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Assignment Week3

This document outlines an assignment for a probability and analysis course. It includes two problems - the first asks to prove properties of set differences and that the difference in probabilities is bounded by this difference. The second asks to calculate the expectations of several common discrete random variables like binomial, Poisson, geometric and more.

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Loh Jun Xian
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Download as PDF, TXT or read online on Scribd
2 views

Assignment Week3

This document outlines an assignment for a probability and analysis course. It includes two problems - the first asks to prove properties of set differences and that the difference in probabilities is bounded by this difference. The second asks to calculate the expectations of several common discrete random variables like binomial, Poisson, geometric and more.

Uploaded by

Loh Jun Xian
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Essentials in Analysis and Probability

Assignment Week 3. Due online by 16:00 on Friday, 6/10/2023

(1) Let (Ω, F, P ) be a probability space. For any A, B ∈ F set A∆B := (A ∪ B) \ (A ∩ B),
called the set difference of A and B, and define ρ(A, B) := P (A∆B).
(i) Show that for any A, B, C ∈ F the “triangle inequality”
ρ(A, C) ≤ ρ(A, B) + ρ(B, C)
holds.
(ii) Prove |P (A) − P (B)| ≤ ρ(A, B) for A, B ∈ F.
[10 marks]
(2) Determine the expectation of the following discrete random variables:
(a) Discrete uniformly distributed random variable: P (X = k) = 1/n, k = 1, 2, ..., n.
(b) Bernoulli random variable with parameter p: P (X = 1) = p, P (X = 0) = 1 − p,
where 0 < p < 1.
(c) Binomial random variable with parameters (n,p):
 
n k
P (X = k) = p (1 − p)n−k , k = 0, 1, ..., n,
k
where n ≥ 1 is an integer and 0 < p < 1. (The number of successes in n indepen-
dent trials.)
(d) Poisson random variable with parameter λ > 0:
λk
P (X = k) = e−λ , k = 0, 1, 2, . . . .
k!
(e) Geometric random variable with parameter p:
P (X = k) = (1 − p)k−1 p, k = 1, 2, ....,
where 0 < p < 1 (The number of trials until the first success.)
[10 marks]

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