EE 131A Homework 8

Probability and Statistics Monday, November 30, 2020

Instructor: Lara Dolecek Due: Monday, December 7, 2020
TA: Zehui Chen [email protected]
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1. Let X1 , X2 , · · · be independent with common mean µ and common variance σ 2 , and

set Yn = Xn + Xn+1 + Xn+2 . For j ≥ 0, find COV (Yn , Yn+j ). In this question, n and
j are positive integers.
Solution: COV (Xi , Xj ) = σ 2 if i = j, otherwise COV (Xi , Xj ) = 0. Therefore,
If j = 0, COV (Yn , Yn+j ) = 3σ 2 .
If j = 1, COV (Yn , Yn+j ) = 2σ 2 .
If j = 2, COV (Yn , Yn+j ) = σ 2 .
If j ≥ 3, COV (Yn , Yn+j ) = 0.

2. Let X1 , . . . , Xn be random variables with the same mean and with covariance function

COV (Xi , Xj ) = σ 2 ρ|i−j| ,

where |ρ| < 1. Find the mean and variance of Sn = X1 + · · · + Xn .

Assume that E(Xi ) = µ and V (Xi ) = σ 2 for i = {1, 2, . . . , n}.
Solution:
The mean and variance of Sn = X1 + X2 + · · · + Xn are given by:

E(Sn ) = E(X1 ) + E(X2 ) + · · · + E(Xn ) = nµ

n
X n
X n
X
VAR(Sn ) = VAR(Xi ) + COV(Xi , Xj )
i=1 i=1 j=1,i6=j
n X
X i−1
= nσ 2 + 2σ 2 ρi−j
i=2 j=1

Now, we use a new index, k = i − j, in our summation to make it easier:

n X
X i−1
2 2
VAR(Sn ) = nσ + 2σ ρk
i=2 k=1

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 Thus, we can see that:
n 
ρ(1 − ρi−1 )
X 
2 2
VAR(Sn ) = nσ + 2σ
i=2
1−ρ
n 
ρi−1

2 2
X 1
= nσ + 2σ ρ −
1−ρ 1−ρ
i=2
n − 1 ρ(1 − ρn−1 )

2 2
= nσ + 2σ ρ −
1−ρ (1 − ρ)2

3. The amount of regular unleaded gasoline purchased every week at a gas station near
UCLA follows the normal distribution with mean 50000 gallons and standard deviation
10000 gallons. The starting supply of gasoline is 74000 gallons, and there is a scheduled
weekly delivery of 47000 gallons.
(a) Find the probability that, after 11 weeks, the supply of gasoline will be below
20000 gallons.
(b) How much should the weekly delivery be so that after 11 weeks the probability
that the supply is below 20000 gallons is only 0.5%?
Solution: We are given that µ = 50000, σ = 10000, n = 11. The starting supply is
74000 gallons and the weekly delivery is 47000 gallons. Therefore the total supply for
the 11-week period is 74000 + 11 × 47000 = 591000 gallons.
(a) The supply will be below 20000 gallons if the total gasoline purchased in these 11
weeks is more than 591000 − 20000 = 571000 gallons. Therefore we need to find
P (T > 571000) = P (z > 571000−11(50000)
√
1110000
) = P (z > 0.63) = 1 − 0.7357 = 0.2643.
(b) Let A be the unknown schedule delivery. Now the total gasoline purchased must
be more than 74000+11A−20000. We want this with probability 0.5%, or P (T >
74000 + 11A − 20000) = 0.005. The z value that corresponds to this probability
is 2.575. So, 2.575 = 74000+11A−20000−11(50000)
√
1110000
, which means that A = 52854.8.
4. A fair coin is tossed 100 times. Estimate the probability that the number of heads is
between 40 and 60. Estimate the probability that the number is between 50 and 53.
Solution: Let n = 100 and let each coin toss be Xi . Then Sn = X1 + . . . + Xn . We
have µ = E[Xi ] = 1/2 and σ 2 = V AR[Xi ] = 1/4, since these are Bernoulli random
−nµ
variables. Now, set Zn = Sσn√ n
= S1005−50 . Now, we have that
   
60 − 50 40 − 50
P [40 ≤ Sn ≤ 60] = P [Sn ≤ 60] − P [Sn ≤ 40] ≈ Φ −Φ .
5 5
The value is 0.9545.
Similarly,
   
53 − 50 50 − 50
P [50 ≤ Sn ≤ 53] = P [Sn ≤ 53] − P [Sn ≤ 50] ≈ Φ −Φ .
5 5
We get 0.2257.

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5. A student uses pens whose lifetime is an exponential random variable with mean 1
week. Use the central limit theorem to determine the minimum number of pens he
should buy at the beginning of a 15-week semester, so that with probability .99 he
does not run out of pens during the semester.
Solution: Based on the Central Limit Theorem, Sn approximately Gaussian, then we
have:    
Sn − n 15 − n 15 − n
P [Sn > 15] = P √ > √ ≈Q √ = 0.99
n n n
From the Table 3.4, we have
15 − n
√ = −2.3263
n
Solving for n, we have n = 27.04, therefore a student should buy 28 pens at the
beginning of the semester.