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MAST20004 Probability 2014

Assignment 4
If you didnt already hand in a completed and signed Plagiarism Declaration Form
(available from the LMS or the departments webpage), please do so and attach it to
the front of this assignment.
Assignment boxes are located on the ground floor in the Richard Berry Building
(north entrance). Your solutions to the assignment should be left in the MAST20004
assignment box set up for your tutorial group. Dont forget to staple your solutions
and to print your name, student ID, the subject name and code, and your tutors
name on the first page (not doing so will forfeit marks). The submission deadline is
5pm on Friday, 30 May.
There are 6 questions, of which 2 randomly chosen questions will be marked
(chosen after assignment submission). Note you are expected to submit answers to all
questions, otherwise a mark penalty will apply. Give clear and concise explanations.
Clarity, neatness and style count.
1. Let X have a normal distribution with E [X] = 0 and Var (X) = 2 for a > 0.
(a) Find the moment generating function of Y = X 2 , making sure to determine
the domain where it is defined.
(b) If X1 , . . . , Xn are independent and have the same distribution as X, find
the moment generating function of Z = X12 + + Xn2 .
(c) Hence show Z has a gamma distribution and identify its parameters.
[This distribution is called a chi-squared distribution and is important
in statistics.]
2. At a certain coffee cart, there are on average 400 paying customers per day
with a standard deviation of 10. The average a customer spends is $5 with a
standard deviation of $2.
(a) If we assume the amount each customer spends is independent of the number of customers in a day, find the average revenue per day for the cart.
(b) If in addition to the assumption in part (a), we also assume the amounts
that the customers spend are all independent of each other, then what is
the standard deviation of the revenue per day for the coffee cart?
3. Let X have an exponential distribution with rate 1 and the distribution of
Y |X = x be Poisson with parameter x.
(a) What is the expectation of Y ?
(b) What is the variance of Y ?
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(c) Find the probability generating function of Y and use it to identify the
distribution of Y by name.
4. Let X be exponential with rate one.
(a) Show that E [X a1 ] = (a) for any a > 0.
(b) Using a change of variable and
then relating to the normal distribution
density, show that (1/2) = .
(c) By using a three term Taylor series approximation for (x) = x1/2 , find
an approximation for by evaluating E [(X)]. How good is the approximation? Think about how you could make the approximation better.
(d) Use a two term Taylors series approximation to approximate Var ((X)).
How good is this approximation?
5. Let U be uniform on the interval (0, 1) independent of V which has density
fV (v) = 2(1 v) for 0 < v < 1.
(a) Find the density of U + V and check that it is non-negative and integrates
to one. Carefully sketch the graph of the density.
(b) What is the expectation of U + V ?
(c) What is the variance of U + V ?
6. The following fact will be useful for this problem. If (X, Y ) has joint density
f (x, y) and A is an invertible 2 2 matrix, then for the random vector (W, V )
defined by




W
X
=A
,
V
Y
the joint density g(w, v) of (W, V ) is given by



1
w
1
,
g(w, v) = f A
v
| det(A)|
where det(A) is the determinant of A. [This is a 2-dimensional version of the
formula on Slide 243 of the lecture notes.]
(a) If X and Y are independent standard normal variables and we define
Z1 = X,
Z2 = X +

p
1 2 Y,

for some 1 < < 1, then show that (Z1 , Z2 ) has a standard bivariate
normal distribution with parameter .
(b) Use the representation of part (a) to show that if (Z1 , Z2 ) is a standard
bivariate normal random vector with parameter , then the correlation of
Z1 and Z2 is equal to .
(c) Use the representation or part (a) to argue that if (Z1 , Z2 ) is a standard
bivariate normal random vector with parameter , then the conditional
distribution of Z2 |Z1 = z is normal with mean z and variance 1 2 .
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