E2 202 (AugDec 2015)

Homework Assignment 4
Discussion: Friday, Sept. 18

1. For this problem, to avoid technical complications, assume that all the expected values needed for the definitions are finite. Let X be a discrete random variable with pmf pX . Set X , {x : pX (x) > 0}. Using the
relevant definitions, verify the following:
(a) For any subset A X , we have
P
xpX (x)
E[X|A] = PxA
.
xA pX (x)
(b) Let Y be a discrete r.v. jointly distributed with X, and let (X) = E[Y |X]. Then, for any (Borel
measurable) function g : R R, we have
E[(X)g(X)] = E[Y g(X)].
2. Let X and Y be jointly continuous random variables with a joint density fXY , and let (X) = E[Y |X].
Verify that for any (Borel-measurable) function g : R R, we have
E[(X)g(X)] = E[Y g(X)].
Again, assume that all the relevant expected values are finite.
3. Let X EXP() be an exponential random variable with parameter , i.e., FX (x) = 1 ex for x > 0,
and FX (x) = 0 otherwise. Evaluate E[X] and E[X|X > t].
4. Let (X, Y ) be uniformly distributed over the triangular region with vertices (0, 0), (2, 0) and (2, 1).
(a) Determine the marginal densities of X and Y ; also determine E[X] and E[Y ].
(b) Find the conditional density fY |X (y|x). Be sure to specify the values of x for which this conditional
density is defined.
(c) Find the conditional expectation E[Y |X = x]. Be sure to specify the values of x for which this conditional expectation is defined.
(d) Determine the distribution function of the random variable E[Y |X], and also determine its density, if it
exists.


(e) Explicitly compute E E[Y |X] and verify that it equals E[Y ].