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Problem Set 1

This document is a problem set for the course EE5110: Probability Foundations for Electrical Engineers. It contains 5 problems related to probability and random variables. Students are instructed to submit their own individual work by August 27, 2021. Collaboration is strictly prohibited. The problems cover topics like proving sets are uncountable, finding expected values of random variables, limits of events and random variables, and properties of normal and Cauchy random variables.

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97 views2 pages

Problem Set 1

This document is a problem set for the course EE5110: Probability Foundations for Electrical Engineers. It contains 5 problems related to probability and random variables. Students are instructed to submit their own individual work by August 27, 2021. Collaboration is strictly prohibited. The problems cover topics like proving sets are uncountable, finding expected values of random variables, limits of events and random variables, and properties of normal and Cauchy random variables.

Uploaded by

Abdul Wahid
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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EE5110: Probability Foundations for Electrical Engineers

Indian Institute of Technology Madras August 13, 2021


Instructor: Abhishek Sinha

Problem Set 1
• This problem set is due on August 27, 2021 in the class.
• Each problem carries 10 points.
• Collaboration is strictly prohibited. Each student must submit their own work.

1. (Cardinality of a set) Recall that, in the class we proved that the set of all binary
sequences is uncountable. Hence or otherwise, prove that 2N , the power set of the
natural numbers, is uncountable.

2. (Minimum Number of Trials) Let x0 = 1, and let δ be some constant satisfying


0 < δ < 1. Iteratively, for n = 0, 1, 2, . . . a point xn+1 is chosen uniformly from the
interval [0, xn ]. Let Z be the smallest value of n for which xn < δ. Find the expected
value of Z, as a function of δ.
Hint: Let N (x) be the minimum number of trials necessary when xk = x for some
k. Set up an equation in terms of N (x) and solve it upon supplying the appropriate
boundary conditions. Clearly mention if you make any assumptions.

3. (Limsup of Events) Suppose that the sequence of events {An }n≥1 satisfy
∞
X
P(An ) → 0 and P(Acn ∩ An+1 ) < ∞.
n=1

Show that P(An i.o.) = 0.

4. (Strong Law for Normal r.v.s) (a) Prove that if G is a random variable with the
normal N (0, 1) distribution, then, for x > 0,
Z ∞
1 2 1 2
P(G > x) = √ e−x /2 dx ≤ √ e−x /2 .
2π x x 2π
(b) Let X1 , X2 , . . . be a sequence of independent N (0, 1) variables. Prove that, with
probability 1, L ≤ 1, where
p
L := lim sup(Xn / 2 log n).
√
(c) Let Sn := X1 + X2 + . . . + Xn . Recall that Sn / n has the N (0, 1) distribution.
Prove that
p
P(|Sn | < 2 n log n, ev) = 1.
2

5. (‘Cauchy Sequence’) Let’s call a sequence of random variables {Xn }n≥1 to be Cauchy
in probability if for all  > 0, there exists an N such that P(|Xm − Xn | > ) <  for
m, n > N .
(a) Using the first Borel-Cantelli Lemma show that there is a subsequence {Xnk }k≥1
and a random variable X such that limk Xnk = X w.p. 1.
(b) Conclude that Xn →p X.

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