NPTEL- Probability and Distributions

MODULE 2
RANDOM VARIABLE AND ITS DISTRIBUTION
PROBLEMS

1. Let ℬ1 denote the Borel sigma-field of subsets of ℝ and let −∞ < 𝑥 < 𝑦 < ∞.
Define ℬ 𝑥,𝑦 = { 𝑥, 𝑦 ∩ 𝐵: 𝐵 ∈ ℬ1 }. Show that:
(i) 𝑎 ∈ ℬ1 , ∀𝑎 ∈ ℝ;
(ii) If 𝐶 is a countable subset of ℝ, then 𝐶 ∈ ℬ1 ;
(iii) ℬ 𝑥,𝑦 is a sigma-field of subsets of 𝑥, 𝑦 .

2. Let 𝛺 be a given set and let 𝑋: 𝛺 → ℝ be a given function. Define 𝑋 −1 : 𝒫 ℝ →

𝒫 𝛺 by 𝑋 −1 𝐵 = 𝜔 ∈ 𝛺: 𝑋 𝜔 ∈ 𝐵 , where, for a set 𝑆, 𝒫(𝑆) denotes the
power set of 𝑆. Let 𝐴, 𝐵 ∈ 𝒫 ℝ and let 𝐴𝛼 ∈ 𝒫 ℝ , 𝛼 ∈ 𝛬, where 𝛬 ⊆ ℝ is an
arbitrary index set. Show that:
(i) 𝑋 −1 𝐴 − 𝐵 = 𝑋 −1 𝐴 − 𝑋 −1 𝐵 ;
𝑐
(ii) 𝑋 −1 𝐵 𝑐 = 𝑋 −1 𝐵 ;
(iii) 𝑋 −1 𝛼∈𝛬 𝐴𝛼 = 𝛼∈𝛬 𝑋 −1 𝐴𝛼 ;
(iv) 𝑋 −1 𝛼∈𝛬 𝐴𝛼 = 𝛼∈𝛬 𝑋 −1 𝐴𝛼 ;
(v) 𝐴 ∩ 𝐵 = 𝜙 ⇒ 𝑋 −1 𝐴 ∩ 𝑋 −1 𝐵 = 𝜙.

3. Let 𝛺, ℱ, 𝑃 be a probability space and let 𝑋: 𝛺 → ℝ be a function. In each of

the following cases, verify whether or not 𝑋 is a r.v..
(i) 𝛺 = −2, −1, 0, 1, 2, 3 ,
ℱ = {𝜙, Ω, 0 , −1, 1 , −2, −1, 1, 2, 3 , −2, 0, 2, 3 , −1, 0, 1 , −2, 2, 3 }
and 𝑋 𝜔 = 𝜔2 , 𝜔 ∈ 𝛺;
(ii) 𝛺 = 𝜔1 , 𝜔2 , 𝜔3 , 𝜔4 ,
ℱ = 𝜙, 𝛺, 𝜔1 , 𝜔2 , 𝜔2 , 𝜔3 , 𝜔4 , 𝜔1 , 𝜔3 , 𝜔4 , 𝜔1 , 𝜔2 , 𝜔3 , 𝜔4 ,
𝑋 𝜔1 = 0, 𝑋 𝜔2 = 𝑋 𝜔3 = 1 and 𝑋 𝜔4 = 2;
(iii) 𝛺 = 0,1 , ℱ = ℬ 0,1 , where ℬ 0,1 is as defined in Problem 1, and
1
𝜔, if 𝜔 ∈ 0,
𝑋 𝜔 = 2 .
1 1
𝜔 − , if 𝜔 ∈ , 1
2 2
4. Let 𝛺, ℱ, 𝑃 be a probability space and let 𝑋: 𝛺 → ℝ be a r.v.. In each of the
following cases determine whether or not 𝑌: 𝛺 → ℝ is a r.v.:

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NPTEL- Probability and Distributions

(i) 𝑌 𝜔 = 𝑋 𝜔 , 𝜔 ∈ 𝛺;
2
(ii) 𝑌 𝜔 = 𝑋 𝜔 , 𝜔 ∈ 𝛺;
(iii) 𝑌 𝜔 = 𝑋 𝜔 , 𝜔 ∈ 𝛺, where 𝑋 −1 −∞, 0 = 𝜙;
(iv) 𝑌 𝜔 = max 𝑋 𝜔 , 0 , 𝜔 ∈ 𝛺;
(v) 𝑌 𝜔 = max −𝑋 𝜔 , 0 , 𝜔 ∈ 𝛺.

5. Consider a random experiment of two independent tosses of a coin so that the

sample space is 𝛺 = HH, HT, TH, TT with obvious interpretations of outcomes
HH, HT, TH and TT . Let ℱ = 𝒫 𝛺 (the power set of 𝛺 ) and let 𝑃 ∙ be a
probability measure defined on ℱ such that 𝑃 HH = 𝑝2 , 𝑃 HT =
𝑃 TH = 𝑝 1 − 𝑝 and 𝑃 TT = 1 − 𝑝 2 , where 𝑝 ∈ 0,1 . Define the
function 𝑋: 𝛺 → ℝ by 𝑋 HH = 2, 𝑋 HT = 𝑋 𝑇𝐻 = 1 and 𝑋 TT = 0,
i.e., 𝑋 𝜔 denotes the number of Hs (heads) in 𝜔. Show that 𝑋 a r.v. and find the
probability space (ℝ, ℬ1 , 𝑃𝑋 ) induced by 𝑋.

6. A card is drawn at random from a deck of 52 playing cards so that the sample
space consists of names of 52 cards (e.g., jack of heart, ace of spade, etc,). Let
ℱ = 𝒫 𝛺 (the power set of 𝛺). Define 𝑋: 𝛺 → ℝ by

5, if 𝜔 is an ace
4, if 𝜔 is a king
𝑋 𝜔 = 3, if 𝜔 is a queen.
2, if 𝜔 is a jack
1, otherwise

Show that 𝑋 is a r.v. and find the probability space ℝ, ℬ1 , 𝑃𝑋 induced by 𝑋.

7. Let 𝑋1 , 𝑋2 and 𝑋3 be three random variables with respective distribution functions

𝐹1 , 𝐹2 and 𝐹3 , where
0, if 𝑥 < −1
0, if 𝑥 < −1 𝑥+1
𝑥+2 , if − 1 ≤ 𝑥 < 0
𝐹1 𝑥 = 4
, if − 1 ≤ 𝑥 < 1 ; 𝐹2 𝑥 = 𝑥 + 3 ;
4
1, if 𝑥 ≥ 1 , if 0 ≤ 𝑥 < 1
4
1, if 𝑥 ≥ 1
and

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NPTEL- Probability and Distributions

0, if 𝑥 < −2
1
, if − 2 ≤ 𝑥 < 0
3
1
𝐹3 𝑥 = , if 0 ≤ 𝑥 < 5 .
2
2
1 𝑥−5
+ , if 5 ≤ 𝑥 < 6
2 2
1, if 𝑥 ≥ 6

1 1
(i) Sketch the graph of 𝐹1 𝑥 and compute 𝑃 − 2 < 𝑋1 ≤ 2 , 𝑃 𝑋1 =
0 , 𝑃 𝑋1 = 1 , 𝑃 −1 ≤ 𝑋1 < 1 and 𝑃 −1 < 𝑋1 < 1 ;
1 3 1
(ii) Compute 𝑃 ≤ 𝑋2 ≤ ,𝑃 𝑋2 ≥ , 𝑃 𝑋2 ≥ 0 and 𝑃 0 < 𝑋2 ≤
4 4 2
1
;
2
11
(iii) Compute 𝑃 −2 ≤ 𝑋3 < 5 , 𝑃 0 < 𝑋3 < and the conditional
2
3 11
probability 𝑃 < 𝑋3 ≤ 𝑋3 > 2 .
2 2

8. Do the following functions define distribution functions?

0, if 𝑥 < 0
1
0, if 𝑥 < 0
i 𝐹1 𝑥 = 𝑥, if 0 ≤ 𝑥 ≤ 2 ; (ii) 𝐹2 𝑥 = −𝑥 ;
1 1 − 𝑒 , if 𝑥 ≥ 0
1, if 𝑥 > 2

and

1 tan −1 (𝑥)
(iii) 𝐹3 𝑥 = 2 + 𝜋
, −∞ < 𝑥 < ∞.

9. Let 𝐹: ℝ → ℝ be defined by
0, if 𝑥 < 0
𝐹(𝑥) = 2 𝑥 1 𝑥 ,
1− 𝑒 −
2 − 𝑒− , 2 if 𝑥 ≥ 0
3 3

where, for 𝑦 ∈ ℝ, 𝑦 denotes the largest integer ≤ 𝑦. Show that 𝐹 is a d.f. of

some r.v. 𝑋 . Compute 𝑃 𝑋 > 4 , 𝑃 𝑋 = 4 , 𝑃 𝑋 ≥ 4 , 𝑃 𝑋 = 3 and
𝑃 3≤𝑋<6 .

10. Let 𝐹 ∙ and 𝐺 ∙ be two distribution functions. Verify whether or not the
following functions are distribution functions:

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NPTEL- Probability and Distributions

i 𝐻 𝑥 = 𝐹 𝑥 + 𝐺 𝑥 ; (ii) 𝐻 𝑥 = max 𝐹 𝑥 , 𝐺 𝑥 ; (iii) 𝐻 𝑥 =

min 𝐹 𝑥 , 𝐺 𝑥 .

11. (i) Let 𝐹1 ∙ , … , 𝐹𝑛 ∙ be distribution functions and let 𝑎1 , … , 𝑎𝑛 be positive real

numbers satisfying 𝑛𝑖=1 𝑎𝑖 = 1. Show that 𝐺 𝑥 = 𝑛𝑖=1 𝑎𝑖 𝐹𝑖 𝑥 is also a d.f.;
(ii) If 𝐹 ∙ is a d.f. and 𝛼 is a positive real constant, then show that 𝐺 𝑥 =
𝛼 𝛼
𝐹 𝑥 and 𝐻 𝑥 = 1 − 1 − 𝐹 𝑥 are also distribution functions.
12. Do there exist real numbers 𝛼, 𝛽, 𝛾 and 𝛿 such that the following functions
become distribution functions?

0, if 𝑥 < 0
𝑥2
, if 0 ≤ 𝑥 < 1
2
1
0, if 𝑥 ≤ 0
i 𝐹 𝑥 = + 𝛼 𝑥 − 1 2, if 1 ≤ 𝑥 ≤ 2 ; (ii) 𝐺 𝑥 = −
𝑥2 .
2
𝑥−2 4 𝛾 + 𝛿𝑒 2 , if 𝑥 > 0
𝛽+ , if 2 < 𝑥 ≤ 3
7
1, if 𝑥 > 3

13. Do the following functions define probability mass functions of some random
variables of discrete type?

𝑥 𝑒 −1
, if 𝑥 ∈ −1, 0, 1, 2 , if 𝑥 ∈ 0, 1, 2, ⋯
i 𝑓1 𝑥 = 2 ; (ii) 𝑓2 𝑥 = 𝑥! ;
0, otherwise 0, otherwise

50 1 𝑥 3 50−𝑥
, if 𝑥 ∈ 1, 2, ⋯ , 50
(iii) 𝑓3 𝑥 = 𝑥 4 4 .
0, otherwise

14. For each of the following, find the value of constant 𝑐 so that 𝑓 ∙ is a p.m.f. of
some discrete type r.v.(say 𝑋). Also, for each of the following, find 𝑃 𝑋 >
2 , 𝑃 𝑋 < 4 , and 𝑃 1 < 𝑋 < 2 :

𝑐𝜆 𝑥
𝑐 1 − 𝑝 𝑥 , if 𝑥 ∈ 1, 2, 3, ⋯ , if 𝑥 ∈ 1, 2, ⋯
i 𝑓 𝑥 = ; (ii) 𝑓 𝑥 = 𝑥! ;
0, otherwise 0, otherwise

here 𝑝 ∈ 0,1 and 𝜆 > 0 are fixed constants.

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NPTEL- Probability and Distributions

15. Do the following functions define probability density functions of some random
variables of absolutely continuous type?

9+𝑥 𝑥 2 +1 𝑒 −𝑥
, if − 10 < 𝑥 < 10 , if 𝑥 > 0 ;
i 𝑓1 𝑥 = 180 ; (ii) 𝑓2 𝑥 = 2
0, otherwise 0, otherwise

2+cos 𝑥
, if 0 < 𝑥 < 𝜋
iii 𝑓3 𝑥 = 2𝜋 .
0, otherwise

16. In each of the following, find the value of constant 𝑐 so that 𝑓 ∙ is a p.d.f. of
some r.v. (say 𝑋) of absolutely continuous type. Also, for each of the following,
find 𝑃 𝑋 > 3 , 𝑃 𝑋 ≤ 3 , and 𝑃 3 < 𝑋 < 4 :

−𝑥 2 − 𝑥−2
i 𝑓 𝑥 = 𝑐𝑥𝑒 , if 𝑥 > 0 ; (ii) 𝑓 𝑥 = 𝑐𝑥𝑒 , if 𝑥 > 2 .
0, otherwise 0, otherwise

17. (i) Let 𝑋 be a discrete type r.v. with support 𝑆𝑋 = 0, 1, 2, 3, 4 , 𝑃 𝑋 = 0 =

1 4
𝑃 𝑋=1 = 10 , 𝑃 𝑋 = 2 =𝑃 𝑋=3 =𝑃 𝑋=4 = 15 . Find the d.f. of
𝑋 and sketch its graph.
(ii) Let the r.v. 𝑋 have the p.m.f.
𝑥
, if 𝑥 ∈ 1, 2, ⋯ ,100
𝑓𝑋 𝑥 = 5050 .
0, otherwise

Show that the d.f. of 𝑋 is

0, if 𝑥 < 1
𝑥 𝑥 +1
𝑓𝑋 𝑥 = , if 1 ≤ 𝑥 < 100.
10100
1, if 𝑥 ≥ 100

Also compute 𝑃 3 < 𝑋 < 50 .

18. For each of the following p.d.f.s of some r.v. (say 𝑋) of absolutely continuous
type, find the d.f. and sketch its graph. Also compute 𝑃 𝑋 < 1 and 𝑃 𝑋 2 <
9 .
𝑥2 𝑥+2
, if − 3 < 𝑥 < 3 , if − 2 < 𝑥 < 4
i 𝑓 𝑥 = 18 ; (ii) 𝑓 𝑥 = 18 .
0, otherwise 0, otherwise

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NPTEL- Probability and Distributions

1
, if 𝑥 > 1
(iii) 𝑓 𝑥 = 2𝑥 2 .
0, otherwise

19. (i) Let 𝑋 be a r.v. of absolutely continuous type with p.d.f.

𝑐𝑥 2 , if − 1 < 𝑥 < 1
𝑓 𝑥 = .
0, otherwise

Compute the values of 𝑐, 𝑃 𝑋 = 0 , 𝑃 𝑋 > 0 , 𝑃 𝑋 > 1/2 , 𝑃 𝑋 >

1/2 , 𝑃 1/2 < 𝑋 < 3/4 , 𝑃 1/2 < 𝑋 < 2 and the conditional probability
𝑃 𝑋 < 3/4 |{𝑋 > 1/2} ;

(ii) Let 𝑋 be a r.v. of absolutely continuous type with p.d.f.

𝑐 𝑥 + 1 𝑒 −𝜆𝑥 , if 𝑥 > 0
𝑓 𝑥 = ,
0, otherwise
where 𝜆 > 0 is a given constant. Compute the values of 𝑐, 𝑃 𝑋 = 2 , 𝑃 𝑋 >
2 ,𝑃 𝑋 > 1 ,𝑃 1 < 𝑋 < 3 ,𝑃 𝑋 − 2 > 1 and the conditional
probability 𝑃 𝑋 < 3 | 𝑋 > 1 .

20. Let 𝑋 be a r.v. with d.f. 𝐹𝑋 ∙ . In each of the following cases determine whether 𝑋
is of discrete type or of absolutely continuous type. Also find the p.d.f./p.m.f. of
𝑋:

0, if 𝑥 < −2
1
, if − 2 ≤ 𝑥 < 0
3
1 0, if 𝑥 < 0
i 𝐹𝑋 𝑥 = , if 0 ≤ 𝑥 < 5 ; (ii) 𝐹𝑋 𝑥 = .
2 1 − 𝑒 −𝑥 , if 𝑥 ≥ 0
3
, if 5 ≤ 𝑥 < 6
4
1, if 𝑥 ≥ 6

21. Let the r.v. 𝑋 have the d.f.

0, if 𝑥 < 0
𝑥
, if 0 ≤ 𝑥 < 1
3
𝐹𝑋 𝑥 = 2 .
, if 1 ≤ 𝑥 < 2
3
1, if 𝑥 ≥ 2

Show that 𝑋 is neither of discrete type nor of absolutely continuous type.

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NPTEL- Probability and Distributions

22. For the three d.f.s considered in Problems 20 and 21, find the decomposition
𝐹𝑋 𝑥 = 𝛼𝐹𝑑 𝑥 + 1 − 𝛼 𝐹𝑐 𝑥 , 𝑥 ∈ ℝ, where 𝛼 ∈ 0,1 , 𝐹𝑑 is a d.f. of some r.v.
of discrete type and 𝐹𝑐 is a continuous d.f..

Dept. of Mathematics and Statistics Indian Institute of Technology, Kanpur 7