MSO 201a: Probability and Statistics

2015-2016-II Semester
Assignment-X
A. Illustrative Discussion Problems
1. Let random vector (X, Y ) have the joint p.m.f.
fX,Y (x, y) = P (X = x, Y = y) =

(x + y + k 1)! x+y
(1 2)k , x, y = 0, 1, 2, . . . ,
x!y!(k 1)!

where k 1 is an integer and 0 < < 21 (we say that (X, Y ) has bivariate negative
binomial distribution). Find the marginal p.m.f. of X, the conditional distribution
of Y given X = x (x {0, 1, . . .}) and the p.m.f. of Z = X + Y .
2. Let the bivariate r.v. (X, Y ) have joint p.d.f.
fX,Y (x, y) =

(1 + 2 + 3 ) 1 1 2 1
x
y
(1 x y)3 1 , x > 0, y > 0, x + y < 1,
(1 )(2 )(3 )

where i > 0, i = 1, 2, 3 (we say that (X, Y ) has bivariate beta distribution). Find
the marginal p.d.f. of X, the conditional p.d.f. of X given Y = y (y (0, 1)) and
the p.d.f. of Z = X + Y .
3. Let X1 , . . . , Xn be i.i.d. A.C. r.v.s with common p.d.f. f () and common d.f. F ().
For r {1, . . . , n}, let Xr:n = r-th smallest of X1 , . . . , Xn (so that X1:n X2:n
Xn:n are order statistics of random sample X1 , . . . , Xn ).
(a) Find the joint d.f. of r.v. (X1:n , . . . , Xn:n ) and hence show that it is A.C. with
a joint p.d.f.
(
g(y1 , . . . , yn ) =

n!
0,

Qn

i=1

f (yi ), if y1 < y2 < < yn

.
otherwise

(b) (Relationship between beta and binomial distribution) Let X Bin(n, p),
where p (0, 1) and n N. Using integration by parts, show that
Z p
n  
X
n i
1
ni
tr1 (1t)nr dt, r N, r n.
P ({X r}) =
p (1p)
=
i
(r, n r + 1) 0
i=r


Hence show that if X Bin(n, p), then P (X r) nr pr .
(c) Using the fact that, for any real number x, the event {Xr:n x} occurs iff at
least r among X1 , . . . , Xn are x, find the d.f. of Xr:n , r = 1, . . . , n. Using the

relation derived in (b) show that Xr:n is A.C. with p.d.f.

gr (x) =

n!
[F (x)]r1 [1 F (x)]nr f (x), < x < .
(r 1)!(n r)!

4. (a) (Poisson approximation to binomial distribution) Show that limn nr prn (1
pn )nr = e r /r!, r = 0, 1, 2, . . ., provided limn npn = (i.e., for large n
and small p, so that np = > 0, Bin(n, p) probabilities can be approximated
by Poisson() probabilities);
(b) The probability of hitting a target is 0.001 for each shot. Find the approximate
probability of hitting a target at least twice in 5000 shots.
5. Let X be a non-negative and integer valued r.v., satisfying P (X = 0) = p (0, 1)
and having lack of memory property P (X n + m|X n) = P (X m), n, m
{1, 2, . . . , }. Show that X Geometric(p).
6. (a) (Binomial approximation to hypergeometric distribution) Show that a
hypergeometric distributed can be approximated by a Bin(n, p) distribution provided N is large (N ), a is large (a ) and a/N p, as N ;
(b) Out of 120 applicants for a job, only 80 are qualified for the job. Out of 120
applicants, five are selected at random for the interview. Find the probability that
at least two selected applicants will be qualified for the job. Using Problem 6 (a)
find an approximate value of this probability.
7. (a) If the m.g.f. of a r.v. X is (1/3 + 2et /3)5 , < t < , find P (X {2, 3});
p
t
(b) If the m.g.f. of a r.v. X is e4(e 1) , < t < , find P (E(X) 2 Var(X) <
p
X < E(X) + 2 Var(X)).
8. (Relationship between gamma and Poisson distribution) Let X Poisson()
R
and let k be a positive integer. Show that P (X k) = (k!)1 et tk dt.
9. Each child in a family is equally likely to be a boy or a girl. Find the minimum
number of children the family should have so that the probability of it having at
least a boy and at least a girl is at least 0.95.
10. (Relation between binomial and negative binomial probabilities) Let n be
a positive integer, r {1, 2, . . . , n} and let p (0, 1). Using probabilistic arguments
and also otherwise show that

n  
nr 
X
X
n k
r+k1
nk
r
p (1 p)
=p
.
(1 p)k ,
k
k
k=r
k=0

i.e., for r {1, 2, . . . , n}, P (Bin(n, p) r) = P (NB(r, p) n r).

11. A mathematician carries at all times two match boxes, one in his left pocket and
one in his right pocket. To begin with each match box contains n matches. Each
time the mathematician needs a match he is equally likely to take it from either
pocket. Consider the moment when the mathematician for the first time discovers
that one of the match boxes is empty. Find the probability that at that moment
the other box contains exactly k matches, where k {0, 1, . . . , n}.
12. (Poisson approximation to negative binomial distribution) Show that

lim


r+k1 r
e k
pr (1 pr )k =
, k = 0, 1, 2, . . . ,
k
k!

provided limr pr = 1 and limr (r(1 pr )) = > 0.

13. (a) Let F () be the d.f. of the r.v. X, where P (X = 1) = p = 1 P (X = 0). Find
the distribution of Y = F (X). Is Y U(0, 1)?
(b) Let the r.v. X have the p.d.f. f (x) = 6x(1 x), if 0 x 1, = 0, otherwise.
Show that Y = X 2 (3 2X) U(0, 1).
14. (a) If X U(0, 1), show that of Y = ln X Exp(), where > 0;
X1
(b) Let X1 and X2 be independent N(0, 1) r.v.s and let Y = X
. Show that Y has
2
1
the Cauchy distribution. What is the distribution of Y = X ?
c
(c) Let X and Y be i.i.d. r.v.s. with common p.d.f. f (x) = 1+x
4 , < x < ,
where c is the normalizing constant. Find the p.d.f. of X
.
Y
15. (a) If X N(12, 16), find P (X 20) (use (2) = 0.9772);
(b) If X N(, 2 ), P (9.6 X 13.8) = 0.7008 and P (X 9.6) = 0.8159, find
, 2 and P (X 13.8|X 9.6) (use (0.9) = 0.8159 and (1.2) = 0.8849).
16. For x > 0, show that (x1 x3 )(x) < 1 (x) < x1 (x) (Hint: Use integration
R
1
t2
by parts in (2) 2 (1 (x)) = x t1 (te 2 )dt).
17. Let X be a r.v. with E(X m ) = m!, m = 1, 2, . . ., and suppose that the m.g.f. of X
exists in a neighborhood of zero. Find the p.d.f./p.m.f. of X.
18. (a) Let X Gamma(1 , ) and Y Gamma(2 , ) be independent. Show that
X
are independently distributed; also find their distributions.
U = X+Y and V = X+Y
(b) Let W Beta(1 , 2 ) and T Gamma(1 + 2 , ) be independent. Using (a),
show that W T Gamma(1 , ).
19. Let X N(0, 1) and Y N(0, 1) be independent. Find p.d.f.s of
3

X
|Y |

and

|X|
.
|Y |

20. Let X1 , . . . Xn denote a random sample from the Exp(1) distribution. Find the
marginal distributions of Y1 , . . . , Yn , where
Pi

j=1

Yi = Pi+1

Xj

j=1 Xj

, i = 1, . . . , n 1,

Yn = X1 + . . . + Xn .

Are Y1 , . . . , Yn independent?
2
21. (a) Let
 X1 , . . . , Xn (n 3) be a random sample from N(, ) distribution. Find
E XS .

(b) Let X1 and X2 be i.i.d. N(0, 1) r.v.s. Find the distribution of Z =

X1 +X2
.
|X1 X2 |

22. Let X(1) , X(2) , . . . , X(n) be the set of order statistics associated with a random sample
of size n ( 2) from the Exp(1) distribution.
(a) Let Z1 = nX(1) , Zi = (ni+1)(X(i) X(i1) ), i = 2, . . . , n. Show that Z1 , . . . , Zn
are i.i.d. Exp(1) r.v.s.
(b) Using (a) or otherwise, find E(X(r) ), Var(X(r) ) and Cov(X(r) , X(s) ), r < s.
(c) Show that X(r) and X(s) X(r) are independent for any s > r;
(d) Find the p.d.f. of X(r+1) X(r) ;
23. Let X1 , . . . , Xn be i.i.d. nonnegative A.C. r.v.s. with common d.f.
E(|X1 |) < and Mn = max(X1 , . . . , Xn ), show that
Z
E(Mn ) = E(Mn1 ) +

F ().

If

(F (x))n1 (1 F (x)) dx.

24. Let X and Y be independent and identically distributed N(0, 2 ) r.v.s. Let U =
aX + bY and V = bX aY (a 6= 0, b 6= 0).
(a) Show that U and V are normally distributed independent random variables;

and XY
are independent N(0, 2 ) random variables.
(b) Show that X+Y
2
2
25. Let X be a random variable and let and be real numbers such that <
< < . Show that X U(, ) if, and only if, P ({ < X }) = 1 and
P ({X I}) = P ({X J}), for any pair of subintervals I, J of (, ) having the
same length.

B. Practice Problems
1. Let X = (X1 , X2 ) have the joint p.m.f.
(
fX (x1 , x2 ) =
and let Y = X1 +

X2
.
2

x1 x2
,
36

if x1 = 1, 2, 3, x2 = 1, 2, 3
,
otherwise

0,

Find the p.m.f. of Y .

2. (a) Let X Bin(n1 , p) and Y Bin(n2 , p) be independent r.v.s. For t {0, 1, . . . ,

min(n1 , n2 )}, find the conditional distribution and conditional mean of X given
X + Y = t.
(b) Let X Poisson(1 ) and Y Poisson(2 ) be independent r.v.s. For t
{0, 1, . . . , }, find the conditional distribution and conditional mean of X given X +
Y = t.
3. Suppose that the number, X, of eggs laid by a bird has the Poisson() distribution,
and the probability that an egg would finally develop is p (0, 1); here > 0. Under
the assumption of independence of development of eggs, show that the number, Y ,
of eggs surviving has the Poisson(p) distribution. Find the conditional distribution
of X given Y = y.
4. (a) If X Poisson(), find E((2 + X)1 );
(b) If X Geometric(p) and r is a positive integer, find E(min(X, r)).
5. Let X U(0, ), where is a positive integer. Let Y = X [X], where [x] is the
largest integer x. Show that Y U(0, 1).
6. If X U(0, ), where > 0, find the distribution of Y = min(X, /2). Calculate
P (/4 < Y < /2).
7. Let X N(0, 1) and let Y = X, if | X | 1, = X, if |X| > 1. Find the distribution
of Y .
8. Let X and Y be i.i.d. U(1, 1) r.v.s. Find the probability that x2 +Xx+Y = 0 > 0,
for every real number x.
9. Let X and Y be 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. Suppose that X and Y are i.i.d.
Exp(). Show that probability of A and B meeting each other is 1 et .
10. Let X and Y be independent r.v.s. with respective p.d.f.s. fX (x) = 13 , if 1 x 4,
= 0, otherwise, and fY (y) = e(y2) , if y 2 and = 0, otherwise. Find the d.f. of
T =X
and hence find the p.d.f. of T .
Y
5

11. Let X and Y be i.i.d. U(0, 1) r.v.s. Find the marginal p.d.f.s of
(a) X + Y, X Y, X+Y
, |X Y |;
XY
min(X,Y )
(b) min(X, Y ), max(X, Y ), max(X,Y
;
)
2
2
(c) X + Y .
12. Let X and Y be i.i.d. N(0, 1) random variables. Define the random variables R and
by X = R cos , Y = R sin .
2
(a) Show that R and are independent with R2 Exp(1) and U(0, 2).
(b) Show that X 2 + Y 2 and X
are independently distributed.
Y
(c) Show that sin and sin 2 are identically distributed and hence find the pdf of
T = XXY
2 +Y 2 .
2 Y 3
(d) Find the distribution of U = 3XX 2Y+Y
2 .

(e) Let U1 and U2 be i.i.d. U(0, 1) r.v.s. Then show that X1 = 2 ln U1 cos(2U2 )

and X2 = 2 ln U1 sin(2U2 ) are i.i.d. N(0, 1) r.v.s. (This is known as the BoxMuller transformation).
13. Let X1 , X2 , X3 be i.i.d. Gamma(m, 1) random variables. Let Z1 = X1 + X2 + X3 ,
X2
X3
Z2 = X1 +X
and Z3 = X1 +X
.
2 +X3
2 +X3
(a) Show that Z1 and (Z2 , Z3 ) are independent and find marginal p.d.f.s of Z1 , Z2
and Z3 .
(b) Find E(Z12 Z2 Z3 ).
14. Let X(1) < X(2) < < X(n) be the order statistics associated with a random sample
X(i)
, i = 1, . . . , n 1,
of size n ( 2) from the U(0, 1) distribution. Let Yi = X(i+1)
and Yn = X(n) . Show that Y1 , . . . , Yn are independent and find the p.d.f. of Yi ,
i = 1, . . . , n.

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