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Indian Institute of Technology Guwahati Probability Theory and Random Processes (MA225) Problem Set 07

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16 views

Indian Institute of Technology Guwahati Probability Theory and Random Processes (MA225) Problem Set 07

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ar04102004
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Indian Institute of Technology Guwahati

Probability Theory and Random Processes (MA225)


Problem Set 07

1. Let X be a continuous random variable. A real number m is said to be median of X if FX (m) = 0.5. Show
that, for all c ∈ R, E|X − c| ≥ E|X − m|.
2. Let {Xn } be a sequence of random variables with P (Xn = n) = 1 − n1 and P (Xn = 0) = n1 . Does Xn
converge to some random variable X in distribution? [Note: This example shows that even if a sequence of
distribution functions converges, it may not converge to a distribution function.]
3. Let Xn → X in rth mean, for some r > 0. Show that Xn → X in probability.
4. (a) Show that |E(X)| ≤ E|X|.
(b) Show that if Xn → X in 1st mean, then E(Xn ) → E(X).
(c) Give an example of a sequence of random variables {Xn } such that E(Xn ) → E(X), but Xn 9 X in
1st mean.
k 1
5. Let Xn be a sequence of discrete random variables such that P (Xn = 2n ) = 2n for k = 1, 2, . . . , 2n . Show
that Xn → X in distribution, where X ∼ U (0, 1).
n
1 X 2
6. Let {Xn } be a sequence of i.i.d. random variables with finite variance σ 2 . Let Sn2 = Xi − X .
n − 1 i=1
Show that {Sn2 } converges to σ 2 almost surely.

7. Let {Xn } be a sequence of identically distributed random variables with mean µ ∈ R and variance σ 2 < ∞,
where σ > 0. Also assume that Cov (Xi , Xj ) = 0 for i 6= j. Show that X n → µ in probability.
8. Let {Xn } be a sequence of i.i.d. random variables with mean 0 and variance 1. Find the limiting distribution
of
√ X1 X2 + X3 X4 + . . . + X2n−1 X2n
Zn = n .
X12 + X22 + . . . + Xn2

9. Let {Xn } be a sequence of i.i.d. random variables with mean α and variance σ 2 , and √
let {Yn } be a sequence
n −α)
of i.i.d. random variables with mean β (6= 0). Find the limiting distribution of Zn = n(X Y
.
n

√
10. Let {Xn } be a sequence of i.i.d. random variables with mean µ and finite variance σ 2 . Show that n XSnn−µ →
Z in distribution, where Z ∼ N (0, 1).
11. Let Xi and
 Yi , i = 1, 2, . . . are independently and nidentically distributed U (0, 1) random variables. Let
Nn = # k : 1 ≤ k ≤ n, Xk2 + Yk2 ≤ 1 . Show that 4N n converges to π with probability one.

12. Let Xi , i = 1, 2, . . . , 50, be independent random variables


 each being uniformly distributed over the interval
P50 √
(0, 1). Find the approximate value of P X
i=1 i > 30 . You may use the fact that Φ( 6) = 0.9928. Ans:
0.0071.
13. Show that
n
−n
X nk 1
lim e = .
n→∞ k! 2
k=0

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