E[(X−a)2]G(a)=\mathbb{E}\left[(X-a)^{2}\right]

Show that G(a)⩾σ2G(a) \geqslant \sigma^{2} for all aa. For what value of aa is there equality?

Let

H(a)=E[∣X−a∣]H(a)=\mathbb{E}[|X-a|]

Supposing that XX has probability density function ff, express H(a)H(a) in terms of ff. Show that HH is minimised when aa is such that ∫−∞af(x)dx=1/2\int_{-\infty}^{a} f(x) d x=1 / 2.

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