ESO 209: PROBABILITY & STATISTICS

Semester 2: 2010-11
Assignment #8
Instructor: Amit Mitra



[1] The joint probability mass function of the random variables
1
X and
2
X is given by
( )
( ) ( ) ( ) ( ) ( )
1 2 1 2
2
1 2
1 1 2 2
2 1
if , 0, 0 , 0,1 , 1, 0 , 1,1
,
3 3
0 otherwise.
x x x x
x x
P X x X x
+

| | | |
=
| |
= = =

\ . \ .

(a) Find the joint probability mass function of
1 1 2
Y X X = and
2 1 2
Y X X = + .
(b) Find the marginal probability mass functions of
1
Y and
2
. Y
(c) Verify whether
1
Y and
2
Y are independent.
[2] Let the joint probability mass function of
1
X and
2
X be
( )
1 2
1 2
1 1 2 2
if 1, 2,3; 1, 2,3;
,
36
0 otherwise.
x x
x x
P X x X x

= =

= = =

(a) Find the joint probability mass function of
1 1 2
Y X X = and
2 2
Y X = .
(b) Find the marginal probability mass function of
1
Y .
(c) Find the probability mass function of
1 2
. Z X X = +
[3] (a) Let ( )
1
~ , X Bin n p and ( )
2
~ , Y Bin n p be independent random variables. Find
the conditional distribution of X given X Y t + = ,
( ) { }
1 2
0,1,..., min , t n n .
(b) Let ( )
1
~ ,1 2 X Bin n and ( )
2
~ ,1 2 Y Bin n be independent random variables.
Find the distribution of
1 2 2
. Y X X n = +
[4] Let ( )
1
~ X Poisson and ( )
2
~ Y Poisson be independent random variables. Find
the conditional distribution of X given X Y t + = , { } 0,1,..... t .
[5] Let
1 2 3
, , X X X and
4
X be four mutually independent random variables each having
probability density function
( )
( )
2
3 1 0 1
0 otherwise.
x x
f x

< <
=

Find the probability density functions of ( )
1 2 3 4
min , , , Y X X X X = and
( )
1 2 3 4
max , , , Z X X X X = .

[6] Suppose
1
,....,
n
X X are n independent random variables, where
i
X ( 1,..., ) i n = has
the exponential distribution ( )
i
Exp , with probability density function
( )
0
0 otherwise.
i
i
x
i
X
e x
f x

>
=

Find the probability density functions of ( )
1
min ,....,
n
Y X X = and
( )
1
max ,....,
n
Z X X = .
[7] Let X and Y be the respective arrival times of two friends A and B who agree to meet
at a spot and wait for the other only for t minutes. Supposing that X and Y are i.i.d.
( ) Exp . Show that the probability of A and B meeting each other is 1 .
t
e


[8] Let
1
X and
2
X be i.i.d. ( ) 0,1 U . Define two new random variables as
1 1 2
Y X X = +
and
2 2 1
Y X X = . Find the joint probability density function of
1
Y and
2
Y and also
the marginal probability density functions of
1
Y and
2
Y .
[9] Let X and Y be i.i.d. ( ) 0,1 N . Find the probability density function of . Z X Y =
[10] Let X and Y be independent random variables with probability density functions
( ) ( )
1 2
1 2
1 1
1 2
0 0

0 otherwise; 0 otherwise.
x y
X Y
x y
e x e y
f x f y







> >

= =




Find the distributions of U X Y = + and ( ) V X X Y = + and show that they are
independently distributed.
[11] Let X and Y be i.i.d. random variables with common probability density function
( )
4
1
0 otherwise,
c
x
f x
x

< <

=
+

where, c is a normalizing constant. Find the probability density function of . Z X Y =
[12] Let X and Y be i.i.d. ( ) 0,1 N , Define the random variables R and by
cos , sin . X R Y R = =
(a) Show that R and are independent with
2
2 ~ (1) R Exp and ( ) ~ 0, 2 U
(b) Show that
2 2
X Y + and X Y are independently distributed.
[13] Let
1
U and
2
U be i.i.d. ( ) 0,1 U random variables. Show that
( )
1 1 2
2ln cos 2 X U U = and ( )
2 1 2
2ln sin 2 X U U =
are i.i.d. ( ) 0,1 N random variables.

[14] Let
1 2 3
, and X X X be i.i.d. with probability density function
( )
0
0 otherwise.
x
e x
f x

>
=

Find the probability density function of
1 2 3
, , Y Y Y ; where
1 1 2
1 2 3 1 2 3
1 2 1 2 3
; ;
X X X
Y Y Y X X X
X X X X X
+
= = = + +
+ + +
.
[15] Let
1 2 3
, and X X X be three mutually independent chi-square random variables with
1 2
, n n and
3
n degrees of freedom respectively; i.e.
1 2
2 2
1 2
~ , ~
n n
X X and
3
2
3
~
n
X and they are independent.
(a) Show that
1 1 2
Y X X = and
2 1 2
Y X X = + are independent and that
2
Y is chi-
square random variable with
1 2
n n + degrees of freedom.
(b) Find the probability density functions of
1 1
1
2 2
X n
Z
X n
= and
( ) ( )
3 3
2
1 2 1 2
X n
Z
X X n n
=
+ +

[16] Let X and Y be independent random variables such that ( ) ~ 0,1 X N and
2
~
n
Y .
Find the probability density function of
X
T
Y n
= .
[17] Let
1
,....,
n
X X be a random sample from ( ) 0,1 N distribution. Find the m.g.f. of
2
1
n
i
i
Y X
=
= and identify its distribution. Further, suppose
1 n
X
+
is another random
sample from ( ) 0,1 N independent of
1
,....,
n
X X . Derive the distribution of
( ) 1 n
X Y n
+
.
[18] X and Y are i.i.d. random variables each having geometric distribution with the
following p.m.f.
( )
( ) 1 , 0,1,....
0, otherwise.
x
p p x
P X x

=
= =

Identify the distribution of | X X Y + . Further find the p.m.f. of ( ) min , . Z X Y =