Probability and Stochastic Processes:

A Friendly Introduction for Electrical and Computer Engineers

Roy D. Yates and David J. Goodman
Problem Solutions : Yates and Goodman,5.1.5 5.1.6 5.2.4 5.3.6 5.4.5 5.5.4 5.6.4 5.7.5 5.7.6
5.8.4 5.8.6 5.8.7 5.8.8 5.9.5 and 5.10.4

Problem 5.1.5
Theorem 5.3 which states

P x1
X  x2  y1
Y  y2 FX  Y  x2  y2 
FX  Y  x2  y1 
FX  Y  x1  y2  FX  Y  x1  y1

(a) The events A, B, and C are

  %
 "$# -.
 ! +,
  &
  '()*
A B C

(b) In terms of the joint CDF FX  Y  x  y , we can write

P A FX  Y  x1  y2 
FX  Y  x1  y1
P B FX  Y  x2  y1 
FX  Y  x1  y1
P A / B / C FX  Y  x2  y2 

FX  Y  x1  y1

(c) Since A, B, and C are mutually exclusive,

P A / B / C P A0 P B1 P C

However, since we want to express P C2 P x1
X  x2  y1
Y  y2 in terms of the joint

CDF FX  Y  x  y , we write

P C P A / B / C0
P A1
P B
 FX  Y  x2  y2 
FX  Y  x1  y2 
FX  Y  x2  y1  FX  Y  x1  y1
which completes the proof of the theorem.

Problem 5.1.6

1
e 354 x6 y7 x y 8 0
FX  Y  x  y 2
0 otherwise

1
First, we find the CDF FX  x and FY  y .

1 x8 0
FX  x 9 FX  Y  x  ∞ 9
0 otherwise
1 y8 0
FY  y 9 FX  Y  ∞  y 2
0 otherwise

Hence, for any x 8 0 or y 8 0,

P X : x; 0 P Y : y 0

For x 8 0 and y 8 0, this implies

< <
P X : x =>/ Y : y =   P X : x1 P Y : y 0

However,
< <
P X : x =>/ Y : y =  1
P X  x  Y  y 1
 1
e 3?4 x6 y7 9
 e 3?4
x6 y7

Thus, we have the contradiction that e 354 x6 y7  0 for all x  y 8 0. We can conclude that the given
function is not a valid CDF.
Problem 5.2.4
The only difference between this problem and Example 5.2 is that in this problem we must in-
tegrate the joint PDF over the regions to find the probabilities. Just as in Example 5.2, there are five
cases. We will use variable u and v as dummy variables for x and y.
@ x 0 or y 0



Y

In this case, the region of integration doesn’t overlap the

region of nonzero probability and
A y A x
y

FX  Y  x  y 9 fX  Y  u  v du dv  0
3 ∞ 3 ∞
X
x 1

@ 0 y x 1

2
 Y
In this case, the region where the integral has a nonzero
contribution is 1
A y A x
FX  Y  x  y 9 fX  Y  u v dy dx
A 3 y∞A 3x ∞ y

 8uvdu dv
A 0
y
v

 4  x2
v2 v dv x 1
X
0
2 2 4 vB y 2 2 4
 2x v
v vB 0  2x y
y
@ 0 x  y and 0  x  1


Y

A y A x 1
FX  Y  x  y 9 fX  Y  u v dv du
A 3 x∞A 3u ∞
y
 8uvdv du
A 0
x
0

 4u3 du
0 X
4 1 x
 x

@ 0 y  1 and x 8 1


Y

A y A x 1
FX  Y  x  y 9 fX  Y  u v dv du
∞ ∞
A 3 y A 31 y

 8uvdu dv
A 0
y
v

 4v 1
v2 dv
0 X
2 4 x 1
 2y
y

@ x 8 1 and y 8 1

3
 Y
y
1

In this case, the region of integration completely covers

the region of nonzero probability and
A y A x
FX  Y  x  y 9 fX  Y  u  v du dv  1
3 ∞ 3 ∞
X
1 x

The complete answer for the joint CDF is

0 x
0 or y
0
2x2 y2
y4 0
y x 1
FX  Y  x  y 9 x4 0 x  y 0  x  1
2y2
y4 0 y  1 x 8 1
1 x8 1 y 8 1

Problem 5.3.6

(a) The joint PDF of X and Y and the region of nonzero probability are
D
G
cy 0  y  x  1
fX  Y  x  y C
0 otherwise
E
F

(b) To find the value of the constant, c, we integrate the joint PDF over all x and y.
A ∞ A ∞ A 1A A 1
x 1 cx2 cx3 c
fX  Y  x  y dx dy  cydy dx  dx   6
3 ∞ 3 ∞ 0 0 0 2 6 0

Thus c  6.

(c) We can find the CDF FX  x H P X  x by integrating the joint PDF over the event X  x. For
x
0, FX  x C 0. For x : 1, FX  x 2 1. For 0  x  1,
M
AA Q
FX  x 2 fX  Y xL  yL dyL dxL
xIKJ x
A x A xI
 6yL dyL dxL
A 0
x
0
N
 3 xL 2 dxL  x3 P O
0

4
 The complete expression for the joint CDF is
0 x
0
FX  x C x3 0  x  1
1 x8 1

(d) Similarly, we find the CDF of Y by integrating fX  Y  x  y over the event Y  y. For y
0,
FY  y 2 0 and for y : 1, FY  y 2 1. For 0  y  1,
R
AA
V
FY  y 2 fX  Y xL  yL dyL dxL
yIKJ y
A yA 1 U
 6yL dxL dyL
yI
A 0
y S
 6yL  1
yL dyL  3  yL 2
2 yL 3 y
0
2
 3y
2y
3 T
0
The complete expression for the CDF of Y is
0 y
0
FY  y C 3y
2y 0  y  1
2 3

1 y: 1

(e) To find P Y  X W 2 , we integrate the joint PDF fX  Y  x  y over the region y  x W 2.

Y
A 1A xX 2
P Y  X W 2 6y dy dx
0 0
A \^]
1 xX 2
 3y2 0
dx
0
A Z
1 3x2 [
 dx  1 W 4
0 4

Problem 5.4.5
The position of the mobile phone is equally likely to be anywhere in the area of a circle with radius
16 km. Let X and Y denote the position of the mobile. Since we are given that the cell has a radius
of 4 km, we will measure X and Y in kilometers. Assuming the base station is at the origin of the
X  Y plane, the joint PDF of X and Y is
1
x2 y2  16
fX  Y  x  y 9 16π
0 otherwise

Since the radial distance of the mobile from the base station is R `_ X 2 Y 2 , the CDF of R is
FR  r a P R  r P X 2 Y 2  r
By changing to polar coordinates, we see that for 0  r  4 km,
A 2π A r rL
FR  r C drL dθL  r2 W 16
0 0 16π

5
So
0 r
0
FR  r 2 r W 16 0  r
4
2

1 r8 4
Then by taking the derivative with respect to r we arrive at the PDF
rW 8 0  r  4
fR  r 2
0 otherwise

Problem 5.5.4
Random variables X and Y have joint PDF
b
e
2 0 y x 1
fX  Y  x  y 2
0 otherwise
c
d
Before finding moments, it is helpful to first find the marginal PDFs. For 0  x  1,
A ∞ A x
fX  x 2 fX  Y  x  y dy  2 dy  2x
3 ∞ 0

Note that fX  x 9 0 for x
0 or x : 1. For 0  y  1,

A ∞ A 1
fY  y 2 fX  Y  x  y dx  2 dx  2  1
y
3 ∞ y

Also, for y
0 or y : 1, fY  y C 0. Complete expressions for the marginal PDFs are

2x 0  x  1 2 1
y 0 y 1
fX  x 9 fY  y 2
0 otherwise 0 otherwise
(a) The first two moments of X are
A ∞ A 1
E X ? x fX  x dx  2x2 dx  2W 3
∞
A 3
0
∞ A 1
E X 2
 x2 fX  x dx  2x3 dx  1 W 2
3 ∞ 0

The variance of X is Var X  E X 2

 E X f 2
 1W 2
4W 9  1W 18.
(b) The expected value and second moment of Y are
A ∞ A 1
1 2y3
 1W 3
2
E Y ; y fY  y dy  2y  1
y dy  y

3 ∞ 0 3 0
A ∞ A 1
1 2y3 y4
E Y2  y2 fY  y dy  2y2  1
y dy 
3
2  1W 6
3 ∞ 0 0

The variance of Y is Var Y  E Y 2

 E Y g 2
 1W 6
1W 9  1W 18.

6
 (c) Before finding the covariance, we find the correlation
A 1A x A 1
E XY  2xy dy dx  x3 dx  1 W 4
0 0 0

  1W 36.
The covariance is Cov X  Y  E XY h
E X  E Y ;

(d) E X Y  E X i E Y ; 2W 3 1 W 3  1

(e) By Theorem 5.10, Var X Y  Var X h Var Y 1 2 Cov X  Y  1 W 6.

Problem 5.6.4
j
m

1  x  1  0  y  x2
5x2
fX  Y  x  y C 2
0 otherwise
k
npo l
<
(a) The event A  Y  1 W 4 = has probability
q
A 1X 2 A x2 A A 1X 4
5x2 1 5x2 t
P A 2 dy dx 2 dy dx xzyh{|~}
0 0 2 1X 2 0 2
A 1X 2 A 1 2
5x
 5x4 dx dx ‚
0 1X 2 4 r
1X 2
 x
5
5x W 12
3 1
1X 2  19W 48 uwv €i  s
0
This implies

fX  Y  x  y W P A  x  y …„ A
fX  Y ƒ A  x  y 2
0 otherwise
120x2 W 19
1  x  1 0  y  x2  y  1W 4
 0 otherwise

(b)
A ∞ A 1120x2
fY ƒ A  y 2 fX  Y ƒ A  x  y dx  2 † dx
3 ∞ y 19

19 
80
1
y3X 2 0  y  1W 4
 0 otherwise

(c) The conditional expectation of Y given A is

A 1X 4
1X 4 y2 2y7X 2
y  1
y3X 2 dy 
80 80 65
E Y ‡ A;
0 19 19 2
7  532
0

7
 (d) To find fX ƒ A  x , we can write
A ∞
fX ƒ A  x 9 fX  Y ƒ A  x  y dy
3 ∞
However, when we substitute fX  Y ƒ A  x  y , the limits will depend on the value of x. When ‡ x ‡z
1W 2, we have
A x2 120x2 120x4
fX ƒ A  x 9 dy 
0 19 19
When
1  x 
1W 2 or 1 W 2  x  1,
A 1X 4
120x2 30x2
fX ƒ A  x C
dy 
0 19 19
The complete expression for the conditional PDF of X given A is
30x2 W 19
1  x 
1W 2
120x4 W 19
1W 2  x  1W 2
fX ƒ A  x 9
30x2 W 19 1W 2  x  1
0 otherwise
(e) The conditional mean of X given A is
A A A
3 1X 2 30x3 1X 2 120x5 1 30x3
E X ‡ A
  dx dx dx  0
3 1 19 3 1X 2 19 1X 2 19

Problem 5.7.5
Random variables X and Y have joint PDF
ˆ

1W 2
1  x  y  1
fX  Y  x  y 2 ‰
0 otherwise Š
‹Œ

(a) For
1  y  1, the marginal PDF of Y is
A ∞ A
1 y
fY  y 2 fX  Y  x  y dx  dx   y 1 W 2
3 ∞ 2 3 1
The complete expression for the marginal PDF of Y is

fY  y 2  y 1 W 2
1  y  1
0 otherwise
(b) The conditional PDF of X given Y is
fX  Y  x  y
1 x y
1
fX ƒ Y  x ‡ y 2 16 y
fY  y  0 otherwise

(c) Given Y  y, the conditional PDF of X is uniform over

1 y . Hence the conditional expected
value is E X ‡ Y  y  y
1 W 2.

8
Problem 5.7.6
the joint PDF of X and Y is

1 W  πr2 0  x2 y2  r2
fX  Y  x  y 9
0 otherwise

(a) The marginal PDF of X is

A † r2 3 x2
†
2 r2 3 x2
fX  x 9 2
1
dy  πr2
r x r
0 πr2 0 otherwise

The conditional PDF of Y given X is

fX  Y  x  y 1W  2_ r2
x2 y2  r2
x2
fY ƒ X  y ‡ x C
fX  x  0 otherwise

(b) Given X  x, we observe that over the interval

_ r2
x2  _ r2
x2 , Y has a uniform PDF.
Since the conditional PDF fY ƒ X  y ‡ x is symmetric about y  0,

E Y ‡ X  xH 0

Problem 5.8.4
X and Y are independent random variables with PDFs

2x 0  x  1 3y2 0  y  1
fX  x 2 fY  y 2
0 otherwise 0 otherwise
<
For the event A  X : Y = , this problem asks us to calculate the conditional expectations E X ‡ A
and E Y ‡ A . We will do this using the conditional joint PDF fX  Y ƒ A  x  y . Since X and Y are inde-
pendent, it is tempting to argue that the event X : Y does not alter the probability model for X and
Y. Unfortunately, this is not the case. When we learn that X : Y, it increases the probability that X
is large and Y is small. We will see this when we compare the conditional expectations E X ‡ A and
E Y ‡ A to E X  and E Y  .

(a) We can calculate the unconditional expectations, E X  and E Y  , using the marginal PDFs fX  x
and fY  y .
A ∞ A 1
E X ? fX  x dx  2x2 dx  2 W 3
∞
A 3
0
∞ A 1
E Y ; fY  y dy  3y3 dy  3W 4
3 ∞ 0

(b) First, we need to calculate the conditional joint PDF fX  Y ƒ A  x  y ‡ a x  y. The first step is to write
down the joint PDF of X and Y:

6xy2 0  x  1 0  y  1
fX  Y  x  y 9 fX  x fY  y 2
0 otherwise

9
 The event A has probability 
AŽA “ ”
P A fX  Y  x  y dy dx
x y
A 1A x •…–
 6xy2 dy dx
A
0 0
‘
1
2x4 dx  2W 5
’

0
The conditional joint PDF of X and Y given A is
š

fX — Y 4 x  y 7
fX  Y ƒ A  x  y C P ˜ A™  x  y C„ A
0 otherwise
15xy2 0  y  x  1
 ›
0 otherwise œ
The triangular region of nonzero probability is a signal that given A, X and Y are no longer
independent. The conditional expected value of X given A is
A ∞ A ∞
E X ‡ A x fX  Y ƒ A  x  y ‡ a x  y dy dx
3 ∞A 3 ∞
A
1 x
2
 15 x y2 dy dx
0 0
A 1
 5 x5 dx  5W 6
0

The conditional expected value of Y given A is

A ∞ A ∞ A 1 A x A 1
15
E Y ‡ AH y fX  Y ƒ A  x  y dy dx  15 x 3
y dy dx  x5 dx  5 W 8
3 ∞ 3 ∞ 0 0 4 0

We see that E X ‡ A : E X  while E Y ‡ AH
E Y  . That is, learning X : Y gives us a clue that
X may be larger than usual while Y may be smaller than usual.

Problem 5.8.6
Random variables X and Y have joint PDF

λ2 e 3 λy 0 x y
fX  Y  x  y 9
0 otherwise

For W  Y
X we can find fW  w by integrating over the region indicated in the figure below to get
FW  w then taking the derivative with respect to w. Since Y 8 X, W  Y
X is nonnegative. Hence
FW  w 9 0 for w
0. For w 8 0,

10
 ž

FW  w 9 1
P W : w; 1
P Y : X w
A ∞A ∞
λy
 1
λ2 e 3 dy dx   ¡£¢…¤1¢1¡¦¥Ž§
0 x6 w
λw Ÿ
 1
e3
The complete expressions for the joint CDF and corresponding joint PDF are

0 w
0 0 w
0
FW  w 9 λw fW  w 9 λw
1
e3 w8 0 λe 3 w8 0

Problem 5.8.7

(a) To find if W and X are independent, we must be able to factor the joint density function fX  W  x  w
into the product fX  x fW  w of marginal density functions. To verify this, we must find the
joint PDF of X and W. First we find the joint CDF.

FX  W  x  w 2 P X  x  W  w P X  x  Y
X  wH P X  x  Y  X w

Since Y 8 X, the CDF of W satisfies FX  W  x  w 2 P X  x  X  Y  X w . Thus, for x 8 0

and w 8 0,

A xA xI 6
FX  W  x  w 9
w
λ2 e 3 λy
dy dxL ¨
xI « ¬5­¯®°± « ¬5­³²z­z¬?´¶µ·°
A
0
∩
x xI 6 w
λy

λe 3 xI
dxL
A 0
x
λ xI 6 w 7 λxI ª

λe 3 4 λe 3 dxL
0 ©
λ xI 6 w7 λxI
x
 e3 4
e3 ¸
0
λx λw
  1
e3  1
e3
We see that FX  W  x  w 2 FX  x FW  w . Moreover, by applying Theorem 5.2,

∂2 FX  W  x  w λx λw
fX  W  x  w 9
∂x ∂w  λe 3 λe 3  fX  x fW  w
Since we have our desired factorization, W and X are independent.

(b) Following the same procedure, we find the joint CDF of Y and W.

 P W  w Y  y P Y
X  w Y  y; P Y  X w Y  y
FW  Y  w y 9
<
The region of integration corresponding to the event Y  x w Y  y= depends on whether
y
w or y 8 w. Keep in mind that although W  Y
X  Y, the dummy arguments y and
w of fW  Y  w y need not obey the same constraints. In any case, we must consider each case
separately. For y : w, the region of integration resembles

11
 ¹
¼¾½z¿ÁÀfÂÃ
Ç
¼¾½Á¿zÄŶƯÂ
Ç
»
º
ÉËÊ^Ì È

Thus for y : w, the integration is

A y3 w A u6 w A y A y
λv λv
FW  Y  w y 2
 λ2 e 3 dv du λ2 e 3 dv du
0 u y3 w u
A y3 w A
λ4 u6 w7
y
λu λu λy
 λ e3
e3 du λ e3
e3 du
0 y3 w
y3 w
λ u6 w7
y
λu λu λy

e3 e3 4 0

e3
uλe 3 y3 w
λw λy
 1
e3
λwe 3
For y  w,

A Î
yA y
λv
FW  Y  w y 2 λ2 e 3 dv du
A 0
y
u
Ð ÑÁÒ1ÓhÔÖÕ
λy λu

λe 3 λe 3 du
×
0
λy λu
y
Ï
Í
λue3
e3 0
λy
 1
 1 λy e 3
The complete expression for the joint CDF is

1
e 3 λw
λwe 3 λy 0  w  y
FW  Y  w yC
 1
 1 λy e 3 λy 0 y w
0 otherwise

Applying Theorem 5.2 yields

∂2 FW  Y  w y 2λ2 e 3 λy 0 w y
fW  Y  w y 9
 
∂w ∂y 0 otherwise

The joint PDF fW  Y  w y doesn’t factor and thus W and Y are dependent.

Problem 5.8.8 < <

We need to define the events A  U  u = and B  V  v = . In this case,

FU  V  u v 9 P AB P B0
P Ac B P V  vh
P U : u  V  v

12
Note that U  min  X  Y : u if and only if X : u and Y : u. In the same way, since V  max  X  Y ,
V  v if and only if X  v and Y  v. Thus

P U : u V  v P X : u Y : u  X  v Y  v P u
X  v u
Y  v

Thus, the joint CDF of U and V satisfies

FU  V  u  v 9 P V  v1
P U : u  V  v P X  v Y  v1
P u
X  v u
X  v

Since X and Y are independent random variables,

FU  V  u  v 9 P X  v P Y  v1
P u
X  v P u
X  v
 FX  v FY  v 
 FX  v Ž
FX  u z  FY  v Ž
FY  u Á
 FX  v FY  u FX  u FY  v 
FX  u FY  u
The joint PDF is
∂2 FU  V  u  v
fU  V  u v 9
∂u∂v
∂
 fX  v FY  u Ž FX  u fY  v ¾
∂u
 fX  u fY  v  fX  v fY  v

Problem 5.9.5
the bivariate Gaussian PDF as
1 µX 7 X 1 µ̃Y 4 x77 X 2σ̃Y2
e 3?4 x 3 e 354 y 3
2 2
2σ2X
fX  Y  x  y 2
σX _ 2π σ̃Y _ 2π
where
σY
µ̃Y  x 2 µY ρ  x
µX σ̃Y  σY 1
ρ2
σX
However, the definitions of µ̃Y  x and σ̃Y are not particularly important for this exercise. When we
integrate the joint PDF over all x and y, we obtain
A ∞ A ∞ A ∞ A ∞
1 µX 7 X 1 µ̃Y 4 x77 X 2σ̃Y2
e 354 x 3 e 354 y 3
2 2
2σ2X
fX  Y  x  y dx dy  dy dx
3 ∞ 3 ∞ 3 ∞ σX _ 2π 3 ∞ σ̃Y _ 2π

A
1
∞ 1 µX 7 X
e 354 x 3
2
2σ2X
 dx
3 ∞ σX _ 2π
The marked integral equals 1 because for each value of x, it is the integral of a Gaussian PDF of one
variable over all possible values. In fact, it is the integral of the conditional PDF fY ƒ X  y ‡ x over all
possible y. To complete the proof, we see that
A ∞ A ∞ A ∞ 1 µX 7 X
e 354 x 3
2
2σ2X
fX  Y  x  y dx dy  dx  1
3 ∞ 3 ∞ 3 ∞ σX _ 2π
since the remaining integral is the integral of the marginal Gaussian PDF fX  x over all possible x.

13
Problem 5.10.4
Let A denote the event Xn  max X1 Á ØÁØÁØ Xn . We can find P A by conditioning on the value of
Xn .

P A P X1  Xn  X2  Xn ÁÙÁÙÁÙÚ Xn1  Xn

A ∞
 P X1
Xn  X2
Xn Á ÙÁÙÁÙ³ Xn
3 1
Xn ‡ Xn  x fXn  x dx
∞
A 3 ∞
 P X1
x  X2
x ÁÙÁÙÁÙÚ Xn
3 1
x fX  x dx
3 ∞

Since X1 ÁØÁØÁس Xn are iid,

3 1
A ∞
P A P X1  x P X2  xiÁÙ ÙÁÙ P Xn  x fX  x dx
∞ 3 1
A 3 ∞
 FX  x ¾ n 3 1
fX  x dx
3 ∞
∞
1 n
 n FX  x ¾ 
3 ∞
1
 n  1
0
 1W n
Not surprisingly, since the Xi are identical, symmetry would suggest that Xn is as likely as any of the
other Xi to be the largest. Hence P A 1W n should not be surprising.

14