Yates and Goodman: Probability and Stochastic Processes Solutions Manual

113

Problem Solutions Chapter 4

Problem 4.1.1
The CDF of X is
8
< 0

FX (x) =

x < ,1
,1  x < 1
x1

(x + 1)=2

Each question can be answered by expressing the requested probability in terms of FX (x).
(a)
P[X

>

1=2] = 1 , P[X

1

2] = 1 , FX (1=2) = 1 , 3=4 = 1=4

(b) This is a little trickier than it should be. Being careful, we can write
P[,1=2  X

<

3=4] = P[,1=2 < X

3

4] + P[X

,1 2] , P[X = 3
=

4]

Since the CDF of X is a continuous function, the probability that X takes on any
specific value is zero. This implies P[X = 3=4] = 0 and P[X = ,1=2] = 0. (If this is
not clear at this point, it will become clear in Section 4.6.) Thus,
P[,1=2  X

<

3=4] = P[,1=2 < X

3

4] = FX (3=4) , FX (,1=2) = 5=8

(c)
P[jX j  1=2] = P[,1=2  X

1

 1 2] , P[X ,1

2] = P[X

<

2]

Note that P[X  1=2] = FX (1=2) = 3=4. Since the probability that P[X = ,1=2] = 0,
P[X < ,1=2] = P[X  1=2]. Hence P[X < ,1=2] = FX (,1=2) = 1=4. This implies
P[jX j  1=2] = P[X

 1 2] , P[X ,1
=

<

2] = 3=4 , 1=4 = 1=2

(d) Since FX (1) = 1, we must have a  1. For a  1, we need to satisfy

P[X
Thus a = 0:6.

 a] = FX (a) = a +2 1 = 0 8
:

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

114

Problem 4.1.2
The CDF of V was given to be
8
< 0

FV (v) =

c(v + 5)2
1

v < ,5
,5  v < 7
v7

(a) For V to be a continuous random variable, FV (v) must be a continuous function. This
occurs if we choose c such that FV (v) doesnt have a discontinuity at v = 7. We meet
this requirement if c(7 + 5)2 = 1. This implies c = 1=144.
(b)
P[V

>

4] = 1 , P[V

 4] = 1 , FV (4) = 1 , 81

144 = 63=144

(c)
P[,3 < V

 0] = FV (0) , FV (,3) = 25

144 , 4=144 = 21=144

(d) Since 0  FV (v)  1 and since FV (v) is a nondecreasing function, it must be that
,5  a  7. In this range,
P[V

>

a] = 1 , FV (a) = 1 , (a + 5)2=144 = 2=3

The unique solution in the range ,5  a  7 is a = 4 3 , 5 = 1:928.

Problem 4.1.3
In this problem, the CDF of U is
8
0
>
>
>
>
< (u + 5)=8

FU (u) =

>
>
>
>
:

u < ,5
,5  u < ,3
1=4
,3  u < 3
1=4 + 3(u , 3)=8 3  u < 5
1
u  5:

Each question can be answered directly from this CDF.

(a)
P[U

 4] = FU (4) = 1

(b)
P[,2 < U

 2] = FU (2) , FU (,2) = 1 4 , 1
=

4=0

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

115

(c)
P[U

>

0] = 1 , P[U

 0] = 1 , FU (0) = 3

(d) By inspection of FU (u), we observe that P[U

3  a  5. In this range,

 a] = FU (a) = 1

2 for a in the range

FU (a) = 1=4 + 3(a , 3)=8 = 1=2

This implies a = 11=3.
Problem 4.1.4
(a) By definition, dnxe is the smallest integer that is greater than or equal to nx. This
implies
nx  dnxe  nx + 1
(b) By part (a),

 dnxn e  nx n+ 1

nx
n
That is,

x

dnxe  x + 1
n

This implies
x  lim

n!

dnxe  lim x + 1 = x
n

n!

Problem 4.2.1


fX (x) =

cx 0  x  2
0 otherwise

(a) From the above PDF we can determine the value of c by integrating the PDF and
setting it equal to 1.
Z 2
0

Therefore c = 1=2.

cx dx = 2c = 1

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

 1] = R01 2x dx = 1 4
R1 2
P[,1 2  X  1 2] = 0 2x dx = 1

(b) P[0  X
(c)

116

16

(d) The CDF of X is found by integrating the PDF from 0 to x.

Z x

FX (x) =

,

fX x0 dx0 =

8
< 0

x<0
x2 =4 0  x  2
:
1
x>2

Problem 4.2.2
From the CDF, we can find the PDF by direct differentiation. The CDF and correponding PDF are
8
< 0

x < ,1
(x + 1)=2 ,1  x  1
FX (x) =
:
1
x>1

fX (x) =

1=2 ,1  x  1
0
otherwise

Problem 4.2.3
We find the PDF by taking the derivative of FU (u) on each piece that FU (u) is defined.
The CDF and corresponding PDF of U are
8
0
>
>
>
>
< (u + 5)=8

FU (u) =

>
>
>
>
:

8
0
u<
>
>
>
>
5
< 1=8

u < ,5
,5  u < ,3
1=4
,3  u < 3
1=4 + 3(u , 3)=8 3  u < 5
1
u  5:

fU (u) =

>
>
3=8
>
>
:

,5
,  u ,3
,3  u 3
3u 5
u5
<
<

<

Problem 4.2.4


fX (x) =

ax2 + bx 0  x  1
0
otherwise

First, we note that a and b must be chosen such that the above PDF integrates to 1.
Z 1
0

2
(ax + bx) dx = a=3 + b=2 = 1

Hence, b = 2 , 2a=3 and our PDF becomes

fX (x) = x(ax + 2 , 2a=3)

For the PDF to be non-negative for x 2 [0; 1], we must have ax + 2 , 2a=3  0 for all
x 2 [0; 1]. This requirement can be written as
a(2=3 , x)  2

(0

 x  1)

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

117

For x = 2=3, the requirement holds for all a. However, the problem is tricky because we
must consider the cases 0  x < 2=3 and 2=3 < x  1 separately because of the sign change
of the inequality. When 0  x < 2=3, we have 2=3 , x > 0 and the requirement is most
stringent at x = 0 where we require 2a=3  2 or a  3. When 2=3 < x  1, we can write the
constraint as a(x , 2=3)  ,2. In this case, the constraint is most stringent at x = 1, where
we must have a=3  ,2 or a  ,6. Thus our a complete expression for our requirements
are

,6  a  3

b = 2 , 2a=3

As we see in the following plot, the shape of the PDF fX (x) varies greatly with the value
of a.
3
a=6
a=3
a=0
a=3

2.5
2
1.5
1
0.5
0

0.2

0.4

0.6

0.8

Problem 4.3.1


fX (x) =

1=4 ,1  x  3
0
otherwise

We recognize that X is a uniform random variable from [-1,3].

(a) E [X ] = 1 and Var [X ] =

(3+1)2

12

= 4=3.

(b) The new random variable Y is defined as Y

= h (X ) = X 2 .

Therefore

h(E [X ]) = h(1) = 1
and

E [h(X )] = E X 2

Finally

2
= Var [X ] + E [X ] = 4=3 + 1 = 7=3

E [Y ] = E [h(X )] = E X 2
 
Var [Y ] = E X 4

= 7=3

 22 Z 3 x4
dx
E X
=

,1 4

, 499 = 615 , 499

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

118

Problem 4.3.2
(a) Since the PDF is uniform over [1,9]
E [X ] =

1+9
2

=5

Var [X ] =

(b) Define h(X ) = 1= X then

h(E [X ])

E [h(X )]

(9

, 1)2 = 16
12

1= 5

Z 9 ,1=2
x

dx = 1=2

(c)
E [Y ] = E [h(X )] = 1=2


Var [Y ] = E Y 2

, (E [Y ])2 =

Z 9 ,1
x

dx , E [X ]2 =

ln 9
, 1=4
8

Problem 4.3.3
The CDF of X is
8
< 0

x<0
x=2 0  x < 2
FX (x) =
:
1
x2
(a) We can find the expected value of X by first find the PDF by differentiating the above
CDF.


1=2 0  x  2
0
otherwise

fX (x) =
The expected value is then
E [X ] =

Z 2
x
0

dx = 1

(b)
Z 2 2
 2
x
E X
dx = 8=3
=
0 2
 2
2

Var [X ]

E X

, E [X ]

= 8=3

,1 = 5

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

119

Problem 4.3.4
(a) We can find the expected value of X by direct integration of the given PDF.


y=2 0  y  2
0
otherwise

fY (y) =
The expectation is

Z 2 2
y

E [Y ] =

dy = 4=3

(b)
Z 2 3
 2
y
E Y
dy = 2
=
0 2
 2
2

Var [Y ]

, E [Y ]

E Y

=2

, (4

3)2 = 2=9

Problem 4.3.5
The CDF of Y is
8
< 0

y < ,1
FY (y) =
(y + 1)=2 ,1  y < 1
:
1
y1
(a) We can find the expected value of Y by first find the PDF by differentiating the above
CDF.


fY (y) =

1=2 ,1  y  1
0
otherwise

And
Z 1

E [Y ] =

,1

y=2 dy = 0

(b)


E Y2

Var [Y ]

=
=

Z 1 2
y

,1 2

E Y2

dy = 1=3

, E [Y ]2 = 1 3 , 0 = 1
=

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

120

Problem 4.3.6
To evaluate the moments of V , we need the PDF fV (v), which we find by taking the
derivative of the CDF FV (v). The CDF and corresponding PDF of V are
8
< 0

v < ,5
2
FV (v) =
(v + 5) =144 ,5  v < 7
:
1
v7

(a) The expected value of V is

8
< 0

v < ,5
(v + 5)=72 ,5  v < 7
fV (v) =
:
0
v7

E [V ] =

v fV (v) dv =

1 7 2
(v + 5v) dv
72 ,5

7

1 v3 5v2 
=
+
72 3
2 ,5


1 343 245 125 125
=
+
+
, 2
72
3
2
3
=3
(b) To find the variance, we first find the second moment

Z
 2 Z 2
1 7 3
2
E V =
v fV (v) dv =
(v + 5v ) dv


1 v4

72

72 ,5

7
5v3 
+
4
3 ,5

= 6719=432 = 15:55

The variance is Var [V ] = E V 2

, (E [V ])2 = 2831

432 = 6:55.

(c) The third moment of V is

Z
 3 Z 3
1 7 4
3
E V =
v fV (v) dv =
(v + 5v ) dv


1 v5

72

72 ,5

7
5v4 
+
5
4 ,5

= 86:2

Problem 4.3.7
To find the moments, we first find the PDF of U by taking the derivative of FU (u). The
CDF and corresponding PDF are
8
0
>
>
>
>
< (u + 5)=8

FU (u) =

>
>
>
>
:

u < ,5
,5  u < ,3
1=4
,3  u < 3
1=4 + 3(u , 3)=8 3  u < 5
1
u  5:

8
0
u<
>
>
>
>
1
=
8
5
<

fU (u) =

>
>
3=8
>
>
:

,5
,  u ,3
,3  u 3
3u 5
u5
<
<

<

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

121

(a) The expected value of U is

Z

E [U ]

Z 5
,3 u
3u
du +
du
3 8
,5 8
,3
5
u2 
3u2 

u fU (u) du =

=
=

16 ,5

16 3

,1 + 3 = 2

(b) The second moment of U is



E U2

Z
Z 2
u fU (u) du =

Z 5 2
,3 u2
3u
du +
du
3 8
,5 8
 ,3
5
u3 
u3 

24 ,5

8 3

= 49=3

The variance of U is Var [U ] = E U 2

(c) Note that 2U

= e(ln 2)U .

, (E [U ])2 = 37

3.

This implies that

Z

Z
u

2 du =

e(ln 2)u du =

1 (ln 2)u
2u
e
=
ln 2
ln 2

The expected value of 2U is then

Z 5
,3 2u
3
2u
du +
du
8
3
,5 8


2 u  ,3 3
2 u  5

Z
 U Z u
2 fU (u) du =
E 2 =

=
=

8 ln 2 ,5 8 ln 2 3
2307
= 13:001
256 ln 2

Problem 4.4.1
From Appendix A, we observe that an exponential PDF Y with parameter > 0 has
PDF


fY (y) =

e,y y  0
0
otherwise

In addition, the mean and variance of Y are

E [Y ] =

Var [Y ] =

1
2

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

122

(a) Since Var [Y ] = 25, we must have = 1=5.

(b) The expected value of Y is E [Y ] = 1= = 5.
(c)
Z

P[Y

>

5] =

fY (y) dy =

,e,y 5 5 = e,1
=

Problem 4.4.2
From Appendix A, an Erlang random variable X with parameters > 0 and n has PDF


fX (x) =

n xn,1 e,x =(n , 1)! x  0

0
otherwise

In addition, the mean and variance of X are

E [X ] =

Var [X ] =

n
2

(a) Since = 1=3 and E [X ] = n= = 15, we must have n = 5.

(b) Substituting the parameters n = 5 and = 1=3 into the given PDF, we obtain


fX (x) =

(1=3)5 x4 e,x=3 =24

x0
otherwise

(c) From above, we know that Var [X ] = n=2 = 45.

Problem 4.4.3
Since Y is an Erlang random variable with parameters = 2 and n = 2, we find in
Appendix A that


fY (y) =

4ye,2y y  0
0
otherwise

(a) Appendix A tells us that E [Y ] = n= = 1.

(b) Appendix A also tells us that Var [Y ] = n=2 = 1=2.
(c) The probability that 1=2  Y
P[1=2  Y

<

3=2 is
Z 3=2

<

3=2] =

1=2

Z 3=2

fY (y) dy =

1=2

4ye,2y dy

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

123
R

This integral is easily completed using the integration by parts formula u dv = uv ,

R
v du with
dv = 2e,2y

u = 2y

v = ,e,2y

du = 2dy
Making these substitutions, we obtain
3
P[1=2  Y < 3=2] = ,2ye,2y 1

2
+
=2
=

Z 3=2

2e,2y dy

1=2

,1 , 4e,3 = 0:537

= 2e

Problem 4.4.4
(a) The PDF of a continuous uniform random variable distributed from [,5; 5) is


1=10 ,5  x  5
0
otherwise

fX (x) =

(b) For x < ,5, FX (x) = 0. For x  5, FX (x) = 1. For ,5  x  5, the CDF is
Z x

FX (x) =

,5

fX () d =

The complete expression for the CDF of X is

8
< 0

FX (x) =

(x + 5)=10

x+5
10

x < ,5
5x5
x>5

(c) the expected value of X is

Z 5
x

,5 10

dx =

x2 
=0
20 ,5

Another way to obtain this answer is to use Theorem 4.7 which says the expected
value of X is
5 + ,5
E [X ] =
=0
2
(d) The fifth moment of X is
Z 5 5
x

,5 10
The expected value of eX is
Z 5 x
e

,5 10

dx =

x6 
=0
60 ,5

dx =

ex 5
e5 , e,5
=
10 ,5
10

= 14:84

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

124

Problem 4.4.5
We know that X has a uniform PDF over [a; b) and has mean X = 7 and variance
Var [X ] = 3. All that is left to do is determine the values of the constants a and b, to
complete the model of the uniform PDF.
E [X ] =

a+b
2

=7

Var [X ] =

(b

, a)2 = 3
12

Since we assume b > a, this implies

b,a = 6

a + b = 14
Solving these two equations, we arrive at
a=4

b = 10

And the resulting PDF of X is,



fX (x) =

1=6 4  x  10
0
otherwise

Problem 4.4.6
Given that


fX (x) =

(1=2)e,x=2

x0
otherwise

(a)
P[1  X

 2] =

Z 2

,x 2 dx = e,1

(1=2)e

, e,1 = 0 2387
:

(b) The CDF of X may be be expressed as



FX (x) =

x<0
Rx
,
x
=2
d x  0
0 (1=2)e


=

0
x<0
,
x
=2
1,e
x0

(c) X is an exponential random variable with parameter a = 1=2. By Theorem 4.9, the
expected value of X is E [X ] = 1=a = 2.
(d) By Theorem 4.9, the variance of X is Var [X ] = 1=a2 = 4.

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

Problem 4.4.7
Given the uniform PDF

fU (u) =

125

1=(b , a) a  u  b
0
otherwise

The mean of U can be found by integrating

Z b

u=(b , a) du =

E [U ] =
a

b2 , a2
2(b , a)

b+a
2

Where we factored

(b2 , a2 ) = (b , a)(b + a). The variance of U can also be found by

finding E U 2 .


E U2

Z b
=

Therefore the variance is

, a3 )
3(b , a)

(b3

, a3 ) ,  b + a 2 = (b , a)2
3(b , a)
2
12

(b3

Var [U ] =
Problem 4.4.8
The integral I1 is

u2 =(b , a) du =

I1 =

e,x dx =

,e,x 0 = 1

For n > 1, we have

In =

Z n,1 n,1
x
0

(n

,{z1)!}

,x
e
| {z dt}
dv

We define
u and dv as shown above in order to use the integration by parts formula u dv =
R
uv , v du. Since
du =
we can write
In = uvj

n,1 xn,1
dx
(n , 2)!

v du

0
n
,
1
n
x ,1

, (n , 1 ) !

= 0 + In,1

Hence, In = 1 for all n  1.

v = ,e,x


e,x 

Z n,1 n,1
x

 + 0
0

(n

,x dx

, 2)! e

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

126

Problem 4.4.9
For an Erlang random variable X with parameters and n, the kth moment is
h

E Xk

i
=

Z
0

xk fX (x) dt

Z n n+k,1
x

,x

, 1)! e dt
0
Z
(n + k , 1)! n k xn k,1 ,t
=
e dt
k (n , 1)! 0 (n + k , 1)!
|
{z
}
=

(n

The above marked integral equals 1 since it is the integral of an Erlang PDF with parameters
and n + k over all possible values. Hence,
h

E X

i
=

, 1 )!
, 1 )!

(n + k
k (n

This implies that the first and second moments are

E [X ] =

n!
(n , 1)!

E X2

(n + 1)!
(n + 1)n
=
2
(n 1)!
2

It follows that the variance of X is n=2 .

Problem 4.4.10
For n = 1, we have
 the fact E [X ] = 1= that is given in the problem statement. Now we
assume that E X n,1 = (n , 1)!=n,1. To complete the proof, we show that this implies
that E [X n ] = n!=n . Specifically, we write
Z

E [X

]=
0

xn e,x dx
R

Now we use the integration by parts formula u dv = uv , v du with u = xn and dv =

e,x dx. This implies du = nxn,1 dx and v = ,e,x so that
E [X n ] =

,xn e,x 0 +

Z
0

nxn,1 e,x dx

n n,1 ,x
= 0+
x e dx
0
n  n,1 
= E X

By our induction hyothesis, E X n,1

= (n

, 1)!

n,1 which implies

E [X n ] = n!=n

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

127

Problem 4.4.11
(a) Since fX (x)  0 and x  r over the entire integral, we can write
Z

x fX (x) dx 

r fX (x) dx = rP[X

>

r]

(b) We can write the expected value of X in the form

Z r

E [X ] =
Hence,
rP[X

>

r] 

Z
r

x fX (x) dx +

lim rP[X

Since rP[X

>

>

x fX (x) dx

x fX (x) dx = E [X ] ,

Allowing r to approach infinity yields

r!

r]  E [X ] , lim

Z r

r! 0

Z r
0

x fX (x) dx

x fX (x) dx = E [X ] , E [X ] = 0

r]  0 for all r  0, we must have limr! rP[X

(c) We can use the integration by parts formula

1 , FX (x) and dv = dx. This yields
Z
0

[1

>

r] = 0.

u dv = uv , v du by defining u =

, FX (x)] dx = x[1 , FX (x)]j0 +

Z
0

x fX (x) dx

By applying part (a), we now observe that

x[1 , FX (x)]j
0 = lim r [1 , FX (r )] , 0 = lim rP[X
r!

By part (b), limr! rP[X

Z
0

>

[1

r!

>

r]

r] = 0 and this implies x[1 , FX (x)]j

0 = 0. Thus,

, FX (x)] dx =

Z
0

x fX (x) dx = E [X ]

Problem 4.5.1
Given that the peak temperature, T , is a Gaussian random variable with mean 85 and
standard deviation 10 we can use the fact that FT (t ) = ((t , T )=T ) and Table 4.1 on
page 142 to evaluate the following


P[T

>

100]

=
=

P[T
P[70  T

<

60]

 100]

=
=
=
=

100 , 85
1 , P[T  100] = 1 , FT (100) = 1 ,
10
1 , (1:5) = 1 , 0:933 = 0:066


60 , 85
= (,2:5)

10
1 , (2:5) = 1 , :993 = 0:007
FT (100) , FT (70)
(1:5) , (,1:5) = 2(1:5) , 1 = :866

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

128

Problem 4.5.2
The standard normal Gaussian random variable Z has mean = 0 and variance 2 = 1.
Making these substitutions in Definition 4.8 yields
2
1
fZ (z) = p e,z =2
2
Problem 4.5.3
X is a Gaussian random variable with zero mean but unknown variance. We do know,
however, that
P[jX j  10] = 0:1

We can find the variance Var [X ] by expanding the above probability in terms of the (
)
function.
 
10
P[,10  X  10] = FX (10) , FX (,10) = 2
,1
X
This implies (10=X ) = 0:55. Using Table 4.1 for the Gaussian CDF, we find that
10=X = 0:15 or X = 66:6.
Problem 4.5.4
Moving to Antarctica, we find that the temperature, T is still Gaussian but with variance
225. We also know that with probability 1/2, T exceeds 10 degrees. First we would like to
find the mean temperature, and we do so by looking at the second fact.


10 , T
P[T > 10] = 1 , P[T  10] = 1 ,
15

= 1=2

By looking at the table we find that if () = 1=2, then = 0. Therefore,



10 , T

15

= 1=2

implies that (10 , T )=15 = 0 or T = 10. Now we have a Gaussian T with mean 10 and
standard deviation 15. So we are prepared to answer the following problems.


P[T

>

32]

=
=

P[T

<

0]

=
=
=

P[T

>

60]

=
=
=

32 , 10
1 , P[T  32] = 1 ,
15
1 , (1:45) = 1 , 0:926 = 0:074


0 , 10
FT (0) =
15
(,2=3) = 1 , (2=3)
1 , (0:67) = 1 , 0:749 = 0:251
1 , P[T  60] = 1 , FT (60)


60 , 10
= 1 , (10=3)
1,
15
Q(3:33) = 4:34
10,4

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

129

Problem 4.5.5
In this problem, we use Theorem 4.14 and the tables for the and Q functions to
answer the questions. Since E [Y20 ] = 40(20) = 800 and Var [Y20 ] = 100(20) = 2000, we
can write


Y20 , 800 1000 , 800

p
P[Y20 > 1000] = P p
>
2000
2000


200
p = Q(4:47) = 3:91  10,6
=P Z>
20 5
The second part is a little trickier. Since E [Y25 ] = 1000, we know that the prof will spend
around $1000 in roughly 25 years. However, to be certain with probability 0.99 that the
prof spends $1000 will require more than 25 years. In particular, we know that


Yn , 40n
P[Yn > 1000] = P p
100n
Hence, we must find n such that

>

1000 , 40n
p
100n

100 , 4n
pn

100 , 4n
pn
= 1,


= 0:99


= 0:01

Recall that (x) = 0:01 for a negative value of x. This is consistent with our earlier observation that we would need n > 25 corresponding to 100 , 4n < 0. Thus, we use the identity
(x) = 1 , (,x) to write


100 , 4n
pn

4n , 100
pn
= 1,

= 0:01

Equivalently, we have


4n , 100
pn


= 0:99

From the table of the function, we have that

4n , 100
pn

= 2:33

or
(n

, 25)2 = (0 58)2n = 0 3393n

:

Solving this quadratic yields n = 28:09. Hence, only after 28 years are we 99 percent
sure that the prof will have spent $1000. Note that a second root of the quadratic yields
n = 22:25. This root is not a valid solution to our problem. p
Mathematically, it is a solution
of our quadratic in which we choose the negative root of n. This would correspond to
assuming the standard deviation of Yn is negative.

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

130

Problem 4.5.6
We are given that there are 100; 000; 000 men in the United States and 23; 000 of them
are at least 7 feet tall, and the heights of U.S men are independent Gaussian random variables with mean 50 1000 .
(a) Let H denote the height in inches of a U.S male. To find X , we look at the fact that
the probability that P[H  84] is the number of men who are at least 7 feet tall divided
by the total number of men (the frequency interpretation of probability). Since we
measure H in inches, we have
P[H  84] =

23; 000
100; 000; 000

70 , 84
=
X


= 0:00023

Since (,x) = 1 , (x) = Q(x),

Q(14=X ) = 2:3
10,4
From Table 4.2, this implies 14=X

= 3:5

or X

= 4.

(b) The probability that a randomly chosen man is at least 8 feet tall is


96 , 70
P[H  96] = Q
4


= Q(6:5)

Unfortunately, Table 4.2 doesnt include Q(6:5), although it should be apparent that
the probability is very small. In fact, Q(6:5) = 4:0  10,11 .
(c) First we need to find the probability that a man is at least 76.


90 , 70
P[H  90] = Q
4


= Q(5)

 3
10,7 =

Although Table 4.2 stops at Q(4:99), if youre curious, the exact value is Q(5) =
2:87
10,7.
Now we can begin to find the probability that no man is at least 76. This can be
modeled as 100,000,000 repetitions of a Bernoulli trial with parameter 1 , . The
probability that no man is at least 76 is
(1

, )100 000 000 = 9 4  10,14

;

(d) The expected value of N is just the number of trials multiplied by the probability that
a man is at least 76.
E [N ]

100; 000; 000
= 30

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

131

Problem 4.5.7
First we note that since W has an N [; 2 ] distribution, the integral we wish to evaluate
is
Z

I=

p1

fW (w) dw =

22 ,

e,(w,)

2 =22

dw

(a) Using the substitution x = (w , )=, we have dx = dw= and

Z

1
I=p

2 ,

e,x

2 =2

dx

(b) When we write I 2 as the product of integrals, we use y to denote the other variable of
integration so that


=
=



2
2
p1
p1
e,x =2 dx
e,y =2 dy
2 ,
2 ,
Z Z
1 ,(x2 +y2 )=2
e
dx dy
2 , ,

(c) By changing to polar coordinates, x2 + y2 = r2 and dx dy = r dr d so that

Z

=
=
=

1 2 ,r2 =2
e
r dr d
2 0 0
Z
1 2 ,r2 =2 
,e 0 d
2 0
Z
1 2
d = 1
2 0

Problem 4.6.1
(a) Using the given CDF

P[X < ,1] = FX ,1,

P[X  ,1] = FX (,1)

=
=

,1

3 + 1=3 = 0

Where FX (,1, ) denotes the limiting value of the CDF found by approaching ,1
from the left. Likewise, FX (,1+ ) is interpreted to be the value of the CDF found by
approaching ,1 from the right. We notice that these two probabilities are the same
and therefore the probability that X is exactly ,1 is zero.
(b)
P[X
P[X

0]
 0]
<

=
=

FX 0, = 1=3
FX (0) = 2=3

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

132

Here we see that there is a discrete jump at X = 0. Approached from the left the CDF
yields a value of 1/3 but approached from the right the value is 2/3. This means that
there is a non-zero probability that X = 0, in fact that probability is the difference of
the two values.
P[X

= 0] = P[X

 0] , P[X

<

0] = 2=3 , 1=3 = 1=3

(c)
P[0 < X
P[0  X

 1]
 1]

FX (1) , FX 0+ = 1 , 2=3 = 1=3

,

FX (1) , FX 0, = 1 , 1=3 = 2=3

=
=

The difference in the last two probabilities above is that the first was concerned with
the probability that X was strictly greater then 0, and the second with the probability
that X was greater than or equal to zero. Since the the second probability is a larger
set (it includes the probability that X = 0) it should always be greater than or equal to
the first probability. The two differ by the probability that X = 0, and this difference
is non-zero only when the random variable exhibits a discrete jump in the CDF.
Problem 4.6.2
Similar to the previous problem we find
(a)
,

,1] = FX ,1,

 ,1] = FX (,1) = 1
Here we notice the discontinuity of value 1/4 at x = ,1.
P[X

<

=0

P[X

(b)
P[X

<

0] = FX 0,

= 1=2

P[X

 0] = FX (0) = 1

Since there is no discontinuity at x = 0, FX (0, ) = FX (0+ ) = FX (0).

(c)

 1] = 1 , FX (,1) =
0
P[X  1] = 1 , P[X 1] = 1 , FX 1, = 1 , 3
P[X

>

1] = 1 , P[X

<

4 = 1=4

Again we notice a discontinuity of size 1/4, here occurring at x = 1,

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

133

Problem 4.6.3
(a) By taking the derivative of the CDF FX (x) given in Problem 4.6.2, we obtain the PDF
 (x+1)

fX (x) =

+ 1=4 +

(x,1)
4

,1  x  1
otherwise

(b) The first moment of X is

Z

E [X ] =

x fX (x) dx = x=4jx=,1 + x2 =8,1 + x=4jx=1 = ,1=4 + 0 + 1=4 = 0

(c) The second moment of X is


1

 2 Z 2
E X =
x fX (x) dx = x2 =4x=,1 + x3 =12,1 + x2 =4x=1 = 1=4 + 1=6 + 1=4 = 2=3
,


Since E [X ] = 0, Var [X ] = E X 2

= 2=3.

Problem 4.6.4
The PMF of a Bernoulli random variable with mean p is
8
< 1

PX (x) =

p
0

,p

x=0
x=1
otherwise

The corresponding PDF of this discrete random variable is

fX (x) = (1 , p)(x) + p(x , 1)
Problem 4.6.5
The PMF of a geometric random variable with mean 1= p is


PX (x) =

p(1 , p)x,1 x = 1; 2; : : :
0
otherwise

The corresponding PDF is

fX (x) = p(x , 1) + p(1 , p)(x , 2) +

p(1 , p) j,1(x , j)

j=1

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

134

Problem 4.6.6
(a) Since the conversation time cannot be negative, we know that FW (w) = 0 for w < 0.
The conversation time W is zero iff either the phone is busy, no one answers, or if
the conversation time X of a completed call is zero. Let A be the event that the call is
answered. Note that the event Ac implies W = 0. For w  0,
FW (w) = P[Ac ] + P[A]FW jA (w) = (1=2) + (1=2)FX (w)
Thus the complete CDF of W is

FW (w) =

0
w<0
1=2 + (1=2)FX (w) w  0

(b) By taking the derivativeof FW (w), the PDF of W is



(1=2)(w) + (1=2) fX (w)

0
otherwise

fW (w) =

Next, we keep in mind that since X must be nonnegative, fX (x) = 0 for x < 0. Hence,
fW (w) = (1=2)(w) + (1=2) fX (w)
(c) From the PDF fW (w), calculating the moments is straightforward.
Z

E [W ] =

w fW (w) dw = (1=2)

w fX (w) dw = E [X ]=2

The second moment is

Z
 2 Z 2
 
E W =
w fW (w) dw = (1=2)
w2 fX (w) dw = E X 2 =2

The variance of W is


Var [W ] = E W 2

, (E [W ])2 = E

 2
X =2

, (E [X ]

2)2 = (1=2) Var [X ] + (E [X ])2 =4

Problem 4.6.7
The professor is on time 80 percent of the time and when he is late his arrival time is
uniformly distributed between 0 and 300 seconds. The PDF of T , is


fT (t ) =

0:2
0:8(t , 0) + 300
0  t  300
0
otherwise

The CDF can be found be integrating

8
< 0

FT (t ) =

t < ,1
:2t
0:8 + 0300
0  t < 300
:
1
t  300

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

135

Problem 4.6.8
Let G denote the event that the throw is good, that is, no foul occurs. The CDF of D
obeys
FD (y) = P[D  yjG]P[G] + P[D  yjGc ]P[Gc ]
Given the event G,
P[D  yjG] = P[X

 y , 60] = 1 , e, y,60
(

)=10

(y

 60)

Of course, for y < 60, P[D  yjG] = 0. From the problem statement, if the throw is a foul,
then D = 0. This implies
P[D  yjGc ] = u(y)
where u(
) denotes the unit step function. Since P[G] = 0:7, we can write
FD (y) = P[G]P[D  yjG] + P[Gc ]P[D  yjGc ]


0:3u(y)
y < 60
,
(y,60)=10
0:3 + 0:7(1 , e
) y  60

Another way to write this CDF is

FD (y) = 0:3u(y) + 0:7u(y , 60)(1 , e,(y,60)=10)
However, when we take the derivative, either expression for the CDF will yield the PDF.
However, taking the derivative of the first expression perhaps may be simpler:


fD (y) =

0:3(y)
y < 60
,
(y,60)=10
0:07e
y  60

Taking the derivative of the second expression for the CDF is a little tricky because of the
product of the exponential and the step function. However, applying the usual rule for the
differentation of a product does give the correct answer:
fD (y) = 0:3(y) + 0:7(y , 60)(1 , e,(y,60)=10 ) + 0:07u(y , 60)e,(y,60)=10
= 0:3(y) + 0:07u(y

, 60)e, y,60
(

)=10

The middle term (y , 60)(1 , e,(y,60)=10 ) dropped out because at y = 60, e,(y,60)=10 = 1.
Problem 4.6.9
The professor is on time and lectures the full 80 minutes with probability 0.7. That is,
P[T = 80] = 0:7. Likewise when the professor is more than 5 minutes late, the students
leave and a 0 minute lecture is observed. Since he is late 30% of the time and given that he

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

136

is late, his arrival is uniformly distributed between 0 and 10 minutes, the probability that
there is no lecture is
P[T

= 0] = (0:3)(0:5) = 0:15

The only other possible lecture durations are uniformly distributed between 75 and 80
minutes, because the students will not wait longer then 5 minutes, and that probability
must add to a total of 1 , 0:7 , 0:15 = 0:15. So the PDF of T can be written as
8
0:15(t )
>
>
<

fT (t ) =

0:03
0:7(t , 80)
>
>
:
0

t=0
75  7 < 80
t = 80
otherwise

Problem 4.7.1
Since 0  X  1, Y = X 2 satisfies 0  Y  1. We can conclude that FY (y) = 0 for y < 0
and that FY (y) = 1 for y  1. For 0  y < 1,


FY (y) = P X 2  y

= P[X

 py]

Since fX (x) = 1 for 0  x  1, we see that for 0  y < 1,

Z py
p
p
P[X  y] =
dx = y
0

Hence, the CDF of Y is

8
< 0

FY (y) =

py
1

y<0
0y<1
y1

By taking the derivative of the CDF, we obtain the PDF



fY (y) =

1=(2 y) 0  y < 1
0
otherwise

Problem 4.7.2
From Problem 4.6.1, random variable X has CDF
8
0
>
>
<

x < ,1
x=3 + 1=3 ,1  x < 0
FX (x) =
x
=3 + 2=3 0  x < 1
>
>
:
1
1x

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

137

(a) We can find the CDF of Y , FY (y) by noting that Y can only take on two possible
values, 0 and 100. And the probability that Y takes on these two values depends on
the probability that X < 0 and X  0, respectively. Therefore
8
< 0

FY (y) = P[Y

 y] = : P[X

<

y<0
0  y < 100
y  100

0]

The probabilities concerned with X can be found from the given CDF FX (x). This
is the general strategy for solving problems of this type: to express the CDF of Y in
terms of the CDF of X . Since P[X < 0] = FX (0, ) = 1=3, the CDF of Y is
8
< 0

FY (y) = P[Y

y<0
3 0  y < 100
1
y  100

 y] = : 1

(b) The CDF FY (y) has jumps of 1=3 at y = 0 and 2=3 at y = 100. The corresponding
PDF of Y is
fY (y) = (y)=3 + 2(y , 100)=3
(c) The expected value of Y is
Z

E [Y ] =

y fY (y) dy = 0

1
2
+ 100

3
3

= 66:66

Problem 4.7.3
(a) Since X
y  0,

 0 we see that Y = X 2  0. We can conclude that FY (y) = 0 for y



FY (y) = P X 2  y

= P[X

 py]

From the exponential PDF of X , we see that for y  0,

py

FY (y) =

Hence, the CDF of Y is

FY (y) =

py

9e,9x dx = 1 , e,9

0
py y < 0
,
9
1,e
y0

By taking the derivative of the CDF, we obtain the PDF



fY (y) =

py y  0

(9=2)e,9 y =

otherwise

<

0. For

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

138

(b) Finding the moments of Y is easiest using the moments of X . Specifically,

we know

n
n
2
from Problem 4.4.10 that E [X ] = n!=9 . Hence, E [Y ] = E X = 2=81.


(c) The second moment is E Y 2

Var [Y ] = E Y 2

=E

 4
X = 4!=94 . This implies

, (E [Y ])2 = 24

94 , 4=94 = 20=6561

Problem 4.7.4
Random variable X has the exponential PDF


fX (x) =
For y  0, the CDF of Y
FY (y) = P[Y

e,x x  0
0
otherwise

X is given by

 y] = P

y

=P

 y2

Z y2

e,x dy = 1 , e,y

=
0

Therefore we can express the CDF and PDF of Y as



FX (x) =


fY (y) =

0
y0
2
,
y
y0
1 , e

22 ye,y
0

y0
otherwise

From
p Appendix A, we observe that Y is a Rayleigh random variable with parameter a =
2.
Problem 4.7.5
Before solving for the PDF, it is helpful to have a sketch of the function X
U ).

, ln(1 ,

4
2
0
0

0.5
U

(a) From the sketch, we observe that X will be nonnegative. Hence FX (x) = 0 for x < 0.
Since U has a uniform distribution on [0; 1], for 0  u  1, P[U  u] = u. We use this
fact to find the CDF of X . For x  0,


FX (x) = P[, ln(1 , U )  x] = P 1 , U

 e,x

=P

 1 , e,x

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

For x  0, 0  1 , e,x  1 and so

FX (x) = FU 1 , e,x

=1

139

, e,x

The complete CDF can be written as



FX (x) =

0
x<0
1 , e,x x  0

(b) By taking the derivative, the PDF is



fX (x) =

e,x x  0
0
otherwise

Thus, X has an exponential PDF. In fact, since most computer languages provide
uniform [0; 1] random numbers, the procedure outlined in this problem provides a
way to generate exponential random variables from uniform random variables.
(c) Since X is an exponential random variable with parameter a = 1, E [X ] = 1.
Problem 4.7.6
We wish to find a transformation that takes a uniformly distributed random variable on
[0,1] to the following PDF for Y .


fY (y) =

3y2 0  y  1
0
otherwise

We begin by realizing that in this case the CDF of Y must be

8
< 0

FY (y) =

y3

y<0
0y1
otherwise

Therefore, for 0  y  1,

 y] = P[g(X )  y] = y3
Thus, using g(X ) = X 1 3 , we see that for 0  y  1,
P[Y

P[g(X )  y] = P X 1=3  y
which is the desired answer.

=P

 y3

3
=y

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

140

Problem 4.7.7
Since the microphone voltage V is uniformly distributed between -1 and 1 volts, V has
PDF and CDF


fV (v) =

8
< 0

v < ,1
(v + 1)=2 ,1  v  1
FV (v) =
:
1
v>1

1=2 ,1  v  1
0
otherwise

The voltage is processed by a limiter whose output magnitude is given by below



L=

jV j jV j  0 5
:

0:5 otherwise

(a)
P[L = 0:5]

=
=
=

P[jV j  0:5] = P[V  0:5] + P[V

1 , FV (0:5) + FV (,0:5)
1 , 1:5=2 + 0:5=2 = 1=2

 ,0 5]
:

(b) For 0  l  0:5,

FL (l ) = P[jV j  l ] = P[,l  v  l ] = FV (l ) , FV (,l ) = 1=2(l + 1) , 1=2(,l + 1) = l
So the CDF of L is
8
< 0 l<0

FL (l ) =

l 0  l < 0:5
1 l  0:5

(c) By taking the derivative of FL (l ), the PDF of L is



fL (l ) =

1 + (0:5)(l , 0:5) 0  l  0:5

0
otherwise

The expected value of L is

Z

E [L] =

Z 0:5

l fL (l ) dl =

Z 0:5

l dl + 0:5

l (0:5)(l , 0:5) dl = 0:375

Problem 4.7.8
Let X denote the position of the pointer and Y denote the area within the arc defined by
the stopping position of the pointer.

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

141

(a) If the disc has radius r, then the area of the disc is r2 . Since the circumference of the
disc is 1 and X is measured around the circumference, Y = r2 X . For example, when
X = 1, the shaded area is the whole disc and Y = r2 . Similarly, if X = 1=2, then
Y = r2 =2 is half the area of the disc. Since the disc has circumference 1, r = 1=(2)
and
= r

X
4

(b) The CDF of Y can be expressed as



X
FY (y) = P[Y  y] = P
4

y

= P[X

 4y] = FX (4y)

Therefore the CDF is

8
< 0

FY (y) =

y<0
4y 0  y 
:
1
1
y  4

1
4

(c) By taking the derivative of the CDF, the PDF of Y is



fY (y) =

(d) The expected value of Y is E [Y ] =

1
4 0  y  4
0 otherwise

R 1=(4)
0

4y dy = 1=(8).

Problem 4.7.9


fU (u) =

1=2 0  u  2
0
otherwise

The uniform random variable U is subjected to the following clipper.



= g(U ) =

U U
1 U

1
>

We wish to find the CDF of the output of the clipper, W . It will be helpful to have the CDF
of U handy.
8
< 0

u<0
u=2 0  u < 2
FU (u) =
:
1
u>2

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

142

The CDF of W can be found by remembering that W = U for 0  U  1 while W = 1 for

1  U  2. First, this implies W is nonnegative, i.e., FW (w) = 0 for w < 0. Furthermore,
for 0  w  1,

 w] = P[U  w] = FU (w) = w 2
Lastly, we observe that it is always true that W  1. This implies FW (w) = 1 for w  1.
FW (w) = P[W

Therefore the CDF of W is

8
< 0

w<0
w=2 0  w < 1
FW (w) =
:
1
w1
From the jump in the CDF at w = 1, we see that P[W = 1] = 1=2. The corresponding PDF
can be found by taking the derivative and using the delta function to model the discontinuity.


fW (w) =

1=2 + (1=2)(w , 1) 0  w  1
0
otherwise

the expected value of W is

E [W ] =

Z 1

w fW (w) dw =

w[1=2 + (1=2)(w , 1)] dw = 1=4 + 1=2 = 3=4

Problem 4.7.10
Given the following function of random variable X ,


= g(X ) =

10
X
,10 X

0
0
<

we follow the same procedure as in Problem 4.7.2. We attempt to express the CDF of Y
in terms of the CDF of X . We know that Y is always less than ,10. We also know that
,10  Y < 10 when X  0, and finally, that Y = 10 when X < 0. Therefore
8
< 0

FY (y) = P[Y

y ,10
 y] = : P[X  0] = 1 , FX (0) ,10  y
1
y  10
<

Problem 4.7.11
The PDF of U is


fU (u) =

1=2 ,1  u  1
0
otherwise

<

10

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

143

Since W  0, we see that FW (w) = 0 for w < 0. Next, we observe that the rectifier output
W is a mixed random variable since
Z 0

P[W

= 0] = P[U

<

0] =

,1

fU (u) du = 1=2

The above facts imply that

FW (0) = P[W

 0] = P[W = 0] = 1

Next, we note that for 0 < w < 1,

FW (w) = P[U

 w] =

Z w

,1

fU (u) du = (w + 1)=2

Finally, U  1 implies W  1, which implies FW (w) = 1 for w  1. Hence, the complete

expression for the CDF is
8
< 0

w<0
(w + 1)=2 0  w  1
FW (w) =
:
1
w>1
By taking the derivative of the CDF, we find the PDF of W ; however, we must keep in mind
that the discontinuity in the CDF at w = 0 yields a corresponding impulse in the PDF.


fW (w) =

0w1
otherwise

((w) + 1)=2

From the PDF, we can calculate the expected value

Z 1

E [W ] =
0

w((w) + 1)=2 dw = 0 +

Z 1
(w=2) dw = 1=4
0

Perhaps an easier way to find the expected value is to use Theorem 2.10. In this case,
Z

E [W ] =

Z 1

g(u) fW (w) du =

u(1=2) du = 1=4

As we expect, both approaches give the same answer.

Problem 4.7.12
If X has a uniform distribution from 0 to 1 then the PDF and corresponding CDF of X
are


fX (x) =

1 0x1
0 otherwise

8
< 0 x<0

FX (x) =

x 0x1
1 x>1

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

For a > 0, we can find the CDF of the function Y
FY (y)

= aX + b

y,b
a

 y] = P[aX + b  y] = P X 


y,b
y,b
=

P[Y

FX

Therefore the CDF of Y is

8
< 0

FY (y) =

144

y<b
b  y  a+b
y  a+b

y,b
a

By differentiating with respect to y we arrive at the PDF



fY (y) =

1=a b  x  a + b
0
otherwise

which we recognize as the PDF of a random variable that is uniformly distributed over
[b; a + b].

Problem 4.7.13
The relationship between X and Y is shown in the following figure:
3
Y

2
1
0
0

(a) Note that Y

= 1=2

P[Y

if and only if 0  X

= 1=2] = P[0

 1. Thus,

 X  1] =

Z 1
0

Z 1

fX (x) dx =

(b) Since Y  1=2, we can conclude that FY (y) = 0 for y

P[Y = 1=2] = 1=4. Similarly, for 1=2 < y  1,
Next, for 1 < y  2,

FY (y) = P[0  X

 1] = P[Y = 1

(x=2) dx = 1=4
0
<

1=2. Also, FY (1=2)

2] = 1=4

Z y

 y] = fX (x) dx = y2 4
0
Lastly, since Y  2, FY (y) = 1 for y  2. The complete expression of the CDF is
FY (y) = P[X

8
0
>
>
<

y < 1=2
1=4 1=2  y  1
FY (y) =
2 =4 1 < y < 2
y
>
>
:
1
y2

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

145

Problem 4.7.14
We can prove the assertion by considering the cases where a > 0 and a < 0, respectively.
For the case where a > 0 we have


FY (y)

P[Y

 y] = P X 

y,b
a


= FX

y,b
a

Therefore by taking the derivative we find that

fY (y) =

1
fX
a

y,b
a

a>0

Similarly for the case when a < 0 we have



FY (y) = P[Y

 y] = P X 

y,b
a


=1

, FX

y,b
a

And by taking the derivative, we find that for negative a,

1
fY (y) = , fX
a

y,b
a

a<0

A valid expression for both positive and negative a is

fY (y) =

1
jaj fX

y,b
a

Therefore the assertion is proved.

Problem 4.7.15
Understanding this claim may be harder than completing the proof. Since 0  F (x)  1,
we know that 0  U  1. This implies FU (u) = 0 for u < 0 and FU (u) = 1 for u  1.
Moreover, since F (x) is an increasing function, we can write for 0  u  1,


FU (u) = P[F (X )  u] = P X

 F ,1(u)

Since FX (x) = F (x), we have for 0  u  1,

FU (u) = F (F ,1 (u)) = u
Hence the complete CDF of U is
8
< 0 u<0

FU (u) =

u 0u<1
1 u1

That is, U is a uniform [0; 1] random variable.

= FX

F ,1 (u)

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

146

Problem 4.7.16
First, we must verify that F ,1 (u) is a nondecreasing function. To show this, suppose
that for u  u0 , x = F ,1 (u) and x0 = F ,1 (u0 ). In this case, u = F (x) and u0 = F (x0 ). Since
F (x) is nondecreasing, F (x)  F (x0 ) implies that x  x0 . Hence, we can write


FX (x) = P F ,1 (U )  x

= P[U

 F (x)] = F (x)

Problem 4.8.1
The PDF of X is


1=10 ,5  x  5
0
otherwise

fX (x) =
(a) The event B has probability

P[B] = P[,3  X

 3] =

Z 3
1

,3 10

dx =

3
5

From Definition 4.15, the conditional PDF of X given B is



fX jB (x) =

fX (x) =P[B] x 2 B
0
otherwise


=

1=6 jxj  3
0
otherwise

(b) Given B, we see that X has a uniform PDF over [a; b] with a = ,3 and b = 3. From
Theorem 4.7, the conditional expected value of X is E [X jB] = (a + b)=2 = 0.
(c) From Theorem 4.7, the conditional variance of X is Var [X jB] = (b , a)2=12 = 3.
Problem 4.8.2
From Definition 4.6, the PDF of Y is


fY (y) =

(1=5)e,y=5

y0
otherwise

(a) The event A has probability

Z 2

P[A] = P[Y

<

2] =

,y 5 dy = ,e,y

(1=5)e
0

2
 =1

, e,2 5

From Definition 4.15, the conditional PDf of Y given A is



fY jB (y) =
=

fY (y) =P[A] x 2 A
0
otherwise

(1=5)e,y=5 =(1

, e,2 5 )
=

0y<2
otherwise

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

147

(b) The conditional expected value of Y given A is

E [Y jA] =

y fY jA (y) dy =

Using the integration by parts formula

e,y=5 dy yields
E [Y jA] =
=
=

1=5
1 , e,2=5

Z 2

ye,y=5 dy

u dv = uv , v du with u

y and dv =

2
2
1=5
,
y=5 
,
5ye
+
5e,y=5 dy

,
2
=5
0
1,e
0

2 
1=5
,
2=5
,
y=5 
,10e , 25e 0
1 , e,2=5
5 , 7e,2=5
1 , e,2=5

Problem 4.8.3
from Definition 4.8, the PDF of W is
fW (w) =

p1

32

e,w

2 =32

(a) Since W has expected value = 0, fW (w) is symmetric about w = 0. Hence P[C] =
P[W > 0] = 1=2. From Definition 4.15, the conditional PDF of W given C is


fW jC (w) =

fW (w) =P[C] w 2 C
0
otherwise

2e,w
0

(b) The conditional expected value of W given C is

E [W jC] =

w fW jC (w) dw =

p2
4 2

2 =32

32 w > 0
otherwise

we,w

2 =32

dw

Making the substitution v = w2 =32, we obtain

E [W jC] =

p32
32

e,v dv =

p32

32

(c) The conditional second moment of W is

Z
 2  Z 2
E W C =
w fW jC (w) dw = 2
w2 fW (w) dw

We observe that w2 fW (w) is an even function. Hence

Z
Z
 2 
 
2
E W C =2
w fW (w) dw =
w2 fW (w) dw = E W 2 = 2 = 16

Lastly, the conditional variance of W given C is



Var [W jC] = E W 2 jC

, (E [W jC])2 = 16 , 32

= 5:81

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

148

Problem 4.8.4
(a) To find the conditional moments, we first find the conditional PDF of T . The PDF of
T is


100e,100t t  0
0
otherwise

fT (t ) =

The conditioning event has probability

P[T

0:02] =

>

fT (t ) dt =

0:02

,e,100t 0 02 = e,2
:

From Definition 4.15, the conditional PDF of T is

(

fT jT >0:02 (t ) =

t  0:02
otherwise

fT (t )
P[T >0:02]

The conditional mean of T is

E [T jT

>

0:02] =

The substitution = t , 0:02 yields

E [T jT

>

0:02] =

0:02

Z
Z0

100e,100(t ,0:02) t  0:02

0
otherwise

t (100)e,100(t ,0:02) dt

,100 d

( + 0:02)(100)e

( + 0:02) fT () d

= E [T + 0:02] = 0:03

(b) The conditional second moment of T is


E T2 T

>

0:02

The substitution = t , 0:02 yields


E T2 T

>

0:02

0:02

Z
Z0

t 2(100)e,100(t ,0:02) dt

2
,100 d
( + 0:02) (100)e

( + 0:02)

= E (T + 0:02)

Now we can calculate the conditional variance.

Var [T jT

>

0:02] = E T 2 jT


>

0:02

= E (T + 0:02)


2

= Var [T + 0:02]
= Var [T ] = 0:01

fT () d

, (E [T jT 0 02])2
, (E [T + 0 02])2
>
:

Yates and Goodman: Probability and Stochastic Processes Solutions Manual

149

Problem 4.8.5
(a) In Problem 4.6.8, we found that the PDF of D is


fD (y) =

0:3(y)
y < 60
,
(y,60)=10
0:07e
y  60

First, we observe that D > 0 if the throw is good so that P[D > 0] = 0:7. A second
way to find this probability is
Z

P[D > 0] =

fD (y) dy = 0:7

0+

From Definition 4.15, we can write

(

fDjD>0 (y) =

fD (y)
P[D>0]

y>0
otherwise


=

(1=10)e,(y,60)=10

y  60
otherwise

(b) If instead we learn that D  70, we can calculate the conditional PDF by first calculating
P[D  70] =

Z 70
0

fD (y) dy

Z 60

Z 70

0:3(y) dy +
0

60

0:07e,(y,60)=10 dy
70

,0 7e, y,60 10 60
,1
,1
= 0 3 + 0 7(1 , e ) = 1 , 0 7e
= 0:3 +
:

)=

The conditional PDF is

(

fDjD70 (y) =

fD (y)
P[D70]

y  70
otherwise

8
0:3
0 y < 60
< 1,0:7e,1 (y)
0
:07
,
(y,60)=10
=
e
60 y 70
: 1,0:7e,1


 

otherwise