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Tutorial Sheet-5

The document is a tutorial sheet for a course on Probability and Stochastic Processes, containing various problems related to random variables, joint and marginal distributions, conditional probabilities, and expectations. It includes tasks such as finding marginal PMFs, joint PMFs, expected values, variances, and conditional distributions for different scenarios involving random variables. The problems cover a range of topics including continuous and discrete distributions, independence, and joint density functions.

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2022apporva
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3 views4 pages

Tutorial Sheet-5

The document is a tutorial sheet for a course on Probability and Stochastic Processes, containing various problems related to random variables, joint and marginal distributions, conditional probabilities, and expectations. It includes tasks such as finding marginal PMFs, joint PMFs, expected values, variances, and conditional distributions for different scenarios involving random variables. The problems cover a range of topics including continuous and discrete distributions, independence, and joint density functions.

Uploaded by

2022apporva
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Tutorial sheet-5

MTL 106 (Probability and Stochastic Processes)

1. A product is classified according to the number of defects it contains and


the factory that produces it. Let X1 and X2 be the random variables
that represent the number of defects per unit (taking on possible values
of 0, 1, 2, or 3) and the factory number (taking on possible values 1 or 2),
respectively. The entries in the table represent the joint possibility mass
function of a randomly chosen product.

X2
1 2
X1
1 1
0 8 16
1 1
1 16 16
3 1
2 16 8
1 1
3 8 4.

(i) Find the marginal probability distributions of X1 and X2 .


(ii) Find E[(X1 )], E[(X2 )], Var(X1 ), Var(X2 ), and Cov(X1 , X2 ).
2. Suppose that 15 percent of the families in a certain community have no
children, 20 percent have 1, 35 percent have 2, and 30 percent have 3 chil-
dren; suppose further that each child is equally likely (and independently)
to be a boy or a girl and the families are distinguishable with the order
of children. Let B be the number of boys and G represent the number of
girls in randomly chosen family.
(a) Find joint PMF of (B, G) and the marginal PMF of B and G.
(b) If we know that the family chosen has one girl, compute the condi-
tional probability mass function of the number of boys in the family.
3. The joint density function of X and Y is given by
(
2e−x e−2y , 0 < x < ∞, 0 < y < ∞
f (x, y) =
0, otherwise

Compute (a) P {X > 1, Y > 1}; (b) P {X < Y }; and (c) P {X < a}.

4. Let X and Y be i.i.d. random variables drawn from distribution having


pdf (
λe−λz 0 < z < ∞
f (z) =
0 otherwise,

where λ > 0. Find the density function of W := min{X, Y 2 }.

1
5. Let (X, Y ) be a two-dimensional random variable satisfying
(
ye−y 0 < y < ∞
fY (y) =
0 otherwise
(
1
y 0<x<y
fX|Y (x|y) =
0 otherwise
For x > 0, compute E(Y |X = x) and V ar(Y |X = x).

6. Let X and Y be two random variables such that ρ(X, Y ) = 12 , Var(X) =


1 and Var(Y ) = 4. Compute Var(X − 3Y ).
7. 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), E(Y ), E(X 2 + Y 2 ), Cov(X, Y ).
x2
8. Let (X, Y ) have the joint PDF f defined by f (x, y) = 43 [xy + 2 ] if 0 <
x < 1, 0 < y < 2, and 0 otherwise. Find P {Y < 1|X < 1/2}.
9. For joint PMF given by

(x + y + k − 1)! x y
P {X = x, Y = y} = p1 p2 (1 − p1 − p2 )k ,
x!y!(k − 1)!

where x, y = 0, 1, 2, · · · , k ≥ 1 is an integer, 0 < p1 < 1, 0 < p2 < 1,


and p1 + p2 < 1, find the marginal PMFs of X and Y and the conditional
distributions.
10. Let X1 , X2 be iid RVs with common PMF
1
P {X = 1} = P {X = −1} = .
2
Write X3 = X1 X2 . Show that X1 , X2 , X3 are pairwise independent but
not independent.
11. The number of customers entering a supermarket in a given hour is a
random variable with mean 100 and standard 20. Each customer, inde-
pendently of the others, spends a random amount of money with mean
100 and standard deviation 50. Find the mean and standard deviation of
the amount of money spent during the hour.

2
12. Joint PMF of random variable X and Y is
( x −100
100 e
(x+1)! y = 0, 1, 2, ..., x and x = 0, 1, 2, ....
PX,Y (x, y) =
0 otherwise

ˆ Find the Marginal PMF PX (x).


ˆ Show that Marginal PMF PY (y) = P[X > y]/100
13. Let (X, Y ) be jointly distributed with density
( −1
y(1 + x)−4 e−y(1+x) , x, y ≥ 0,
f (x, y) =
0, otherwise.
Find E{Y |X}.
14. For the bivariate RV (X, Y ) with PDF

β α+γ
f (x, y) = xα−1 (y − x)γ−1 e−βy , 0 < x < y; α, β, γ > 0,
Γ(α)Γ(γ)
find the marginal PDFs of X and Y and the conditional PDFs. Also,
find the conditional PDf of Y − X given X = x, and the conditional
distribution of X/Y given Y = y.
15. Suppose that X and Y are independent continuous random variables.
Show that
R∞
(a) P {X + Y ≤ a} = −∞ FX (a − y)fY (y)dy
R∞
(b) P {X ≤ Y } = −∞ FX (y)fY (y)dy
where fY is the density function of Y , and FX is the distribution function
of X.
16. Consider two batteries, one of brand A and the other of brand B. Brand
A batteries have a length of life with density function
3
f (x) = 3λx2 e−λx , x > 0, and zero elsewhere,

where as brand B batteries have a length of life with density function


given by
3
g(y) = 3µy 2 e−µy , y > 0, and zero elsewhere.
Brand A and brand B batteries operate independently and are put to a
test. What is the probability that brand B battery will outlast brand A?
In particular, what is the probability if λ = µ?
17. Let (X, Y ) have the joint PDF f defined by f (x, y) = 12 inside the square
with corners at the points (1, 0), (0, 1), (−1, 0), and (0, −1) in the (x, y)-
plane, and =0 otherwise. Find the marginal PDFs of X and Y .

3
18. Let (
e−x−y−z , x > 0, y > 0, z > 0,
f (x, y, z) =
0, otherwise
be the joint PDF of (X, Y, Z). Compute P {X < Y < Z}.
19. Let X and Y be random variables with joint PDF
(
ay
2 if x ≥ 1, 0 ≤ y ≤ 1,
f (x, y) = x
0 otherwise.

ˆ What is the conditional PDF of Y given X = x?


ˆ What is conditional expectation of Y given X?
ˆ What is the expected value of Y ?

20. Let X, Y be iid RVs with common PDF


(
e−x if x > 0,
f (x) =
0 if x ≤ 0.

(a) Find the PDF of RVs X + Y , X − Y , XY , X/Y , min{X, Y },


max{X, Y } and X/(X + Y ).
(b) Let U = X + Y and V = X − Y . Find the conditional PDF of V
given U = u, for some fixed u > 0.
(c) Show that U and Z = X/(X + Y ) are independent.

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