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Tutsheet 4

This document contains 20 practice problems related to probability and stochastic processes. The problems cover a range of concepts including independent and jointly distributed random variables, probability mass and density functions, transformations of random variables, uniform, exponential and normal distributions, moments, order statistics, and properties of variance.

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93 views

Tutsheet 4

This document contains 20 practice problems related to probability and stochastic processes. The problems cover a range of concepts including independent and jointly distributed random variables, probability mass and density functions, transformations of random variables, uniform, exponential and normal distributions, moments, order statistics, and properties of variance.

Uploaded by

vishnu
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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Department of Mathematics

Tutorial Sheet No. 4


MTL 106 (Introduction to Probability and Stochastic Processes)
1. Let X and Y be independent random variables. The range of X is {1, 3, 4} and the range of Y is {1, 2}.
Partial information on the probability mass function is as follows:

pX (3) = 0.50; pY (2) = 0.60; pX,Y (4, 2) = 0.18 .

(a) Determine pX , pY and pX,Y completely.


(b) Determine P (|X − Y | ≥ 2).
2. Evaluate all possible marginal and conditional distributions if (X, Y ) has the following joint probability
distribution
(a) P (X = j, Y = k) = q k−j pj , j = 1, 2, . . . and k = j + 1, j + 2, . . . q = 1 − p
15!
(b) P (X = j, Y = k) = j!k!(15−j−k)! ( 12 )j ( 13 )k ( 16 )15−j−k
for all admissible non negative integral values of j and k.

8
3. Show that

-1

0, x < 0, y < 0 or x + y < 1
F (x, y) =

17
1, otherwise

is not a distribution function.

20
4. Find k, if the joint probability density of (X1 , X2 ) is

ke−3x1 −4x2 , x1 > 0, x2 > 0
fX1 X2 (x1 , x2 ) =
r 0, otherwise
te
Also find the probability that the value of X1 falls between 0 and 1 while X2 falls between 0 and 2.
es

5. Consider a transmitter sends out either a 0 with probability p, or a 1 with probability (1 − p), independently
of earlier transmissions. Assume that the number of transmissions within a given time interval is Poisson
m

distributed with parameter λ. Find the distribution of number of 1’s transmitted in that same time interval?
6. Suppose that the two-dimensional random variable (X, Y ) has joint pdf
Se


1, 0 < x, y < 1
f (x, y) =
0, otherwise
II

Find the pdf of X + Y .


7. Romeo and Juliet have a date at a given time, and each, independently, will be late by an amount of time,
denoted by X and Y respectively, that is exponentially distributed with parameter λ. Find the pdf of, X − Y ,
the difference between their times of arrival?
8. Let X, Y and Z be independent and identically distributed random variables each having a uniform distri-
bution over the interval [0, 1]. Find the joint density function of (V, W ) where V = XY and W = Z 2 .
9. The random variable X represents the amplitude of cosine wave; Y represents the amplitude of a sine wave.
Both are independent and uniformly distributed over the interval (0,1). Let R represent the amplitude of
their resultant, i.e., R2 = X 2 + Y 2 and θ represent the phase angle of the resultant, i.e., θ = tan−1 (Y/X).
Find the joint and marginal pdfs of θ and R.
10. Let X and Y be continuous random variables having joint distribution which is uniform over the square
which has corners at (2, 2), (−2, 2), (−2, −2) and (2, −2). Determine P (|Y | > |X| + 1).

1
11. Consider the metro train arrives at the station near your home every quarter hour starting at 5:00 AM. You
walk into the station every morning between 7:10 and 7:30 AM, with the time in this interval being a uniform
random variable, that is U ([7 : 10, 7 : 30]).

(a) Find the distribution of time you have to wait for the first train to arrive?
(b) Also, find its mean waiting time?

12. Suppose that the two-dimensional random variable (X, Y ) has joint pdf

kx(x − y), 0 < x < 2, −x < y < x
fXY (x, y) =
0, otherwise

Find k. Evaluate P (X < 1/Y = 12 ) and P (Y < 23 /X = 1).


13. Let A, B and C be independent random variables each with uniform distributed on interval (0, 1). What is
the probability that Ax2 + Bx + C = 0 has real roots?
14. Aditya and Aayush work independently on a problem in Tutorial Sheet 4 of Probability and Stochastic

8
Processes course. The time for Aditya to complete the problem is exponential distributed with mean 5

-1
minutes. The time for Aayush to complete the problem is exponential distributed with mean 3 minutes.

17
(a) What is the probability that Aditya finishes the problem before Aayush?
(b) Given that Aditya requires more than 1 minutes, what is the probability that he finishes the problem
before Aayush?

20
(c) What is the probability that one of them finishes the problem a minute or more before the other one?

15. Let X1 and X2 be two iid random variables each N (0, 1) distributed.
r
te
(a) Are X1 + X2 and X1 − X2 independent random variables? Justify your answers.
(b) Obtain E[X12 + X22 | X1 + X2 = t].
es

4
(c) Calculate E[(X1 + X2 ) /(X1 − X2 )].
m

16. Let X and Y be two identically distributed random variables with Var(X) and Var(Y ) exist. Prove or
disprove that Var X+Y

2 ≤ Var (X)
Se

1
17. Let X and Y be two random variables such that ρ(X, Y ) = 2, V ar(X) = 1 and V ar(Y ) = 4. Compute
V ar(X − 3Y ).
18. Let X1 , X2 , . . . , X5 be i.i.d random variables each having uniform distributions in the interval (0, 1).
II

(a) Find the probability that min(X1 , X2 , . . . , X5 ) lies between (1/4, 3/4).
(b) Find the probability that X1 is the minimum and X5 is the maximum among these random variables.
19. Let X1 , X2 , . . . , Xn be iid random variables with E(X1 ) = µ and V ar(X1 ) = σ 2 . Define
n n
1X 1 X 2
X= Xi , S 2 = Xi − X
n i=1 n − 1 i=1

Find (a) V ar(X) (b) E[S 2 ].


20. Pick the point (X, Y ) uniformly in the triangle {(x, y) | 0 ≤ x ≤ 1 and 0 ≤ y ≤ x}. Calculate E[(X − Y )2 /X].

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