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1. (NO CALCULATORS FOR THIS PROBLEM)

(1) If Cov(X, Y ) = 0, then X and Y are independent.

(2) If X and Y are independent, then Cov(X, Y ) = 0.

Circle one of the following:

(i) Only (1) is correct.

(ii) Only (2) is correct.

(iii) (1) and (2) are both correct.

(iv) Neither (1) nor (2) are correct.

Solution. (ii) , i.e., (2) is correct, but not (1). (Note that, while independence implies that

the covariance is zero, the converse is not true. In fact, a homework problem (4.2-7) gave an

example of two random variables that had 0 covariance, but were not independent.

(b) Suppose that X and Y are independent random variables with Var(X) = 1, Var(Y ) = 2.

Find Var(1 − 2X + 3Y ).

Solution. (Except for a minor numerical change, this was a quiz problem.)

(c) Suppose X and Y are random variables such that Var(X + Y ) = 9 and Var(X − Y ) = 1.

Find Cov(X, Y ).

Solution. We have

Var(X − Y ) = Var(X) + Var(−Y ) + 2 Cov(X, −Y )

= Var(X) + Var(Y ) − 2 Cov(X, Y ),

(since Var(−Y ) = Var(Y ) and Cov(X, −Y ) = − Cov(X, Y )). Subtracting these two equa-

tions and substituting the given values for Var(X + Y ) and Var(X − Y ), we get 9 − 1 =

4 Cov(X, Y ), so Cov(X, Y ) = 2 .

2. (NO CALCULATORS FOR THIS PROBLEM) Let X be a random variable with normal distri-

bution N (10, 4), and let Y = eX .

1

Math 408 Midterm Exam 2 Spring 2008

(a) Find the p.d.f. of X. (The answer should be an explicit elementary function of x, not an

expression involving Φ.)

Solution. √ The density of a general normal distribution with parameters µ and σ is

2 2

f (x) = (1/ 2πσ)e−(x−µ) /(2σ ) . Here µ = 10, σ = 2, so

1 1 2

f (x) = √ e− 8 (x−10) , −∞ < x < ∞.

2 2π

(b) Find the p.d.f. of Y . (Again, the answer should be an explicit elementary function of y.)

Solution. We use the distribution function technique to compute first the c.d.f. G(y) and

then the p.d.f g(y) of Y . Since Y = eX and X ranges over the entire real axis, the possible

values for Y are 0 < y < ∞. For such y we have

Differentiating and using the formula for f (x) from part (a), we get

1 f (ln y)

g(y) = G0 (y) = F 0 (ln y) =

y y

1 1 2

= √ e− 8 (ln y−10) , 0 < y < ∞.

2y 2π

3. (NO CALCULATORS FOR THIS PROBLEM) Claim amounts on a home insurance policy have

density function (

3x−4 for x > 1,

f (x) =

0 otherwise.

Suppose two such claims are made, and assume the claim amounts are independent.

(a) Find the p.d.f. (density) of the larger of the two claims.

Solution. Let X1 and X2 denote the two claims, and let X ∗ = max(X1 , X2 ) be the

larger (maximum) of these claims. To find the p.d.f. g(x) of X ∗ , we first compute the c.d.f.

G(x) = P (X ∗ ≤ x), using the “maximum trick”: For x ≥ 1,

G(x) = P (X ∗ ≤ x) = P (max(X1 , X2 ) ≤ x)

= P (X1 ≤ x, X2 ≤ x) = P (X1 ≤ x)P (X2 ≤ x) = F (x)2 .

Rx

Now, f (x) = 3x−4 for x ≥ 1, so F (x) = 1 3t−4 dt = 1 − x−3 , and therefore

G(x) = (1 − x−3 )2 ,

g(x) = G0 (x) = 2(1 − x−3 )(−(−3)x−4 )

= 6x−4 − 6x−7 (x ≥ 1) .

Math 408 Midterm Exam 2 Spring 2008

(b) Find the probability that the amount of the second claim is at least twice that of the first

claim.

Solution. Let X1 and X2 denote, respectively, the first and second claims. Then we need

to compute P (X2 ≥ 2X1 ). By the independence of X1 and X2 and the given density for an

individual claim, the joint density is

f (x1 , x2 ) = (3x−4 −4 −4 −4

1 )(3x2 ) = 9x1 x2 , 1 < x1 , x2 < ∞.

Hence

∞

∞ ∞ ∞

x−3

Z Z Z

P (X2 > 2X1 ) = 9x−4 −4

1 x2 dx2 dx1 = 9x−4

1

2

dx1

x1 =1 x2 =2x1 x1 =1 −3 x2 =2x1

Z ∞ Z ∞

3 1

= 3x−4 −3

1 (2x1 ) dx = x−7

1 dx = .

x1 =1 8 x1 =1 16

4. (NO CALCULATORS FOR THIS PROBLEM) Let X and Y be random variables with joint

density

3

f (x, y) = , 0 ≤ x ≤ 1, x2 ≤ y ≤ 1.

2

(a) Find the marginal density fY (y) of Y . Be sure to specify the range.

R∗

Solution. The general formula is fY (y) = ∗ f (x, y)dx with appropriate integration limits.

√

A sketch of the region shows that the correct limits are from x = 0 to x = y. Thus,

√

Z y

3 3

fY (y) = dx = y 1/2 , 0≤y≤1.

x=0 2 2

Solution. The conditional density of X given Y = 1/2 is

h(x|1/2) = = p = 2, 0<x< 1/2 .

fY (1/2) (3/2) 1/2

Thus

Z Z √1/2 √ √

√ (1/ 2)2 1

E(X|1/2) = xh(x|1/2)dx = x 2dx = 2 = √ .

0 2 2 2

5. (NO CALCULATORS FOR THIS PROBLEM) Suppose that Y is uniformly distributed on the

interval [0, 4] and that, given Y = y, X is uniformly distributed on the interval [y, y + 2].

Math 408 Midterm Exam 2 Spring 2008

(a) Determine the joint density f (x, y). Be sure to specify the range.

Solution. Since Y is uniformly distributed on [0, 4], we have fY (y) = 1/4, 0 ≤ y ≤ 2.

Similarly, since, given Y = y, X is uniformly distributed on [y, y + 2], the conditional density

of X given Y = y is 1/2 on the interval [y, y + 2]; i.e., g(x|y) = 1/2, y ≤ x ≤ y + 2 for

0 ≤ y ≤ 4. Thus

1 1 1

f (x, y) = fY (y)g(x|y) = · = , 0 < y < 4, y < x < y + 2

4 2 8

(b) Find the marginal density fX (x) of X. Be sure to specify the range.

Solution. [This is Problem 4.3-14 in Hogg/Tanis, from HW Assignment 10. The key is to

split up the x-range into three parts, and to

R ∗ calculate fX (x) separately for each of the three

parts.] The general formula is fX (x) = ∗ f (x, y)dy, with appropriate integration limits.

From part (a) we have f (x, y) = 1/8, and from a sketch we see that the correct integration

limits are 0 ≤ y ≤ x for 0 ≤ x ≤ 2, x − 2 ≤ y ≤ x for 2 ≤ x ≤ 4, x − 2 ≤ y ≤ 4 for 4 ≤ x ≤ 6.

Hence, R x

1 x

R0 8 dy = 8

if 0 ≤ x ≤ 2,

x 1 1

fX (x) = x−2 8 dy = 4 if 2 ≤ x ≤ 4,

R 4 1

6−x

x−2 8 dy = 8 if 4 ≤ x ≤ 6.

6. Assume that the amount of fluid content contained in a can of soda has normal distribution with

mean 12.2 ounces and standard deviation 0.1 ounces.

(a) Find the probability that a single can of soda contains less than 12 ounces.

Solution. We need to compute P (X < 12) where X is normal N (12.2, 0.12 ). Standardizing,

we get

X − 12.2 12 − 12.2

P (X < 12) = P < = P (Z < −2) = 1 − Φ(2) = 0.0228 .

0.1 0.1

(b) Suppose that 50 cans are measured, and that the 50 measurements are averaged. Assuming

independence, determine a value c such that, with probability 0.0228, the average of these

50 measurements is less than c.

Solution. We need to determine c such that P (X < c) = 0.9772, where X is the sample

mean of the 50 r.v.’s X1 , . . . , X50 . By

√ the CLT, X is approximately normal with mean

µ = 12.2 and standard deviation 0.1/ 50 = 0.014 . . . . Standardizing, we have

X − 12.2 c − 12.2

P (X < c) = P <

0.014 0.014

c − 12.2 c − 12.2

=P Z< =Φ

0.014 0.014

Setting this equal to 0.0228, we find that (c−12.2)/0.014 = −2, so c = 12.2−0.028 = 12.17 .

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