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N (m/2, (m+1) /2) K K N A.S. N P

1. This document contains 17 questions about applied stochastic processes. The questions cover topics like convergence in distribution and probability, limiting distributions, stationary processes, and properties of stochastic processes like having stationary and independent increments. 2. Students are asked to solve the questions theoretically and also verify some results numerically using the R programming language and relevant packages. 3. The questions involve concepts like uniform, normal, Poisson, and Bernoulli distributions as well as defining stochastic processes from these distributions and checking their properties.

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Jineet Desai
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38 views

N (m/2, (m+1) /2) K K N A.S. N P

1. This document contains 17 questions about applied stochastic processes. The questions cover topics like convergence in distribution and probability, limiting distributions, stationary processes, and properties of stochastic processes like having stationary and independent increments. 2. Students are asked to solve the questions theoretically and also verify some results numerically using the R programming language and relevant packages. 3. The questions involve concepts like uniform, normal, Poisson, and Bernoulli distributions as well as defining stochastic processes from these distributions and checking their properties.

Uploaded by

Jineet Desai
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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BIRLA INSTITUTE OF TECHNOLOGY AND SCIENCE, PILANI

K. K. BIRLA GOA CAMPUS


First Semester 2019-2020
Lab/Practice Sheet-2

Course No. MATH F424 Course title: Applied Stochastic Process

——————————————————————————
Attempt the following theoretically, also, verify the same using programming ( in R you
can update library with packages ”ConvergenceConcept” for convergence and ”tseries” for
stationary process.
1. Let U be U (0, 1) random variable and define Xn = I[m/2k ,(m+1)/2k ] (U ) where n = 2k +m
a.s. p
for k ≥ 1 and with 0 ≤ m < 2k . Check if Xn −−→ 0 and Xn → − 0.

2. Let X1 , X2 , · · · be i.i.d. continuous random variables with N (2, 9) distribution. Define


Yn = (0.5)n Xn , n = 1, 2, · · · . Also define Tn and An to be the sum and the average,
p p p d
respectively, of Y1 , Y2 , · · · , Yn . Check if Yn →
− 0, Tn →
− 2, An →
− 0 and Tn →
− N (2, 3).

3. Let X1 , X2 , · · · be U (0, 1) i.i.d. random variables. Define Mn = max {X1 , · · · , Xn }.


p a.s.
Prove that Mn → − 1, and Mn −−→ 1.

4. Suppose we choose at random n numbers from interval [0, 1] with uniform distribution.
Let Xn be the random variable describing nth choice, then show that Xn obeys WLLN.

5. Generate sample path of Gaussian white noise GW N (0, 1), check if it is stationary
time series.

6. Generate the sample of Yt = β0 + β1 t + t , t ∼ GW N (0, σ 2 ), t = 0, 1, · · · for


β0 = 0, β1 = 0.1 and σ 2 = 1. Check if these are stationary time series. Also, choose a
simple transformation Zt = Yt − β1 t, check is resulting time series is stationary.
Solve the following theoretically:

7. Consider a process {Xn }n≥1 , where each Xn have Poisson distribution with parameter
n, n = 1, 2, · · · . Find the limiting distribution of Yn = X√n −n
n
. (Hint: find mgf of Yn as
n → ∞.)

8. Consider a process {Xn }n≥1 , where each Xn having CDF



0
 −∞ < x < 0
n
FXn (x) = 1 − 1 − nx

0≤x<n .

1 n≤x<∞

Find the limiting distribution of {Xn }n≥1 .


d p
9. Let Y is U (− 21 , 12 ) and Xn = (−1)n+1 Y, n = 1, 2, · · · . Check if Xn →
− Y and Xn →
− Y.

10. Let X be a random variable and Xn = X + Yn , where E(Yn ) = n1 and variance of Yn is


σ2 p p
n
, where σ > 0 is a constant. Show that Xn →
− X. (Hint: it is easy to show Yn →
− 0.)
d p
11. Let Xn be U (− n1 , n1 ) and X = 0 be a constant. Check if Xn →
− X and if Xn →
− X.
12. Prove or disprove, a process with stationary and independent increments is strongly
stationary.

13. Prove or disprove, strongly stationary process is always weakly stationary.

14. Xn is an i.i.d. random process with mean E(Xn ) = and variance V ar(Xn ) = σ 2 . Find
auto-covariance of the process.

15. Let Xn represent nth Bernoulli trial with probability of success p. Define Yn = ni=1 Xi
P
for n ∈ N, prove that {Yn }n≥1 is a second order process with stationary independent
increments. Find mean and covariance function of {Yn }n≥1 .

16. On time [0, ∞), let events are occurring according to Poisson process {Yt }t≥0 with
rate λ. If Tn is arrival time for the nth event, then show that the process {Tn }n≥1 , is
second order process with stationary independent increments. Also find the mean and
covariance function.

17. Prove or disprove, strictly stationary process is i.i.d..

************************************

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