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Probability Homework Help

Problems:
• At the end of the quiz period you will turn in this quiz packet, and 2 blue
books. Question 1 will be answered in the quiz packet, while question 2 and 3
will be answered in their own respective blue books.

• Problem 1 is True–False; no partial credit is given.

• For Problems 2 and 3, you should concisely indicate your reasoning and
show all relevant work. Grades will be based on our judgment of your level of
understanding as reflected by what you have written.

• Unless otherwise stated, you may give an answer in the form of an

arithmetic expression (sums, products, ratios, factorials) of numbers that
could be evaluated using a calculator. However you should reduce expressions
as much as possible to recieve full credit. Solutions in class problem sets, and
past quizzes serve as examples.

• This is a closed-b ook exam except for 2 double-sided, handwritten, 8.5 by

11 formula sheet.

• Calculators are allowed. • Be neat! If we can’t read it, we can’t grade it

Write your name, your recitation instructor’s name, and TA’s name on the
cover of the quiz booklet and your 2 blue books.

Problem 1:

Each of the following statements is either True or False. There will be no

partial credit given for the True False questions, thus any explanations will
not be graded. Please clearly indicate True or False in the below,
ambiguous marks will receive zero credit. All parts have equal weight.

(a) X and Y are independent random variables. X is uniformly distributed

on the interval [−2, 2], while Y is uniformly distributed on the interval [−1,
5]. If Z = X + Y , then fZ(3) = 1/6. True False

(b) If X is a Gaussian random variable with zero mean and variance equal
to 1, then the density function of Z = |X| is equal to 2fX(z), z ≥ 0. True False

(c) The sum of a random number of independent Gaussian random

variables with zero mean and unit variance results in a Gaussian random
variable regardless of the distribution of N (the number of variables in the
sum). True False

(d) If X and Y are independent random variables, both exponentially

distributed with parameters λ1 and λ2 respectively. Then the the random
variable Z = min{X, Y } is also exponentially distributed. True False

(e) Let the transform associated with a random variable X be

Then E[X] is equal to 30.
True False

The next set of questions are concerned with two independent random
variables: Y is normal with mean 0 and variance 1, and X is uniform between
[0, 1]. Z = X + Y .

(f) The conditional density of Z given X, fZ|X(z|x), is normal with mean x

and variance 1
Problem 2:

Please write all work for Problem 2 in your first blue book. No work
recorded below will be graded. All parts have approximately the same
weight.

The continuous random variables X and Y have a joint pdf given by

n class we have shown the minimum least squares estimate of Y is given by

E[Y |X = x]

(a) Find the least squares estimate of Y given that X = x, for all possible
values of x. For full credit write the functional form, as opposed to a graph.
(b) Let g(x) be the estimate from part (a). Find E[g(X)] and var(g(X)).

(c) Find the mean square error E[(Y − g(X))2]. Is it the same as E[var(Y |X)]?

(d) Find var(Y ).

Problem 3

Please write all work for Problem 3 in your second blue book. No work
recorded below will be graded. All parts have approximately the same
weight.

Each year, a publisher sends Professor MD a random number of text books

to review. The number of books Professor MD receives each year can be
modeled as a Poisson random variable N, with mean µ. Each book contains
a random number of typos, where the number of typos in one book can be
modeled as a Poisson random variable with mean λ. Let Bi denote the
number of typos in book i. Assume N is independent of Bi for all i, and Bi is
independent of Bj for all i = j. Professor MD is an expert in the field of typo
identification, but even experts aren’t perfect. Assume Professor MD finds
any existing typo with probability p, and that this is independent of finding
any other typos and also independent of N and Bi. The publisher offers
Professor MD two different annual salary options for reviewing the text
books. The two options are:

Option 1: 1 dollar for each typo found.

Option 2: 1 dollar for each book where at least one typo is found.
Let Xi be the amount of money Professor MD receives for book i, and let T
be be the total amount of money Professor MD receives in any given
year.

(a) Find and correctly state the PMF of Xi under option 1. For full credit
reduce this expression to a well known PMF.

(b) What’s the name of this PMF?

(c) (b) Find MT (s) under option 1. (c) Find P(T = 2) under option 1.

(d) (d) Find E[T] under option 1.

(e) (e) Find var(T) under option 1.

(f) (f) Find and correctly state the PMF of Xi under option 2. For full credit
reduce this expression to a well known PMF. What’s the name of this
PMF?

(g) (g) Find E[T] under option 2. Hint: Fully reduce your answer in (f) before
attempting.
Solutions:
Problem 1:

Each of the following statements is either True or False. There will be no

partial credit given for the True False questions, thus any explanations will
not be graded. Please clearly indicate True or False in the below, ambiguous
marks will receive zero credit. All parts have equal weight.

(a) X and Y are independent random variables. X is uniformly distributed on

the interval [−2, 2], while Y is uniformly distributed on the interval [−1,
5]. If Z = X + Y , then fZ(3) = 1/6.

True

Since Z = X + Y and X,Y are independent, the PDF of Z (fZ(z)) can be obtained
by convolving the PDFs of X (fX (x)) and Y (fY (y)). That is

However, since we are interested in only fZ(3), we need to evaluate the

convolution integral at only one point (z = 3). The convolution sum and the
corresponding figure are shown below.
Figure 1: fY (u) is uniform between −1 and 5. fX(z − u) is uniform between z −
2 and z + 2.

(b) If X is a Gaussian random variable with zero mean and variance equal to
1, then the density function of Z = |X| is equal to 2fX (z), z ≥ 0.

True

Here Z is a derived random variable defined by Z = |X|. We can obtain the

PDF of Z using the standard technique of finding the CDF of Z and then
obtaining the PDF by differentiating the CDF. We have (for z ≥ 0)
Taking derivatives,

(c) The sum of a random number of independent Gaussian random

variables with zero mean and unit variance results in a Gaussian random
variable regardless of the distribution of N (the number of sums).

False

This can be verified by taking the transform of the new random variable. If
X1, X2 . . . XN are IID Gaussian random variables and N is also a random
variable independent of the Xis, then the transform of the sum Y = X1 +
X2 . . . XN is given by

This does not take the form esµe 2 for

all MN (s).
(d) If X and Y are independent random variables, both exponentially
distributed with parameters λ1 and λ2 respectively. Then the random
variable Z = min{X, Y } is also exponentially distributed.

True

Here Z is a derived random variable defined as Z = min{X, Y }. We can

obtain the PDF of Z by first determining its CDF and then taking the
derivative. The CDF of Z is given by

It is not very straight forward to determine this probability. Instead, we

can easily obtain P(Z ≥ z). Since this is equivalent to 1 − FZ(z), we have
Taking the derivative, we have

This is the pdf of an exponential random variable with parameter (λ1 + λ2).
(e) Let the transform associated with a random variable X be

Then E[X] is equal to 30.

True

A straight forward way to confirm this fact is to compute the expected

value by taking the derivative of MX(s) and then evaluating it at s = 0. We
have
The next set of questions are concerned with two independent random
variables: Y is normal with mean 0 and variance 1, and X is uniform
between [0, 1]. Z = X + Y .

(f) The conditional density of Z given X, fZ|X(z|x), is normal with mean x

and variance 1.

True

Given the value of x, the random variable Z is a derived random variable

given by Z = x+Y . This is a normal random variable with mean x + E[Y ] and
variance var(Y ).

(g) var(Z) = 2. False

(h) E[X | Z = −1] = −1.

False Since X is uniformly distributed between 0 and 1, the expected value
cannot take on negative values.

(i) cov(X, Z) = var(X)

True By definition, we have cov(X, Z) = E[XZ] − E[X]E[Z]. Using Z = X + Y , we

have
Since X and Y are independent, cov(X, Y ) = 0.

(j) Z = E[X | Z] + E[Y | Z]

True

Since Z = X + Y , we have

E[Z|Z] = E[X + Y |Z] conditional expectation is linear

Z = E[X|Z] + E[Y |Z] since E[Z|Z] = Z

Problem 2:

The continuous random variables X and Y have a joint pdf given by

In class we have shown the minimum least squares estimate of Y is given
by E[Y | X = x] (a) Find the least squares estimate of Y given that X = x, for
all possible values of x. For full credit write the functional form, as opposed
to a graph.

The least square estimate of Y based on X is given by E[Y | X]. In order to

determine this quantity, we need to evaluate the conditional density fY |
X(y|x), for all values of x and y. Since the joint density is uniform through
out the specified region, the conditional density will also be uniform and is
given by
The conditional expectations follow naturally from this.

(b) Let g(x) be the estimate from part (a). Find E[g(X)] and var(g(X)). g(X) is
a derived random variable that is defined as

The expected value of g(X) is given by E[g(X)] = g(x)fX (x) dx. The marginal
density of X (fX(x)) can be obtained by integrating the joint density. (It is
easy to show that c = 0.5,
since the total volume 2c should be
unity).
Thus we have

To compute the variance of g(X), we compute E[g(X)2]

which is given by

The variance var(g(X)) is obtained by

using
(c) Find the mean square error E[(Y − g(X))2]. Is it the same as E[var(Y |X)]?
The mean square error E[(Y − g(X))2] is a function of both Y and X. In
general, we have to evaluate this quantity by evaluating the mean of h(X, Y
) = (Y − g(X))2 over the joint density fX,Y (x, y). However, we can simplify
this by using iterated expectation.

(d) Find var(Y ).

Using total variance theorem, we have

Please write all work for Problem 3 in your second blue book. No work
recorded below will be graded. All parts have approximately the same
weight.

Each year, a publisher sends Professor MD a random number of text books

to review. The number of books Professor MD receives each year can be
modeled as a Poisson random variable N, with mean µ. Each book contains
a random number of typos, where the number of typos in one book can be
modeled as a Poisson random variable with mean λ. Let Bi denote the
number of typos in book i. Assume N is independent of Bi for all i, and Bi is
independent of Bj for all i = j. Professor MD is an expert in the field of typo
identification, but even experts aren’t perfect. Assume Professor MD finds
any existing typo with probability p, independent of finding any other typos
as well as N and Bi.

The publisher offers Professor MD two different annual salary options for
reviewing the text books. The two options are:

Option 1: 1 dollar for each typo found.

Option 2: 1 dollar for each book where at least one typo is found.

Let Xi be the amount of money Professor MD receives for book i, and let T
be be the total amount of money Professor MD receives in any given year.

(a) Find and correctly state the PMF of Xi under option 1. For full credit
reduce this expression to a well known PMF. What’s the name of this PMF?
Let Yi be a Bernoulli random variable,
Then, the pdf of Yi is

Now, note that Xi = Y1 + Y2 + . . . + YBi . So, MXi (s) = MBi (s)|es=MY (s),
where MY (s) = 1 − p + pes and MBi (s) = eλ(e s−1). And, substituting yields:
(b) Find MT (s) under option 1

(c) Find P(T = 2) under option 1. d2 Because T is a discrete R.V. that takes
nonegative integer values, P(T = 2) = 1 d(es)2 MT (s)|es=0. 2! We have,

(d) Find E[T] under option 1.

E[T] = E[Bi]E[Y ]E[N] = µλp

(e) Find var(T) under option 1.

(e) Find var(T) under option 1. Var(T) = Var(Xi)E[N] + Var(N)(E[Xi])2, where

E[Xi] = λp, Var(Xi) = λp, E[N] = µ, and Var(N) = µ. So, Var(T) = µλp(1 + λp).

(f) Find and correctly state the PMF of Xi under option 2. For full credit
reduce this expression to a well known PMF. What’s the name of this PMF?

Let Xi be a Bernoulli random variable that is defined as follows,

Note that Xi is also the amount of money MD receives for book i under
option 2. Let Zi be the number of typos found in book Bi. From part a, we
know that Zi is a possion random variable with parameter λp. Now, P(Xi = 1)
= P(Zi > 0) and, P(Xi = 0) = P(Zi = 0) = e−λp,. So, the pmf of Xi is,
It is to be noted that Xi is a Bernoulli random variable with parameter 1 −
e−λp .

(g) Find E[T] under option 2. Hint: Fully reduce your answer in (f) before
attempting.

Under option 2, T = X1 + X2 + . . . + XN . So, E[T] = E[Xi]E[N] = µ(1 − e−λp).