Stat 61 - Homework #5 - SOLUTIONS (10/29/07)

1. Let X be a random variable with E(X) = 100 and Var(X) = 15. What are
a. E ( X2 ) (Not 10000)
Var(X) = E(X2) E(X)2, so 15 = E(X2) 10000, so E(X2) = 10015.
b. E ( 3X + 10 )
=3 E(X) + 10 = 310
c. E (-X)
= 100
d. Standard deviation of X ?
= 15 3.9, NOT 3.9
2. Let X be the random variable with pdf
fX ( x ) = 2x
0

if 0 x 1
otherwise.

a. What is the cdf, FX(a) ?

FX(a) =

0
2
f ( x) dx = a
1

if a 0
if 0 a 1
if a 1

b. Let Y be another random variable defined by Y = X2. What is its cdf,

FY (b) ?
( This is possible because if you know P( X a ) for every a, you can get
P( Y b ) for any b.)
FY(b) = P ( Y b )
(by definition of FY)
2
=P(X b)
(same event)
(This is clearly zero of b < 0, so from here on
assume b 0)
= P(X b )
(again, its the same event, at least
when
b is nonnegative)
= FX ( b )
(by definition of FX)
=
=b

(or: 1 if b 1, 0 if b 0)

c. What is the pdf, fY ?

Its the derivative of FY
if b<0
0

fY(b) = 1 if 0 b 1
0
if b 1

d. Compute E(Y) directly from FY. (Use the secret formula.) (See website if
necessary)
E(Y) =
=

1
y 0

y 0 1 F ( y) dy y F ( y)dy

(1 y ) dy 0

= 1/2.
e. Compute E(Y) from fY.
E(Y) =

yf ( y ) dy

y 0

y 1 dy

= 1/2

f. Compute E(Y) = E(X2) directly from fX. (If your answers to d-e-f dont
agree, panic.)

2
2
2
E(Y) = E (Y ) E ( X ) x x f x ( x)dx x 0 x (2 x) dx =1/2

3. (Sum of random variables) Let X and Y be independent random variables, with

these pmfs:
pX(n) = (1/3) for n = 1, 2, 3; else 0
pY(n) = (1/2) for n = 1, 2; else 0
Let Z = X + Y. Using the formula
pZ (n) p X ( m) pY (n m) ,
all m

[ = P(X=1) P(Y=n-1) + P(X=2) P(Y=n-2) + P(X=3) P(Y=n-3) etc. ]

construct the pmf for Z.

P ( Z = 2 ) = P( X=1)P(Y=1) = (1/3)(1/2) = 1/6

P ( Z = 3 ) = P(X=1)P(Y=2) + P(X=2)P(Y=1) = (1/3)(1/2) + (1/3)(1/2) = 2/6
P ( Z = 4 ) = P(X=2)P(Y=2) + P(X=3)P(Y=1) = etc. = 2/6
P ( Z = 5 ) = P(X=3)P(Y=2) = etc. = 1/6
(I guess there are infinitely many other terms in each of these sums,
but they are all zero)
so the pmf
z
2
3
4
5

for Z is
pZ(z)
1/6
2/6
2/6
1/6
1

4. Now let X and Y be independent Poisson random variables, with means X and Y
respectively. Let Z = X + Y. Using the formula from problem 3, derive the pmf
for Z.
n

n!
a mb n m . )
m
!(
n

m
)!
m 0

n
(Hint: The binomial formula is (a b)

In what follows, x, y, and z are integers (being typical values of X, Y,

Z resp.).
pZ ( z ) p X ( x) pY ( z x)
all x

X x X
e
x!
x 0

Y z x Y
e

x
!

x ! z x !

e ( X Y )

x 0

z !

e ( X Y )

x
X

Y z x

z!

x ! z x !
x 0

x
X

Y z x

z
1
X Y
z !

e ( X Y )

This is the Poisson pmf for Z, assuming Z = X + Y. So: The sum of

two independent Poisson random variables is itself a Poisson
random variable.
5. (The mother of all Poisson examples) Do problem 4.2.10, page 287. Either actually
read the problem and do what it says, or do parts a and b below, which amount to
the same thing. Specifically, given the following distribution
k

Observed number of
corps-years in which
k fatalities occurred

0
1
2
3
4
5

109
65
22
3
1
0
200

[This is a frequency table describing 200 annual reports from pre-WWI Prussian
cavalry corps, each giving a number of soldiers killed by being kicked by horses.]
It is suggested that these values represent 200 independent draws from a Poisson
distribution.
a. What is a reasonable estimate for the mean of the distribution?
One reasonable estimate is the mean of the 200 observed values,
which is
= [ 109(0)+65(1)+22(2)+3(3)+1(4) ] / 200 = 0.61.
(As well see soon, this is the method-of-moments estimator for the
mean, which happens to agree in this situation with the maximum
likelihood estimator.)
b. What would the entries in the right-hand column be if the 200 draws were
exactly distributed according to this Poisson distribution? (The entries would not
be integers.)

Using = 0.61:
k
0
1
2
3
4
5

observed
109
65
22
3
1
0

theoretical
108.67 = (200) ( 0.610 / 0! ) ( e0.61 )
66.29
20.22
4.11
0.63
0.09

200

200

(In November well address this question: Comparing the original data to the
theoretical values in part b, is it plausible that these really are draws from a
Poisson distribution? Or should we discard that theory?)
This looks to me like a very good fit --- even suspiciously good --- but
we may try a Chi-Square test later.
6. (Editing a Poisson distribution) At a certain boardwalk attraction, customers appear
according to a Poisson process at a rate of = 15 customers/hour. So, if X is
the number of customers appearing between noon and 1pm, X has a Poisson
distribution with mean 15.
Assume that each customer wins a prize with (independent) probability 1/5.
Let Y be the number of customers winning prizes between noon and 1pm.
One way to understand Y is that if the value of X is given, then Y is binomial,
with parameters n = [value of X] and p = 1/5. This reasoning gives us:

P(Y=k)=

n
k
n k
1/ 5 (4 / 5)
k

P ( X n)
n k

(The second part of the summand is the probability that Y=k given that X=n.)

a. Simplify this formula, to show that Y is itself a Poisson distribution with

mean 3.
P(Y=k)=
n

k
nk
k 1/ 5 (4 / 5)

P ( X n)
nk

15n 15

e
n!
nk

n
k
n k
1/ 5 (4 / 5)
k

1 15 n
1 1 n k
15n
e 15
4
...and
now
since
(3k )(3n k )...
n
n
k!
5
n k
(n k )! 5

1 15 k 3n k 4n k
e (3 )

k!
n k ( n k )!

When we substitute m for n-k in the last sum, we get

12m
,
m 0 m !
which is the Taylor series for e+12; so
3k 3
e
P(Y=k)=
k!
as desired.
(Or, if after getting off to a good start you find this problem too annoying, do
part b instead.)
b. Find a much simpler explanation of why Y should be Poisson with mean 3.
If the probability of a customer arriving in a small interval is 15
times the length of the interval in hours, independently of what
happens in other intervals, then the probability of a winner appearing
during that small interval is 3 times the length of the interval, and is
still independent of what happens in other intervals.
That means that the winners process is a Poisson process with
mean 3, and the result follows.

7. (Waiting times) Buses arrive according to a Poisson process with mean (1/10) min-1.
Let W be the waiting time from time t = 0 till the arrival of the second bus.
a. What is E(W) ?
If X is the time we have to wait for the first bus, then X is
exponentially distributed with mean 10. After the first bus arrives,
we can start waiting for the second bus, and if Y is the time that
takes, then Y also has mean 10. Now W = X + Y. It doesnt matter
whether X and Y are independent (they are) --- in any case,
E(W) = E(X) + E(Y) = 20 minutes.
Part a is of no use in solving part b.
b. Can you construct a pdf or cdf for W ?
( Good start: P(W t) = 1 P(exactly 0 buses or exactly 1 bus between
times 0 and t). Another approach: W is the sum of two independent one-bus
waiting times.)
P ( W t ) = 1 exp(-(1/10) t) (1/10) t exp(-(1/10) t).
Thats the same as FW(t).
If you want the density function fW(t), just differentiate FW(t);
things cancel and you get
fW(t) = (1/100) t exp(-(1/10)t ).
This happens to be the density for (a special case of) the gamma
distribution.
8. (The first boring normal tables problem) If Z is a standard normal variable, what
are
a. P ( -1.0 Z +1.0 ) = 0.68
b. P ( -2.0 Z +2.0 ) = 0.95
c. P ( -3.0 Z +3.0 ) = 0.997

( by the Rule of 68 95 99.7 )

( or, use Excels NORMSDIST function to get 0.682689, 0.9545,

0.9973 )

9. (The second boring normal tables problem) Let Z be a standard normal variable.
a. If P ( -a Z +a ) = 0.95, what is a ?
Find z for which Phi(z) = 0.975 --- namely, z = 1.96.
(Or: =NORMSINV(0.975) = 1.9600 )
b. If P ( -b Z +b ) = 0.99, what is b ?
Find z for which Phi(z) = 0.995 --- namely, z = 2.58
(Or: =NORMSINV(0.995) = 2.575829 )
10. (The third boring normal tables problem)
a. If X is normal with mean 500 and standard deviation 110,
what is P ( X 800 ) ?
If Z = (X-500)/110 then Z is standard normal.
P ( X 800 ) = P ( Z (800-500)/110 ) = P ( Z 2.7272 ) =
1 (2.72) = 0.0032
b. If X is normal with mean 500 and standard deviation 120,
what is P ( X 800 ) ?
If Z = (X-500)/120 then Z is standard normal.
P ( X 800 ) = P ( Z (800-500)/120 ) = P ( Z 2.5 ) =
1(2.5) = 0.0062
(end)