MSO 201A: Probability and Statistics

2021 (2nd Semester)

Assignment-IV

1. Let (
1, if x + 2y ≥ 1
F (x, y) = .
0, if x + 2y < 1
Does F (·, ·) define a d.f.?

2. Let (
0, if x < 0 or x + y < 1 or y < 0
F (x, y) = .
1, otherwise
Does F (·) define a d.f.?

3. Let X = (X1 , X2 ) be a bivariate random vector having the d.f.



 0, if x < 0 or y < 0
 1+xy
, if 0 ≤ x < 1, 0 ≤ y < 1


2


1+x
F (x, y) = 2
, if 0 ≤ x < 1, y ≥ 1 .
 1+y
, if x ≥ 1, 0 ≤ y < 1


2



1 if x ≥ 1, y ≥ 1


(a) Verify that F is a d.f.; (b) Determine whether X is a discrete or a continuous

random vector; (c) Find the marginal distribution functions of X1 and X2 ; (d) Find
P ( 12 ≤ X1 ≤ 1, 14 < X2 < 12 ), P (X1 = 1) and P (X1 ≥ 32 , X2 < 14 ); (e) Are X1 and
X2 independent?

4. Let X = (X1 , X2 ) be a bivariate random vector having the d.f.



 0, if x < 0 or y < 1
y 2 −1

, if 0 ≤ x < 1, 1 ≤ y < 2


6


1
F (x, y) = 2
, if 0 ≤ x < 1, y ≥ 2 .
 2
y −1
, if x ≥ 1, 1 ≤ y < 2


3



1 if x ≥ 1, y ≥ 2


(a) Verify that F is a d.f.; (b) Determine whether X is a discrete or a continuous

r.v.; (c) Find the marginal distribution functions of X1 and X2 ; (d) Find P ( 12 ≤
X1 ≤ 1, 45 < X2 < 32 ), P (X1 = 1) and P (X1 ≥ 32 , X2 < 54 ); (e) Are X1 and X2
independent?

1
5. Let the r.v. X = (X1 , X2 )0 have the joint p.m.f.
(
c(x1 + 2x2 ), if x1 = 1, 2, x2 = 1, 2
fX (x1 , x2 ) = ,
0, otherwise

where c is a real constant. (a) Find the constant c; (b) Find marginal p.m.f.s of
X1 and X2 ; (c) Find conditional variance of X2 given X1 = x1 , x1 = 1, 2; (d) Find
P (X1 < X32 ), P (X1 = X2 ), P (X1 ≥ X22 ) and P (X1 + X2 ≤ 3); (e) Find ρ(X1 , X2 );
(f) Are X1 and X2 independent?

6. Let the r.v. X = (X1 , X2 )0 have the joint p.m.f.

(
cx1 x2 , if x1 = 1, 2, x2 = 1, 2, x1 ≤ x2
fX (x1 , x2 ) = ,
0, otherwise

where c is a real constant. (a) Find the constant c; (b) Find marginal p.m.f.s of
X1 and X2 ; (c) Find conditional variance of X2 given X1 = 1; (d) Find P (X1 >
X2 ), P (X1 = X2 ), P (X1 < 32 X2 ) and P (X1 + X2 ≥ 3); (e) Find ρ(X1 , X2 ); (f) Are
X1 and X2 independent?

7. Let (X, Y ) be a random vector such that the p.d.f. of X is

(
4x(1 − x2 ), if 0 < x < 1
fX (x) = ,
0, otherwise

and, for fixed x ∈ (0, 1), the conditional p.d.f. of Y given X = x is

(
c(x)y, if x < y < 1
fY |X (y|x) = ,
0, otherwise

where c : (0, 1) → R is a given function. (a) Determine c(x), 0 < x < 1; (b) Find
marginal p.d.f. of Y ; (c) Find the conditional variance of X given Y = y, y ∈ (0, 1);
(d) Find P (X < Y2 ), P (X + Y ≥ 43 ) and P (X = 2Y ); (e) Find ρ(X, Y ); (f) Are X
and Y independent?

8. Let X = (X1 , X2 , X3 ) be a random vector with joint p.d.f.

(
c
x1 x2
, if 0 < x3 < x2 < x1 < 1
fX (x) = ,
0, otherwise

where c is a real constant. (a) Find the value of constant c; (b) Find marginal p.d.f.
of X2 ; (c) Find the conditional variance of X2 given (X1 , X3 ) = (x, y), 0 < y <

2
 x < 1; (d) Find P (X2 < X21 ) and P (X3 = 2X2 > X1
2
); (e) Find ρ(X1 , X2 ); (f) Are
X1 , X2 , X3 independent?.

9. Let X = (X1 , X2 , X3 )0 be a random vector with p.m.f.

(
1
4
,if (x1 , x2 , x3 ) ∈ A
fX1 ,X2 ,X3 (x1 , x2 , x3 ) = ,
0, otherwise

where A = {(1, 0, 0), (0, 1, 0), (0, 0, 1), (1, 1, 1)}. (a) Are X1 , X2 , X3 independent?;
(b) Are X1 , X2 , X3 pairwise independent?; (c) Are X1 + X2 and X3 independent?

10. Let X = (X1 , X2 , X3 )0 be a random vector with joint p.d.f.

1 1 2 2 2
 1 2 2 2

fX (x1 , x2 , x3 ) = 3 e− 2 (x1 +x2 +x3 ) 1 + x1 x2 x3 e− 2 (x1 +x2 +x3 ) , −∞ < xi < ∞,
(2π) 2

i = 1, 2, 3. (a) Are X1 , X2 , X3 independent?; (b) Are X1 , X2 , X3 pairwise indepen-

dent?; (c) Find the marginal p.d.f.s of (X1 , X2 ), (X1 , X3 ) and (X2 , X3 ).

11. Let (X, Y, Z) have the joint p.m.f. as follows:

(x, y, z) (1, 1, 0) (1, 2, 1) (1, 3, 0) (2, 1, 1) (2, 2, 0) (2, 3, 1)

2 4 3 1 1 4
fX,Y,Z (x, y, z) 15 15 15 15 15 15

and fX,Y (x, y) = 0, elsewhere. (a) Are X + Y and Z independent?; (b) Find ρ =
Corr(X+Y,Z).

12. Let X = (X1 , X2 , X3 )0 be a random vector with p.d.f.

(
2e−(x2 +2x3 ) , if 0 < x1 < 1, x2 > 0, x3 > 0
fX1 ,X2 ,X3 (x1 , x2 , x3 ) = .
0, otherwise

(a) Are X1 , X2 , X3 independent?; (b) Are X1 + X2 and X3 independent?; (c) Find

marginal p.d.f.s of X1 , X2 and X3 ; (d) Find conditional p.d.f. of X1 given X2 = 2.

13. Let X1 , . . . , Xn be n r.v.s with E(Xi ) = µi , Var(Xi ) = σi2 and ρij = Corr(Xi , Xj ),
i, j = 1, . . . , n, i 6= j. For real numbers ai , bi , i = 1, . . . , n, define Y = ni=1 ai Xi
P

and Z = ni=1 bi Xi . Find Cov(Y, Z).

P

14. Let X and Y be jointly distributed random variables with E(X) = E(Y ) =
0, E(X 2 ) = E(Y 2 ) = 2 and Corr(X, Y ) = 1/3. Find Corr( X3 + 2Y3 , 2X
3
+ Y3 ).

15. Let X1 , . . . , Xn be random variables and let p1 , . . . , pn be positive real numbers

Pn p Pn Pn p
with p i = 1. Prove that: (a) Var( p i X i ) ≤ p i Var(Xi ) ≤
pPn i=1 Pn i=1 i=1
i=1 Xi 1
Pn
i=1 pi Var(Xi ); (b) Var( n
) ≤ n i=1 Var(Xi ).

3
 Pn Pn
16. Let (xi , yi ) ∈ R2 , i = 1, . . . , n be such that i=1 xi = i=1 yi = 0. Using a statistical
argument show that

n
!2 n
! n
!
X X X
xi y i ≤ x2i yi2 .
i=1 i=1 i=1

17. Let (X, Y ) have the joint p.m.f. as follows:

(x, y) (1, 1) (1, 2) (1, 3) (2, 1) (2, 2) (2, 3)

2 4 3 1 1 4
fX,Y (x, y) 15 15 15 15 15 15

and fX,Y (x, y) = 0, elsewhere. Find ρ = Corr(X,Y).

t2
1
e 1−2t2
18. Let the joint m.g.f. of (Y, Z) be MY,Z (t1 , t2 ) = , t2 < 12 . (a) Find Corr(Y, Z);
1−2t2
(b) Are Y and Z independent?; (c) Find m.g.f. of Y + Z.
t2 2
1 +t2 +t1 t2
19. Let the joint m.g.f. of (Y, Z) be MY,Z (t1 , t2 ) = e 2 , (t1 , t2 ) ∈ R2 . (a) Find
Corr(Y, Z); (b) Are Y and Z independent?; (c) Find m.g.f. of Y − Z.

20. Let X = (X1 , X2 ) have the joint p.m.f.

(
( 23 )x1 +x2 ( 13 )2−x1 −x2 , if (x1 , x2 ) = (0, 0), (0, 1), (1, 0), (1, 1)
fX (x1 , x2 ) = .
0, otherwise

(a) Find the joint p.m.f. of Y1 = X1 − X2 and Y2 = X1 + X2 ; (b) Find the

marginal p.m.f.s of Y1 and Y2 ; (c) Find Var(Y2 ) and Cov(Y1 , Y2 ); (d) Are Y1 and Y2
independent?

21. Let X1 , . . . , Xn be a random sample of continuous random variables and let X1:n <
X2:n · · · < Xn:n be the corresponding order statistics. If the expectation of X1 is
finite and the distribution of X1 is symmetric about µ ∈ (−∞, ∞), show that:
d
(a) Xr:n − µ = µ − Xn−r+1:n , r = 1, . . . , n; (b) E(Xr:n + Xn−r+1:n ) = 2µ; (c)
E(X n+1 :n ) = µ, if n is odd; (d) P (X n+1 :n > µ) = 0.5, if n is odd.
2 2

22. (a) Let X1 , . . . , Xn denote a random sample, where P (X1 > 0) = 1. Show that
 
X1 + X2 + · · · + Xk k
E = , k = 1, 2, . . . , n.
X1 + X 2 + · · · + X n n

(b) Let X1 , . . . , Xn be a random sample and let E(X1 ) be finite. Find the conditional
expectation E(X1 |X1 + · · · + Xn = t), where t ∈ R is such that the conditional
expectation is defined.

4
 (c) Let X1 , . . . , Xn be a random sample of random variables. Find P (X1 < X2 <
· · · < Xr ), r = 2, 3, . . . , n.

23. Let X1 and X2 be independent and identically distributed random variables with
common p.m.f. (
θ(1 − θ)x−1 , if x = 1, 2, . . .
f (x) = ,
0, otherwise
where θ ∈ (0, 1). Let Y1 = min{X1 , X2 } and Y2 = max{X1 , X2 } − min{X1 , X2 }. (a)
Find the marginal p.m.f. of Y1 without finding the joint p.m.f. of Y = (Y1 , Y2 ); (b)
Find the marginal p.m.f. of Y2 without finding the joint p.m.f. of Y = (Y1 , Y2 ); (c)
Find the joint p.m.f. of Y = (Y1 , Y2 ); (d) Are Y1 and Y2 independent; (e) Using (c),
find the marginal p.m.f.s of Y1 and Y2 .

24. Let X = (X1 , X2 , X3 )0 be a random vector with p.m.f.


2
 9 , if (x1 , x2 , x3 ) = (1, 1, 0), (1, 0, 1), (0, 1, 1)

1
fX1 ,X2 ,X3 (x1 , x2 , x3 ) = 3
, if (x1 , x2 , x3 ) = (1, 1, 1) .

0, otherwise


Define Y1 = X1 + X2 and Y2 = X2 + X3 . (a) Find the marginal p.m.f. of Y1 without

finding the joint p.m.f. of Y = (Y1 , Y2 ); (b) Find the marginal p.m.f. of Y2 without
finding the joint p.m.f. of Y = (Y1 , Y2 ); (c) Find the joint p.m.f. of Y = (Y1 , Y2 );
(d) Are Y1 and Y2 independent; (e) Using (c), find the marginal p.m.f.s of Y1 and
Y2 .

25. Let X1 and X2 be independent random variables with p.d.f.s

( (
1, if 0 < x < 1 1, if 1 < x < 2
f1 (x) = and f2 (x) = ,
0, otherwise 0, otherwise

respectively. Let Y = X1 + X2 and Z = X1 − X2 . (a) Find the d.f. of Y and hence

find its p.d.f.; (b) Find the joint p.d.f. of (Y, Z) and hence find the marginal p.d.f.s
of Y and Z; (c) Are Y and Z independent?

26. Let X1 and X2 be i.i.d. random variables with common p.d.f.

(
1
2
,if − 1 < x < 1
f (x) = .
0, otherwise

Let Y = |X1 | + X2 and Z = X2 . (a) Find the d.f. of Y and hence find its p.d.f.; (b)
Find the joint p.d.f. of (Y, Z) and hence find the marginal p.d.f.s of Y and Z; (c)
Are Y and Z independent?