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20 views1 page

Assignment01 2023

Uploaded by

NiceMove
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QF314901: Mathematical Statistics II

Assignment 01: Review of Basic Probability Theory


Instructor: Chung-Han Hsieh ([email protected])
Teaching Assistant: Heng-Tse Chou ([email protected])
Problem 1.1 (Integral as a Set Function). A set function is a function that maps sets into real
number. Let A ⊂ (0, ∞) be a set. Define the set function I by
Z
I(A) := e−x dx < ∞
A

(i) Take A1 := (1, 2). Evaluate I(A1 ).


(ii) Take A2 := (0, ∞). Evaluate I(A2 ).
(iii) Take A3 := (1, 4) ∪ [4, 5). Show that I(A3 ) = I((1, 4)) + I([4, 5)).
Problem 1.2 (Extended Inclusion Exclusion Formula). Let A1 , A2 , A3 be three events. Show
that the probability
P (∪3n=1 An ) = p1 − p2 + p3
P3
where p1 = n=1 P (An ), p2 = P (A1 ∩ A2 ) + P (A1 ∩ A3 ) + P (A2 ∩ A3 ), and p3 = P (∩3n=1 An ).
Hint: You may find the fact (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G) with sets E, F, G useful.
(
1/3, −1 < x < 2
Problem 1.3. Let f (x) := be the pdf of a random variable X. Define a
0, otherwise
transformation Y := X 2 .
(i) Find the cdf of X.
(ii) Find the cdf of Y . Hint: Consider P (Y ≤ y) for the two cases: 0 ≤ y < 1 and 1 ≤ y < 4.
(iii) Find the pdf of Y
Problem 1.4 (Computing Expectation for Discrete Random Variable). Let X be a discrete
random variable with pmf fX (x) = 1/5 for x ∈ {1, 2, . . . , 5}.
(i) Determine E[X].
(ii) Determine E[X 2 ].
(iii) Determine E[(X + 2)2 ].
Problem 1.5 (Identically Distributed Is Not Equal). Let X and Y be two random variables.
Give an example that X and Y are identically distributed but X ̸= Y with probability one.
Hint: Consider random variables with symmetric distribution.
Problem 1.6 (Stochastic Dominance with Affine Transformation). Let X be a continuous ran-
dom variable with support on R. Consider an affine transformation
Y := X + c
with c > 0. Show that Y is stochastically larger than X; i.e., P (Y > z) ≥ P (X > z) for all z ∈ R,
with strict inequality holding for at least one z value.
Problem 1.7 (Estimating Uptrend of a Stock). Let X be a random variable that represents the
number of days where the stock price went up out of 10 trading days, and the probability of the
stock price going up on any given day is 50%.
(i) Write a Python function that estimates the probability that the stock price will increase on
at least 7 out of 10 trading days. Hint: for Python user, consider “import random”
(ii) Report the expected value of E[X].

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