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Mean, Variance, and Bimodality of a Gaussian Mixture

题目

A random variable XX is drawn from a mixture of two normals: with probability pp we sample from N(μ1,σ12)N(\mu_1, \sigma_1^2) and with probability 1p1-p from N(μ2,σ22)N(\mu_2, \sigma_2^2).

(a) Derive E[X]E[X] and Var(X)\text{Var}(X) in terms of p,μ1,μ2,σ12,σ22p, \mu_1, \mu_2, \sigma_1^2, \sigma_2^2.

(b) For the symmetric case p=1/2p = 1/2 and σ1=σ2=σ\sigma_1 = \sigma_2 = \sigma, show that the mixture PDF is bimodal if and only if μ1μ2>2σ|\mu_1 - \mu_2| > 2\sigma.

(c) Compute E[X]E[X] and Var(X)\text{Var}(X) for p=1/2p = 1/2, μ1=2\mu_1 = -2, μ2=2\mu_2 = 2, σ1=σ2=1\sigma_1 = \sigma_2 = 1, and verify that this mixture is bimodal.

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a.1

a.2

c.1

c.2

c.3