MA2216/ST2131 Probability AY 2010/2011 Sem 1

NATIONAL UNIVERSITY OF SINGAPORE

MATHEMATICS SOCIETY
PAST YEAR PAPER SOLUTIONS
with credits to Tan Ah Kow, Koh Ah Tan
MA2216/ST2131 Probability
AY 2010/2011 Sem 1
Question 1
(a) Since f(x, y) is a joint p.d.f.,
__
R
2
f(x, y) dxdy = 1.
i.e.,
_

Ky
1
e
y
e

(xy)
2
y
dxdy = 1
The LHS is equal to
K
_

0
y
1
e
y
_

(xy)
2
y
dxdy
= K
_

0
y
1
e
y
_
y
2

2
_

1
_
y
2

2
e

1
2
(xy)
2
(

y/2
)
2
dxdy
= K

_

0
y
1
2
1
e
1y
(1) dy
= K

_
1
2
_
(1)
1
2
= K

= K which must be equal to the RHS, which is 1.

Hence, K =
1

.
(b)
f
Y
(y) =
_

f(x, y) dx
=
_

Ky
1
e
y
e

(xy)
2
y
dx
= Ky
1
e
y
_

(xy)
2
y
dx
= Ky
1
e
y
_
y
2

2 from part (i)

=
1

1
2
e
y
for y > 0.
Notice that f
Y
(y) =
(1)
(1/2)
(
1
2
)
y
(1/2)1
e
(1)y
, y > 0. Thus, Y (
1
2
, 1), from which we also have
IE(Y ) =
1/2
1
=
1
2
and Var(Y ) =
1/2
1
2
=
1
2
.
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Luo Xuan, Ebenezer Lee
MA2216/ST2131 Probability AY 2010/2011 Sem 1
(c)
f
X|Y
(x|y) =
f(x, y)
f
Y
(y)
=
1

y
1
e
y
e

(xy)
2
y
1

y
e
y
=
1

y
e

(xy)
2
y
for < x < , given Y = y > 0.
Notice that
f
X|Y
(x|y) =
1
_
y/2

2
e

(xy)
2
2(

y/2)
2
.
Hence, the conditional distribution of X, given Y = y > 0, is normal with mean y and variance
y
2
.
(d) It follows from the conditional distribution in part (iii) that IE(X|Y = y) = y.
Then, using IE(X) = IE[IE(X|Y )], we have IE(X) = IE(Y ) =
1
2
.
(e) Using the formula Var(T) = IE
_
T
2
_
[IE(T)]
2
, we have
IE
_
X
2
|Y = y
_
= Var(X|Y ) + [IE(X|Y )]
2
=
y
2
+y
2
With this, we nd
IE
_
X
2
_
= IE
_
IE
_
X
2
|Y
_
= IE
_
Y
2
+Y
2
_
=
1
2
IE(Y ) + IE
_
Y
2
_
by linearity
=
1
2
_
1
2
_
+ Var(Y ) + [IE(Y )]
2
=
1
4
+
1
2
+
_
1
2
_
2
= 1
Finally,
Var(X) = IE
_
X
2
_
[IE(X)]
2
= 1
_
1
2
_
2
=
3
4
.
Question 2
(a) (Step 1.) First, the transformation is given by
_
x =
1
2
(u v) (1)
y =
1
2
(u +v) (2)
(Step 2.) The inverse transformation can be obtained by separately taking (1) +(2) and (1) (2).
These give
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_
u = y +x (3)
v = y x (4)
(Step 3.) We nd the domain of x and y. The domain of u and v is {(u, v) : u > 0, v > 0}. These,
with (1) and (2) respectively, give
_
< x < and y > 0
y > x and y > x
(Step 4.) The Jacobian
J(u, v) =

x
u
x
v
y
u
y
v

1/2 1/2
1/2 1/2

=
1
2
The necessary condition of the Jacobian being nonzero for all points in the domain is satised.
(Step 5.) Finally, the joint p.d.f. of X and Y is
f
(X,Y )
(x, y) =
1
|J(u, v)|
f
(U,V )
(u, v)
and, noting that (2) = (2 1)! = 1,
f
(U,V )
(u, v) = f
U
(u)f
V
(v) (since U and V are independent)
=
(1/2)
2
(2)
u
21
e

1
2
u

(1/2)
2
(2)
v
21
e

1
2
v
=
1
16
uve

1
2
(u+v)
Therefore,
f
(X,Y )
(x, y) =
1
|J(u, v)|
f
(U,V )
(u, v)
=
1
|1/2|
1
16
uve

1
2
(u+v)
=
1
8
(y +x)(y x)e
y
from (2), (3) and (4)
=
1
8
_
y
2
x
2
_
e
y
for < x < , y > |x|.
(b)
Cov(X, Y ) = Cov
_
1
2
U
1
2
V ,
1
2
U +
1
2
V
_
=
1
2

1
2
Cov(U V , U +V ) (by bilinearity)
=
1
4
[Cov(U, U) + Cov(U, V ) Cov(V, U) Cov(V, V )] (by bilinearity)
=
1
4
[Var(U) + 0 0 Var(V )] (since U and V are independent)
= 0
(Var(U) = Var(V ) since U and V are identically distributed.)
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(c) No. The domain of x and y is {(x, y) : < x < , y > |x|}. This shows that y depends on x.

Question 3
(a) We know that for an indicator random variable I
A
of an event A, IE(I
A
) = IP(A).
Hence, for each i,
IE(X
i
) = IP{ball r
i
is withdrawn} =
1
_
29
11
_
_
30
12
_ = 0.4
Similarly, for each j,
IE(Y
j
) = IP{jth ball is withdrawn} =
1
_
29
11
_
_
30
12
_ = 0.4
Since X
i
and Y
j
are independent,
IE(X
i
Y
j
) = IE(X
i
) IE(Y
j
) = (0.4)(0.4) = 0.16.
Cov(X, Y ) = Cov
_
_
10

i=1
X
i
,
8

j=1
Y
j
_
_
=
10

i=1
8

j=1
Cov(X
i
, Y
j
) (by bilinearity)
=
10

i=1
8

j=1
0 (since X
i
and Y
j
are independent)
= 0.
(b) Notice that X and Y are indicator random variables.
Let A and B be, respectively, the events that X and Y represent, i.e.,
X =
_
1, if A occurs
0, if A does not occur
Y =
_
1, if B occurs
0, if B does not occur
To show that X and Y are independent Cov(X, Y ) = 0 :
The direction = is true for any random variables X and Y . For the direction =,
Cov(X, Y ) = 0
IE(XY ) IE(X) IE(Y ) = 0
IP(AB) IP(A) IP(B) = 0
IP(AB) = IP(A) IP(B)
i.e., A and B are independent. Hence, X and Y are independent.
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Question 4
(a) We have independent X
1
, X
2
, U(0,1) and N Geom(p). Let q = 1 p.
Also, notice that M takes values between 0 and 1. Thus, for 0 x < 1,
IP(M x) =

n=1
IP{M x|N = n} IP{N = n}
=

n=1
IP{max(X
1
, X
2
, , X
n
) x} q
n1
p
=

n=1
IP{X
1
x, X
2
x, , X
n
x} q
n1
p
=

n=1
IP{X
1
x} IP{X
2
x} IP{X
n
x} q
n1
p (since X
1
, X
2
, are independent)
=

n=1
IP{X
1
x}
n
q
n1
p (since X
1
, X
2
, are identically distributed)
=

n=1
_
x 0
1 0
_
n
q
n1
p for 0 x < 1
= px

n=1
(qx)
n1
= px
1
1 qx
(|qx| < 1 since q, x (0, 1))
=
px
1 (1 p)x
for 0 x < 1
We can thus deduce that
IP(M x) =
_

_
0, for x < 0
px
1(1p)x
, for 0 x < 1
1, for x 1

(b) We rst calculate

IE(S
n
) = IE(X
1
+X
2
+ +X
n
)
= IE(X
1
) + IE(X
2
) + + IE(X
n
) (by linearity)
= nIE(X
1
) (since X
1
, X
2
, , X
n
are identically distributed)
= nIP(X
1
= 1) (since X
1
is an indicator random variable)
= np
and
Var(S
n
) = Var(X
1
+X
2
+ +X
n
)
= Var(X
1
) + Var(X
2
) + + Var(X
n
)
(since X
1
, X
2
, , X
n
are independent, the covariances vanish)
= nVar(X
1
) (since X
1
, X
2
, , X
n
are identically distributed)
= np(1 p)
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Thus, for large n, by CLT, S
n
N(np, np(1 p)) approx. Equivalently,
S
n
=
S
n
n
N
_
p,
p(1 p)
n
_
approx.
(i.)
IP
_

S
n
p

c
_
= IP
_
_
_

S
n
p
_
p(1p)
n

c
_
p(1p)
n
_
_
_
IP
_
_
_
|Z|
c
1/2

900
_
_
_
_

_
p(1 p) 1/2
_
= IP{|Z| 60c}
= 2 IP{Z 60c} (by symmetry)
Thus,
IP{Z 60c}
1
2
IP
_

S
n
p

c
_
=
1
2
(0.01) = 0.005
60c z
0.005
= 2.58
c 0.043
(ii)
IP
_

S
n
p

0.025
_
= IP
_
_
_

S
n
p
_
p(1p)
n

0.025
_
p(1p)
n
_
_
_
IP
_
_
_
|Z|
0.025
1/2

n
_
_
_
= IP
_
|Z| 0.05

n
_
= 2 IP
_
Z 0.05

n
_
(by symmetry)
Thus,
2 IP{Z 0.05

n} IP
_

S
n
p

0.025
_
= 0.01
IP{Z 0.05

n} 0.005
0.05

n z
0.005
= 2.58
n (51.6)
2
2663
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