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Problem Sheet 5

This document outlines 17 problems related to probability and statistics. The problems cover topics like finding the mean and variance of random variables, properties of normal and gamma distributions, correlation, sums of random variables, rounding errors, binomial distributions, uniform distributions, exponential distributions, and conditional densities. It also lists additional optional problems from a probability and statistics textbook.

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Tanishq Jasoria
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59 views

Problem Sheet 5

This document outlines 17 problems related to probability and statistics. The problems cover topics like finding the mean and variance of random variables, properties of normal and gamma distributions, correlation, sums of random variables, rounding errors, binomial distributions, uniform distributions, exponential distributions, and conditional densities. It also lists additional optional problems from a probability and statistics textbook.

Uploaded by

Tanishq Jasoria
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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MA20104 Probability and Statistics

Problem Set 5

1. Let X be the sine of an angle in radians chosen uniformly from (−π/2, π/2). Find the mean and
variance of X.

2. Let X have the normal density n(0, σ 2 ). Find the mean and variance of each of the following
random variables: (a) |X|; (b) X 2 ; (c) etX .
3. Let X be a nonnegative continuous random variable having density f and distribution function
F . Show that X has finite expectation if and only if
Z ∞
(1 − F (X))dx < ∞
0

and then Z ∞
EX = (1 − F (X))dx
0

4. Let X and Y be independent random variables such that X has the normal density n(µ, σ 2 ) and
Y has the gamma density Γ(α, λ). Find the mean and variance of the random variable Z = XY .
5. Let X, Y, and Z be random variables having mean 0 and unit variance. Let ρ1 be the correlation
between X and Y, ρ2 the correlation between Y and Z, and ρ3 the correlation between X and
Z. Show that q q
ρ3 ≥ ρ1 ρ2 − 1 − ρ21 1 − ρ22

6. Let X1 , X2 , .... be independent, identically distributed random variables having mean 0 and finite
nonzero variance σ 2 and set Sn = X1 + X2 + · · · + Xn . Show that if Xl has finite third moment,
then ESn3 = nEXn3 and limn→∞ E( σS√nn )3 = 0, which is the third moment of the standard normal
distribution.
7. Let X1 , X2 , .... and Sn be as in the previous problem. Show that if Xl has finite fourth moment,
then ESn4 = nEX14 + 3n(n − 1)σ 4 and limn→∞ E( σS√nn )4 = 3, which is the fourth moment of the
4!
standard normal distribution. Hint: The term 3n(n 1) comes from the expression nC2 2!2!

8. Let X1 , X2 , . . . be independent normally distributed random variables having mean 0 and variance
1 (a) Find P (X12 + + X1 002 ≤ 120). (b) Find P (80 ≤ X12 + + X1 002 ≤ 120). (c) Find c such
that P (X12 + + X1 002 ≤ 100 + c) = 0.95. (d) Find c such that P (100 − c ≤ X12 + + X1 002 ≤
100 + c) = 0.95.

9. A runner attempts to pace off 100 meters for an informal race. His paces are independently dis-
tributed with mean µ = 0.97 meters and standard deviation σ = 0.1 meter. Find the probability
that his 100 paces will differ from 100 meters by no more than 5 meters.
10. Twenty numbers are rounded off to the nearest integer and then added. Assume the individual
round-off errors are independent and uniformly distributed over (−1/2, 1/2). Find the probability
that the given sum will differ from the sum of the original twenty numbers by more than 3.
11. Let Sn have a binomial distribution with parameters n and p = 1/2. How does P (S2n = n)
behave for n large?
12. Let X1 , X2 , X3 be independent random variables each uniformly distributed on (0, 1). Find the
density of the random variable Y = X1 + X2 + X3 . Find P (X1 + X2 + X3 ≤ 2).

1
13. Let Xl be chosen uniformly on (0, 1), let X2 be chosen uniformly on (0, X1 ) and let X3 be chosen
uniformly on (0, X2 ). Find the joint density of X1 , X2 , X3 and the marginal density of X3 .
14. Let U1 , . . . , Un be independent random variables each having an exponential density with param-
eter λ. Find the density of X1 = min(U1 , . . . , Un ).

15. Let X and Y be independent random variables each having density f . Find the joint density of
X and Z = X + Y .
16. Let X and Y be independent random variables each having an exponential density with parameter
λ. Find the conditional density of X given X + Y = z.
17. Let X and Y be positive continuous random variables having joint density f . Set W = Y /X and
Z = X + Y . Find the joint density of W and Z in terms of f .

As additional problems you may try the following problems from the fourth edition of the book “Prob-
ability and Statistics in Engineering” by the authors William Hines, Douglas Montgomery, David
Goldsman, Connie M. Borror. The list of the problems is as follows:
Chapter 4: 4-3, 4-4, 4-5, 4-6, 4-9, 4-10, 4-14, 4-18, 4-19, 4-23, 4-23, 4-27, 4-28, 4-31, 4-35
Chapter 7: 7-19, 7-20, 7-21, 7-22, 7-23, 7-24, 7-25, 7-26, 7-27, 7-28, 7-29, 7-31, 7-38, 7-40, 7-41, 7-42,
7-43

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