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Probability 2017 Homework 3: 1 Q1 (10 Points)

This document contains 5 homework questions about probability and statistics: 1) It proves that the expected value of a nonnegative continuous random variable X is equal to the integral from 0 to infinity of the probability that X is greater than x. 2) It finds the CDF and PDF of the distance X from a randomly chosen point within a triangle to the base of the triangle, given the height of the triangle. 3) It states that the PDF of a normal random variable with mean μ and standard deviation σ is a normal distribution. 4) It finds the joint PDF and marginal PDF of the coordinates X and Y of a randomly chosen point within a semicircle, and uses the marginal PDF of Y to calculate

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46 views3 pages

Probability 2017 Homework 3: 1 Q1 (10 Points)

This document contains 5 homework questions about probability and statistics: 1) It proves that the expected value of a nonnegative continuous random variable X is equal to the integral from 0 to infinity of the probability that X is greater than x. 2) It finds the CDF and PDF of the distance X from a randomly chosen point within a triangle to the base of the triangle, given the height of the triangle. 3) It states that the PDF of a normal random variable with mean μ and standard deviation σ is a normal distribution. 4) It finds the joint PDF and marginal PDF of the coordinates X and Y of a randomly chosen point within a semicircle, and uses the marginal PDF of Y to calculate

Uploaded by

YuliVeloz
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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Probability 2017 Homework 3

March 20, 2017

1 Q1 (10 points)
R +∞
Suppose that X is nonnegative continuous random variable. Prove that E[X] = 0
P (X > x)dx.

Solution:
Suppose f (x) is the density function of X.

Z +∞ Z +∞ Z +∞ Z +∞
P (X > x)dx = f (y)dydx (by P (X > x) = f (y)dy)
0 0 x x
Z +∞ Z y
= f (y)dxdy (by changing the order of integral)
0 0
Z +∞ Z y
= f (y) dxdy
0 0 (1)
Z +∞
= f (y)ydy
0
Z +∞
= f (y)ydy (by the nonnegtivity of X)
−∞
= E[X]

2 Q2 (10 points)
Consider a triangle and a point chosen within the triangle according to the uniform probability
law. Let X be the distance from the point to the base of the triangle. Given the height of the
triangle, find the CDF and the PDF of X.

Solution:
Suppose 4ABC is the considered triangle. Let h be the height of 4ABC, S be the area of 4ABC
. Draw a line parallel to the base within the triangle, whose distance to the base is x. The intersect
of this line and the waist of the triangle is D and E respectively.

1
Then for 0 < x < h:
P (X > x) = P (the point f alls in 4ADE)
= S4ADE /S (by unif orm probability law) (2)
2 2
= (h − x) /h (by the property of similar triangles)

Thus the CDF of X is:


P (X ≤ x) = 1 − P (X > x)

2 2
1 − (h − x) /h , 0 < x < h

(3)
= 0, x≤0

1, x≥h

The PDF is obtained by differentiating CDF:


d
f (x) = [P (X ≤ x)]
dx
( (4)
2(h − x)/h2 , 0 < x < h
=
0, otherwise

3 Q3 (10 points)
Please write down the PDF of a normal random variable with mean µ and standard deviation σ.

Solution:
Suppose X is a normal random variable with mean µ and standard deviation σ. Then the PDF of
X is:
1 (x−µ)2
f (x) = √ e− 2σ2 (x ∈ IR)
2πσ
.

4 Q4 (10 points)
A point is chosen at random (according to a uniform PDF) within a semicircle of the form {(x, y) :
x2 + y 2 < r2 , y > 0}, for some given r>0.
a) Find the joint PDF of the coordinates X and Y of the chosen point.
b) Find the marginal PDF of Y and use it to find E[Y ].

Solution:
a) Let B = {(x, y) : x2 + y 2 < r2 , y > 0}. the joint PDF of the coordinates X and Y is:
(
2/πr2 , (x, y) ∈ B
f (x, y) = (5)
0, otherwise

b) The marginal density of Y on (0, r) is:


Z +∞
fY (y) = f (x, y)dx
−∞
√
Z + r 2 −y 2
2 (6)
= √ dx
− r 2 −y 2 πr2
4 p 2
= r − y2
πr2
Thus, the marginal density of Y is:
( p
4
πr 2 r2 − y2 , y ∈ (0, r)
fY (y) = (7)
0, otherwise

2
The expectation of Y is:
Z +∞
E[Y ] = yfY (y)dy
−∞
Z r
4 p 2 (8)
= y r − y 2 dy
0 πr2
4r
=
3π

5 Q5 (10 points)
Let X1 , X2 , ..., Xn be independent random variables. We know that variance has linearity for
independent random variables, namely

V ar[X1 + X2 + ... + Xn ] = V ar[X1 ] + V ar[X2 ] + ... + V ar[Xn ]

How about the variance of the product? Can you express

V ar[X1 X2 ...Xn ]

in terms of V ar[Xi ] and E[Xi2 ] ?

Solution:
First note two facts:
Fact 1: if X1 , X2 , ..., Xn are independent, then X12 , X22 , ..., Xn2 are also independent.
Fact 2: if X and Y are independent, then E[XY ] = E[X]E[Y ].
Then,

V ar[X1 X2 ...Xn ] ≡ E[(X1 X2 ...Xn − E[X1 X2 ...Xn ])2 ]


= E[(X1 X2 ...Xn )2 − 2E[X1 X2 ...Xn ](X1 X2 ...Xn ) + E(X1 X2 ...Xn )2 ]
= E[(X1 X2 ...Xn )2 ] − 2E[X1 X2 ...Xn ]2 + E[X1 X2 ...Xn ]2
= E[(X1 X2 ...Xn )2 ] − E[X1 X2 ...Xn ]2
= E[(X12 X22 ...Xn2 )] − E[X1 X2 ...Xn ]2
= E[X12 ]E[X22 ]...E[Xn2 ] − E[X1 X2 ...Xn ]2 (by F act 1 and F act 2)
= E[X12 ]E[X22 ]...E[Xn2 ] − E[X1 ]2 E[X2 ]2 ...E[Xn ]2 (by F act 2)
= E[X12 ]E[X22 ]...E[Xn2 ] − [E[X12 ] − V ar(X1 )][E[X22 ] − V ar(X2 )]...[E[Xn2 ] − V ar(Xn )]
Yn Yn
= E[Xi2 ] − [E[Xi2 ] − V ar(Xi )]
i=1 i=1
(9)

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