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Problem Set 9

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11 views3 pages

Problem Set 9

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C.Z Fu
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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STAT 333 - Problem Set 9

Exercises marked with an asterisk ∗ are considered to be recommended exercises. The non-
asterisk exercises are intended to serve as extra practice exercises.

Section 4.1
Exercise 4.1.1. Let X1 and X2 be independent rvs where X1 ∼ EXP(λ1 ) and X2 ∼
EXP(λ2 ).
(a) Find the pdf of Z = max{X1 , X2 }, the largest order statistic of X1 and X2 . Is the rv
Z exponentially distributed?

(b) Does Z have the same probability distribution as X2 |(X1 < X2 )?

Exercise 4.1.2.∗ Let X1 and X2 be independent rvs where X1 ∼ EXP(λ1 ) and X2 ∼


EXP(λ2 ). For 0 ≤ y ≤ x, show that
λ1
1 − e−λ2 y − e−(λ1 +λ2 )x + e−λ2 y e−(λ1 +λ2 )x .

P (X2 − y ≤ X1 ≤ min{x, X2 }) =
λ1 + λ2
Exercise 4.1.3. Verify the formula for the pdf of an Erlang(n, λ) rv by differentiating the
cdf given by (4.7).

Exercise 4.1.4. Player A is currently playing a game of chess. Player B will be starting
its own chess game t minutes from now. If the length of chess game (measured in minutes)
involving player i is exponentially distributed with rate λi , i = 1, 2, what is the probability
that player 1 finishes their game first? Assume that games lengths are independent of each
other.

Exercise 4.1.5.∗ Suppose that a silicon transistor is made up of four independent com-
ponents which all function to govern the transfer of electronic impulses. For k = 1, 2, 3, 4,
assume that the lifetime Xk (measured in years) of component k has an exponential distri-
bution with pdf denoted by fk (x) = λk e−λk x , x > 0. In addition, let λ1 = λ2 = 1/9 and
λ3 = λ4 = 1/6.
(a) What is the probability that component 4 outlives component 1?

(b) What is the probability that component 2’s lifetime lasts between 6 and 10 years?

(c) On average, how many years does it take for the first component breakdown to occur?

(d) Use the memoryless property of the exponential distribution to calculate P (X3 <
X1 + X2 ).

1
Exercise 4.1.6. Suppose that X1 , X2 , and X3 are independent rvs where Xi ∼ EXP(λi ),
i = 1, 2, 3.

(a) Determine E[max{X1 , X2 }|X1 < X2 ].

(b) Use the result in part (a) to determine E[max{X1 , X2 }].

(c) Determine P (X1 < X2 |X3 = max{X1 , X2 , X3 }).

(d) Determine E[max{X1 , X2 , X3 }|X1 < X2 < X3 ].

Exercise 4.1.7. For a > 0, consider the following statements for a rv X ∼ EXP(λ):

(i) E[X 2 |X > a] = E[X 2 ] + a,

(ii) E[X 2 |X > a] = (a + E[X])2 ,

(iii) E[X 2 |X > a] = E[(X + a)2 ].

Only one of these statements is actually true. Identify which one is the correct statement.

Exercise 4.1.8.∗ Suppose that X and Y are independent exponentially distributed rvs with
respective rates λ and µ. Let M = min{X, Y }.

(a) Determine E[M X|M = X].

(b) Show that the conditional joint pdf of (X, Y )|(X > Y ) is given by

g(x, y) = λ(λ + µ)e−λx−µy , 0 < y < x < ∞.

(c) Use the result in part (b) to determine E[M X|M = Y ].

(d) Determine Cov(X, M ).

Exercise 4.1.9.∗ Consider a hair salon with three stylists who work independently of each
other. Four customers, A, B, C, and D, enter the salon simultaneously to find no other
customers inside. A, B, and C go directly to the stylists, and D waits until either A, B, or
C finishes before beginning its own service. What is the probability that A is still in the
salon after the other three customers have left when

(a) the service time for each stylist is exactly (i.e., non-random) m minutes, m > 0?

(b) the service time for each stylist is either 5, 9, or 30 minutes with equal probability?

(c) the service time for each stylist is exponentially distributed with mean 1/µ?

2
Exercise 4.1.10.∗ Consider an inventory of m ≥ 2 batteries with independent lifetimes. It
is known that battery i functions for an exponentially distributed amount of time with rate
αi , i = 1, 2, . . . , m. A remote control requires two batteries to be operational and batteries
1 and 2 are initially installed. Whenever a battery fails, it is immediately replaced by the
lowest numbered functional battery that has not yet been put in use. At a random time
denoted by T , a battery will fail and our inventory will be empty. At that moment, exactly
one of the batteries (which we call battery W ) will not yet have failed.

(a) Assuming that αi = α, i = 1, 2, . . . , m, determine P (W = i) for each i = 1, 2, . . . , m.

(b) Assuming that αi = α, i = 1, 2, . . . , m, determine E[T ].

(c) Assuming that αi = α, i = 1, 2, . . . , m, determine P (T > E[T ]). Calculate its value for
m = 2, 3, 4, 5.

(d) Suppose instead that an electronic switchboard that employs all m batteries is to be
turned on. All m batteries from the inventory are initially placed into the switchboard.
Determine the probability that battery i, i = 1, 2, . . . , m, is the second battery to fail.

(e) Under the same conditions as in part (d), determine the expected time for the second
battery failure to occur.

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