MA2216/ST2131 Probability AY 2009/2010 Sem 2

NATIONAL UNIVERSITY OF SINGAPORE

MATHEMATICS SOCIETY

PAST YEAR PAPER SOLUTIONS

with credits to Agus Leonardi

MA2216/ST2131 Probability
AY 2009/2010 Sem 2

Question 1
(a) Let X ∼ Γ(α, λ).

MX (t) = E etX


Z ∞
λe−λx (λx)t−1
= etx dx
0 Γ(t)
Z ∞  −(λ−t)x
((λ − t)x)t−1 λt

e
= dx
0 (λ − t)t−1 Γ(t)
λt
 
Γ(t)
=
(λ − t)t−1 Γ(t) λ − t
 t
λ
=
λ−t

(b) We have
0
E(X) = MX (t)|t=0
αλα
= |t=0
(λ − 0)α+1
α
=
λ
and
00
E(X 2 ) = MX (t)|t=0
αλ(α + 1)
= |t=0
(α − t)α+2
α(α + 1)
=
λ2
α
Hence var(X) = E(X 2 ) − (E(X))2 = 2 .
λ

(c) We have Exp(λ) = Γ(1, λ). Then

MX1 +X2 (t) = MX1 (t)MX2 (t)

λ λ
=
λ−tλ−t
 2
λ
=
λ−t

Hence, X1 + X2 ∼ Γ(2, λ).

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MA2216/ST2131 Probability AY 2009/2010 Sem 2

Question 2

(a) Either the first number is larger than the second number, or the second number is larger than
the first number. By symmetry, these two probabilities are equal. Hence, the probability that the
1
second number is larger than the first is .
2

(b) Either the first number is larger than the second number, or the second number is larger than the
first number, or they are equal. Let A be the event that the two numbers are equal. Let Bk be
1 1
the event that the first number taken is k. Note that P(Bk ) = and P(A|Bk ) = . Then
5 9
5
X
P(A) = P(A|Bk )P(Bk )
k=1
1 1
=5· ·
9 5
1
=
9
1
÷ 2 = 94 .


Hence, the probability that the second number is larger than the first is 1 − 9

(c) Note that E(X) = np and var(X) = np(1−p) and the maximum value of the function f (p) = p(1−p)
1
is achieved at p = . Now using Chebyshev’s inequality,
2
  
X 
P  − p ≥ ε = P (|X − np| ≥ nε)
 
n
np(1 − p)
≤
n 2 ε2
p(1 − p)
=
nε2
1
≤
4nε2

Question 3

(a) Define the following events:

I: The person go to Italian restaurant.
J: The person go to Japanese restaurant.
F : The person go to French restaurant.
S: The person is satisfied with what he ate.

P(S|I)P(I)
P(I|S) =
P(S|I)P(I) + P(S|J)P(J) + P(S|F )P(F )
4 1
·
= 4 1 25 32 1 1
5 · 2 + 3 · 10 + 2 · 5
4
=
7

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MA2216/ST2131 Probability AY 2009/2010 Sem 2

P(S|J)P(J)
P(J|S) =
P(S|I)P(I) + P(S|J)P(J) + P(S|F )P(F )
2
· 3
= 4 1 32 10 3 1 1
5 · 2 + 3 · 10 + 2 · 5
2
=
7

4 2 1
P(F |S) = 1 − − =
7 7 7

(b) The required probability is equal to the probability of getting ‘5’ in the first n − 1 rolls, with no
‘6’ occurring in the first n − 1 rolls, which follows binomial distribution with parameter n − 1 and
p = 51 .
   k  n−1−k
n−1 1 4
Hence P(X = k|N = n) = .
k 5 5

 
1
(c) Note that N ∼ Geo . We have
6
∞
X
P(X = k) = P(X = k|N = n)P(N = n)
n=1
∞    k  n−1−k    n−1
X n−1 1 4 1 5
=
k 5 5 6 6
n=1
 k   X ∞    n−k  n
1 1 n 4 5
=
5 6 k 5 6
n=0
 k   X ∞    n−k  n−k  k
1 1 n 4 5 5
=
5 6 k 5 6 6
n=0
 k+1 X∞    n−k
1 n 2
=
6 k 3
n=0
 k+1 X∞
2 n−k
   
1 n
=
6 k 3
n=k
 k+1  −k−1
1 2
= 1−
6 3
1
= k+1
2

Question 4
(a) We have
Z a
1
P(X ≤ a|Y = y) = dx
0 y
 a
x
=
y 0
a
=
y

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MA2216/ST2131 Probability AY 2009/2010 Sem 2

x d 1
Note that from above we have FX|Y (x) = . Hence fX|Y (x) = FX|Y (x) = . Then
y dx y
Z y
x
E(X|Y = y) = dx
0 y
 2 1
x
=
2y 0
y
=
2

y
x2
Z
2
E(X |Y = y) = dx
0 y
 3 1
x
=
3y 0
y2
=
3

(b) We have

E(X) = E(E(X|Y ))
 
Y
=E
2
1
= E(Y )
2
1 1
Z
= y dy
2 0
1
=
4

E(X 2 ) = = E(E(X 2 |Y )
 2
Y
=E
3
1
= E(Y 2 )
3
Z 1
= y 2 dy
0
1
=
9
 2
1 1 7
Hence, var(X) = − =
9 4 144

(c) We have

fX,Y (x, y) = fX|Y (x)fY (y)

1
= ·1
y
1
=
y

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MA2216/ST2131 Probability AY 2009/2010 Sem 2

Z 1
1
fX (x) = dy
0 y
= [ln y]10

Question 5
(a) Let X denotes the inter-arrival time between successive occurrence. We will show that X ∼ Exp(λ).
P(X ≥ t) = P(N (t) = 0) = e−λt .
Hence, we have P(X ≤ t) = 1 − e−λt . Differentiating, we get fX (t) = λe−λt , and the result follows.
We have Tn = X1 + X2 + . . . + Xn , where Xi is the inter-arrival time between event Xi−1 and Xi .
All Xi ’s are i.i.d. exponential random variables with parameter λ. Hence, Tn ∼ Gamma(n, λ).

(b) Let X denotes the number of passenger who does not turn up for the flight. Then X ∼ Bin(100, 0.06).
As n is large, but p is small, such that np < 10, then X ∼ Poisson(6) approximately.
The required probability is P(X ≥ 3) = 1 − P(X = 0) − P(X = 1) − P(X = 2) = 1 − e−6 − 6e−6 −
18e−6 = 1 − 25e−6 .

(c) X ∼ Hypergeometric(52, 13, 13).

13 · 13 13
Then, E(X) = = .
52 4

Question 6
(a) Let
r  v 
g1 (u, v) = cos u −2 log
2π
r  v 
g2 (u, v) = sin u −2 log
2π
Then we have the Jacobian
 ∂g1 ∂g1 
 
∂u
J(u, v) =  ∂g ∂v 
2 ∂g2 
 ∂u ∂v q 
v q − cos u


 − sin u −2 log
 
2π v

 v −2 log( 2π ) 
=  q 
v − sin u


 cos u −2 log

2π
q 
v
 v −2 log( 2π ) 

sin2 u cos2 u
= +
v v
1
=
v
Therefore |J(u, v)|−1 = v.
Note that we also have
 v 
x2 + y 2 = −2 log
2π
which after rearranging and simplifying becomes
1 2 +y 2 )
v = 2πe− 2 (x

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MA2216/ST2131 Probability AY 2009/2010 Sem 2

Hence,

fX,Y (x, y) = fU,V (u, v) · |J(u, v)|−1

 2 
1 1 2 2

= 2πe− 2 (x +y )
2π
  
1 − x2 1 − y2
= √ e 2 √ e 2
2π 2π
i.e. X and Y are independent standard normal random variables.

(b) We use substitution

r  v 
x = cos u −2 log
2π
r  v 
y = sin u −2 log
2π
1
J(u, v) = as calculated in part (a).
v
Hence the integral is equivalent to
Z ∞Z ∞ 2 Z 2π Z 2π
(x + y 2 ) − (x2 +y2 ) 1 h v )
 v i 2 log( 2π
e 2 dx dy = −2 log e 2
−∞ −∞ 2π 0 0 2π 2π
Z 2π Z 2π
1  v 
= − 2 log du dv
0 0 2π 2π
Z 2π
1  v 
= − log dv
0 π 2π
1h  v  i2π
= − v log −v
π 2π 0
1
= − (−2π)
π
=2

(c) We will show that

X p(i|j) 1
=
q(j|i) P(Y = j)
i
We have
X p(i|j) X p(i|j)
= h i
q(j|i) PP(Y =j)p(i|j)
i i
j P(Y =j)p(i|j)
P 
X j P(Y = j)p(i|j) p(i|j)
=
P(Y = j)p(i|j)
i
1 XX
= P(Y = j)p(i|j)
P(Y = j)
i j
1 X
= P(X = i)
P(Y = j)
i
1
=
P(Y = j)

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MA2216/ST2131 Probability AY 2009/2010 Sem 2

Then

P(X = i, Y = j) = p(i|j) · P(Y = j)

p(i|j)
= P p(i|j)
i q(j|i)

as required.

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