RW

EXAMINATION: QUESTIONS AND SOLUTIONS

INTRODUCTION TO PROBABILITY AND STOCHASTIC
PROCESSES (PART I)
Monday January 17th, 2004

EXERCISE 1
A shop sells cd-players of three manufacturers. We shall call them : S1 , S2 and S3 .
The shop owner made the following classification of malfunctions: None (M1 ), Minor
(M2 ), and Serious (M3 ). It is assumed that each malfunction corresponds to one of
M1 , M2 , M3 . The probability that the cd-player is manufactured by S1 and its malfunction level is M1 (that is "None") is :
P (S1 M1 ) = 0.8.
With similar interpretations we have the following probabilities
P (S1 M2 ) = 0.15, P (S2 M2 ) = 0.1, P (S2 M3 ) = 0.1, P (S3 M1 ) = 0.5,
P (S3 M3 ) = 0.2.
(a) What is probability that a cd-player in the shop (irrespective to manufacturer) has
a Minor (M2 ) malfunction?
(b) What is probability that a cd-player in the shop has no malfunctions (M1 ) provided
it is manufactured by S3 ?
(c) What is probability that a cd-player in the shop is manufactured by S1 provided it
has a Serious (M3 ) malfunction ?
SOLUTION 1
(a) Since Si Sj for i 6= j we have
P (M2 ) = P (S1 M2 ) + P (S2 M2 ) + P (S3 M2 ).
Notice that P (S3 M2 ) is not given. Even though it is tempting to compute as 1
P (S1 M2 ) P (S2 M2 ), it is wrong.
(b)
P (M1 |S3 ) =

P (M1 S3 )
P (M1 S3 )
=
,
P (S3 )
P (M1 S3 ) + P (M2 S3 ) + P (M3 S3 )

since Mi Mj for i 6= j
(c)
P (S1 |M3 ) =

P (S1 M3 )
P (S1 M3 )
=
P (M3 )
P (M3 S1 ) + P (M3 S2 ) + P (M3 S3 ))

 EXERCISE 2
The joint density function of two random variables X and Y is
(
bx2 y for 0 x 3, 0 y 2
fX,Y (x, y) =
0
else
for some real value b.
(a) Compute the value b.
(b) Compute the marginal probability density function fX (x) and the distribution function FX (x).
2 (of X).
(c) Compute the mean X of X and the variance X

SOLUTION 2
(a) From the properties of the density function we have
Z

It follows that

Z
0

and b =

fXY (x, y)dxdy = 1.

Z

2Z 3
0

9bydy = 18b = 1

fXY (x, y)dxdy =

1
18 .

(b) The marginal probability function fX (x) is

Z
fX (x) =

dy =

dx2 ydy = 2bx2

in the interval 0 x 3 and 0 for x in the complement of the interval.

The distribution function is 0 for x < 0
Z
FX (x) =

fX (x)dx =

2
1
2bx2 dx = bx3 = x3
3
27

for 0 x 3 and 1 for x > 3.

(c) The mean is computed from
Z
X = E(X) =

xfX (x)dx =

1
9
x x2 dx = .
9
4

The variance is
Z
2
X
= E[(x X )2 ] =

9 1
(x )2 x2 dx 0.34.
4 9

 EXERCISE 3
Suppose X and Y are two random variables that are uncorrelated and they both have
Gaussian distributions with E(X) = E(Y ) = 0 and E(X 2 ) = E(Y 2 ) = 1. Let A(t) be
the random process defined by
A(t) = X cos(2t) + Y sin(2t).
Is the random process A(t) wide-sense stationary? Give arguments for your answer.

In your computation the following formula may occur useful

cos( ) = sin() sin() + cos() cos().
SOLUTION 3
The random process A(t) is WSS if two conditions E[A(t)] and E[A(t)A(t + )] are
independent on t. We have

E[A(t)] = E[(X cos 2t + Y sin 2t)] = E[(X cos 2t)] + E[Y (sin 2t)]
= E(X)E[(cos 2t)] + E(Y )E[(sin 2t)] = 0.
and

E[A(t)A(t + )] = E[(X cos 2t + Y sin 2t)(X cos 2(t + ) + Y sin 2(t + ))]
= E[X 2 ]E[cos 2t cos 2(t + )] + E[XY ]E[sin 2t cos 2(t + )]
+ E[XY ]E[cos 2t sin 2(t + )] + E[Y 2 ]E[sin 2t sin 2(t + )].
But the random variables X and Y are independent, therefore E(XY ) = E(X)E(Y ).
We also know that E(X) = E(Y ) = 0 and E(X 2 ) = E(Y 2 ) = 1. We conclude

E[A(t)A(t + )] = E[sin 2t cos 2(t + )] + E[cos 2t sin 2(t + )]

= E[sin 2t cos 2(t + ) + cos 2t sin 2(t + )] = E(cos 2 )
= cos 2.
Both conditions are satisfied therefore the random process A(t) is wide-sense stationary.