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Department of Mathematics Indian Institute of Technology Guwahati Problem Sheet 6

This document contains 12 problems related to probability theory and random processes. The problems cover a range of topics including: finding the probability mass and density functions of functions of random variables; determining conditional and marginal distributions; calculating expectations, variances, and covariances; properties of jointly distributed random variables including independence; and distributions of order statistics. Solving these problems requires knowledge of important probability distributions like the binomial, Poisson, normal, and exponential distributions as well as concepts like independence, conditioning, transformations of random variables, and working with jointly distributed random variables.

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94 views2 pages

Department of Mathematics Indian Institute of Technology Guwahati Problem Sheet 6

This document contains 12 problems related to probability theory and random processes. The problems cover a range of topics including: finding the probability mass and density functions of functions of random variables; determining conditional and marginal distributions; calculating expectations, variances, and covariances; properties of jointly distributed random variables including independence; and distributions of order statistics. Solving these problems requires knowledge of important probability distributions like the binomial, Poisson, normal, and exponential distributions as well as concepts like independence, conditioning, transformations of random variables, and working with jointly distributed random variables.

Uploaded by

Michael Corleone
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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DEPARTMENT OF MATHEMATICS

INDIAN INSTITUTE OF TECHNOLOGY GUWAHATI


MA225 Probability Theory and Random Processes July - November 2017
Problem Sheet 6 NS

1. Let X and Y be two independent Geometric(p) random variables. Find the PMF of Z = X − Y .

2. Let X and Y be two independent random variables with the DFs FX and FY , respectively. Find the
DFs of Z = max{X, Y }, W = min{X, Y }.

3. If X and Y are independent random variables such that X ∼ P oisson(λ1 ) and Y ∼ P oisson(λ2 ),
what is the distribution of X + Y (that is the p.m.f) and the conditional distribution of X given
X + Y = z (where z is some fixed nonnegative integer)? What is the conditional distribution of X + Y
given X = x?

4. Suppose that items with a probability 13 of being defective are subjected to inspection in such a way
that the probability of an item being inspected is 25 , or in other words 25 th of total number of items are
going to be inspected. Let N be the number of items which pass the inspection desk (both inspected
and uninspected) before the first defective item is found, or discovered. Let X be the number of
defective items (which were not inspected) among the N items.

(a) Find E(X|N ), hence find the value of E(X + N ).


(b) Find the value of Cov(X, N ).
(c) If Y gives the number of items which were not defective among the N items, then find the value
of Cov(X, Y ).

5. (X, Y ) is said to have a bivariate normal distribution with parameters µ1 , µ2 , σ12 , σ22 , ρ if the joint
probability density function is given by
 2 2  
1 x−µ1 y−µ2 x−µ1 y−µ2
1 − 2 σ1
+ σ2
−2ρ σ1 σ2
f (x, y) = p e 2(1−ρ ) , x, y ∈ R,
2πσ1 σ2 1 − ρ2

where σ1 , σ2 > 0 and −1 < ρ < 1.

(a) Find the marginal probability density functions of X and Y .


(b) Find the conditional probability density functions of Y given X = x as well as that of X given
Y = y. Determine E(Y |X = x) and E(X|Y = y). Also, determine V ar(Y |X = x).
(c) Show that X and Y are independent if ρ = 0.
(d) What is the probability density function of X + Y .
(e) Find ρX,Y .

6. Let X and Y be independent and identically distributed random variable each having exponential
distribution with parameter λ.

(a) Find the PDFs of the random variables X + Y, X − Y, min{X, Y } and max{X, Y }.

1
(b) Let U = X + Y and V = X − Y . Find the conditional PDF of V given U = u, for some u > 0.
X
(c) Check whether U and Z = X+Y are independent or not.

7. In random sampling with replacement from a population with N distinct objects, let X be the number
of drawings required to get 2 distinct objects. Find E(X) and V ar(X). What do you think would be
the result if X is the number of drawings required to get n(n ≤ N ) distinct objects.

8. Let X and Y be two independent U (0, 1) random variables, and let Z = XY . Find the DF and PDF
of Z.

9. Let X and Y be two independent standard normal random variables. Find the joint PDF and marginal
PDFs of Z = 2X − Y and W = −X + Y . Are they independent?
(
2x, 0 ≤ x ≤ 1
10. Let X be a continuous random variable with PDF f (x) = We know that given
0, otherwise
X = x, the random variable Y is uniformly distributed on [−x, x]. Find the joint PDF of X and Y .
Find the marginal PDF of Y . Determine P {|Y | < X 3 }.

11. Suppose X ∼ U (1, 2), and given X = x, Y is exponential with λ = x. Find Cov(X, Y ).

12. Let X and Y be two independent N (0, 1) random variables. Find Cov(U, V ), where U = 1+X +XY 2
and V = 1 + X.

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