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Tutorial 6

This document is a tutorial sheet for the MA202: Probability and Statistics course at the Indian Institute of Technology, Ropar, for the 2nd semester of the academic year 2024-25. It includes various problems related to probability generating functions, characteristic functions, moments, and distributions of random variables. The tutorial covers both discrete and continuous random variables, providing exercises to calculate expectations, variances, and other statistical properties.

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2 views

Tutorial 6

This document is a tutorial sheet for the MA202: Probability and Statistics course at the Indian Institute of Technology, Ropar, for the 2nd semester of the academic year 2024-25. It includes various problems related to probability generating functions, characteristic functions, moments, and distributions of random variables. The tutorial covers both discrete and continuous random variables, providing exercises to calculate expectations, variances, and other statistical properties.

Uploaded by

2023ceb1054
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Indian Institute of Technology, Ropar

Department of Mathematics
MA202: Probability and Statistics
2nd Semester of Academic Year 2024-25
Tutorial Sheet 6: Generating Functions contd.

1. Let 𝑋1 , 𝑋2 , ..., 𝑋𝑛 be independent random variables such that

1
𝑃 (𝑋𝑘 = 𝑥) = , 𝑥 = 0, 1, 2, ..., 𝑎 − 1 ; 𝑘 = 1, 2, 3, ..., 𝑛.
𝑎

Find the probability generating function of 𝑆𝑛 = 𝑋1 + 𝑋2 + 𝑋3 + ... + 𝑋𝑛 .


2. Which of the following cannot be a characteristic function of a random variable X ? Explain.
(i) 𝜙𝑋 (𝑡) = | sin 𝑡|
3 𝑖𝑡 𝑖𝑡
(ii) 𝜙𝑋 (𝑡) = ( 10 𝑒 + 1) 𝑒5(𝑒 −1)

3. Consider a random variable 𝑋 with 𝐸(𝑋) = 1 and 𝐸(𝑋 2 ) = 1. Find


(a) 𝐸[(𝑋 − 𝐸[𝑋])4 ], if it exists.
(b) 𝑃 (0 < 𝑋 < 2).
4. Let 𝑋 be a discrete type random variable with characteristic function given by 𝜙𝑋 (𝑡) = 𝑎 + 𝑏𝑒2𝑖𝑡 + 𝑐𝑒4𝑖𝑡 . Assume that
𝐸(𝑋) = 3 and 𝑉 𝑎𝑟(𝑋) = 2. Find the probability mass function of 𝑋.
5. Show that if 𝑋 is a continuous random variable, then

mín 𝔼|𝑋 − 𝑎| = 𝔼|𝑋 − 𝑚|


𝑎

where 𝑚 is the median of 𝑋.


6. Let 𝑀𝑋 (𝑡) be the moment generating function of a random variable 𝑋. Define

𝑆(𝑡) = log𝑒 [𝑀𝑋 (𝑡)].

Show that
𝑑
𝑆(𝑡)| = 𝔼(𝑋)
𝑑𝑡 𝑡=0
and
𝑑2
𝑆(𝑡) = Var(𝑋).
𝑑𝑡2 |𝑡=0

7. Let 𝑋 be a continuous random variable. Show that


∞ ∞
𝐸(𝑋) = 𝑃 (𝑋 > 𝑥) 𝑑𝑥 − 𝑃 (𝑋 < −𝑥) 𝑑𝑥.
∫0 ∫0

8. Let 𝑋 be a random variable with probability density function (pdf):

1
2𝑎
, −𝑎 ≤ 𝑥 ≤ 𝑎
𝑓 (𝑥) =
{0, otherwise.

Find the first four central moments. Hence, determine the coefficients of skewness and kurtosis and interpret your results.

9. Consider the probability generating function (PGF)

(1 + 𝑠)𝑛
𝑃 (𝑠) = , −∞ < 𝑠 < ∞
2𝑛
Determine the corresponding probability mass function (PMF).
10. Let X be random variable with probability density function (pdf):

1 𝑥2
𝑓𝑋 (𝑥) = exp −
√2𝜋 ( 2)

Show that the characteristic function of 𝑋 is given by

𝑡2
𝜙𝑋 (𝑡) = exp −
( 2)

11. A coin is tossed until a head appears. What is the expectation of number of tosses?
12. Let 𝑋 denote the minimum of two numbers that appear when a pair of the dice is thrown once. Determine the

Discrete probability distribution


Expectation
Variance.
13. The probability generating functions of discrete random variables 𝑋 and 𝑌 are given by:

2 1
𝐺𝑋 (𝑡) = (1 + 2𝑡 + 3𝑡2 )2 , 𝐺𝑌 (𝑡) = (𝑡 + 𝑡2 )
3 2
Given that 𝑋 and 𝑌 are independent, find the probability generating function of 𝑍 = 𝑋 + 𝑌 .
14. Consider the random variable 𝑋 which has the PMF:

1
9
, if 𝑥 ∈ ℤ ∩ [−4, 4]
𝑓𝑋 (𝑥) =
{0, otherwise

where ℤ is the set of integers. Find:


𝔼(𝑋)
𝔼(máx{𝑋, 0})
𝔼[(𝑋 − 𝔼(𝑋))2 ]

Best Wishes

Page 2

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