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Tutorial 6

This document is a tutorial for a course on Random Processes, covering various topics including conditional probability density functions (PDFs), probability mass functions (PMFs), variance, and covariance for both continuous and discrete random variables. It presents problems involving Gaussian distributions, binomial distributions, and uniform distributions, along with calculations for covariance and variance. The tutorial aims to deepen understanding of the relationships between random variables and their statistical properties.

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2 views

Tutorial 6

This document is a tutorial for a course on Random Processes, covering various topics including conditional probability density functions (PDFs), probability mass functions (PMFs), variance, and covariance for both continuous and discrete random variables. It presents problems involving Gaussian distributions, binomial distributions, and uniform distributions, along with calculations for covariance and variance. The tutorial aims to deepen understanding of the relationships between random variables and their statistical properties.

Uploaded by

lahoba9296
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Tutorial 6
E2 202o – Random Processes, Fall 2024

1. Conditional PDF
Consider two continuous random variables X and Y defined on the same probability space (Ω, F, P).
We assume that the conditional probability density of X given Y is fX|Y is Gaussian N (Y, 1), and
the density of Y is Gaussian N (µ, σ 2 ). Find the conditional density of Y given X.
2. Conditional PMF
Consider two discrete random variables X and Y defined on the same probability space (Ω, F, P).
If Y is a binomial random variable with parameters (M, p2 ) and PX|Y =y is also binomial with
parameters (y, p1 ). Find the probability mass function (PMF) of X.
3. Variance and Covariance
Let X : Ω → R3 be a random vector defined on the probability space (Ω, F, P), where E[Xi ] = 0
and E[Xi2 ] = 1 for all i ∈ {1, 2, 3}. Let ρi ≜ E[Xi X(i+1) mod 3 ] for all i ∈ {1, 2, 3}. Show that the
following hold.
a) Var(X1 − ρ1 X2 ) = 1 − ρ21 .
b) Cov(X1 − ρ1 X2 , X2 ) = 0.
4. Variance and Covariance
Let X and Y be two independent uniform U [0, 1] random variables. Let also Z = max(X, Y ) and
W = min(X, Y ). Find Cov(Z, W ).
5. Conditional PDF, Covariance
Let X be a uniformly distributed random variable X ∼ U [1, 2]. Given X = x, random variable Y
is exponential with parameter λ = x. Find Cov(X, Y ).
6. Covariance
A fair die is rolled n times. Let X denote the number of 1’s that are observed and Y denote the
number of 2’s that are observed. Find Cov(X, Y ).

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