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A1 Solutions

This document contains solutions to three assignment questions: 1. It provides two methods for calculating the probability P[X ≤ Y] using integrals of the probability density functions of X and Y. 2. It shows that as the sample size n increases, the sample mean (X1 + ... + Xn)/n converges in probability to the true population mean μ. 3. For a uniform random variable X on (0,1), it calculates the conditional expected value E[X|X < 1/2] as 1/4.

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Mickey Wong
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92 views2 pages

A1 Solutions

This document contains solutions to three assignment questions: 1. It provides two methods for calculating the probability P[X ≤ Y] using integrals of the probability density functions of X and Y. 2. It shows that as the sample size n increases, the sample mean (X1 + ... + Xn)/n converges in probability to the true population mean μ. 3. For a uniform random variable X on (0,1), it calculates the conditional expected value E[X|X < 1/2] as 1/4.

Uploaded by

Mickey Wong
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Assignment 1 Solutions

1. Here are two methods for this question.

Method 1:
∫ ∞
P [X ≤ Y ] = P [X ≤ Y |Y = y]fY (y)dy
∫−∞
∞
= P [X ≤ y]fY (y)dy
∫−∞
∞
= FX (y)fY (y)dy
−∞

Method 2: Let Z = X − Y and W = Y , then X = Z + W , Y = W and



1 1

J = .
0 1
∫∞
Then fZ,W (z, w) = fX (z +w)fY (w)×1, thus fZ (z) = −∞ fX (z +w)fY (w)dw , which means,
∫ 0 (∫ ∞ )
P [X ≤ Y ] = P [Z ≤ 0] = fX (z + w)fY (w)dw dz
−∞ −∞
∫ ∞ (∫ 0 )
= fX (z + w)dz fY (w)dw
∫−∞
∞
−∞

= FX (w)fY (w)dw
∫−∞
∞
= FX (y)fY (y)dy
−∞

2. Since X1 , X2 , . . . , Xn are independent and identically distributed with mean µ and variance σ 2 ,
we have,
[ ]
X1 + · · · + Xn
E = µ
n
( )
X1 + · · · + Xn nσ 2
V ar =
n n2
σ2
=
n
By Chebyshev’s inequality,
{ }
X1 + · · · + Xn σ2

P
− µ ≥ ϵ ≤ 2
n nϵ

Hence, it’s easy to show,


{ }
X1 + · · · + Xn

lim P
− µ ≥ ϵ = 0
n→∞ n

1
3. X is uniform over (0, 1), which means P (X < x) = x. Firstly we calculate the probability of
P (X < x|X < 21 ).

1 P (X ≤ x, X < 12 )
P (X ≤ x|X < ) =
2 P (X < 12 )
P (X ≤ x) 1
= 1 as x <
P (X < 2 ) 2
x
= 1
2
= 2x

and
1
P (X = x|X < ) = 2
2
Now we can get the final result.
∫ 1
1 2 1
E[X|X < ] = x ∗ P (X = x|X < )dx
2 0 2
1
=
4

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