Math 361 Probability & Statistics

Assignment No 2
1 Expectation and Variance

1. Directly from the definitions of expected value and variance, compute E(X) and
Var(X) when X has probability mass function given by the following table:
X -2 -1 0 1 2
p(X) 1/15 2/15 3/15 4/15 5/15

2. Suppose that X takes values between 0 and 1 and has probability density function
2x. Compute Var(X) and Var(X2).

3. The random variable X takes values -1, 0, 1 with probabilities 1/8, 2/8, 5/8 respec-
tively.
(a) Compute E(X).
(b) Give the pmf of Y = X2 and use it to compute E(Y ).
(c) Instead, compute E(X2) directly from an extended table.
(d) Compute Var(X).

4. Suppose X is a random variable with E(X) = 5 and Var(X) = 2. What is E(X2)?

5. Compute the expectation and variance of a Bernoulli(p) random variable.

6. Suppose 100 people all toss a hat into a box and then proceed to randomly pick out
a hat. What is the expected number of people to get their own hat back.
Hint: express the number of people who get their own hat as a sum of random variables
whose expected value is easy to compute.

7. Suppose I play a gambling game where I either win or lose k dollars. Suppose further
that the chance of winning is p = .5.
I employ the following strategy to try to guarantee that I win some money.
I bet $1; if I lose, I double my bet to $2, if I lose I double my bet again. I continue until
I win. Eventually I’m sure to win a bet and net $1 (run through the first few rounds and
you’ll see why this is the net).
If this really worked casinos would be out of business. Our goal in this problem is to
understand the flaw in the strategy.
(a) Let X be the amount of money bet on the last game (the one I win). X takes values
1, 2, 4, 8, Determine the probability mass function for X. That is, find p(2k), where k
is in {0, 1, 2, }.
(b) Compute E(X).
(c) Use your answer in part (b) to explain why the stategy is a bad one.

2 Probability Mass Functions, Probability Density Functions

and Cumulative Distribution Functions
 8. Suppose that X ∼ Bin(n, 0.5). Find the probability mass function of Y = 2X.

9. (a) Suppose that X is uniform on [0, 1]. Compute the pdf and cdf of X.
(b) If Y = 2X + 5, compute the pdf and cdf of Y.

9.1 (a) Suppose that X has probability density function fX (x) = λe−λx for x ≥ 0.
Compute the cdf, FX (x).
(b) If Y = X2, compute the pdf and cdf of Y.

9.2 Suppose that X is a random variable that takes on values 0, 2 and 3 with probabilities
0.3, 0.1, 0.6 respectively. Let Y = 3(X − 1)2.
(a) What is the expectation of X?

(b) What is the variance of X?

(c) What is the expection of Y ?
(d) Let FY (t) be the cumulative density function of Y . What is FY (7)?

9.3 Suppose you roll a fair 6-sided die 100 times (independently), and you get $3 every
time you roll a 6. Let X1 be the number of dollars you win on rolls 1 through 25.
Let X2 be the number of dollars you win on rolls 26 through 50.
Let X3 be the number of dollars you win on rolls 51 through 75.
Let X4 be the number of dollars you win on rolls 76 throught 100.
Let X = X1 + X2 + X3 + X4 be the total number of dollars you win over all 100 rolls.
(a) What is the probability mass function of X?
(b) What is the expectation and variance of X?
(c) Let Y = 4X1. (So instead of rolling 100 times, you just roll 25 times and multiply your
winnings by 4.) (i) What are the expectation and variance of Y ?
(i) How do the expectation and variance of Y compare to those of X? (I.e., are they bigger,
smaller, or equal?) Explain (briefly) why this makes sense.

10 Let R be the rate at which customers are served in a queue. Suppose that R is
exponential with pdf f (r) = 2e−2r on [0, ∞).
Find the pdf of the waiting time per customer T = 1/R.

11 A continuous random variable X has PDF f (x) = x + ax2 on [0,1]

Find a, the CDF and P (.5 < X < 1).

12 (PMF of a sum) Suppose X and Y are independent and X ∼ Bernoulli(1/2) and

Y ∼ Bernoulli(1/3). Determine the pmf of X + Y
13 Let X be a discrete random variable with pmf p given by:

(a) Let Y = X2. Find the pmf of Y .

(b) Find the value the cdf of X at -1/2, 3/4, 7/8, 1, 1.5, 5.
(c) Find the value the cdf of Y at -1/2, 3/4, 7/8, 1, 1.5, 5.
14 Suppose that the cdf of X is given by:
⎧ 0 for a < 0
⎪
⎨ 1 for 0 ≤ a < 2
F (a) = ⎪ 25 for 2 ≤ a < 4
5
⎩
1 for a ≥ 4.
Determine the pmf of X.

15 Suppose X has range [0,1] and has cdf

F (x) = x2 for 0 ≤ x ≤ 1.
Compute P ( 1 < X < 3 ).
2 4

16 Let X be a random variable with range [0, 1] and cdf

F (X) = 2x2 − x4 for 0 ≤ x ≤ 1.

(a) Compute P ( 14 ≤ X ≤ 34 ).
(b) What is the pdf of X?

6 Distributions with Names

Exponential Distribution
17 Suppose that buses arrive are scheduled to arrive at a bus stop at noon but are
always X minutes late, where X is an exponential random variable with probability density
function fX (x) = λe−λx. Suppose that you arrive at the bus stop precisely at noon.
(a) Compute the probability that you have to wait for more than five minutes for the bus
to arrive.
(b) Suppose that you have already waiting for 10 minutes. Compute the probability that
you have to wait an additional five minutes or more.
18 Normal Distribution: Throughout these problems, let φ and Φ be the pdf and cdf,
respectively, of the standard normal distribution Suppose Z is a standard normal random
variable and let X = 3Z + 1.
(a) Express P (X ≤ x) in terms of Φ
(b) Differentiate the expression from (a) with respect to x to get the pdf of X, f (x).
Remember that Φ'(z) = φ(z) and don’t forget the chain rule
(c) Find P (−1 ≤ X ≤ 1)
(d) Recall that the probability that Z is within one standard deviation of its mean is
approximately 68%. What is the probability that X is within one standard deviation of its
mean?

σ
19 (Sums of normal random variables)
Let X be independent random variables where X ∼ N (2, 5) and Y ∼ N (5, 9) (we use the
notation N (µ, σ2)). Let W = 3X − 2Y + 1.
(a) Compute E(W ) and Var(W ).

(b) It is known that the sum of independent normal distributions is normal. Compute P (W ≤ 6).

20 In n + m independent Bernoulli(p) trials, let Sn be the number of successes in the

first n trials and Tm the number of successes in the last m trials.
(a) What is the distribution of Sn? Why?
(b) What is the distribution of Tm? Why?
(c) What is the distribution of Sn + Tm? Why?
(d) Are Sn and Tm independent? Why?

7 Joint Probability, Covariance, Correlation

21 (Another Arithmetic Puzzle) Let X and Y be two independent Bernoulli(.5)

random variables. Define S and T by:
S =X +Y and T = X − Y.
(a) Find the joint and marginal pmf’s for S and T .
(b) Are S and T independent.

22 Data is taken on the height and shoe size of a sample of MIT students. Height is coded
by 3 values: 1 (short), 2 (average), 3 (tall) and shoe size is coded by 3 values 1 (small), 2
(average), 3 (large). The joint counts are given in the following table.
Shoe \ Height 1 2 3

1 234 225 84
2 180 453 161
3 39 192 157
 Let X be the coded shoe size and Y the height of a random person in the sample.
(a) Find the joint and marginal pmf of X and Y .
(b) Are X and Y independent?

23 Let X and Y be two continuous random variables with joint pdf

f (x, y) = cx2y(1 + y) for 0 ≤ x ≤ 3 and 0 ≤ y ≤ 3,

and f (x, y) = 0 otherwise.

(a) Find the value of c.
(b) Find the probability P (1 ≤ X ≤ 2, 0 ≤ Y ≤ 1).
(c) Determine the joint cdf of X and Y for a and b between 0 and 3.
(d) Find marginal cdf FX (a) for a between 0 and 3.
(e) Find the marginal pdf fX (x) directly from f (x, y) and check that it is the derivative of
FX (x).
(f) Are X and Y independent?

24 Let X and Y be two random variables and let r, s, t, and u be real numbers.
(a) Show that Cov(X + s, Y + u) = Cov(X, Y ).
(b) Show that Cov(rX, tY ) = rtCov(X, Y ).
(c) Show that Cov(rX + s, tY + u) = rtCov(X, Y ).

25 Derive the formula for the covariance: Cov(X, Y ) = E(XY ) − E(X)E(Y ).

26 (Arithmetic Puzzle) The joint and marginal pmf’s of X and Y are partly given in
the following table.
X\
Y 1 2 3
1 1/6 0 . . . 1/3
2 . . . 1/4 . . . 1/3
3 . . . . . . 1/4 . . .
1/6 1/3 . . . 1
(a) Complete the table.
(b) Are X and Y independent?

27 (Simple Joint Probability) Let X and Y each have range {1,2,3,4}. The following
formula gives their joint pmf
i+j
P (X = i, Y = j) =
80
Compute each of the following:
(a) P (X = Y ).
(b) P (XY = 6).
(c) P (1 ≤ X ≤ 2, 2 < Y ≤ 4).
28 Toss a fair coin 3 times. Let X = the number of heads on the first toss, Y the total
number of heads on the last two tosses, and F the number of heads on the first two tosses.
(a) Give the joint probability table for X and Y . Compute Cov(X, Y ).
(b) Give the joint probability table for X and F . Compute Cov(X, F ).

29 Covariance and Independence

Let X be a random variable that takes values -2, -1, 0, 1, 2; each with probability 1/5.
Let Y = X2.
(a) Fill out the following table giving the joint frequency function for X and Y . Be sure
to include the marginal probabilities.
X -2 -1 0 1 2 total
Y
0
1
4
total
(b) Find E(X) and E(Y ).
(c) Show X and Y are not independent.
(d) Show Cov(X, Y ) = 0.
This is an example of uncorrelated but non-independent random variables. The reason
this can happen is that correlation only measures the linear dependence between the two
variables. In this case, X and Y are not at all linearly related.

30 Continuous Joint Distributions

Suppose X and Y are continuous random variables with joint density function f (x, y) = x+y
on the unit square [0, 1] × [0, 1].
(a) Let F (x, y) be the joint CDF. Compute F (1, 1). Compute F (x, y).
(b) Compute the marginal densities for X and Y .
(c) Are X and Y independent?
(d) Compute E(X), (Y ), E(X2 + Y 2), Cov(X, Y ).