EE 465 : Homework 3

Due : 09/27/2012, Thursday in class.

1. Let X be a geometric random variable. Find and plot F
X
(x|A) if:
a) A = {X > k} where k is a positive integer
b) A = {X < k} where k is positive integer
2. Let X = (x
1
x
2
x
3
)
T
be a Gaussian random vector and X (
X
,
X
) where
X
= (1 5 2)
T
and

X
=
_
_
_
1 1 0
1 4 0
0 0 9
_
_
_
a) What are the pdfs of
i) x
1
ii) x
2
+ x
3
iii) 2x
1
+ x
2
+ x
3
b) What is P(2x
1
+ x
2
+ x
3
< 0)?
c) What is the pdf of Y = AX where
A =
_
2 1 1
1 1 1
_
3. Let X and Y be jointly gaussian random variables with zero mean, variance
2
X
= 2 and
2
Y
= 4,
and normalized correlation coecient
XY
= 0.5.
a) Find the pdf of X|Y = 1.
b) Let Z = 2X + Y + 2. Find E[Z|Y = 1].
4. Schwartz Inequality: Prove the following inequality:
(E(XY ))
2
E(X
2
)E(Y
2
) (1)
(Hint: Use the fact that for any real a, E((X + aY )
2
) 0.)
5. Two continuous random variables X and Y are described by the pdf
f
XY
(x, y) =
_
_
_
c, if | x | + | y |
1

2
0, otherwise
(2)
where c is a constant.
a) Find c.
b) Find f
X
(x) and f
X|Y
(x | y) .
c) Are X and Y independent random variables? Justify your answer.
Problem d is an optional question, those who solve it will get extra credits.
d) Dene the random variable Z = (| X | + | Y |). Find the pdf f
Z
(z).
2