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AI5030 Homework 09

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33 views

AI5030 Homework 09

hhhhhh

Uploaded by

Aditya Shinde
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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AI 5030: PROBABILITY AND STOCHASTIC PROCESSES

INSTRUCTOR: DR. KARTHIK P. N.

HOMEWORK 9 भारतीय ूौ ो गक संस्थान हैदराबाद

TOPICS: CONDITIONAL EXPECTATIONS, LAW OF ITERATED EXPECTATIONS Indian Institute of Technology Hyderabad

Fix a probability space (Ω, F , P). All random variables appearing below are assumed to be defined with respect to F .

1. Let X and Y be independent Poisson random variables with parameters λ1 and λ2 respectively.
Determine E[X|X + Y ] (this should be a function of X + Y ).
Hence compute E[X] using the law of iterated expectations.

2. Let X and Y be jointly continuous with the joint PDF


{
1
y e−xy , x > 0, 0 < y < 2,
fX,Y (x, y) = 2
0, otherwise.

Compute E[eX/2 |Y ].

3. Let X and Y have the joint PDF


{
cx(y − x) e−y , 0 ≤ x ≤ y < +∞,
fX,Y (x, y) =
0, otherwise.

(a) Determine the constant c.


(b) Determine E[X|Y ].
(c) Determine E[Y |X].
4. Suppose that a fair coin is tossed repeatedly until the pattern “HTHH” is observed for the first time in succession.
Determine the expected number of coin tosses required.
Hint: Let N denote the number of tosses required. Let Xn ∈ {H, T } denote the outcome of the nth toss for n ∈ N.
Write E[N ] = E[N |{X1 = H}] · P({X1 = H}) + E[N |{X1 = T }] · P({X1 = T }). Justify this step.
Express E[N |{X1 = T }] in terms of E[N ]. Justify the steps.
Write E[N |{X1 = H}] = E[N |{X1 = H} ∩ {X2 = H}] · P({X2 = H}) + E[N |{X1 = H} ∩ {X2 = T }] · P({X2 = T }).
Again, justify this step.
Express E[N |{X1 = H} ∩ {X2 = H}] in terms of E[N ]. Justify the steps.
Proceed recursively as above.

5. Let X and Y be jointly uniformly distributed over the right‑angled triangle with vertices at (0, 0), (1, 0), and (2, 0).
Compute E[X|{Y > 1}].
6. Let X and Y have the joint PDF
{
3y, −1 ≤ x ≤ 1, 0 ≤ y ≤ |x|,
fX,Y (x, y) =
0, otherwise.

(a) Determine E[Y |{X ≥ Y + 0.5}].


(b) Evaluate E[Y |X], and verify the relation E[Y ] = E[E[Y |X]].
7. Define Var(X|Y ) as
Var(X|Y ) = E[(X − E[X|Y ])2 |Y ] = E[X 2 |Y ] − (E[X|Y ])2 .
Verify the relation
Var(X) = E[Var(X|Y )] + Var(E[X|Y ]).

HOMEWORK 9 AI 5030: PROBABILITY AND STOCHASTIC PROCESSES Page 1

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