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Final Exam 2023

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14 views2 pages

Final Exam 2023

Uploaded by

laurensrobbe
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Probability Theory – Final Exam 2023

dr. A. Zocca

1st June 2023, 15:30 – 17:30 (+30 min for extra timers)

The exam consists of six exercises worth a total of 95 points = 10 + 15 + 25 + 15 + 10 + 20. The midterm
exam grade is calculated as 1 + (your points)/10 (the maximum is thus 10.5). The exam lasts for
2h (+ 30 min for extra timers). Do not forget to add the name of the formula you are using and/or
explanations next to your algebraic/numerical solutions. No book and no notes, you are allowed to use
only a simple calculator.

Exercise 1 [10 points = 2 + 3 + 5]


Let X be an exponentially distributed random variable with parameter 15 .
(a) [2 points] What does it mean that the random variable X is memoryless?
(b) [3 points] Calculate P(1 ≤ X ≤ 2).
x
(c) [5 points] Derive the density function of the random variable Y = g(X) with g(x) := e− 5 .

Exercise 2 [15 points = 2 + 4 + 3 + 6]


Let X1 , . . . , X100 be independent standard normal random variables.
(a) [2 points] For a generic index i, what is the value of P(Xi > 0)?
(b) [4 points] Using the table provided, calculate the probability
 X1 + X2 + X3 + X4 
P −1≤ ≤1 .
4

(c) [3 points] Let Y be equal to the number of indices i ∈ {1, 2, . . . , 100} for which Xi > 0. Using (a),
conclude which is the distribution of Y .
(d) [6 points] Using the Central Limit Theorem and the continuity correction, give an approximation of
the probability P(45 < Y ≤ 52).

Exercise 3 [25 points = 5 + 5 + 5 + 5 + 5]


Let (X, Y ) be the random vectors, whose components describe the two coordinates of a point distributed
uniformly at random over the set D ⊂ R2 defined as

D := {(x, y) ∈ R2 | 0 < y < ex , 0 < x < 2}.

(a) [5 points] Draw the set D, calculate its area, and derive an explicit expression for the joint probability
density fX,Y (x, y).
X
(b) [5 points] Calculate P(Y > e 2 ).
(c) [5 points] Calculate E[XY ]. Are X and Y independent?
(d) [5 points] Calculate the density of the random variable Z = X + Y .
(e) [5 points] Calculate Cov(2X − 1, −Y + 2) and Cov(Z, X).
Hint: You do not need the answer to question (d) to make these calculations!
Exercise 4 [15 points = 4 + 5 + 6]
A continuous random variable X has probability density function f (x) given by:

5 5x
3e
 if x ≤ 0,
f (x) := c x 2 if 0 < x ≤ 21 ,

 13
64x4
if x > 12 .

(a) [4 points] Find the value of c such that f is a well-defined probability density.
(b) [5 points] Calculate the expected value of X and its variance.
X2
(c) [6 points] Derive the probability density function fY (y) of the random variable Y = 3 .

Exercise 5 [10 points = 5 + 5]


To celebrate the end of the course, 10 Business Analytics students and 6 Mathematics students go out for
dinner to an Italian restaurant, where they randomly seat at a round table with 16 seats. Let X be the
number of Business Analytics students with exactly one neighbor who is a Business Analytics student
and one neighbor who is a Mathematics student.
(a) [5 points] Express the random variable X as a sum of suitable binary random variables.
(b) [5 points] Use the representation in (a) to calculate the expected value of X.

Exercise 6 [20 points = 5 + 5 + 5 + 5]


Suppose the joint probability density of X and Y is given by
  
 −2 xy +y −1
4e y if x, y > 0,
fX,Y (x, y) :=
0 otherwise.

(a) [5 points] Derive the marginal density fY (y). What is the distribution of Y ?
(b) [5 points] Derive the conditional density fX|Y (x|y).
(c) [5 points] Calculate P(X > 1 | Y = y).
(d) [5 points] Calculate E(X | Y = y).
Hint: You can use (without proving it) that for every a, b ̸= 0 the antiderivative of the function
a
ax · ebx is the function 2 ebx (bx − 1).
b

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