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Math 361, Problem Set 10

This document contains a math problem set with 6 questions. Question 1 asks to show independence of random variables with a joint PMF. Question 2 asks about independence of random variables with a joint PDF and finds the conditional expectation. Question 3 finds the probability of arriving at work before 9 AM given independent uniform random variables for departure and travel times.

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0% found this document useful (0 votes)
71 views4 pages

Math 361, Problem Set 10

This document contains a math problem set with 6 questions. Question 1 asks to show independence of random variables with a joint PMF. Question 2 asks about independence of random variables with a joint PDF and finds the conditional expectation. Question 3 finds the probability of arriving at work before 9 AM given independent uniform random variables for departure and travel times.

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Qori Qurratul
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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Math 361, Problem set 10

Due 11/6/10

1
1. Let p(x1 , x2 ) = 16 , x1 = 1, . . . , 4 and x2 = 1, . . . , 4, zero elsewhere, be the
joint pmf of X1 , . . . , X2 . Show that X1 and X2 are independent.
Answer
We have
1 1
PX1 (x1 ) = , x1 = 1 . . . , 4 P( X2 )(x2 ) = , x2 = 1 . . . 4
4 4
with both 0 elsewhere. That is, p(x1 , x2 ) = pX1 (x1 )pX2 (x2 ) as desired.
2. Let X and Y have the joint pdf f (x, y) = 3x, 0 < y < x < 1, zero
elsewhere. Are X and Y independent? If not, find E[X|y].
Answer
X and Y are not independent, as the range is not a product space (we are
forced that Y < X). Note that
1
3(1 − y 2
Z
fY (y) = 3xdx = .
y 2

Thus
2x
fX|Y (x|y) = .
1 − y2
so y
2x2 2 y3
Z
E[X|y] = dx = .
0 1 − y2 3 1 − y2

3. Suppose that a man leaves for work between 8 : 00AM and 8 : 30AM ,
and takes between 40 and 50 minutes to get to the office. Let X denote
the time of departure, and Y denote the time of travel. If we assume
these random variables are uniformly distributed and independent, find
the probability that he arrives in the office before 9:00AM.
1 1
Answer fX (x) = 30 for 0 < x < 30 and fY (y) = 10 for 40 < y < 50, so
1
by independence fX,Y (x, y) = 300 for 0 < x < 30 and 40 < y < 50, 0
otherwise.

1
Thus Z 50 Z 30−y
1 1
P(X + Y < 60) = dxdy = .
40 0 300 2
2(x+y+z)
4. Let X, Y and Z have the joint pdf f (x, y, z) = 3 for 0 < x < 1,
0 < y < 1 and 0 < z < 1, zero elsewhere.
(a) Find the marginal probability density functions of X, Y and Z.
(b) Compute P(0 < X < 1/2, 0 < Y < 1/2, 0 < Z < 1/2) and P(0 <
X < 1/2).
(c) Are X, Y and Z independent?
(d) Calculate E[X 2 Y Z + 3XY 4 Z 2 ]
(e) Determine the cdf of X, Y and Z.
(f) Find the conditional distribution of X and Y given Z = z and eval-
uate
E[X + Y |z]
(g) Determine the conditional distribution of X given Y = y and Z = z,
and compute E[X|z, y].
Answer:
For (a)
Z 1 Z 1
2(x + y + z) 2
fX (x) = = (x + 1) 0 < x < 1, 0 otherwise.
z=0 y=0 3 3

By symmetry fZ (z) = 23 (z + 1) for 0 < z < 1, 0 otherwise and fY (y) =


2
3 (y + 1) for 0 < y < 1, 0 otherwise.
For (b)
Z 1/2 Z 1/2 Z 1/2
2(x + y + z) 1
P(0 < X < 1/2, 0 < Y < 1/2, 0 < Z < 1/2) = dxdydz =
0 0 0 3 16
and Z 1/2
2 5
P(0 < X < 1/2) = (x + 1)dx =
0 3 12
For (c) X, Y and Z are not independent: f (x, y, z) 6= fX (x)fY (y)fZ (z).
For (d)
Z 1 Z 1 Z 1
2 4 2 2(x + y + z) 287
E[X Y Z+3XY Z ] = (x2 yz+3xy 4 z 2 ) dxdydz = .
0 0 0 3 1080

For (e), we have


Z x
2 1
FX (x) = (x + 1) = x(x + 2).
0 3 3

2
for 0 < x < 1, with FX (x) = 1 for x > 1, and FX (x) = 0 for x < 1.
Similarly for FY (y) and FZ (z).
The joint is
Z x Z y Z z
2(u + v + t) 1
FX,Y,Z (x, y, z) = dudvdt = uvt(u + t + v)
0 0 0 3 3
if 0 < x < 1, 0 < y < 1, 0 < z < 1. For other ranges however, it is
different:
Z min(x,1) Z min(y,1) Z min(z,1)
2(u + v + t)
FX,Y,Z (x, y, z) =
max(0,x) max(0,y) max(0,z) 3

 0 x ≤ 0 or y ≤ 0 or z ≤ 0
 1

 xy(1 + x + y) 0 < x < 1, 0 < y < 1, z ≥ 1
 31


 xz(1 + x + z) 0 < x < 1, 0 < z < 1, y ≥ 1
 31


3 yz(1 + y + z) 0 < y < 1, 0 < z < 1, x ≥ 1
= 1

 3 x(2 + x) 0 < x < 1, y ≥ 1, z ≥ 1
1
y(2 + y) 0 < y < 1, x ≥ 1, z ≥ 1



 3
1
z(2 + z) 0 < z < 1, x ≥ 1, y ≥ 1



 3
1 x ≥ 1, y ≥ 1, z ≥ 1

For (f) we have that fX,Y |Z (x, y|z) = x+y+z


z+1 for 0 < x < 1 and 0 < y < 1,
zero otherwise. Thus
Z 1Z 1
x+y+z 1 7 + 6z
E[X + Y |z] = (x + y) dxdy = .
0 0 z+1 6 z+1

For (g) we have that fY,Z (y, z) = 23 (y + z + 1/2) so


x+y+z
fX|Y,Z (x|y, z) =
y + z + 1/2
for 0 < x < 1, zero otherwise. so
Z 1
x+y+z 1/3 + 1/2(y + z)
E[X|y, z] = x dx = .
0 y + z + 1/2 y + z + 1/2

5. Let X1 , X2 , X3 be iid with common pdf f (x) = e−x , x ≥ 0, 0 elsewhere.


Find the joint pdf of Y1 = X1 , Y2 = X1 + X2 , Y3 = X1 + X2 + X3 .
Answer:
fX1 ,X2 ,X3 = e−x1 −x2 −x3 for xi ≥ 0, 0 elsewhere. We have that X1 = Y1 ,
X2 = Y2 − Y1 and X3 = Y3 − Y2 . Thus we have

1 0 0

J = −1 1 0 = 1.
0 −1 1

Thus fY (y1 , y2 , y3 ) = e−y3 for y1 > 0, y2 − y1 > 0, and y3 − y2 > 0. In


other words, for 0 < y1 < y2 < y3 < ∞; fY (y1 , y2 , y3 ) = 0 otherwise.

3
6. Let X1 and X2 have the binomial distribution with parameters n1 and
p1 = 12 and n2 , p2 = 12 respectively. Show that Y = X1 − X2 + n2 has a
binomial distribution with parameters n = n1 + n2 , p = 21 .
Answer
It is easiest to consider the MGF of Y .

MY (t) = E[etY ] = et(X1 −X2 +n2 ) = etn2 MX1 (t)MX2 (−t)


= etn2 (1/2 + 1/2et )n1 (1/2 + 1/2e−t )n2
= (1/2 + 1/2et )n1 +n2 .

This is the MGF of a Bin(n, 1/2) random variable, as desired.

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