The University of Melbourne

School of Mathematics and Statistics

MAST20004
Probability

STUDENT NAME:

EMAIL ADDRESS:
Cover image: Jakob Bernoulli (1654 - 1705, Basel)
Jakob Bernoulli was a Swiss mathematician who made significant contributions to algebra,
calculus, mechanics, calculus of variations, geometry, infinite series, and probability. His
most renowned work was the derivation of the law of large numbers, which put simply, states
that the average proportion of times an event occurs approaches the theoretical probability
of the event, as the number of trials increases.

This compilation has been made in accordance with the provisions of Part VB of the copyright
act for the teaching purposes of the University.

For use of students of the University of Melbourne enrolled in the second year subject
MAST20004 Probability.
 Table of Contents
• Problem Sheets .............................................................................................................. 1

Topic 1 – Axioms of Probability ............................................................................ 1

Topic 2 – Conditional Probability and Independence ............................................. 3
Topic 3 – Random Variables and Distribution Functions ...................................... 7
Topic 4 – Special Probability Distributions .......................................................... 14
Topic 5 – Bivariate Random Variables ................................................................. 23
Topic 6 – Sums of Independent Random Variables and Limit Theorems ............ 33
Topic 7 – Stochastic Processes ............................................................................. 38

• Answers to Problem Sheets .......................................................................................... 41

Topic 1 – Axioms of Probability ............................................................................ 41

Topic 2 – Conditional Probability and Independence ............................................ 43
Topic 3 – Random Variables and Distribution Functions ..................................... 46
Topic 4 – Special Probability Distributions .......................................................... 51
Topic 5 – Bivariate Random Variables ................................................................. 58
Topic 6 – Sums of Independent Random Variables and Limit Theorems .............. 64
Topic 7 – Stochastic Processes ............................................................................... 67
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 1
Axioms of Probability
1. Sample Space
Define a sample space for the experiment of putting three different books on a shelf in random
order. If two of these three books are a two-volume dictionary, describe the event that these
volumes stand in increasing order side-by-side (i.e., volume I precedes volume II and next to
each other).

2. Events
Let E, F , and G be three events ; explain the meaning of the two relations E ∪ F ∪ G = G and
E ∩ F ∩ G = G.

3. More Events
Prove that the event B is impossible if and only if for every event A,

A = (B ∩ Ac ) ∪ (B c ∩ A).

4. Cards
In an experiment, cards are drawn, one by one, at random and successively from an ordinary
deck of 52 cards. Let An be the event that no face card or ace appears on the first n − 1 draws,
and the nth draw is an ace. In terms of An s, find an expression for the event that an ace appears
before a face card, if
(a) the cards are drawn with replacement ;
(b) they are drawn without replacement.

5. Event Identities
Let A and B be two events. Prove the following relations by the elementwise method.
(a) (A\(A ∩ B)) ∪ B = A ∪ B ;
(b) (A ∪ B)\(A ∩ B) = (A ∩ B c ) ∪ (Ac ∩ B).

6. Infinite Sequence of Sets

Let {A1 , A2 , A3 , . . .} be a sequence of events of a sample space S. Find a sequence {B1 , B2 , B3 , . . .}
of mutually exclusive events such that for all n ≥ 1, ∪ni=1 Ai = ∪ni=1 Bi .

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7. Hiring
A company has only one position with three highly qualified applicants : John, Barbara, and
Marty. However, because the company has only a few women employees, Barbara’s chance to
be hired is 20% higher than John’s and 20% higher than Marty’s. Find the probability that
Barbara will be hired.

8. Probability Statements
Which of the following statements is true ? If a statement is true, prove it. If it is false, give a
counterexample.
(a) If P(A) + P(B) + P(C) = 1, then A, B, and C are mutually exclusive events ;
(b) If P(A ∪ B ∪ C) = 1, then A, B, and C are mutually exclusive events.

9. Probability Identity
Let A, B, and C be three events. Prove that

P(A ∪ B ∪ C) = P(A) + P(B) + P(C) − P(A ∩ B) − P(A ∩ C) − P(B ∩ C) + P(A ∩ B ∩ C).

10. Random Numbers

A number is selected randomly from the set {1, 2, . . . , 1000}. What is the probability that
(a) it is divisible by 3 but not by 5 ;
(b) it is divisible neither by 3 nor by 5 ?

11. Voting
For a Democratic candidate to win an election, she must win districts I, II, and III. Polls have
shown that the probability of winning I and III is 0.55, losing II but not I is 0.34, and losing II
and III but not I is 0.15. Find the probability that this candidate will win all three districts.
(Draw a Venn diagram.)

12. Boole’s Inequality

Let A1 , A2 , A3 , . . . be a sequence of events of a sample space. Prove that
∞
! ∞
[ X
P An ≤ P(An ).
n=1 n=1

This is called Boole’s inequality.

2
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 2
Conditional Probability and Independence
13. Dice
Suppose that two fair dice have been tossed and the total of their top faces is found to be
divisible by 5. What is the probability that both of them have landed 5 ?

14. Movies
The cinemas of a town are showing seven comedies and nine dramas. Brian has seen five of the
movies. If the first three movies he has seen are dramas, what is the probability that the last
two are comedies ? Assume that Brian chooses the shows at random and sees each movie at
most once.

15. Conditional Probability Properties

Let Ω be the sample space of an experiment, and let B be an event of Ω with P(B) > 0. Prove
that
(a) P(A|B) ≥ 0 for any event A ⊆ Ω ;
(b) P(Ω|B) = 1 ;
(c) If A1 , A2 , . . . is a sequence of mutually exclusive events, then
∞
! ∞
[ X
P Ai |B = P(Ai |B).
i=1 i=1

16. Defective and Nondefective Items

If eight defective and 12 nondefective items are inspected one by one, at random and without
replacement, what is the probability that
(a) the first four items inspected are defective ;
(b) from the first three items at least two are defective ?

17. Credit Rating

Suppose that 75% of all people with credit records improve their credit ratings within three
years. Suppose that 18% of the population at large have poor credit records, and of those only
30% will improve their credit ratings within three years. What percentage of the people who

3
will improve their credit records within the next three years are the ones who currently have
good credit ratings ?

18. Cards
From an ordinary deck of 52 cards, cards are drawn one by one, at random and without
replacement. What is the probability that the fourth heart is drawn on the tenth draw ?
Hint : Let F denote the event that in the first nine draws there are exactly three hearts, and
E be the event that the tenth draw is a heart. Use P(F ∩ E) = P(F )P(E|F ).

19. Proof
(a) Show that if P(A) = 1, then P(A ∩ B) = P(B) ;
(b) Prove that any event A with P(A) = 0 or P(A) = 1 is independent of every event B.

20. More Proofs

(a) Show that if an event A is independent of itself, then P(A) = 0 or 1 ;
(b) Show that if A and B are independent and A ⊆ B, then either P(A) = 0 or P(B) = 1.

21. Matching
A fair die is rolled six times. If on the ith roll, 1 ≤ i ≤ 6, the outcome is i, we say that a match
has occurred. What is the probability that at least one match occurs ?

22. Families
From the set of all families with three children a family is selected at random. Let A be the
event that “the family has children of both sexes" and B be the event that “there is at most
one girl in the family". Are A and B independent ?
Answer the same question for families with two children and families with four children. Assume
that for any family size all sex distributions have equal probabilities.

23. Independent Events

Let {A1 , A2 , . . . , An } be an independent set of events and P(Ai ) = pi , 1 ≤ i ≤ n.
(a) What is the probability that at least one of the events A1 , A2 , . . . , An occurs ?
(b) What is the probability that none of the events A1 , A2 , . . . , An occurs ?

24. Urns and Balls

An urn contains two red and four white balls. Balls are drawn from the urn successively, at
random and with replacement. What is the probability that exactly three whites occur in the
first five trials ?

25. A Before B
Let Ω be the sample space of a repeatable experiment. Let A and B be mutually exclusive
events of Ω. Prove that, in independent trials of this experiment, the event A occurs before the
event B with probability P(A)/(P(A) + P(B)).

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26. Guns
A person has six guns. The probability of hitting a target when these guns are properly aimed
and fired is 0.6, 0.5, 0.7, 0.9, 0.7, and 0.8, respectively. What is the probability of hitting a
target if a gun is selected at random, properly aimed, and fired ?

27. Strokes
Of the patients in a hospital, 20% of those with, and 35% of those without myocardial infarction
have had strokes. If 40% of the patients have had myocardial infarction, what percent of the
patients have had strokes ?

28. Lost Spades

(a) One of the cards of an ordinary deck of 52 cards is lost. What is the probability that a
random card drawn from this deck is a spade ?
(b) Two cards from an ordinary deck of 52 cards are missing. What is the probability that a
random card drawn from this deck is a spade ?
29. Proof
Let B be an event of a sample space Ω with P(B) > 0. For a subset A of Ω, define Q(A) =
P(A|B). By Question 15 we know that Q is a probability function. For E and F , events of Ω
(with P(F ∩ B) > 0), show that Q(E|F ) = P(E|F ∩ B).

30. Another Proof

Let A, B, C ⊆ Ω with P(B) > 0, P(B ∩ C) > 0, and P(B ∩ C c ) > 0. Show that
P(A|B) = P(A|B ∩ C)P(C|B) + P(A|B ∩ C c )P(C c |B).

31. Married on Campus

Suppose that 40% of the students on a campus, who are married to students on the same
campus, are female. Moreover, suppose that 30% of those who are married, but not to students
at this campus, are also female. If one third of the married students on this campus are married
to other students on this campus, what is the probability that a randomly selected married
student from this campus is a woman ?

32. Batteries
Suppose that 10 good and three dead batteries are mixed up. Jack tests them one by one, at
random and without replacement. But before testing the fifth battery he realizes that he does
not remember whether the first one tested is good or is dead. All he remembers is that the last
three that were tested were all good. What is the probability that the first one is also good ?

33. Multiple Choice

On a multiple choice exam with four choices for each question, a student either knows the answer
to a question or marks it at random. If the probability that he or she knows the answers is 2/3,
what is the probability that an answer that was marked correctly was not marked randomly ?

5
34. Cards
A stack of cards consists of six red and five blue cards. A second stack of cards consists of nine
red cards. A stack is selected at random and three of its cards are drawn. If all of them are red,
what is the probability that the first stack was selected ?

35. More Cards

There are three identical cards that differ only in color. Both sides of one are black, both sides
of the second one are red, and one side of the third card is black and its other side is red. These
cards are mixed up and one of them is selected at random. If the upper side of this card is red,
what is the probability that its other side is black ?

36. Horses
There are two stables on a farm, one that houses 20 horses and 13 mules, the other with 25
horses and eight mules. Without any pattern, animals occasionally leave their stables and then
return to their stables. Suppose that during a period when all the animals are in their stables,
a horse comes out of a stable and then returns. What is the probability that the next animal
coming out of the same stable will also be a horse ?

37. Chips
An urn contains five red and three blue chips. Suppose that four of these chips are selected at
random and transferred to a second urn, which was originally empty. If a random chip from
this second urn is blue, what is the probability that two red and two blue chips were transferred
from the first urn to the second urn ?

6
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 3
Random Variables and Distribution Functions
38. More Chips
From an urn that contains five red, five white, and five blue chips, we draw two chips at random.
For each blue chip we win $1, for each white chip we win $2, but for each red chip we lose $3.
If X represents the amount that we either win or we lose, what are the possible values of X
and probabilities associated with them ?

39. Plastic Die

The side measurement of a plastic die, manufactured by factory A, is a random number between
1 and 1.25 centimetres. What is the probability that the volume of a randomly selected die
manufactured by this company is greater than 1.424 ? Assume that the die will always be a
cube.

40. Families
From families with three children a family is chosen at random. Let X be the number of girls
in the family. Calculate and sketch the distribution function of X. Assume that in a three-child
family all gender distributions are equally probable.

41. Distribution Functions

Determine if the following are distribution functions.
(a) 

 0, t<0
FX (t) = t

 , t ≥ 0.
1+t
(b) 
 et


 , t<0
2
FX (t) =


 1−
3e−t

, t ≥ 0.
4

7
42. Random Points
Let X be a randomly selected point from the interval (0, 3). What is the probability that
X 2 − 5X + 6 > 0 ?

43. New Car

Let the time until a new car breaks down be denoted by X, and let

X, if X ≤ 5

Y =
5, if X > 5.

Then Y is the life of the car, if it lasts less than 5 years, and is 5 if it lasts longer than 5 years.
Calculate the distribution function of Y , FY , in terms of FX , the distribution function of X.

44. Minimum Face Value

In the experiment of rolling a fair die twice, let X be the minimum of the two numbers obtained.
Determine the probability mass function and the distribution function of X, and sketch their
graphs.

45. Probability Mass Function

The distribution function of a random variable X is given by


 0, x < −2






 1/2, −2 ≤ x < 2

FX (x) = 3/5, 2≤x<4






 8/9, 4≤x<6



1, x ≥ 6.

Determine the probability mass function of X and sketch its graph.

46. Jury
From 18 potential women jurors and 28 potential men jurors, a jury of 12 is chosen at random.
Let X be the number of women selected. Find the probability mass function of X.

47. First Six

In successive rolls of a fair die, let X be the number of rolls until the first 6 appears. Determine
the probability mass function and the distribution function of X.

8
48. More Probability Mass Functions
For each of the following, determine the value(s) of k for which p is a probability mass function.
Note that in Parts (d) and (e), n is a positive integer.
(a) p(x) = kx, x = 1, 2, 3, 4, 5 ;
(b) p(x) = k(1 + x)2 , x = −2, 0, 1, 2 ;
(c) p(x) = k(1/9)x , x = 1, 2, 3, . . . ;
(d) p(x) = kx, x = 1, 2, 3, . . . , n ;
(e) p(x) = kx2 , x = 1, 2, 3, . . . , n.
Hint : Recall that
Xn
n(n + 1) Xn
n(n + 1)(2n + 1)
i= , i2 = .
i=1 2 i=1 6

49. Soap Opera

The distribution function for the duration of a certain soap opera (in tens of hours) is

 1−
16

, x≥4
F (x) = x2


0, x < 4.
(a) Calculate f , the probability density function of the soap opera.
(b) Sketch the graphs of F and f .
(c) What is the probability that the soap opera takes at most 50 hours ? At least 60 hours ?
Between 50 and 70 hours ? Between 10 and 35 hours ?

50. Tyres
The lifetime of a tyre selected randomly from a used tyre shop is 10,000X kilometres, where X
is a random variable with the density function

2

 , 1<x<2
f (x) = x2


0, elsewhere.
(a) What percentage of the tyres of this shop last fewer than 15,000 kilometres ?
(b) What percentage of those having lifetimes fewer than 15,000 kilometres last between
10,000 and 12,500 kilometres ?
51. Another Density Function
Let X be a continuous random variable with density and distribution functions f and F ,
respectively. Assuming that α ∈ R is a point at which P(X ≤ α) < 1, prove that


 f (x)
, x≥α
h(x) =  1 − F (α)

0, x<α
is also a probability density function.

9
52. Investment
Suppose that the loss in a certain investment, in thousands of dollars, is a continuous random
variable X that has a density function of the form

 k(2x − 3x2 ), −1 < x < 0
f (x) =
 0, elsewhere.

(a) Calculate the value of k.

(b) Find the probability that the loss is at most $500.
53. Convex Combination
Prove that if f and g are two probability density functions, then for α ≥ 0, β ≥ 0, and α+β = 1,
αf + βg is also a probability density function.

54. Fuses
A box contains 20 fuses, of which five are defective. What is the expected number of defective
items among three fuses selected randomly ?

55. Nonexistant Expected Value

P∞
It is well known that x=1 1/x2 = π 2 /6.
(a) Show that p(x) = 6/(πx)2 , x = 1, 2, 3, . . . is the probability mass function of a random
variable X.
(b) Prove that E(X) does not exist.

10
56. Distribution Function
The distribution function of a random variable X is given by


 0, x < −3






 3/8, −3 ≤ x < 0

FX (x) = 1/2, 0≤x<3






 3/4, 3≤x<4



1, x ≥ 4.

Calculate E(X), E(X 2 − 2|X|), and E(X|X|).

57. Children
A newly married couple decides to continue having children until they have one of each sex.
If the events of having a boy and a girl are independent and equiprobable, how many children
should this couple expect ?
P∞
Hint : Note that i=1 iri = r/(1 − r)2 , |r| < 1.

58. Probability Mass Function

(a) Show that
1
p(n) = , n ≥ 1,
n(n + 1)
is a probability mass function.
(b) Let X be a random variable with probability mass function p given in Part (a). Find
E(X).
59. Variance
Find the variance and the standard deviation of a random variable X with distribution function




0, x < −3



 3/8, −3 ≤ x < 0
F (x) = 



3/4, 0≤x<6



1, x ≥ 6.

60. Random Integer

Let X be a random integer from the set {1, 2, . . . , N }. Find E(X), V(X), and σX .

61. Another Variance

Suppose that X is a discrete random variable with E(X) = 1 and E(X(X − 2)) = 3. Find
V(−3X + 5).

11
62. Soap Opera
The distribution function for the duration of a certain soap opera (in tens of hours) is

16

 1− , x≥4
F (x) = x2


0, x < 4.

(a) Calculate E(X).

(b) Show that V(X) does not exist.

63. Aptitude Test

The time it takes for a student to finish an aptitude test (in hours) has the density function

 6(x − 1)(2 − x), 1 < x < 2
f (x) =
 0, otherwise.

Determine the mean and standard deviation of the time it takes for a randomly selected student
to finish the aptitude test.

64. Expected Value

A random variable X has the density function

 3e−3x , x ≥ 0
f (x) =
 0, x < 0.

Calculate E(eX ).

65. Computer Network

Let Y be a continuous random variable with probability distribution function

 e−k(α−y)/A , y ≤ α
F (y) =
 1, y > α,

where A, k, and α are positive constants. (Such distribution functions arise in the study of local
computer network performance.) Find E(Y ).

66. Logarithm of a Random Variable

Let X be a continuous random variable with probability density function

 2/x2 , 1 < x < 2
f (x) =
 0, elsewhere.

Find E(log X).

12
67. Double Exponential Distribution
Let X be a continuous random variable with probability density function

e−|x|
f (x) = , −∞ < x < ∞.
2
Calculate V(X).

68. Absolute Moment

Let X be a discrete random variable. The absolute moment of X of order t is E(|X|t ). If
0 < s < r, show that if the absolute moment of order r of X exists, then the absolute moment
of order s also exists.

69. Recursive Moments

Let X be a continuous random variable with the probability density function

x sin x

 , 0<x<π
f (x) = π


0, otherwise.

Prove that E(X n+1 ) + (n + 1)(n + 2)E(X n−1 ) = π n+1 .

70. Computing Moments using Tail Probabilities

If P(X ≤ 0) = 1 and E[|X|n ] < ∞, show that for n > 0,
Z 0
E[X ] = −n
n
xn−1 FX (x)dx.
−∞

71. Post Office

Suppose that X, the interarrival time between two customers entering a certain post office,
satisfies
P(X > t) = αe−λt + βe−µt , t ≥ 0,
where α + β = 1, α, β ≥ 0, λ, µ > 0. Calculate
(a) E[X] ;
(b) V(X).

72. Bounded Random Variable

Let X be a continuous random variable with set of possible values {x : 0 < x < α} (where
α > 0) and distribution function FX . Using integration by parts, prove that
Z α
E[X] = [1 − FX (x)] dx.
0

13
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 4
Special Probability Distributions
73. Number Plates
In a state where license plates contain six digits, what is the probability that the license number
of a randomly selected car has two 9s ? Assume that each digit of the license number is randomly
selected from {0, 1, . . . , 9}.

74. Nails
A manufacturer of nails claims that only 3% of its nails are defective. A random sample of
24 nails is selected, and it is found that two of them are defective. Is it fair to reject the
manufacturer’s claim based on this observation ? (Hint : assuming 3% of its nails are defective,
is the probability of getting a sample of at least 2 defectives out of 24 small ?)

75. Five Points

From the interval (0, 1), five points are selected at random and independently. What is the
probability that
(a) at least two of them are less than 1/3 ;
(b) the first decimal point of exactly two of them is 3 ?

76. Rare Blood Type

A certain rare blood type can be found in only 0.05% of people. If the population of a randomly
selected group is 3000, what is the probability that at least two persons in the group have this
rare blood type ?

77. Children
A woman and her husband want to have at least a 95% chance for at least one boy and at least
one girl. What is the minimum number of children that they should plan to have ? Assume that
the events that a child is a girl and a boy are equiprobable and independent of the gender of
other children born in the family.

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78. Chuck-a-Luck
A game often played in carnivals and gambling houses is called chuck-a-luck, where a player
bets on any number 1 through 6. Then three fair dice are tossed. If one, two, or all three land
the same number as the player’s, then he or she receives one, two, or three times the original
stake plus his or her original bet, respectively. Otherwise, the player loses his or her stake. Let
X be the net gain of the player per unit of stake. First find the probability mass function of
X ; then determine the expected amount that the player will lose per unit of stake.

79. Aircraft Engines

Suppose that an aircraft engine will fail in flight with probability 1 − p independently of the
plane’s other engines. Also suppose that a plane can complete the journey successfully if at
least half of its engines do not fail. Is it true that a four-engine plane is always preferable to a
two-engine plane ? Explain.

80. Even Number of Successes

What is the probability of an even number of successes in n independent Bernoulli trials ?
Hint : Let rn be the probability of an even number of successes in n Bernoulli trials. By
conditioning on the first trial and using the law of total probability, show that for n ≥ 1,

rn = p(1 − rn−1 ) + (1 − p)rn−1 .

Then prove that rn = 12 (1 + (1 − 2p)n ).

81. Targets
The probability is p that Marty hits target M when he fires at it. The probability is q that
Alvie hits target A when he fires at it. Marty and Alvie fire one shot each at their targets. If
both of them hit their targets, they stop ; otherwise, they will continue.
(a) What is the probability that they stop after each has fired r times ?
(b) What is the expected value of the number of turns taken before the turn where they both
hit the target ?

82. Basketball
A certain basketball player makes a foul shot with probability 0.45. What is the probability
that
(a) his first basket occurs on the sixth shot ?
(b) his first and second baskets occur on his fourth and eighth shots, respectively ?

83. Light Bulbs

The probability is p that a randomly chosen light bulb is defective. We screw a bulb into a lamp
and switch on the current. If the bulb works, we stop ; otherwise, we try another and continue
until a good bulb is found. What is the probability that at least n bulbs were defective ?

15
84. Bridge
On average, how many games of bridge are necessary until a player is dealt three aces ? A bridge
hand is 13 randomly selected cards from an ordinary deck of 52 cards.

85. Senior Citizens

Suppose that 15% of the population of a town are senior citizens. Let X be the number of
nonsenior citizens who enter a mall before the tenth senior citizen arrives. Find the probability
mass function of X. Assume that each customer who enters the mall is a random person from
the entire population.

86. Geometric Distribution

Suppose X = G(p). Calculate the probability that X is even.
d

87. Negative Binomial

For r = 1, 2, . . ., show that, ! !
−r z+r−1
= (−1)z ,
z r−1
using the extended binomial coefficient definition on Slide 166.

88. Negative Binomial Distribution

For r ∈ (0, ∞) and 0 < p ≤ 1, let Z = Nb(r, p). For z = 0, 1, 2 . . ., show that
d

!
−r r
pZ (z) = p (p − 1)z ≥ 0.
z

89. Professors’ Cars

Of the 28 professors in a certain department, 18 drive foreign and 10 drive domestic cars. If five
of these professors are selected at random, what is the probability that at least three of them
drive foreign cars ?

90. Bernoulli Trials

Suppose that independent Bernoulli trials with parameter p are performed successively. Let N
be the number of trials until x successes, and X be the number of successes in the first n trials.
Show that
x
P(N = n) = P(X = x).
n
Remark : By this relation, in coin tossing, for example, we can state that the probability of
getting a fifth head on the seventh toss is 5/7 of the probability of five heads in seven tosses.

91. Charity
In an annual charity drive, 35% of a population of 560 make contributions. If, in a statistical
survey, 15 people are selected at random and without replacement, what is the probability that
at least two persons have contributed ?

16
92. Defective Items
The policy of the quality control division of a certain corporation is to reject a shipment if
more than 5% of its items are defective. A shipment of 500 items is received, 30 of them are
randomly tested, and two have been found defective. Should that shipment be rejected ? That
is, assuming 5% of items are defective, is the probability of getting a sample of at least two
defectives small ?

93. Trout
To estimate the number of trout in a lake, we caught 50 trout, tagged and returned them. Later
we caught 50 trout and found that four of them were tagged. From this experiment estimate
n, the total number of trout in the lake.
Hint : Let pn be the probability of four tagged trout among the 50 trout caught. Find the value
of n that maximizes pn .

94. Annual Income

Suppose that 3% of the families in a large city have an annual income of over $60,000. What
is the probability that, of 60 random families, at most three have an annual income of over
$60,000 ?

95. Misprints
Misprints in a particular book occur independently, and on average, there are three misprints
in every 10 pages. If every chapter of the book contains 35 pages, what is the probability that
Chapters 1 and 5 have 10 misprints each ?

96. No Crimes
In a certain town, crimes occur at a Poisson rate of five per month. What is the probability of
having exactly two months (not necessarily consecutive) with no crimes during the next year ?

97. Bookstore
Customers arrive at a bookstore at a Poisson rate of six per hour. Given that the store opens
at 9 :30am, what is the probability that exactly one customer arrives by 10 :00am and 10
customers by noon ?

98. Lottery Tickets

Suppose that in Melbourne, on a certain day, N lottery tickets are sold and M win, with M/N
very small. To have a probability of at least α of at least one win on that day, approximately
how many tickets should be purchased ?

17
99. Poisson Distribution
Let X be a Poisson random variable with parameter λ. Show that the maximum of P(X = i)
occurs at bλc, where bλc is the greatest integer less than or equal to λ.
Hint : Let pX be the probability mass function of X. Prove that
λ
pX (i) = pX (i − 1).
i
Use this to find the values of i at which p is increasing and the values of i at which it is
decreasing.

100. Line Segment

A point is selected at random on a line segment of length l. What is the probability that
(a) the longer segment is at least twice as long as the shorter segment ?
(b) What is the probability that none of the two segments is smaller than l/3 ?
101. Random Angle
Let Θ be a random number between −π/2 and π/2. Find the probability density function of
X = tan Θ

102. Expectation of a Logarithm

Let X be a uniform random variable over the interval (0, 1). Calculate E(− log X).

103. Chicken Pen

A farmer who has two pieces of lumber of lengths a and b (a < b) decides to build a pen in
the shape of a triangle for his chickens. He sends his foolish son out to cut the longer piece and
the boy, without taking any thought as to the ultimate purpose, makes a cut on the lumber of
length b, at a point selected randomly. What are the chances that the two resulting pieces and
the piece of length a can be used to form a triangular pen ?
Hint : Three segments form a triangle if and only if the length of any one of them is less than
the sum of the lengths of the remaining two.

104. Heart Attack

The time between the first and second heart attacks for a certain group of people is an expo-
nential random variable. If 50% of those who have had a heart attack will have another one
within the next five years, what is the probability that a person who had one heart attack five
years ago will not have another one in the next five years ?

105. Exponential Random Variable

Let X be an exponential random variable with parameter λ. Find
P (|X − E(X)| ≥ 2σX ) .

18
106. Telephone Call
Mr. Jones is waiting to make a phone call at a train station. There are two public telephone
booths next to each other, occupied by two persons, say A and B. If the duration of each
telephone call is an exponential random variable with λ = 1/8, what is the probability that
among Mr. Jones, A, and B, Mr. Jones will not be the last to finish his call ?

107. Double Exponential Random Variable

The random variable X is called double exponentially distributed if its density function is given
by
f (x) = ce−|x| , −∞ < x < ∞.
(a) Find the value of c ;
(b) Prove that E(X 2n ) = (2n)! and E(X 2n+1 ) = 0.

108. Radio Tubes

Let X, the lifetime (in years) of a radio tube, be exponentially distributed with mean 1/λ.
Prove that bXc, the integer part of X, which is the complete number of years that the tube
works, is a geometric random variable.

109. Gamma Distribution

Let X = γ(r, α). If c > 0, show that cX = γ(r, α/c).
d d

110. Defective Light Bulbs

A manufacturer produces light bulbs at a Poisson rate of 200 per hour. The probability that a
light bulb is defective is 0.015. During production, the light bulbs are tested one by one, and
the defective ones are put in a special can that holds up to a maximum of 25 light bulbs. On
average, how long does it take until the can is filled ?

111. Born on Christmas Day

A small college has 1095 students. What is the approximate probability that more than five
students were born on Christmas day ? Assume that the birthrates are constant throughout the
year and that each year has 365 days.

112. Beta Mean and Variance

Let X = Beta(α, β). Calculate E[X] and V(X).
d

19
113. Beta Random Variable
For which value of c is the following a probability density function of some random variable
X ? Find E[X] and V(X).

 cx4 (1 − x)5 , 0 < x < 1
f (x) =
 0, otherwise.

114. Blood Pressure Medicines

Suppose that new blood pressure medicines introduced are effective on 100P % of the patients,
where P is beta random variable with parameters α = 20 and β = 13. What is the probability
that a new blood pressure medicine is effective on at least 60% of the hypertensive population ?

115. Resistors
The proportion of resistors a procurement office of an engineering firm orders every month,
from a specific vendor, is a beta random variable with mean 1/3 and variance 1/18. What is
the probability that next month, the procurement office orders at least 7/12 of its purchase
from the vendor ?

116. Pareto Random Variable

Let X = Pareto(α, γ). Find the distribution function FX , and then calculate E[X] and V(X).
d

117. Pareto Random Variable

Let X = Pareto(α, γ). Evaluate E[X n ] and state the values of n for which it is defined.
d

118. Newspaper Subscribers

The ages of subscribers to a certain newspaper are normally distributed with mean 35.5 years
and standard deviation 4.8. What is the probability that the age of a random subscriber is
(a) more than 35.5 years ;
(b) between 30 and 40 years ?

119. IQ
Suppose that the IQ of a randomly selected student from a university is normal with mean 110
and standard deviation 20. Determine the interval of values that is centered at the mean and
includes 50% of the IQs of the students at that university.

120. Manual Dexterity

Suppose that the scores on a certain manual dexterity test are normal with mean 12 and
standard deviation 3. If eight randomly selected individuals take the test, what is the probability
that none will make a score less than 14 ?

20
121. Normal Density Function
Determine the value(s) of k for which the following is the probability density function of a
normal random variable.
√ 2 2
f (x) = ke−k x −2kx−1 , −∞ < x < ∞.

122. Density Function of Y

q
Let X = N(0, 1). Calculate the density function of Y =
d
|X|.

123. Another Normal Density Function

2
Prove that for some constant k, f (x) = ka−x , a ∈ (1, ∞), is a normal probability density
function.

124. Skeletons
At an archaeological site 130 skeletons are found and their heights are measured and found to
be approximately normal with mean 172 centimetres and standard deviation 9 centimetres. At
a nearby site, five skeletons are discovered and it is found that the heights of exactly three of
them are above 185 centimetres. Based on this information is it reasonable to assume that the
second group of skeletons belongs to the same family as the first group of skeletons ?

125. Weibull Mean and Variance

Let X = Weibull(β, γ). Calculate E[X] and V(X).
d

126. Weibull and exponential

Let X = Weibull(β, γ) and Y = [X/β]γ , derive the pdf of Y .
d

127. Exponential of a Random Variable

Let X be a continuous random variable with distribution function F and density function f .
Calculate the density function, g, of the random variable Y = eX .

128. Logarithm of a Random Variable

Let X be a continuous random variable with the density function

 3e−3x , x > 0
f (x) =

0, x ≤ 0.

Find the probability density function of Y = log2 X.

129. Log of a Pareto Random Variable

Let X = Pareto(α, γ). Find the distribution and density functions of Y = log X.
d

21
130. Square of a Random Variable
Let f be the probability density function of a random variable X. In terms of f , calculate the
probability density function of Y = X 2 , g.

131. Reciprocal of a Random Variable

Let X be a random variable with the probability density function given by

 e−x , x ≥ 0
f (x) =

0, x < 0.

Let 
 X, if X ≤ 1
Y =

1/X, if X > 1.
Find the probability density function of Y .

132. Transformation by ψ(x) = min(x, M )

Let X = exp(1), find the cdf of Y = min(X, 5) and derive E(Y ) and V(Y ).
d

133. Lognormal Distribution

Let X be a lognormal random variable with parameters µ and σ 2 .
(a) Find E(X r ) ;
(b) Calculate E(X) and V(X).

134. Large Fires

In 1977 a British researcher demonstrated that if X is the loss from a large fire, then X is
a lognormal random variable. Suppose that the expected loss due to fire in the buildings of
a certain industry, in thousands of dollars, is 120 with standard deviation 36. What is the
probability that the loss from a fire in such an industry is less than $100,000 ?

22
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 5
Bivariate Random Variables
135. Joint Distribution
Let the joint probability mass function of discrete random variables X and Y be given by

 c(x + y), if x = 1, 2, 3, y = 1, 2
p(x, y) =

0, otherwise.

Determine
(a) the value of the constant c ;
(b) the marginal probability mass functions of X and Y ;
(c) P(X ≥ 2|Y = 1) ;
(d) E(X) and E(Y ).

136. Another Joint Distribution

Let the joint probability mass function of discrete random variables X and Y be given by

x2 + y 2

 , if x = 1, 2, y = 0, 1, 2
p(x, y) = 25


0, otherwise.

Find
(a) P(X > Y ) ;
(b) P(X + Y ≤ 2) ;
(c) P(X + Y = 2).

137. Cards
From an ordinary deck of 52 cards, seven cards are drawn at random and without replacement.
Let X and Y be the number of hearts and the number of spades drawn, respectively.
(a) Find the joint probability mass function of X and Y ;
(b) Calculate P(X ≥ Y ).

23
138. Marginal Densities
Let the joint probability density function of random variables X and Y be given by

 8xy, if 0 ≤ y ≤ x ≤ 1
f (x, y) = 
0, elsewhere.
(a) Calculate the marginal probability density functions of X and Y ;
(b) Calculate E(X) and E(Y ).
139. Probability Calculations
Let the joint probability density function of random variables X and Y be given by

 1, if 0 ≤ x ≤ 1, 0≤y≤1
f (x, y) =

0, elsewhere.
Calculate
(a) P(X + Y ≤ 1/2) ;
(b) P(X − Y ≤ 1/2) ;
(c) P(XY ≤ 1/4) ;
(d) P(X 2 + Y 2 ≤ 1).
140. Line Segment
On a line segment AB of length l, two points C and D are placed at random and independently.
What is the probability that C is closer to D than to A ?

141. Expected Values

Let X and Y be two continuous random variables with finite expectations. Show that if P(X ≤
Y ) = 1, then E(X) ≤ E(Y ).

142. Cards
From an ordinary deck of 52 cards, eight cards are drawn at random and without replacement.
Let X and Y be the number of clubs and spades, respectively. Are X and Y independent ?

143. Maximum and Minimum of X and Y

Let X and Y be two independent random variables with distribution functions F and G,
respectively. Find the distribution functions of U = max(X, Y ) and V = min(X, Y ).

144. Independent or Not

Let the joint probability density function of random variables X and Y be given by

 8xy, if 0 ≤ y ≤ x ≤ 1
f (x, y) =

0, elsewhere.
Determine if E(XY ) = E(X)E(Y ).

24
145. Probability Density of X/Y
Let X and Y be two independent random variables with the same probability density function
given by  −x
 e , if 0 < x < ∞
f (x) =

0, elsewhere.
Show that g, the probability density function of X/Y , is given by

1
2 , if 0 < t < ∞


g(t) =  (1 + t)

0, t ≤ 0.

146. Expected Value of Maximum and Minimum

Let X and Y be independent random points from the interval (−1, 1). Find E(max(X, Y )) and
E(min(X, Y ))

147. Product of Two Functions

For x, y ∈ R, let the joint probability density function of two random variables X and Y satisfy
f(X,Y ) (x, y) = g(x)h(y),
where g and h are two functions from R to R. Show that X and Y are independent.

148. Conditional Density Function

Let the joint probability density function of continuous random variables X and Y be given by

 2, if 0 < x < y < 1
f (x, y) =
 0, elsewhere.
Find fX|Y (x|y).

149. Conditional Probability

Let the conditional probability density function of X given that Y = y be given by
3(x2 + y 2 )
fX|Y (x|y) = , 0 < x < 1, 0 < y < 1.
3y 2 + 1
Find P(1/4 < X < 1/2|Y = 3/4).

150. Another Conditional Density Function

Let the joint probability density function of continuous random variables X and Y be given by

 x + y, if 0 ≤ x ≤ 1, 0≤y≤1
f (x, y) = 
0, elsewhere.
Find fX|Y (x|y).

25
151. Random Points
First a point Y is selected at random from the interval (0, 1). Then another point X is selected
at random from the interval (Y, 1). Find the probability density function of X.

152. Conditional Mean and Variance

Let the joint probability density function of continuous random variables X and Y be given by

 ce−x , if x ≥ 0, |y| < x
f (x, y) = 
0, elsewhere.

(a) Determine the constant c ;

(b) Find fX|Y (x|y) and fY |X (y|x) ;
(c) Calculate E(Y |X = x) and V(Y |X = x).

153. Yet Another Conditional Density Function

A point is selected at random and uniformly from the region R = {(x, y) : |x| + |y| ≤ 1} . Find
the conditional probability density function of X given Y = y.

154. Sum of Two Random Numbers

From the interval (0, 1), two random numbers are selected independently. Show that the pro-
bability density function of their sum is given by



 t, if 0 ≤ t < 1

g(t) = 2 − t, if 1 ≤ t < 2



 0, otherwise.

26
155. Conditional Probability
Let −1/9 < c < 1/9 be a constant. Let p(X,Y ) (x, y), the joint probability mass function of the
random variables X and Y , be given by the following table
y
x −1 0 1
−1 1/9 1/9 − c 1/9 + c
0 1/9 + c 1/9 1/9 − c
1 1/9 − c 1/9 + c 1/9
(a) Show that the probability mass function of X + Y is the convolution function of the
probability mass functions of X and Y for all c.
(b) Show that X and Y are independent if and only if c = 0.
156. Conditional Mean and Variance
Let the joint probability density function of random variables X and Y be given by

 2e−(x+2y) , if x ≥ 0, y≥0
f (x, y) =
 0, elsewhere.
Find
(a) E(X) ;
(b) E(Y ) ;
(c) E(X 2 + Y 2 ).
157. Letters
An absentminded professor wrote n letters and sealed them in envelopes without writing the
addresses on the envelopes. Having forgotten which letter he had put in which envelope, he
wrote the n addresses on the envelopes at random. What is the expected number of the letters
addressed correctly ?
Hint : For i = 1, 2, . . . , n, let

1, if the ith letter is addressed correctly

Xi = 
0, otherwise.
Calculate E(X1 + X2 + . . . + Xn ).

158. Empty Boxes

Suppose that 80 balls are placed into 40 boxes at random and independently. What is the
expected number of empty boxes ?
Hint : For i = 1, 2, . . . , 40, let

 1, if the ith box is empty
Xi =
 0, otherwise.
Calculate E(X1 + X2 + . . . + X40 ).

27
159. X and Y
Let X and Y be nonnegative random variables with an arbitrary joint probability distribution
function. Let 
 1, if X > x, Y >y
I(x, y) =
 0, otherwise.
(a) Show that Z ∞Z ∞
I(x, y)dxdy = XY.
0 0

(b) Prove that Z ∞Z ∞

E(XY ) = P(X > x, Y > y)dxdy.
0 0

160. Discrete Random Variable

Let N be a discrete random variable with set of possible values {1, 2, 3, . . .}. Prove that
∞
X
E(N ) = P(N ≥ i).
i=1

Hint : For i = 1, 2, . . ., let 

 1, if N ≥ i
Xi =
 0, otherwise.
Then show that ∞
X
N= Xi .
i=1

161. Covariance
Let the joint probability mass function of random variables X and Y be given by

 x(x + y)
 , if x = 1, 2, 3, y = 3, 4
p(x, y) = 70


0, elsewhere.
Find Cov(X, Y ).

162. Covariance Proofs

For random variables X, Y , and Z, prove that
(a) Cov(X + Y, Z) = Cov(X, Z) + Cov(Y, Z) ;
(b) Cov(X, Y + Z) = Cov(X, Y ) + Cov(X, Z).
163. More Covariance Proofs
For random variables X, and Y , prove that
(a) Cov(X + Y, X − Y ) = V(X) − V(Y ) ;
(b) V(X − Y ) = V(X) + V(Y ) − 2Cov(X, Y ).

28
164. Independent and/or Uncorrelated ?
Let X and Y be the coordinates of a random point selected uniformly from the unit disk
{(x, y) : x2 + y 2 ≤ 1}. Are X and Y independent ? Are they uncorrelated ? Why or why not ?

165. Investment
Mr. Ingham has invested money in three assets ; 18% in the first asset, 40% in the second
one, and 42% in the third one. Let r1 , r2 , and r3 be the annual rate of returns for these three
investments, respectively. For 1 ≤ i, j ≤ 3, Cov(ri , rj ) is the entry in the ith row and the j th
column of the following table. (Note that V(ri ) = Cov(ri , ri ).)

r1 r2 r3
r1 0.064 0.03 0.015
r2 0.03 0.0144 0.021
r3 0.015 0.021 0.01

Find the standard deviation of the annual rate of return for Mr. Ingham’s total investment.

166. Covariance of Linear Combinations

Let X1 , X2 , . . . , Xn , Y1 , Y2 , . . . , Ym be random variables, and a1 , a2 , . . . , an , b1 , b2 , . . . , bm be
constants. Prove that
n m
! n X
m
X X X
Cov ai X i , bj Y j = ai bj Cov (Xi , Yj ) .
i=1 i=1 i=1 i=1

167. Variance of a Linear Combination

Let X1 , X2 , . . . , Xn be random variables, and a1 , a2 , . . . , an be constants. Prove that
n
! n n X
X X X
V ai X i = a2i V(Xi ) + 2 ai aj Cov (Xi , Xj ) .
i=1 i=1 i=1 j>i

168. Correlation
Let X and Y be jointly distributed with ρ(X, Y ) = 1/2, σX = 2, and σY = 3. Find V(2X − 4Y + 3).

169. Broken Stick

A stick of length 1 is broken into two pieces at a random point. Find the correlation coefficient
and the covariance of these pieces.

170. Uncorrelated Result

Prove that if Cov(X, Y ) = 0, then
V(X) − V(Y )
ρ(X + Y, X − Y ) = .
V(X) + V(Y )

29
171. No Linear Relation
Show that if the joint probability density function of X and Y is given by

sin(x + y)
 , if 0 ≤ x ≤ π2 , 0 ≤ y ≤ π
f (x, y) =  2 2

0, otherwise,

then there exists no linear relation between X and Y .

172. Two Successive Tails

A fair coin is tossed until two tails occur successively. Find the expected number of the tosses
required.
Hint : Let
M := min{i : ith toss is a head},
find the distribution of M and then condition on M .

173. Mixture of Two Random Variables

For given independent random variables Y and Z, let

Y, with probability p
X=
Z, with probability 1 − p.

Find E(X) in terms of E(Y ) and E(Z).

174. Verification
Let X and Y be continuous random variables with joint probability density function

3(x2 + y 2 )
 , if 0 < x < 1, 0 < y < 1
f (x, y) =  2

0, otherwise.

Verify that E[X] = E[E[X|Y ]].

175. Eggs Hatching

Suppose an insect lays N eggs where N = Pn(λ). Suppose each egg, independently, has a
d

probability of p of hatching. Let X be the number of eggs that hatch. Evaluate E[X] and V(X),
and deduce the distribution of X.

176. Electronic Components

Suppose a machine produces N electronic components each day where N = Bi(m, q). Suppose
d

each component, independently, has a probability of p of working. Let Y be the number of

components that work. Evaluate E[Y ] and V(Y ), and deduce the distribution of Y .

30
177. Consecutive Zeros
What is the expected number of random digits that should be generated to obtain three conse-
cutive zeros ?
Hint : Let
M := min{i : ith digit is nonzero},
find the distribution of M and then condition on M .

178. Fishing
A fisherman catches fish in a large lake with lots of fish, at a Poisson rate of two per hour. If,
on a given day, the fisherman spends randomly anywhere between 3 and 8 hours fishing, find
the expected value and the variance of the number of fish he catches.

179. Wallets
Suppose that X and Y represent the amount of money in the wallets of players A and B,
respectively. Let X and Y be jointly uniformly distributed on the unit square [0, 1] × [0, 1]. A
and B each places his wallet on the table. Whoever has the smallest amount of money in his
wallet wins all the money in the other wallet. Let WA be the amount of money that player A
will win. Show that E(WA ) = 0.

180. Heights
Let X be the height of a man and Y the height of his daughter (both in centimetres). Suppose
that the joint probability density function of X and Y is bivariate normal with the following
parameters : µX = 180, µY = 152, σX = 7.6, σY = 6.9, and ρ = 0.45. Find the probability that
the height of the daughter, of a man who is 178 centimetres tall, is at least 150 centimetres.

181. Bivariate Normal

The joint probability density function of X and Y is bivariate normal with µX = µY = 0, σX =
σY = 9, and ρ = 0. Find
(a) P(X ≤ 6, Y ≤ 12) ;
(b) P(X 2 + Y 2 ≤ 36)
Hint : use polar coordinates.

182. Grade Point Average

At a certain university, the joint probability density function of X and Y , the grade point
averages of a student in his or her first and second years, respectively, is bivariate normal. From
the grades of past years it is known that µX = 60%, µY = 50%, σX = 10%, σY = 8%, and
ρ = 0.4. Find the probability that a student with grade point average 70% in his or her first
year will earn a grade point average of at least 64% in his or her senior year.

183. Approximating Means and Variances

For each of the following using Taylor series approximate E[Y ] and V(Y ).
(a) Let X = R(0, 1) and Y = sin X.
d

31
(b) Let X = exp(2) and Y = log X.
d

 
1
(c) Let X = G and Y = X 2 .
d
3

32
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 6
Sums of Independent Random Variables/Limit Theorems
184. Chebyshev’s Inequality
Let X be a nonnegative random variable with E(X) = 5 and E(X 2 ) = 42. Find an upper bound
for P(X ≥ 11) using Chebyshev’s inequality.

185. Accidents
Suppose that the average number of accidents at an intersection is two per day. Let the variance
of the number of accidents be two. Use Chebyshev’s inequality to find a bound on the probability
that tomorrow at least five accidents will occur.

186. IQ Scores
The average IQ score on a certain campus is 110. If the variance of these scores is 15, what can
be said about the percentage of students with an IQ above 140 ?

187. Chebyshev’s Inequality Again

Suppose that X is a random variable with E(X) = V(X) = µ. What does Chebyshev’s inequa-
lity say about P(X > 2µ) ?

188. Multiple Choice

In a multiple-choice test with false answers receiving negative scores, the mean of the grades
of the students is 0 and its standard deviation is 15. Find an upper bound for the probability
that a student’s grade is at least 45.

189. Probability Generating Function

The probability generating function for a discrete random variable X is given by

PX (z) = 0.3 + 0.2z + 0.1z 2 + 0.4z 3 .

(a) Write down the probability mass function for X ;

(b) Using the probability generating function, calculate E(X) and V(X) ;
(c) Write down the probability generating function for Y = X 3 .

33
190. Sum of Negative Binomial Random Variables
For i = 1, 2, . . . , n, let Xi = Nb(ri , p), where the Xi s are independent, the ri s are positive real
d

numbers, and 0 < p < 1. If

X = X1 + X2 + . . . Xn ,
write down the probability generating function for X.

191. Random Sum

Let {Xn } be a sequence of independent and identically-distributed random variables whose
values are nonnegative integers, and N a random variable whose values are also nonnegative
integers which is independent of {Xn }. Let
N
X
SN = Xi .
i=1

Denote by PN (z) and PX (z) the probability generating functions of N and the Xi s, respectively.
Show that the probability generating function of SN is given by
PSN (z) = PN (PX (z)),
for z ∈ [0, 1].

192. Binomial Sum

Let Y = X1 + X2 + . . . + XN where N = Bi(n, p), Xi = Bi(m, q), and N, X1 , X2 , . . . are
d d

independent.
(a) Find PY |N (z), the conditional probability generating function of Y given N , and state the
values of z for which it is defined ;
(b) Find PY (z), the probability generating function of Y , and state the values of z for which
it is defined ;
(c) Using PY (z), evaluate E(Y ).
193. Continuous Density Function
Let X be a continuous random variable with probability density function f (x) = 2x, if 0 ≤ x ≤
1, zero elsewhere. Find the moment generating function of X.

194. Uniform Random Variable

Let X be a uniform random variable over the interval (a, b). Find the moment generating
function of X.

195. Probability Mass Function

Let
6
1 X
MX (t) = nent .
21 n=1
Find the probability mass function of X.

34
196. Linear Function
Let MX (t) = 1/(1 − t), t < 1 be the moment generating function of a random variable X. Find
the moment generating function of the random variable Y = 2X + 1.

197. Moments
Suppose that the moment-generating function of X is given by

et + e−t 2
MX (t) = + , −∞ < t < ∞.
6 3
Find E(X r ), r ≥ 1.

198. Constant Random Variable

Suppose that for a random variable X, E(X n ) = 2n , n = 1, 2, 3, . . .. Calculate the moment
generating function and the probability mass function of X.

199. Cumulant generating function for Poisson

Calculate the cumulant generating function of X = Poisson(λ) and then find its skewness
d

coefficient and kurtosis coefficient.

200. Cumulant generating function for exponential

Derive the cumulant generating function of X = exp(λ) and use the cgf to compute its skewness
d

coefficient and kurtosis coefficient.

201. Inversion formula for Laplace transform

(
0.5e−x + e−2x , x ≥ 0,
For random variable X having pdf of the form fX (x) = calculate the
0, x < 0,
Laplace transform of X and use the inversion formula for Laplace transforms to derive the cdf
of X.

202. Recognising Distributions

In each of the following cases MX (t), the moment generating function of X, is given. Determine
the distribution of X.
!7
et + 3
(a) MX (t) = ;
4
1
(b) MX (t) = ;
2 − et
 r
2
(c) MX (t) = ;
2−t
(d) MX (t) = exp (3et − 3).

35
203. Poisson Probability
Let X, Y , and Z be three independent Poisson random variables with parameters λ1 , λ2 , and
λ3 , respectively. For y = 0, 1, 2, . . . , t, calculate P(Y = y|X + Y + Z = t).

204. Linear Combination of Normals

For i = 1, 2, . . . , n, let X1 , X2 , . . . , Xn be independent random variables such that Xi =
d

N (µi , σi2 ). Then for constants α1 , α2 , . . . , αn , show that

n n n
!
X X X
αi Xi = N αi2 σi2
d
α i µi ,
i=1 i=1 i=1

205. Independent Normals

Let X = N (1, 2) and Y = N (4, 7) be independent random variables. Find the probability of
d d

the following events

(a) X + Y > 0 ;
(b) X − Y < 2 ;
(c) 3X + 4Y > 20.

206. IQ
The distribution of the IQ of a randomly selected student from a certain college is N (110, 16).
What is the probability that the average of the IQs of 10 randomly selected students from this
college is at least 112 ?

207. Achievement Test

For the scores on an achievement test given to a certain population of students, the expected
value is 500 and the standard deviation is 100. Let X̄ be the mean of the scores of a random
sample of 35 students from the population. Estimate P(460 < X̄ < 540).

208. Credit Card

Each time that Jim charges an item to his credit card, he rounds the amount to the nearest
dollar in his records. If he has used his credit card 300 times in the last 12 months, what is the
probability that his record differs from the total expenditure by, at most, 10 dollars ?
Hint : For i = 1, 2, . . . , 300, let Xi be the be the amount of the ith expenditure minus Jim’s ith
d  
record. Then Xi ≈ R − 12 , 12 .

36
209. Party Guests
Suppose that, whenever invited to a party, the probability that a person attends with his or her
guest is 1/3, attends alone is 1/3, and does not attend is 1/3. A company has invited all 300 of
its employees and their guests to a Christmas party. What is the probability that at least 320
will attend ?
Hint : For i = 1, 2, . . . , 300, let Xi = 0 if employee i does not attend ; Xi = 1 if employee i
attends alone ; Xi = 2 if employee i attends with a guest.

210. Heads Before Tails

A fair coin is tossed successively. Using the central limit theorem, find an approximation for
the probability of obtaining at least 25 heads before 50 tails.
Hint : For i = 1, 2,. . . , 50, let Xi be the number of heads between the (i − 1)th and the ith
tails. Then Xi = G 21 .
d

211. Poisson Identity

Let {X1 , X2 , . . .} be a sequence of independent Poisson random variables, each with parameter
1. By applying the central limit theorem to this sequence, prove that

1 X n
nk 1
lim = .
n→∞ en
k=0 k! 2
P
Hint : Let Yn = ∞ i=0 Xi . Write down the exact expression for P(Yn ≤ n), and the approximate
expression using a normal approximation. They will be equal in the limit by the central limit
theorem.

37
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 7
Stochastic Processes
212. Wire
A wire manufacturing company has inspectors to examine the wire for fractures as it comes
out of a machine. The number of fractures is distributed in accordance with a Poisson process,
having one fracture on the average for every 60 metres of wire. One day an inspector has to
take an emergency phone call and is missing from his post for ten minutes. If the machine turns
out 7 metres of wire per minute, what is the probability that the inspector will miss more than
one fracture ?

213. Even and Odd Numbers of Events

Let {N (t), t ≥ 0} be a Poisson process with rate λ. What is the probability of an
(a) an even number of events in (t, t + α) ;
(b) odd number of events in (t, t + α) ?

214. Trees
In a forest, the number of trees that grow in a region of area R has a Poisson distribution with
mean λR, where λ is a given positive number.
(a) Find the probability that the distance from a certain tree to the nearest tree is more than
d.
(b) Find the probability that the distance from a certain tree to the nth nearest tree is more
than d.

215. Poisson Process

For a Poisson process with parameter λ, show that, for all  > 0,
  !
 N (t) 
 
P 
 t
− λ ≥  → 0,

as t → ∞. This shows that, for a large t, N (t)/t is a good estimate for λ.

216. Bank
Customers arrive at a bank at a Poisson rate of λ. Let M (t) be the number of customers who
enter the bank by time t only to make deposits to their accounts. Suppose that, independent of

38
other customers, the probability is p that a customer enters the bank only to make a deposit.
Show that {M (t) : t ≥ 0} is a Poisson process with parameter λp.

217. Absorbing Markov Chain

Let {Xn : n = 0, 1, . . .} be a Markov chain with state space {1, 2, 3} and transition probability
matrix  
1/2 1/4 1/4
 

P =  2/3 1/3 0 
.
 
0 0 1
Starting from state 1, what is the probability that the process never enters state 2 ?

218. Die
A fair die is tossed repeatedly. The maximum of the first n outcomes is denoted by Xn . Is
{Xn : n = 1, 2, . . .} a Markov chain ? Why or why not ? If it is a Markov chain, calculate its
transition probability matrix.

219. Trout
An observer at a lake notices that when fish are caught, only 1 out of 9 trout is caught after
another trout, with no other fish between, whereas 10 out of 11 nontrout are caught following
nontrout, with no trout between. Assuming that all fish are equally likely to be caught, what
fraction of fish in the lake is trout ?

220. Emmett
On a given day, Emmett drives to work (state 1), takes the train (state 2), or hails a taxi (state
3). Let Xn = 1 if he drives to work on day n, Xn = 2 if he takes the train on day n, and
Xn = 3 if he hails a taxi on that day. Suppose that {Xn : n = 1, 2, . . .} is a Markov chain, and
depending on how Emmett went to work the previous day, the probability of choosing any one
of the means of transportation is given by the transition probability matrix
 
1/6 2/3 1/6
 

P =  1/2 1/3 1/6 
.
 
2/5 1/2 1/10
(a) Given that Emmett took the train today and every day in the last five days, what is the
probability that he will not take the train to work tomorrow ?
(b) If Emmett took the train to work today, what is the probability that he will not take the
train to work tomorrow and the day after tomorrow ?
221. Product of Transition Matrices
Show that if P and Q are two transition probability matrices with the same number of rows,
and hence columns, then P Q is also a transition probability matrix. Note that this implies that
if P is a transition probability matrix, then so is P n for any positive integer n.

39
222. Vacation
On a given vacation day, a sportsman either goes horseback riding (activity 1), or sailing
(activity 2), or scuba diving (activity 3). For 1 ≤ i ≤ 3, let Xn = i, if the sportsman devotes
vacation day n to activity i. Suppose that {Xn : n = 1, 2, . . .} is a Markov chain, and depending
on which of these activities the sportsman chooses on a certain vacation day, the probability
of engagement in any one of the activities on the next vacation day is given by the transition
probability matrix  
0.20 0.30 0.50
 
P = 
 0.32 0.15 0.53  .
 
0.60 0.13 0.27
We know that the sportsman did not go scuba diving on the first day of his vacation, and it
was equally likely that he went either riding or sailing on the first day. What is the probability
that he did not go scuba diving on the second and third vacation days either ?

223. Another Vacation

On a given vacation day, Francesco either plays golf (activity 1) or tennis (activity 2). For
i = 1, 2, let Xn = i, if Francesco devotes vacation day n to activity i. Suppose that {Xn :
n = 1, 2, . . .} is a Markov chain, and depending on which of the two activities he chooses on
a certain vacation day, the probability of engagement in any one of the activities on the next
vacation day is given by the transition probability matrix
 
0.30 0.70
P = .
0.58 0.42

Find the long-run probability that, on a randomly selected vacation day, Francesco plays tennis.

40
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 1 Answers
Axioms of Probability
1. Sample Space
Denote the dictionaries by d1 , d2 ; the third book by a.
The answers are {d1 d2 a, d1 ad2 , d2 d1 a, d2 ad1 , ad1 d2 , ad2 d1 } and {d1 d2 a, ad1 d2 }.

2. Events
If E or F occurs, then G occurs; If G occurs, then E and F occur.

3. More Events
If B = ∅, the relation is obvious; To show the reverse implication, let A = Ω to show that
B = ∅.

4. Cards
∞
[
(a) An ;
n=1

37
[
(b) An .
n=1

5. Event Identities

(a) Let x ∈ (A\(A ∩ B)) ∪ B and show that x ∈ A ∪ B, which shows (A\(A ∩ B)) ∪ B ⊆ A ∪ B.
Similarly show that (A\(A ∩ B)) ∪ B ⊇ A ∪ B

(b) Use the method explained for Part (a).

6. Infinite Sequence of Sets

Let B1 = A1 , B2 = A2 \A1 , B3 = A3 \(A1 ∪ A2 ), . . . , Bn = An \∪n−1
i=1 Ai , . . . .

7. Hiring
7/15 or 3/8, depending on your interpretation of the question.

41
8. Probability Statements

(a) False. Consider rolling a die to give a counterexample;

(b) False. Consider rolling a die to give a counterexample.

9. Probability Identity
Apply property (9) on Slide 37 twice.

10. Random Numbers

(a) 267/1000;

(b) 533/1000.

11. Voting
A Venn diagram shows that the answer is 0.36.

12. Boole’s Inequality

Define the sequence of mutually exclusive events B1 , B2 , B3 , . . . as in the solution to Question

6, and use the fact, for n ≥ 1, Bn ⊆ An .

42
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 2 Answers
Conditional Probability and Independence
13. Dice

1/7

14. Movies
7



13
2
/ 2
= 0.269

15. Conditional Probability Properties

(a) Use the definition of conditional probability;

(b) Use the definition of conditional probability;

(c) Use the definition of conditional probability and Axiom 3.

16. Defective and Nondefective Items

(a) 0.0144;

(b) 0.344.

17. Credit Rating

92.8%

18. Cards
(133)(396) 10
× 43 = 0.059
(529)

19. Proof

(a) Use Property (9) on Slide 37;

(b) For the case when P(A) = 0 use the definition of independence; For the case when
P(A) = 1 use Part (a) and the definition of independence.

43
20. More Proofs
(a) Use the definition of independence;

(b) Recognise that if A ⊆ B, then P(A∩B) = P(A). Then use the definition of independence.

21. Matching
1 − (5/6)6 = 0.6651

22. Families
A and B are independent when there are three children, but not independent when there are
two or four children.

23. Independent Events

(a) 1 − (1 − p1 )(1 − p2 ) . . . (1 − pn );

(b) (1 − p1 )(1 − p2 ) . . . (1 − pn ).

24. Urns and Balls

5

2
3 1
2
3 3 3
= 0.329

25. A Before B
Let P(A) = p and P(B) = q. Define An to be the event that neither A nor B occurs in the first
n trials, but A occurs on the nth trial. Calculate P (∪∞
n=1 An ).

26. Guns
0.7

27. Strokes
29%

28. Lost Spades

(a) Condition on the two events: a spade is missing, a spade is not missing. The answer is
1/4;

(b) Condition on the three events: two spades are missing, one spade is missing, no spade is
missing. The answer is 1/4;

29. Proof
Use the definition of conditional probability.

44
30. Another Proof
Use the definition of conditional probability and the law of total probability.

31. Married on Campus

Use the result from Question 31. The answer is 1/3.

32. Batteries
7/10

33. Multiple Choice

8/9

34. Cards
4/37

35. More Cards

1/3

36. Horses
205/297 = 0.69

37. Chips
4/7 = 0.571

45
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 3 Answers
Random Variables and Distribution Functions
38. More Chips
x −6 −2 −1 2 3 4
pX (x) 0.095 0.238 0.238 0.095 0.238 0.095

39. Plastic Die

1/2

40. Families


 0, t<0


 1/8, 0 ≤ t < 1
FX (t) = 1/2, 1 ≤ t < 2



 7/8, 2 ≤ t < 3

1, t ≥ 3.

41. Distribution Functions

(a) F is a distribution function. F (−∞) = 0; F (∞) = 1; F is right continuous; and since,

for t > 0, F 0 (t) > 0, it is nondecreasing.

(b) F is not a distribution function. limt→0− F (t) = 1/2 > limt→0+ F (t) = 1/4, and so F is
not nondecreasing.

42. Random Points

2/3

43. New Car

(
FX (t), t < 5
FY (t) =
1, t ≥ 5.

46
44. Minimum Face Value
x 1 2 3 4 5 6
pX (x) 11/36 9/36 7/36 5/36 3/36 1/36


 0, x<1



 11/36, 1≤x<2




 2≤x<3
 20/36,

FX (x) = 27/36, 3≤x<4



 32/36, 4≤x<5





 35/36, 5≤x<6



1, x ≥ 6.

45. Probability Mass Function

x −2 2 4 6
pX (x) 1/2 1/10 13/45 1/9

46. Jury


18 28


i 12−i
pX (i) = P(X = i) = 46

, i = 0, 1, 2, . . . , 12.
12

47. First Six

For i = 1, 2, . . .,  i−1
5 1
pX (i) = .
6 6
(
0, x<1
FX (x) =

5 bxc
1− 6
, x ≥ 1.

48. More Probability Mass Functions

(a) k = 1/15;

(b) k = 1/15;

(c) k = 8;
2
(d) k = ;
n(n + 1)
6
(e) k = .
n(n + 1)(2n + 1)

47
49. Soap Opera

(a) 
 32 , x ≥ 4
f (x) = x3

0, x < 4.

(b) Graphs required.

(c) 9/25; 4/9; 0.313; 0

50. Tyres

(a) 66.67%

(b) 60%

51. Another Density Function

Z ∞
Show, for x ∈ R, h(x) ≥ 0, and h(x)dx = 1.
−∞

52. Investment

(a) k = −1/2.

(b) 3/16

53. Convex Combination

Z ∞
Show, for x ∈ R, αf (x) + βg(x) ≥ 0, and (αf (x) + βg(x)) dx = 1.
−∞

54. Fuses
0.75

55. Nonexistant Expected Value

(a) Show that sum of the probabilities equals 1.

(b) Show that the sum diverges.

56. Distribution Function

5/8; 31/8; 23/8

57. Children
3

48
58. Probability Mass Function

(a) Show that sum of the probabilities equals 1 by expressing the series as a telescoping series.

(b) E(X) does not exist as the sum diverges.

59. Variance
V(X) = 12.234; sd(X) = 3.498

60. Random Integer

p
E(X) = (N + 1)/2; V(X) = (N 2 − 1)/12; σX = (N 2 − 1)/12

61. Another Variance

36

62. Soap Opera

(a) 8

(b) Show that E(X 2 ) does not exist.

63. Aptitude Test

√
E(X) = 3/2; sd(X) = 1/ 20

64. Expected Value

3/2

65. Computer Network

α − A/k

66. Logarithm of a Random Variable

1 − log 2

67. Double Exponential Distribution

2

68. Absolute Moment

Use |x|s ≤ max(1, |x|r ) ≤ 1 + |x|r , x ∈ R, and show that E(|x|s ) < ∞.

69. Recursive Moments

Use integration by parts twice.

49
70. Computing Moments using Tail Probabilities
See Slides 149–152.

71. Post Office

α β
(a) E[X] = + ;
λ µ
2α − α2 2β − β 2 2αβ
(b) V(X) = + − .
λ2 µ2 λµ

72. Bounded Random Variable

Proof required.

50
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 4 Answers
Special Probability Distributions
73. Number Plates
6

1
2 9
4
2 10 10
= 0.098

74. Nails
Let X be the number of defective nails in the sample of 24. P(X ≥ 2) = 0.16124 which is
relatively high, and so it is unfair to reject the company’s claim. If P(X ≥ 2) < 0.05 then it
would be reasonable to question the manufacturer’s claim.

75. Five Points

(a) 0.539

(b) 0.073

76. Rare Blood Type

0.442

77. Children
6

78. Chuck-a-Luck
P(X = −1) = 125/216; P(X = 1) = 75/216; P(X = 2) = 15/216; P(X = 3) = 1/216;
E(X) = −0.08

79. Aircraft Engines

No. A four-engine plane is preferable to a two-engine plane if and only if p > 2/3.

80. Even Number of Successes

To find rn , use the recursive relation, r0 = 1, and induction.

51
81. Targets

(a) (1 − pq)r−1 pq

(b) (1 − pq)/pq

82. Basketball

(a) (0.55)5 (0.45) = 0.023

(b) (0.55)6 (0.45)2 = 0.0056

83. Light Bulbs

pn

84. Bridge
(43)(48
10)
The probability a bridge hand contains three aces is p = . Therefore, the average number
(52
13)
of hands until one has three aces is 1/p = 24.27.

85. Senior Citizens

d

i+9
X = Nb(10, 0.15), therefore, for i = 0, 1, 2, . . ., pX (i) = 9
(0.85)i (0.15)10 .

86. Geometric Distribution

1/(2 − p)

87. Negative Binomial

Proof required.

88. Negative Binomial Distribution

See Slides 166–169.

89. Professors’ Cars

0.772

90. Bernoulli Trials

d
Note that, if M = Nb(x, p), then N = M + x.

91. Charity
0.987

52
92. Defective Items
No. If 5% of items are defective then the shipment should contain

475
25 defective


items.

500The


probability that there are at least 2 defective items is 1 − 25
0 30
/ 500
30
− 25 475
1 29
/ 30 =
0.4512, which is quite high.

93. Trout
The probability of four tagged trout were among the second 50 caught is


50 n−50


pn = 4 n
46 .
50

Now,
pn (n − 50)2
= ,
pn−1 n(n − 96)
and pn ≥ pn−1 if and only if n ≤ 625. Since the ratio is 1 at n = 625, the estimated trout
population size is either 624 or 625.

94. Annual Income

0.8943

95. Misprints
0.0153

96. No Crimes
0.0028

97. Bookstore
0.013

98. Lottery Tickets

d
If X is the number of wins in a day then X ≈ Pn(αM/N ). The answer is the least integer
greater than or equal to −N log(1 − α)/M .

99. Poisson Distribution

Proof required.

100. Line Segment

(a) 2/3

(b) 1/3

53
101. Random Angle
fX (x) = 1/(π(x2 + 1))

102. Expectation of a Logarithm

1

103. Chicken Pen

a/b

104. Heart Attack

1/2. Use the memoryless property.

105. Exponential Random Variable

e−3

106. Telephone Call

1/2. Use the memoryless property.

107. Double Exponential Random Variable

(a) c = 1/2

(b) Note that x2n+1 e−|x| is an odd function, and x2n e−|x| is an even function. Use the gamma
function defined on Slide 239.

108. Radio Tubes

d
bXc = G(1 − e−λ )

109. Gamma Distribution

Proof required.

110. Defective Light Bulbs

d
Let X be the time until 25 defective light bulbs are produced. Then X = γ(25, 200 × 0.015 = 3)
and E(X) = 25/3.

111. Born on Christmas Day

d d
X = Bi(1095, 1/365) and X ≈ Pn(3). The answer is 0.08392.

112. Beta Mean and Variance

α αβ
E[X] = ; V(X) =
α+β (α + β + 1)(α + β)2

54
113. Beta Random Variable
d
X = Beta(5,6); c = 1, 260; E[X] = 5/11; V(X) = 5/242

114. Blood Pressure Medicines

0.538

115. Resistors
α = 1; β = 2; P(X ≥ 7/12) = 0.174

116. Pareto Random Variable

(  α γ
1− , x≥α γα γα2
FX (x) = x ; E[X] = , γ > 1; V(X) = ,γ>2
0, otherwise γ−1 (γ − 1)2 )(γ − 2)

117. Pareto Random Variable

γαn
E[X n ] = which is defined for n < γ.
γ−n

118. Newspaper Subscribers

(a) 0.5

(b) 0.7013

119. IQ
(96.6, 123.4)

120. Manual Dexterity

0.000016

121. Normal Density Function

d
k = π and f is the probability function of X = N (−1/π, 1/ (2π 2 )).

122. Density Function of Y


 √4y e−y4 /2 , y ≥ 0
f (y) = 2π

0, y < 0.

123. Another Normal Density Function

p d
k = log a/π and f is the density function of X = N (0, 1/(2 log a)).

55
124. Skeletons
Let X be the height of a randomly selected skeleton from the first group. Then P(X >
185) = 0.0749. Let Y be the number in the second group that are taller than 185 centimetres.
d
If the second group belongs to the same family as the first, then Y = Bi(5, 0.0749), and
P(Y = 3) = 0.0036. Therefore, the chance of finding exactly three or more skeletons taller than
185 centimetres is very small. Thus, it is unlikely that the second group belonged to the same
family as the first.

125. Weibull Mean and Variance

      2
E[X] = βΓ γ+1
γ
; V(X) = β 2
Γ γ+2
γ
− βΓ γ+1
γ

126. Weibull and exponential

exp(1)

127. Exponential of a Random Variable


 f (log y) , y > 0
g(y) = y

0, y ≤ 0.

128. Logarithm of a Random Variable

y
f (y) = (3 log 2)2y e−3(2 ) , y ∈ R.

129. Log of a Pareto Random Variable

(  α γ (
1 − y , y ≥ log α γαγ e−γy , y ≥ log α
FY (y) = e ; fY (y) =
0, otherwise 0, otherwise

130. Square of a Random Variable


 √1 √ √

f ( y) + f (− y , y > 0
g(y) = 2 y

0, y < 0.

131. Reciprocal of a Random Variable

Let FY and fY be distribution and density functions of Y , respectively. Then use the law of
total probability to get FY (y) = P(Y ≤ y) = P(Y ≤ y, X ≤ 1) + P(Y ≤ y, X > 1).
 −1/y
 e−y + e , 0<y<1
The density function of Y is fY (y) = y2

0, otherwise.

132. Transformation by ψ(x) = min(x, M )

56
 

 0, y < 0,
−y
FY (y) = 1 − e , 0 ≤ y < 5, using the formula of moments via tail probabilities, E(Y ) =


1, y ≥ 5;
1 − e , E(Y ) = 2(1 − 6e−5 ), V(Y ) = 1 − 10e−5 − e−10 .
−5 2

133. Lognormal Distribution

1 2 r2
(a) E(X r ) = eµr+ 2 σ
2 /2 2 2
(b) E(X) = eµ+σ and V(X) = e2µ+σ (eσ − 1).

134. Large Fires

0.3192

57
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 5 Answers
Bivariate Random Variables
135. Joint Distribution

(a) c = 1/21

(b) pX (x) = (2x + 3)/21, x = 1, 2, 3; pY (y) = (3y + 6)/21, y = 1, 2

(c) 7/9

(d) E(X) = 46/21;E(Y ) = 11/7.

136. Another Joint Distribution

(a) 2/5

(b) 7/25

(c) 6/25

137. Cards

(a) For 0 ≤ x ≤ 7, 0 ≤ y ≤ 7, 0 ≤ x + y ≤ 7,


13


13 26


x y 7−x−y
p(X,Y ) (x, y) =

52 .
7

7−y
3 X
X
(b) P(X ≥ Y ) = p(X,Y ) (x, y) = 0.61107
y=0 x=y

138. Marginal Densities

(a) For 0 ≤ x ≤ 1, fX (x) = 4x3 ; For 0 ≤ y ≤ 1, fY (y) = 4y(1 − y 2 )

(b) E(X) = 4/5; E(Y ) = 8/15

58
139. Probability Calculations
Note that if A ∈ [0, 1] × [0, 1], then P((X, Y ) ∈ A) = Area(A).

(a) 1/8

(b) 7/8

(c) 0.597

(d) π/4

140. Line Segment

3/4

141. Expected Values

Proof required. Note that, for x > y, f(X,Y ) (x, y) = 0.

142. Cards
X and Y are not independent.

143. Maximum and Minimum of X and Y

FU (u) = F (u)G(u); FV (v) = F (v) + G(v) − F (v)G(v)

144. Independent or Not

E(XY ) = 4/9 6= E(X)E(Y ) = 32/75.

145. Probability Density of X/Y

Proof required.

146. Expected Value of Maximum and Minimum

E(max(X, Y )) = 1/3; E(min(X, Y )) = −1/3

147. Product of Two Functions

Show that f(X,Y ) (x, y) = fX (x)fY (y).

148. Conditional Density Function

fX|Y (x|y) = 1/y, 0 < x < y, 0 < y < 1

149. Conditional Probability

fX|Y (x|3/4) = (48x2 + 27) /43 and P(1/4 < X < 1/2|Y = 3/4) = 17/86.

59
150. Another Conditional Density Function

 x + y , if 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
fX|Y (x|y) = 1/2 + y

0, elsewhere.

151. Random Points


 1 , if 0 < y < 1, y < x < 1
fX|Y (x|y) = 1−y

0, elsewhere.
(
− log(1 − x), if 0 < x < 1
fX (x) =
0, elsewhere.

152. Conditional Mean and Variance

(a) c = 1/2

(b) fX|Y (x|y) = e−x+|y| , x > |y| and fY |X (y|x) = 1/(2x), |y| < x

(c) E(Y |X = x) = 0 and V(Y |X = x) = x2 /3.

153. Yet Another Conditional Density Function

(
1/2, if |x| + |y| ≤ 1
fX,Y (x, y) =
0, elsewhere.
fY (y) = 1 − |y|, −1 ≤ y ≤ 1
1
fX|Y (x|y) = , −1 + |y| ≤ x ≤ 1 − |y|, −1 ≤ y ≤ 1
2(1 − |y|)

154. Sum of Two Random Numbers

Proof required. Use the convolution formula.

155. Conditional Probability

(a) Verify the convolution formula

(b) Show that p(X,Y ) (x, y) = pX (x)pY (y) if and only if c = 0.

156. Conditional Mean and Variance

Note that X and Y are independent.

(a) E(X) = 1

(b) E(Y ) = 1/2

(c) E(X 2 + Y 2 ) = 5/2

60
157. Letters
1

158. Empty Boxes

5.28

159. X and Y
Proofs required.

160. Discrete Random Variable

Proof required.

161. Covariance
−1/245

162. Covariance Proofs

Proofs required.

163. More Covariance Proofs

Proofs required.

164. Independent and/or Uncorrelated?

X and Y are not independent but are uncorrelated.

165. Investment
0.1407

166. Covariance of Linear Combinations

Use, if X0 = X − µX and Y0 = Y − µY , then Cov(X, Y ) = E(X0 , Y0 ).

167. Variance of a Linear Combination

Use the result from Question 153

168. Correlation
112

169. Broken Stick

−1/12

61
170. Uncorrelated Result
Proof required.

171. No Linear Relation

.ρ(X, Y ) = −0.245 6= ±1, so there exists no linear relation between X and Y .

172. Two Successive Tails

6

173. Mixture of Two Random Variables

E(X) = pE(Y ) + (1 − p)E(Z).

174. Verification
 
6Y 2 + 3
E(E(X|Y )) = E = E(X) = 5/8.
12Y 2 + 4

175. Eggs Hatching

d
E[X] = λp; V(X) = λp; X = Pn(λp)

176. Electronic Components

d
E[X] = mpq; V(Y ) = mpq(1 − pq); X = Bi(m, pq)

177. Consecutive Zeros

Hint: Let
M := min{i : ith digit is nonzero},
find
1110the distribution of M and then condition on M .

178. Fishing
The expected value is 11 and the variance is 19.33

179. Wallets
Suppose Player A carries $x in his wallet. First show that η(x) = E(WA |X = x) = 1
2
− 32 x2 .
Then use E(X) = E(E(WA |X)).

180. Heights
0.5753

62
181. Bivariate Normal

(a) 0.6799

(b) 0.1993

182. Grade Point Average

0.0708

183. Approximating Means and Variances

(a) E[Y ] ≈ 0.4594; V(Y ) ≈ 0.0648

(b) E[Y ] ≈ −1.1931; V(Y ) ≈ 1

(c) E[Y ] ≈ 10; V(Y ) ≈ 96

63
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 6 Answers
Sums of Independent Random Variables/Limit Theorems
184. Chebyshev’s Inequality
0.472

185. Accidents
0.222

186. IQ Scores
Less than 1.7% of students have IQ scores above 140.

187. Chebyshev’s Inequality Again

P(X > 2µ) ≤ 1/µ

188. Multiple Choice

1/9

189. Probability Generating Function

(a) 

 0.3, x = 0


 0.2, x = 1
pX (x) =

 0.1, x = 2



0.4, x = 3.

(b) PX0 (z) = 0.2 + 0.2z + 1.2z 2 ; E(X) = PX0 (1) = 1.6
P 00 (z) = 0.2 + 2.4z; V(X) = PX00 (1) + PX0 (1) − PX0 (1)2 = 1.64

(c) PY (z) = 0.3 + 0.2z + 0.1z 8 + 0.4z 27

190. Sum of Negative Binomial Random Variables

PX (z) = pr1 +r2 +...rn (1 − (1 − p)z)−(r1 +r2 +...rn )

64
191. Random Sum
Use the expression for conditional probability generating functions.

192. Binomial Sum

(a) For z ∈ R, PY |N (z) = (1 − q + qz)mN .

n
(b) For z ∈ R, PY (z) (1 − p + p (1 − q + qz)m ) .

(c) E(Y ) = mnpq

193. Continuous Density Function

2et 2et 2
MX (t) = − 2 + 2
t t t
194. Uniform Random Variable
 tb ta
 e − e , if t 6= 0
MX (t) = (b − a)t

1, if t = 0.

195. Probability Mass Function

pX (x) = x/21, x = 1, 2, 3, 4, 5, 6

196. Linear Function

MY (t) = et /(1 − 2t), t < 1/2

197. Moments
If r is odd, E(X r ) = 0; If r is even, E(X r ) = 1/3

198. Constant Random Variable

MX (t) = e2t ; P(X = 2) = 1

199. Cumulant generating function for Poisson

KX (t) = λ(et − 1); Skew(X) = λ−1/2 ; Kurt(X) = 1/λ

200. Cumulant generating function for exponential

KX (t) = − ln(1 − t/λ); Skew(X) = 2; Kurt(X) = 6

201. Inversion formula for Laplace transform

1 1
LX (t) = 2(t+1)
+ t+2
; the cdf of X is FX (x) = 12 (1 − e−x ) + 12 (1 − e−2x ), x ≥ 0.

65
202. Recognising Distributions
d
(a) X = Bi(7, 14 )
d
(b) X = G( 21 )
d
(c) X = γ(r, 2)
d
(d) X = Pn(3)

203. Poisson Probability

t

 λ y 
λ +λ
t−y
2 1 3
y λ1 +λ2 +λ3 λ1 +λ2 +λ3

204. Linear Combination of Normals

Use the moment generating function for normal random variables.

205. Independent Normals

d
(a) X + Y = N (5, 9); 0.9525
d
(b) X − Y = N (−3, 9); 0.9525
d
(c) 3X + 4Y = N (19, 130); 0.4641

206. IQ
0.0571

207. Achievement Test

0.9822

208. Credit Card

0.9544

209. Party Guests

0.0793

210. Heads Before Tails

0.9938

211. Poisson Identity

Proof required.

66
 MAST20004 Probability
Semester 1, 2021
Problem Sheet 7 Answers
Stochastic Processes
212. Wire
0.325

213. Even and Odd Numbers of Events

(a) 1 + e−2λα /2


(b) 1 − e−2λα /2
214. Trees
2
(a) e−λπd
Pn−1 −λπd2 i
(b) i=0 e (λπd2 ) /i!
215. Poisson Process
Use E(N (t)) = V(N (t)) = λt and apply Chebyshev’s inequality.

216. Bank
Condition on the event N (t) = n and use the law of total probability.

217. Absorbing Markov Chain

1/2

218. Die
Let Zn be the outcome of the nth toss. Then Xn+1 = max (Xn , Zn+1 ). {Xn : n = 1, 2, . . .} is
a Markov chain since Xn+1 only depends on Xn . The state space is {1, 2, 3, 4, 5, 6} and the
transition probability matrix is
 
1/6 1/6 1/6 1/6 1/6 1/6
 0 2/6 1/6 1/6 1/6 1/6 
 
 0 0 3/6 1/6 1/6 1/6 
P =  0
.

 0 0 4/6 1/6 1/6 
 0 0 0 0 5/6 1/6 
0 0 0 0 0 1

67
219. Trout
 
10/11 1/11

P = and π = 88/97 9/97 . So the proportion of trout is approximately
8/9 1/9
9.3%

220. Emmett

(a) 2/3

(b) 1/4

221. Product of Transition Matrices

Consider the ij entry of P Q and then show that the sum of the entries in the ith row sum to
one.

222. Vacation
0.2358

223. Another Vacation

0.5469

68