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Probability and Stochastic Processes: A Friendly Introduction For Electrical and Computer Engineers Roy D. Yates and David J. Goodman

This problem solves for various conditional probabilities and statistics related to two random variables, N and K, given an event B. It is shown that given B, N-9 has a geometric distribution with mean 1/p. The conditional expectations, variances, and correlation of N and K are then calculated. Key results include: the conditional mean of N given B is 9+1/p, the conditional variance of K given B is 5/12p^2, and the conditional correlation of N and K given B is -1/p^2 - 45/p.

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141 views2 pages

Probability and Stochastic Processes: A Friendly Introduction For Electrical and Computer Engineers Roy D. Yates and David J. Goodman

This problem solves for various conditional probabilities and statistics related to two random variables, N and K, given an event B. It is shown that given B, N-9 has a geometric distribution with mean 1/p. The conditional expectations, variances, and correlation of N and K are then calculated. Key results include: the conditional mean of N given B is 9+1/p, the conditional variance of K given B is 5/12p^2, and the conditional correlation of N and K given B is -1/p^2 - 45/p.

Uploaded by

tariqraza
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Probability and Stochastic Processes:

A Friendly Introduction for Electrical and Computer Engineers


Roy D. Yates and David J. Goodman
Problem Solution : Yates and Goodman,3.5.3
Problem 3.5.3
First we observe that for n

1  2  , the marginal PMF of N satisfies


n

PN  K

PN n

n k 

1  p

n 1

k 1

1
1n

1  p

p
k

1  p

n 1

Thus, the event B has probability

PN

P
B

n

1  p 9 p
1

1  p 



1  p

n 10

From Theorem 3.11,


PN  K  n  k 
P  B

PN  K  B n k 


n k  B
otherwise

n 10 p 

1  p
0

n n 10 11 ; k
otherwise

1 n

The conditional PMF PN  B n  b  could be found directly from PN n  using Theorem 2.19. However,
we can also find it just by summing the conditional joint PMF.
n

PN  K  B

PN  B n

1  p
0

n k 

k 1

n 10 p

n 10 11
otherwise

From the conditional PMF PN  B n  , we can calculate directly the conditional moments of N given B.
Instead, however, we observe that given B, N
N  9 has a geometric PMF with mean 1  p. That
is, for n 1 2 ,


PN B n 
Hence, given B, N

P
N

n 9  B

PN  B n 9

1  p

n 1

N 9 and we can calculate the conditional expectations


E
N  B
Var
N  B

E N

Var N

9 B

E N  B

1 p 9

Var N  B

9 B

1  p p2

Note that further along in the problem we will need E N 2  B which we now calculate.
E N2  B

Var
N  B  E
N  B
2
17

81
2
p
p
1

For the conditional moments of K, we work directly with the conditional PMF PN  K  B n  k  .

1  p n
k

n
n  10 k  1

E
K  B
Since nk

1k

10 p

n  10

1  p n
n

10 p n

k 1

n n 1  2,

n 1
1  p
1 2

E
K  B

n

n 1

1
E
N 1  B
2

1
5
2p

We now can calculate the conditional expectation of the sum.


E
N K  B

E
N  B ! E
K  B

1  p 9 1  2p" 5

3
14
2p

The conditional second moment of K is

E K B
Using the identity nk

1k

E K B

10 p

n  10

1  p n
n

10 p n

k2

k 1

n n 1 2n 1  6, we obtain

1  p n
k
n
n  10 k  1

n 1  2n 1 
1  p
6

n  10

n 10


1 
E
N 1 2N 1# B
6

Applying the values of E


N  B and E N 2  B found above, we find that
E N2  B
3

E K2  B

E
N  B
2

1
6

2
3p2

2
37
31
6p
3

Thus, we can calculate the conditional variance of K.


E K2  B

Var
K  B

E
K  B

5
12p2


7
2
6
6p
3

To find the conditional correlation of N and K,

E
NK  B

nk

n 10 k  1

Since nk

1k

1  p n
n

10 p

1  p

n  10

n 1

pk
k 1

n n 1  2,

E
NK  B

n n 1 
2 1  p
n  10

n 10


1
E
N N 1# B
2

1
p2

9
45
p

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