IE - 502: Probability Models

Exercise 2
February 9, 2016
1 What is a random variable? What is a probability mass function (p.m.f)
and a probability density function (p.d.f)? What are the properties of
a p.m.f and a p.d.f? What is a cumulative distribution function (c.d.f)?
What are the possible relationships between the p.m.f and the c.d.f of a
discrete random variable? What about the relationships between the p.d.f
and the c.d.f of a continuous random variable?
2 (Binomial Distribution) Suppose that you are given a coin such that the
probability of it landing Heads is 31 . If you toss this coin 50 times, what is
the probability that you get 27 heads? Define a suitable random variable
to solve the problem. How many Heads do you expect to see on average for
this coin when it is tossed 50 times? What would have been your answers
if the probability of Heads were some arbitrary constant p [0, 1] and you
were tossing the coin n times to get x Heads?
3 (Geometric Distribution) Suppose that you are given a coin such that the
probability of it landing Heads is some arbitrary constant p [0, 1]. If you
play a game of tossing this coin until the first Head occurs (and then you
win), what is the probability that you would require
i 5 tosses to win the game?
ii 37 tosses to win the game?
What is the probability mass function (p.m.f) and the cumulative distribution function (c.d.f) of the random variable you have defined to solve
the problem? On average, how many tosses would be required for you to
win the game?
4 (Exponential Distribution) Suppose that you are given a random variable
X such that X (0, ). Is X a discrete or a continuous random variable?
If you are given a function
1

(
ex
f (x) =
0

if x > 0
otherwise

(1)

can you check if f is a p.d.f of the random variable X? If yes, find the c.d.f
of X and also the expected value of X, i.e. E[X]. If no, argue why not.
5 (Standard Normal Distribution) Suppose that X is a random variable
which can take any value in R. Check whether the following function
x2
1
f (x) = e 2 f or < x <
2

(2)

is a p.d.f of X.
6 Let X be a random variable with the following distribution: P [X = 2] =
1
1
, P [X = 1] = 16 , P [X = 0] = 51 , P [X = 1] = 15
, P [X = 2] = 11
.
5
30
2
Obtain the p.m.f., c.d.f and expectation of the random variable Y = X .
7 (Pareto Distribution) Suppose that X is a random variable with the following p.d.f
(
f (x) =

x(+1)

if 1 < x <
otherwise

(3)

The above is known as the Pareto Distribution. Obtain the p.d.f, c.d.f and
expectation of the random variable Y = log X. Do you notice something
interesting?
8 The expectation of a random variable X is said to exist if and only if
E[|X|] < . Let Y be a discrete random variable with the following
p.m.f:

f (x) =

(
( x1

1
)
(x+1)

for all x = 1, 2, . . .
otherwise

(4)

Obtain E[Y ].
9 If X is a random variable with P [a X b] = 1, then show that a
E[X] b for any a, b R.

10 Let X be a non-negative integer valued random variable with E[X] < .

Show that
E[X] =

P (X k)

(5)

k=1

11 If X is a random variable and g : R R is some function such that

E[g(X)] < , then show that E[ag(X)+b] exists and is equal to aE[g(X)]+
b, where a, b R.
12 When are two random variables equal? When are they said to be identically distributed? Are the two notions same? If yes, explain why. If no,
give a suitable example to prove your claim.