1. Consider two random variables X and Y with joint PMF given in Table 1.

Table 1: Joint PMF of X and Y in Problem 1

Y =1 Y =2

1 1
X=1 3 12

1
X=2 6
0

1 1
X=4 12 3

(a) Find P (X ≤ 2, Y > 1).

(b) Find the marginal PMFs of X and Y .
(c) Find P (Y = 2|X = 1).
(d) Are X and Y independent?

Solution:
(a)

P (X ≤ 2, Y > 1) = P (X = 1, Y = 2) + P (X = 2, Y = 2)
1 1
= +0= .
12 12
(b)

X
PX (x) = P (X = x, Y = y).
y∈RY

1 1 5


 3
+ 12
= 12
for x = 1



1 1
PX (x) = 6
+0= 6
for x = 2



 1 1 5
+ = for x = 4

12 3 12

1
 So:

5


 12
x=1



1
PX (x) = 6
x=2



 5
x=4

12

X
PY (y) = P (X = x, Y = y).
x∈RX

1
+ 16 + 1 7

 3 12
= 12
for y = 1
PY (y) =
1 1 5
+0+ = for y = 2

12 3 12

So:

7

 12
y=1
PY (y) =
5
y=2

12

(c)
1
P (Y = 2, X = 1) 12 1
P (Y = 2|X = 1) = = 5 = .
P (X = 1) 12
5

(d)
Using the results of the previous part, we observe that :
1 5
P (Y = 2|X = 1) = 5
6= P (Y = 2) = 12
.
So, we conclude, two variables are not independent.

2. Let X and Y be as defined in Problem 1. I define a new random variable Z = X−2Y .

(a) Find PMF of Z.

(b) Find P (X = 2|Z = 0).

Solution:
(a)

2
 Table 2: Values of Z

Y =1 Y =2

X=1 −1 −3

X=2 0 −2

X=4 2 0

Z = X − 2Y

1


 P (X = 1, Y = 2) = 12
for z = −3




P (X = 2, Y = 2) = 0 for z = −2







1
PZ (z) = P (X = 1, Y = 1) = 3
for z = −1



 1 1 1
 P (X = 2, Y = 1) + P (X = 4, Y = 2) = + = for z = 0



 6 3 2


 1
P (X = 4, Y = 1) = for z = 2

12

So:
 1

 12
z = −3




0 z = −2







1
PZ (z) = 3
z = −1



 1
z=0




 2


 1
z=2

12

(b)
1
P (X = 2, Y = 1) 6 1
P (X = 2|Z = 0) = = 1 = .
P (Z = 0) 2
3

3
3. A box contains two coins: a regular coin and a biased coin with P (H) = 23 . I choose
a coin at random and toss it once. I define the random variable X as a Bernoulli
random variable associated with this coin toss, i.e., X = 1 if the result of the coin
toss is heads and X = 0 otherwise. Then I take the remaining coin in the box
and toss it once. I define the random variable Y as a Bernoulli random variable
associated with the second coin toss. Find the joint PMF of X and Y . Are X and
Y independent?

Solution:
We choose each coin with probability 0.5. We call the regular coin as coin1 and the
biased coin as coin2.
Let X be a Bernoulli random variable associated with the first chosen coin toss. We
can pick the first coin “coin1” or second coin “coin2” with equal probability 0.5.

P (X = 1) = P (coin1)P (H|coin 1) + P (coin2)P (H|coin 2)

1 1 1 2 7
= × + × = .
2 2 2 3 12
P (X = 0) = P (coin1)P (T |coin 1) + P (coin2)P (T |coin 2)
1 1 1 1 5
= × + × = .
2 2 2 3 12

Let Y be a Bernoulli random variable associated with the second chosen coin toss.
We can pick the first coin “coin1” or second coin “coin2” with equal probability 0.5.

P (Y = 1) = P (coin1)P (H|coin 1) + P (coin2)P (H|coin 2)

1 1 1 2 7
= × + × = .
2 2 2 3 12
P (Y = 0) = P (coin1)P (T |coin 1) + P (coin2)P (T |coin 2)
1 1 1 1 5
= × + × = .
2 2 2 3 12

4
 P (X = 0, Y = 0) = P (first coin = coin1)P (T |coin 1)P (T |coin 2)
+ P (first coin = coin2)P (T |coin 1)P (T |coin 2)
= P (T |coin 1)P (T |coin 2)
1 1 1
= × = .
2 3 6
P (X = 0, Y = 1) = P (first coin = coin1)P (T |coin 1)P (H|coin 2)
+ P (first coin = coin2)P (T |coin 2)P (H|coin 1)
1 1 2 1 1 1 1
= × × + × × = .
2 2 3 2 3 2 4
P (X = 1, Y = 0) = P (first coin = coin1)P (H|coin 1)P (T |coin 2)
+ P (first coin = coin2)P (H|coin 2)P (T |coin 1)
1 1 1 1 2 1 1
= × × + × × = .
2 2 3 2 3 2 4
P (X = 1, Y = 1) = P (first coin = coin1)P (H|coin 1)P (H|coin 2)
+ P (first coin = coin2)P (H|coin 1)P (H|coin 2)
= P (H|coin 1)P (H|coin 2)
1 2 1
= × = .
2 3 3

Table 3: Joint PMF of X and Y

Y =0 Y =1

1 1
X=0 6 4

1 1
X=1 4 3

By comparing joint PMFs and marginal PMFs, we conclude two variables are not
independent. For example:

5
P (X = 0) =
12
7
P (Y = 1) =
12
1
P (X = 0, Y = 1) = 6= P (X = 0) × P (Y = 1).
4

5
4. Consider two random variables X and Y with joint PMF given by
1
PXY (k, l) = , for k, l = 1, 2, 3, ...
2k+l
(a) Show that X and Y are independent and find the marginal PMFs of X and
Y.
(b) Find P (X 2 + Y 2 ≤ 10).

Solution:
(a)

RX = {1, 2, 3, · · · }
RY = {1, 2, 3, · · · }

1
PXY (k, l) = .
2k+l

∞
X X 1
PX (k) = P (X = k, Y = l) = k+l
l∈RY l=1
2
∞
1 X 1 1
= k l
= k.
2 l=1 2 2

∞
X X 1
PY (l) = P (X = k, Y = l) = k+l
k∈RX k=1
2
∞
1 X 1 1
= = l.
2l k=1
2 l 2

By calculating the marginal PMFs we observe that PXY (k, l) = PX (k) · PY (l) for all
k ∈ RX and l ∈ RY (k, l = 1, 2, 3, · · · ). So, these two variables are independent.
(b)
There are different cases in which X 2 + Y 2 ≤ 10:

6
 P (X 2 + Y 2 ≤ 10) = P (X = 1, Y = 1) + P (X = 1, Y = 2) + P (X = 2, Y = 1)
+ P (X = 2, Y = 2) + P (X = 1, Y = 3) + P (X = 3, Y = 1)
1 1 1 1 1 1 11
= 2+ 3+ 3+ 4+ 4+ 4 = .
2 2 2 2 2 2 16

5. Let X and Y be as defined in Problem 1. Also, suppose that we are given that
Y = 1.

(a) Find the conditional PMF of X given Y = 1. That is, find PX|Y (x|1).
(b) Find E[X|Y = 1].
(c) Find Var(X|Y = 1).

Solution:
(a)

P (X = x, Y = 1) P (X = x, Y = 1) 12
PX|Y (x|1) = = 7 = P (X = x, Y = 1).
P (Y = 1) 12
7

12 1 4


 7
× 3
= 7
x=1



12 1 2
PX|Y (x|1) = 7
× 6
= 7
x=2



 12 1 1
× = x=4

7 12 7

4


 7
x=1



2
PX|Y (x|1) = 7
x=2



 1
x=4

7

(b)

X 4 2 1 12
E[X|Y = 1] = xPX|Y (x|1) = 1 × +2× +4× = .
x
7 7 7 7

(c)

7
 X 4 2 1 28
E[X 2 |Y = 1] = x2 PX|Y (x|1) = 1 × + 4 × + 16 × = .
x
7 7 7 7

Var(X|Y = 1) = E(X 2 |Y = 1) − (E[X|Y = 1])2

 2
28 12
= −
7 7
52
=
49

6. The number of customers visiting a store in one hour has a Poisson distribution
with mean λ = 10. Each customer is a female with probability p = 34 independent
of other customers. Let X be the total number of customers in a one-hour interval
and Y be the total number of female customers in the same interval. Find the joint
PMF of X and Y .

Solution: To find joint PMF of X and Y , first note that

PXY (i, j) = P (X = i, Y = j)
=0 if i < j.

To find PXY (i, j) for i ≥ j, we can use the law of total probability:

PXY (i, j) = P (X = i, Y = j)
X∞
= P (X = i, Y = j|X = k)PX (k) (law of total probability).
k=0

But note that P (X = i, Y = j|X = k) = 0 if i 6= k, thus

PXY (i, j) = P (X = i, Y = j|X = i)PX (i)

= P (Y = j|X = i)PX (i)
i 3 j 1 (i−j) −10 10i
 
= ( )( ) e
j 4 4 (i)!
−10 10 i j
e ( 4 ) (3)
=
(i − j)!j!
h i
X 2 +Y 2
7. Let X and Y be two independent Geometric(p) random variables. Find E XY
.

8
 X 
Solution: We can use LOTUS to find E Y
. Let us first remember the following
useful identities:
∞
X 1
kxk−1 = for |x| < 1,
(1 − x)2
k=1

∞
X xk
− ln(1 − x) = for |x| < 1.
k=1
k

The first one is obtained by taking derivative of the geometric sum formula, and
the second one is a Taylor series. Now, let’s apply LOTUS.

X2 + Y 2
     
X Y
E =E +E
XY Y X

  X ∞ X ∞
X m
E = P (X = m, Y = n)
Y n=1 m=1
n
∞ X ∞
X m 2 m−1 n−1
= p q q
n=1 m=1
n
∞ ∞
X 1 2 n−1 X
= p q mq m−1
n=1
n m=1
∞
X 1 2 n−1 1
= p q
n=1
n (1 − q)2
∞
X 1 n−1
= q
n=1
n
∞
1 X qn
=
q n=1 n
1 1
= ln .
1−p p
Y 
By symmetry, we obtain the same answer for E X . Therefore:
 2
X +Y2

2 1
E = ln .
XY 1−p p

9
8. Consider the set of points in the set C:

C = {(x, y)|x, y ∈ Z, x2 + |y| ≤ 2}.

Suppose that we pick a point (X, Y ) from this set completely at random. Thus,
1
each point has a probability of 11 of being chosen.

(a) Find the joint and marginal PMFs of X and Y .

(b) Find the conditional PMF of X given Y = 1.
(c) Are X and Y independent?

Solution:

(a) Note that here

RXY = G = {(x, y)|x, y ∈ Z, x2 + |y| ≤ 2}.

Thus, the joint PMF is given by

1

11
(x, y) ∈ G
PXY (x, y) =
0 otherwise

To find the marginal PMF of Y , PY (j), we use Equation ??. Thus,

1
PY (−2) = PXY (0, −2) = ,
11
3
PY (−1) = PXY (0, −1) + PXY (−1, −1) + PXY (1, −1) = ,
11
3
PY (0) = PXY (0, 0) + PXY (1, 0) + PXY (−1, 0) = ,
11
3
PY (1) = PXY (0, 1) + PXY (−1, 1) + PXY (1, 1) = ,
11
1
PY (2) = PXY (0, 2) = .
11
Similarly, we can find
3


 11
for i = −1, 1

5
PX (i) = 11
for i = 0

 0
 otherwise

10
 (b) For i = −1, 0, 1, we can write

PXY (i, 1)
PX|Y (i|1) =
PY (1)
1
1
= 11
3 = , for i = −1, 0, 1.
11
3

Thus, we conclude
1

3
for i = −1, 0, 1
PX|Y (i|1) =
0 otherwise

By looking at the above conditional PMF, we conclude that given Y = 1, X is

uniformly distributed over the set {−1, 0, 1}.
(c) X and Y are not independent. We can see this as the conditional PMF of X
given Y = 1 (calculated above) is not the same as marginal PMF of X, PX (x).
(d) We have
X
E[XY 2 ] = ij 2 PXY (i, j)
i,j∈RXY
1 X
= ij 2
11 i,j∈R
XY

=0

9. Consider the set of points in the set C:

G = {(x, y)|x, y ∈ Z, x2 + |y| ≤ 2}.

Suppose that we pick a point (X, Y ) from this set completely at random. Thus,
1
each point has a probability of 11 of being chosen.

(a) Find E[X|Y = 1].

(b) Find Var(X|Y = 1).
(c) Find E[X||Y | ≤ 1].
(d) Find E[X 2 |Y | ≤ 1].

Solution:

11
(a) To find E[X|Y = 1], we have
X
E[X|Y = 1] = xi PX|Y (xi |1).
xi ∈RX

In the previous problem, we found that given Y = 1, X is uniformly distributed

over the set {−1, 0, 1}. Thus we conclude that
1
E[X|Y = 1] = (−1 + 0 + 1) = 0.
3
(b)
X
E[X 2 |Y = 1] = xi PX|Y =1 (x)
x2i ∈RX
1 1 1 2
= (−1)2 + 02 + 12 . = .
 3 3 3 3
Var(X|Y = 1) = E (X − µX|Y (1))2 |Y = 1
= E X 2 |Y = 1 − µX|Y (1)2
 

2
= − 02
3
2
=
3
(c) To find E[X| − 1 ≤ Y ≤ 1], let A be the event that −1 ≤ Y ≤ 1. To find
E[X|A], we need to find the conditional PMF, PX|A (k), for k = 1, 0, 1. First,
note that
3 3 3 9
P (A) = PY (0) + PY (1) + PY (−1) = + + = .
11 11 11 11
Thus, for k = −1, 0, 1, we have
11
PX|A (k) = P (X = k, A).
9
So, we can write
11
PX|A (−1) = P (X = −1, A)
9
11   3 1
= PXY (−1, 0) + PXY (−1, 1) + PXY (−1, −1) = = ,
9 9 3
11
PX|A ( 0 ) = P (X = 0, A)
9
11   3 1
= PXY (0, 0) + PXY (0, 1) + PXY (0, −1) = = ,
9 9 3
11
PX|A ( 1 ) = P (X = 1, A)
9
11   3 1
= PXY (1, 0) + PXY (1, 1) + PXY (1, −1) = = ,
9 9 3

12
 Thus, we have
X
E[X|A] = xi PX|A (x)
xi ∈RX
1 1 1
= (−1) + 0 + 1. = 0.
3 3 3
 
(d) To find E X 2  − 1 ≤ Y ≤ 1 , we use the conditional PMF and LOTUS. We


have
X
E[X 2 A] = x2i PX|A (x)


xi ∈RX
1 1 1 2
= (−1)2 · + 02 · + 12 · = .
3 3 3 3
10. The number of cars being repaired at a small repair shop has the following PMF
 1
 8
for x = 0


 1



 8
for x = 1

 1
PX (x) = 4
for x = 2
 1
for x = 3




 2

 0 otherwise



Each car that is being repaired is a four-door car with probability 34 and a two-door
car with probability 41 independently from other cars and independently from the
number of cars being repaired. Let X be the number of four-door cars and Y be
the number of two-door cars currently being repaired.

(a) Find the marginal PMFs of X and Y .

(b) Find joint PMF of X and Y .
(c) Are X and Y independent?
(d) Find E[XY 2 ].

Solution:

(a) Suppose that the number of cars being repaired is N. Then note that RX =
RY = {0, 1, 2, 3} and X + Y = N. Also, given N = n, X is a sum of n

13
independent Bernoulli( 43 ) random variables. Thus, given N = n, X has a
binomial distribution with parameters n and 43 , so

3
X|N = n ∼ Binomial(n, p = );
4
1
Y |N = n ∼ Binomial(n, q = 1 − p = ).
4
We have
3
X
PX (k) = P (X = k|N = n)PN (n) (law of total probability)
n=0
3  
X n k n−k
= p q PN (n)
n=k
k
 P
3 n 3 0 1 n






 n=0 0 4 4
· PN (n) for k = 0

3 1

3 n 1 n−1
 P






 n=0 0 4 4
· PN (n) for k = 1

3 2 1 n−2
 P3
n




PX (k) = n=0 0 4 4
· PN (n) for k = 2

3 3 1 n−3
 P3 n




· PN (n) for k = 3




 n=0 0 4 4

 0 otherwise




23
for k = 0


 128

33




 128
for k = 1

45

PX (k) = 128
for k = 2
 27
for k = 3




 128

 0 otherwise



1
Similarly, for the marginal PMF of Y , p = 4
and q = 43 .
73
for k = 0


 128

43




 128
for k = 1

11

PY (k) = 128
for k = 2
 1
for k = 3




 128

 0 otherwise



14
 (b) To find joint PMF of X and Y , we can also use the law of total probability:
∞
X
PXY (i, j) = P (X = i, Y = j|N = n)PN (n) (law of total probability).
n=0

But note that P (X = i, Y = j|N = n) = 0 if N 6= i + j, thus

PXY (i, j) = P (X = i, Y = j|N = i + j)PN (i + j)

= P (X = i|N = i + j)PN (i + j)
 
i+j 3 i 1 j
= ( ) ( ) PN (i + j)
i 4 4

1 3 i 1 j

 ( ) (4)
8 4
for i + j = 0


1 3 i 1 j
( ) (4) for i + j = 1


8 4




 1 2
3 i 1 j
PXY (i, j) = 4 i 4
( ) (4) for i + j = 2

 21 3i ( 43 )i ( 14 )j


for i + j = 3





 0 otherwise




(c) X and Y are not independent, since as we saw above

PXY (i, j) 6= PX (i)PY (j).

11. Let X and Y be two independent random variables with PMFs

 1
 5 for x = 1, 2, 3, 4, 5
PX (k) = PY (k) =
 0 otherwise

Define Z = X − Y . Find the PMF of Z.

Solution: To find PMF of Z, let i, j ∈ {1, 2, 3, 4, 5}. Then

X
PZ (Z = i − j) = P (X = i, Y = j)
i,j∈{1,2,3,4,5}
X
= P (X = i)P (Y = j) (since X and Y are independent)
i,j∈{1,2,3,4,5}

15
 1


 25
for z = −4

2

for z = −3




 25

3
for z = −2


25




4
for z = −1


25




5



 25
for z = 0
PZ (z) = 4

 25
for z = 1


3
for z = 2


25




2
for z = 3


25




1




 25
for z = 4


 0 otherwise



12. Consider two random variables X and Y with joint PMF given in Table 4.

Table 4: Joint PMF of X and Y in Problem 12

Y =0 Y =1 Y =2

1 1 1
X=0 6 6 8

1 1 1
X=1 8 6 4

Define the random variable Z as Z = E[X|Y ].

(a) Find the Marginal PMFs of X and Y .

(b) Find the conditional PMF of X given Y = 0 and Y = 1, i.e., find PX|Y (x|0)
and PX|Y (x|1).
(c) Find the P MF of Z.
(d) Find EZ, and check that EZ = EX.
(e) Find Var(Z).

Solution:

16
(a) Using the table we find out
1 1 1 11
PX (0) = + + = ,
6 6 8 24
1 1 1 13
PX (1) = + + = ,
8 6 4 24
1 1 7
PY (0) = + = ,
6 8 24
1 1 1
PY (1) = + = ,
6 6 3
1 1 3
PY (2) = + = .
8 4 8
Note that X and Y are not independent.
(b) We have
PXY (0, 0)
PX|Y (0|0) =
PY (0)
1
6 4
= 7 = .
24
7
Thus,
4 3
PX|Y (1|0) = 1 − = .
7 7
We conclude
 
3
X|Y = 0 ∼ Bernoulli .
7
Similarly, we find
1
PX|Y (0|1) = ,
2
1
PX|Y (1|1) = .
2
(c) We note that the random variable Y can take three values: 0 , 1 and 2 . Thus,
the random variable Z = E[X|Y ] can take three values as it is a function of Y .
Specifically,


 E[X|Y = 0] if Y = 0



Z = E[X|Y ] = E[X|Y = 1] if Y = 1




E[X|Y = 2] if Y = 2


17
 Now, using the previous part, we have
3 1 2
E[X|Y = 0] = , E[X|Y = 1] = , E[X|Y = 2] =
7 2 3
7
and since P (y = 0) = P (y = 1) = 31 , and P (y = 2) = 38 we conclude that
24
,
 3 7

 7
with probability 24



1
Z = E[X|Y ] = 2
with probability 31




 2
3
with probability 83
So we can write
7 3


 24
if z = 7



1 1

if z =


 3 2
PZ (z) =
3 2
if z =




 8 3



0 otherwise


(d) Now that we have found the PMF of Z, we can find its mean and variance.
Specifically,
3 7 1 1 2 3 13
E[Z] = · + · + · = .
7 24 2 3 3 8 24
13
We also note that EX = 24
. Thus, here we have

E[X] = E[Z] = E[E[X|Y ]].

(e) To find Var(Z), we write

Var(Z) = E[Z 2 ] − (EZ)2

13
= E[Z 2 ] − ( )2 ,
24
where
3 7 1 1 2 3 17
E[Z 2 ] = ( )2 · + ( )2 · + ( )2 · = .
7 24 2 3 3 8 56
Thus,
17 13
Var(Z) = − ( )2
56 24
41
= .
4032

18
13. Let X, Y , and Z = E[X|Y ] be as in problem 12. Define the random variable V as
V = Var(X|Y ).

(a) Find the PMF of V .

(b) Find EV .
(c) Check that Var(X) = EV + Var(Z).

Solution:

(a) To find the PMF of V , we note that V is a function of Y . Specifically,



 Var(X|Y = 0) if Y = 0



V = Var(X|Y ) = Var(X|Y = 1) if Y = 1




Var(X|Y = 2) if Y = 2


Therefore,
7


 Var(X|Y = 0) with probability 24



1
V = Var(X|Y ) = Var(X|Y = 1) with probability 3



 3
Var(X|Y = 2) with probability

8

Now, since X|Y = 0 ∼
Bernoulli 37 , X|Y 1

= 1 ∼ Bernoulli 2
, and
X|Y = 2 ∼ Bernoulli 23 we have

3 4 12
Var(X|Y = 0) = · = ,
7 7 49
1 1 1
Var(X|Y = 1) = · = ,
2 2 4
2 1 2
Var(X|Y = 2) = · = ,
3 3 9
Thus,
12 7


 49
with probability 24



1 1
V = Var(X|Y ) = 4
with probability 3



 2 3
with probability

9 8

19
 So we can write
7 12


 24
if v = 49



1 1

if v =


 3 4
PV (v) =
3 2
if v =




 8 9



0 otherwise


(b) To find EV , we write

12 7 1 1 2 3 5
EV = · + · + · = .
49 24 4 3 9 8 21

(c) To check that Var(X) = E(V )+Var(Z), we just note that

13 11 143
Var(X) = · =
24 24 576
5
EV =
21
41
Var(Z) = .
4032
14. Let N be the number of phone calls made by the customers of a phone company in
a given hour. Suppose that N ∼ P oisson(β), where β > 0 is known. Let Xi be the
length of the i’th phone call, for i = 1, 2, ..., N. We assume Xi ’s are independent
of each other and also independent of N. We further assume that have the same
mean and variance

Xi ∼ Exponential(λ),

where λ > 0 is known. Let Y be the sum of the lengths of the phone calls, i.e.,
N
X
Y = Xi .
i=1

Find EY and Var(Y ).

Solution: To find EY , we cannot directly use the linearity of expectation because N

is random. But, conditioned on N = n, we can use linearity and find E[Y |N = n];

20
so, we use the law of iterated expectations:

EY = E[E[Y |N]] (law of iterated expectations)

"  N #
X
=E E Xi |N
i=1
" N #
X
=E E[Xi |N] (linearity of expectation)
i=1
" N #
X
=E E[Xi ] (Xi ’s and N are indpendent)
i=1
= E[NE[X]] (since EXi = EXs)
= E[X]E[N] (since EX is not random).
EY = E[X]E[N]
1
EY = · β
λ
β
EY =
λ

To find Var(Y ), we use the law of total variance:

Var(Y ) = E(Var(Y |N)) + Var(E[Y |N])

= E(Var(Y |N)) + Var(NEX) (as above)
= E(Var(Y |N)) + (EX)2 Var(N).

To find E(Var(Y |N)), note that, given N = n, Y is a sum n independent random

variables. As we discussed before, for n independent random variables, the variance
of the sum is equal to sum of the variances. We can write

N
X
Var(Y |N) = Var(Xi |N)
i=1
XN
= Var(Xi ) (since Xi ’s are independent of N)
i=1
= NVar(X).

Thus, we have

E(Var(Y |N)) = ENVar(X).

21
 We obtain

Var(Y ) = ENV ar(X) + (EX)2 Var(N).

1 1
Var(Y ) = β( )2 + ( )2 β.
λ λ
2β
=
λ2

15. Let X and Y be two jointly continuous random variables with joint PDF
 1 −x cy
 2 e + (1+x)2 0 ≤ x, 0 ≤ y ≤ 1
fXY (x, y) =
0 otherwise


(a) Find the constant c.

(b) Find P (0 ≤ X ≤ 1, 0 ≤ Y ≤ 21 ).
(c) Find P (0 ≤ X ≤ 1).

Solution:

(a) We have:

RXY

22
 Z ∞ Z ∞
fXY (x, y)dxdy = 1
∞ ∞
1 ∞  
1 −x
Z Z
cy
= e + dxdy
y=0 x=0 2 (1 + x)2
Z 1 ∞
1 −x cy
= − e − dy
0 2 (1 + x) 0
Z 1
1
= ( + cy)dy
0 2
 1
1 1 2
= y + cy
2 2 0
1 1
= + c
2 2
Thus, c = 1.
(b)
1
P (0 ≤ X ≤ 1, 0 ≤ Y ≤ )
2
1
1
1 −x
Z Z
2 y
= e + dxdy
y=0 x=0 2 (1 + x)2
Z 1 1
2 1 −x y
= − e − dy
0 2 1+x 0
Z 1 
2 1 1 −1 y
= ( + y) − ( e + ) dy
0 2 2 2
5 1
= −
16 4e

1
2

1 x

23
 (c)
1 1  
1 −x
Z Z
y
P (0 ≤ X ≤ 1) = e + dxdy
y=0 x=0 2 (1 + x)2
3 1
= −
4 2e
16. Let X and Y be two jointly continuous random variables with joint PDF
 −xy
 e 1 ≤ x ≤ e, y > 0
fXY (x, y) =
0 otherwise


(a) Find the marginal PDFs, fX (x) and fY (y).

√
(b) Write an integral to compute P (0 ≤ Y ≤ 1, 1 ≤ X ≤ e).

Solution:
(a) We have:

RXY
y

1 e x

for 1 < x < e:

Z ∞
fX (x) = e−xy dy
0
∞
1 −xy 
=− e 
x 0
1
=
x
 1
 x 1≤x≤e
fX (x) =
0 otherwise


24
 for 0 < y
Z e
fY (y) = e−xy dx
1
1
= (e−y − e−ey )
y
Thus,  1 −y
 y (e − e−ey ) y>0
fX (x) =
0 otherwise


(b)
√
√
Z e Z 1
P (0 ≤ Y ≤ 1, 1 ≤ X ≤ e) = e−xy dydx
x=1 y=0
√
e
1 1 −x
Z
= − e dx
2 1 x
17. Let X and Y be two jointly continuous random variables with joint PDF
 1 2 1
 4x + 6y −1 ≤ x ≤ 1, 0 ≤ y ≤ 2
fXY (x, y) =
0 otherwise


(a) Find the marginal PDFs, fX (x) and fY (y).

(b) Find P (X > 0, Y < 1).
(c) Find P (X > 0 or Y < 1).
(d) Find P (X > 0|Y < 1).
(e) Find P (X + Y > 0).

Solution:

(a) for −1 ≤ x ≤ 1
y
2

RXY

-1 1 x

25
 2
1 1
Z
fX (x) = ( x2 + y)dy
0 4 6
1 1
= x2 +
2 3
Thus,  1 2 1
 2x + 3
−1 ≤ x ≤ 1
fX (x) =
0 otherwise


for 0 ≤ y ≤ 2
1  
1 2 1
Z
fY (y) = x + y dx
−1 4 6
1 1
= + y
6 3
 1 1
 6 + 3y 0≤y≤2
fX (x) =
0 otherwise


(b) We have:

y
2

-1 1 x

1 1  
1 2 1
Z Z
P (X > 0, Y < 1) = x + y dydx
x=0 y=0 4 6
1
=
6

(c) We have:

26
 y
2

-1 1 x

P (X > 0 or Y < 1) = 1 − P (X < 0 and Y > 1)

Z 0 Z 2  
1 2 1
= 1− x + y dydx
x=−1 y=1 4 6
2
=
3
(d)
P (X > 0 and Y < 1)
P (X > 0|Y < 1) =
P (Y < 1)
1
=
6P (Y < 1)

1
1 1
Z
P (Y < 1) = ( y + )dy
0 3 6
1
=
3
Therefore, P (X > 0|Y < 1) = 21 .
(e) We have:

y
2

A
B
-1 1 x

27
 P (X + Y > 0) = P ((x, y) ∈ A)
= 1 − P (B)
Z 0 Z −x  
1 2 1
=1− x + y dydx
x=−1 y=0 4 6
131
=
144
18. Let X and Y be two jointly continuous random variables with joint CDF

 1 − e−x − e−2y + e−(x+2y) x, y > 0
FXY (x, y) =
0 otherwise


(a) Find the joint PDF, fXY (x, y).

(b) Find P (X < 2Y ).
(c) Are X and Y independent?

Solution: Note that we can write FXY (x, y) as

FXY (x, y) = 1 − e−x u(x)(1 − e−2y )u(y)

= (a function of x) · (a function of y)
= FX (x) · FY (y)

i.e. X and Y are independent.

(a)

FX (x) = (1 − e(−x) )u(x)

Thus X ∼ Exponential(1) . So, we have fX (x) = e−x u(x). Similarly, fY (y) =

2e−2y u(y) which results in:

fXY (x, y) = 2e(−x+2y) u(x)u(y)

(b)
Z ∞ Z 2y
P (X < 2Y ) = 2e−(x+2y) dxdy
y=0 x=0
1
=
2

28
 (c) Yes, as we saw above.

19. Let X ∼ N(0, 1).

(a) Find the conditional PDF and CDF of X given X > 0.

(b) Find E[X|X > 0].
(c) Find Var(X|X > 0).

Solution:
X ∼ N(0, 1). Thus,
1 x2
fX (x) = √ e− 2
2π

(a) By symmetry, we have P (X > 0) = 12 . Let A be the event that X > 0:

fX (x)

 P (A)
x>0
fX|A (x) =
0 else


Thus,  q 2
2 − x2

 π
e x>0
fX|A (x) =

0 else


FX (x) − FX (0)
FX|A (x) =
P (A)
 
1
= 2 FX (x) −
2
= 2FX (x) − 1

Note FX (x) = Φ(x). Therefore, FX|A (x) = 2Φ(x) − 1

29
 (b)
Z ∞
E[X|A] = xfX|A (x)dx
−∞
Z ∞r
2 − x2
= xe 2 dx
0 π
2
− x2
u=e
x2
du = −xe− 2 dx
r Z 0
2
E[X|A] = (−du)
π 1
r
2
=
π

(c)
Z ∞
2
E[X |A] = x2 fX|A (x)dx
0
Z ∞
=2 x2 fX (x)dx
0
Z ∞
= x2 fX (x)dx (since x2 fX (x) is an even function.)
−∞
= E[X 2 ]
=1

Thus

V ar[X|A] = E[X 2 |A] − (E[X|A]))2

2
=1−
π
20. Let X and Y be two jointly continuous random variables with joint PDF
 2 1
 x + 3y −1 ≤ x ≤ 1, 0 ≤ y ≤ 1
fXY (x, y) =
0 otherwise


For 0 ≤ y ≤ 1, find

(a) the conditional PDF of X given Y = y;

(b) P (X > 0|Y = y). Does this value depend on y?
(c) Are X and Y independent?

30
 Solution:

(a) Let us first find fY (y):

+1
1 1 1 +1
Z
fY (y) = (x2 + y)dx = x3 + yx −1
−1 3 3 3
2 2
= y+ for 0 ≤ y ≤ 1
3 3
Thus, for 0 ≤ y ≤ 1, we obtain:

fXY (x, y) x2 + 31 y 3x2 + y

fX|Y (x|y) = = 2 = for −1≤x≤1
fY (y) 3
y + 23 2y + 2

For 0 ≤ y ≤ 1:

3x2 +y

 2y+2
−1 ≤ x ≤ 1
fX|Y (x|y) =
0 else


(b)
1 1
3x2 + y
Z Z
P (X > 0|Y = y) = fX|Y (x|y)dx = dx
0 0 2y + 2
Z 1
1
= (3x2 + y)dx
2y + 2 0
1  3 1 y+1 1
= (x + yx) 0 = =
2y + 2 2(y + 1) 2

Thus it does not depend on y.

(c) X and Y are not independent. Since fX|Y (x|y) depends on y.

21. Let X and Y be two jointly continuous random variables with joint PDF
 1 2 2
 2x + 3y −1 ≤ x ≤ 1, 0 ≤ y ≤ 1
fXY (x, y) =
0 otherwise


Find E[Y |X = 0] and Var(Y |X = 0).

31
 Solution:
Let us first find fY |X (y|x). To do so, we need fX (x):

1
1 2 1 1 1
Z
fX (x) = ( x2 + y)dy = x2 y + y 2 0
0 2 3 2 3
1 1
= x2 + for − 1 ≤ x ≤ +1
2 3
Thus:

1 2
fXY (x, y) x + 2y
fY |X (y|x) = = 21 2 31
fX (x) 2
x +3

Therefore:
2
3
y
fY |X (y|0) = 1 = 2y for 0≤y≤1
3

Thus:

1 1
2
Z Z
E[Y |X = 0] = yfY |X (y|0)dy = 2y 2dy =
0 0 3

1 1
1
Z Z
2 2
E[Y |X = 0] = y fY |X (y|0)dy = 2y 3 dy =
0 0 2
Therefore:

1 2 1 4 1
Var(Y |X = 0) = − ( )2 = − =
2 3 2 9 18
22. Consider the set

E = {(x, y)|x| + |y| ≤ 1}.
Suppose that we choose a point (X, Y ) uniformly at random in E. That is, the joint
PDF of X and Y is given by

 c (x, y) ∈ E
fXY (x, y) =
0 otherwise


32
 y

−1 1
x

−1

(a) Find the constant c.

(b) Find the marginal PDFs fX (x) and fY (y).
(c) Find the conditional PDF of X given Y = y, where −1 ≤ y ≤ 1.
(d) Are X and Y independent?

Solution:
(a)
We have:

Z Z √ √
1= cdxdy = c(area of E) = c 2 · 2 = 2c
E
1
→c=
2
(b)
For 0 ≤ x ≤ 1, we have:

1−x
1
Z
fX (x) = dy = 1 − x
x−1 2

33
 y

−x + y = 1 x+y =1

−1 1
x

−x − y = 1 x−y = 1

−1

For −1 ≤ x ≤ 0, we have:

1+x
1
Z
fX (x) = dy = 1 + x
−x−1 2


 1 − |x| −1 ≤x≤1
fX (x) =
0 else


Similarly, we find:

 1 − |y| −1≤y ≤1
fY (y) =
0 else


(c)

1
fXY (xy) 2
fX|Y (x|y) = =
fY (y) (1 − |y|)
1
= for |x| ≤ 1 − |y|
2(1 − |y|)

34
 Thus:

1

 2(1−|y|)
for − 1 + |y| ≤ x ≤ 1 − |y|
fX|Y (x|y) =
0 else


So, we conclude that given Y = y, X is uniformly distributed on [−1 + |y|, 1 − |y|],

i.e.:
X|Y = y ∼ Unif orm(−1 + |y|, 1 − |y|)
(d)
No, because fXY (x, y) 6= fX (x) · fY (y)

23. Let X and Y be two independent Unf iorm(0, 2) random variables. Find P (XY <
1).

Solution:
We have:

Z 2
P (XY < 1) = P (XY < 1|Y = y)fY (y)dy Law of total prob
0
2
1
Z
= P (XY < 1|Y = y) dy Since Y ∼ Unif orm(0, 2)
0 2
Z 2
1 1
= P (X < )dy X and Y indep
2 0 y
Z 1 Z 2
1 1
= 1dy + dy X ∼ Unif orm(0, 2)
2 0 1 2y
1
= [1 + ln2] ≈ 0.847
2

24. Suppose X ∼ Exponential(1) and given X = x, Y is a uniform random variable in

[0., x], i.e.,

Y |X = x ∼ Unif orm(0, x),

or equivalently

Y |X ∼ Unif orm(0, X).

(a) Find EY .

35
 (b) Find Var(Y ).

Solution:
a+b (b−a)2
Remember that if Y ∼ Unif orm(a, b), then EY = 2
and Var(Y ) = 12
(a)
Using the law of total expectation:
Z ∞
E[Y ] = E[Y |X = x]fX (x)dx
0
Z ∞
= E[Y |X = x]e−x dx Since Y |X ∼ Unif orm(0, X)
Z0 ∞
1 ∞ −x
Z
x −x
= e dx = [ xe dx]
0 2 2 0
1 1
= ·1=
2 2

(b)

Z ∞ Z ∞
2 2
EY = E[Y |X = x]fX (x)dx = E[Y 2 |X = x]e−x dx Law of total expectation
0 0

Y |X ∼ Unif orm(0, X)

E[Y 2 |X = x] = Var(Y 2 |X = x) + (E[Y |X = x])2

x2 x2 x2
= + =
Z12∞ 24 3
1 ∞ 2 −x
Z
2 x −x
EY = e dx = x e dx
0 3 3 0
1 1 1 2
= EW 2 = [Var(w) + (Ew)2 ] = (1 + 1) = where w ∼ Exponential(1)
3 3 3 3

Therefore:

2 2 1 5
EY 2 = Var(Y ) = − =
3 3 4 12

25. Let X and Y be two independent Unif orm(0, 1) random variables. Find

(a) E[XY ].

36
(b) E[eX+Y ].
(c) E[X 2 + Y 2 + XY ].
(d) E[Y eXY ].

Solution: (a)
E[XY ] = E[X] · E[Y ] Since Xand Y are indep
1 1 1
= · =
2 2 4
(b)

E[eX+Y ] = E[eX · eY ] = E[eX ]E[eY ]

Z 1
X Y
E[e ] = E[e ] = ex · 1 = e − 1
0

Therefore:
E[eX+Y ] = (e − 1)(e − 1) = (e − 1)2

(c)

E[X 2 + Y 2 + XY ] = E[X 2 ] + E[Y 2 ] + E[XY ] linearity of expectation

= 2EX 2 + EXEY

1
1
Z
2
EX = x2 · 1dx =
0 3
Therefore:
2 1 11
E[X 2 + Y 2 + XY ] = + =
3 4 12
(d)

Z 1 Z 1
XY
E[Y e ]= yexy dxdy LOTUS
0 0
Z 1 Z 1
xy 1
= [e ]0 dy = [ey − 1]dy = ey − 2
0 0

37
 X
26. Let X and Y be two independent Unif orm(0, 1) random variables, and Z = Y
.
Find the CDF and PDF of Z.

Solution:
First note that since RX = RY = [0, 1], we conclude RZ = [0, ∞). We first find the
CDF of Z.
X

FZ (z) = P (Z ≤ z) = P ≤z
Y
= P (X ≤ zY ) (Since Y ≥ 0)
Z 1
= P (X ≤ zY |Y = y)fY (y)dy (Law of total prob)
0
Z 1
= P (X ≤ zY |Y = y)dy (Since X and Y are indep)
0

Note:

1 if y > z1

P (X ≤ zy) =
zy if y ≤ z1

Consider two cases:

(a)
If 0 ≤ z ≤ 1, then P (X ≤ zy) = zy for all 0 ≤ y ≤ 1
Thus:

1
1 1 1
Z
FZ (z) = (zy)dy = zy 2 0 = z
0 2 2

(b)
If z > 1, then

1
Z
z
Z 1
FZ (z) = zydy + 1dy
1
0 z
 1 2  z1  1
= zy 0 + y 1
2 z

1 1 1
= +1− =1−
2z z 2z

38
  1
 2z 0≤z≤1
1
FZ (z) = 1− 2z
z≥1
0 z<0


Note that FZ (z) is a continuous function.

1

0≤z≤1
d  2
1
fZ (z) = FZ (z) = 2z 2
z≥1
dz
0 else


27. Let X and Y be be two independent N(0, 1) random variables and U = X + Y .

(a) Find fU |X (u|x).

(b) Find fU (u).
(c) Find fX|U (x|u).
(d) Find E[X|U = u] and Var(X|U = u).

Solution: (a) U = X + Y , thus given X = x, U = x + Y .

Since X and Y are independent, we conclude:
U|X = x ∼ N(x, 1), therefore:

1 (u−x)2
fU |X (u|x) = √ e− 2
2π

(b) U = X + Y ; X, Y ∼ N(0, 1).

√
Therefore, U ∼ N(0, 2) (µu = 0, σu = 2)

1 u2
fU (u) = √ e− 4
2 π

(c)

39
 fXU (x, u)
fX|U (x|u) =
fU (u)
fU |X (u|x)fX (x)
=
fU (u)
(u−x) 2 2
x
√1 e− 2 · √1 e− 2
2π 2π
= u 2
1
√
2 π
e− 4
1 u 2
= √ e−(x− 2 )
π

Therefore, X|U = u ∼ N( u2 , 21 )
(d)
By part (c),

  u
E X|U = |u =
2

1
Var X|U = |u =
2
28. Let X and Y be two independent standard normal random variables. Consider the
point (X, Y ) in the x − y plane. Let (R, Θ) be the corresponding polar coordinates
as shown in Figure 1. The inverse transformation is given by

X = R cos Θ
Y = R sin Θ
where, R ≥ 0 and −π < Θ ≤ π. Find the joint PDF of R and Θ. Show that R and
Θ are independent.

Y •(X, Y )

X = R cos Θ
R Y = R sin Θ

Θ
X

Figure 1: Polar coordinates

40
 Solution: Here (X, Y ) are jointly continuous and are related to (R, Θ) by a one-
to-one relationship. We use the method of transformations (Theorem ??). The
function h(r, θ) is given by

x = h1 (r, θ) = r cos θ
y = h2 (r, θ) = r sin θ

Thus, we have

fRΘ (r, θ) = fXY (h1 (r, θ), h2 (r, θ))|J|

= fXY (r cos θ, r sin θ)|J|.

where
 ∂h1 ∂h1
  
∂r ∂θ
cos θ −r sin θ
J = det   = det   = r cos2 θ + r sin2 θ = r.
∂h2 ∂h2
∂r ∂θ
sin θ r cos θ

We conclude that

fRΘ (r, θ) = fXY (r cos θ, r sin θ)|J|

 2
r − r2
 2π e r ∈ [0, ∞], θ ∈ (−π, π]
=

0 otherwise

Note that from above we can write

fRΘ (r, θ) = fR (r)fΘ (θ),

where
r2

 re− 2 r ∈ [0, ∞]
fR (r) =

0 otherwise
1

 2π
θ ∈ (−π, π]
fΘ (θ) =
0 otherwise


Thus, we conclude that R and Θ are independent.

29. In problem 28, suppose that X and Y are independent Unif orm(0, 1) random
variables. Find the joint PDF of R and Θ. Are R and Θ independent?

41
 Solution: Note that here 0 ≤ X, Y ≤ 1, so we can write the range of (R, Θ) as
follows

0 ≤ r,
0 ≤ r cos θ ≤ 1,
0 ≤ r sin θ ≤ 1.

Therefore, the range of (R, Θ) is the set

  
2 π 1 1
RR,θ = (r, θ) ∈ R | 0 ≤ θ ≤ , 0 ≤ r ≤ min , .
2 cos θ sin θ

Since fXY (r cos θ, r sin θ) = 1:

fRΘ (r, θ) = fXY (r cos θ, r sin θ)|J|

1
, 1

0 ≤ θ ≤ π2 , 0 ≤ r ≤ min


 r cos θ sin θ
=
0 otherwise


Note that the conditional range of R given Θ = θ depends on the value of θ, so we

cannot write
fRΘ (r, θ) = fR (r)fΘ (θ)
Thus, we conclude that R and Θ are not independent.

30. Consider two random variables X and Y with joint PMF given in Table 5.

Table 5: Joint PMF of X and Y in Problem prob:table-cov

Y =0 Y =1 Y =2

1 1 1
X=0 6 4 8

1 1 1
X=1 8 6 6

Find Cov(X, Y ) and ρ(X, Y ).

Solution:
First, we find PMFs of X and Y :

42
 1
RX = {0, 1} PX (0) = 6
+ 14 + 1
4+6+3
824
= = 13
24
PX (1) = 1
8
+ 1
6
+ 1
6
= 11
24
1 1 7
RY = {0, 1, 2} PY (0) = 6 + 8 = 24
1 1 5
PY (1) = 4
+ 6
= 12
PY (2) = 18 + 16 = 247

13 11 11
EX = 0 · +1· =
24 24 24
7 5 7
EY = 0 · +1· +2· =1
24 12 24
X 1 1 1 1 1 1
EXY = ijPXY (i, j) = 0 + 1 · 0 · + 1 · 1 · + 1 · 2 · = + =
8 6 6 6 3 2

Therefore:

1 11 1
Cov(X, Y ) = EXY − EX · EY = − ·1=
2 24 24
Var(X) = EX 2 − (EX)2
11
EX 2 =
24
11 13
Var(X) = ·
24 24
√
11 × 13
→ σX = ≈ 0.498
24
7 5 7 19
EY 2 = 0 · +1· +4· =
24 12 24 12
19 7
Var(Y ) = −1=
12
r 12
7
→ σY = ≈ 0.76
12
Cov(X, Y )
→ ρ(X, Y ) =
σX σY
1
24
= √ q ≈ 0.11
11×13 7
24
· 12

31. Let X and Y be two independent N(0, 1) random variable and

Z = 11 − X + X 2 Y
W = 3 − Y.

Find Cov(Z, W ).

43
 Solution:

Cov(Z, W ) = Cov(11 − X + X 2 Y, 3 − Y )
= Cov(−X + X 2 Y, −Y ) = Cov(X, Y ) − Cov(X 2 Y, Y )
= −Cov(X 2 Y, Y ) (Since X and Y are indep Cov(X, Y ) = 0)
= −E[X 2 Y · Y ] + E[X 2 Y ] · E[Y ] (EY = 0)
2 2 2 2
= −E[X Y ] = −EX · EY = −1

2
32. Let X and Y be two random variables. Suppose that σX = 4, and σY2 = 9. If we
know that the two random variables Z = 2X − Y and W = X + Y are independent,
find Cov(X, Y ) and ρ(X, Y ).

Solution:
Z and W are independent, thus Cov(Z, W ) = 0. Therefore:

0 = Cov(Z, W ) = Cov(2X − Y, X + Y )
= 2 · Var(X) + 2 · Cov(X, Y ) − Cov(Y, X) − Var(Y )
= 2 × 4 + Cov(X, Y ) − 9

Therefore:

Cov(X, Y ) = 1
Cov(X, Y )
ρ(X, Y ) =
σX σY
1 1
= =
2×3 6

33. Let X ∼ Unif orm(1, 3) and Y |X ∼ Exponential(X). Find Cov(X, Y ).

Solution:
X ∼ Unif orm(1, 3) Therefore:

44
 EX = 2
(3 − 1)2 1
Var(X) = =
12 3

Y |X ∼ Exponential(X)
Therefore:

 
E[XY ] = E E[XY |X] law of iterated expectations
  1
= E XE[Y |X] = E[X · ] Since Y |X ∼ Exponential(X)
X
= E[1] = 1

Similarly:

  1
E[Y ] = E E[Y |X] = E[ ]
X
Z 3
11 1
= dx = ln3
1 2x 2

1
Cov(X, Y ) = EXY − EX · EY = 1 − 2 · ln3 = 1 − ln3
2

34. Let X and Y be two independent N(0, 1) random variable and

Z =7+X +Y
W = 1 + Y.

Find ρ(Z, W ).

Solution:

Cov(Z, W ) = Cov(7 + X + Y, 1 + Y )
= Cov(X + Y, Y )
= Cov(X, Y ) + Var(Y ) Since Xand Y are indep, Cov(X, Y ) = 0
= Var(Y ) = 1

45
 Var(Z) = Var(X + Y ) Since Xand Y are indep
= Var(X) + Var(Y ) = 2
Var(W ) = Var(Y ) = 1

Therefore:

Cov(Z, W )
ρ(X, Y ) =
σZ σW
1 1
=√ =√
1×2 2

35. Let X and Y be be jointly normal random variables with parameters µX = −1,
2
σX = 4, µY = 1, σY2 = 1, and ρ = − 21 .

(a) Find P (X + 2Y ≤ 3).

(b) Find Cov(X − Y, X + 2Y ).

Solution: (a) Let Z = X + 2Y , then:

EZ = EX + 2EY = (−1) + 2 · (1) = 1

Var(Z) = Var(X) + 4Var(Y ) = 4 + 4 = 8

Therefore Z ∼ N(µZ = 1, σZ2 = 8)

3−1 2 1
P (Z ≤ 3) = φ( √ ) = φ( √ ) = φ( √ )
8 8 2

−1
(b) Note Cov(X, Y ) = ρσX σY = 2
· 2 · 1 = −1
Therefore:

Cov(X − Y, X + 2Y ) = Var(X) + 2Cov(X, Y ) − Cov(X, Y ) − 2Var(Y )

= Var(X) + Cov(X, Y ) − 2Var(Y )
= 4 + (−1) − 2 = 1

46
36. Let X and Y be be jointly normal random variables with parameters µX = 1,
2
σX = 4, µY = 1, σY2 = 1, and ρ = 0.

(a) Find P (X + 2Y > 4).

(b) Find E[X 2 Y 2 ].

Solution: X ∼ N(1, 4); Y ∼ N(1, 1) :

ρ(X, Y ) = 0 and X , Y are jointly normal. Therefore X and Y are independent.
(a)
W = X + 2Y Therefore:
√ √
W ∼ N(3, 4 + 4) = N(3, 8)
4−3 1
P (W > 4) = 1 − φ( √ ) = 1 − φ( √ )
8 8

(b)

E[X 2 Y 2 ] = EX 2 · EY 2 = (4 + 1) · (1 + 1) = 10 Since Xand Y are indep

37. Let X and Y be be jointly normal random variables with parameters µX = 2,

2
σX = 4, µY = 1, σY2 = 9, and ρ = − 12 .

(a) Find E[Y |X = 3].

(b) Find Var(Y |X = 2).
(c) Find P (X + 2Y ≤ 4|X + Y = 3).

Solution: µX = 2; µY = 1; σX = 2; σY = 3 ; ρ = − 21 .
(a)

3 − µX
E[Y |X = 3] = µY + ρσY ·
σX
−1 3−2 3 1
=1+ · (3) · = 1− =
2 2 4 4

(b)

47
 Var[Y |X = 2] = (1 − ρ2 )σY2
1 27
= (1 − ) · (9) =
4 4
(c)

P (X + 2Y ≤ 5|X + Y = 3) = P (Y ≤ 2|X + Y = 3)

Note that Y and W = X + Y are jointly normal.

Y ∼ N(1, 9); EW = 2 + 1 = 3

Var(W ) = Var(X) + Var(Y ) + 2ρσX σY

−1
= 4+9+2× ×2×3 =7
2
Cov(W, Y ) = Cov(X + Y, Y ) = Cov(X, Y ) + Var(Y )
−1
= ·2·3+9 =6
2
6 2
ρ(W, Y ) = √ =√
7·3 7
Thus:


 µY = 1, σY = 3

√


µW = 3, σW = 7



ρ(W, Y ) = √27



3 − µW
E[Y |W = 3] = µY + ρ(W, Y ) · σY · =1
σW
2 5 45
Var(Y |W = 3) = (1 − ) · Var(Y ) = · 9 =
7 7 7
Therefore, Y |W = 3 ∼ N(1, 45
7
)

r
2−1 7
P (Y ≤ 2|W = 3) = φ( q ) = φ( )
45 45
7

48