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3500317 Applied Probability

3500317 Applied Probability

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Sections

  • Mathematical Models
  • Deterministic models
  • Nondeterministic models
  • Sets
  • Basic definitions
  • Set operations
  • Set identities
  • Proving statements about sets
  • A proof of the distributive law for sets
  • Elementary sets
  • Cardinality of sets
  • Sample spaces and events
  • Sets of events
  • Self-Test Exercises for Chapter 1
  • Questions for Chapter 1
  • ENUMERATION
  • Fundamental Rule
  • Permutation of n items distinguished by groups
  • Self-Test Exercises for Chapter 2
  • Questions for Chapter 2
  • PROBABILITY
  • Probability Spaces
  • Measuring sets
  • Interpretation of probability
  • Examples using logical probability
  • Relationships between English and set notation
  • Deductions from the axioms
  • THE BIRTHDAY PROBLEM
  • The birthday problem on the planet Yak
  • Conditional Probability and Independence
  • Conditional probability
  • Independence
  • Bayes’ theorem
  • Independence of more than two events
  • Self-Test Exercises for Chapter 3
  • Questions for Chapter 3
  • Cumulative Distribution Function
  • Properties of any cumulative distribution function
  • Discrete Random Variables
  • Properties of any probability mass function
  • Examples of discrete distributions
  • Properties of any probability density function
  • Differential mass interpretation of the pdf
  • Examples of continuous distributions
  • Expectation
  • Finding E(X) for some specific distributions
  • Binomial distribution
  • Poisson distribution
  • Geometric distribution
  • Exponential distribution
  • Other measures of central tendency
  • Self-Test Exercises for Chapter 4
  • Questions for Chapter 4
  • Some examples
  • Discrete case
  • Continuous case
  • Invertible Functions of Continuous Random Variables
  • Expected values for functions of random variables
  • The kth Moment of X
  • Variance
  • Approximating E(h(X)) and Var(h(X))
  • Chebychev’s Inequality
  • The Law of Large Numbers
  • The Normal Distribution
  • Tools for using the standard normal tables
  • Self-Test Exercises for Chapter 5
  • Questions for Chapter 5
  • RANDOM VECTORS
  • Definition
  • Joint Distributions
  • Discrete Distributions
  • Continuous Distributions
  • Marginal Distributions
  • Functions of Random Vectors
  • Independence of Random Variables
  • Testing for independence
  • Expectation and random vectors
  • Random vectors and conditional probability
  • Conditional distributions
  • Self-Test Exercises for Chapter 6
  • Questions for Chapter 6
  • Transforms
  • Notation
  • Probability generating functions
  • Moment generating functions
  • Other transforms of random variables
  • Linear combinations of normal random variables
  • The distribution of the sample mean
  • The Central Limit Theorem
  • The DeMoivre-Laplace Theorem
  • The distribution of the sample mean for large n
  • Self-Test Exercises for Chapter 7
  • Questions for Chapter 7
  • Basic Concepts
  • Random samples
  • Statistics
  • Point Estimation
  • The problem
  • Unbiased estimators
  • Finding Estimators
  • Method of maximum likelihood
  • Self-Test Exercises for Chapter 8
  • Questions for Chapter 8
  • Coin Tossing (Binary) Models
  • The binomial distribution
  • The geometric distribution
  • The Poisson distribution
  • Random Particle Models
  • Self-Test Exercises for Chapter 9
  • Questions for Chapter 9
  • Approximation for the Normal Integral
  • Approximation for the Inverse Normal Integral
  • Questions for Chapter 10
  • TABLE I: STANDARD NORMAL CUMULATIVE DISTRIBUTION FUNCTION
  • TABLE II: SOME COMMON PROBABILITY DISTRIBUTIONS
  • ANSWERS TO SELF-TEST EXERCISES
  • SAMPLE EXAMINATION 1
  • PART I: MULTIPLE CHOICE QUESTIONS
  • PART II
  • SAMPLE EXAMINATION 2

Lecture Notes in Applied Probability

2005 Wayne F. Bialas Department of Industrial Engineering University at Buffalo

i

Copyright c 2005 Wayne F. Bialas Department of Industrial Engineering University at Buffalo 301 Bell Hall Buffalo, New York 14260 USA E-mail: bialas@buffalo.edu Web: http://www.buffalo.edu/˜bialas All rights reserved. No part of this work may be reproduced by any means without the express written permission of the author.

Date printed: May 12, 2005

ii

CONTENTS

Acknowledgements To the student 1 Sets, Sample Spaces and Events Mathematical Models . . . . . . . . . . . . . . . . . . . . . . . . . . Deterministic models . . . . . . . . . . . . . . . . . . . . . . . . Nondeterministic models . . . . . . . . . . . . . . . . . . . . . . Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Basic definitions . . . . . . . . . . . . . . . . . . . . . . . . . . Venn diagrams . . . . . . . . . . . . . . . . . . . . . . . . . . . Set operations . . . . . . . . . . . . . . . . . . . . . . . . . . . Set identities . . . . . . . . . . . . . . . . . . . . . . . . . . . . Proving statements about sets . . . . . . . . . . . . . . . . . . . A proof of the distributive law for sets . . . . . . . . . . . . . . . Elementary sets . . . . . . . . . . . . . . . . . . . . . . . . . . Cardinality of sets . . . . . . . . . . . . . . . . . . . . . . . . . Sample spaces and events . . . . . . . . . . . . . . . . . . . . . Sets of events . . . . . . . . . . . . . . . . . . . . . . . . . . . Self-Test Exercises for Chapter 1 . . . . . . . . . . . . . . . . . . . . Questions for Chapter 1 . . . . . . . . . . . . . . . . . . . . . . . . .

xi xiii 1 1 1 1 2 2 3 3 5 6 7 8 9 10 11 12 14

iii

. . . . . . . . . . . . . . . . . . . Permutation of n items distinguished by groups . . . . . Self-Test Exercises for Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 20 20 26 26 29 32 35 35 35 36 40 41 41 45 48 49 49 51 52 54 57 67 Independence . . 3 Probability Probability Spaces . . . . . . Deductions from the axioms . . . . . . . . . . . . . . . . Questions for Chapter 2 . . The birthday problem on the planet Yak . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Examples using logical probability . . . . . . . . . Sampling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .iv CONTENTS 2 Enumeration Fundamental Rule . . . . . . . . . . . . . . . . . . . . . . . Self-Test Exercises for Chapter 3 . . . . . . . . Conditional probability . . . . . . . . Independence of more than two events . . . . . . . . . . . Conditional Probability and Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Bayes’ theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Occupancy . . . . . . . . . . Questions for Chapter 3 . . . . . . . . . . . . . . . . . . The Birthday Problem . . . . . . . . . . Interpretation of probability . . . . . . . . . . . . Relationships between English and set notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Measuring sets . . . . . . . . . . . . . . . . . . . . . . . .

. . . . . . . . . . Properties of any probability density function . . . . . . . . . . . 81 81 81 81 82 82 83 85 86 87 88 89 90 90 90 91 91 92 92 99 105 5 Functions of Random Variables Basic Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Expectation . . . . . Self-Test Exercises for Chapter 4 . . . 109 Continuous case . . . . . . . . Questions for Chapter 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Properties of any probability mass function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Discrete Random Variables . . . . . . . . . . . . . 109 Discrete case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .CONTENTS v 4 Random Variables Basic Concepts . . . . . . . . . . . . Examples of discrete distributions . . . . . . . 105 Some examples . . . . . . . . . . . . . Binomial distribution . . . . . . . . . . . . . . Differential mass interpretation of the pdf . . Examples of continuous distributions . . . . . . . . . . . Continuous Random Variables . . . . . . . . . . . . . . Exponential distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Other measures of central tendency . . . . . . . . . . . . . . . . . . 110 . . . . . . . Geometric distribution . Finding E(X) for some specific distributions . . . . Cumulative Distribution Function . . . . . . . . Properties of any cumulative distribution function . . . . . . . . . . . . . . . . . . . . . . Poisson distribution . . . . . . . .

. . . . . . . . . . . . . . . . . . . . . . . . . 124 The Law of Large Numbers . . . . . . . . . . . . 159 Marginal Distributions . . 155 Definition . . . . 171 Expectation and random vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118 Variance . . 115 The k th Moment of X . . . 180 . . . 157 Discrete Distributions . . . . . . 168 Independence of Random Variables . . . 173 Random vectors and conditional probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119 Approximating E(h(X)) and Var(h(X)) . . . . . . . . . . . . . . . . . . . 171 Testing for independence . . . . . . . . . . . . . . . . . . . . 162 Functions of Random Vectors . . . . . . . . 131 Self-Test Exercises for Chapter 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126 Tools for using the standard normal tables . . . . . . . . . . . . . . . . . . . . . 133 Questions for Chapter 5 . . . . . . . . . . . . . . . . . . 112 Expected values for functions of random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126 The Normal Distribution . . 121 Chebychev’s Inequality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179 Self-Test Exercises for Chapter 6 . . . . . . . . . . . . . . . . . . . . . . . 158 Continuous Distributions . . . . . . . . . . . . . . . . . . . . . . . . .vi CONTENTS Invertible Functions of Continuous Random Variables . . . . . . . . . . . . . . . . . . 155 Joint Distributions . . . . . . . . . . . . . . 142 6 Random Vectors 155 Basic Concepts . . 178 Conditional distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

. . . . . . 215 Questions for Chapter 7 . . . . . . . . . . . . . . . . . . . 229 The problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227 Point Estimation . . . . . . . . . . . . . 199 Probability generating functions . . . . . . . 199 Moment generating functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 214 Self-Test Exercises for Chapter 7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209 The distribution of the sample mean . 213 The distribution of the sample mean for large n . . . . . . . . . . . . . . . . . . . . . . .CONTENTS vii Questions for Chapter 6 . . . . . . . . . . . . . . . . . . . . . . . . . . 211 The Central Limit Theorem . . 229 Finding Estimators . 227 Statistics . . . . . . . . . . . . . 230 Questions for Chapter 8 . . . . . . . . . . . . . . . . . . . . . . . . . . 209 Linear combinations of normal random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203 Other transforms of random variables . . 188 7 Transforms and Sums 199 Transforms . . . . . . 211 The DeMoivre-Laplace Theorem . . . . . . . . . . . . . . 231 . . . . . . . . 199 Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229 Unbiased estimators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229 Method of maximum likelihood . . . . . . . . . . . . . . . . . . . . . . 229 Self-Test Exercises for Chapter 8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227 Random samples . . . . . . . 221 8 Estimation 227 Basic Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

. . . . . . . . . . . . . . . . . . . . . 264 . . . . . . . 235 Random Particle Models . . . . . . . . . . . . . 247 Approximation for the Inverse Normal Integral . . . . . . . . . . . . . . . . . . . . . 235 Self-Test Exercises for Chapter 9 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250 Table II: Some Common Probability Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237 Questions for Chapter 9 . 233 The binomial distribution . . . . . . . . . . . . 261 Part II . . . . . . . . . . . . . . . . 234 The Poisson distribution . . . . . 257 Part II . . . . . . . . . . . . . . . . . . . . . . 233 The geometric distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248 A Tables 249 Table I: Standard Normal Cumulative Distribution Function . . 248 Questions for Chapter 10 . . . . . . . . . .viii CONTENTS 9 Probability Models 233 Coin Tossing (Binary) Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 238 10 Approximations and Computations 247 Approximation for the Normal Integral . . . . . . 259 D Sample Examination 2 261 Part I: Multiple Choice Questions . . . . . 251 B Answers to Self-Test Exercises C Sample Examination 1 253 257 Part I: Multiple Choice Questions . . . . . . . . . . . . . . . . . . . . . . . . . . .

. . . . . . . . . . . . . . . . . . . .CONTENTS ix E Sample Final Examination 265 Part I: Multiple Choice Questions . 265 Part II . . . . 271 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

x CONTENTS .

The Adobe AcrobatTM driver. written by Mark A. Rajarshi Chakraborty. Elif Tokar and Min Zhang for finding numerous mistakes in previous editions. Nguk Ching Ling. a This manual was typeset using Donald Knuth’s TEX with Leslie Lamport’s L TEX aTEX style file developed enhancements as implemented by Eberhard Mattes. Nikola Petrovic. WFB Buffalo. Some of them were my professors. Taneka Lawson. Shiju David. Satyaki Ghosh-Dastidar. I must also thank Yu-Shuan Lee Brown.ACKNOWLEDGEMENTS Contained herein is a bit of the wisdom of the greatest scholars in probability theory. New York May 12. Derek Hoiem. Andrew Lenkei. dvipdfm. Any remaining errors and omissions are mine. I am grateful to Mark Chew. Lynne Makrina Tkaczevski. Angelo Morgante. 2005 xi . In particular. Xiaofeng Nie. Simin Huang. James Pasquini. Dawn Holmes. Mona Khanna. Michael Holender. and AFPL Ghostscript were used to produce the printed output. Gerber. Wicks. Lindsay Koslowski. Kevin Cleary. Harold T. Partel was modified and used to format this document. Judah Eisenhandler. I would not have dared to prepare these notes without these tools. Amol Salunkhe. Alfred Guiffrida and Nishant Mishra for several contributions to these notes. These notes have benefited the most from the many contributions of my students and teaching assistants. Keith Klopfle. Steven Kieffer. A L by H.

xii CONTENTS .

The universe is not a deterministic clockwork. There we will quickly discover analogies between allocating probability and allocating physical mass. We will do that. ultimately. – WILLIAM COWPER. What is certain. As engineers and scientists. That measure will be called probability. but a harmony of random possibilities. 1790) xiii . in a systematic way. For that purpose. we will use the mathematical theory of measure. we provide some counting techniques. a measure of uncertainty to each of those sets. the Central Limit Theorem. too. is that a course in probability asks that you change your view of everything around you. We will show you how sets can be used to express events. or when they arise from a continuum of possible values. For that. we will introduce the concept of random variables and random vectors to map our abstract probability problems into Euclidean real space. and then assign. we can assign probabilities to events by simply counting equally likely outcomes. Probability theory provides a way to mathematically represent chance. with examples ranging from coin tossing to proving one of the most important results in all of science. Conversation (c. The concepts of center of mass (center of gravity) and moment of inertia. For some problems. Point masses and continuous mass densities arise as a natural consequence. become the mean and variance of our probability distributions. But.TO THE STUDENT These notes are for a course devoted to describing those processes around us that appear to produce random outcomes. we are always more comfortable working with real numbers. When outcomes are not equally likely. the goal of any good mathematical model is to serve as a tool for reaching conclusions about the processes being modeled. A fool must now and then be right by chance.

xiv CONTENTS .

1 SETS. BARR. SAMPLE SPACES AND EVENTS There are no little events in life. – AMELIA E. All the Days of My Life (1913) Mathematical Models What is a mathematical model?    .

.

 Observation  .

University at Buffalo was founded in 1846. 1 . Example: V = IR Established experimentally by George Simon Ohm in 18271 Nondeterministic models Also called probabilistic models or stochastic models. the result is a known constant. Examples: 1 To place this date in perspective. Application    Deterministic models For specified values of an experiment’s input parameters.

2 Sets • the number of α-particles emitted from a piece of radioactive material in one minute. • the number of students who will earn an A in EAS305. 4} • by describing the set in words “A is the set of all real numbers between 0 and 1. Sets Basic definitions We will need to use set theory to describe possible outcomes and scenarios in our model of uncertainty. . . The empty set (the set containing no elements) is denoted by Ø.1. If x is an element of a set A. 3. Definition 1. B. ω.2. . inclusive.) while their elements are denoted by small letters (a. we write x ∈ A. A set can be described • by listing the set’s elements A = {1. .3. Ω. The universe is the set containing all points under consideration and is denoted by Ω. b. A set is a collection of elements. Question: What is the difference (if any) between Ø and {Ø}? Definition 1. If x is not an element of A.” • by using the notation {ω : specification for ω} A = {x : 0 ≤ x ≤ 1} or A = {0 ≤ x ≤ 1} There are two sets of special importance: Definition 1. . we write x ∈ A. Notation: Sets are denoted by capital letters (A.). • the outcome of a single toss of a fair die. 2. . .

/ Venn diagrams Ω B A Set operations Complementation Ac = {ω ∈ Ω : ω ∈ A} . We avoid the ambiguity here by using ⊆ for subset and ⊆ for proper subset. We write A⊆B B⊇A Now we have a way to say A is identical to B . Define the sets A = {x : x2 + x − 2 = 0} B = {x : (x − 3)(x2 + x − 2) = 0} C = {−2.6. . We write A ⊆B . A = B if and only if A ⊆ B and B ⊆ A. Definition 1. Example: Let Ω = R. / Note: Some authors use the symbol ⊂ for subset and other use ⊂ for proper subset.Sets 3 Definition 1.4. If every point of set A belongs to set B . then we say that A is a subset of B (B is a superset of A). 3} Then A ⊆ B and B = C . . A is a proper subset of B if A ⊆ B and A = B .5. 1. Definition 1. the set of all real numbers.

4 Example: Here is the region representing Ac in a Venn diagram: Ω Sets A Ac Union A ∪ B = {ω ∈ Ω : ω ∈ A or ω ∈ B (or both)} Example: Consider the following Venn diagram: Ω A B then the region representing A ∪ B is: Intersection A ∩ B = {ω ∈ Ω : ω ∈ A and ω ∈ B} .

Definition 1.Sets 5 Example: Using the same Venn diagram as above the region representing A ∩ B is given by: Note that some textbooks use the notation AB instead of A ∩ B to denote the intersection of two sets. A ∪ B ∪ C = A ∪ (B ∪ C) = (A ∪ B) ∪ C and A ∩ B ∩ C = A ∩ (B ∩ C) = (A ∩ B) ∩ C You can show that (a) A ∪ B = B ∪ A (b) A ∩ B = B ∩ A (c) A ∪ (B ∪ C) = (A ∪ B) ∪ C (d) A ∩ (B ∩ C) = (A ∩ B) ∩ C Note: (a) and (b) are the commutative laws Note: (c) and (d) are the associative laws Set identities (e) A ∪ (B ∩ C) = (A ∪ B) ∩ (A ∪ C) (f) A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C) (g) A ∩ Ø = Ø . These basic operations can be extended to any finite number of sets.7. Two sets A and B are disjoint (or mutually exclusive) if A∩B = Ø.

Therefore. x ∈ A implies x ∈ B .1 would become: Proof. the proof of Theorem 1. Furthermore. since B ⊆ C .6 Sets (h) A ∪ Ø = A (i) (A ∪ B)c = Ac ∩ B c (j) (A ∩ B)c = Ac ∪ B c (k) (Ac )c = A Note: (e) and (f) are called the Distributive Laws Note: (i) and (j) are called DeMorgan’s Laws Proving statements about sets Venn diagrams can only illustrate set operations and basic results. Here is an example of a simple set theorem and its proof. Hence A ⊆ C . Theorem 1. then A ⊆ C . x ∈ B implies x ∈ C . (1) (2) (3) (4) Discussion If x ∈ A then x ∈ B Since x ∈ B then x ∈ C If x ∈ A then x ∈ C Therefore A ⊆ C Reasons Definition of A ⊆ B Definition of B ⊆ C By statements (1) and (2) Definition of A ⊆ C (as in the above proof) or the Note: A proof is often concluded with the symbol letters QED. But they can be used to disprove a false mathematical statement. Choose an x ∈ A. Many mathematicians prefer to write proofs in paragraph form. Proof. If A ⊆ B and B ⊆ C . every element x ∈ A is also an element of C . from the definition of subset. . Since A ⊆ B . For example. You cannot prove a true mathematical statement regarding sets using Venn diagrams.1.

Definition of ∩. Definition of ∪. By (1) and (2). F. Proof. Hence x ∈ A ∩ B or x ∈ A ∩ C. then x ∈ A and x ∈ B ∪ C . Meredith Publishing. x ∈ (A ∩ B) ∪ (A ∩ C). or x ∈ A and x ∈ C .. then x ∈ B or x ∈ C . giving us A ∩ (B ∪ C) ⊆ (A ∩ B) ∪ (A ∩ C). (1) (2) (3) (4) (5) Therefore every element of A ∩ (B ∪ C) is also an element of (A ∩ B) ∪ (A ∩ C). The proof is from a textbook on set theory by Flora Dinkines2 Theorem 1.2. A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C). Elementary Theory of Sets. 1964. We now prove the inclusion in the opposite direction: 2 Dinkines.Sets 7 A proof of the distributive law for sets Here is a proof of one of the distributive laws for sets. Therefore x ∈ A and x ∈ B . Reasons Definition of ∩. Discussion If x ∈ A ∩ (B ∪ C). Since x ∈ B ∪ C . . Definition of ∪.

S1 . Elementary sets Let Ω be a universe with three subsets A. Therefore y ∈ A and y ∈ B ∪ C. Definition of ∩. and C . it is in the union. Therefore y ∈ A ∩ (B ∪ C). . If y ∈ A ∩ C then y ∈ A and y ∈ C . If y ∈ A ∩ B then y ∈ A and y ∈ B . . then y ∈ (A ∩ B) or y ∈ (A ∩ C). B and C . Definition of ∪. we have A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C). y ∈ A and y is an element of one of the sets B or C . Definition of ∩. giving us A ∩ (B ∪ C) ⊇ (A ∩ B) ∪ (A ∩ C). In either case (7) or (8). Therefore. B . Consider the following subsets of Ω: A B C 0 0 0 Ac ∩ B c ∩ C c = S0 0 0 1 Ac ∩ B c ∩ C = S1 0 1 0 Ac ∩ B ∩ C c = S2 0 1 1 Ac ∩ B ∩ C = S3 1 0 0 A ∩ Bc ∩ C c = S4 1 0 1 A ∩ Bc ∩ C = S5 1 1 0 A ∩ B ∩ Cc = S6 1 1 1 A∩B∩C = S7 The sets S0 . S7 are called the elementary sets of A. . Same as (7). Therefore every element of (A ∩ B) ∪ (A ∩ C) is also an element of A ∩ (B ∪ C). . using the definition of set equality. Statements (7) and (8) Since y is in B or C .8 Sets (6) (7) (8) (9) (10) (11) If y ∈ (A ∩ B) ∪ (A ∩ C). .

B and C using a Venn diagram. Elementary sets have two very useful properties: • Elementary sets are pairwise disjoint.1) corresponds to S3 = Ac ∩ B ∩ C . Si ∩ Sj = Ø for any i = j . • Any set operation involving A. For some (but not all) experiments. For example (A ∪ B) ∩ C = S3 ∪ S5 ∪ S7 Cardinality of sets The cardinality of a set A (denoted by |A|) is the number of elements in A. That is. the binary sequence (0. This is the subset of elements that are 0: 1: 1: not in A in B in C and and Figure 1. and C can always be represented as a union of the elementary sets for A.1: An example of elementary sets for three subsets For example. B .1 illustrates all of the 23 = 8 elementary sets for A.1. we have                            A Bc C Ac B C Ac Bc C C .Sets 9 Ω A B A Bc Cc A B Cc A B C Ac B Cc Ac Bc Cc Figure 1. B and C .

Definition 1. it is important to be able to enumerate (i. A= 2. Ω. The outcome of the experiment is the life length of the bulb. 4. This will be discussed in a later chapter. then you just (re)invented the concept of a random variable. • Each of the outcomes of the experiment are equally likely. The die turns up less than 5. 3. we can now introduce the first components of our probability model.9. C= Example: Consider the experiment of burning a light bulb until it burns out. The die turns up even.10 • |Ω| is finite. Definition 1.e. . Sets In such cases. A sample space. The die turns up 6. 3 Identify the subsets of Ω that represent the following events: 1. Example: Consider the experiment of rolling a die once.8.. 5. An event is any subset of a sample space. 3 What should be Ω for this experiment? Ω= If you thought the answer was Ω = {1. count) the number of elements of subsets of Ω. 2. is the set of all possible outcomes of an experiment. 6}. B= 3. Sample spaces and events Using set notation.

Ω. you would need to list all possible subsets of Ω. If you were asked to list all of the possible events for this experiment. T T }. The set F is very different than the set of all possible outcomes. Since an event is a set.Sets 3 What should be Ω for this experiment? 11 Ω = {x ∈ R : x ≥ 0} For the lack of a better representation. suppose we toss a two-sided coin twice. the set of all events is really a set of sets. The bulb burns out within one and one-half hours. we resorted to assigning a nonnegative real number to each possible outcome of the experiment. The sample space is Ω = {HH. T H. The bulb lasts at least 5 hours. C = {24} Sets of events It is sometimes useful to be able to talk about the set of all possible events F. 3 Identify the subsets of Ω that represent the following events: 1. A = {x ∈ R : 0 ≤ x < 1. {HT }} A6 = {{HH}. For example. namely A1 = {{HH}} A2 = {{HT }} A3 = {{T H}} A4 = {{T T }} A5 = {{HH}. B = {x ∈ R : x ≥ 5} 3. Each element of F is a subset of Ω.5} 2. The bulb lasts exactly 24 hours. {T H}} . HT.

. . A2 . then |2A | = 2|A| Proof. the set of all subsets of A is called the power set of A.12 Self-Test Exercises for Chapter 1 A7 = {{HH}. . {T H}} A9 = {{HT }. F. Left to reader. When Ω contains a finite number of outcomes. {T H}} A12 = {{HH}. choose the best response among those provided. Ω contains an infinite number of outcomes (either countable or uncountable) and F = 2Ω is much too large. {T T }} A13 = {{HH}. {HT }. {T T }} A11 = {{HH}. A16 } Definition 1. For a given set A. {HT }. {T H}. then we often use the set of all possible events F = 2Ω . is found in many graduate level probability courses. we select a smaller collection of sets. S1. {T T }} = Ω A16 = {} = Ø In this case F = {A1 . this often works well. Answers can be found in Appendix B." is (A) A ∪ B ∪ C (B) A ∩ B ∩ C (C) (A ∩ B ∩ C)c . {T H}.1 The event that corresponds to the statement. However. How to properly select a smaller F. to represent those events we actually need to consider. Theorem 1.3. "at least one of the events A. for some experiments. {T T }} A10 = {{T H}. . {HT }. B and C occurs. Self-Test Exercises for Chapter 1 For each of the following multiple-choice questions. In those cases. {T H}. If A is a finite set. {T T }} A8 = {{HT }. If Ω is a sample space.10. and is denoted by 2A . {T T }} A15 = {{HH}. {T T }} A14 = {{HT }.

(A) (A ∩ B) ⊆ B (B) A ⊆ (A ∪ B) (C) Ac ⊆ (A ∩ B)c (D) all of the above are true. .Self-Test Exercises for Chapter 1 (D) (A ∪ B ∪ C)c (E) none of the above 13 S1. B or C occurs is (A) (A ∩ B ∩ C) (B) (A ∩ B ∩ C)c (C) (A ∪ B ∪ C) (D) (A ∩ B c ∩ C c ) ∪ (Ac ∩ B ∩ C c ) ∪ (Ac ∩ B c ∩ C) (E) none of the above.5 For any sets A and B .2 The event that corresponds to the statement that exactly one of the events A.4 The set (A ∩ B) ∪ A is equivalent to (A) (A ∪ B) ∩ A (B) B (C) A ∩ B (D) Ø (E) none of the above. S1. S1.3 The set (A ∩ B) ∪ (A ∩ B c ) is equivalent to (A) Ø (B) Ω (C) A (D) B (E) none of the above. S1.

Questions for Chapter 1 1. Let A = {x : 0.1 Suppose that the universe consists of the positive integers from 1 through 10. List the elements of the following sets: (a) Ac ∩ B (b) Ac ∪ B (c) (Ac ∪ B c )c (d) A ∪ (B ∩ C)c c 1. 6. the event (A ∪ B c ) ∩ B equals (A) Ø (B) Ω (C) A ∪ B (D) A ∩ B (E) none of the above. Describe the following sets: (a) (A ∪ B)c (b) A ∪ B c (c) (A ∩ B)c . 7}. 5} and C = {5.5}.5 ≤ x ≤ 1}.25 ≤ x ≤ 1. S1.14 Questions for Chapter 1 (E) none of the above are true. B = {3. 3. is given by Ω = {x : 0 ≤ x ≤ 2}. S1. 4. and B = {x : 0.6 For any events A and B .7 If A ∩ B = Ø then (Ac ∪ B c )c equals (A) Ø (B) A (C) B (D) Ω (E) none of the above. 4}.2 Suppose that the universe. Let A = {2. Ω.

B = set of all integers that are integral multiples of 3. (a) A ∩ Ac (b) A ∪ Ac (c) A ∩ Ø (d) A ∪ Ø (e) Ω ∩ Ø (f) Ω ∪ Ø (g) A ∩ Ω (h) A ∪ Ω 1.5 Let A = set of all even integers. where Ω is the universe and A is a subset of Ω. either prove your result using basic set relationships or disprove by providing a counterexample. and J = set of all integers Describe the following sets: (a) A ∩ B (b) A ∪ B . (a) (A ∪ B) ∩ (A ∪ C) = A ∪ (B ∩ C) (b) (A ∪ B) = (A ∩ B c ) ∪ B (c) Ac ∩ B = A ∪ B (d) (A ∪ B)c ∩ C c = Ac ∩ B c ∩ C c (e) (A ∩ B) ∩ (B c ∩ C) = Ø 1.3 Which of the following relationships are true? In each case. C = set of all integers that are integral multiples of 4.4 Identify the set obtained by the following set operations.Questions for Chapter 1 (d) Ac ∩ B 15 1.

The circuit is on at time z where z is some instant of time during the 24–hour period. (b) Suppose that the above bulbs are tested. 1. (a) Describe the sample space.6 Prove the Law of Absorption. Subsequently. the following holds: A ∪ (A ∩ B) = A ∩ (A ∪ B) = A. until all defectives have been found. These bulbs are tested.. Describe the sample space for this experiment. (still during the same 24– hour period) the switch is placed in the “OFF” position. 3. i. each of whose quality. Assume that X and Y are measured in hours on the continuous time axis with the beginning of the time period as the origin. a machine produces three items. . is determined at the end of the day. X . 4. The circuit is turned on before time r and turned off after time s (r < s). defective or nondefective. Y ). until a defective bulb is found. The circuit is on exactly three times as long as it is off. one by one. The circuit is on for less than one hour. at some time. (b) Describe and sketch in the XY –plane the following events: 1. The outcome of the experiment consists of the pair of numbers (X. 2.7 A box of N light bulbs has r (r ≤ N ) bulbs with broken filaments. (a) Describe the sample space for the above experiment. one by one. a switch is placed in the “ON” position.8 During a 24–hour period.9 During the course of a day.16 Questions for Chapter 1 (c) B ∩ C (d) A ∪ J (e) A ∪ C 1. Describe the sample space generated by a day’s production. 1. show that for any sets A and B . Y . 1. at some future time.e.

another probe is sent.Questions for Chapter 1 17 1. another follows. If the second probe fails. Describe the sample space for this experiment. .11 Let A. (c) Exactly two of the events occurs. Your theorem should only use sets and basic set operations. B and C be three events associated with an experiment. Do not add other attributes of elements of R2 such as the distance between points. Express the following verbal statements in set notation: (a) At least one of the events occurs. This process continues until a successful probe is launched.12 (†) (provided by Nishant Mishra) Provide a theorem that is true for Venn diagrams but false for an arbitrary universe Ω. (d) At least one event occurs. If it fails. (b) Exactly one of the events occurs.10 A space probe is sent to Mars. 1. 1. but no more than two of the events occur.

18 Questions for Chapter 1 .

Elementary probability theory with stochastic processes.1) dominoes. Figure 2. – AESOP. K.2 How many different dominoes does your factory actually produce? (Try this problem on your friends and see how many different answers you get. Springer-Verlag. 2 Just have a person at the end of the assembly line rotating half of the (4.. 1 19 .1: A single domino dominoes have each half of a tile painted with 1 to 9 dots (called “pips”) or a blank for a total of 10 possible choices. 1975. L.1) the dominoes by 180 degrees.1). New York. Chung1 So you think you know how to count? Consider the following problem: Suppose you are the chief engineer at the Ellicott Dominoes domino factory. Typically.1. L.) Chung.4) can be turned 180 degrees to look like a domino painted (4. Of course. So there is no need to have one assembly line producing (1.2 ENUMERATION Do not count your chickens before they are hatched. Dominoes are rectangular tiles used in some parlor games and they look like Figure 2.4) dominoes and another producing (4. Fables (600 BC) This section is based on Chapter 3 of a text by K. a domino painted (1.

. n possible ways to draw the second. m2 alternatives for the second. The total number of alternatives for the whole set of choices is equal to (m1 )(m2 )(m3 ) · · · . There are four choices for selecting the man and five choices for selecting the woman. The total number of possible ways to answer all of the questions on the exam is 2 · 2 · 2 · 2 · 2 = 25 = 32. Fundamental Rule The following rule forms the foundation for solving any counting problem: Multiplication Principle: Suppose there are several multiple choices to be made. and solve each type. 4 · 5 = 20 Sampling The Urn Model: Imagine an urn that contains n balls marked 1 to n. In practice. Example: Suppose you give a quiz with 5 questions. There are four disciplines under which the balls can be drawn from the urn and examined. each with a possible answer of True or False. Hence the sequence 1. the total number of possible sequences is nm . I. m3 for the third. Since there are n possible ways to draw the first ball. A total of m balls are drawn sequentially. most counting problems can be approached using one or a combination of these four basic types. Therefore. There are m1 alternatives for the first choice. etc. 3. You would like to select a research team consisting of one man and one woman. and so on. Example: Suppose a engineering class has five women and four men. etc. it is replaced in the urn and may be drawn again. The order of the balls is noted. After a ball is drawn. 3 is distinguished from 3. 2. Sampling with replacement and with ordering. we will present a systematic way to approach counting problems. there are two ways to answer the first question. The total number of possible research teams is. 1. 2. two ways to answer the second question. 3.20 Sampling In this chapter. We will classify counting problems into four categories. therefore. .

The card for Mary’s must come from the remaining 4 cards. Finally. 0! ≡ 1 so that when n = m. (n − n)! 0! Example: Suppose you have five different birthday cards. the number of possible choices for Sue’s card is 3. then Mary. Computational Hint: We can compute n(n − 1)(n − 2) · · · (n − m + 1) = n! . Sampling without replacement and with ordering. After a ball is drawn. n − 1 possible ways to draw the second. The order of the balls is noted. A total of m balls are drawn sequentially with m ≤ n. (n − m)! By definition. we have n(n − 1)(n − 2) · · · (n − n + 1) = n! n! = = n !. Since there are n possible ways to draw the first ball. this is equivalent to the problem of counting the number of ways you can arrange n different balls in a row. Note that when m = n. n − 2 possible ways to draw the third.Sampling 21 II.. then Sue) is arbitrary and does not affect the answer. For the special case when m = n. etc. and you have three friends (named Bill. You want to send one card to each friend. Hence the total number of ways you can assign five birthday cards to your three friends is 5 · 4 · 3 = 60. and Sue) with birthdays this week. the total number of possible ways to draw n balls is n(n − 1)(n − 2) · · · (2)(1) ≡ n!. it is not replaced in the urn and hence cannot be drawn again. the total number of possible sequences is n(n − 1)(n − 2) · · · (n − m + 1). It’s interesting to note that the sequence of friends (Bill. Mary. ? ? ? B M S . The number of possible choices for Bill’s card is 5. Here is another way to look at this problem: Consider the empty mailboxes of your three friends.

This time we have 3 positions to fill with 3 different items. ? ? ? 1 2 3 So a possible arrangement is y z x 1 2 3 and there are 3 · 2 · 1 = 3! = 6 possible assignments.d.e. then one possible assignment is c d B M a S There are 5 ways to fill the first position (i. The balls are not replaced after each drawing and the order of the drawings is not observed. To derive the above formula.c. arrange the m items in order. z. 4 ways to fill the second position and 3 ways to fill the third.b. m This number is often referred to as the binomial coefficient. . let x denote the number of ways to choose m items from n items without replacement and without ordering. Example: Using the above example.e. Hence. We can find the value of x by considering Case II as a two-stage process: Stage 1 Grab m items from n without replacement and without ordering. we can compute the number of ways one can arrange the three letters x. The total number of ways a subset of m items can be drawn from a set of n elements is (1) n! ≡ m!(n − m)! n . Sampling without replacement and without ordering..22 Sampling If the cards are labelled a. A total of m balls (m ≤ n) are drawn from the urn. this case can be thought of as reaching into the urn and drawing m balls simultaneously. the two stages implement Case II (sampling without replacement and with ordering). III. Stage 1 (selecting the m balls) can be performed x ways. y. Stage 2 Given the m items selected in Stage 1. Bill’s mailbox). Combined.

m!(n − m)! (n − m)!m! n−m So. 4 5 Also note that if n is large. 10 10! 10 · 9 = = = 45 2 2!8! 2! and 100 100 100! 100 · 99 · 98 = = = = 161700. Furthermore. 5 5 = 3 2 and 9 9 = . for example. Hence. To overcome this. Hence. Computational Hint: Note that n m = n! n n! = = .Sampling 23 our unknown quantity. that the entire process of Stage 1 followed by Stage 2 can be performed in n! (n−m)! ways. . [Stage 1] · [Stage 2] = [Case II]. m!(n − m)! m! with only m terms in both the numerator and the denominator. 97 3 3!97! 3! Example: A consumer survey asks: Select exactly two vegetables from the following list: ◦ peas ◦ carrots ◦ lima beans ◦ corn 4 2 The total number of ways you can select two items from the four is = 6. we must have x · m! = n! (n − m)! In other words. Solving for x then yields our result. Stage 2 (ordering the m balls) can be performed m! ways (using Case II for m items drawn from m items). using Case II (with m items drawn from n items). we know. note that n m = n! n(n − 1)(n − 2) · · · (n − m + 1) = . brute force computation of all three factorial terms n of m can be a challenge.

. note that to describe a possible outcome from this scenario. The number of ways that m balls can be drawn from an urn containing n balls in this fashion is m+n−1 . yet it has important applications. This arrangement can be represented as follows: 1 √ 2 √ 3 √√ 1 2 3 3 For another example using this scheme. and Ball 3 was drawn twice. 3. 2. 3. would represent 3. 3. Each ball is replaced after being drawn. For example. 1 √ 2 3 √ √√ √√√ √ √√√√ || 1 2 2 2 3 2 3 3 Coded Representation √ √ √√ | | √√√ √ | | So. to describe 3. Ball 2 was drawn once.24 Sampling IV. m Let’s prove that this formula works. 2. the sequence of the draws is ignored. 2 and their counterparts would be represented as 1 2 2 2 3 2 √√√ 3 √ Now notice that any of these outcomes can be represented by only specifying √ the arrangement of the four check marks ( ) among the inner two vertical lines (|). 3 we only need to know that Ball 1 was drawn once. 2 or 1. A total of m balls are drawn sequentially from the urn. 3. This case is perhaps the most difficult to perceive as a sampling discipline. Sampling with replacement and without ordering. for example. 3. the arrangements 2. 3. 3 or 2. 3. 1. we only need to know how many times each ball was drawn. 2. However. 2. 2 is the same as drawing 1. Therefore. 1. For example. 3. 3. drawing 3. First. 2.

3 chocolate chip and 7 sugar cookies. The baker will allow her to select any number of each type to make a dozen. She likes peanut butter cookies. In this case. Therefore. To represent all possible outcomes. chocolate chip cookies and sugar cookies. our table has three columns with twelve check marks. we are arranging 14 symbols in a row: . our table will have n columns. our coded representation will have m check marks and n − 1 vertical lines. In this case. note that our coded representation has six positions ? ? ? ? ? ? √ Any four of these can be selected for the check marks ( ) and the remaining two will be filled with the two vertical lines (|). if there are n balls and m drawings. 1 √√ 2 √ ··· ··· n √ k1 k2 · · · kn Coded Representation √√ √ √ | |···| Therefore. we will need m check marks √ ( ). there are 15 4 possible ways we can select 4 balls from an urn containing 3 balls if we allow replacement and disregard ordering. So the following arrangement: Peanut Butter √√ Chocolate Chip √√√ Sugar √√√√√√√ Coded Representation √√ √√√ √√√√√√√ | | would represent the outcome when Mary selects 2 peanut butter. The number of ways we can select 4 positions from 6 positions is 6 = 15. So we need (n − 1) + m positions for both check marks and vertical lines ? ? ? ··· ? (n − 1) + m positions The number of ways we can select m positions for check marks from (n − 1) + m positions is n+m−1 m Example: Mary wants to buy a dozen cookies.Sampling 25 To count the total number of possible outcomes. In general.

the number of distinguishable arrangements is given by n! . i=1 If the balls are arranged in a row. . B. and m tokens numbered 1 to m. A. Nevertheless. = = 12 2·1 12 2 Permutation of n items distinguished by groups An extension of case III is the situation where one has n balls with n1 of them painted with color number 1. So the number of possible different boxes of one dozen cookies is 12 + 3 − 1 14 14 14 · 13 = = 91. In such models. the number of distinguishable ways in which the tokens may occupy the boxes is computed in precisely the same manner as in the sampling models. Example: Consider the seven characters. Note that when k = 2. . B. We have k ni = n. this situation is the same as case III.. we are given n boxes marked 1 to n. n2 of them painted with color number 2. Some may be easier to conceptualize as occupancy problems rather than sampling problems. A direct analogy can be made with so-called occupancy problems. Each of these four scenarios correspond to one of the four sampling cases. A. we think of n balls placed in an urn from which m balls are drawn.26 Occupancy 2 vertical lines and 12 check marks. The number of distinct arrangements of these seven letters in a row is 7! = 210.nk of them painted with color number k . C . C. n1 !n2 ! · · · nk ! This quantity is a generalization of the binomial coefficient and is called the multinomial coefficient. There are four disciplines for placing the tokens in the boxes. 3!2!2! Occupancy The Token Model: In sampling problems. The reason for introducing occupancy problems becomes clear as one encounters different counting problems. . . A.

Occupancy

27

The connection between the two formulations is easy to remember if you note the following relationships: Sampling Problems ball number of drawing j th draw yields ball k Occupancy Problems box number on token j th token is placed in box k

For example, suppose we have a sampling problem with 3 balls (labelled a, b, c) being drawn 4 times. This would correspond to an occupancy problem with 3 boxes and 4 tokens (See Figure 2.2). Moreover, the following outcomes from each

Tokens 1 2 3 4

Tokens 1 2 3 4

2

1

3

4

a

b

c

a

b

c

(a) Token labels observed

(b) Token labels not observed

Figure 2.2: The occupancy problem model would be equivalent: Sampling Drawing Ball 1 b 2 a 3 b 4 c Occupancy Box Token(s) a 2 b 1,3 c 4

Sampling cases I to IV can now be viewed as

28

Occupancy

I*. Each box may contain any number of tokens and the labels on the tokens are observed. II*. No box may contain more than one token and the labels on the tokens are observed. III*. No box may contain more than one token and the labels on the tokens are not observed. IV*. Each box may contain any number of tokens and the labels on the tokens are not observed. The scheme with check marks and vertical bars that we used for Case IV is now readily apparent. Each column of the table represents a box, and each check mark represents a token. Example: Suppose a school has five classrooms (with different room numbers) and three teachers, Ms. Smith, Mr. Thomas and Ms. Warren. For some courses, more than one teacher might be assigned to the same classroom. I*. If more than one teacher can be assigned to a classroom, and it matters which teacher teaches in a particular room, then the number of ways you can assign teachers to classrooms is
nm = 53 = 125.

II*. If only one teacher can be assigned to a classroom, and it matters which teacher teaches in a particular room, then the number of ways you can assign teachers to classrooms is
n(n − 1) · · · (n − m + 1) = 5 · 4 · 3· = 60.

III*. If only one teacher can be assigned to a classroom, and it does not matter which teacher teaches in a particular room, then the number of ways you can assign teachers to classrooms is
n m =

5 = 10. 3

IV*. If more than one teacher can be assigned to a classroom, and it does not matter which teacher teaches in a particular room, then the number of ways

Self-Test Exercises for Chapter 2

29

you can assign teachers to classrooms is
m+n−1 m =

3+5−1 = 35. 3

Self-Test Exercises for Chapter 2
For each of the following multiple-choice questions, choose the best response among those provided. Answers can be found in Appendix B. S2.1 Bill’s Donut Shop bakes 10 varieties of doughnuts. How many different boxes of 12 doughnuts can a customer select from the 10 varieties? Note: Assume that Bill’s Shop has at least 12 of each type of donut. (A) 12! (B)
21 12

(C) 10! (D) 1210 (E) none of the above. S2.2 A teacher has a class of 30 students. Each day, she selects a team of 6 students to present their homework solutions to the rest of the class. How many different teams of 6 students can she select? (A)
30 6

(B) 306 (C) 30!/24! (D) 630 (E) none of the above S2.3 A box is partitioned into 3 numbered cells. Two indistinguishable balls are dropped into the box. Each cell may contain at most one ball. The total number of distinguishable arrangements of the balls in the numbered cells is (A) 1 (B) 3 (C) 6

30

Self-Test Exercises for Chapter 2

(D) 9 (E) none of the above. S2.4 A professor wants to use three colors (red, green and blue) to draw an equilateral triangle on a sheet of paper. Each edge of the triangle is a single color, but any color can be used more than once. How many different triangles can be drawn? (A) 33 (B) 3! (C) (D)
5 3 5 3

+1

(E) none of the above. S2.5 A professor has an equilateral triangle cut from a sheet of cardboard. He wants to use three colors (red, green and blue) to color the edges. Each edge of the triangle is a single color, but any color can be used more than once. How many different triangles can be produced? (A) 33 (B) 3! (C) (D)
5 3 5 3

+1

(E) none of the above. S2.6 Two white balls are dropped randomly into four labelled boxes, one at a time. A box may contain more than one ball. The number of distinguishable arrangements of the balls in the boxes is (A) (B)
4 2 7 2

(C) 4 (D) 42 (E) none of the above.

Self-Test Exercises for Chapter 2

31

S2.7 One white ball and one black ball are dropped randomly into four labelled boxes, one at a time. A box may contain more than one ball. The number of distinguishable arrangements of the balls in the boxes is (A) (B)
4 2 7 2

(C) 4 (D) 42 (E) none of the above. S2.8 A class has ten students. The teacher must select three students to form a committee. How many different possible committees can be formed? (A) 103 (B) 310 (C) 10!/7! (D)
10 3

(E) none of the above S2.9 A student club has ten members. The club must elect a president, vicepresident and treasurer from the membership. How many ways can these three positions be filled? (A) 103 (B) 310 (C) 10!/7! (D)
10 3

(E) none of the above S2.10 A candy company is introducing a new, bite-sized, chocolate candy called "XYZ’s". Each candy is covered with a sugar coat that is colored a single color: either red, green, or blue. Also each candy is marked with a single letter: either “X,” “Y” or “Z’. How many different possible candies are there?

12 There are 4 machines in a factory. ranging from five different flavors to five scoops of the same flavor. How many different pieces can be made using the numbers 1. the 52 cards are partitioned into four equal groups. .11 An ice cream shop offers 20 different flavors of ice cream.1 A domino piece is marked by two numbers. . S2. 2. The pieces are symmetrical so that the number pair is not ordered. You may order the five scoops in any way. Their menu says that their “Big Dish” contains five scoops of ice cream. how many ways can 4 workers be assigned to the machines? (A) 42 (B) 4! (C) 7 4 (D) 44 (E) none of the above Questions for Chapter 2 2. . How many different “Big Dishes” are possible? (A) 205 (B) (C) 20 5 24 5 (D) 20!/5! (E) none of the above S2.32 Questions for Chapter 2 (A) 9 (B) 33 (C) 9 3 (D) 3! (E) none of the above.2 At a bridge table. How many different playing situations are there? . If each is worker assigned to one machine. n? 2. .

How many three-person committees can be chosen so that at least one member is female? 2.3 How many ways can a poker hand of 5 cards be drawn from a 52 card deck so that each card is a different number or face (i.10 Consider a box partitioned into 3 cells.8 A multiple choice test contains 10 questions with each question having 4 possible answers. According to the “bullet” voting system. different. How many different ways can the ballot be marked? 2. and his boss in the Parks Department wants 3 Bavarian Creme for his coffee break. He notices that they have the following inventory of his favorite doughnuts: Bavarian Creme (21).4 Throw three indistinguishable dice.e. You may vote for any three of them. how many different ways can Jack order a dozen doughnuts? 2.Questions for Chapter 2 33 2. in such a way that every cell has an equal chance of receiving a ball. How many different ways could a student answer the entire test? 2. how many committees of three members may be chosen? Suppose that among the eight persons.7 An election ballot lists 10 candidates. list all possible arrangements. . If you vote for exactly three candidates. Two balls are dropped into the box.9 (provided by Mark Chew) Jack Dukey enters the Dip-’n-Donut Shop to buy a dozen doughnuts for himself and his co-workers in the Parks Department. and may assign more than one check mark to any candidate(s) up to a total of four marks. How many distinguishable results of the throw are there? 2.6 A ballot lists 10 candidates. each independently of the other. If the balls are indistinguishable. how many different ways can you mark your ballot? 2. (a) How many different ways can Jack order a dozen doughnuts? Assume that ordering 6 Bavarian Creme and 6 Peanut Krunch is the same as ordering 6 Peanut Krunch and 6 Bavarian Creme. a voter must place 4 check marks on the ballot. Peanut Krunch (11) and Powdered Jelly (15).. Strawberry (30). ignoring suits)? 2. exactly four are women. Each voter is allowed 4 votes. A cell may contain more than one ball. (b) If Jack wants 2 Peanut Krunch for himself.5 From eight persons.

14 Prove the binomial theorem: For any real numbers x and y and integer n ≥ 1 (x + y)n = n k=0 n k n−k x y k 2. 2. or C with A being your most preferred candidate.) A ballot lists 10 candidates. How many distinguishable ways can you. . How many different ways can you mark your ballot? 2. Each bus can hold 50 riders. How many different ways can the students sign up for busses? 2. You must pick three candidates and rank them according to your preference. A class is composed of 4 girls and 12 boys.11 A classroom in the Bell Elementary School contains 16 seats with four rows of four seats each.13 (See also Question 2. B . (a) arrange all of them in a row? (b) choose m of them simultaneously? (c) divide them (perhaps unequally) between two identical urns? (d) divide them (perhaps unequally) between two children (and each child cares about the colors he or she receives)? . .34 Questions for Chapter 2 Reanswer the question if no cell can have more than one ball.6.15 You are given n balls of different colors. How many ways can the 4 girls be seated among the 12 boys if the students are distinguished only by sex? 2.12 Fifty students have rented 3 busses for a class trip. A.

defined on subsets of Ω. is a function. The sample space.3. we will define what we mean by the probability of an event. we showed how you can use sample spaces Ω and events A ⊆ Ω to describe an experiment. For infinite sample spaces. that does not necessarily include every possible subset of Ω. F. Ω = R) we often cannot reasonably compute P (A) for all A ⊆ Ω. P (·). Measuring sets Definition 3. In this chapter. Ω. In those cases. Reflection (c 1880) Probability Spaces In Chapter 1.1. A probability measure. (for example. Ω. P (A) and the mathematics necessary to consistently compute P (A) for all events A ⊆ Ω. – THOMAS HENRY HUXLEY. An event is any subset of the sample space. How would you measure a set? • finite sets • countable sets • uncountable sets Definition 3.2. Definition 3. that assigns to each event E a real number P (E) such that the following three probability axioms hold: 35 .3 PROBABILITY The scientific imagination always restrains itself within the limits of probability. we restrict our definition of P (A) to some smaller subset of events. is the set of all possible outcomes of an experiment. The mathematical details are usually covered in advanced courses in probability theory.

In mathematical terms. . n . 1]. . you worked with real-valued functions f (·). In calculus. Interpretation of probability How do you assign the real numbers in Definition 3. That is. then P (E ∪ F ) = P (E) + P (F ) The three specifications in the above definition are often called the Kolmogorov axioms for probability measures. is a function whose argument is a subset of Ω (namely an event) rather than a number. f : R → R. In mathematics we call functions that assign real numbers to subsets. P (E) ≥ 0 for all events E 2.36 Probability Spaces 1. That’s why we refer to P (·) as a probability measure.3? Logical probability This can be done when Ω is a finite set Ω = {ω1 . . For example. a great deal of probability theory has its foundations in a mathematical field called measure theory with important results from many mathematicians. That is P : F → [0. . P (·) is a function that assigns to each member of F.e. . In section 3. Henri Lebesgue and Eugene Dynkin. . Note that every event A ⊆ Ω is assigned one and only one number P (A). Here. Such functions assign each number in R a single number from R. the set of events. P (Ω) = 1 3. . measures. including Emile Borel. f (x) = x3 . However. If E ∩ F = Ø (i. if the events E and F are mutually exclusive ).. the function. we will show that 0 ≤ P (A) ≤ 1 for every A ⊆ Ω. ωn } and each of the outcomes in Ω is equally likely. a single number from the interval [0. 1]. ω2 . maps x = 2 into f (2) = 8. . That is P ({ωi }) = 1 n for i = 1. P (·).

. and there is no reason for one card to be drawn rather than another. indefinitely. the notion of logical probability has limited applications. ω6 }) = |A| for any A ⊆ Ω 6 Logical probability is only useful when the mechanism producing the random outcomes has symmetry so that one could argue that there is no reason for one outcome to occur rather than other. . So we can assign. 6 3 6 P ({The die is even}) = P ({ω2 . 2. tossing a fair coin The coin is symmetrical and there is no reason for heads to turn up rather than tails. Some examples where logical probability can be used are: P (A) = and. ω6 } where ωi = the die shows i pips for i = 1. . . . for any A ⊆ Ω assign P (A) = |A| n 37 For example. consider the outcome of rolling a fair six-sided die once. . In that case Ω = {ω1 . . . for example. in general. suppose we .Probability Spaces In that case. We also must be able to assume that the outcome of any one of the trials does not affect the probabilities associated with the outcomes of any of the other trials. . P ({ωi }) = 1 6 for i = 1. . . . Each replicate is called an experimental trial. ω2 . 6. As an example. ω4 . drawing a card randomly from a deck of playing cards Each card is physically the same. Experimental probability This interpretation requires that the experiment can be identically reproduced over and over again. As you can see. rolling a fair die The die is symmetrical and there is no reason for one side to turn up rather than another.

Consider the sequence of outcomes for the repeated experiment. 2 In fact. To assign P (A) using logical probability. 1 Suppose. with Ti = 0 Ti = 1 if transistor i is bad if transistor i is good In this case. although not likely. In particular. say that P (K < ∞) = 1. The proof requires measure theory. . random and cannot be predetermined. such that for all n > K the quantity n i=1 Ti n was arbitrarily close to P (A). the type of limit that you defined in calculus cannot be used. it can be proven that for a prespecified small number δ > 0. consider the infinite sequence of experimental outcomes T 1 . that P (A) equaled 2 .38 Probability Spaces examine transistors being produced by an assembly line. however. . and assign P (A) = lim n→∞ n i=1 Ti n There are some important mathematical issues associated with defining P (A) in this way. In that case. The value of K is. there always existed some K . and quite far away from the n eventual limit of 1 as n gets bigger than billions. . We can. itself. i=1 would be zero. Let A = {good}. with each transistor an experimental trial. T2 . It is possible. there does exist some integer K such that for all n > K n i=1 Ti Ti n − P (A) < δ. In calculus. Some examples where experimental probability can be used are: . and is typically covered in a graduate-level probability course. That concept is not suitable here. that you could examine billions of transistors and find that all of them n are bad. determined in advance. good}. for instance. The outcome of one of our experimental trials is whether that transistor is either good or bad. Ω = {bad.

hitting a home run Specifying the probability that a baseball player will hit a home run on any attempt. Once the decision maker has decided how many balls of each type to place in the urn. There is a mathematical theory (complete with axioms and deductions) regarding the existence of such equivalent lotteries. is to construct an equivalent lottery consisting of an urn. we simply count the balls in the urn and assign P (A) = number of red balls in the urn total number of balls in the urn Not surprisingly. auctions Stating the probability that painting by Monet will sell for one million dollars at an art auction. and an unlimited quantity of red and white balls. . The decision maker is asked to place in the urn any number of red balls and white balls he or she desires.Probability Spaces 39 quality assurance Specifying the probability that a single microprocessor from a semiconductor fabrication facility will be defective. football Specifying the probability that the Buffalo Bills will win the Super Bowl next year. consider the experiment of taking EAS305. Let A = {you get an “A” in EAS305} The procedure of determining the subjective probability of A. Subjective probability There are some cases where we would like to use probability theory. subjective probability has a lot of critics. with the outcome being the grade that you get in the course. interarrival times for queues Stating the probability that the time between any two consecutive customers is greater than five minutes. with the goal of making the event of drawing a red ball equivalent to getting an “A” in EAS305. For example. but it is impossible to argue that the experiment can be replicated. Some examples where subjective probability can be used are: weather Specifying the probability that it will be warm and sunny tomorrow. But sometimes it is the only way we can give meaning to the number P (A).

then the probability of selecting the bad 4 bulb is 6 = 2 3 Solution 2: If the two bulbs are selected simultaneously (i. If these 6 outcomes are equally likely (are they?).e. Note that the same bulb might be selected twice. this solution is wrong. then the probability of selecting the bad bulb is 2 3 Example: A box contains two light bulbs. Suppose a first bulb is chosen. tested and then placed back in the box. the bad light bulb.40 Probability Spaces Examples using logical probability Example: A box contains three light bulbs. and C and that light bulb A is bad. What is the probability that exactly one of the two tested bulbs is bad? “Solution:” Suppose the two bulbs are labelled A and B and bulb A is the bad light bulb. (Actually. Then a second bulb is chosen. If the two bulbs are selected one at a time. there are (3)(2) = 6 possible outcomes of the experiment: AB BA AC CA CB BC Note that 4 of the 6 outcomes result in choosing A. B .. and one of them is bad. If these 3 outcomes are equally likely (are they?). what is the probability that one of the two bulbs is bad? Solution 1: Assume that the bulbs are labelled A. there are 3 = 3 possible outcomes of the experiment: 2 AB AC CB and 2 of the 3 outcomes result in choosing bad bulb A. There are three possible outcomes: Both bulbs are good Both bulbs are bad Exactly one bulb is bad 1 So the probability that exactly one bulb is bad is 3 . and tested. Why it is wrong?) . and one of them is bad. without ordering). If two light bulbs are chosen at random from the box.

2.3. A∪B (A ∪ B) ∩ (A ∪ Ac ) A ∪ (B ∩ Ac ) P (A ∪ (B ∩ Ac )) P (A) + P (B ∩ Ac ) P (A) = = = = = ≤ B B B P (B) P (B) P (B) since A ⊆ B since A ∪ Ac = Ω DeMorgan’s law See Question 3. A ⊆ B ⇒ P (A) ≤ P (B) Proof.1 since P (Ac ) ≥ 0 (Axiom 1) Theorem 3. P (A) ≤ 1 for all A ⊆ Ω Proof. Let A be the event that the selected student is one of those who likes . P (Ac ) = 1 − P (A) Proof.Probability Spaces 41 Relationships between English and set notation • P (not E) = P (E c ) • P (E or F ) = P (E ∪ F ) • P (E and F ) = P (E ∩ F ) Deductions from the axioms Theorem 3. P (Ω) P (A ∪ Ac ) P (A) + P (Ac ) P (Ac ) = = = = 1 1 1 1 − P (A) from Axiom 2 since Ω = A ∪ Ac since A ∩ Ac = Ø Theorem 3.31 A ∩ (B ∩ Ac ) = Ø since P (B ∩ Ac ) ≥ 0 (Axiom 1) Example: In a class of 100 students it is known that 80 of the students like hamburger.1. P (A) = 1 − P (Ac ) P (A) ≤ 1 from Theorem 3. Consider the experiment of picking a student at random from the class of 100.

Therefore. (By induction) Is it true for n = 2? Yes.4. A2 . Assume it’s true for n = k . . . . 3 Describe the set A ∩ B . . For any finite number of pairwise disjoint sets A1 . A2 . that’s Axiom 3. is it true for n = k + 1? Assume for k pairwise disjoint sets A1 . . Suppose |B| is unknown. E ⊆ F implies P (E) ≤ P (F ). Solution: Pick an element ω ∈ A ∩ B . Solution: A ∩ B is the event that the student selected likes hamburger and broccoli. An we have P (A1 ∪ A2 ∪ · · · ∪ An ) = P (A1 ) + P (A2 ) + · · · + P (An ) Proof. 3 Even if |B| is unknown we know that P (A ∩ B) ≤ 0. Let B be the event that the selected student is one of those who likes broccoli. . . Ak we have P (A1 ∪ · · · ∪ Ak ) = P (A1 ) + · · · + P (Ak ) . 3 Show that A ∩ B ⊆ A. we have P (A ∩ B) ≤ P (A) = 0.80.42 Probability Spaces hamburger. Hence. A ∩ B ⊆ A. Why? Solution: For any events E and F .80. Since A ∩ B ⊆ A. ω ∈ A. . In this case |A| = 80 and |Ω| = 100 and we can use logical probability to determine P (A) = 80/100 = 0. Theorem 3.80. That implies that ω ∈ A and ω ∈ B .

.5. From quality control records we see that • The probability that a piston has a surface defect is 0. . . Example: A hydraulic piston can have only two types of defects: 1. a structural defect A single piston may have one. . + P (Ak+1 ) Associative law Theorem 3. and/or 2. k . A ∪ B = A ∪ (Ac ∩ B) Distributive law for sets and B = (A ∩ B) ∪ (Ac ∩ B) Distributive law for sets Therefore P (A ∪ B) = P (A) + P (Ac ∩ B) from Axiom 3 P (B) = P (A ∩ B) + P (Ac ∩ B) from Axiom 3 Subtracting the second equation from the first produces the result. . . + P (Ak )) + P (Ak+1 ) from induction hypothesis P (A1 ∪ · · · ∪ Ak ∪ Ak+1 ) = P (A1 ) + . both or neither defect. a surface defect. .5. For any two events A and B P (A ∪ B) = P (A) + P (B) − P (A ∩ B) Proof. .Probability Spaces 43 Let Ak+1 be an event such that Ai ∩ Ak+1 = Ø for all i = 1. Then (A1 ∪ · · · ∪ Ak ) ∩ Ak+1 = Ø since Ai ∩ Ak+1 = Ø for all i P ((A1 ∪ · · · ∪ Ak ) ∪ Ak+1 ) = P (A1 ∪ · · · ∪ Ak ) + P (Ak+1 ) since (A1 ∪ · · · ∪ Ak ) ∩ Ak+1 = Ø P ((A1 ∪ · · · ∪ Ak ) ∪ Ak+1 ) = (P (A1 ) + . .

first define the following events: S = {a piston has a surface defect} T = {a piston has a structural defect} We want to find P (S ∩ T ).4 P (S ∪ T ) = 0.6 Therefore.5 − 0. .3 Theorem 3. is a countable sequence of disjoint sets.4 + 0.1 since Øc = Ω from Axiom 2 In order to allow the extension of Axiom (3) in Definition 3. • The probability that a piston has some type of defect is 0. P (S ∪ T ) = P (S) + P (T ) − P (S ∩ T ) 0.6 = 0. P (Ø) = 0 Proof. the third probability axiom is replaced by 3. then ∞ ∞ P i=1 Ai = i=1 P (Ai ) . A2 . . using Theorem 3.6.4.5.4 + 0. We know that P (S) = 0.* If A1 . P (Ø) P (Ø) P (Ø) P (Ø) = = = = 1 − P (Øc ) 1 − P (Ω) 1−1 0 from Theorem 3.5 − P (S ∩ T ) P (S ∩ T ) = 0.6 = 0.6 To find the probability that a piston has both a structural and a surface defect.44 Probability Spaces • The probability that a piston has a structural defect is 0. .5 P (T ) = 0.3 to apply to a countable collection of disjoint sets (rather than just a finite collection).

What is the probability that at least two of them will have the same birthday? How large must k be so that the probability is 0. .50 that at least two of them will have the same birthday? To solve this problem. i=1 Since ∞ αi i=0 i! = eα for any α. 2.The Birthday Problem 45 Example: Consider the experiment of counting the number of accidents in a factory in a month. . That is. . 2. . . we have ∞ ∞ P (Ei ) = i=0 i=0 e−1 i! ∞ i=0 = e −1 1 i! = e−1 e1 = 1 Using axiom 3.* and the fact that Ei ∩ Ej = Ø for any i = j . and we want to find the probability that the factory has at least one accident in a month. 1. . Suppose that P (Ei ) = e−1 i! for i = 0.. 1. we will make two assumptions: . we get ∞ ∞ P i=0 ∞ Ei Ei i=1 ∞ = i=0 P (Ei ) = 1 P E0 ∪ = 1 = 1 P (E0 ) + P i=1 ∞ Ei Ei i=1 Since E0 ∩ ∪∞ Ei = Ø i=1 P = 1 − P (E0 ) = 1 − e−1 THE BIRTHDAY PROBLEM Suppose k randomly selected individuals are seated in a room. Let Ei be the event that exactly i accidents occur in a month with i = 0. we want to compute P ∪∞ Ei .

Step 3 Divide the number obtained in Step 2 by the number in Step 1. there are n = 365 days in a year 2.46 The Birthday Problem 1. Step 2 Count the number of elements in F ⊆ Ω. Define the events E = {at least 2 birthdays are the same} F = {all of the birthdays are different} and notice that E = F c .Jan01). there are (365)k corresponding permutations of their k birthdays. see Richard J. The number of ways we can draw three balls from 365 with replacement and with ordering is (365)3 .Jan02). For just one example of many. To illustrate the issues. . Let’s suppose the individuals are ordered. that is until you begin identifying and counting equally likely elements in Ω. where d1 . d2 . 1985.Jan01. we’ll extend our solution for any k . Some textbooks1 say something like “If we imagine the k people to be ordered. We can begin to write down all of the elements of Ω as follows: Ω = {(Jan01.} The assignment of birthdays with ordered individuals can be represented as a sampling problem. we’ll first solve the problem for k = 3 and n = 365. An introduction to probability and its applications. we’ll use an approach that is common for most problems involving logical probability: Step 1 Count the number of equally likely outcomes in Ω.Jan01. But P (E) = 1 − P (F ) and it turns out that P (F ) is easier to compute. and any n. . (Jan01. It sounds simple. each person is assigned a birthday with any of the n = 365 days being equally likely. (Jan01.Jan04). d3 ).” Why ordered? Why not? Suppose k = 3. . Prentice-Hall.Jan01.Jan01. (Jan01. Later. To compute P (F ). 1 .Jan03). Larsen and Morris Marx. Then every element of the sample space can be written as an ordered triple ω = (d1 . d2 and d3 are the birthdays of the three individuals. The question asks us to compute P (E).

“how many ways can we arrange 3 check marks among the 365 columns?” Jan01 √√√ √√ √√ .. We can do this by creating a table with 365 columns (one for each calendar day) and asking the question. etc. the general correct answer is P (E) = 1 − P (F ) = 1 − (n)!/(n − k)! (n)k To answer the question “how large must k be?.. So for k = 3 we get P (E) = 1 − P (F ) = 1 − (365)!/(365 − 3)! (365)3 This turns out to be the correct answer.” the following table lists P (E) for several different values of k with n = 365: k 15 22 23 40 50 70 P (E) 0. the number of ways that we can assign birthdays to individuals with everyone getting a different birthday is equal to the number of ways we can draw three balls from 365 without replacement and with ordering.253 0. . with replacement and without ordering. if we perform the same computations for any n and k ≤ n. .The Birthday Problem 47 Continuing with this reasoning.507 0. Jan02 √ √ Jan03 . .999 and we see that we need at least 23 persons to insure that P (E) is at least 0. Furthermore. But why would we get the wrong answer if we don’t order the k individuals? Let’s see what this would mean for k = 3.891 0.475 0. And that number is (365)!/(365 − 3)!.970 0. Identifying the elements of Ω without ordering the individuals is equivalent to listing all of the ways we can draw 3 balls from an urn containing 365 balls.50.

We can again compute P (E). the total number of elements in Ω is n+k−1 k = (n + k − 1)! k !(n − 1)! and the number of elements in F is n k = n! k !(n − k)! (n)!(n − 1)! (n + k − 1)!(n − k)! So that P (E) = 1 − P (F ) = 1 − To show why the unordered individual assumption is wrong. Jan02. not who in the group is assigned Jan01. The names of the days are “Heads” and “Tails”. HT. with each day equally likely. etc. Once again. There is nothing wrong with identifying the elements of the sample space Ω in this way. T H. Jan02. but this time. assume that birthdays are randomly assigned. They are from a planet called Yak. But we would wrong to assume that such elements are equally likely. In this case.. Under the ordered individual model there are four elements in Ω. that is Ω = {HH. Yak has only two days in its calendar year. and P (E) = 1 − 1 (2)!/(2 − 2)! = (2)2 2 . T T }.48 The Birthday Problem Using this approach. etc. Assigning birthdays at random to the aliens is the same as each alien tossing a fair coin to determine it’s birthday. using the unordered individual assumption.. let’s use all of our formulas to solve a slightly modified version of the birthday problem: The birthday problem on the planet Yak There are two aliens from outer space in a room. each element of Ω is distinguishable by the number of times someone in the group is assigned the birthday Jan01. So we can use our formulas with values n = 2 and k = 2.

3 Conditional Probability and Independence Conditional probability Example: Roll a die twice. 1) (5. 2 . 3 For an important exception. 1) (3. 4) (4. 1) (6. 1754. 5) (5. 2) (5. “two tails” and “one head one tail. see the work of Bose and Einstein in statistical mechanics. 2) (3. The sample space can be represented as in Figure 3. 5) (3. 1) (1. 3) (3. 6) (6. 1) (4. Define the events A = {first roll is less than or equal to the second roll} B = {the sum of the two rolls is 4} Jean d’Alembert Encyclop´ die ou dictionnaire raisonn´ des sciences. 6) (5. repeated random assignments. 3) (4. 6) (2. 5) (2.Conditional Probability and Independence 49 (1. 5) (4.1. e e e Volume 4. 1H1T} that is. 3) (6. 6) (3. 3) (5. 2) (2.” And the corresponding computation for P (E) yields P (E) = 1 − P (F ) = 1 − 2 (2)!(2 − 1)! = (2 + 2 − 1)!(2 − 2)! 3 And we see that the second (and faulty) formulation results in the same mistake that Jean d‘Alembert2 made in 1754. 1) (2. des arts and des m´ tiers. “two heads”. 4) (1. 3) (1. 3) (2. 5) (6. 2) (6. Ω = {2H. 4) (5. 4) (6. 6) (4. 6) Figure 3. 4) (2. 2) (1. 4) (3. 2T. 5) (1. Moral of the story: Sampling Case IV (with replacement and without ordering) usually cannot be used to enumerate equally likely outcomes resulting from multiple. 2) (4.1: Sample Space for Rolling a Die Twice Under the unordered individual model there are three elements in Ω.

7. we can use logical probability to get P (B) = 1/12. is the value that solves the equation P (A ∩ B) = P (A | B)P (B) Note: If P (B) > 0. An P (A1 A2 · · · An ) = P (A1 )P (A2 | A1 )P (A3 | A1 A2 ) · · · P (An | A1 A2 · · · An−1 ) P (· | B) is a probability measure Remember that P (·) is a probability measure if and only if 1. what is the probability that the two rolls sum to 4? Definition 3.4. With this additional information. P (Ω) = 1 3. Theorem 3. For any events A1 . . The probability of an event A given the event B . A2 . If E ∩ F = Ø then P (E ∪ F ) = P (E) + P (F ) Suppose P (B) > 0 and consider P (· | B) • For any event E ⊆ Ω P (E | B) = = P (E ∩ B) P (B) [something ≥ 0] ≥0 [something > 0] Therefore P (E | B) ≥ 0 for all events E . P (E) ≥ 0 for all events E 2. this is equivalent to P (A | B) = P (A ∩ B) P (B) Notation: Sometimes we write P (A ∩ B) = P (AB). . Suppose you are told that the first roll is less than or equal to the second. . .50 Conditional Probability and Independence Since each of the outcomes is equally likely. denoted P (A | B).

every event A ⊆ Ω produces an updated probability measure P (· | A). • When interpreting P (E | A) we are asking the “what if” question. . A and B . The events A and B are independent if and only if P (A ∩ B) = P (A)P (B). “what is the probability of E if the event A occurs.5. Independence Definition 3. we have P (Ω | B) = = P (Ω ∩ B) P (B) P (B) =1 P (B) Therefore P (Ω | B) = 1 • And for any two events E and F with E ∩ F = Ø P (E ∪ F | B) = = = = = P ((E ∪ F ) ∩ B) P (B) P ((E ∩ B) ∪ (F ∩ B) P (B) P (E ∩ B) + P (F ∩ B) P (B) P (E ∩ B) P (F ∩ B) + P (B) P (B) P (E | B) + P (F | B) Therefore if E ∩ F = Ø then P (E ∪ F | B) = P (E | B) + P (F | B) • Hence P (· | B) is a probability measure. • We can think of P (· | B) as the updated version of P (·) given B .” • We can evaluate and use P (E | A) and P (E | B) simultaneously for different events.Conditional Probability and Independence 51 • Also. • In fact.

6. The other two results follow by interchanging the roles of A and B . . . Theorem 3.52 Conditional Probability and Independence Note: If P (B) > 0 this is equivalent to saying that A and B are independent if and only if P (A | B) = P (A). Suppose A and B are independent events. (Law of Total Probability) Given an event A and a complete set of alternatives B1 . . Bi ∩ Bj = Ø for any i = j . and • Ac and B c are independent events. . Then P (A ∩ (B ∪ B c )) = P (A) P ((A ∩ B) ∪ (A ∩ B c )) = P (A) P (A ∩ B) + P (A ∩ B c ) = P (A) P (A)P (B) + P (A ∩ B c ) = P (A) P (A ∩ B c ) = P (A) − P (A)P (B) P (A ∩ B c ) = P (A)(1 − P (B)) P (A ∩ B c ) = P (A)P (B c ) Therefore A and B c are independent events. . B2 . If A and B are independent events then • A and B c are independent events. . A complete set of alternatives is a collection of events B1 . Theorem 3. . • Ac and B are independent events. B1 ∪ B2 ∪ · · · ∪ Bn = Ω.9. Bayes’ theorem Definition 3. B2 . and 2. . Bn such that 1.8. Bn then n n P (A) = i=1 P (A ∩ Bi ) = i=1 P (A | Bi )P (Bi ) . Proof.

Introductory probability theory and statistical applications. Many of the snails are crushed by the feet of unthinking students and faculty walking up and down the stairway. 1 Although the answer is correct. Ac } is a complete set of alternatives. P. A concrete stairway divides the garden into two sections. two are shorter than a specified length. (Bayes’ Theorem) Let B1 . If two bolts are chosen at random. To evaluate P (A2 ) properly.. Bn be a complete set of alternatives. When it rains. . Addison-Wesley. 3 Theorem 3.10. . It is a treacherous journey. we note that {A1 . B2 . The proper solution is obtained by writing P (A1 ∩ A2 ) = P (A2 | A1 )P (A1 ) = 1 5 · 2 6 = 1 15 . 4 . . what is the probability that the two short bolts are picked? Let Ai = {the ith chosen bolt is short}. 1 We can the use the law of total probability. the value of P (A2 ) is not 5 . Meyer. then P (A | Bk )P (Bk ) P (Bk | A) = n i=1 P (A | Bi )P (Bi ) Example: Thousands of little snails live in the Snail Garden between the University at Buffalo Natural Sciences Complex and Talbert Hall. . the snails bravely travel from one section of the garden to the other by crawling across the steps of the concrete stairway. 1965. The common but incorrect solution is obtained by writing P (A1 ∩ A2 ) = P (A2 )P (A1 ) = 1 5 · 2 6 = 1 15 .Conditional Probability and Independence 53 Example: (from Meyer4 ) Suppose that among six bolts. Reading MA. and write P (A2 ) = P (A1 )P (A2 | A1 ) + P (Ac )P (A2 | Ac ) 1 1 = 1 5 · 2 6 + 2 5 · 4 6 = 1. But the value of 1 P (A2 | A1 ) is 5 .

75 3 Suppose that after the end of a rainstorm. you select.90)(0.90)(0. A not-so-smart snail crawls on the horizontal part of a step.90)(0.50) + (0. . The probability after the rainstorm is 0. Suppose that half of the snails are smart snails. The probability that a smart snail will be crushed is 0.10. What is the probability that it is a smart snail? In this case. smart snails and not-so-smart snails.60)(0. using the Law of Total Probability P (A) = P (A | S)P (S) + P (A | S c )P (S c ) = (0.50) = 0.60 (0. A smart snail crawls along the vertical portion of a step to avoid being crushed. and the other half are not-so-smart snails.60. The event that any one snail will be crushed is independent from all others.40.50) = 0. 3 To find the probability that a single snail (chosen at random) will successfully cross the concrete steps uncrushed define the events S = {The snail is a smart snail} S c = {The snail is a not-so-smart snail} A = {The snail is successful} Note that S ∪ S c = Ω and S ∩ S c = Ø. we want to find P (S | A) = = P (A | S)P (S) P (A | S)P (S) + P (A | S c )P (S c ) (0.50.50) + (0. The probability that a not-so-smart snail will be crushed is 0. What is the probability of finding a smart snails after two rainstorms? Independence of more than two events The definition of independence can be extended to more than two events. at random.60)(0. a snail that has successfully crossed the concrete steps.50) The probability of selecting a smart snail before the rainstorm was 0. Therefore.54 Conditional Probability and Independence There are two types of snails.

If only the first three conditions hold. . 2. Three events A. Note: For n = 3. . HT. . A2 and A3 where equation (4) holds. TH. .Conditional Probability and Independence 55 Definition 3. (2) and (3) all fail. An are independent if and only if P (Ak1 ∩ · · · ∩ Akj ) = P (Ak1 ) · · · P (Akj ) for all 2 ≤ j ≤ n and all 1 ≤ k1 < · · · < kj ≤ n. A finite collection of events A1 . . A2 . 5 or 6} {the sum of the faces is 9} . j = 1. and assign probability HH. as shown by the following example: Example: Toss a fair coin twice. Let A = {first toss is a head} B = {second toss is a head} C = {first toss equals second toss} 1 4 to each of the outcomes Then P (A ∩ B) = P (A ∩ C) = P (B ∩ C) = P (A ∩ B ∩ C) = 1 4 1 4 1 4 1 4 = P (A)P (B) = P (A)P (C) = P (B)P (C) = P (A)P (B)P (C) Hence A.7. Let A B C = = = {second die is 1. but equations (1). A2 . TT. A3 are pairwise independent. A3 are independent if and only if (1) (2) (3) (4) P (A1 ∩ A2 ) = P (A1 )P (A2 ) P (A1 ∩ A3 ) = P (A1 )P (A3 ) P (A2 ∩ A3 ) = P (A2 )P (A3 ) P (A1 ∩ A2 ∩ A3 ) = P (A1 )P (A2 )P (A3 ) All of the above must hold for A1 . the events A1 . . . 2 or 5} {second die is 4. B. j) 1 for i. This is demonstrated by the following example: Example: Suppose that two dice are tossed. but not independent. then we say that A1 . A2 . C are pairwise independent but not independent. . 6 with probability of 36 assigned to each point. and let Ω be all ordered pairs (i. B and C can be pairwise independent. A3 to be independent. It is also possible to have three events A1 . A2 .

. Assume all the outcomes from each roll are independent.... 2. We can also compute. 2. for n = 1. P (first 6 occurs after toss k) ∞ = n=k+1 ∞ P (An ) 5 6 n=k+1 n−1 1 6 = letting n = n − (k + 1) ∞ = n =0 5 6 k+n 1 6 . . 2. . . . Let Sk = {toss k is a six} An = {the first six occurs on toss n} Then P (Sk ) = 1 6 c P (Sk ) = 5 6 for k = 1. . . . . Furthermore. c c c P (An ) = P (S1 )P (S2 ) · · · P (Sn−1 )P (Sn ) c c c An = S1 ∩ S2 ∩ · · · ∩ Sn−1 ∩ Sn = 5 6 n−1 1 6 for n = 1.56 Conditional Probability and Independence Then P (A ∩ B) = P (A ∩ C) = P (B ∩ C) = P (A ∩ B ∩ C) = 1 6 1 36 1 12 1 36 = P (A)P (B) = = P (A)P (C) = = P (B)P (C) = 1 4 1 18 1 18 = P (A)P (B)P (C) Example: Suppose you roll a fair die repeatedly until a six appears.

3 and P (A | B) = 0. . S3. . choose the best response among those provided. Self-Test Exercises for Chapter 3 For each of the following multiple-choice questions. . 1.3 then (A) A and B are mutually exclusive (B) P (A ∩ B) = 0 (C) A and B are independent (D) all of the above (E) none of the above. Which of the following are always true? (A) p = 0 (B) A and B are independent (C) P ((A ∩ B)c ) = 1 − p (D) A and B are mutually exclusive (E) none of the above. Answers can be found in Appendix B. 1. since the first 6 occurs after toss k if and only if you get k non-6’s in a row. . S3. So c c c {first 6 occurs after toss k} = S1 ∩ S2 ∩ · · · ∩ Sk c c c P (first 6 occurs after toss k) = P (S1 )P (S2 ) · · · P (Sk ) k = 5 6 for k = 0. . Which makes sense. 2. .3.2 Let P (A) = P (B) = 2p and let P (A ∪ B) = 3p. 2..1 If P (A) = 0. . P (B) = 0..Self-Test Exercises for Chapter 3 57 = = = 1 6 1 6 5 6 5 6 5 6 k k k ∞ n =0 5 6 n ·6 for k = 0.

3 If A ⊆ B . Let B denote the outcome of the blue coin.4 If P (A) = p > 0.5 If P (A) = p. Let R denote the outcome of the red coin (Heads or Tails). P (B) = p and P (A ∩ B) = p2 then (A) A ∪ B = Ω (B) A = B (C) A and B are independent (D) all of the above (E) none of the above. and the other is painted blue. One coin is painted red.6 Two fair coins are tossed once. Then P (R = Heads | R = B) is equal to (A) 1/4 (B) 1/3 (C) 1/2 . then which of the following statements are always true? (A) A and B are independent (B) P (A) > P (B) (C) A and B are mutually exclusive (D) A ∪ B = A (E) none of the above S3. S3.58 Self-Test Exercises for Chapter 3 S3. P (B) = p > 0 and P (A ∪ B) = 2p then P (B | A ∪ B) equals (A) 1 (B) p (C) 1/2 (D) p2 (E) none of the above S3.

Then (A) A = Ø (B) P (A ∩ A) = P (A)P (A) (C) P (A ∪ B) = 0 for any B ⊆ Ω.Self-Test Exercises for Chapter 3 59 (D) 1 (E) none of the above. S3. S3. (D) all of the above are true (E) none of the above are true. S3.7 Two indistinguishable six-sided fair dice are rolled. P (B) = q . What is the probability that they both turn up the same value? (A) 1/72 (B) 1/36 (C) 1/12 (D) 1/6 (E) none of the above. S3.10 Suppose P (A) = p.8 Suppose P (A) = 0. If A ⊆ B and A = B then (A) p ≥ q (B) p ≤ q (C) p > q (D) p < q .9 Which of the following statements are always true? (A) P (Ω) = 1 (B) If P (A) < P (B) then A ⊆ B (C) If P (A) = 0 then A = Ø (D) all of the above (E) none of the above.

The probability that both balls fall in the same box is (A) 4/ 7 2 (B) 1/4 (C) 1/16 (D) it depends on whether or not the balls are different colors (E) none of the above.14 A student club has four officers. useless key.11 There is one lock on a door and the key is among the six different ones you usually carry in your pocket. what is the probability that the student will answer all questions correctly? (A) 1/(125 ) (B) 1/(512 ) (C) 1/ (D) 1/ 12 5 16 5 (E) none of the above. S3. A box may contain more than one ball. What is the probability that the first key you try will open the door? (A) 1/6 (B) 1/2 (C) 1/3 (D) 2/3 (E) none of the above. S3. with each question having 5 possible answers.60 Self-Test Exercises for Chapter 3 (E) none of the above.13 Two balls are dropped randomly into four labelled boxes. Three of the students will be picked at random to go on a trip. S3. What is the probability that the junior stays home? .12 A multiple choice test has 12 questions. three of them are seniors and one of them is a junior. S3. in your pocket. Someone places a seventh. If a student randomly picks the answer to each question. one at a time.

C.18 Which of the following statements are always true? . If three tiles are selected from the container (without replacement). S3.15 Suppose that five tiles labelled with the letters C. S3. T are placed in a container. A. S3.16 Suppose A is any event. Then P (A) + P (Ac ) equals (A) 0 (B) P (A) (C) P (Ac ) (D) 1 (E) none of the above. S3.17 If A ⊆ B with P (A) = P (B) > 0 then (A) P (Ac ∩ B) = 0 (B) A = B (C) Ac ∩ B = Ø (D) all of the above are true (E) none of the above are true.Self-Test Exercises for Chapter 3 61 (A) 1/4 (B) 1/ 6 3 (C) 1/4! (D) 1/43 (E) none of the above. C. what is the probability that they can be arranged to spell the word CAT? (A) 1 (B) 1/3 (C) 1/ (D) 3/ 5 3 5 2 (E) none of the above.

S3. . S3. with each question having 4 possible answers. (E) none of the above are true.25. S3. (E) none of the above are true. If a student randomly picks the answer to each question.19 Suppose P (A) = 1 and P (B) = 0. the probability that the sum of the two tosses is 7 equals (A) 1/36 (B) 1/18 (C) 1/9 (D) 1/6 (E) none of the above.62 (A) P (Ω) = 1 (B) If A ⊆ B then P (A) ≤ P (B) Self-Test Exercises for Chapter 3 (C) P (A ∩ B c ) ≤ P (A) for any event B (D) all of the above are true. Which of the following statements are always true? (A) A and B are independent (B) A ∩ B = B (C) B ⊆ A (D) all of the above are true. Given that a 2 appears on the first toss.20 A multiple choice test has 5 questions. what is the probability that the student will answer all questions correctly? (A) 1/(45 ) (B) 1/4 (C) 1/ (D) 1/ 5 4 8 4 (E) none of the above.21 A fair die is tossed twice.

S3.22 If A ∩ B ∩ C = Ø then which of the following must be true (A) A ∩ B = Ø (B) P (A ∩ B) = 0 (C) P (A ∩ B ∩ C) = 0 (D) all of the above are true (E) none of the above.23 Four fair dice are rolled simultaneously.24 If P (A) ≤ P (Ac ) then (A) 0 ≤ P (A) ≤ (B) P (A) = 0 (C) A ⊆ Ac (D) P (A) can be any value between 0 and 1 (E) none of the above.Self-Test Exercises for Chapter 3 63 S3.25 If P (A) = 1 4 1 2 and P (B) = 1 2 1 2 1 4 then (A) P (A ∪ B) = (B) P (A ∪ B) ≤ (C) A ∩ B = Ø (D) A = B (E) none of the above. . The probability that exactly two of them turn up with a value less than or equal to 4 is (A) 24/81 (B) 1/3 (C) 4/9 (D) 1/2 (E) none of the above S3. S3.

032 3. 0. none of the above. respectively.01 2.27 In a screw factor. What is the probability that it came from machine A? 1. B and C that produce screws. 0. 0. 0. there are three machines A. S3.3125 5.28 A box contains fifty light bulbs. exactly five of which are defective.2 4. 4% and 2% of the screws are defective.64 Self-Test Exercises for Chapter 3 S3. Machine B produces 30% of the daily output. S3. Machine C produces the remaining 50% of the daily output. If five bulbs are chosen at random from the box. 5%. A screw is chosen at random from a day’s production and found to be defective.01)5 (B) 1/ (C) 5/ 50 5 50 5 (D) (45!)2 /(40!50!) (E) none of the above. Then P (A ∩ B c ) equals . the probability that all of them are good is equal to (A) (0. Machine A produces 20% of the daily output.29 Suppose A and B are independent events with P (A) = p and P (B) = q . S3. Of their output.26 The probability that the birthdays of twelve people will fall in twelve different calendar months (assuming equal probabilities for the twelve months) is (A) 12!/(1212 ) (B) 1/(12!) (C) 1/12 (D) 1/(1212 ) (E) none of the above.

Self-Test Exercises for Chapter 3 65 (A) pq (B) 1 − pq (C) p − pq (D) q − pq (E) none of the above. One ball is drawn from the urn at random and then thrown away. The probability that the second ball is red equals (A) 1/3 (B) 4/9 (C) 1/2 (D) 5/9 (E) none of the above.32 Suppose birthdays are assigned to people randomly with each of the 365 days of the year equally likely.30 Suppose A and B are independent events with P (A) = p and P (B) = q . S3. . S3. A second ball is then drawn from the urn. Then which of the following statements are true: (A) P (A ∩ B) = pq (B) P (A ∩ B c ) = p − pq (C) P (Ac ∩ B) = q − pq (D) all of the above are true (E) none of the above are true. A classroom has 364 students. S3. What is the probability that they all have different birthdays? (A) 0 (B) 365!/(365)364 (C) 1/365 (D) (365!364!)/728! (E) none of the above.31 An urn contains 5 red balls and 5 black balls.

Five of them are good.8 P (B) = 0.4 P (A | B c ) = 0.33 A box contains 10 incandescent lamps. Two lamps are randomly chosen from the box.35 Suppose P (A | B) = 0.66 Self-Test Exercises for Chapter 3 S3.2 (B) 1/3 (C) 0. S3.5 Then P (B | A) equals (A) 0.5 (D) 0.6 . The probability that the lamps will light is (A) 2/9 (B) 1/4 (C) 1/2 (D) 3/4 (E) none of the above. S3. The following circuit contains two such incandescent lamps in series and a (good) battery sufficient to light both lamps: + Both lamps must be good in order for either to light.34 Which of the following statements (A) (B) or (C) are not always true? (A) P (E ∩ F ) = P (E)P (F ) for any events E and F (B) P (Ω) = 1 (C) P (E) ≥ 0 for any event E (D) all of the above are always true. (E) none of the above are always true. five are bad.

in haste.3 There is one lock on the door and the correct key is among the six different ones you usually carry in your pocket. you’ve lost one. Questions for Chapter 3 3. n}.Questions for Chapter 3 67 (E) none of the above. you’ve lost a key at random.4 There are two locks on the door and the keys are among the six different ones you usually carry in your pocket. .05 Model year 2002 2003 Other Proportion of all vehicles 0. A. define P (A) ≡ |A|/n. 3. However. 2.2 Let P be a probability measure. Show that P (·) satisfies the three probability axioms.0390 (C) 0.36 A study of automobile accidents produced the following data: Probability of involvement in an accident 0. S3.01 0. in haste. Hint: B = A ∪ (B \ A).3333 (E) none of the above.10 0. What is the probability that the model year for this automobile is 2003? (A) 0.0200 (B) 0. Show that if A ⊂ B then P (B \ A) = P (B) − P (A).20 0. For any event.1 Consider the sample space Ω = {1. . What is the probability that you can still open the door? What is the probability that the first key you try will open the door? 3.0513 (D) 0. 3.70 You know that an automobile has been involved in an accident. . .02 0. What is the probability that you can still open the door? What is the probability . However. Let |A| denote the number of elements in the set A.

For any piece of land.4 (a) Compute each of the following.2 P (A ∪ C) = 0. with events A. Show that V is a probability measure. show that V satisfies the three probability axioms.7 Suppose P (S) = p and P (T ) = q with 0 < p < 1 and 0 < q < 1. never reentering an unsuccessful manhole.5 P (B) = 0. what is the value of P (S ∩ T | S)? 3. is divided into three strips.e. A. Ω. B and C of equal area. justifying your answer: P (A ∩ B ∩ C) P (Ac ∪ B c ) P (A ∩ B ∩ C c ) P (A ∩ B) P (A | B) (b) Are A and B mutually exclusive? Justify your answer. S . Ω. i. in this kingdom. What is the probability that the prisoner must try exactly 1 manhole? 2 manholes? 3 manholes? 4 manholes? 3.6 If P (S) = p and P (T ) = q with p > 0.5 A convict is planning to escape prison by leaving through the prison sewer system.68 Questions for Chapter 3 that the first two keys you try will open the door? (Note: There are two interpretations. . B and C and probability measure P (·). but only one leads to the outside.3 P (B ∪ C) = 0.9 Consider a sample space. and suppose that the value per unit is in the ratio of 1:3:2.6 P (C) = 0.8 Suppose that the land of a square kingdom.3 P (A ∪ B) = 0. The prisoner plans to enter each of the manholes at random.. There are 4 manholes in the prison.5 P (A ∪ B ∪ C) = 0. such that P (A) = 0. and the events S and T are independent. What is the value of P (S ∪ T | T )? 3. 3.) 3. the relative value with respect to that of the kingdom is then given by the formula V (S) = P (S ∩ A) + 3P (S ∩ B) + 2P (S ∩ C) 2 where P (D) = (area of D)/(area of Ω) for any region D.

Contestant: Gasp! Monty Hall: Select one of these boxes. In that letter. August 1975. No. statement of 5 . Contestant: I’ll take box B. To my knowledge. Monty Hall: Now box A and box C are on the table and here is box B (contestant grips box B tightly). it is claimed that Monty wrote a letter to Steve Selvin.” The American Statistician.000 cash for your 2 box. “On The Monty Hall Problem. Since there are two boxes left.5? Why does the contestant want to trade boxes? (Hint: The contestant is a former EAS305 student. Contestant: No. B and C contains the keys to that new car worth $50. 6 To Monty Hall’s credit. once Selvin’s paper appeared in American Statistician. I’ll give you $10. but I’ll trade you my box B for box C on the table. Is Monty right? Assuming Monty knows which of the three boxes contains the keys. but clear. Now either box C or your box B contains the car keys. is the contestant’s probability of winning the car 0. Monty Hall: I’ll give you $2000. the probability of your box containing the keys is now 1 . Vol. 29.)6 This problem has appeared in various forms. you win the car. If you choose the box containing the keys. The keys might be in your box! I’ll give you $500 for the box. It’s empty! (Audience: applause).000. Monty Hall: I’ll do you a favor and open one of the remaining boxes on the table (he opens box A). the original problem appeared in the paper by Steve Selvin. and there are several claims for its origin.10 (from Selvin5 ) It’s “Let’s Make a Deal” – the famous TV show starring Monty Hall! Monty Hall: One of the three boxes labelled A. I think I’ll keep this box. 3.Questions for Chapter 3 69 3. Contestant: No thank you. Contestant: No. The other two are empty. Monty provided a short.

and a probability measure P (·) such that P (A) > 0 and P (B) > 0. Other printer errors are impossible. What is the probability that two A’s will be printed? (c) Suppose that a single character is transmitted.11 Given two mutually exclusive events A and B . The text of Monty’s letter is available on several web sites. If a B is printed. What is the probability that the other one is also defective? (b) You chose another coffee maker at random from those in the warehouse. Who has the advantage? 3. A and B . (a) You know that two particular coffee makers came from the same factory.5. but without any verification of its authenticity. One is defective. The probability that an A will be incorrectly printed as a B is 0. You test it and discover it is defective. .70 Questions for Chapter 3 3.2. (a) Suppose that a single A is transmitted.13 A computer can send any one of three characters (A. what is the probability that a B was transmitted? 3. Mary throws twelve dice and wins if she scores at least two aces.15 A person gives you a six-sided die and tells you that it is a fair die. B or C ) to a printer. What is the probability that it came from Factory B ? 3. each character has an equal chance of being sent. past history has shown that 0. due to transmission errors. During each transmission. However. You roll the die 100 times and 99 of the 100 rolls turns up 4.12 A warehouse receives the same model of a coffee maker from two different factories.50 of the coffee makers from B are defective. Should you accept the claim that die is a fair die? Why or why not? the correct answer to this question. The probability that an C will be incorrectly printed as a B is 0. What is the probability that it is correctly printed? (b) Suppose that two characters are transmitted independently. However. Monty also cautioned that there is a difference between the actual probability that the keys are in B and the contestant’s perceived probability.14 John throws six dice and wins if he scores at least one ace. It is known that any one coffee maker has an equal chance of originating from A or B . it is possible that the printer will not print the same character as transmitted. can A and B be independent? Why? 3.10 of the coffee makers from A are defective while 0.

adopt the following decision rule: If the youngest brother breaks three or more of four broken dishes. Using this decision rule. What is the probability that each cell is occupied? 3.17 Let n balls be placed “randomly” into n cells. or (b) to get at least one double ace in 24 throws of two dice? 7 This is a problem from the text: William Feller. each independently of the other. A cell may contain more than one ball. there are 6 cars parked. Every one of the 12 tickets was given on either a Tuesday or Thursday. in such a way that every cell has an equal chance of receiving a ball.21 de M´ r´ ’s paradox: Which is more probable: (a) to get at least one ace with ee four dice. An introduction to probability theory and its applications. but in such a way so that the four empty places were adjacent to each other. . Reanswer (a) and (b).19 Consider a box partitioned into 3 cells. Out of a total of four broken dishes. Was his renting a garage only for Tuesdays and Thursdays justified? 3. Find the probability of this event assuming tickets are given out on random days. three were caused by the youngest and he was thereafter called “clumsy. what is the probability of such an event? 3. (b) What is the probability of each arrangement? (c) Suppose that no cell can have more than one ball.18 A parking lot attendant noticed that in a section where there are 10 parking spaces arranged in a row. Two balls are dropped into the box. when the process of breaking dishes is actually random? 3. four boys take turns at washing dishes. we will announce that the four dishes were not randomly broken and. what is the probability of incorrectly announcing that the youngest is clumsy. list all possible arrangements.20 (from Feller7 ) In a certain family. thus. Assuming that car owners pick a parking place at random among the spaces available.16 A professor parks illegally on campus every night and has received twelve tickets for overnight parking. he is clumsy. 1950.Questions for Chapter 3 71 3.” Was he justified in attributing the frequency of his breakage to chance? Hint: Before the four dishes are broken. (a) If the balls are indistinguishable. Feller is often regarded as the first person to organize probability theory as a self-contained subject. 3. Wiley.

in his state-of-mind. Each bus can hold 50 riders.25 Fifty students have rented 3 busses for a class trip.24 A classroom in the Bell Elementary School contains 16 seats with four rows of four seats each. (a) The students in the class are assigned seats at random. (b) If the seats are assigned randomly. the carrier places the letters randomly into the n mailboxes. However.72 Questions for Chapter 3 B B B B G G B B G G B B B B B B (B = Boy.23 After a night on the town.22 A bus starts with r passengers and stops at n bus stops (r ≤ n). (See Figure 3. what is the probability that no two passengers leave at the same stop? What assumptions are you making? 3. If no new passengers are picked up. what is the probability that each row contains exactly one girl? 3. the neighborhood postal carrier decides to deliver n letters addressed to n different individuals. A class is composed of 4 girls and 12 boys.2: Example of a ‘Block’ for Bell Elementary School 3. G = Girl) Figure 3. (a) How many different ways could the postal carrier deliver the letters? (b) What is the probability that everyone gets the correct letter? (c) What is the probability that at least two people get the wrong letters? 3. Answer the following questions assuming that each student chooses his bus for the trip at random: (a) What is the probability that every bus has at least one rider? .2 for an example of such a block). What is the probability that the four girls will be seated together in a block of two rows and two columns somewhere in the classroom. one letter per box.

what is the probability of a tied election? 3. That is. (a) What is the probability that a voter chosen at random from the community will favor JK? . If each student casts his vote independently and at random for one of the two candidates. B and C P (A ∪ B ∪ C) = P (A) + P (B) + P (C) −P (A ∩ B) − P (A ∩ C) − P (B ∩ C) +P (A ∩ B ∩ C) 3. 000 Democrats and 5. 5. Provide an example where A ⊂ B (with A = B ) and P (A) = P (B).Questions for Chapter 3 73 (b) What is the probability that all students sign up for the same bus? 3. it is known that 80% of the Republicans favor Presidential candidate JK.27 A class of 100 students vote for class president among two candidates. n boys take turns at washing dishes.28 In a family. while 5% of the Democrats favor JK. 000 independents. Out of a total of d broken dishes. A ⊂ B and A = B ).e. Provide an example to show that the converse is not true.31 We know that A = B ⇒ P (A) = P (B) Note that this is used in many of the proofs in this chapter. 3. and 20% of the independents favor him. 000 voters is composed of 10.3 is still true even if we replace ⊆ by proper subset (i. What is the probability that the youngest child breaks exactly x dishes? 3.26 If an ordinary deck of 52 cards is dealt to four hands of 13 cards each.. From a recent survey.32 A community of 20. A = B ⇐ P (A) = P (B) 3.29 Let Ω be a sample space with probability measure P (·).30 Show that Theorem 3. Show that for any events A. 000 Republicans. what is the probability that the player who gets the ace of spades will also get the ace of hearts? 3.

one fourth green and three quarters red. and that the character C is printed.36 The Colorful LED Company manufacturers both green and red light emitting diodes (LED’s). Suppose the machine has the probability 0. the red and green LED’s look alike.4 while P (A∪B) = 0. What is the probability that the voter is a Republican? 3. can it be determined whether the LED gives off green or red light. 4 red socks and 2 green socks. When turned off. and the character C is printed both times. Only when an electrical current is applied. each character being produced by a unique impulse. accidentally. The barrels have no distinguishing markings. In the dark.9 of correctly producing the character corresponding to the impulse received. (a) For what choice(s) of p is P (A ∩ B) = 0? (b) For what choice(s) of p are A and B indpendent? 3.74 Questions for Chapter 3 (b) Suppose a voter is chosen from the community and it is learned to favor JK. she picks two socks at random from the basket.34 Let A and B be two events.7. the probabilities that any of the 25 other characters will actually appear are equal. What is the probability that the impulse chosen was the one designed to produce a C ? (b) Suppose that one of the 26 impulses is chosen at random and fed into the machine twice. one barrel of red LED’s was produced. What’s the probability that both socks are the same color? 3. a second barrel was filled with a mixture of LED’s. If it prints the wrong character. has a basket that contains 5 blue socks. What is the probability that the impulse chosen was the one designed to produce a C ? 3. . Let P (B) = p.35 Mary. a university student.33 A printing machine capable of printing any of the 26 letters (A through Z ) is operated by electrical impulses. LED’s are packaged and shipped in bulk using large cardboard barrels. In addition. independent of past behavior. (a) Suppose that one of the 26 impulses is chosen at random and fed into the machine. Suppose that P (A) = 0. On a busy production day.

The room has three doors labelled A. What is the probability that you need more than three attempts? (d) Assume that the aliens zap you with their anti-memory beam (as in part (b)). Find the values of P (E1 ).37 You have been captured by aliens from outer space and held in a one-room cell on their planet. Find a formula to compute the value of P (Ek ) for any positive integer k . Only one of the three doors leads to an escape spacecraft. you know how to expertly pilot the spacecraft back to Earth. Let Ek denote the event that you require exactly k escape attempts. Assume that after a failed escape attempt you never choose a previously chosen door. the space aliens zap you with a electromagnetic beam that causes you to forget which doors you have previously chosen. Because of your engineering degree. B and C . (a) You decide to try each door (one at a time) at random. What is the probability that it is a green LED? (c) Suppose that one of the two barrels is chosen at random. each time you return to your cell. you may need more than three attempts to escape. What is the probability that it is the barrel with a mixture of green and red LED’s? 3. (b) Anticipating your plan to escape.Questions for Chapter 3 75 (a) Suppose that one of the two barrels is chosen at random. Hence. Find the values of P (E1 ). P (E2 ) and P (E3 ). P (E2 ) and P (E3 ). What is the probability that it is the barrel with a mixture of green and red LED’s? (b) Suppose that one of the two barrels is chosen at random and then an LED is tested. Two of the doors lead to corridors that return you back to your one-room cell. and it turns out to be RED. every time you attempt to escape. (c) Assuming that the aliens zap you with their anti-memory beam (as in part (b)). . you choose randomly from all three doors. an LED is tested.

one contains only red petunia seeds. The beans in both bowls are thoroughly mixed together. In order to conduct a probability experiment. What is the probability that it is the barrel with the mixture of red and white seeds? Are you using logical.). You determine that it is a white petunia seed. the company has only four barrels of petunia seeds remaining. (a) Suppose you choose a barrel at random. The green jelly beans are likewise placed in a white bowl. What is the probability that it is a red petunia seed? (c) You now perform a DNA test on that single petunia seed (the one chosen at random in part (b.39 Jelly beans are packaged in one-pound bags. of course. you are given one bag each of red. Then you will choose a bowl at random and then pick a jelly at random . you will be blindfolded. an angry employee removed the labels from all four barrels of seeds so that they are now indistinguishable (unless.38 The Belchee Seed Company sells flower seeds and specializes in red petunias and white petunias. red and white petunia seeds are indistinguishable except through DNA testing.76 Questions for Chapter 3 3. experimental or subjective probability? (b) You choose a single petunia seed at random from the randomly chosen barrel. Just before leaving the company. Two of the barrels contain only white petunia seeds. What is the probability you selected the barrel containing a mixture of red and white seeds? 3. green. from the barrel that was randomly chosen in part (a.)). (a) In the experiment. with each bag containing jelly beans that are all of the same color. you perform a DNA test on the seeds). Before they are grown. purple and yellow jelly beans. and the fourth barrel contains a mixture of 10% red petunia seeds and 90% white petunia seeds. At the end of the season. Exactly one half of the red jelly beans (one-half pound) are placed in the blue bowl and the other half are placed in the white bowl. The purple and yellow jelly beans are placed in a blue bowl.

Do the events R. (b) While blindfolded. G. choose a RED jelly bean? What is the probability that you selected the BLUE bowl? (d) You are still blindfolded.40 Show that if P (A) = P (B) = 1 then P (A ∩ B) = 1. indeed. you choose a bowl at random and then pick a jelly bean from that bowl at random.41 (†) Suppose that you have n white balls and m red balls which you plan to distribute between two boxes. 3. So you do not know precisely which bowl you selected in part (b) and (c).42 (†) We define P (A | B) to be the number x that solves the equation P (A ∩ B) = xP (B) . After you have distributed all of the balls between the two boxes. P and Y form a complete set of alternatives? Briefly explain why. Let B = {the BLUE bowl is chosen} W = {the WHITE bowl is chosen} Also let R = {a RED jelly bean is chosen} G = {a GREEN jelly bean is chosen} P Y = {a PURPLE jelly bean is chosen} = {a YELLOW jelly bean is chosen} Do the events B and W form a complete set of alternatives? Briefly explain why. What is the probability that it is a RED jelly bean? (c) A friend (who is not blindfolded) tells you that you did. You draw out a second jelly bean from the same bowl as you selected in parts (b) and (c). How should you initially distribute the balls so as to maximize the probability of drawing a white ball? 3. Given that the first jelly bean was RED.Questions for Chapter 3 77 from that bowl. what is the probability that the second jelly bean is also RED? 3. a box will be picked at random and a ball randomly chosen from the selected box.

For this question. Pop has carefully analyzed his E-mail messages. That is.43 (†) The 9-1-1 New York Lottery Problem. Jackpot winners of the daily New York Lottery numbers game. the lottery game is played twice a day.78 Questions for Chapter 3 We do not define P (A | B) as (5) P (A | B) = P (A ∩ B) P (B) Here is one reason why. Why? 3. Consider the following equation (6) P (A ∩ B ∩ C) = P (A)P (B | A)P (C | A ∩ B) Show that if we use Definition 3. then Equation (6) holds for any events A. or adult content mail that is promoting web sites containing explicit adult material. the numbers drawn were 9-1-1. What is the probability that the lottery numbers will match the calendar date at least once in a year? 3. with each number independently selected at random from the digits 0 through 9. This was regarded by many as a “miraculous” outcome. Mr. . assume the following: • Two sets of three numbers are drawn twice each day. Each message he receives belongs to one of the following three categories B1 = {the message is “junk mail”} B2 = {the message is “adult content mail”} B3 = (B1 ∪ B2 )c = {the message is regular E-mail} . On September 11.4. But if we try to use (5) to define conditional probabilities. and he gets a lot of “spam” messages. 2002. Pop has a computer with an E-mail account. B and C . must match a sequence of three numbers. . then Equation (6) doesn’t always hold. The “spam” E-mail is of two types: junk mail that is advertising to sell a product. • The numbers can match the calendar date only in the months of January to September.44 Mr. the same as the date of the drawing. once mid-day and once in the evening.

8 P (A$ | B2 ) = 0.” and the remaining 30% is useful. Pop has determined that most of the “junk mail” contains the text character ‘$’.1 P (B3 ) = 0.2 P (A$ | B3 ) = 0. Mr.6 P (B2 ) = 0. and that almost all of the “adult mail” contains the text string ‘’XXX”. that is.Questions for Chapter 3 79 Note that every message is assigned to one and only one category. Pop estimates that the probability that a single message is assigned to a category is given by P (B1 ) = 0. Upon further analysis.9 P (AX | B3 ) = 0. regular E-mail. the probability that an E-mail message chosen at random contains the character ‘$’.” 10% is “adult content mail. Use Bayes’ theorem to find the probability that the message is “adult content mail. Mr. Being a former EAS305 student.0 (a) Use the law of total probability to find P (A$ ).” (c) An E-mail message arrives and contains the character string “XXX”. Mr.1 P (AX | B1 ) = 0. Pop defined the events A$ = {the message contains ‘$’} AX = {the message contains “XXX”} and determined that P (A$ | B1 ) = 0. (b) An E-mail message arrives and contains the character ‘$’. Regular mail usually contains neither string. 60% of his E-mail is “junk mail.” . Use Bayes’ theorem to find the probability that the message is “junk mail.3 That is.0 P (AX | B2 ) = 0.

80 Questions for Chapter 3 .

1.2. In other words. Notation: (1) P {ω ∈ Ω : X(ω) = a} ≡ P {X(ω) = a} ≡ P (X = a) Cumulative Distribution Function Definition 4. For any random variable X . as FX (a) ≡ P (X ≤ a). – EDWIN ARLINGTON ROBINSON. lim FX (a) = 1 a→∞ 2. a→−∞ lim FX (a) = 0 3. lim FX (x) = x↓a FX (a) 81 . FX (a). Properties of any cumulative distribution function 1. FX (x) is a right-continuous function of a. A random variable is a function X(·) which assigns to each element ω of Ω a real value X(ω).4 RANDOM VARIABLES He stares in vain for what awaits him. The Man Against the Sky (1921) Basic Concepts Definition 4. we define the cumulative distribution function (CDF). 4. And sees in Love a coin to toss. FX (a) is a nondecreasing function of a.

6 F(x) 0. For any random variable X and real values a < b P (a < X ≤ b) = FX (b) − FX (a) Discrete Random Variables Definition 4. Properties of any probability mass function 1.1.8 0.3.2 0 0 1 2 3 4 5 x Figure 4. all xi 3. The probability mass function (pmf) of a discrete random variable X is given by pX (xi ) ≡ P (X = xi ). P (E) = xi ∈E pX (xi ) = 1 pX (xi ) .4 0.82 Discrete Random Variables 1 0.1: An example of a CDF for a discrete random variable Theorem 4. pX (x) ≥ 0 for every x 2.

with each trial having two possible outcomes. but. We will need the binomial expansion for any polynomial: (a + b)n = n k=0 = n k (n−k) a b k So n k=0 n k p (1 − p)(n−k) = (p + (1 − p))n k = (1)n = 1 The geometric distribution Recall the “success/failure” model that was used to derive the binomial distribution. 2. success or failure. . . Let X denote the number of successes on n trials.. Let p be the probability of a success for any single trial and let Y denote the number of trials needed to obtain the first success. . this time. Then the probability mass function for Y is given by pY (k) = (1 − p)k−1 p for k = 1. then 1. we want to find the probability that the first success occurs on the k th trial. . . and the random variable Y is said to have a geometric distribution with parameter p where 0 ≤ p ≤ 1. . repeated trials. . n k=0 pX (k) Let’s check to make sure that if X has a binomial distribution. Let p be the probability of a success for any single trial. The random variable X is said to have a binomial distribution and has probability mass function (2) pX (k) = n k p (1 − p)(n−k) k for k = 0. n. 1. .Discrete Random Variables 83 Examples of discrete distributions The binomial distribution Consider a sequence of n independent.

3.84 Discrete Random Variables Some facts about geometric series When working with the geometric distribution. ∞ j=0 jθj = θ (1 − θ)2 Proof. the following results are often helpful: Theorem 4. ∞ j=0 ∞ j j=0 ∞ j=0 ∞ θ − θ0 = θ − θ j θj = 1 = 1 = 1 = 1 = j=1 ∞ j+1 j=0 ∞ j=0 ∞ j=0 ∞ j=0 θj − θ θj θj θj (1 − θ) 1 1−θ Theorem 4. ∞ j=0 θj = 1 1−θ Proof.2. Using Theorem 4.2 ∞ j=0 ∞ j=0 θj θj = = 1 1−θ d 1 dθ 1 − θ d dθ . For any 0 < θ < 1. For any 0 < θ < 1.

. . 2. then ∞ ∞ pY (k) = k=1 (1 − p)k−1 p (1 − p)j p k=1 ∞ = = j=0 1 p=1 1 − (1 − p) The Poisson distribution The random variable X is said to have a Poisson distribution with parameter α > 0 if X has a probability mass function given by (3) pX (k) = e−α αk k! for k = 0. 1. .2. Suppose pY (k) = (1 − p)k−1 p for k = 1. . . . Continuous Random Variables . 2.Continuous Random Variables ∞ 85 d j θ dθ j=0 ∞ = 1 (1 − θ)2 1 (1 − θ)2 1 (1 − θ)2 θ (1 − θ)2 θ (1 − θ)2 jθj−1 = jθj jθj jθj = = = θ j=1 ∞ −1 j=1 ∞ j=1 ∞ j=0 Example: Using Theorem 4. we can show that the probability mass function for a geometric random variable must sum to one..

5.2 0 0 1 2 3 4 5 x Figure 4.2: An example of a CDF for a continuous random variable Definition 4. If X is a continuous random variable. then (4) FX (a) = a −∞ fX (x) dx.4 0. If X is a continuous random variable then P (X < a) = P (X ≤ a). −∞ fX (x) dx = 1 fX (x) dx 3.86 Continuous Random Variables 1 0. fX (x) ≥ 0 for every x ∞ 2. Theorem 4.6 F(x) 0.4. fX (a) ≡ da Properties of any probability density function 1.4. . The probability density function (pdf) of a continuous random variable X is given by d FX (a). P (E) = E Theorem 4.8 0.

Continuous Random Variables 87 Area = f(x)dx f(x) x x+dx Figure 4. x + dx)) = fX (x)dx .3: The differential mass interpretation of fX (x) dx Differential mass interpretation of the pdf (5) P (X ∈ [x.

pmf pX (x) ≥ 0 P (X = x) = pX (x) pX (x) = 1 all x pdf fX (x) ≥ 0 P (x ≤ X < x + dx) = fX (x) dx ∞ −∞ fX (x) dx = 1 a −∞ FX (a) = x≤a pX (x) FX (a) = fX (x) dx pX (x) = P (E) x∈E E fX (x) dx = P (E) Examples of continuous distributions The uniform distribution The random variable X is said to have a uniform distribution if it has the probability density function given by (6) 1 fX (x) = b−a  0   if a ≤ x ≤ b otherwise The exponential distribution The random variable X is said to have an exponential distribution with parameter α > 0 if it has the probability density function given by (7) fX (x) = αe−αx if x ≥ 0 0 otherwise .88 Continuous Random Variables Comparison of pmf’s and pdf’s A comparison of the properties of the probability mass function and probability density function.

” • The value of E(X) can be interpreted as the center of mass or center of gravity of the probability mass distribution for X . Example: Roll a fair die once. and E(X) = +∞ −∞ xfX (x) dx for continuous X .Expectation 89 Expectation Definition 4. Note: • E(X) is a number.5 6 6 6 6 Example: Let X be a continuous random variable with probability density function fX (x) = 2x 0 ≤ x ≤ 1 0 otherwise Then E(X) = = = 0 +∞ −∞ 0 −∞ 1 xfX (x) dx 1 0 x0 dx + x2x dx + 1 1 +∞ x0 dx 2x2 dx = 2x3 3 = 0 2 3 −0= 2 3 . Let X equal the number of pips.5. • The expected value of X is often called the “mean of X . The expected value of a random variable X is given by E(X) = all x xpX (x) + for discrete X . Then E(X) = all x xpX (x) = (1)pX (1) + (2)pX (2) + (3)pX (3) + (4)pX (4) + (5)pX (5) + (6)pX (6) 1 1 = (1) 6 + (2) 1 + (3) 1 + (4) 1 + (5) 1 + (6) 6 = 3.

We can find E(X) as follows: n E(X) = k=0 n k n k p (1 − p)n−k k = n! pk (1 − p)n−k (k − 1)!(n − k)! k=1 Let s = k − 1 n−1 E(X) = = np = np n s=0 n−1 s=0 n − 1 s+1 p (1 − p)(n−s−1) s n−1 s p (1 − p)(n−s−1) s Poisson distribution Let X be a Poisson random variable with parameter α > 0. 1.90 Finding E(X) for some specific distributions Finding E(X) for some specific distributions Binomial distribution Let X be a binomial random variable with parameters n and 0 ≤ p ≤ 1. 2. We have pX (k) = e−α αk k! for k = 0. . 1. n. We have pX (k) = n k p (1 − p)n−k k for k = 0. The expected value for X can be found as follows: ∞ E(X) = k=0 ∞ ke−α e−α αk k! = k=1 αk (k − 1)! . . . . . . .

To find E(X) let q = (1 − p) and then. ∞ E(X) = = p kq k−1 p kq k−1 k=1 ∞ k=1 = p 1 1 = (1 − q)2 p Exponential distribution Let X be an exponential random variable with parameter α > 0. We have fX (x) = αe−αx if x ≥ 0 0 otherwise We can get E(X) as follows: E(X) = 0 ∞ xαe−αx dx Integrate this by parts. Hence v = −e−αx and du = dx. . . letting dv = αe−αx dx and x = u..Finding E(X) for some specific distributions 91 Let s = k − 1 ∞ E(X) = = α = α e−α s=0 ∞ s=0 αs+1 s! αs s! e−α Geometric distribution Let X be a geometric random variable with parameter 0 ≤ p ≤ 1. 2. We have pX (k) = (1 − p)k−1 p for k = 1. . This produces E(X) = −xe−αx ∞ 0 + 0 ∞ e−αx dx = 1 α .

2 Suppose X is a continuous random variable with cumulative distribution function   0 if x < 0  2 x if 0 ≤ x ≤ 1 FX (x) =   1 if x > 1 Then P (X < 0. 0. denoted by m 1 (X). 1} (E) none of the above are true.6. is given by pX (Mode(X)) = max pX (x) if X is discrete x fX (Mode(X)) = sup fX (x) x if X is continuous Self-Test Exercises for Chapter 4 For each of the following multiple-choice questions. The median of a random variable X . denoted by Mode(X). choose the best response among those provided.92 Self-Test Exercises for Chapter 4 Other measures of central tendency Definition 4. S4. 2 2 Definition 4. The mode of a random variable X . E(X). Answers can be found in Appendix B.1 If X is a discrete random variable with P (X = −1) = P (X = 0) = P (X = 1) = 1/3 Then the expected value of X .50) equals (A) 0 . S4. is given 2 by 1 P (X ≤ m 1 (X)) = .7. equals (A) 0 (B) 1/3 (C) 1/2 (D) any of the values in the set {−1.

S4.4 Suppose X is a continuous random variable with probability density function fX (x) =   0    if x < 0 if 0 ≤ x < 1 if 1 ≤ x < 2 if x ≥ 2 1/2 0 if 0 ≤ x ≤ c otherwise Then the value of c is (A) 1/2 (B) 1 (C) 2 (D) +∞ (E) none of the above.3 Suppose X is a random variable with cumulative distribution function 1/3 FX (x) =  2/3    1 Then P (X = 2) equals (A) 0 (B) 1/3 (C) 2/3 (D) 1 (E) none of the above.5 Let X be a continuous random variable with probability density function fX (x) = λe−2x 0 if x > 0 otherwise The value of λ must equal .Self-Test Exercises for Chapter 4 93 (B) 0.25 (C) 0.50 (E) none of the above. S4. S4.50 √ (D) 0.

The probability that exactly two heads turn up is (A) (B) (C) (D) 1 2 1 4 3 8 2 3 (E) none of the above. S4.94 Self-Test Exercises for Chapter 4 (A) 1/2 (B) 1 (C) 2 (D) e2x (E) none of the above.7 Let X be a random variable with cumulative distribution function FX (a). S4. If 2 independent steel rods are examined. Which of the following statements are always true: (A) lim FX (a) = 0 a→∞ (B) P (X = a) = FX (a) − FX (a − 1) (C) 0 ≤ FX (a) ≤ 1 for every a (D) all of the above are true (E) none of the above are true.8 The length X (in inches) of a steel rod is a random variable with probability density function given by   x−9 fX (x) =  0 2 if 9 ≤ x ≤ 11 otherwise A rod is considered defective if its length is less than 10 inches. S4.6 Suppose a fair coin is flipped 3 times. the probability that exactly one is defective is (A) 1/4 .

Self-Test Exercises for Chapter 4 95 (B) 3/8 (C) 1/16 (D) 3/16 (E) none of the above. then α must equal (A) −1 (B) 1/2 (C) 1 (D) 2 (E) none of the above.9 An airplane can hold 100 passengers. It is known that the probability is 0.99)101 (D) 1 (E) none of the above. Passenger behavior has been extensively studied over the years. Assume that a person decides independently whether or not to show up for a flight. the probability that someone will be denied a seat is (A) 0 (B) 0. S4.01 that a person making an airline reservation will never show up for his or her flight. If the airline permits 101 persons to make reservations for a given flight. S4.01 (C) (0. S4.11 Let X be a continuous random variable with probability density function fX (x) = x/2 if 0 ≤ x ≤ 2 0 otherwise Then P (X ≤ 1) equals .10 Let X be a continuous random variable with probability density function fX (x) = αe−αx if x ≥ 0 0 otherwise If P (X > 1) = e−2 .

S4. .96 Self-Test Exercises for Chapter 4 (A) 1/8 (B) 1/4 (C) 1/3 (D) 1/2 (E) none of the above. S4. . 2.13 You have two light bulbs. The life length of each bulb (in hours) is a continuous random variable X with probability density function fX (x) = 2e−2x if x > 0 0 otherwise The two bulbs are allowed to burn independently of each other. . Then P (X > 1) equals (A) e−1 (B) 1 − e−1 (C) 1 − 2e−1 (D) 1 (E) none of the above. . 1. The probability that both bulbs will each last at least one hour is (A) 0 (B) (1 − e−2 )2 (C) e−4 (D) 2e−2 (E) none of the above.12 Let X be a discrete random variable with probability mass function P (X = k) = e−1 k! for k = 0.

5 (E) none of the above. The value of fX (0) is (A) 0. Suppose FX (0) = 0.16 Let X be a continuous random variable with probability density function fX (x) = 3x2 0 if 0 ≤ x ≤ 1 otherwise Let E(X) denote the expected value of X .14 Let X be a continuous random variable with cumulative distribution function   0  FX (x) =   1 1 2 (x + 1) if x < −1 if −1 ≤ x ≤ 1 if x > 1 Let fX (x) denote the probability density function for X .00 (E) none of the above.Self-Test Exercises for Chapter 4 97 S4. S4.3 (D) 0. Then P (0 < X ≤ 1) equals (A) 0 (B) 0.00 (B) 0.50 (C) 0.3 and FX (1) = 0. S4. . The value of E(X) is (A) 0 (B) 3/8 (C) 3/4 (D) 3/2 (E) none of the above.5.2 (C) 0.15 Let X be a random variable with cumulative distribution function FX (x).75 (D) 1.

A batch of 100 integrated circuits are tested. S4.8 0.17 Suppose that an integrated circuit has a life length X (in units of 1000 hours) that is a continuous random variable with probability density function fX (x) = 3e−3x if x ≥ 0 0 otherwise An integrated circuit considered defective if its life length is less than 3000 hours.6 0.2 (B) 0.2 0 -2 -1 0 1 2 3 FX(a) a The value of P (−1 ≤ X ≤ 1) is (A) 0. given by the following graph: 1 0.4 (C) 0. The life lengths of any two integrated circuits are independent random variables.8 .6 (D) 0. The expected number of defective items is (A) e−3 (B) (1 − e−3 ) (C) (1 − e−9 ) (D) 100(1 − e−9 ) (E) none of the above.4 0.98 Self-Test Exercises for Chapter 4 S4. F (a) ≡ P (X ≤ a).18 Let X be a discrete random variable with cumulative distribution function.

(b) Find the probability density function fX (x) for X . 4. What is the probability of getting exactly two heads on 4 tosses? (A) (B) (C) 4 2 1 4 1 4 1 4 2 2 3 4 2 2 3 4 2 (D) 1 − 3 4 2 (E) none of the above. The probability of a head on one toss is 1/4.5). . S4. (b) Find P (X ≥ 0. (c) Find E(X). (c) Find E(X). Questions for Chapter 4 4.19 An unfair coin is tossed 4 times.2 The angle of ascent of an erratic rocket is a random variable X having the cumulative distribution function given by   1  FX (x) = if x > π/2 sin x if 0 ≤ x ≤ π/2   0 if x < 0 (a) Compute P (X ≤ π/8).1 Let X be a continuous random variable having the probability density function 3 2 2 (1 − x ) if 0 ≤ x ≤ 1 fX (x) = 0 otherwise (a) Compute and plot the cumulative distribution function for X.Questions for Chapter 4 99 (E) none of the above.

3).100 Questions for Chapter 4 4. and F (−0.25). 4.6 Let X be a continuous random variable with probability density function fX (x) = cx if 0 ≤ x ≤ 2 0 otherwise 1 2 . P (Y ≤ 0). 4.25). (b) Compute P (−1 ≤ X ≤ 0. 4.4 Let X be a discrete random variable with probability mass function pX (−1) = p pX (0) = 1 − 2p pX (1) = p The value of p is unknown.P Y ≥ 1 2 . (c) Find E(X). (b) Compute P Y ≤ (c) Find E(Y ).5 Let Y be a random variable with probability density function fY (y) = 3y 2 if 0 ≤ y ≤ 1 0 otherwise (a) Find the cumulative distribution function for Y .3 Let X be a random variable with probability density function fX (x) = 3√ 2 x 0 if 0 ≤ x ≤ 1 otherwise Let F denote the cumulative distribution function of X . and P 1 3 ≤Y ≤ 1 2 . Identify all possible values for p. 4. F (1.25). (a) Compute F (0. Find the value of c.7 Let X be a continuous random variable with probability density function fX (x) = 1/θ if 0 ≤ x ≤ α 0 otherwise What relationship must hold between θ and α? .

3. 4. .10 The probability is p that there will be at least one accident in a certain factory in any given week. then P (X = 1) = e−1 .Questions for Chapter 4 101 4. 4.11 True or False: If X has a Poisson distribution and P (X = 0) = e−1 . . .4 pX (0) = 0.9 Suppose that D. (b) Find the probability density function fX (x) for X and the probability mass at π/4.2 pX (−1) = 0. is a random variable with the following probability distribution: P (D = k) = c2k k! k = 1.2 Draw a plot of the cumulative distribution function (CDF) for X . 4. (c) Find E(X). (a) Compute P (X ≤ π/8).2 pX (+2) = 0. . 2. (a) Evaluate the constant c.12 Let X be a discrete random variable with probability mass function pX (−2) = 0.8 The angle of ascent of an erratic rocket is a random variable X having the cumulative distribution function given by   1  FX (x) = if x > π/4 sin x if 0 ≤ x ≤ π/4   0 if x < 0 Note: This is an example of a mixed probability distribution with both discrete and continuous probability mass. There is a positive point mass at π/4. the daily demand for an item. what is the expected number of weekly accidents? 4. (b) Compute the expected demand. If the number of weekly accidents in this factory is distributed with a Poisson distribution.

102 Questions for Chapter 4 4.5 ≤ X ≤ 0. A truck has arrived with today’s shipment of gasoline.5). (a) Given only the above information.13 Suppose that X is a random variable with the following probability density function: 2x if 0 < x < 1 fX (x) = 0 otherwise (a) Compute P (X > 0. (c) Compute P (−0.14 The Classey Gassey gasoline company produces gasoline at two plants (A and B ) and then delivers the gasoline by truck to gasoline stations where it is sold. 4. what is the probability that the shipment is Low grade gasoline? .005(x − 80) 0 if 80 < x < 100 otherwise The octane rating of gasoline produced at Plant B is a continuous random variable Y with probability density function fY (y) = 0.5). If the octane rating is r. there is an equal probability that it was produced at Plant A or Plant B . Find FX (0. (b) Let FX (x) denote the cumulative distribution function for X .5). You are the owner of a Classey Gassey gasoline station. then the gasoline is Low grade if High grade if r < 85 r ≥ 85 When gasoline is delivered. The octane rating of gasoline produced at Plant A is a continuous random variable X with probability density function fX (x) = 0.02(y − 80) 0 if 80 < y < 90 otherwise The grade of the gasoline is determined by its octane rating.

18 The manager of a bakery knows that the number of chocolate cakes he can sell on any given day is a random variable with probability mass function p(x) = 1 6 for x = 0. 4 and 5. (a) What is the value of the constant c? (b) Find P (X < 0. F (−3). What is the probability that the shipment came from Plant A? 4.00 on each cake that he sells and a loss (due to spoilage) of $0. (b) Find E(X). in fact. (b) Compute E(X). Low grade gasoline. He also knows that there is a profit of $1. F (π) and F (2π). 1. 4.16 Let X be a random variable with probability density function fX (x) = 2/x2 if 1 ≤ x ≤ 2 0 otherwise Let F denote the cumulative distribution function of X .15 Suppose that X is a random variable with the following probability density function: cx if 0 < x < 1 fX (x) = 0 otherwise where c is a constant.Questions for Chapter 4 103 (b) You actually test today’s shipment of gasoline and discover that it is. and F (14). Assuming that each cake can be sold only on the day it is made. F ( 2 ). 3. 4. 3 (a) Compute F (−11).5). (a) Compute F (−5).40 on each cake that he does not sell. 2. 4. find the baker’s expected profit for .17 Let X be a discrete random variable with probability mass function pX (−4) = 1/4 pX (4) = 1/8 pX (−π) = 1/4 pX (π) = 1/8 pX (0) = 1/4 Let F denote the cumulative distribution function of X .

Billy plans to reach into the bag and draw out one pretzel at a time. square. (b) a day when he bakes 4 chocolate cakes. (c) How many chocolate cakes should he bake to maximize his expected profit? 4.. . You can assume that there is an infinite number of pretzels in the bag with equal proportions of each shape. . may exceed your supply. 5. Hint: Define the random variable Y as the actual daily profit (or loss). Using the probability distribution for X (the number of customer asking for cakes) find the probability distribution for Y . You can then answer the question using the random variable Y . The probability distribution for Y will depend on the number of cakes you decide to bake that day. .104 Questions for Chapter 4 (a) a day when he bakes 5 chocolate cakes. (a) Find P (X = k) for k = 4.20 (†) A large bag contains pretzels with 4 different shapes: heart. 6. (b) Find E(X). what is her expected profit? 4. circle and star. X . . Let the random variable X denote the number of pretzels that Billy will draw from the bag. stopping only when he has at least one pretzel of each type. Be careful to consider the possibility that the demand for your cakes.19 If a contractor’s profit on a construction job is a random variable with probability density function fX (x) = 1 18 (x + 1) 0 −1 ≤ x ≤ 5 otherwise where the units are $1000.

5 FUNCTIONS OF RANDOM VARIABLES When you do dance. let X be the random variable representing the Buffalo. They permit algebraic manipulation of event definitions. This random variable might be suitable for the use of Buffalonians. and often obvious. at the point y = 20. They allow us to restrict our attention to sample spaces that are subsets of the real line. – WILLIAM SHAKESPEARE. and probably more important reason for using random variables: 3. representations of experimental outcomes. that you might ever do Nothing but that. namely FX (x). As an example. they are interested in the event A = {ω ∈ Ω : Y (ω) ≤ 20} where Ω is the sample space of the underlying experiment. still so. They are convenient. Ontario prefer the random variable Y representing the same Buffalo temperature. we could evaluate the cumulative distribution function for Y . Can we still find P (A)? 105 . In order to compute P (A). New York temperature at 4:00 pm next Monday in degrees Fahrenheit. FY (y). Furthermore. This chapter deals with this third “feature” of random variables. but our neighbors in Fort Erie. But suppose we only know the cumulative distribution function for X . I wish you A wave o’the sea. And own no other function. move still. 2. There is a third. The Winter’s Tale (c 1600) Basic Concepts Two of the primary reasons for considering random variables are: 1. except in degrees Celsius. Note that Ω is being mapped by both of the random variables X and Y into the real line.

(1) Y (ω) = 5 9 Basic Concepts X(ω) − 32 . 1 . we can compute probabilities of events expressed in terms of the random variable Y . if we know the probability distribution for X . 9 which is nothing more than the equation of a straight line.1. we also have Y = h(X) as a random variable. If X is a random variable.1 The function h(x) maps merely points in the real line (the sample space for X ) into points in the real line (the sample space for Y ) as in Figure 5. allows a representation of the event A in terms of either the random variable X or the random variable Y . To show you what we mean by this. mathematicians usually will drop the (ω).” First. Note that we should have really written this as Y (ω) = h(X(ω)).106 The answer is “yes. When finding the probability of the event A. knowing a relationship like Equation 1 between X(ω) and Y (ω) for every ω ∈ Ω. So. In order to simplify the notation. The general concept surrounding the above example is the notion of a function of a random variable. We can then redefine the event A in terms of X as follows: A = {ω ∈ Ω : Y (ω) ≤ 20} = ω∈Ω : 5 9 (X(ω) − 32) ≤ 20 = {ω ∈ Ω : X(ω) − 32 ≤ 36} = {ω ∈ Ω : X(ω) ≤ 68} . let the function h(x) be defined by h(x) = 5 (x − 32). notice that for any ω ∈ Ω. we can use the shortcut notation presented in Chapter 5: P (A) = P (Y ≤ 20) = P ( 5 (X − 32) ≤ 20) 9 = P (X − 32 ≤ 36) = P (X ≤ 68) = FX (68). So.

Under those circumstances. “What are all of the possible outcomes of the experiment (i.1: The mapping Y (ω) = h(X(ω)) The random variable X serves as a “middleman” in the mapping shown in Figure 5. measuring Monday’s 4 pm temperature) that would result in announcing that the temperature in degrees Celsius in 20 or less?” Call this event A and compute the probability of A from the distribution of the random variable X. the folks in Fort Erie are asking us to compute P (Y ≤ 20). Suppose we are given a cumulative distribution function for the random variable X . This gives us the cumulative distribution function FX (t) and allows us to compute the probability of many other events.. the Buffalo temperature in degrees Fahrenheit. we ask ourselves.3. you can see that what is happening is really quite simple. Using this. suppose we are given a random variable X . To oblige. we can compute P (X ≤ t) for any value of t. it would be very handy to have a tool that would enable us to compute probabilities involving Y using the facts we already know about X . more obvious to define Y as mapping directly from Ω to the real numbers. Also assume that we are given the cumulative . Returning to our example.Basic Concepts 107 Ω ω X( ) Real line Y( ) Real line 212 100 Figure 5. In this case.2. But consider the case where we have already defined X and then are given a functional relationship between X and Y . Referring to Figure 5. It may seem. at first. An even more general situation appears in Figure 5.1.e.

108 Basic Concepts y 20 y= ) h(x x 68 A Figure 5.2: Representing the event {Y ≤ 20} y y= h(x) B x = h-1(B) Figure 5.3: A more complicated example .

0. . We would like to find the probability distribution for Y . we should first ask ourselves. x = 0 into 0.Some examples 109 distribution function for X so that we are capable of computing the probability measure of any subset of the sample space for X . Unfortunately. therefore. x = −1 into 1. The probability of any of these particular outcomes of X is. 1.1. we cannot make such a statement for continuous random variables. A function of any discrete random variable is also a discrete random variable. 1 or 2. x = 1 into 1 and x = 2 into 4. what values can Y assume?” We see that the function h(x) = x2 maps the point x = −2 into the point 4. also the probability of observing Y taking on a value in B . Then A is called the support of the distribution for the random variable Y .1. To solve the problem. Solution: There is a pleasant fact that helps when working with discrete random variables: Theorem 5. So all of the probability mass for the random variable Y is assigned to the set {0. 4}. Let A be the smallest subset of R such that P (Y ∈ A) = 1. “Since X can take on the values −2. −1.3) we can compute the probability measure of any subset B in the sample space for Y by determining which outcomes of X will be mapped by h into B . as we will see in a later example. Definition 5. Some examples Discrete case Example: Let X be a discrete random variable with probability mass function pX (−2) = pX (−1) = pX (0) = pX (1) = pX (2) = 1 5 1 5 1 5 1 5 1 5 Let Y = X 2 . Such a set is called the support for the random variable Y . If we then define the random variable Y = h(X) (where h is the function shown in Figure 5.

i.” With no elaborate computation.110 Some examples Since X will take on the value −2 with probability 1 and the value 2 with probability 5 1 . it is easier to deal with the cumulative distribution functions. Hence the probability distribution for Y is 5 5 given by the probability mass function: pY (0) = pY (1) = pY (4) = 1 5 2 5 2 5 Continuous case Example: Let X be a uniformly distributed random variable on the interval (−1. we now know that if y < 0 ? if 0 ≤ y ≤ 1 FY (y) =   1 if y > 1. “Since X can take on only values from −1 to +1. the density for X is given by fX (x) = if −1 ≤ x ≤ 1 0 otherwise 1 2 and the cumulative distribution function is x+1 FX (x) =  2   1   0   if x < −1 if −1 ≤ x ≤ 1 if x > 1.e. First. the answer is “Y can assume values from 0 to 1. 1).. we can say that 2 pY (4) = pX (−2) + pX (2) = 5 . pY (1) = 2 and pY (0) = 1 . Solution: For continuous random variables. Let’s try to find FY (y).   0  . and since each of these mutually exclusive events will result in Y taking on the 5 value 4. Find the distribution for the random variable Y = X 2 . Similarly. what values can Y take on?” Since Y = X 2 . we should ask ourselves.

Solution: Since X takes on the values ranging continuously from 0 to 2. Find the distribution for Y = h(X). To find the probability mass function for Y . that is 0 ≤ y ≤ 1. We then have FY (y) = P (Y ≤ y ) = P X2 ≤ y √ √ = P − y≤X≤ y √ √ = FX y − FX − y √ √ y+1 − y+1 = − 2 √ 2 = y. i. Look at Figure 5. That task is left to you.4 again and try to visualize why this happened. FY (y) =   0  √ if y < 0 y if 0 ≤ y ≤ 1   1 if y > 1 Finding the probability density function for Y is now easy. Example: Let X be a uniformly distributed random variable on the interval (0. first let’s try to find pY (0).e. 1 and 2 (why 2?).4.. We know that Y takes on the value 0 when X takes on any value from 0 to 1 (but not including . 2).Some examples 111 Now suppose that y is equal to a value in the only remaining unknown case. i. the density for X is given by fX (x) = if 0 ≤ x ≤ 2 0 otherwise   0   1 2 and the cumulative distribution function is x FX (x) =  2   1 if x < 0 if 0 ≤ x ≤ 2 if x > 2 Let h(x) be the greatest integer less than or equal to x. We immediately know that the random variable Y is discrete.. Y can take on only the integers 0. So. and we have our first example of a continuous random variable being mapped into a discrete random variable. let h be given by the step function shown in Figure 5.e.

Hence. pY (1) = 1 1 dx = 2 2 and 1 dx = 0.4: The greatest integer function 1). A function h : R → R is called onto. pY (0) = 0 1 1 x dx = 2 2 2 1 1 0 1 = . Invertible Functions of Continuous Random Variables First we need a few concepts about inverse functions from calculus: Definition 5. 1 pY (0) = pY (1) = 2 .2. pY (2) = 2 So we have the answer.112 Invertible Functions of Continuous Random Variables y 3 2 1 x -2 -1 1 2 3 4 A Figure 5. . if for every y ∈ R there exists some x ∈ R such that y = h(x). 2 2 which is good thing because we ran out of probability mass after the first two computations. if h(a) = h(b) implies a = b. A function h : R → R is called one-to-one. 2 Similarly.

then h−1 (x) is nondecreasing. take the first derivative of both sides with respect to y and use the chain rule: d FY (y) = dy d FX (h−1 (y)) dy d fY (y) = fX (h−1 (y)) h−1 (y) dy We have just proven the following theorem: Theorem 5. we can develop a general relationship between the probability density function for X and the probability density function for Y . Suppose X is a continuous random variable with probability density function fX (x). If h(x) is a strictly increasing function with a differentiable inverse h−1 (·).2. if X is a continuous random variable.Invertible Functions of Continuous Random Variables 113 If a function h(x) is both one-to-one and onto. for any a ≤ b. the monotonicity property of h allows us to uniquely solve . Therefore. then we can define the inverse function h−1 : R → R such that h−1 (y) = x if and only if h(x) = y . and Y = h(X). then the random variable Y = h(X) has probability density function d fY (y) = fX (h−1 (y)) h−1 (y) dy We will leave it to you to find a similar result for the case when h(x) is decreasing rather than increasing. Then. Note: This transformation technique is actually a special case of a more general technique from calculus. If one considers the function Y = h(X) as a transformation (x) → (y). we have h−1 (a) ≤ h−1 (b). This produces the following relationship between the cumulative distribution function for X and the cumulative distribution function for Y : FY (y) = P [Y ≤ y] = P [h(X) ≤ y] FY (y) = P [h−1 (h(X)) ≤ h−1 (y)] FY (y) = P [X ≤ h−1 (y)] FY (y) = FX (h−1 (y)) To get the relationship between the densities. Suppose h(x) has an inverse and is increasing (or decreasing). If h(x) a strictly increasing function and h(x) has an inverse.

2 to get fY (y) = fX (h−1 (y)) = fX (y 3 ) 1 1 1 d −1 h (y) dy d 1 y3 dy 2 = fX (y 3 )( 1 )y − 3 3 When y < −8 or y > 8 we have y 3 < −2 or y 3 > 2. when solving transformation problems with n variables. the resulting n × n determinant is called the Jacobian of the transformation. So the support for Y is [−8. In those cases. Example: Let X be a continuous random variable with density for X given by fX (x) = |x|/4 if −2 ≤ x ≤ 2 0 otherwise Let Y = h(X) = X 3 . Since h−1 (y) = y 3 . 2]. thus. In calculus. When −8 ≤ y ≤ 8 fY (y) = = = 1 1 1 −2 3 3 4 |y |( 3 )y 1 1 1 3 √ 12 |y | 3 y 2 1 −1 3| 12 |y 1 1 1 . has a nonnegative first derivative with respect to y . 8]. we can use Theorem 5. We can then express the probability density function of Y as fY (y) = fX (h−1 (y))J(y) where J(y) is the following 1 × 1 determinant: J(y) = ∂ −1 ∂x ∂ −1 = h (y) = h (y) ∂y ∂y ∂y since h−1 (y) is also an increasing function of y and.114 Invertible Functions of Continuous Random Variables y = h(x). Solution: The support for X is [−2. Find the probability density function for Y without explicitly finding the cumulative distribution function for Y . That solution is x = h−1 (y). fX (y 3 ) = 0 hence fY (y) is zero.

Let h(X) denote your winnings. the life length of a transistor. E(a) = a if a is a constant.Expected values for functions of random variables 115 Summarizing fY (y) = |y − 3 |/12 if −8 ≤ y ≤ 8 0 otherwise 1 Expected values for functions of random variables Theorem 5. then E(Y ) = E(h(X)) = all x h(x)pX (x) If X is a continuous random variable with probability density function fX (x). −5 x = 0 h(x) = 10 x = 1 Find E(h(X)). Proof. .3. Let Y = h(X).4. Let X = 1 if heads. We are really finding E(h(X)) where h(x) = a for all x. then E(Y ) = E(h(X)) = +∞ −∞ h(x)fX (x) dx Question: Toss a coin. We will provide proofs for both the discrete and continuous cases. your expected winnings. What are your expected earnings? Theorem 5. .. If X is a discrete random variable with probability mass function pX (x). be a continuous random variable with probability density function fX (x) = 2e−2x x ≥ 0 0 otherwise Suppose you earn ln(x) + x2 − 3 dollars if the transistor lasts exactly x hours. . Question: Let X . . X = 0 if tails. Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. 2.

Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. . Proof. Then E(h(X)) = E(aX) = ∞ −∞ ∞ h(x)fX (x) dx axfX (x) dx xfX (x) dx = a(E(X)) = a −∞ ∞ −∞ .116 Expected values for functions of random variables Then E(h(X)) = k h(xk )pk apk k E(a) = = a pk = a(1) = a k Suppose X is a continuous random variable with probability density function fX (x). Then E(h(X)) = k h(xk )pk axk pk k E(aX) = = a xk pk = a(E(X)) k Suppose X is a continuous random variable with probability density function fX (x). E(aX) = aE(X) if a is a constant. .. 2. Then E(h(X)) = E(a) = ∞ −∞ ∞ h(x)fX (x) dx afX (x) dx fX (x) dx = a(1) = a = a −∞ ∞ −∞ Theorem 5.5. We are finding E(h(X)) where h(x) = ax. .

Then E(h(X)) = k h(xk )pk (xk + b)pk = k k E(X + b) = = k (xk pk + bpk ) xk pk + k bpk pk = E(X) + b(1) k = k xk pk + b Suppose X is a continuous random variable with probability density function fX (x). . . Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. E[h1 (X) + h2 (X)] = E[h1 (X)] + E[h2 (X)] for any functions h1 (X) and h2 (X) Proof. Then E(h(X)) = k h(xk )pk . 2. . Proof. We are finding E(h(X)) where h(x) = x + b. . Then E(h(X)) = E(X + b) = = ∞ −∞ ∞ −∞ ∞ −∞ h(x)fX (x) dx (x + b)fX (x) dx = xfX (x) dx + ∞ −∞ ∞ −∞ (xfX (x) + bfX (x)) dx bfX (x) dx = E(X) + b(1) Theorem 5. .6... .Expected values for functions of random variables 117 Theorem 5. Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. E(X + b) = E(X) + b if b is a constant.7. We are finding E(h(X)) where h(x) = h1 (x) + h2 (x). 2.

The quantity E(X k ) is defined as the kth moment about the origin of the random variable X .6.6 is really only a corollary to Theorem 5. Simply use Theorem 5. The kth Moment of X If we let h(x) = xk and consider E[h(X)]. Then E(h(X)) = E[h1 (X) + h2 (X)] = = = ∞ −∞ ∞ −∞ ∞ −∞ ∞ −∞ h(x)fX (x) dx (h1 (x) + h2 (x))fX (x) dx (h1 (x)fX (x) + h2 (fX (x)) dx h1 (x)fX (x) dx + ∞ −∞ h2 (x)fX (x) dx = E[h1 (X)] + E[h2 (X)] Notice in the all of the above proofs the close relationship of Discrete X and Continuous X ∞ and k −∞ P (X = k) = pX (xk ) = pk and P (x ≤ X ≤ x + dx) = fX (x) dx Also notice that Theorem 5.3. . we get the following definition: Definition 5.118 The k th Moment of X E[h1 (X) + h2 (X)] = k [h1 (xk ) + h2 (xk )]pk [h1 (xk )pk + h2 (xk )pk ] k = = k h1 (xk )pk + k h2 (xk )pk = E[h1 (X)] + E[h2 (X)] Suppose X is a continuous random variable with probability density function fX (x).7.7 with h1 (x) = x and h2 (x) = b and you get Theorem 5.

Var(X) = E(X 2 ) − [E(X)]2 Proof. If we let h(x) = (x − E(X))2 and compute E(h(X)) we get a very useful result: Definition 5. Definition 5. Note that Var(X) = for a discrete random variable X .7 from Theorem 5. Notation: We often write E(X) = µX 2 Var(X) = σX Theorem 5. The variance of a random variable X is Var(X) ≡ E[(X − E(X))2 ] .4.Variance 119 Variance Recall that E(X) is simply a number.8.5. and Var(X) = +∞ −∞ (x − E(X))2 pX (x) all x (x − E(X))2 fX (x) dx for a continuous random variable X . The standard deviation of a random variable X is given by σX ≡ Var(X). we get Var(X) = E[(X − E(X))2 ] = E[X 2 − 2XE(X) + [E(X)]2 ] 2 2 expand the square from Theorem 5. Using the properties of expected value. This can be interpreted as the moment of inertia of the probability mass distribution for X . Note: The value of Var(X) is the second moment of the probability distribution about the expected value of X .5 2 = E[X ] + E[−2XE(X)] + E[[E(X)]2 ] = E[X ] − 2E(X)E[X] + E[[E(X)] ] .

Using Theorem 5.8.9.8 Theorem 5. we get Var(aX) = E[(aX)2 ] − [E(aX)]2 = E[a2 X 2 ] − [E(aX)]2 = a2 E[X 2 ] − [aE(X)]2 = a E[X ] − a [E(X)] = a2 Var(X) 2 2 2 2 Using Theorem 5. Var(X + b) = Var(X) Proof.11. Var(aX) = a2 Var(X) Proof. we get Var(X + b) = E[((X + b) − E[X + b])2 ] = E[(X + b − E[X] − b)2 ] = E[(X − E[X])2 ] = Var(X) The proof of the following result is left to the reader: Theorem 5.120 Variance = E[X 2 ] − 2E(X)E[X] + [E(X)]2 = E[X ] − 2[E[X]] + [E(X)] = E[X 2 ] − [E[X]]2 2 2 2 from Theorem 5.4.4 Theorem 5.5 = a2 (E[X 2 ] − [E(X)]2 ) Using Theorem 5. Using Definition 5.10. Let Y = h(X) then Var(Y ) = E [h(X) − E(h(X))]2 Example: Suppose X is a continuous random variable with probability density function 3x2 if 0 ≤ x ≤ 1 fX (x) = 0 otherwise .

1965. Introductory probability theory and statistical applications. This avoids the need for explicitly finding the probability distribution for the random variable Y = h(X) if we are only computing expected values. Meyer. Then (2) (3) 2 h (µ) 2 σ 2 Var(Y ) ≈ [h (µ)]2 σ 2 E(Y ) ≈ h(µ) + Meyer. However.2 We have already shown that. Suppose Y = h(X). . P. Let X be a random variable with E(X) = µ and Var(X) = σ 2 . Addison-Wesley..Approximating E(h(X)) and Var(h(X)) 121 Let Y = h(X) = 1/X . then even using these short-cut methods for computing E(h(X)) and Var(h(X)) may result in difficult integrals. given a random variable X and function Y = h(X). if the function h(·) is very complicated.12. we can compute E(Y ) = E(h(X)) directly using only the probability distribution for X . Then E(Y ) = 0 1 h(x)(3x2 ) dx = = 1 (3x2 ) dx 0 x 3 21 3 x = 2 0 2 3 2 1 Then we can use E(Y ) = E(h(X)) = Var(Y ) = 0 1 to compute (h(x) − E(h(X)))2 (3x2 ) dx = = = 1 3 2 − (3x2 ) dx x 2 0 1 1 3 9 (3x2 ) dx − + 2 x x 4 0 1 1 1 27 3 3 dx − 9x dx + x2 dx = 4 0 0 0 4 1 Approximating E(h(X)) and Var(h(X)) This section is based on material in a text by P. Reading MA. L. we can get good results using the following approximations: Theorem 5. Often.

the number h(µ) is incorrectly interpreted as the expected profit. this will not be the same as h(µ) = h(E(X)). Unless h is linear. believing the result is the expected profit. This is not generally true. For example. h (µ) 2 σ 2 h (µ) 2 h(µ) − E(Y ) ≈ − σ 2 E(Y ) ≈ h(µ) + . Often.122 Approximating E(h(X)) and Var(h(X)) Proof. suppose we are selling a product. (This is only a sketch of the proof. the expected profit is actually E(Y ) = E(h(X)). and the random variable X represents the monthly demand (in terms of the number of items sold). Now suppose. A common mistake when using expected values is to assume that E(h(X)) = h(E(X)).12 provides an approximation for the error if you incorrectly use h(µ) rather than E(h(X)). For the second approximation. Then E(X) = µ represents the expected number of items sold in a month. We obtain. Y = h(X) is the actual profit from selling X items in a month. Equation (2) in Theorem 5. the expected sales figure is “plugged into” the profit function. In fact. Discard the term R2 and take the variance of both sides to get Equation (3). Discard the remainder term R1 and take the expected value of both sides to get Equation (2). Y = h(µ) + (X − µ)h (µ) + (X − µ)2 h (µ) + R1 2 where R1 is the remainder of the expansion.) Expand the function h in a Taylor series about x = µ to two terms. expand h in a Taylor series about x = µ to only one term to get Y = h(µ) + (X − µ)h (µ) + R2 where R2 is the remainder. That is.

6 and 5.012(1 − 0.01 h (15) = 0.005(15))−0. using Theorem 5.000012(1 − 0. This result for the linear case is also provided by Theorems 5.2 .Approximating E(h(X)) and Var(h(X)) 123 Therefore. where T is the temperature of the liquid (degrees centigrade). we will use h(t) = 2(1 − 0. h (x) = 0.8 ≈ 0+ and. Suppose T is a continuous random variable with probability density function fX (x) = 3000t−4 if t ≥ 10 0 otherwise Therefore. the surface tension of a liquid (dyn/cm) is given by the formula S = 2(1 − 0.82 (dyne/cm) Var(S) ≈ 75[h (15)] = 0.2 h (t) = −0. if you incorrectly state that h(µ) is your expected monthly profit. E(T ) = ∞ 10 3000t−3 dt = 15 (degrees centigrade) Var(T ) = E(T 2 ) − (15)2 = ∞ 10 3000t−2 dt − 225 = 75 (degrees centigrade)2 In order to use Equations (2) and (3).005t)−0.8 Since µ = 15. results in E(S) ≈ h(15) + 75h (15) = 1.12.87 2 (dyne/cm)2 . Example: (Meyer) Under certain conditions.005t)1.5. your answer will be wrong by approximately ∆=− h (µ) 2 σ 2 Note that if h is linear.005t)0.2 h (t) = 0.7.000012(1 − 0.82 h (15) = 0. and ∆ = 0. 5. we have h(15) = 1.005T )1.

Theorem 5. the inequality establishes a limit on the amount of probability mass that can be found at distances far away from E(X) (the boondocks3 of the probability distribution). Note that (x − µ)2 ≥ a2 for every x ∈ (−∞. we have (x − µ)2 fX (x) ≥ a2 fX (x). (The proof for X discrete is similar using summations rather than integrals. is applicable for any random variable X with finite variance. Example usage: The o¯ o 1965 Billy Joe Royal Song: “Down in the Boondocks. µ−a −∞ +∞ µ+a (x − µ)2 fX (x) dx ≥ (x − µ)2 fX (x) dx ≥ µ−a −∞ +∞ µ+a a2 fX (x) dx a2 fX (x) dx. Let X be a discrete or continuous random variable with E(X) = µ and Var(X) = σ 2 . We will prove this result when X is a continuous random variable.124 Chebychev’s Inequality Chebychev’s Inequality Chebychev’s inequality.13. Fourth Edition. µ − a] ∪ [µ + a. given in the following Theorem 5.” Source: The American Heritage R Dictionary of the English Language. for all x over this region of integration. Therefore. Then for any a > 0 P (|X − µ| ≥ a) ≤ σ2 a2 Proof.) We have for any a > 0 +∞ σ2 = = (x − µ)2 fX (x) dx −∞ µ−a µ+a +∞ (x − µ)2 fX (x) dx + −∞ µ−a µ−a (x − µ)2 fX (x) dx + µ+a +∞ (x − µ)2 fX (x) dx = −∞ µ−a (x − µ)2 fX (x) dx + something ≥ 0 + µ+a +∞ (x − µ)2 fX (x) dx ≥ −∞ (x − µ)2 fX (x) dx + µ+a (x − µ)2 fX (x) dx µ+a since µ−a (x − µ)2 fX (x) dx ≥ 0. +∞). and 3 boon·docks (b¯ on’d˘ ks’) plural noun. Rural country. For a given Var(X). the backwoods.13. . Houghton Mifflin Company. and fX (x) dx replaced by the probability mass function for X . Hence.

Linda Chattin at Arizona State University for this example. we get σ2 ≥ ≥ µ−a −∞ µ−a −∞ (x − µ)2 fX (x) dx + a2 fX (x) dx + +∞ µ+a +∞ µ+a (x − µ)2 fX (x) dx a2 fX (x) dx = a2 P (X ≤ µ − a) + a2 (P (X ≥ µ + a) = a2 P (|X − µ| ≥ a) Note: X can be discrete. so P (8 < X < 28) = P (8 − 18 < X − 18 < 28 − 18) = P (−10 < X − 18 < 10) = P (|X − 18| < 10) = P (|X − µ| < 10) ≥ 1 − 6.25.9375 102 This is the best statement we can make without knowing more about the distribution for X .25 = 0. What is the probability that there will be between 8 and 28 customers on any given Saturday? Solution We are given E(X) = µ = 18 and Var(X) = σ 2 = 6. the manager. a former EAS305 student.Chebychev’s Inequality 125 So. X .25 respectively. Then for any a > 0 P (|X − µ| < a) ≥ 1 − σ2 a2 Example:4 The number of customers who visit a car dealer’s showroom on a Saturday morning is a random variable. An equivalent way to state Chebychev’s inequality is Let X be a discrete or continuous random variable with E(X) = µ and Var(X) = σ 2 . 4 Thanks to Dr. Using extensive prior experience. has determined that the mean and variance of X are 18 and 6. .

we often say that the sequence { n Xn } converges to p almost surely. .14. the probability that the ratio Xn /n is observed to be “close” to p approaches one. µ and σ . The above result is the weak law of large numbers. as n gets large. There is a related result called the strong law of large numbers that makes a similar (but stronger statement) about the entire sequence of random variables 1 {X1 . Theorem 5. Let an experiment be conducted n times. . 4 X4 . The random variable X is said to have a normal distribution if it has probability density function 1 1 fX (x) = √ e− 2 σ 2π x−µ 2 σ for −∞ < x < ∞ Note that X has two parameters. . and Var(X) = σ 2 . In 1 this case.} 2 3 The strong law states that. 1 X3 . If X ∼ N (µ. The theorem guarantees that. Theorem 5.15. σ 2 ) . The Normal Distribution Definition 5. We often say that “X is distributed normally with mean µ and variance σ 2 ” We write X ∼ N (µ. this sequence converges to p. σ 2 ) then E(X) = µ. 1 X2 .126 The Normal Distribution The Law of Large Numbers This is an important application of Chebychev’s inequality. with probability one.6. Let Xn ≡ number of times the event A occurs p ≡ P (A) Then for any > 0 n→∞ lim P Xn −p < n = 1. with each outcome of the experiment independent of all others.

to an equivalent probability statement involving only a normal random variable with mean zero and variance one. Therefore. We denote the cumulative distribution function for Z by Φ(a) = P (Z ≤ a). the probability density function for X is 1 x−µ 2 1 for −∞ < x < ∞ fX (x) = √ e− 2 σ σ 2π Define the function x−µ h(x) = σ ..16. Z . σ 2 ). In other words. 1) probabilities. such as P (X ≤ a). Such a table is provided in Table I of Appendix A. 1). We can then refer to a table of N (0. If X ∼ N (µ. then the random variable Z= X −µ ∼ N (0. Z ∼ N (0. there is an important property of the normal distribution that allows us to convert any probability statement. and thus avoid numerically integrating Equation 4 for every conceivable pair of values µ and σ .The Normal Distribution 127 One of the amazing facts about the normal distribution is that the cumulative distribution function (4) FX (a) = a −∞ 1 1 √ e− 2 σ 2π x−µ 2 σ dx does not exist in closed form. 1). Suppose X ∼ N (µ.e. Theorem 5. Definition 5. σ 2 ). has probability density function 1 2 1 φ(z) = √ e− 2 z 2π i. The standard normal random variable.7. σ 2 ). σ Proof. there exists no function in closed form whose derivative is 1 1 fX (x) = √ e− 2 σ 2π x−µ 2 σ The only way to compute probabilities for normally distributed random variables is to evaluate the cumulative distribution function in Equation 4 using numerical integration. If X ∼ N (µ.

16 tells us three things about Z = σ 1. Theorem 5. We have E(Z) = E X −µ σ . Var(Z) = 1. nonzero variance Var(X) = σ 2 . Z has a normal distribution Actually.128 The Normal Distribution Note that z = h(x) is an invertible. the first two results would be true even if X did not have a normal distribution: Lemma 5. σ Then E(Z) = 0 and Var(Z) = 1. Suppose X is any random variable with finite mean E(X) = µ and finite. Proof. and 3.17. σ 2 ). the probability density function for the random variable Z = h(X) is fZ (z) = fX (h−1 (z)) = = d −1 h (z) dz 1 (σz+µ)−µ 2 1 σ √ e− 2 σ for −∞ < σz + µ < ∞ σ 2π 1 2 1 √ e− 2 z for −∞ < z < ∞ 2π Note that we couldn’t use the cumulative distribution function of X to find the cumulative distribution function of Z since neither cumulative distribution function exists in closed form. Define the random variable Z= X −µ .2. increasing function of x with h−1 (z) = σz + µ d −1 h (z) = σ dz Using Theorem 5. E(Z) = 0 2. X −µ If X ∼ N (µ.

then the function Y = h(X) is strictly increasing and if a < 0. in Theorem 5. then the linear transformation of X . σ 2 ).) With a little additional work we can show that id X is normally distributed. If X ∼ N (µ.2. When we perform the above transformation (i. A distribution that has zero mean and unit variance is said to be in standard form. . then for any constants a = 0 and b. This fact is provided by the following theorem: Theorem 5.16 is that if X is normally distributed.The Normal Distribution 129 = E = = = 1 (X − µ) σ 1 E[X − µ] σ 1 (E[X] − µ) σ 1 (0) = 0 σ and Var(Z) = Var X −µ σ 1 = Var (X − µ) σ 1 Var[X − µ] = σ2 1 = Var[X] = 1 σ2 So. What is important in Theorem 5. it is no surprise that. we say we are standardizing the distribution of X .16. X −µ Z= σ is also normally distributed. the function Y = h(X) is strictly decreasing. E(Z) = 0 and Var(Z) = 1.18.. a2 σ 2 ). then any linear function h(X) = aX + b is also normally distributed as long as a = 0. Proof. Z = (X − µ)/σ ). the random variable Y = aX + b ∼ N (aµ + b. This is just a special case of Theorem 5. If a > 0.e. namely.

130

The Normal Distribution

We know

1 1 fX (x) = √ e− 2 σ 2π

x−µ 2 σ

Suppose a > 0, then
FY (y) = P (Y ≤ y) = P (aX + b ≤ y) y−b = P X≤ a y−b = FX a

Take derivatives on both sides and use the chain rule to obtain d y−b d fY (y) = FY (y) = FX dy dy a y−b 1 = fX a a
= =

1 √ e σ 2π 1 1 √ e− 2 aσ 2π

−1 2

y−b a −µ σ

2

1 a

y−(aµ+b) 2 aσ

Hence, Y ∼ N (aµ + b, a2 σ 2 ). Now suppose a < 0, then
FY (y) = P (Y ≤ y) = P (aX + b ≤ y) y−b = P X≥ a y−b y−b = P X> +P X = a a y−b y−b +P X = = 1 − FX a a = and since X is continuous. . . y−b +0 = 1 − FX a

Take derivatives on both sides and use the chain rule to obtain d d y−b fY (y) = FY (y) = 1 − FX dy dy a

The Normal Distribution
y−b 1 a a and remembering that a < 0 . . .
1 −2 y−b a −µ σ 2

131

= −fX

=

1 1 √ e −a σ 2π 1 y−(aµ+b) 2 1 aσ √ e− 2 = −aσ 2π and since a2 = (−a)2 . . . 1 y−(aµ+b) 2 1 √ e− 2 −aσ = −aσ 2π

So, again, we have Y ∼ N (aµ + b, a2 σ 2 ). Question: What happens to the probability distribution of Y = aX + b when a = 0? Linear transformations rarely preserve the “shape” of the probability distribution. For example, if X is exponentially distributed, Z would not be exponentially distributed. If X was a Poisson random variable, Z would not be a Poisson random variable. But, as provided by Theorem 5.16, if X is normally distributed, then Z is also normally distributed. (See Question 5.6 to see that the uniform distribution is preserved under linear transformations.) Tools for using the standard normal tables
P (Z ≤ a) = Φ(a) is given in the tables for various values of a. It can be shown that since Z is a continuous random variable and the probability density function for Z is symmetric about zero, we have

Φ(a) = 1 − Φ(−a). Example: Suppose X ∼ N (0, 4). Let’s find P (X ≤ 1).
P (X ≤ 1) = P (X − 0 ≤ 1 − 0) X −0 1−0 = P ≤ 2 2

Since X ∼ N (0, 4) we know from Theorem 5.16 that
Z= X −0 2 ∼ N (0, 1)

132

The Normal Distribution

so, using Table I in Appendix A, we have
P (X ≤ 1) = P Z ≤ = P Z≤

1−0 2
1 2

= 0.6915

This is the area shown in the following figure:
0.5 0.4 0.3

φ(z ) φ( )

0.2 0.1 0.0 -2.0 -1.8 -1.6 -1.4 -1.2 -1.1 -0.9 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 1.0 1.2 1.4 1.6 1.8 2.0

z

Example: Suppose X ∼ N (2, 9). Let’s find P (0 ≤ X ≤ 3).
P (0 ≤ X ≤ 3) = P (0 − 2 ≤ X − 2 ≤ 3 − 2) X −2 3−2 0−2 ≤ ≤ = P 3 3 3

Since X ∼ N (2, 9) we know that
Z= X −2 3 ∼ N (0, 1)

Hence,
2 P (0 ≤ X ≤ 3) = P − 3 ≤ Z ≤ 1 3

= P Z≤

1 3

− P Z < −2 3

Since the N (0, 1) distribution is symmetric about zero,
P Z < −2 = P Z > 3
2 3

=1−P Z ≤

2 3

Finally, from Table I, we get
P (0 ≤ X ≤ 3) = P Z ≤
1 3

− 1−P Z ≤

2 3

= 0.63 − (1 − 0.75) = 0.38

Self-Test Exercises for Chapter 5

133

which is the area shown in the following figure:
0.5 0.4 0.3

φ(z ) φ( )

0.2 0.1 0.0 -2.0 -1.8 -1.6 -1.4 -1.2 -1.1 -0.9 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 1.0 1.2 1.4 1.6 1.8 2.0

z

Self-Test Exercises for Chapter 5
For each of the following multiple-choice questions, choose the best response among those provided. Answers can be found in Appendix B. S5.1 Let X be a continuous random variable with probability density function
fX (x) =
1 2

0

if −1 ≤ x ≤ 1 otherwise.

The value of P (X 2 ≥ 1 ) is 4 (A) 0 (B) (C)
1 4 1 2

(D) 1 (E) none of the above. S5.2 Let X be a random variable with E(X) = 0 and E(X 2 ) = 2. Then the value of E[X(1 − X)] is (A) −2 (B) 0 (C) 1 (D) 2 (E) Var(X)

134

Self-Test Exercises for Chapter 5

(F) none of the above. S5.3 Let X be a random variable with E(X) = 1 and E(X 2 ) = 2. Then Var(X) equals (A) −1 (B) 0 (C) 1 (D) 3 (E) none of the above. S5.4 Suppose that X is a continuous random variable with P (X < −2) = P (X < 2) = 1 . Then P (X 2 ≤ 4) equals. 2 (A) (B) (C)
1 4 1 2 3 4 1 4

and

(D) 1 (E) none of the above. S5.5 Let X be a random variable with E(X) = 2. Then E[(X − 2)2 ] equals (A) 0 (B) 2 (C) Var(X) (D) E(X 2 ) (E) none of the above. S5.6 Let X be a random variable with cumulative distribution function if x < 0 x if 0 ≤ x ≤ 1 FX (x) =   1 if x > 1 Then P (3X ≤ 1) equals (A) 1/6
  0 

S5. −1. S5.Self-Test Exercises for Chapter 5 135 (B) 1/4 (C) 1/3 (D) 1/2 (E) none of the above. The value of P (X 2 = 1) is 2 (A) p2 (B) 2p (C) (1 − 2p)2 (D) 1 (E) none of the above. 1 or 2 0 otherwise 1 Let Y = 1/X .7 Let X be a discrete random variable with probability mass function pX (−1) = p pX (0) = 1 − 2p pX (1) = p where 0 < p < 1 .9 Let X be a continuous random variable with probability density function fX (x) = 1/4 if −2 ≤ x ≤ 2 0 otherwise 1 Let Y = 1/X .8 Let X be a discrete random variable with probability mass function pX (x) = 1/4 if x = −2. Then P (Y ≤ 2 ) equals . Then P (Y ≤ 2 ) equals (A) 0 (B) 1/4 (C) 3/4 (D) 1 (E) none of the above. S5.

Then P (X 2 ≥ 0) equals (A) 0 .136 Self-Test Exercises for Chapter 5 (A) 0 (B) 1/2 (C) 3/4 (D) 1 (E) none of the above. S5.12 Suppose that X is a random variable with P (X > 0) = r where 0 < r < 1.11 Let X be a continuous random variable with probability density function fX (x) = if −1 ≤ x ≤ 1 0 otherwise 1 2 Then P (|X| ≤ 1 ) equals 4 (A) 0 (B) 1/4 (C) 1/2 (D) 1 (E) none of the above. S5. S5.10 Let X be a random variable with P (X < −1) = 1/4 P (X ≤ +1) = 3/4 Then P (|X| > 1) equals (A) 1/4 (B) 1/2 (C) 3/4 (D) 1 (E) none of the above.

At the beginning of the day. Then E(X 2 ) equals (A) 0 (B) α (C) α2 (D) α + α2 (E) none of the above. The expected daily profit from chocolate cake is equal to . where α > 0. Let Y denote your actual net amount won (which may be negative).Self-Test Exercises for Chapter 5 √ r 137 (B) (C) r (D) 1 (E) none of the above. The cake is sold for $5.13 Suppose X is a random variable with E(X) = α and Var(X) = α.00 a cake and all unsold chocolate cakes are thrown away at the end of the day. the bakery owner bakes two chocolate cakes at a cost of $2. S5. Then P (Y ≥ 0) equals (A) 2/3 (B) 848/1024 (C) 904/1024 (D) 1 (E) none of the above. S5. Suppose you win $2 for every head and lose $1 for every tail.00 per cake.1 where X represents the number of cakes requested by customers. S5.15 The daily demand for chocolate cake in a neighborhood bakery is a random variable X with probability mass function given by pX (0) = 0.2 pX (2) = 0. with each outcome independent of the others.2 pX (1) = 0.5 pX (3) = 0.14 A fair coin is tossed 10 times.

00. The manufacturer sells the item for $5.2 pX (1) = 0. The bread is sold for 50 cents a loaf and all unsold loaves are thrown away at the end of the day.50 (C) $2. the store owner bakes two loaves of rye bread at a cost of 20 cents per loaf. S5.2 pX (2) = 0.16 The daily demand for rye bread in a corner grocery store is a random variable X with probability mass function given by pX (0) = 0.138 Self-Test Exercises for Chapter 5 (A) 0 (B) $1. What is the manufacturer’s expected profit per item? (A) 5e−1 (B) 2e−1 (C) −2 + 5e−1 . The expected daily profit from rye bread is equal to (A) 0 (B) 20 cents (C) 30 cents (D) 40 cents (E) none of the above.00.00 (E) none of the above.17 Suppose that an electronic device has a life length X (in units of 1000 hours) that is considered a continuous random variable with probability density function fX (x) = e−x 0 if x > 0 otherwise Suppose that the cost of manufacturing one such item is $2.6 At the beginning of the day.00 (D) $3. S5. but guarantees a total refund if X ≤ 1.

Self-Test Exercises for Chapter 5 139 (D) 5 − 2e−1 (E) none of the above.18 Let X be a random variable with E(X) = 2 and E(X 2 ) = 5. S5. S5. Then Var(X) equals (A) 1 (B) 3 (C) 7 (D) 9 (E) none of the above.19 Let X be a random variable with E(X) = 1 and Var(X) = 4 then E((X − 1)2 ) equals (A) 0 (B) 1 (C) 4 (D) 16 (E) none of the above. The value of E(Y ) is (A) 0 (B) 3/2 (C) 1 (D) 3 (E) none of the above. You win $2 for each head that appears. Let Y denote your earnings after 3 tosses.20 A fair coin is tossed 3 times. and you lose $1 for each tail that appears. . S5.

22 Let X be a normally distributed random variable with E(X) = 3 and Var(X) = 9.140 Self-Test Exercises for Chapter 5 S5. Consider the random variable X −µ .23 If Y is a random variable with P (Y ≥ 0) = p. Y = σ Which of the following are always true: (A) E(Y ) = 0 and Var(Y ) = 1 (B) Y has a normal distribution (C) P (Y > 0) = 1/2 (D) all of the above are true.5 (D) 0 (E) none of the above.8413 (E) none of the above S5. S5.5 (D) 0. (E) none of the above are true. Then the value of E(|X|) is (A) 0 . then P (−2Y < 0) equals (A) p (B) 1 − p (C) 0. Then P (X < 0) equals (A) 0 (B) 0.24 Let X be a random variable with P (X = −1) = 0.21 Let X be any random variable with E(X) = µ and Var(X) = σ 2 . S5.5.5 and P (X = +1) = 0.1587 (C) 0.

P (|X| ≤ 1) equals (A) 0. S5.Self-Test Exercises for Chapter 5 141 (B) 0.1826 (C) 0. S5. Let Y denote the reward for any one customer. The value of E(Y ). Then. is (A) 0 (B) 5 (C) 10 (D) 10e−25 (E) none of the above.3413 (E) none of the above.3174 (D) 0. S5.1528 (B) 0.5 (C) 1 (D) 2 (E) none of the above are true.27 Suppose X is a continuous random variable with cumulative distribution function   0 if x < 0  2 x if 0 ≤ x ≤ 1 FX (x) =   1 if x > 1 .25 The time to wait for service in the El Gasso Mexican Restaurant is a continuous random variable X (in minutes) with probability density function fX (x) = 5e−5x 0 x≥0 otherwise The restaurant will pay a customer a $10 reward if they wait more than 5 minutes for service. the expected reward.26 Suppose that the random variable X has a normal distribution with mean 1 and variance 4.

50 (E) none of the above. .142 Questions for Chapter 5 Let ln(x) denote the natural logarithm of x.50)) equals (A) 0 (B) 0. Define the random variable Y = ln(X). how much should he expect to pay in refunds? (A) $2706.293. (a) Find the probability density function for the random variable Y = h(X) = 1/X . Then P (Y < ln(0.28 The life length X (in years) of a printer costing $200 is a continuous random variable with probability density function fX (x) = e−x if x ≥ 0 0 otherwise The manufacturer agrees to pay a full refund to the buyer if the printer fails within the first year.1 Let X be the random variable with probability density function fX (x) = 3 2 (1 0 − x2 ) if 0 ≤ x ≤ 1 otherwise Let h(x) = 1/x.71 (B) $7357.50 √ (D) 0.642. S5. If the manufacturer sells 100 printers.41 (D) $17.29 (E) none of the above. Questions for Chapter 5 5. E(h(X)) and h(E(X)).59 (C) $12.25 (C) 0. (b) Find E(X).

(b) Determine the cumulative distribution function for X . (b) Find E(X). (c) Find Var(X). of a commodity is a continuous random variable with the following probability density function   ax if 0 ≤ x ≤ 1  fX (x) =   0 a if 1 < x ≤ 2 otherwise (a) Determine the value of a. X . E(h(X)) and h(E(X)).5). (a) Find the probability density function for the random variable Y = h(X) = ln X . 5. (d) Compute E(X) and Var(X).Questions for Chapter 5 143 (c) Find Var(X). 5. (c) Find Var(X). (c) Compute P (2X 2 ≤ 0.4 The price. 9 (b) Find E(X).2 Let X be the random variable with probability density function fX (x) = 2/x2 if 1 ≤ x ≤ 2 0 otherwise Let h(x) = ln x. 9 (a) Find the probability density function for the random variable Y = h(X) = 4 X . .3 Let X be the random variable with probability density function fX (x) = 3√ 2 x 0 if 0 ≤ x ≤ 1 otherwise Let h(x) = 4 x. E(h(X)) and h(E(X)). 5.

Find the probability density function for the random variable Y = X 3 . The manufacturer sells the item for $5. suppose the cumulative distribution function of X is given by  if x < a  0   x−a if a ≤ x ≤ b FX (x) =  b−a   1 if x > b. let X be the random variable with probability density function 3x2 if 0 ≤ x ≤ 1 fX (x) = 0 otherwise (a) Find the probability density function for the random variable Y = h(X) = 1/X .5 using the actual probability density function for Y . Show that Z also has a uniform distribution. Note: The integral for fX (x) does not exist in closed form. 5. (b) Using the probability density function for Y find E(Y ) and Var(Y ).8 Suppose that an electronic device has a life length X (in units of 1000 hours) that is considered as a continuous random variable with probability density function: e−x x>0 fX (x) = 0 otherwise Suppose that the cost of manufacturing one such item is $2. Note: Be careful of the case where s < 0. where a < b.00.144 Questions for Chapter 5 5.6 (†) Let X be a uniformly distributed random variable on the interval [a. That is. 5.9. The results should be the same as Example 5. X −r s Where r and s are non-zero constants.5 Let X be a random variable with the following probability density function: 1 2 fX (x) = √ e−x /2 2π for −∞ < x < ∞ The is the normal distribution with parameters µ = 0 and σ 2 = 1. In other words.7 Verify the results of Example 5. What is the manufacturer’s expected profit per item? .00 but guarantees a total refund if X ≤ 0.5. b]. Z= Let 5.

The examination consists of 4 multiple choice questions. (a) Using the fact that Var(X). Billy plans to answer the questions randomly by rolling a fair die for each question and choosing the response associated with the number rolled. (a) What is the expected number of tosses required to obtain the first head? (b) What is Mary’s entry fee? Is this fair? Why? 5. To make the game fair. where Y = X 2 + 1. 5. Let X denote the number of questions correctly answered by Billy. what is Billy’s expected score? .10 Let X be a random variable with density   2 fX (x) = x2  0 d dx 1≤x≤2 otherwise 1 x.9 Suppose that the continuous random variable X has a probability density function given by   √1 e−x2 fX (x) = 2π  −∞ ≤ x ≤ +∞ 0 otherwise Let Y = X 2 .Questions for Chapter 5 145 5. Each question has 6 possible answers from which to choose. Evaluate E(Y ). Mary will pay an “entry fee” in advance to John equal to her expected winnings. when the first head appears). Therefore. Bill Bell.12 Due to pressing social commitments. ln(x) = compute E(X) and (b) Compute E(Y ).e. 5. Mary’s entry fee will be E(2X ). John will pay Mary 2X dollars when the game is over (i. (a) What is the probability mass function for the random variable X? (b) If the professor assigns a credit of ten points for every correct answer and deducts one point for every incorrect answer. was not able to study for an examination.. X .11 John and Mary play a game by tossing a fair coin repeatedly and betting on the number of tosses required. only one of which is correct. to obtain the first head. an industrial engineering student.

00. That is. and has a uniform distribution on the interval (36. then E(X(X − 1)) equals zero.13 Let X be the number of dots obtained when a fair. if the store owner decides to bake one loaf (i. 2 5.e. common six-sided die is tossed. it is considered unsatisfactory and thrown away.6 At the beginning of the day.146 Questions for Chapter 5 (c) The professor deducts points for wrong answers in order to discourage random guessing. What is the expected selling price of an article? 5. how many points should be deducted for each wrong answer so that Billy’s expected score from guessing is zero? 5.00. σX ).15 If X is a random variable with P (X = −2) = what is the value of E(|X|)? 1 2 and P (X = +2) = 1 . If 10 points are credited for each correct answer. . For what number α is E(X(α − X)) zero? 5.14 (True or False) If X is a random variable with E(X) = 1. 56). the store owner bakes k loaves of bread at a cost of 20 cents for the first loaf and 10 cents for each additional loaf. If its weight is greater than 44 ounces and less than 52 ounces. Y is log-normal if and only if ln(Y ) is normal. pX (1) = 0..18 A distribution closely related to the normal distribution is the log-normal 2 distribution. If the weight of the article is less than 44 ounces. k = 1). 5. Find the probability density function for Y . Let Y = eX .3. The bread is sold for 30 cents a loaf and all unsold loaves are thrown away at the end of the day. it is sold for $15. Then Y is said to have a log-normal distribution. Justify your answer. pX (2) = 0.1. (b) How many loaves should the grocer bake per day to maximize his expected profit? 5. If its weight is greater than 52 ounces. Suppose that X ∼ N (µX .16 The daily demand for pumpernickel bread in a corner grocery store is a random variable X with probability mass function given by pX (0) = 0. it is sold for $12. R. (a) Determine the probability distribution for the daily profit.17 A random variable X represents the weight (in ounces) of an article.

by 50%. (a) What proportion of the resistors must be scrapped? (b) The company is considering the purchase of a new highprecision machine that will reduce the above production .Questions for Chapter 5 147 Note: For this question. The specifications call for X to be between 30 and 35 percent.19 A rocket fuel is to contain a certain percent (say X ) of a particular additive. The relationship between the moments of X and the moments of Y is given by µX 2 σX = ln(µY ) − = ln 2 1 σY 1 2 ln + 1 = ln(µY ) − σX 2 2 2 µY 2 σY +1 µ2 Y Examples of random variables that may be represented by the log-normal distribution are river flows.10 per gallon  T (X) = $0.05 per gallon   -$0. If a resistor has a resistance between 950 and 1050 ohms. 9). The actual resistance of each resistor is a normally distributed random variable with mean resistance of 1000 ohms and a variance of 625 ohms2 . your answer is in terms of µX and σX . The manufacturer will make a net profit on the fuel (per gallon) which is the following function of X :   $0. the size of an organism subject to a number of small impulses. and the length of life of certain items. evaluate E(T ). the diameter of a small particle after a crushing process. These are not the expected value and standard deviation of Y . He intends to do this by increasing his profit (per gallon) on those batches of fuel meeting the specification 30 < X < 35.10 per gallon if 30 < X < 35 if 35 < X < 40 or 25 < X ≤ 30 otherwise (a) If X ∼ N (33. (b) Suppose that the manufacturer wants to increase his expected profit.20 The Youbee Resistor Company uses a machine to produce resistors. What must his new profit function be in order to achieve this goal? 5. 5. The cost of producing one resistor is 10 cents. it can be sold for 25 cents. otherwise it is scrapped. E(T ).

975. What is the probability that a sample of fabric. = 0. . the above model (apparently not valid in view of the objection just raised) assigns negligible probability to the event {X < 0}. chosen at random. σ 2 ). What would E(X) have to be so that P (X < 0) = 0. In the above example. It is obvious that X .10? 5. you will announce that a signal is present.22 Let Xi ∼ N (µ. the strength of cotton fabric. 5.841. will have a normal distribution with mean 10 and variance 9. If a signal is present when the button is pressed.148 Questions for Chapter 5 variance to 400 ohms2 (the mean remains the same). will be defective? Note: An immediate objection to the use of the normal distribution may be raised here. is normally distributed with E(X) = 165 and Var(X) = 9. X . Nevertheless.21 Suppose that the breaking strength of cotton fabric (in pounds).95. That is P (X < 0) ≈ 0. If only noise is present. If the company wishes to maximize expected profit. that we hold Var(X) fixed at 9. the cost of producing each resistor will increase to 15 cents if the company decides to purchase the machine (the new machine’s capital cost is included in this production cost).10? Suppose. Otherwise. As long as the parameters µ and σ 2 are chosen so that P (X < 0) is essentially zero. Assume furthermore that a sample of this fabric is considered to be defective if X ≤ 162. you will say only noise is present. Although the selling price of resistors would remain the same. say X . However. Find k such that P (X > µ − kσ) = 0. the reading will have a normal distribution with mean 5 and variance 9. should the new machine be purchased? 5. You settle on the following signal detection rule: If the reading is 7 or greater.23 A measuring device provides a reading on a continuous scale whenever a button is pressed. suppose we hold E(X) fixed at 165. Compute this probability to verify this property for yourself in the above example. the reading. on the other hand. such a representation may work.99. = 0. = 0. What would Var(X) have to equal so that P (X < 0) = 0. cannot take on negative values. a normally distributed random variable may be observed to take on any positive or negative value. This situation will occur frequently: A certain random variable that we know cannot take on negative values will be assumed to have a normal distribution anyway.

Questions for Chapter 5

149

(a) If a signal is truly present, and you use the above rule, what is the probability that your announcement is wrong? If only noise is really present, what is the probability that your announcement is wrong? (b) Suppose that the probability that a signal is truly present when the button is pressed is 0.25. If your reading is greater than 7, what is the probability that a signal is really present? (c) The value, 7, is called the threshold. What should this value be changed to so that your two answers for question (a) are equal? 5.24 An electronic device has a life length X (in years) that is considered a continuous random variable with probability density function
fX (x) = x/2 0

if 0 < x < 2 otherwise

(a) Find P (X > 1). (b) Find E(X). (c) Suppose that the cost of manufacturing one such item is $2.00. The manufacturer sells the item for $10.00, but guarantees a total refund if X ≤ 1. What is the manufacturer’s expected profit per item? (d) Suppose that the cost of manufacturing one such item is $2.00 and the customer is guaranteed a total refund if X ≤ 1. What should be the manufacturer’s selling price in order to provide an expected profit of $4.00 per item? 5.25 The reading of a water level meter is a continuous random variable X with probability density function
fX (x) =

1/4 0

if −2 < x < 2 otherwise

(a) Find P (X ≤ 1). (b) Find P (|X| ≤ 1). (c) Find E(X).

150

Questions for Chapter 5

(d) Find Var(X). (e) Let Y = X 2 . Find the cumulative distribution function for Y. 5.26 The daily demand for pumpkin pies at a corner grocery store is a random variable with probability mass function
  1 

pX (k) =

4 16 k   0

for k = 0, 1, 2, 3, 4 otherwise

The cost of baking one pumpkin pie is $1.00. The store sells the pies for $3.00, each. At the beginning of every day, the store manager must decide how many pies to bake. At the end of the day, any unsold pies are thrown away. If the demand for pies exceeds the supply, you can only sell those pies that you have already baked for that day. The additional customers leave unsatisfied. (a) Find P (X > 0). (b) Find E(X). (c) Find Var(X). (d) If the manager decides to bake three pies, what is the expected profit for that day? 5.27 The input voltage for an electronic component is a continuous random variable X with probability density function
fX (x) =

1/3 0

if −1 < x < 2 otherwise

(a) Find P (X ≤ 1). (b) Find P (X 2 ≤ 0.25). (c) Find E(X 2 ). (d) Let Y = 2X . Find the cumulative distribution function for Y. 5.28 The Youbee Mine has been used to mine gold ore for several years. The mass (in grams) of actual gold in one cubic centimeter of ore is a random variable

Questions for Chapter 5

151

X with probability density function fX (x) = cx3 0

if 0 < x < 1 otherwise

(a) Find the value of the constant c. (b) Find the cumulative distribution function for X and sketch a graph of the cumulative distribution function. (c) Each cubic centimeter or ore is worth $5 if it has more than 1 2 gram of gold. It is worth $0 otherwise. Let Y be a random variable denoting the value of a cubic centimeter of ore selected at random. What is the probability mass function for Y ? 5.29 Let X be a continuous random variable with probability density function
fX (x) =

1/3 0

if −1 < x < 2 otherwise

Let Y = X 2 . Find the cumulative distribution function for Y . 5.30 Let X be a continuous random variable with probability density function
fX (x) =

1 0

if −1 < x < 0 otherwise

Let Y = X 2 . Find P (Y ≤ 0.25). 5.31 Let X be a continuous random variable with probability density function
  a(1 + x) 

fX (x) =

  0

a(1 − x)

if −1 ≤ x < 0 if 0 ≤ x ≤ 1 otherwise

(a) Prove that the value of a must be 1. Use a clear mathematical presentation to show why this must be true. (b) Find P (X ≤ 0.5). (c) Find P (X 2 ≤ 0.25). (d) Find the cumulative distribution function for X .

152

Questions for Chapter 5

5.32 A person accused of a crime is being questioned by the police. A new “lie detector” device is being used that measures the amount of stress in a person’s voice. When the person speaks, the device gives a reading, X . If the person is telling the truth, then X ∼ N (2, 1). If the person is lying, then X ∼ N (4, 1). Therefore, the mean (expected) stress level of a person’s voice increases if he is lying. (a) The police decide on the following rule: If a person’s voice stress exceeds 4 when he is answering a question, conclude that he is lying. What is the probability of incorrectly accusing person of lying when he is telling the truth? (b) When the suspect was originally brought in for questioning, the police thought there was only a 50% chance that he was guilty of the crime. The police ask him the question, “Did you commit the crime?” The suspect replies, “No.” The reading on the voice stress meter exceeds 4. What is the probability that he committed the crime? 5.33 Consider a random variable X with possible outcomes, 0, 1, 2, . . . Suppose that P (X = k) = (1 − a)(ak ) for k = 0, 1, 2, . . . (a) Identify all permissible values for the constant a. (b) Show that for any two positive integers, m and n,
P (X > m + n | X > m) = P (X ≥ n).

5.34 Check whether the mean and the variance of the following distributions exist: (a)
fX (x) =

2x−3 0

x≥1 otherwise

(b) (The Cauchy distribution) a is a positive constant.
fX (x) = a π(a2 + x2 ) −∞ < x < ∞.

Questions for Chapter 5

153

5.35 Diameters of bearings in mass production are normally distributed with mean 0.25 inch and standard deviation 0.01 inch. Bearing specifications call for diameters of 0.24 ± 0.02 inch. What is the probability of a defective bearing being produced? 5.36 Suppose that the continuous random variable X has a probability density function given by
  √2 e−x2 fX (x) = 2π 

x≥0

0

otherwise

Let Y = X 2 . Evaluate E(Y ). 5.37 Suppose that the life lengths of two electronic devices, D1 and D2 , have distributions N (40, 36) and N (45, 9), respectively. If the electronic device is to be used for a 45-hour period, which device is to be preferred? If it is to be used for a 50-hour period, which device is to be preferred? 5.38 (†) Suppose random variable Z has a standard normal density function
φ(z) =
1 2 √1 e− 2 z 2π

for −∞ < z < ∞

Let Y = Z 2 . Find the probability density function for Y . (We say that Y has a Chi-square distribution with one degree of freedom.) Warning: Y is not strictly increasing or strictly decreasing.

154 Questions for Chapter 5 .

” 155 . We would like to extend the notion of a random variable to deal with an experiment that results in several observations each time the experiment is run. Definition The first thing we must do is to precisely define what we mean by “an array of random variables. Another question that we might like to have answered is. For example. let T be a random variable representing tomorrow’s maximum temperature and let R be a random variable representing tomorrow’s total rainfall. In other words. wind direction. relative humidity and temperature.1 inch. tomorrow’s weather is really best described by an array of random variables that includes wind speed. In this chapter.6 RANDOM VECTORS Basic Concepts Often. we wish to determine the probability of the event A = {T > 70.1}. It would not be either easy or desirable to attempt to combine all of this information into a single measurement. R < 0. we would need to compute the probability of the event B = {T > 70}. It would be reasonable to ask for the probability that tomorrow’s temperature is greater than 70◦ and tomorrow’s total rainfall is less than 0. “What is the probability that the temperature will be greater than 70◦ regardless of the rainfall?” To answer this question. we will build on our probability model and extend our definition of a random variable to permit such calculations. For example. a single random variable cannot adequately provide all of the information needed about the outcome of an experiment. atmospheric pressure.

156

Definition

y
ω
3 2 1 1 2 3 (4,1)

4

5

x

Figure 6.1: A mapping using (X1 , X2 ) Definition 6.1. Let Ω be a sample space. An n-dimensional random variable or random vector, X1 (·), X2 (·), . . . , Xn (·) , is a vector of functions that assigns to each point ω ∈ Ω a point X1 (ω), X2 (ω), . . . , Xn (ω) in n-dimensional Euclidean space. Example: Consider an experiment where a die is rolled twice. Let X1 denote the number of the first roll, and X2 the number of the second roll. Then (X1 , X2 ) is a two-dimensional random vector. A possible sample point in Ω is

that is mapped into the point (4, 1) as shown in Figure 6.1.

Joint Distributions

157

(x,y)

Figure 6.2: The region representing the event P (X ≤ x, Y ≤ y).

Joint Distributions
Now that we know the definition of a random vector, we can begin to use it to assign probabilities to events. For any random vector, we can define a joint cumulative distribution function for all of the components as follows: Definition 6.2. Let (X1 , X2 , . . . , Xn ) be a random vector. The joint cumulative distribution function for this random vector is given by
FX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ) ≡ P (X1 ≤ x1 , X2 ≤ x2 , . . . , Xn ≤ xn ).

In the two-dimensional case, the joint cumulative distribution function for the random vector (X, Y ) evaluated at the point (x, y), namely
FX,Y (x, y),

is the probability that the experiment results in a two-dimensional value within the shaded region shown in Figure 6.2. Every joint cumulative distribution function must posses the following properties: 1.
all xi →−∞

lim

FX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ) = 0

158

Discrete Distributions

x2 6 5 4 3 2 1 1 2 3 4 5 6 x1

Figure 6.3: The possible outcomes from rolling a die twice. 2. lim
FX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ) = 1

all xi →+∞

3. As xi varies, with all other xj ’s (j = i) fixed,
FX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn )

is a nondecreasing function of xi . As in the case of one-dimensional random variables, we shall identify two major classifications of vector-valued random variables: discrete and continuous. Although there are many common properties between these two types, we shall discuss each separately.

Discrete Distributions
A random vector that can only assume at most a countable collection of discrete values is said to be discrete. As an example, consider once again the example on page 156 where a die is rolled twice. The possible values for either X1 or X2 are in the set {1, 2, 3, 4, 5, 6}. Hence, the random vector (X1 , X2 ) can only take on one of the 36 values shown in Figure 6.3. If the die is fair, then each of the points can be considered to have a probability

Continuous Distributions

159

1 mass of 36 . This prompts us to define a joint probability mass function for this type of random vector, as follows:

Definition 6.3. Let (X1 , X2 , . . . Xn ) be a discrete random vector. Then
pX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ) ≡ P (X1 = x1 , X2 = x2 , . . . , Xn = xn ).

is the joint probability mass function for the random vector (X1 , X2 , . . . , Xn ). Referring again to the example on page 156, we find that the joint probability mass function for (X1 , X2 ) is given by
pX1 ,X2 (x1 , x2 ) =
1 36

for x1 = 1, 2, . . . , 6 and x2 = 1, 2, . . . , 6

Note that for any probability mass function,
FX1 ,X2 ,...,Xn (b1 , b2 , . . . , bn ) =
x1 ≤b1 x2 ≤b2

···
xn ≤bn

pX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ).

Therefore, if we wished to evaluate FX1 ,X2 (3.0, 4.5) we would sum all of the probability mass in the shaded region shown in Figure 6.3, and obtain
1 FX1 ,X2 (3.0, 4.5) = 12 36 = 1 . 3

This is the probability that the first roll is less than or equal to 3 and the second roll is less than or equal to 4.5. Every joint probability mass function must have the following properties: 1. pX1 ,X2 ,...,Xn (x1 , x2 , . . . xn ) ≥ 0 for any (x1 , x2 , . . . , xn ). 2.
all x1

...
all xn

pX1 ,X2 ,...,Xn (x1 , x2 , . . . xn ) = 1 pX1 ,X2 ,...,Xn (x1 , x2 , . . . xn ) for any event E .
(x1 ,...,xn )∈E

3. P (E) =

You should compare these properties with those of probability mass functions for single-valued discrete random variables given in Chapter 5.

Continuous Distributions
Extending our notion of probability density functions to continuous random vectors is a bit tricky and the mathematical details of the problem is beyond the scope of

160

Continuous Distributions

an introductory course. In essence, it is not possible to define the joint density as a derivative of the cumulative distribution function as we did in the one-dimensional case. Let Rn denote n-dimensional Euclidean space. We sidestep the problem by defining the density of an n-dimensional random vector to be a function that when integrated over the set
{(x1 , . . . , xn ) ∈ Rn : x1 ≤ b1 , x2 ≤ b2 , . . . , xn ≤ bn }

will yield the value for the cumulative distribution function evaluated at
(b1 , b2 , . . . , bn ).

More formally, we have the following: Definition 6.4. Let (X1 , . . . , Xn ) be a continuous random vector with joint cumulative distribution function
FX1 ,...,Xn (x1 , . . . , xn ).

The function fX1 ,...,Xn (x1 , . . . , xn ) that satisfies the equation
FX1 ,...,Xn (b1 , . . . , bn ) =
b1 −∞

···

bn −∞

fX1 ,...,Xn (t1 , . . . , tn ) dt1 · · · dtn

for all (b1 , . . . , bn ) is called the joint probability density function for the random vector (X1 , . . . , Xn ). Now, instead of obtaining a derived relationship between the density and the cumulative distribution function by using integrals as anti-derivatives, we have enforced such a relationship by the above definition. Every joint probability density function must have the following properties: 1. fX1 ,X2 ,...,Xn (x1 , x2 , . . . xn ) ≥ 0 for any (x1 , x2 , . . . , xn ).
+∞ +∞ −∞

2.

−∞

···

fX1 ,...,Xn (x1 , . . . , xn ) dx1 · · · dxn = 1 fX1 ,...,Xn (x1 , . . . , xn ) dx1 · · · dxn for any event E .

3. P (E) =

···

E

You should compare these properties with those of probability density functions for single-valued continuous random variables given in Chapter 5.

Y ) be a two-dimensional random variable with the following joint probability density function (see Figure 6. b2 ) − FX1 .X2 (b1 .X2 (a1 .4.Y (x.4: Computing P (a1 < X1 ≤ b1 . y) = 2−y 0 2 1 0 2 if 0 ≤ x ≤ 2 and 1 ≤ y ≤ 2 otherwise Note that (2 − y) dx dy = 1. In the one-dimensional case. a2 < X2 ≤ b2 ).X2 (a1 . . b2 ) − FX1 . This worked for any type of probability distribution.X2 (b1 .Continuous Distributions 161 x2 b2 a2 a1 b1 x1 Figure 6.5): fX. The situation in the multidimensional case is a little more complicated. a2 < X2 ≤ b2 ) = FX1 . a2 ). with a comparable formula given by P (a1 < X1 ≤ b1 . we had the handy formula P (a < X ≤ b) = FX (b) − FX (a). You should be able to verify this formula for yourself by accounting for all of the probability masses in the regions shown in Figure 6. Example: Let (X. a2 ) + FX1 .

e. . i. y) over the region {(x. we may be given a random vector (X.Y (x. To do this. Performing the integration. y) : x ≤ 1.5 1. FX (x)? We know that FX.5}. Y ≤ 1. Suppose we would like to find the cumulative distribution function for X alone.Y (x. P (X ≤ 1. y) dx dy 3 (2 − y) dx dy = 8 . .5) = = 1. y) = P (X ≤ x. y ≤ 1. y). we calculate the volume under the surface fX.0. in the two-dimensional case. we get. disregarding the other components?” The answer is yes. This region of integration is shown shaded (in green) in Figure 6.y) 1 1 2 y 1 2 x Figure 6.5).5. Marginal Distributions Given the probability distribution for a vector-valued random variable (X1 .Y (x. For example. Y ≤ y) .0 −∞ −∞ 1. we might ask the question.. and the solution requires the careful use of English rather than mathematics.5 1.Y (x.0 0 fX. “Can we determine the distribution of X1 .0.0 1. Y ≤ 1. Xn ).162 Marginal Distributions fXY(x. . Y ) with joint cumulative distribution function FX.5: A two-dimensional probability density function Suppose we would like to compute P (X ≤ 1.

6 and x2 = 1.Xn (x1 . it is more useful to examine marginal probability mass functions and marginal probability density functions.Y (x. 2.X2 (2. So we can use the above definition to find the marginal cumulative distribution function for any of the Xi ’s. . .5 is a nice definition. But in terms of both X and Y . we compute 6 pX1 (2) = P (X1 = 2) = k=1 1 pX1 . 6 To find pX1 (2)...5. Example: In the die example (on page 156) pX1 . . . y).. To find pX (x). . . x2 . Y = any value) = all y pX. Y ) with joint probability mass function pX. Let (X1 . we ask “What is the probability that X = x regardless of the value that Y takes on? This can be written as pX (x) = P (X = x) = P (X = x. For example. Using this idea. y). The marginal cumulative distribution function for X1 is given by FX1 (x1 ) = lim x2 →∞ x3 →∞ lim · · · lim FX1 . k) = 6 . . it would make sense to say FX (x) = P (X ≤ x) = P (X ≤ x. ..Xn (x1 .X2 (x1 . Xn ) be a random vector with joint cumulative distribution function FX1 . xn ).X2 . . . we shall define what we will call the marginal cumulative distribution function: Definition 6. .. . xn →∞ Notice that we can renumber the components of the random vector and call any one of them X1 . . for example. . suppose we have a discrete random vector (X. .Marginal Distributions 163 and we are asking for (1) FX (x) = P (X ≤ x). expression 1 can be read: “the probability that X takes on a value less than or equal to x and Y takes on any value. x2 ) = 1 36 for x1 = 1. xn ).” Therefore.. . Although Definition 6. .Y (x.Y (x. . . . Y ≤ ∞) = y→∞ lim FX. 2.. y). ..

To find the marginal probability mass function for the total daily production. we are simply adding the entries all columns for each row of Table 6.05 .10 0 . The procedure is similar for obtaining marginal probability density functions. Y ) is given by Table 6.025 . fX (x).10 4 0 0 0 0 . itself is not a probability measure.15 + 0.10 . for example. Recall that a density.05 .Y (2.05 + 0.Y (2. So 1 Would you believe that this is why they are called marginal distributions? .Y (3.2 So.15.15 .1. 2) = 0. Example: Let X be the total number of items produced in a day’s work at a factory.Y (3. we can see that the probability of producing 2 items with exactly 1 of those items being defective is pX.25 pX (3) = pX.025 .275. but fX (x)dx. we sum the probabilities over all possible values of Y for each fixed x: pX (1) = pX.Y (2. Suppose that the probability mass function for (X.10 1 . 1) + pX. 1) = 0.10 .164 Marginal Distributions Table 6.1: Joint pmf for daily production pX. y) 1 2 X 3 4 5 Y 2 3 0 0 . X .10 = 0.20 etc. but it brings some comfort to know we can get it from all of the mathematical machinery we’ve developed thus far.05 pX (2) = pX. But notice that in these computations. 1) + pX.10 5 0 0 0 0 0 This is hardly a surprising result. 3) = 0.1. 2) + pX.05 . 1) = 0.Y (1.10 = 0.05 .Y (x. P (Y = 2) = pY (2) = 0. is. and let Y be the number of defective items produced.05 + 0. We simply look for the result in the margin1 for the entry Y = 2. Doing this for Y as well as X we can obtain Table 6.Y (3. Using this joint distribution.

The marginal probability density function for the random variable X1 is given by fX1 (x1 ) = +∞ −∞ ··· +∞ −∞ fX1 .05 ..X2 ..2: Marginal pmf’s for daily production pX.Marginal Distributions 165 Table 6. x2 .275 .05 .25 .025 .10 .. Looking at this relationship as fX (x) dx = +∞ −∞ fX. .15 .Y (x.40 1 .Y (x. y) dy dx it would seem reasonable to define fX (x) ≡ +∞ −∞ fX.Xn (x1 .05 .025 .20 . xn ) dx2 · · · dxn .05 . .225 pX (x) .Y (x....10 . Notice that in both the discrete and continuous cases. Y = any value) = +∞ −∞ fX. .10 . . y) dy and we therefore offer the following: Definition 6. y) 1 2 X 3 4 5 pY (y) Y 2 3 0 0 .10 0. Let (X1 . Xn ) be a continuous random variable with joint probability density function fX1 ..10 0 .Xn .4 4 0 0 0 0 .10 .10 . .05 . .10 5 0 0 0 0 0 0 with a little loose-speaking integration notation we should be able to compute fX (x) dx = P (x ≤ X < x + dx) = P (x ≤ X < x + dx. .Y (x. .6. . we sum (or integrate) over all possible values of the unwanted random variable components. y) dy dx where y is the variable of integration in the above integral..

Drawing a picture of the region where there is positive probability mass (the support of the distribution) often helps. Example: Let (X. The integration process assigns all of that mass to x = a in one-dimension.166 Marginal Distributions y 1 0 a 1 x Figure 6. the picture of the support would be as shown in Figure 6.Y (x.Y (x. If the dotted line in Figure 6. Repeating this process for each x yields the desired probability density function. we are actually determining how much probability mass has been placed along the line x = a. For the above example.6 indicates a particular value for x (call it a).6.6: The support for the random vector (X. by integrating over all values of y . Y ) in the example The trick in such problems is to insure that your limits of integration are correct. Solution: Let’s consider the case where we fix x so that 0 ≤ x ≤ 1. We compute fX (x) = +∞ −∞ fX. Y ) be a two-dimensional continuous random variable with joint probability density function fX. y) = x+y 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Find the marginal probability density function for X . y) dy .

a probability density +∞ functionby making sure that fX (x) ≥ 0 for all x and that −∞ fX (x) dx = 1. y) dy (2 − y) dy y2 2 y=2 y=1 2y − 1 2 If x is outside the interval [0. Y ) be the two-dimensional random variable with the following joint probability density function (see Figure 6. Consider the case where we fix x so that 0 ≤ x ≤ 2.5 on page 162) fX. fX (x) = 1 2 0 0≤x≤2 otherwise . we have fX (x) = 0. we have fX (x) = 0.Marginal Distributions 167 = 0 1 (x + y) dy y2 2 y=1 y=0 = xy + = x+ 1 2 If x is outside the interval [0. Therefore. summarizing these computations we find that fX (x) = x+ 0 1 2 0≤x≤1 otherwise We will leave it to you to check that fX (x) is. We compute fX (x) = = = = +∞ −∞ 2 1 fX.Y (x. 1]. So. Solution: Let’s first find the marginal probability density function for X . 2]. in fact. y) = 2−y 0 if 0 ≤ x ≤ 2 and 1 ≤ y ≤ 2 otherwise Find the marginal probability density function for X and the marginal probability density function for Y . Example: Let (X.Y (x.

X2 (1. . . 6. .X2 (2. 4 − 2y 1≤y≤2 fY (x) = 0 otherwise You should also double check that fX and fY are both probability density functions. {X1 = 2. consider the case where we fix y so that 1 ≤ y ≤ 2. . Example: Let (X1 . 3) + pX1 . 12. Therefore. X2 = 1} occurs. 1 Solution: We already know that pX1 .X2 (3. Functions of Random Vectors The technique for computing functions of one-dimensional random variables carries over to the multi-dimensional case. We ask the question.Y (x. .” For example. y) = 0 giving us fY (y) = 0. 6 and x2 = 1. “What are the possible values that Z can take on?” The answer: “The integers 2. Find the probability mass function for the random variable Z = X1 +X2 . . 2) + pX1 . 4. we have fX.168 Functions of Random Vectors To find the marginal probability density function for Y . . . . . y) dx (2 − y) dx = 4 − 2y If y is outside the interval [1. . 2].X2 (x1 . or {X1 = 3. X2 = 2}. pZ (4) = pX1 . Most of these problems just require a little careful reasoning. So.Y (x. 1) = 3 36 . We compute fY (y) = = = +∞ −∞ 2 0 x=2 (2 − y)x|x=0 fX. Z equals 4 precisely when any one of the mutually exclusive events {X1 = 1. . x2 ) = 36 for x1 = 1. the sum of the two rolls. X2 = 3}. X2 ) be the die-tossing random vector of the example on page 156. . 3.

. Example: Let (X. 2 pZ (3) = 36 . so   0  FZ (z) =   1 ? if z < 0 if 0 ≤ z ≤ 2 if z > 2 For the case 0 ≤ z ≤ 2.8: Case I (z ≤ 1): FZ (z) = 0 z 0 z−y (x + y) dx dy = 1 3 3z . Solution: The support for the random variable Z is the interval [0. 2 pZ (11) = 36 . you should be able to verify that 1 pZ (2) = 36 . 3 pZ (10) = 36 . we are computing the probability mass assigned to the shaded set in Figure 6. 3 pZ (4) = 36 . 2]. In establishing limits of integration. we wish to evaluate FZ (z) = P (Z ≤ z) = P (X + Y ≤ z).Functions of Random Vectors 169 Continuing in this manner.7 as z varies from 0 to 2. 4 pZ (9) = 36 . In other words. Find the cumulative distribution function for the random variable Z =X +Y. 6 pZ (7) = 36 . 5 pZ (6) = 36 . Case II (z > 1): FZ (z) = 0 z−1 0 1 (x + y) dx dy + 1 z−1 0 z−y (x + y) dx dy 1 1 = z2 − 3 z3 − 3 . 4 pZ (5) = 36 . 1 pZ (12) = 36 . 5 pZ (8) = 36 . Y ) be the two-dimensional random variable given in the example on page 166. we notice that there are two cases to worry about as shown in Figure 6.

8: Two cases to worry about for the example . y z 1 z y 1 0 z 1 x 0 1 z x Case I Case II Figure 6.170 Functions of Random Vectors y 1 z x+ y= z 0 z 1 x Figure 6.7: The event {Z ≤ z}.

. We say that a random sample is a vector of independent and identically distributed (i.. .7. . Xn is a random sample if and only if 1. X1 . Xn is independent if and only if. . Definition 6. b2 . . F (x)). . . each Xi has the same marginal distribution. . Xn are independent... bn . . X2 . .Y (x. . Recall: An event A is independent of an event B if and only if P (A ∩ B) = P (A)P (B).. . . X2 .) random variables.Xn (b1 . Testing for independence Case I: Discrete A discrete random variable X is independent of a discrete random variable Y if and only if pX. Independence of Random Variables Definition 6. .Independence of Random Variables 171 These two cases can be summarized as FZ (z) =   0   1 3  z 3 1  z2 − 1 z3 − 3  3   1 if z < 0 if 0 ≤ z ≤ 1 if 1 < z ≤ 2 if z > 2 Notice what we thought at first to be one case (0 ≤ z ≤ 2) had to be divided into two cases (0 ≤ z ≤ 1 and 1 < z ≤ 2). . Theorem 6. A sequence of n random variables X1 . bn ) = FX1 (b1 )FX2 (b2 ) · · · FXn (bn ) for all values b1 .X2 . y) = [pX (x)][pY (y)] for all x and y . b2 .1. .d. .e. . . .8. FXi (x) = F (x) for all x and for all i (i.i. A sequence of n random variables X1 .. . and 2. If X and Y are independent random variables then any event A involving X alone is independent of any event B involving Y alone. X2 . and FX1 .

Let X denote the number of grade A compressors produced on a given day.1 0. grade A and grade B. 0) = 0.2 1 0. y) = 4e−2(x+y) x ≥ 0.1 = pX (0)pY (0) = (0.5) = 0.Y (0. fX.172 Independence of Random Variables Case II: Continuous A continuous random variable X is independent of a continuous random variable Y if and only if fX. Suppose that the joint probability mass function pX.1 The random variables X and Y are not independent. Y = y) is given by the following table: y pX.Y (x. Let X be the time to failure of transistor 1 and let Y be the time to failure of transistor 2.4)(0. Note that pX.2 Example: Suppose an electronic circuit contains two transistors. y) = [fX (x)][fY (y)] for all x and y . Let Y denote the number of grade B compressors produced on the same day.Y (x. y) = P (X = x. y ≥ 0 0 otherwise The marginal densities are fX (x) = 2e−2x x ≥ 0 0 otherwise fY (y) = 2e−2y y ≥ 0 0 otherwise .Y (x.Y (x. y) 0 x 1 2 0 0.3 0. Example: A company produces two types of compressors.1 0.2 0.

Y ))? Theorem 6. E(g(X. Y ) is continuous Example: Suppose X and Y have joint probability density function fX.Y (x. 0 ≤ y ≤ 1 0 otherwise . y) if (X. Y ). Can we find E(g(X.Y (x. y)fX.Y (x.Y (x. X and Y for all values of (x. y).Expectation and random vectors 173 We must check the probability density functions for (X. For x ≥ 0 and y ≥ 0: fX. y). Y ) is discrete E(g(X.2. Y )) = all x all y ∞ ∞ g(x. Expectation and random vectors Suppose we are given a random vector (X. y) = x + y 0 ≤ x ≤ 1. y) dy dx if (X. Y ) and a function g(x. y) = 0 = fX (x)fY (y) = (0)(0) So the random variables X and Y are independent. y)pX. y) = 0 = fX (x)fY (y) = 2e−2x (0) For x < 0 and y ≥ 0: fX. Y )) = −∞ −∞ g(x. y) = 4e−2(x+y) = fX (x)fY (y) = 2e−2x 2e−2y For x ≥ 0 and y < 0: fX. y) = 0 = fX (x)fY (y) = (0)2e−2y For x < 0 and y < 0: fX.Y (x.Y (x.Y (x.

Y ) is a continuous random vector.174 Expectation and random vectors Let Z = XY .Y (x. Theorem 6.Y (x. y) dx dy ∞ −∞ −∞ −∞ ∞ ∞ −∞ ∞ −∞ x −∞ fX. To find E(Z) = E(XY ) use Theorem 6. y) dx dy + xfX. y) dx dy x fX (x) dx + y fY (y) dy = E(X) + E(Y ) Theorem 6.Y (x.Y (x.Y (x.Y (x. y) dx dy yfX. y) dx dy xfX.2 to get E(XY ) = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 0 1 0 1 3 3x y 1 3y 0 1 xyfX. If X and Y are independent.Y (x.2: E(X + Y ) = = = = = ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ ∞ ∞ (x + y)fX.Y (x.4. y) dy dx + ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ ∞ −∞ yfX. then E[h(X)g(Y )] = E[h(X)]E[g(Y )] . y) dx dy xy(x + y) dx dy x2 y + xy 2 dx dy 1 + 2 x2 y 2 1 0 = = 0 dy 1 + 1 y 2 dy 2 1 0 = 1 2 6y 1 + 6 y3 = 1 3 We will prove the following results for the case when (X.3. probability mass functions rather than probability density functions. The proofs for the discrete case are similar using summations rather than integrals. y) dy dx + ∞ −∞ y fX. E(X + Y ) = E(X) + E(Y ) Proof. Using Theorem 6.

= = = ∞ ∞ −∞ −∞ ∞ −∞ ∞ −∞ h(x)g(y)fX (x)fY (y) dx dy ∞ −∞ g(y)fY (y) h(x)fX (x) dx dy g(y)fY (y) E(h(X)) dy since E(h(X)) is a constant.4. .9. Note that Cov(X. set h(x) = x and g(y) = y to get E[h(X)g(Y )] = E(h(X))E(g(Y )) E[XY ] = E(X)E(Y ) Definition 6. y) dx dy since X and Y are independent. Using Theorem 6.2: E[h(X)g(Y )] = ∞ ∞ −∞ −∞ h(x)g(y)fX. If X and Y are independent. = E(h(X)) ∞ −∞ g(y)fY (y) dy = E(h(X))E(g(Y )) Corollary 6. The covariance of the random variables X and Y is Cov(X. . Y ) .5. then E(XY ) = E(X)E(Y ) Proof.Y (x. X) = Var(X). For any random variables X and Y Var(X + Y ) = Var(X) + Var(Y ) + 2Cov(X.Expectation and random vectors 175 Proof. Y ) ≡ E[(X − E(X))(Y − E(Y ))].6. . Theorem 6. Using Theorem 6. .

. If X and Y are independent then. Y ) = E(XY ) − E(X)E(Y ) Proof. . Using Definition 6. let b = {Y − E(Y )}.9. E[Y ].176 Expectation and random vectors Proof. Var(X + Y ) = E[(X + Y − E(X + Y ))2 ] = E[(X + Y − E(X) − E(Y ))2 ] = E[({X − E(X)} + {Y − E(Y )})2 ] Now let a = {X − E(X)}. We can then use Theorem 6. and expand (a + b)2 to get.7: Cov(X. . . Cov(X. Y ) Theorem 6. E(XY ) = E(X)E(Y ). Y ) = E(XY ) − E(X)E(Y ) = 0 . and E[XY ] are all constants. = E[{X − E(X)}2 + {Y − E(Y )}2 + 2{X − E(X)}{Y − E(Y )}] = E[{X − E(X)}2 ] + E[{Y − E(Y )}2 ] +2E[{X − E(X)}{Y − E(Y )}] = Var(X) + Var(Y ) + 2Cov(X. Remember that the variance of a random variable W is defined as Var(W ) = E[(W − E(W ))2 ] Now let W = X + Y . Y ) = 0.8.5. . Y ) = E[(X − E(X))(Y − E(Y ))] = E[XY − XE(Y ) − E(X)Y + E(X)E(Y )] = E[XY ] + E[−XE(Y )] + E[−E(X)Y ] + E[E(X)E(Y )]] Since E[X]. from Corollary 6. . = E[XY ] − E(Y )E[X] − E(X)E[Y ] + E(X)E(Y ) = E[XY ] − E(X)E(Y ) Corollary 6. If X and Y are independent then Cov(X. Proof. we get Cov(X.7.

11. Meyer. Theorem 6. Var(X)Var(Y ) Theorems 6. such that Y = aX + b where a and b are constants. Y ) ρ(X. If X and Y are independent then. Y )| = 1.11 and 6. Introductory probability theory and statistical applications. Then |ρ(X. Addison-Wesley. |ρ(X. P. the Y is a linear function of X (with probability one). then ρ(X. For any random variables X and Y . The correlation coefficient for two random variables X and Y is given by Cov(X.6 and Corollary 6. Y ) Var(X + Y ) = Var(X) + Var(Y ) + 2(0) Var(X + Y ) = Var(X) + Var(Y ) Definition 6.9. Reading MA.10. Proof.10. 2 . If a < 0. The covariance of two random variables X and Y is given by Cov(X. Y ) = +1. 1965. Y ) ≡ E (X − E(X))(Y − E(Y )) . The converse of this theorem is also true: Theorem 6. from Theorem 6.8: Var(X + Y ) = Var(X) + Var(Y ) + 2Cov(X. In other words: If the correlation coefficient ρ is ±1. If X and Y are independent then Var(X+Y ) = Var(X)+Var(Y ).12 are stated without proof. Y ) ≡ .2 Theorem 6. Proofs of these results may be found in the book by Meyer..11. 6.10.Expectation and random vectors 177 Corollary 6. Definition 6. If a > 0. Then (with probability one). then ρ(X. Suppose that |ρ(X. Y )| ≤ 1. Y )| = 1. Y ) = −1. Suppose that X and Y are two random variables.12. Y = aX + b for some constants a and b.

y) = 4e−2(x+y) x ≥ 0. . X + Y = 2) P (X + Y = 2) P (X = 1.1 0.2 1 0. y pX. Y = 0) P (Y = 0) 2 0.3 3 Example: And. what is the probability that the first transistor lasted more than one hour? .1 = 0.Y (x.3 0. consider the two transistors. again.1 0.178 Expectation and random vectors Random vectors and conditional probability Example: Consider the compressor problem again. y ≥ 0 0 otherwise Given that the total life time for the two transistors is less than two hours. what is the probability that 2 grade A compressors were produced? Solution: P (X = 2 | Y = 0) = = P (X = 2.5 5 Given that 2 compressors were produced on a given day. what is the probability that one of them is a grade B compressor? Solution: P (Y = 1 | X + Y = 2) = = = P (Y = 1.2 0.1 Given that no grade B compressors were produced on a given day. y) 0 x 1 2 0 0.2 = 0. . fX.Y (x. Y = 1) P (X + Y = 2) 1 0.

X + Y ≤ 2) P (X + Y ≤ 2) 2 1 0 −2 2−x We then compute P (X > 1. We define the conditional probability density function of X given Y as fX|Y (x | y) = fX. y) pY (y) whenever pY (y) > 0. y) and let fY (y) be the marginal probability density function for Y .Y (x.Y (x.Y (x. We define the conditional probability mass function of X given Y as pX|Y (x | y) = pX.Expectation and random vectors 179 Solution: P (X > 1 | X + Y ≤ 2) = P (X > 1. Case II: Continuous Let X and Y be random variables with joint probability density function fX. .Y (x. y) and let pY (y) be the marginal probability mass function for Y .0885 1 − 5e−4 Conditional distributions Case I: Discrete Let X and Y be random variables with joint probability mass function pX. X + Y ≤ 2) = = e 4e−2(x+y) dy dx − 3e−4 and P (X + Y ≤ 2) = 0 2 0 2−x 4e−2(x+y) dy dx = 1 − 5e−4 to get P (X > 1 | X + Y ≤ 2) = e−2 − 3e−4 = 0. y) fY (y) whenever fY (y) > 0.

each with P (Xi = 1) = 1 and P (Xi = 0) = 1 .Y (0. choose the best response among those provided. S6. Answers can be found in Appendix B. X2 . then the value of r is (A) (B) (C) 1 16 1 4 1 2 (D) 1 (E) none of the above.180 Self-Test Exercises for Chapter 6 Law of total probability Case I: Discrete pX (x) = y pX|Y (x | y)pY (y) Case II: Continuous fX (x) = +∞ −∞ fX|Y (x | y)fY (y) dy Self-Test Exercises for Chapter 6 For each of the following multiple-choice questions. Let P (X1 + X2 + 2 2 X3 + X4 = 3) = r. 1) = 1/2 Then P (Y = 1) equals (A) 1/3 (B) 1/4 (C) 1/2 . X3 . X4 be independent and identically distributed random variables. 0) = 1/4 pX.Y (1.2 Let (X. 1) = 1/4 pX.1 Let X1 . S6. Y ) be a discrete random vector with joint probability mass function given by pX.Y (0.

0) = 1 4 Let pX (x) denote the marginal probability mass function for X . S6.Y (1.Y (0.Y (1. 0) = 1 4 The value of P (XY > 0) is (A) 0 (B) (C) 1 4 1 2 (D) 1 (E) none of the above. S6. Y ) be a random vector with joint probability mass function given by pX.Y (0. 1) = 1 2 pX. S6.4 Let (X. Y ) be a continuous random vector with joint probability density function fX. 1) = 1 2 pX.Y (x. −1) = 1 4 pX. Y ) be a random vector with joint probability mass function given by pX. −1) = 1 4 pX. y) = 1/2 if −1 ≤ x ≤ 1 and 0 ≤ y ≤ 1 0 otherwise Then P (X > 0) equals (A) 0 (B) 1/4 . The value of pX (1) is (A) 0 (B) (C) 1 4 1 2 (D) 1 (E) none of the above.Y (1.Y (1.5 Let (X.3 Let (X.Self-Test Exercises for Chapter 6 181 (D) 3/4 (E) none of the above.

Y ) be a discrete random vector with joint probability mass function given by pX. Y ) is a continuous random vector with joint probability density function e−y if 0 ≤ x ≤ 1 and y ≥ 0 fX. S6.Y (0. 0) = 1/3 pX.Y (0.Y (0.Y (1.7 Let (X. Y ) be a discrete random vector with joint probability mass function given by pX. S6. S6.Y (0.182 Self-Test Exercises for Chapter 6 (C) 1/2 (D) 1 (E) none of the above.8 Let (X.Y (1. y) = 0 otherwise Then P (X > 1 ) equals 2 (A) 0 (B) 1/2 (C) e−1/2 (D) 1 −y 2e (E) none of the above. 0) = 1/3 pX. 1) = 1/3 pX.Y (x. 1) = 1/3 pX. 0) = 1/3 .6 Suppose (X. 0) = 1/3 Then P (X + Y = 1) equals (A) 0 (B) 1/3 (C) 2/3 (D) 1 (E) none of the above.

10 Suppose (X. S6. S6.Self-Test Exercises for Chapter 6 183 Let W = max{X.Y (x.9 Suppose (X. Y ) is a continuous random vector with joint probability density function   y if 0 ≤ x ≤ 2 and  0≤y≤1 fX. y) =   0 otherwise Then P (X < 1. Y ) is a continuous random vector with joint probability density function   y if 0 ≤ x ≤ 2 and  0≤y≤1 fX.5) equals (A) 0 (B) 1/8 (C) 1/4 (D) 1/2 (E) none of the above. Then P (W = 1) equals (A) 0 (B) 1/3 (C) 2/3 (D) 1 (E) none of the above. Y < 0. y) =   0 otherwise Then E(X 2 ) equals (A) 0 (B) 1 (C) 4/3 (D) 8/3 (E) none of the above. Y }. .Y (x.

S6. X2 . If P (X1 + X2 + X3 = 3) = r.Y (x. S6. X3 be independent and identically distributed random variables. each having an expected value of 6 ounces and standard deviation of 2 ounces. Let Y denote the total net weight (in ounces) of a basket of n oranges. Y ) be a continuous random vector with joint probability density function 1/π if x2 + y 2 ≤ 1 fX.13 If X and Y are random variables with Var(X) = Var(Y ).12 Let X1 . y) = 0 otherwise Then P (X > 0) equals . The variance of Y is equal to √ (A) 4 n (B) 4n (C) 4n2 (D) 4 (E) none of the above.11 The weights of individual oranges are independent random variables. then the value of p is (A) (B) (C) 1 3 √ 3 r 1 2 (D) r3 (E) none of the above.184 Self-Test Exercises for Chapter 6 S6. then Var(X + Y ) must equal (A) 2Var(X) √ (B) 2(Var(X)) (C) Var(2X) (D) 4Var(X) (E) none of the above. each with P (Xi = 1) = p and P (Xi = 0) = 1 − p. S6.14 Let (X.

15 Let X be a random variable. Let the random variable X represent the outcome of the first toss and the random variable Y represent the outcome of the second toss.Self-Test Exercises for Chapter 6 185 (A) 1/(4π) (B) 1/(2π) (C) 1/2 (D) 1 (E) none of the above. (A) 1/4 (B) 1/3 (C) 1/2 . What is the probability that X is odd and Y is even. Then E(W ) equals (A) 0 (B) E(X 2 ) (C) 1 (D) 2 (E) none of the above S6. Y and Z be independent random variables with E(X) = 1 E(Y ) = 0 E(Z) = 1 Let W = X(Y + Z). Then E[(X + 1)2 ] − (E[X + 1])2 equals (A) Var(X) (B) 2E[(X + 1)2 ] (C) 0 (D) 1 (E) none of the above. S6. S6.17 Toss a fair die twice.16 Let X .

Y ) is a random vector with joint probability mass function given by pX. y − w} (C) min{1.18 Assume that (X.Y (0. S6. y) = k for 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 and y ≤ x 0 otherwise where k is a some positive constant.Y (−1. 0) = 1/2 pX. Let W = X −Y . Y ) is random vector with joint probability density function fX. To find the cumulative distribution function for W we can compute FW (w) = B A D C k dx dy for 0 ≤ w ≤ 1. 0) = 1/4 pX. x − y} (D) min{1. The limit of integration that should appear in position D is (A) min{1.Y (0.186 Self-Test Exercises for Chapter 6 (D) 1 (E) none of the above S6. 1) = 1/4 Define the random variable W = XY . The value of P (W = 0) is (A) 0 (B) 1/4 (C) 1/2 (D) 3/4 (E) none of the above.Y (x.19 Assume that (X. x − w} (B) min{1. y + w} (E) none of the above. .

21 Suppose (X.Self-Test Exercises for Chapter 6 187 S6. Let Y be a random variable with E(Y ) = 0 and Var(Y ) = 4. Y ) is a continuous random vector with joint probability density function fX. y) = 4xy 0 if 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Then E 1 XY equals (A) +∞ (B) 0 (C) 1/2 (D) 4 (E) none of the above. y) = 2e−(x+2y) if x ≥ 0 and y ≥ 0 0 otherwise Then P (X + Y ≤ 1) equals (A) (B) (C) 1 1 −(x+2y) dx dy 0 0 2e 1 1−y 0 0 2e−(x+2y) dx dy 1 1 −(x+2y) dx dy 0 y 2e . The joint probability density function of (X. Then E(X 2 + Y 2 ) equals (A) 0 (B) 1 (C) 3 (D) 5 (E) none of the above.Y (x.Y (x. S6. S6. Y ) is given by fX. Y ) where X is the life length of transistor 1 and Y is the life length of transistor 2.22 The life lengths of two transistors in an electronic circuit is a random vector (X.20 Let X be a random variable with E(X) = 0 and Var(X) = 1.

2 A sample space Ω is a set consisting for four points. ω4 }. P (X ≤ 2.10.Y (1.Y (1. pX.05. A probability measure. Y (ω2 ) = 1. (b) Find the marginal probability mass functions for X and for Y. 1) = 0. X(ω2 ) = 0. pX. Z(ω2 ) = 2. (c) Find the probability mass function for X . pX. (c) Find the distribution for the random variable Z = X + Y which is the total daily production of gizmos. {ω1 . and let Y be the number of Type 2 gizmos produced on the same day.Y (2. ω3 . pX. 1) = 0. Y. Let X be a random variable denoting the number of Type 1 gizmos produced on a given day. Z(ω3 ) = 3. Y (ω1 ) = 0. Y = 2) and P (Y > 0). 1) = 0.1 A factory can produce two types of gizmos. X(ω4 ) = 1 Y (ω4 ) = 0 Z(ω4 ) = 4 (a) Find the joint probability mass function for (X. Y and Z are defined as X(ω1 ) = 0. Z(ω1 ) = 1.Y (1.20.05. Questions for Chapter 6 6. ω2 . The joint probability mass function for X and Y is given by pX. 3) = 0. Y (ω3 ) = 1.Y (2. 2) = 0. Z). (a) Compute P (X ≤ 2.Y (3. Type 1 and Type 2. .20. 0) = 0. Y = 2).10. pX. P (·) assigns probabilities.20. (b) Find the joint probability mass function for (X. pX. X(ω3 ) = 1.Y (1. 6.10. 2) = 0. Y ). 2) = 0.188 Questions for Chapter 6 (D) 1 1 0 1−y 2e−(x+2y) dx dy (E) none of the above. pX. as follows: P ({ω1 }) = P ({ω3 }) = 1 2 1 4 P ({ω2 }) = P ({ω4 }) = 1 8 1 8 Random variables X .Y (3.

(1. 6. (g) Find the probability mass function for the random variable V = max{X. (1.. Obviously X ≤ Y . The first one to fail burns out at time X and the second one at time Y . 1). (d) Compute P (Z > 1) and P (Y > 1).Y (x. the probability density function for (X. (c) Let Z denote the excess life of the second bulb. y) = 1 0 if 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Find the cumulative distribution function for the random variable Z = X+Y . (f) Find the joint probability mass function for the random variable (W. (0. Y ) is given by fX.Questions for Chapter 6 189 (d) Find the probability mass function for the random variable W = X + Y + Z. (e) Find the probability mass function for the random variable T = XY Z . In other words. let Z = Y − X . 6. 0). y) = 2e−(x+y) 0 if 0 < x < y < ∞ otherwise (a) Sketch the region in (x. 1). The joint probability density function for (X. Find the probability density function for Z . y) = 2 0 if x > 0. Y }. T ). i.Y (x.4 Two light bulbs are burned starting at time 0. Y ) have a uniform distribution over the rectangle (0. y)-space for which the above probability density function assigns positive mass. 6. 0) . (b) Find the marginal probability density functions for X and for Y .3 Let (X. Y ) is given by fX.Y (x.5 If two random variables X and Y have a joint probability density function given by fX. y > 0 and x + y < 1 otherwise .e.

z) = α(xyz 2 ) 0 if 0 < x < 1. Y. 3 (d) Find the marginal probability density functions for X and for Y . Y ). Y ) in the xy plane.Z (x.6 Suppose (X. Z) is a random vector with joint probability density function fX. (d) Find the marginal probability density function for X .7 Suppose that the random vector (X. 0 < y < 2 and 0 < z < 2 otherwise (a) Find the value of the constant α. 1 2 (c) Find the probability density function for the random vector (X. (e) Find the probability density function for Z = X + Y . 6. 6. Y ) has joint probability density function fX. y. 2 (b) Find the probability that X will take on a value less than and Y will take on a value greater than 1 .Y.190 Questions for Chapter 6 (a) Find the probability that both random variables will take on a value less than 1 . y) = kx(x − y) 0 if 0 ≤ x ≤ 2 and |y| ≤ x otherwise (a) Sketch the support of the distribution for (X. .Y (x. (e) Find the marginal probability density function for Z = X + Y. (c) Find the marginal probability density function for Y . (b) Find the probability that X will take on a value less than and Y and Z will both take on values less than 1. 2 1 4 (c) Find the probability that the sum of the values taken on by the two random variables will exceed 2 . (b) Evaluate the constant k .

Y (x.Questions for Chapter 6 191 6. Y is proportion of persons who will respond to a second type of mail-order solicitation. P . 6.9 If the joint probability density function of the price.P (s.Y (x. and the width. 000 units) is given by fS. (c) Find the probability that sales will exceed 20. S .40 and s > 0 otherwise (a) Find the marginal probability density functions for P and for S . 000 units given P = 0.8 The length. 6. (b) Find the conditional probability density function for X given that Y takes on the value y . Y ) with joint probability density function fX. of a commodity (in dollars) and total sales. (b) Find the conditional probability density function for S given that P takes on the value p.20 < p < 0. (c) Find the conditional probability density function for Y given that X takes on the value x.25.10 If X is the proportion of persons who will respond to one kind of mail-order solicitation. X . y) = x 0 if 0 ≤ x ≤ 1 and 0 ≤ y ≤ 2 otherwise (a) Find the marginal probability density functions for X and for Y . and the joint probability density function of X and Y is given by fX. . of salt crystals form a random variable (X. p) = 5pe−ps 0 0. Y . y) = 2 5 (x + 4y) 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise (a) Find the marginal probability density functions for X and for Y . (in 10. (d) Find the probability that there will be at least a 20% response to the second type of mail-order solicitation.

) 6. (d) Compute P (X ≥ 0 | Y > 0).12 The coordinates of a laser on a circular target are given by the random vector (X.11 An electronic component has two fuses. y) =  π 0 x2 + y 2 ≤ 1 otherwise Hence. (b) Are X and Y independent? Justify your answer. let pX|Y be the conditional probability mass function of X given Y . X . y) = e−y 0 0 ≤ x ≤ 1 and y ≥ 0 otherwise (a) Compute P (X + Y ≥ 1). (a) Compute P (X 2 + Y 2 ≤ 0. Y ) is given by fX. If an overload occurs. (e) Find the conditional distribution for X given Y = y . 6. the time when fuse 1 blows is a random variable. and the time when fuse 2 blows is a random variable.13 Let X and Y be discrete random variables with the support of X denoted by Θ and the support of Y denoted by Φ.192 Questions for Chapter 6 (e) Find the probability that there will be at least a 20% response to the second type of mail-order solicitation given that there has only been a 10% response to the first kind of mail-order solicitation. (c) Compute P (X ≥ 0. (X. Y . 6. (Note: Be careful of the case |y| = 1. The joint probability density function of the random vector (X.Y (x. Y ) with the following probability density function:   1 fX.25). Let pX be the marginal probability mass function for X . 0).Y (x. Y ) has a uniform distribution on a disk of radius one centered at (0. and let pY |X be the conditional probability mass function of . (b) Find the marginal distributions for X and Y . Y > 0).

z) = 3 2 8 (xyz ) 0 if 0 < x < 1.Z (x.20 < p < 0. y > 0 and x + y < 1 otherwise Find E(X + Y ).Questions for Chapter 6 193 Y given X . y) = 2 0 if x > 0. (b) Are X and Y independent random variables? Justify your answer. 6.5 | Y = 0. Show that pX|Y (x|y) = pY |X (y|x)pX (x) pY |X (y|x)pX (x) x∈Θ for any x ∈ Θ and y ∈ Φ. 6. Y ) has joint probability density function fX.Y (x.40 and s > 0 otherwise Find E(S | P = 0.P (s.Y. (in 10. 6.5).15 Suppose (X. of a commodity (in dollars) and total sales. S . Y ) is a continuous random vector with joint probability density function fX. y.14 The volumetric fractions of each of two compounds in a mixture are random variables X and Y .16 Suppose (X. 0 < y < 2. P .5).17 Suppose the joint probability density function of the price. y) = 2 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 − x otherwise (a) Determine the marginal probability density functions for X and for Y .Y (x.5 | Y < 0. respectively. Y. 0 < z < 2 otherwise Find E(X + Y + Z). 6. The random vector (X. 000 units) is given by fS. p) = 5pe−ps 0 0. (c) Compute P (X < 0. Z) is a random vector with joint probability density function fX.25). . (d) Compute P (X < 0.

5). Y ) has the following joint probability mass function: pX. y) X (juniors) Y (seniors) 0 1 2 .18 Let X be the proportion of persons who will respond to one kind of mailorder solicitation.Y (x. y) = 2x 0 if 0 < x < 1 and 0 < y < 1 otherwise Find the marginal probability density function for Y . (b) Find the marginal probability density function for Y . y) = 2xe−y 0 if 0 ≤ x ≤ 1 and y ≥ 0 otherwise (a) Find P (X > 0.Y (x. Y ) is a random vector with the following joint probability density function: fX. (c) Find E(X). Plans are being made for a party.194 Questions for Chapter 6 6. y) = 2 5 (x + 4y) 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Find E(X | Y = y) for each 0 < y < 1. and let Y denote the number of seniors who will attend. and let Y be the proportion of persons who will respond to a second type of mail-order solicitation. Y ) is a random vector with the following joint probability density function: fX. Suppose the joint probability density function of X and Y is given by fX.12 .20 Suppose that (X.05 .05 .Y (x. it has been determined that the random vector (X.01 .21 The Department of Metaphysics of Podunk University has 5 students.25 . After an extensive survey was conducted.19 Suppose that (X.04 .05 .15 . 6. 6.03 .04 .01 . 6.20 0 1 2 3 . with 2 juniors and 3 seniors. (d) Are X and Y independent random variables? Justify your answer.Y (x. Let X denote the number of juniors who will attend the party.

.Y (x. (b) Find the marginal probability density function for X and the marginal probability density function for Y . Y ) be a continuous random vector with joint probability density function given by fX. Y ) be a continuous random vector with joint probability density function given by fX.5). (d) Find P (X > 0. 2 (d) Are X and Y independent random variables? Justify your answer. y) = 4xy 0 for 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 . y) = 2 0 if x ≥ 0. (b) Are X and Y independent random variables? Justify your answer. What is the probability that no seniors will show up? 6. 6. (c) Find P (X + Y ≤ 1).Y (x. (c) Find the conditional probability density function for Y given that X = 1 .23 Let (X. otherwise (a) Compute P (X < Y ). y ≥ 0 and x + y ≤ 1 .Questions for Chapter 6 195 (a) What is the probability that 3 or more students (juniors and/or seniors) will show up at the party? (b) What is the probability that more seniors than juniors will show up at the party? (c) If juniors are charged $5 for attending the party and seniors are charged $10. what is the expected amount of money that will be collected from all students? (d) The two juniors arrive early at the party.22 Let (X.5 | Y ≤ 0. otherwise (a) Find the marginal probability density function for X and the marginal probability density function for Y .

5 | Y < 1. (c) Find the marginal probability density function for X .0).25 A box contains four balls numbered 1. (b) Compute P (Y ≥ 3 | X = 1).Y (x. Y ) is a random vector with the following joint probability density function:   2xe−y    fX.5. Y ).26 Suppose that (X. A second ball is then drawn at random from the box. (d) Find E(X + Y ). and let Y be the number on the second ball. 2. (b) Are X and Y independent random variables? Justify your answer. y) = if 0 < x < 1 and y > 0 otherwise  0    (a) Compute P (X > 0. A game consists of drawing one of the balls at random from the box.196 Questions for Chapter 6 6. y) = 6x2 y 0 for 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise (a) Find the marginal probability density function for X and the marginal probability density function for Y .Y (x. It is not replaced. 3 and 4.0). . Y < 1. 6. Y ) be a continuous random vector with joint probability density function given by fX. (c) Find P (X + Y ≤ 1). (d) Find E(X + Y ). (b) Compute P (X > 0. Let X be the number on the first ball drawn.24 Let (X. (a) Find the joint probability mass function for the random vector (X. 6.

e. Let Z = X/Y . respectively. Compare your answer to the case where X and Y are both positive. independent continuous random variables with probability density functions fX (x) and fY (y). (a) What is the probability that a student chosen at random from the class will receive a grade in the 70’s (i. (a) Express the probability density function for Z in terms of an integral that involves only fX and fY . Express the probability density function for Z in terms of an integral that involves only fX and fY . A probability class is composed of 75 juniors and 25 seniors. . (b) Now suppose that X and Y can be positive and/or negative. between 70 and 80)? (b) If a student is chosen at random from the class. Seniors taking the same course receive grades normally distributed with a mean of 70 and a variance of 36.27 Past studies have shown that juniors taking a particular probability course receive grades according to a normal distribution with mean 65 and variance 36.28 (†) Suppose X and Y are positive.. What is the probability that the student is a junior? 6. what is the student’s expected grade? (c) A student is chosen at random from the class and you are told that the student has a grade in the 70’s.Questions for Chapter 6 197 6.

198 Questions for Chapter 6 .

u=c In other words. Example: Let h(x) = x3 then h(2) (4) = = = d2 h(x) dx2 d2 3 x dx2 x=4 x=4 3x 2 x=4 = 3(4)2 = 48 Probability generating functions Definition 7.1. For any differentiable function h(u).7 TRANSFORMS AND SUMS Transforms Notation Throughout this section we will use the following notation: Definition 7. h(k) (c) is the k th derivative of h evaluated at u = c. and constant c h(k) (c) ≡ dk h(u) duk . 199 . Let X be a discrete random variable with support on the nonnegative integers. Then the probability generating function for X is given by gX (z) ≡ E(z X ) for |z| < 1.2.

1. gX (z) = P (X = 1) + 2zP (X = 2) + 3z 2 P (X = 3) + 4x3 P (X = 4) + .200 Transforms Example: Let X have a Poisson distribution with parameter α > 0 Then pX (k) = e−α αk k! for k = 0. . then P (X = k) = gX (0) k! (k) Proof. If gX (z) is the probability generating function of X . . gX (0) = (1)P (X = 0) Now take the first derivative of gX (z). We have gX (z) = E(z X ) ∞ = k=0 z k P (X = k) Writing out the sum explicitly. . . . 2. . Recalling that ex = ∞ k k=0 (x /k !).1. . . . . . gX (0) = P (X = 1) (1) (1) Another derivative produces. we get ∞ k=0 gX (z) = E(z X ) = zk e−α αk k! = e−α (αz)k k! k=0 ∞ = e−α eαz = eα(z−1) Theorem 7. gX (z) = z 0 P (X = 0) + z 1 P (X = 1) + z 2 P (X = 2) + z 3 P (X = 3) + . (Informal proof) Let g (k) (z) denote the k th derivative of g with respect to z . we get. . . .

Proof. Proof. gX (z) = P (X = 1) + 2zP (X = 2) + 3z 2 P (X = 3) + 4x3 P (X = 4) + . respectively. X2 . . If X1 . . . . . gX (0) = 2P (X = 2) (2) And once more to see the pattern. . gX (z) = 3(2)P (X = 3) + 4(3)(2)zP (X = 4) + 5(4)(3)z 2 P (X = 5) + .3. . gX2 (z). then the probability generating function of the random variable Y = X1 + X2 + · · · + Xn is n gY (z) = i=1 gXi (z). . . . If gX (z) is the probability generating function of X . . evaluated at z = 1. . gXn (z).2. then E(X) = gX (1) (1) where gX (1) is the first derivative of gX (z) with respect to z . ∞ (1) (1) (1) = k=0 kP (X = k) = E(X) Theorem 7. . Xn are independent random variables with probability generating functions gX1 (z).Transforms (2) 201 gX (z) = 2P (X = 2) + 3(2)zP (X = 3) + 4(3)z 2 P (X = 4) + 5(4)z 3 P (X = 5) + . As above. in general gX (0) = n!P (X = n) (n) Theorem 7. gX (1) = P (X = 1) + 2P (X = 2) + 3P (X = 3) + 4P (X = 4) + . . Recall that if X and Y are independent random variables. . gX (0) = 3(2)P (X = 3) (3) (3) And. . then E(h(X)g(Y )) = E(h(X))E(g(Y )) . . .

.+Xn ) = E(z X1 z X2 · · · z Xn ) = E(z X1 )E(z X2 ) · · · E(z Xn ) = gX1 (z)gX2 (z) · · · gXn (z) Theorem 7. gY (z) = E(z Y ) = E(z a+X ) = E(z a z X ) = z a E(z X ) = z a gX (z) We offer Theorem 7. and a is a nonnegative. The probability generating function of a random variable uniquely determines its probability distribution.202 Transforms Therefore.5.5 without proof.4. If gX (z) is the probability generating function of X . Except for some technical details.1. We have. integer constant. then the probability generating function of the random variable Y = a + X is gY (z) = z a gX (z). Theorem 7.. Proof. it is a direct result of Theorem 7. gY (z) = E(z Y ) = E(z X1 +X2 +. Example: Let T have a Bernoulli distribution with parameter p. P (T = 1) = p P (T = 0) = 1 − p = q Then the probability generating function of T is given by gT (z) = z 0 q + z 1 p = q + zp .

T2 . Let X be (almost) any random variable. Example: Let X have a uniform distribution on the interval (a. . T1 . That is P (X = k) = n k (n−k) p q k for k = 0. 1. Moment generating functions Definition 7.4. n. Then the moment generating function for X is given by MX (t) ≡ E(etX ).2 to get E(X) from gX (z). . .Transforms 203 Example: Now suppose. Then   fX (x) = 1 b−a  0 if a ≤ x ≤ b otherwise . Definition 7. . One could obtain the probability generating function for X is given by computing gX (z) = E(z X ) = n k=0 zk n k (n−k) p q k But we can use Theorem 7. . Tn are n independent Bernoulli random variables each with P (Ti = 1) = p P (Ti = 0) = 1 − p = q We know (from Chapter 4) that X = T1 + T2 + · · · + Tn has a Binomial distribution with parameters n and p. .3 with the Ti ’s to easily get gX (z) = gT1 (z)gT2 (z) · · · gTn (z) = (q + zp)n As an exercise. . use Theorem 7. The kth moment about the origin of a random variable X is defined as E(X k ). b).3. .

. . we get tX ∞ MX (t) = E(e ) = k=0 etk ∞ e−α αk k! = e−α (αet )k k! k=0 t t −1) = e−α eαe = eα(e Note that since a Poisson random variable X has support {0. 2. 1. 1. we obtain gX (et ) = E[(et )X ] = E[etX ] = MX (t) Since the probability generating function for a Poisson random variable is gX (z) = eα(z−1) .204 Transforms Therefore. . . we can derive the following relationship: gX (z) = E[z X ] substituting z = et .}. . 2. MX (t) = E(etX ) = = = = = ∞ −∞ b a etx fX (x) dx etx 1 dx b−a b a 1 t(b − a) tetx dx b a 1 etx t(b − a) etb − eta t(b − a) for t = 0 Example: Let X have a Poisson distribution with parameter α > 0 Then pX (k) = e−α αk k! for k = 0. it can have a probability generating function and a moment generating function. When a random variable has both a probability generating function and a moment generating function. . Recalling that ex = ∞ k k=0 (x /k !).

σ 2 ). thus x = σs + µ and dx = σds. Therefore. 1965. 1. Example: Let X have an exponential distribution with parameter α > 0. Reading MA. Addison-Wesley. those random variables with probability generating functions). for every t. . Then 1 1 x−µ fX (x) = √ exp − 2 σ 2πσ Therefore. .1 ) Let X ∼ N (µ. . Continuing. MX (t) = 1 1 √ 2π +∞ −∞ exp[t(σs + µ)]e−s 2 /2 ds Meyer. 1 MX (t) = √ 2πσ +∞ −∞ 2 etx exp − 1 x−µ 2 σ 2 dx Let (x − µ)/σ = s. P. 2.Transforms 205 the moment generating function for a Poisson random variable must be MX (t) = gX (et ) = eα(e t −1) It’s important to remember that this relationship will only hold for random variables with support {0. Introductory probability theory and statistical applications. MX (t) = E(etX ) = 0 ∞ ∞ etx αe−αx dx αex(t−α) dx = 0 Note that this integral only converges if t < α..} (that is. . Then fX (x) = αe−αx if x ≥ 0 0 otherwise Therefore. MX (t) = = α x(t−α) ∞ e t−α 0 α for t < α α−t Example: (From Meyer.

MX (t) = E 1 + tX + (tX)2 (tX)3 (tX)4 + + + ··· 2! 3! 4! If the sum in the right hand side converges. . then ds = dv and we obtain MX (t) = etµ+σ 2 t2 /2 1 √ 2π . MX (t) = 1 + tE(X) + t2 E(X 2 ) t3 E(X 3 ) t4 E(X 4 ) + + + ··· 2! 3! 4! Take the first derivative of both sides to get . . Proof. . we get.206 +∞ −∞ +∞ −∞ Transforms 1 = etµ √ 2π 1 = etµ √ 2π = etµ+σ 2 t2 /2 1 exp(− 2 [s2 − 2σts]) ds exp{− 1 [(s − σt)2 − σ 2 t2 ]} ds 2 +∞ −∞ 1 √ 2π exp(− 1 [s − σt]2 ) ds 2 Now let s − σt = v .6. . MX (t) = E(X) + tE(X 2 ) + (1) t2 E(X 3 ) t3 E(X 4 ) + + ··· 2! 3! . then E(X k ) = MX (0) (k) for k = 0. 1. . we get . We have MX (t) = E(etX ) = E (tX)k k! k=0 ∞ (k) Writing out the sum explicitly. . 2. If MX (t) is the moment generating function of X . (Informal proof) Let MX (t) denote the k th derivative of MX with respect to t. +∞ −∞ e−v 2 /2 dv = e(tµ+σ 2 t2 /2) Theorem 7. . . .

. MXn (t). . respectively. . . and a and b are constants. Theorem 7. MX (0) = E(X 2 ) (2) Continuing. MX (t) = E(X k ) + tE(X k+1 ) + (k) t2 E(X k+2 ) t3 E(X k+3 ) + + ··· 2! 3! and when evaluated at t = 0. . Theorem 7. X2 . . . then the moment generating function of the random variable Y = X1 + X2 + · · · + Xn is n MY (t) = i=1 MXi (t). Example: If X ∼ N (µ. . σ 2 ) then the moment generating function for X is MX (t) = etµ+ 2 t 1 2 2 σ . . . The moment generating function of a random variable uniquely determines its probability distribution.8. .7. MX2 (t). . . If MX (t) is the moment generating function of X . . then the moment generating function of the random variable Y = aX +b is MY (t) = ebt MX (at). Xn are independent random variables with moment generating functions MX1 (t).Transforms 207 and when evaluated at t = 0. MX (0) = E(X) (1) Take the second derivative of both sides to get . .9. . we see that. MX (t) = E(X 2 ) + tE(X 3 ) + (2) t2 E(X 4 ) t3 E(X 5 ) + + ··· 2! 3! and when evaluated at t = 0. If X1 . . MX (0) = E(X k ) (k) Theorem 7. .

suppose you are given that the random variable X has a normal distribution with mean µ and variance σ 2 .208 Transforms So. 1). σ 2 ) then Z = (X − µ)/σ ∼ N (0. if you encounter a random Y with moment generating function MY (t) = et 2 /2 you can immediately say that Y ∼ N (0. . So the moment generating function for X is MX (t) = etµ+ 2 t 1 2 2 σ Consider the random variable Z= 1 µ X −µ = X− σ σ σ Using Theorem 7. Now. if someone tells you that the random variable W has moment generating function 2 MW (t) = e−2t+4t then the distribution of W must be N (−2. we have shown that if X ∼ N (µ. And. 1). 8). Therefore.8 with a= 1 σ and b=− µ σ we find that the moment generating function for Z is MZ (t) = ebt MX (at) = e−tµ/σ MX (t/σ) = e[− σ ] e = e = et 2 /2 tµ t [ σ µ+ t2 σ2 ] 2σ 2 [− tµ + tµ + σ σ t2 σ2 ] 2σ 2 which is the moment generating function of a normal random variable with expected value equal to zero and variance equal to one.

. . an and b are constants. σY ) where µY = b + n ai µi i=1 . Xn are independent normal random variables with 2 Xi ∼ N (µi . then n Y =b+ i=1 2 ai Xi ∼ N (µY . . X2 . σi ) and a1 . . Characteristic function Definition 7.5. a2 . . Let X be (almost) any random variable. .10.6. Note that the moment generating function for a continuous random variable X with probability density function fX (x) is MX (t) = ∞ −∞ etx fX (x) dx and the Laplace transform for the same density function is LX (t) = ∞ −∞ e−tx fX (x) dx So the moment generating function of a continuous random variable is simply the Laplace transform of the probability density function with t replaced by −t everywhere in the formula for the transform. Then the Laplace transform for X is given by LX (t) ≡ E(e−tX ). Linear combinations of normal random variables Theorem 7. Then the characteristic function for X is given by ψX (t) ≡ E(eitX ) √ where i ≡ −1. Let X be any random variable. if X1 . .Linear combinations of normal random variables 209 Other transforms of random variables Laplace transform Definition 7. .

. 16). X1 . X2 . 4).1587 3 Once again. T = X1 + X2 + X3 + X4 . we have X = 4 1 i=1 Xi ∼ N (6. i i=1 Example: The weights of snails are normally distributed with mean 6 gm. will exceed 28 gm. Therefore. suppose that 4 snails are selected at random.0456 . Since X1 . .? Since X1 . X2 . . . .8413 = 0. 3 Suppose that 4 snails are selected at random. Xn . Let X = 1 (X1 + 4 X2 + X3 + X4 ) denote the average weight of the 4 snails. 4). it is reasonable to assume that the weights of n snails chosen at random from the population of all snails are n independent identically distributed random variables. X2 . Xn . 1) = 1 − [P (Z ≤ 2) − P (Z ≤ −2)] = 1 − [P (Z ≤ 2) − (1 − P (Z ≤ 2))] = 2 − 2P (Z ≤ 2) = 2 − 2(0. . . . and variance 4 gm2 . with each Xi ∼ N (6. 4). we want to find P (|X − 6| > 2). . 1) = 1 − P (Z ≤ 1) = 1 − 0. . . Xn . Therefore. P (T > 28) = P 28 − 24 T − 24 > 4 4 = P (Z > 1) where Z ∼ N (0. 4 P (|X − 6| > 2) = 1 − P (|X − 6| ≤ 2) = 1 − P (−2 ≤ X − 6 ≤ 2) = 1−P −2 X −6 2 ≤ ≤ 1 1 1 = 1 − P (−2 ≤ Z ≤ 2) where Z ∼ N (0. we have T = 4 i=1 Xi ∼ N (24. That is. are iid with each Xi ∼ N (6. . 1). Therefore.210 Linear combinations of normal random variables and 2 σY = n 2 a2 σi . are iid with each Xi ∼ N (6. Let’s find the probability that the observed average weight deviates from the expected weight by more than 2 gm. and we would like to find the probability that the total weight.9772) = 0.

. X2 . . (Central Limit Theorem) If 1. . Xn . . is a random variable. Xn is a random sample with E(Xi ) = µ and Var(Xi ) = σ 2 for all i. Then n X ∼ N (µ. . . Therefore. . and 2. X2 . Remember that X . . MSn (t) = [M (t)]n . we can let M (t) denote the common moment generating function of each X1 . Since each Xi has the same moment generating function for all i. . . We will get the result by showing that the moment generating function for Zn must approach the moment generating function of a N (0. . X2 . First note that E(Sn ) = nµ and Var(Sn ) = nσ 2 . . the sample mean. σ 2 ) distribution. Xn . Let X = n 1 i=1 Xi . and 3. The Central Limit Theorem Theorem 7. Xn be a random sample from a N (µ. Sn = X1 + X2 + · · · + Xn . Zn = then n→∞ Sn − nµ √ . we can let M (t) denote the common moment generating function of each X1 . σ n lim P (Zn ≤ z) = Φ(z). 1) random variable. we get √ √ (1) MZn (t) = e−µ nt/σ MSn (t/(σ n)) Since each Xi has the same moment generating function for all i.The Central Limit Theorem 211 The distribution of the sample mean Let X1 .11. Proof. . Then MZn (t) = M Sn√ (t) = M −nµ σ n Sn √ − σ n √ nµ σ (t) Since MaY +b (t) = etb MY (at) for any random variable Y and any constants a and b. σ 2 /n). . X2 . and MZn (t) = e−µ √ nt/σ √ M (t/(σ n)) n We are going to need the following two facts: . . X1 . .

e.. for suitably large n. Hence. σ k! σ n k=1 Note that the natural log term looks like fact (B) with ξ= E(X k ) k! k=1 ∞ t √ σ n k . 2 . 1 ln MZn (t) = 0t + t2 + [other terms]. so ln MZn (t)   √ ∞  −µ nt (−1)j−1 = + n  σ j j=1 =  √ −µ nt + n σ ∞ j E(X k ) k! k=1 t √ σ n k t √ σ n ∞ k    E(X k ) k! k=1 ∞ 1 − 2 E(X k ) k! k=1 t √ σ n k 2  + · · · .212 E(X k ) k t k! k=1 (−1)j−1 j ξ j j=1 ∞ ∞ The Central Limit Theorem (A) M (t) = 1 + (B) ln(1 + ξ) = for |ξ| < 1. permitting us to use fact (B). we can make this summation as small as we want. E(X 2 ) − E(X)2 2σ 2 t2 + [other terms] But E(X) = µ and E(X 2 ) − E(X)2 = σ 2 . ξ ) will eventually be less than one. the summation (i. Collect similar powers of t to obtain √ −µ nt E(X) √ +n t+ ln MZn (t) = σ σ n Hence. Therefore. As n → ∞. Now. take the natural log of both sides of equation (1) and use fact (A): √ t −µ nt ln MZn (t) = + n ln M √ σ σ n √ ∞ k −µ nt E(X k ) t √ = + n ln 1 + . ln MZn (t) = √ (−µ + E(X)) n t+ σ E(X) 1 E(X)2 − 2!σ 2 n 2 σ 2 n t2 + · · · .

Tn be a random sample from a Bernoulli distribution. We already know that Sn = has a Binomial distribution with parameters n and p. that is let P (Ti = 1) = p P (Ti = 0) = 1 − p. 1) random variable. . .. . because of the Central Limit Theorem. that is P (Sn = k) = n k p (1 − p)n−k k for k = 0. So limn→∞ P (Zn ≤ a) = Φ(a). . lim ln MZn (t) = lim MZn (t) = et t2 . . Of course. Hence. n i=1 Ti Then E(Ti ) = p and Var(Ti ) = p(1 − p). However.12. T2 . 2 . .e. 2 n→∞ Therefore. But DeMoivre (1733) and Laplace (1812) proved a similar result for the following special case: Let T1 . . as the number of Bernoulli trials increases) the distribution of Zn = Sn − np np(1 − p) approaches the distribution of a N (0. DeMoivre and Laplace didn’t know about the Central Limit Theorem and had to prove this in a different way. . 2 /2 n→∞ which is the moment generating function for N (0. (DeMoivre-Laplace Theorem) As n gets large (i. 1). n. 1.2 we get the following Theorem 7.The Central Limit Theorem 213 But the “[other terms]” for tn with n ≥ 3 go to zero as n → ∞ because there is a power of n in the denominator of each of the “[other terms]” (expand the series further if you need convincing). The DeMoivre-Laplace Theorem A proof of the Central Limit Theorem was provided by Liapounoff in 1902.

The distribution of the sample mean for large n Let X1 . we get E(X) = µ Var(X) = σ 2 /n But. i=1 . σ 2 /n) distribution. Xn is a random sample with E(Xi ) = µ and Var(Xi ) = σ 2 but the distribution of the Xi is not normal. X2 . furthermore. we can still say that the probability distribution of the sample 1 mean X = n n Xi is approximately N (µ. this is not very useful (and not precise). . we get what is often called the “normal approximation to the binomial.214 The Central Limit Theorem Another (more casual) way to state the DeMoivre-Laplace Theorem is to say that as n → ∞. because of the Central Limit Theorem. σ 2 /n).13. the distribution of the random variable Sn approaches the distribution of a N (np. X2 . X2 . i=1 • If X1 . since X is composed of a sum of independent random variables. . σ 2 /n). . then for “large” values of n. And recall that the sample mean is defined as X= 1 n n Xi i=1 Simply using the rules for expected value and variance. (k−np)2 n k −1 e 2 np(1−p) p (1 − p)n−k ≈ √ 1 2πnp(1−p) k This approximation usually works well when np(1 − p) > 9. Xn be a random sample from (just about any) distribution with E(Xi ) = µ and Var(Xi ) = σ 2 . In the limit. Suppose n is an integer and 0 < p < 1. Then the probability distribution of the 1 sample mean X = n n Xi is N (µ. . . . because as n → ∞ both the mean np and variance np(1 − p) go to ∞. Xn is a random sample from a normal distribution with E(Xi ) = µ and Var(Xi ) = σ 2 . . . . Then. we can use the Central Limit Theorem to say that the probability distribution of X approaches a N (µ.” as follows: Corollary 7. np(1 − p)) random variable. But for finite n. Combining this fact with the case discussed on page 211. . we can summarize both results as follows: • If X1 . . .

1 Let X be a random variable with probability generating function g(z) = z + z5 + z6 3 The value of E(X) equals (A) 0 (B) 1 3 (C) 1 (D) 4 (E) none of the above.3 Suppose X is a random variable with moment generating function MX (t) = E(etX ) = e0. each with the same probability distribution as X .2 Suppose X ∼ N (2. choose the best response among those provided. 9) and Y ∼ N (2.5t 2 2 (B) 2e0.5199 (C) 0.9772 (E) none of the above. S7.1587 (B) 0. Then the moment generating function for Y = X1 + X2 is (A) e0. Then P (X + Y < 9) equals (approximately) (A) 0. S7. S7.8413 (D) 0. Answers can be found in Appendix B. 16) are independent random variables.Self-Test Exercises for Chapter 7 215 Self-Test Exercises for Chapter 7 For each of the following multiple-choice questions.5t (C) et 2 .5t 2 Let X1 and X2 be two independent random variables.

Then S = n Ti is the i=1 total number of good light bulbs in the batch. S7.50 . and {Ti = 0} if light bulb i is bad. then 3X − Y (A) has a normal distribution with mean 2 and variance 1 (B) has a normal distribution with mean 0 and variance 10 (C) has a normal distribution with mean 0 and variance 2 (D) has a normal distribution with mean 2 and variance 4 (E) none of the above. normally distributed random variables each with mean 0 and variance 1. S7. Then P (S ≥ 1) equals (A) 1 − pn (B) 1 − (1 − p)n (C) 2 ∞ √1 e−x /2 dx 1 2π (D) 1 (E) none of the above. . .216 Self-Test Exercises for Chapter 7 (D) e0. If p is the probability that any one light bulb is good. .5t 4 (E) none of the above. Let T1 . The value of P (X > Y ) is (A) 0 (B) 0. Suppose that a batch of n bulbs are selected at random. S7. .5 If X and Y are independent. 1) and Y ∼ N (0.6 Let X and Y be independent random variables with X ∼ N (0.05 (C) 0. Tn be n independent identically distributed random variables with {Ti = 1} if light bulb i is good.4 An automated assembly line produces incandescent light bulbs. then each Ti has probability mass function pTi (k) = 1−p p if k = 0 if k = 1 where 0 < p < 1. 2). T2 .

3. Then the random variables W1 = X + Y W2 = X − Y (A) have the same mean (B) have the same variance (C) are both normally distributed .8 Let X1 . normally distributed random variables each with mean 0 and variance 1.Self-Test Exercises for Chapter 7 217 (D) 0. X2 . 2.9 Let X and Y be independent. X4 be independent random variables. each with E(Xi ) = 0 and Var(Xi ) = 1 for i = 1. X3 . Let Y = X1 + X2 + X3 + X4 .7 Let X be a random variable with probability generating function g(z) = z(1 + z) 2 The value of P (X = 0) is (A) 0 (B) 1/4 (C) 1/2 (D) 1 (E) none of the above. S7. S7. S7. 4. Then Var(Y ) equals (A) 1/16 (B) 1/4 (C) 4 (D) 16 (E) none of the above.95 (E) none of the above.

The probability that Jack will need to make more than 100 trips to the well is (A) 0. Let Y be a random variable with moment generating function MY (s) = (1 − s)−1 .05 (B) 0. S7. If X and Y are independent. The amount of water carried on any trip is independent of all other trips. The amount of water he carries on any one trip from the well to the tank is normally distributed with mean 1 gallon and standard deviation 0.0636 . then X + Y + 1 has a moment generating function equal to (A) et (1 − t)−2 (B) (1 − t)−2 (C) 2et (1 − t)−1 (D) es (1 − t)(1 − s) (E) none of the above.12 Jack is attempting to fill a 100 gallon water tank using a one gallon bucket. Jack repeatedly goes to a well at the top of a hill. S7.10 Let X be a random variable with moment generating function MX (t) = et (1 + e2t ) 2 The value of E(X) is (A) 0 (B) 1 (C) 2 (D) 3 (E) none of the above.218 Self-Test Exercises for Chapter 7 (D) all of the above (E) none of the above.1 gallon. fills his one gallon bucket with water and brings that water down to the 100 gallon tank.11 Let X be a random variable with moment generating function MX (t) = (1 − t)−1 . S7.

2580 (D) 0. 2) and Y ∼ N (1.15 Let X be a discrete random variable with probability mass function given by 1 P (X = 0) = 3 P (X = 1) = 2 3 Then the moment generating function for X is (A) e2t/3 (B) (C) (D) 1 3 (1 1 2 (1 + 2et ) + et ) + e2t ) 1 t 2 e (1 (E) none of the above. The value of P (X − Y < 1) equals (A) 0 (B) 0. 2).3830 (C) 0.5 (C) 1 (D) P (X + Y < 1) (E) none of the above. S7. S7.5 (E) none of the above.Self-Test Exercises for Chapter 7 219 (C) 0.0 (E) none of the above. Then P (|X − Y | ≤ 1) equals (A) 0 (B) 0. 1) and Y ∼ N (0.6915 (D) 1. S7. .14 Let X and Y be independent random variables with X ∼ N (1. 2).13 Let X and Y be independent random variables with X ∼ N (0.

Let W = n Xi and define the random i=1 variable W − 2n Z= c Then Z ∼ N (0. identically distributed random variables with each Xi having a probability mass function given by P (Xi = 0) = 1 − p P (Xi = 1) = p where 0 ≤ p ≤ 1. . . n. Define the random variable Y = 1 n n Xi i=1 Then E(Y ) equals (A) 0 . S7.220 Self-Test Exercises for Chapter 7 S7. . 4) for i = 1. X2 . . . . Xn are independent random variables with each Xi ∼ N (2. . . 2. .17 Let X be a random variable with moment generating function MX (t) = et (1 + et ) 2 The value of E(X) is (A) 0 (B) 2 3 (C) 1 (D) 3 2 (E) none of the above. S7. .18 Let X1 . . 1) if and only if (A) c = 1 (B) c = n √ (C) c = 2 n √ (D) c = 2/ n (E) none of the above.16 Suppose X1 . . Xn be independent.

2 (a) Find P (X > 18 | X > 13).5)e26t + (0. 4). 16). 2−t What is the expected value for this random variable? 7.2 A random variable has the moment generating function M (t) = 2 . Y . (a) Compute P (X ≤ 30). 7. (d) Find the moment generating function for X .4 Let X be a random variable with nonnegative. Questions for Chapter 7 7.25)e49t .1 The probability generating function for a random variable X is given by g(z) = z 10 + z 20 . 7.5 Suppose that X . and Z are independent random variables with X ∼ N (1.3 The moment generating function for a random variable X is given by M (t) = (0. Y ∼ N (2. (c) Find E(|X − 15|). . (b) Find E(X). 9) and Z ∼ N (3.25)e27t + (0. M (t) = t (1 − p) 1−e What is the value of P (X = 0)? 7.Questions for Chapter 7 221 (B) p (C) p2 (D) 1 (E) none of the above. (b) Find E(X) and E(X 2 + 1). integer support and moment generating function p .

(a) What value should µ be adjusted to so that the producer can guarantee that the probability that the net weight of a box is less than one pound is only 0. each with E(Xi ) = 0 and Var(Xi ) = 1 for all i = 1.6 Let X1 . (a) Using Chebychev’s inequality. .01? 7. Xn be independent and identically distributed random variables. Hint: Don’t use Chebychev’s inequality. find a number a (that will depend on n). . Cartons of items have individual weights that are normally distributed with mean 25 pounds and standard deviation 2 pounds. . (b) Solve question (a) again using the additional information that each of the Xi is normally distributed.05? . You should be able to get this answer knowing the exact distribution of Xn .95. . . .7 A large forklift has a 0. (b) Find the number a such that P (3−4a < Z < 3+4a) = 0.9 A one-pound box of breakfast cereal never contains exactly one pound of product. . n. (c) Compute P [(X + Y + Z)2 ≤ 25]. These weights can be assumed to be independent and identically distributed. Explain the difference in your answers. The net weight (in pounds) is normally distributed with variance 0. Xn . .95 where X n denotes the sample mean of X1 . Approximately what is the probability that at least 1965 of the tosses will turn up heads? 7. . (c) Compare the answers to (a) and (b). . . 7. (d) Compute P [(3X − Z)2 > 52]. X2 . such that P (|X n | ≤ a) ≥ 0. X2 . 2.01 and mean µ that can be varied by adjusting the packaging equipment.222 Questions for Chapter 7 (a) Compute P (X + Y ≤ 1). 0. .5 ton (1000 pound) capacity.3174 7.8 A fair coin is tossed 5000 times. Approximately how many cartons can the forklift carry so that the probability that its total load exceeds its capacity is only 0.

then 3X − Y has a normal distribution with mean 0 and variance 10.28 pounds? 7. (a) Let X1 denote the fill-volume of a single bottle of PhizziSoda.11 True or False: If X and Y are normally distributed random variables with mean 0 and variance 1. the quantity of Phizzi-Soda in a single bottle is a random variable X .1 ounces and variance 0. (c) Let X = (X1 +X2 )/2 be a random variable representing the average fill-volume of the two bottles selected in question (b).10 The distribution of test scores on an examination is approximately normal with mean 70 and standard deviation 7. . Find P (X1 < 12). Let X1 and X2 be independent random variables denoting the fill-volume of each of the two bottles.Questions for Chapter 7 223 (b) What is the probability that a carton of 16 cereal boxes produced according to the specifications determined in part (a) will not exceed a total net weight of 19. When the automated filling machine is working properly. Find P (X1 > X2 ). (b) Suppose that two bottles of Phizzi-Soda are chosen at random. Hint: P (X1 > X2 ) = P (X1 − X2 > 0). Find P (X < 12).0025 (ounces)2 . Assume that X is normally distributed with mean 12. what is the probability that the average of their scores lies between 68 and 72? (c) What is the probability that the difference in the scores of two students (picked at random) lies between −5 and +5? 7. 7. (a) What is the probability of receiving a grade less than 80? (b) If 49 students take the test.12 The Phizzi Soft Drink Company’s best selling product is Phizzi-Soda that it sells in 12-ounce bottles.

16 Let X and Y be independent.15 Prove that if gX (z) ≡ E(z x ) is a probability generating function for X . then limz→1 gX (z) = 1. (a) Find Var(X). What is the probability that its weight is greater than 2. 16). 7. What is the probability that their total weight is greater than 25 kgm? (c) Suppose that ten packages of paper are weighed together. (b) Find P (X > Y ). (c) Compute P (|X − 1| < 4). normally distributed random variables with X ∼ N (1. (a) Find the number a having the property that P (Y > a) = 0.975.1 kgm? 7.14 Individual packages of writing paper have weights that are normally distributed each with mean 2 kgm and variance 0.5 kgm? (b) Suppose that ten packages of paper are weighed together. identically distributed random variables.13 Let X be a continuous random vector with probability density function given by 1/θ for 0 ≤ x ≤ θ fX (x) = . 9) and Y ∼ N (6.25(kgm)2 . (b) Find the moment generating function for X . Your answers to the following questions might depend on the constant θ. .224 Questions for Chapter 7 7. What is the probability that their average weight is greater than 2. (d) Compute P (0 ≤ X < 2). (a) Suppose that one package of paper is weighed. The weights of all packages can be considered independent. 7. 0 otherwise where θ is a constant with θ > 0.

The capacity of the swimming pool is 198869 gallons. 7. The amount of water transported varies from helicopter to helicopter. σ = 0.01 cm.10 cm. Let Y = n Xi be a random variable denoting the total water carried by i=1 all of the n = 200 helicopters. . σ = 0.04 cm. But it is well-known that the amount of water (in gallons) carried by a single helicopter can be represented by a random variable that is normally distributed with mean 1000 and variance 1600. . The amount of water carried the 200 individual helicopters can be assumed to be a collection of independent and identically distributed random variables X1 . Gutts can fill his swimming pool using the 200 helicopters? . . wants to fill one of the swimming pools at his mountain-top home. (a) Find E(Y ) and Var(Y ) (b) What is the probability that Mr. a cylindrical rod with a circular cross-section has to fit into a circular socket. one of the wealthiest men on earth. Gutts plans to transport the water to the mountain-top pool using a fleet of 200 helicopters with each helicopter carrying a small water-tank.18 At one stage in the assembly of an article.Questions for Chapter 7 225 7. For that reason. Y2 . Socket diameter: µ = 5. show that if Y1 . then n W = i=1 Yi is a log-normal random variable. Xn with n = 200. The elevation of the pool (and his home) is very high so that it is impossible to pump water up the mountain.03 cm. . . X2 . . Quality control measurements show that the distribution of rod diameter and socket diameter are independent and normal with parameters: Rod diameter: µ = 5. what proportion of rods will not fit? 7. . .17 Referring to the previous question. Yn are independent log-normal random variables. Mr. If the components are selected at random for the assembly.19 Bill Gutts.

Use the Central Limit Theorem to find the approximate probability that Mr.20 (†) Suppose X and Y are independent random varaibles. How many helicopters should he use? (d) In an E-mail message.50. even for a wealthy guy like Mr. Mr. Gutts can fill his swimming pool if he uses 200 helicopters. Instead it is has a uniform distribution on the interval (930.718. Gutts is given the bad news that the amount of water carried by each helicopter does not have a N (1000. That is. 1/2 if k = 0 P (Y = k) = 1/2 if k = 1 Find the probability distribution of the random variable W = X + Y . Suppose Mr. .226 Questions for Chapter 7 (c) Helicopters are very expensive.282). 1). 1069. The continuous random variable X has a uniform distribution on the interval (0. Gutts would be happy if the probability that his swimming pool is completely filled is only 0. That is. 7. X has density function fX (x) = 1 if 0 < x < 1 0 otherwise The discrete random variable Y is a Bernoulli random variable with p = 1/2. Gutts. 1600) distribution.

A random sample is any sequence.2. . .. .. . of independent. . X2 . identically distributed random variables. . A statistic is any function. 227 .1. . X2 . θ) = 1 1 −θx θe 0 x>0 otherwise where θ is unknown. x2 . If a continuous random variable X has an unknown parameter θ. Then a random sample. Xn of independent. . . θ) = 1 1 − θ (x1 +x2 +···+xn ) θe 0 xi > 0 for all i otherwise Statistics Definition 8. X1 . θ). Example: Let X have an exponential distribution with probability density function fX (x. .. . h(X1 . X2 . . . .. identically distributed random variables. xn . Salada TM tea bag tag Basic Concepts Random samples Definition 8. . we often write it’s probability density function as fX (x. X1 .Xn (x1 .8 ESTIMATION Good and bad luck are often mistaken for good and bad jusment – ANONYMOUS.X2 . Xn representing n independent observations from this random variable has a joint probability density function given by fX1 . . Xn ).

X2 . i=1 . Example: Let X1 . . θ(X1 . Let X1 . . . ˆ 3. X2 . . Xn ) = X1 ˆ The random variable θ is the first observation. . . . Xn be a random sample. . . . . There are two important statistics that arise so frequently that they are given special symbols: Definition 8. θ(X1 . X2 . . Xn ) ˆ The random variable θ is the largest of the observations. Note: Any function of a random sample can be called a statistic. . Then the following are statistics: 1 ˆ 1. Xn ) = max(X1 .228 Basic Concepts If a statistic is being used to establish statistical inferences about a particular ˆ unknown parameter θ. . θ(X1 . . Xn be a random sample. . Xn ) = n n Xi i=1 ˆ The random variable θ is the average of the observations. . . X2 . θ(X1 . X2 . X2 . . with the others discarded. then it is often written as θ(X1 . n ˆ 2. . . ˆ 4. . . . Xn ). The sample mean is the statistic 1 n X≡ Xi n i=1 and the sample variance is the statistic s2 ≡ X n 1 n−1 (Xi − X)2 . . . . Xn ) = i=1 Xi ˆ The random variable θ is the product of the observations. . X2 . X2 . . Xn as representing the future data values that will be obtained by making n independent observations of our experiment.3. . . . . . . You can think of the random variables X1 . X2 . .

We call the random variable θ(X Since any statistic can be called an estimator of any parameter. . Xn ) = n is an unbiased estimator for θ. .5. X2 . ˆ E(θ) = θ for all θ. . . we will have to find ways to distinguish good estimators from poor estimators. We will call the number θ(x1 . ˆ ˆ Applying the function θ to these observations yields the number θ(x1 . Xn ) has been already been selected for use. i. . θ). . . .. x2 . Xn be a random sample from a discrete random variable X with probability mass function pX (x. value of θ. A random sample X1 . . . The likelihood function for . Example: Let X be a discrete random variable with probability mass function given by pX (0) = 1 − θ and pX (1) = θ. X2 . Xn is a random sample from X then 1 ˆ θ(X1 . X2 . Xn .e. .4. xn ) our estimate for the ˆ 1 . xn ). . Let x1 . . . . . . . X2 . xn denote the actual observed values taken on by X1 . . where θ is unknown. . . Let X1 . X2 . . X2 . . x2 . θ) that is completely determined except for the unknown constant θ. x2 . Xn ). . If X1 . . . . . . Xn is to be drawn from this distribution. Xn ) an estimator for θ. . . X2 . n Xi i=1 Finding Estimators Method of maximum likelihood Definition 8. . . . . . . . . Unbiased estimators ˆ Definition 8. Suppose that a statistic ˆ θ(X1 . . .Point Estimation 229 Point Estimation The problem Let X be a random variable with cumulative distribution function FX (x. This number can be thought of as an actual observation of the random variable ˆ ˆ θ(X1 . X2 . The estimator θ is an unbiased estimator of θ if its expected value equals θ. . . .

. θ) = i=1 pX (xi . . . . S8.1 Suppose that X1 . . x2 . . . x2 . . .e. . . . xn . X2 . . X is a continuous random variable with probability density function fX (x. x2 . θ). The answer can be found in Appendix B. ˆ For example. θ). . an unbiased estimator for θ (i. θ). xn . we can look at its performance prior to actually making the observations x1 . If. . Xn ). xn . x2 . x2 . . . . . xn . Then an unbiased estimator for µ is (A) (X1 )(X2 ) · · · (Xn ) (B) (X1 + X2 )2 /2 (C) 1 n n i=1 Xi . Xn are independent identically distributed random variables each with marginal probability density function 1 1 fXi (x) = √ e− 2 σ 2π x−µ 2 σ for −∞ < x < +∞. . then the likelihood function is given by n L(x1 . . Xn is given by n L(x1 . . . . choose the best response among those provided. . xn . instead. . ˆ To evaluate the properties of θ. . one of the properties that we might like to check for is whether θ is ˆ = θ). θ) = i=1 fX (xi . X2 . namely θ(x1 . x2 . Maximum likelihood estimators are obtained by finding that value of θ that maximizes L for a given set of observations x1 .. xn . . Since the value of θ that does this will usually vary with x1 . . . θ can be thought of as a function of ˆ x1 . X2 . . xn ). . That is we can substitute Xi for xi in the ˆ specification for θ and look at its properties as the statistic ˆ θ(X1 . x2 . . . . .230 Self-Test Exercises for Chapter 8 X1 . . check to see if E(θ) Self-Test Exercises for Chapter 8 For the following multiple-choice question. . where σ > 0. . .

2. 8. . . ˆ (a) Show that θ = X1 /n is an unbiased estimator for θ. pX (k . 8. Suppose that E(Xi ) = θ and Y = n ai Xi where a1 . . a2 . . . n.Questions for Chapter 8 231 (D) σ (E) none of the above. ˆ (b) Show that θ = X1 /n is the maximum likelihood estimator for θ. 1.e. . on a page of text has a Poisson distribution with parameter λ.2 Let Y be an estimator for θ based on the random sample X1 .4 The number of typographical errors. . θ) = n k θ (1 − θ)n−k k for k = 0. . an are i=1 constants. Xn be a random sample from X . .. . . i. Questions for Chapter 8 8. .e. . . . . k! for k = 0. λ) = λk e−λ .. . (c) Find the maximum likelihood estimator for η = 1/θ.1 Let X be a random variable with a binomial distribution. . . pX (k . X2 . i. (a) Find an estimator for θ using the method of maximum likelihood.. . . an in order for Y to be an unbiased estimator for θ? 8.3 The life of a light bulb is a random variable X which has probability density function 1 1 −θx x>0 θe fX (x. X . . A random sample of n pages are observed . . What constraint must be placed on a1 . θ) = 0 otherwise Let X1 . Let X1 be a random sample of size 1 from X . a2 . (b) Is the estimator for part (a) unbiased? Justify your answer. X2 . 1. Xn .

(b) Is the estimator for part (a) unbiased? Justify your answer. . 8. . There are n such pairs. X X . X2 . Xn consider the statistic d2 formed by averaging the squared differences of all possible pairings of {Xi . Xj }.232 Questions for Chapter 8 (a) Find an estimator for λ using the method of maximum likelihood. . .5 Given the random sample X1 . That statistic can be represented as 2 d2 ≡ X 1 n 2 i>j (Xi − Xj )2 Prove that d2 = 2s2 .

2. n pX (k) = n k p (1 − p)n−k k k = 0. . . Let T1 . . . Tn be a sequence of n independent and identically distributed Bernoulli random variables. 1. then pX (k) = n k p (1 − p)n−k k k = 0. A Bernoulli trial is an experiment with only two outcomes. . . . . 2. . . Definition 9.2. .1. n 233 . n The binomial distribution Support: Probability mass function: 0. . . 2. Note: X denotes the total number of successes from n independent and identically distributed Bernoulli trials. Let X = n i=1 Ti . Then X is said to have a binomial distribution. Theorem 9. 1. These outcomes are conventionally called success and failure.9 PROBABILITY MODELS Coin Tossing (Binary) Models Definition 9. A Bernoulli random variable. . . . 1.3. T is a random variable with a probability mass function given by pT (0) = 1 − p pT (1) = p Definition 9. If X is a binomial random variable with parameters n and p.1. with P (Ti = 1) = p for all i. T2 .

2)4 = 0.2)3 (0. 1.0064 . P (Y = 4) = (0.8)3 (0.234 Coin Tossing (Binary) Models g(z) = (zp + (1 − p))n MX (t) = (et p + (1 − p))n E(X) = np Probability generating function: Moment generating function: Moments: Notation Var(X) = np(1 − p) If X has a binomial distribution with parameters n and p.2. It therefore remains operational for an entire day with probability 0. 1 zp for |z| < g(z) = 1 − z(1 − p) 1−p tp e MX (t) = 1 − et (1 − p) E(X) = 1/p Var(X) = (1 − p)/p2 Example: A computer breaks down at least once a day with probability 0.8. P (X = 3) = 7 (0. What is the probability that it breaks down exactly 3 days out of a week? Solution: Let X denote the number of breakdowns. 2. What is the probability that it is operational for 3 days in a row before a breakdown? Solution: Let Y denote the number of days until a breakdown. . we often write X ∼ B(n.8). . pX (k) = p(1 − p)k−1 k = 1. . 1.8) = 0. . . The geometric distribution Support: Probability mass function: Probability generating function: Moment generating function: Moments: Note X denotes the number of independent and identically distributed Bernoulli trials required until the first success (counting the successful trial). 0. p). . Hence.287 3 2. 2. X ∼ B(7.

pX (k) = e−α αk k = 0. then for “large” n and “small” p P (X = k) = n k e−np (np)k p (1 − p)n−k ≈ k! k Random Particle Models n The expected number of particles per interval of length one is equal to α. X is a binomial random variable with parameters n and p = α/n. . 2. 1. P (X = k) = n k α n k  1 1− α n n−k .2. . . . 1. . Therefore. . What is the probability that there are exactly k particles in the unit interval? Let X denote the number of particles in the unit interval. 2. Suppose the interval is divided into n equal segments with at most one particle placed in any segment. If X is a binomial random variable with parameters n and p. k! g(z) = eα(z−1) for |z| < 1 MX (t) = eα(e E(X) = α t −1) Var(X) = α Theorem 9.Random Particle Models 235 The Poisson distribution Support: Probability mass function: Probability generating function: Moment generating function: Moments: 0.

Taking the limit as n gets large (the segment widths decrease) we obtain lim P (X = k) = 1(1)(1) · · · (1) = e−α αk k! αk −α e k! n→∞ for k = 0. . .236 −k Random Particle Models αk k! n = 1− α n n n n−1 n−k+1 ··· n n 1− α n for k = 0. . 2. 1.1)? Theorem 9. . This limiting particle process is called the Poisson Process with α = expected number of occurrences per unit interval X = number of occurrences in a unit interval and the probability mass function for X is given by pX (k) = αk e−α k! k = 0. . W (see Figure 9. . . n. 1. . 2.1).. fW (w) = αe−αw 0 if w ≥ 0 otherwise . Each of the Yi are independent and identically distributed random variables with probability density function given by fYi (y) = αe−αy 0 if y ≥ 0 otherwise Question: Suppose a person begins to observe the process at time t0 chosen independently of the future of the process? What is the distribution of the waiting time to the next occurrence. . 2.3. 1. . Let Yi denote the interarrival time between occurrences i − 1 and i (see Figure 9.

Answers can be found in Appendix B. choose the best response among those provided. let Y denote the profit from selling a box of Cheapy flashbulbs.1: Interarrival and waiting times Self-Test Exercises for Chapter 9 For each of the following multiple-choice questions. S9. What is the probability that every bulb in a box is good? (A) 0 (B) p (C) 1 − p (D) pn (E) none of the above. Cheapy will refund the purchase price of the entire box to the customer. Flashbulbs are packed n to a box. The company sells each bulb for r cents. If any of the bulbs in a box is bad. The value of E(Y ) is (A) 0 .2 Using the information in the previous question.1 It costs the Cheapy Flashbulb Company c cents to manufacture a single flashbulb. S9.Self-Test Exercises for Chapter 9 237 Yi t i-1 W t t0 i Figure 9. Note that Y may be negative. The probability that any one bulb is good is p > 0 and it is independent of all other bulbs.

the loss incurred (from the shutdown plus repair costs) equals (x2 + x). arriving at a refinery each day has a Poisson distribution with parameter α = 3. Let P be the random variable representing the total profit from running the machine for t hours. The number of breakdowns during any period of length t hours is a random variable with a Poisson distribution with parameter t. If four independent pieces of lumber are examined. Suppose that X has a Poisson distribution with E(X) = α > 0.3 The number of knots in a piece of lumber is a random variable. X .238 Questions for Chapter 9 (B) n(rp − c) (C) nrpn − nc (D) nrpn + nc − 2ncpn (E) none of the above. this machine breaks down at unexpected and unpredictable times. If more than 2 tankers arrive in a day. (b) Find the length of time the machine should be operated to maximize the expected profit. Questions for Chapter 9 9. the probability that they all have no knots is (A) 1/4 (B) 4e−α (C) e−4α (D) α4 e−4α (E) none of the above. when running properly. S9. However. (a) On any given day.1 A complicated piece of machinery. N . the excess tankers must be sent to another port. what is the probability of having to send tankers away? . (a) Find E(P ) as a function of t. If the machine breaks down x times during the t hours. Present port facilities can service 2 tankers each day. 9.2 The number of oil tankers. can bring a profit of c dollars per hour (c < 2) to a firm.

what is the probability of finding zero. what is the expected total fees collected in one day? (g) How much must the present facilities be increased to assure that the expected total fees collected in one day is at least $30000? 9. If 5 P i=1 Xi = 5 = r. If the errors are independent. or more than one incorrect digit in a binary number? If a computer forms 106 such 32-digit numbers per second.002.Questions for Chapter 9 239 (b) How much must the present facilities be increased to permit handling all tankers on approximately 80% on the days? (c) What is the expected number of tankers arriving per day? (d) What is the expected number of tankers serviced daily? (e) What is the expected number of tankers turned away daily? (f) If a fee of $10000 is collected from each tanker serviced. each with P (Xi = 1) = p. then what is the value of p in terms of r? .4 Suppose that a book of 620 pages contains 55 typographical errors. X4 . (a) What is the average distance between cars? (b) What is the probability that the distance between any two cars is greater than 10 miles? 9.5 In forming binary numbers with 32 binary digits. selected at random. If these are randomly distributed throughout the book. will be free of errors? 9.6 Let X1 . one. what is the probability that an incorrect number is formed during any one-second time period? 9. X5 be independent and identically distributed Bernoulli random variables.3 Suppose cars on a very long test track travel at exactly 50 miles per hour and pass a check point on the track according to a Poisson process at a rate of 5.2 cars/hour. X3 . what is the probability that 10 pages. X2 . the probability that an incorrect digit will appear is 0.

with a simple link connecting exactly two molecules (see diagram below) .240 Questions for Chapter 9 9.7 A chromosome can be considered a string of molecules.

005 of breaking. (c) Consider the number of molecules on the smaller chains that result from the breakup.001. thus breaking the section into smaller chains. The probability that any one word has a parity error is 0.    Suppose a section of a chromosome consists of 1000 such links (and 1001 molecules). (a) Let N be the number of links broken. In recombinant DNA experiments. Each link has a probability 0. some of these links are broken. Approximately what is the probability that an error cycle will be longer than two minutes? . Approximately what proportion of these chains will contain at least 200 molecules? 9.8 A computer transmits 1000 words per minute. Parity errors are generated independently from one word to the next. (a) Approximately what is the probability of generating at least 2 words with parity errors in a one minute period? (b) An error cycle is the time between successive words with parity errors. and each link breaks independently of the others. What is the actual probability mass function for N ? (b) Compute the approximate probability that exactly 4 smaller chains result from the breakup.

If p1 = p2 then Y = X1 + X2 has a Binomial distribution. The number of knots from piece to piece can be assumed to be independent. . .11 (†) Suppose X1 and X2 are independent Binomial random variables with P (X1 = k) = P (X2 = k) = n k p (1 − p1 )n−k k 1 n k p (1 − p2 )n−k k 2 for k = 0. n for k = 0. 1. . (a) What is the probability that a piece of lumber is unsatisfactory? (b) What is the expected number of unsatisfactory pieces in a load of 500 pieces? (c) What is the probability that all of the 500 pieces are satisfactory? 9. n (a) Prove or give a counterexample: Suppose 0 < pi < 1 for i = 1. . . If a piece has any knots. 1.Questions for Chapter 9 241 (c) A shift change in computer personnel takes place at 8:00 am each day. it is considered unsatisfactory. (a) What is the average length of the cut glass rods? (b) What fraction of the rods will have a length greater than one foot? 9. . To produce “perfect” glass rods. .9 The number of knots in a piece of lumber has a Poisson distribution with an average of 2 knots per piece. Small imperfections appear in the continuous rod according to a Poisson process with an average of two imperfections per foot of glass rod. . . 2. What is the probability that the computer operator on the new shift will wait at least two minutes for the first parity error on that shift? (d) What is the probability that no parity error occurs between 10:00 and 10:02 am? 9. the continuous rod is cut at each imperfection.10 Glass rods are manufactured by cutting a continuous glass rod leaving a production machine.

Z .242 Questions for Chapter 9 (b) Prove or give a counterexample: Suppose 0 < pi < 1 for i = 1. 2 and let Y = X1 + X2 . but for larger x (say x = 100) the “quick” solution is very wrong. Introductory Probability and Statistical Applications. 2. (b) Show that as M → ∞ P (Z = k) ≈ e−α ak k! for k = 0. A single bottle requires 1 kg of molten glass. small particles in the molten glass cause individual bottles to be defective. A defective bottle may have more than one particle. . has probability distribution P (Z = k) = n k α n k 1− α n n−k for k = 0.. 1. Let W = Y − n. (d) Finally. 1965 . On average. (c) Suppose 0 < pi < 1 for i = 1. . on average. If we wanted to compute the expected percentage of defective bottles. the expected percentage of defective bottles equals d(x) = 100(1 − ex/100 ). (ii) W as p2 → 1. the number of particles in a randomly chosen bottle. we have d(x) ≈ x. x particles. P. show that for small x. (c) Show that. 9. 1. If p1 = p2 then Y = X1 + X2 cannot have a Binomial distribution. n where n = xM and α = x/100. Addison-Wesley. the quick (and wrong) answer would be x percent. 1 Meyer. . for large M . (a) Show that for M 100 kg batches of bottles. Note that the molten glass required for 100 bottles contains. Assume that: (a) every particle may appear in any bottle with equal probability. there are x particles in a batch of 100 kg of molten glass. . . .12 (†) (from Meyer1 ) In the manufacturing of glass bottles. Find the limiting distribution for each of the following random variables: (i) Y as p2 → 0. . and (b) the distribution of any particle among the bottles is independent of all other particles.

2. . 9. 10. . Each bulb has a probability be being defective equal to 0. Since one fourth of the slices sold by Pip are pepperoni. Bonkers is selling his house. (b) Let X = T1 + T2 + · · · + T10 denote the total number of defective bulbs in a box of 10 bulbs. T10 are independent. He decides he will accept the first offer exceeding c dollars. . for a box of 10 bulbs T1 . . identically distributed random variables with P (Ti = 0) = 0. (a) Find the probability mass function for N . (c) Find P (X = 0). Let N be the number of offers needed to sell the house. .14 (†) Mr. every pizza that Pip prepares has pepperoni on only one of the .1.13 The Youbee Light Bulb Company manufactures electric light bulbs. There are four slices in each pizza. Let the Bernoulli random variable Ti equal 1 if bulb i is defective and 0 if the bulb is non-defective. .1 for all i = 1. Therefore. (b) Find E(N ) (c) Find the cumulative distribution function for Y . Compute E(X) and Var(X). . Defects from one bulb to the next can be assumed to be independent random variables. . where c is a positive constant.Questions for Chapter 9 243 9. find FY (y) = P (Y ≤ y). . are independent identically distributed random variables (in dollars) each with cumulative distribution function FX (x). Clearly justify each step of your answer.9 P (Ti = 1) = 0. Suppose the offers X1 . . That is. (a) Compute E(Ti ) and Var(Ti ) for every i.15 (†) Pip’s Pizza Shoppe sells pepperoni and plain pizza by the slice. T2 . X2 . 9. Let Y be the actual selling price of the house.

a major oil company says that one fourth of all cars have at least one underinflated tire. X2 . Suppose that any tire becomes underinflated independently and with the same probability for each tire on every car. (a) Suppose 20 customers visit Pip’s Pizza Shoppe on a particular day. . 9. represent the slices sold by Pip with Xi = 1 if slice i is pepperoni. . X2 = 0. the current customer wants pepperoni but Pip has no pepperoni slices available or the current customer wants plain but Pip has no plain slices available. See the following diagram: Let the independent random variables X1 . would require that Pip bake a second pizza before selling all of the slices in the first pizza. (c) (††) What is the probability that Pip must bake a pizza to satisfy the request of the current customer? That is. . What is the probability that Pip must bake a another pizza before selling all of the slices in the current pizza? Hint: Find the probability that he doesn’t need to bake another pizza. The remainder of the pizza is plain. Each car has 4 tires. . . What is the probability distribution for the random variable Y ? Hint: There is only one pepperoni slice per pie. X3 = 1. .16 (†) In a radio advertisement. Assume that Pip never throws away any slices of pizza during the day.244 Questions for Chapter 9 four slices. Note that a sequence such as X1 = 1. X4 = 0. (b) Suppose Pip has just taken a freshly baked pizza out of the oven and suppose that there are no other unsold slices. Let the random variable Y denote the number of pizzas that Pip must bake that day. and Xi = 0 if it’s plain. X5 = 0. .

What is the probability that the tire in underinflated? (b) Suppose a parking lot contains 10 cars.Questions for Chapter 9 245 (a) Suppose we select a car at random. We plan on testing the air pressure for every tire on every car. Let the random variable X represent the number of tires (out of the 40) that are underinflated. and then select a tire on that car at random. What is the probability distribution for X? .

246 Questions for Chapter 9 .

| (z)| < 7. New York (1970).330274429 t= b3 = 1. Inc.31938153 b2 = −0. (1970)..10 APPROXIMATIONS AND COMPUTATIONS These numerical approximations are from a book by Abramowitz and Stegun. Dover Publications.781477937 With this approximation.1 Approximation for the Normal Integral Let Z be a standard normal random variable. that is the probability density function for Z is given by 1 2 1 φ(z) = √ e− 2 z 2π −∞<z <∞ Let Q(z) ≡ P (Z > z). I. 247 .nist. Handbook of Mathematical Functions. M. This handbook is being published as a reference source on the World Wide Web at http://dlmf.356563782 b4 = −1. that is Q(z) = ∞ z 1 2 1 √ e− 2 t dt 2π For z ≥ 0 the following approximation can be used to compute Q(z): Q(z) = φ(z)(b1 t + b2 t2 + b3 t3 + b4 t4 + b5 t5 ) + (z) where 1 r = 0.2316419 1 + rz b1 = 0.821255978 b5 = 1. 1 Abramowitz. and Stegun.gov/.5 × 10−8 .

1). find the corresponding z that satisfies the above integral equation. 0.5 × 10−4 . the following approximation can be used to compute z : z =t− c0 + c1 t + c2 t2 + (Q) 1 + d1 t + d2 t2 + d3 t3 where 1 Q2 c1 = 0.248 Questions for Chapter 10 Approximation for the Inverse Normal Integral Let Z be a standard normal random variable. 0.189269 t= ln c0 = 2. 10.05.5. | (Q)| < 4.00 in increments of 0.1 Write a computer program to generate a table for the cumulative distribution function of the standard normal distribution for −3. For a given 0 < Q < 0. that is Q= ∞ z 1 2 1 √ e− 2 t dt 2π The problem is.50.99. that is the probability density function for Z is given by 1 2 1 φ(z) = √ e− 2 z 2π −∞<z <∞ Let Q = P (Z > z). 0.95 and 0.01. Write a computer program to find z when P (Z ≤ z) = 0.515517 d0 = 1. Questions for Chapter 10 10.25.010328 d2 = 0.001308 With this approximation.802853 d1 = 0. . for a given 0 < Q < 0.432788 c2 = 0.01.00 ≤ z ≤ 3. 0.2 Let Z ∼ N (0.5.

Appendix A TABLES Page Table I Table II Standard Normal Cumulative Distribution Function Some Common Probability Distributions 250 251 249 .

5793 0.6406 0.8888 0.9441 0.8944 0.6217 0.9830 0.7939 0.9887 0.9452 0.9929 0.7422 0.9713 0.9545 0.8686 0.9177 0.9115 0.9418 0.9904 0.8508 0.9236 0.9896 0.6808 0.9985 0.9970 0.6772 0.9306 0.9956 0.5 1.9957 0.0 0 0.9726 0.9878 0.9394 0.2 1.9871 0.9864 0.9850 0.9686 0.9973 0.2 1.9901 0.6255 0.9909 0.7764 0.7580 0.9554 0.9960 0.9573 0.9664 0.3 2.9147 0.6591 0.9986 0.3 -1.9925 0.8729 0.5438 0.9977 0.8980 0.9838 0.20 0.9975 0.5 -1.5753 0.8643 0.8159 0.7 0.9162 0.9798 0.6700 0.9962 0.7 1.9875 0.9945 0.9979 0.7881 0.9971 0.7967 0.9788 0.9982 0.6141 0.9591 0.9066 0.9525 0.8238 0.9750 0.5000 0.9821 0.9 3.6554 0.9959 0.4 2.9778 0.0 0.9881 0.8577 0.9370 0.6331 0.9940 0.9987 2 0.9292 0.5080 0.9656 0.9099 0.8962 0.9812 0.9484 0.6736 0.1 0.8 1.8340 0.9966 0.8708 0.9582 0.00 0.9429 0.8 -1.9955 0.250 Table I: Standard Normal Cumulative Distribution Function TABLE I: STANDARD NORMAL CUMULATIVE DISTRIBUTION FUNCTION 0.9913 0.8051 0.7 a 1.7454 0.9943 0.9783 0.9495 0.8365 0.9599 0.9916 0.6879 0.8810 0.6 -0.9808 0.9976 0.9131 0.9319 0.9 1.9941 0.6064 0.9693 0.5596 0.8849 0.8 2.9893 0.5040 0.9207 0.6368 0.9032 0.1 2.9927 0.1 1.8907 0.5398 0.9987 3 0.8599 0.9345 0.8830 0.7291 0.9744 0.9222 0.9756 0.9977 0.9936 0.7910 0.5636 0.2 0.2 z z a 0.8665 0.8264 0.5199 0.5557 0.9990 9 0.6293 0.9793 0.9918 0.9 -0.9965 0.9767 0.8997 0.9817 0.8413 0.9861 0.9015 0.9719 0.8186 0.8023 0.9985 0.7486 0.6443 0.9981 0.6985 0.5279 0.4 1.9920 0.6103 0.3 0.3 0.9898 0.9964 0.5 0.6844 0.5160 0.9968 0.9842 0.5478 0.9974 0.1 -0.9981 0.9671 0.8749 0.4 -0.9857 0.25 0.6517 0.9948 0.5871 0.9678 0.8212 0.8389 0.7823 0.6664 0.9989 7 0.7611 0.9969 0.9952 0.8790 0.9406 0.5517 0.2 2.40 Φ(a) ϕ(z) z 0.8925 0.0 2.9732 0.7224 0.9382 0.7357 0.8621 0.9984 0.9938 0.7157 0.9082 0.9989 8 0.8485 0.9192 0.5832 0.5714 0.7794 0.9988 5 0.9564 0.7852 0.9906 0.9846 0.9967 0.8438 0.9984 0.9911 0.9633 0.5120 0.9953 0.7019 0.05 0.35 0.9265 0.3 1.30 0.15 0.6026 0.6179 0.9826 0.9699 0.9922 0.6480 0.9982 0.9931 0.9989 6 0.9983 0.7734 0.9972 0.9980 0.9625 0.0 1.9946 0.9649 0.9990 .8 0.9535 0.6628 0.9803 0.9616 0.7389 0.9474 0.9761 0.5 1.6 0.9890 0.7190 0.5359 0.8531 0.0 1.5 0.9251 0.9357 0.9932 0.9961 0.9974 0.7054 0.7642 0.9986 0.9854 0.7673 0.9834 0.6950 0.9505 0.8554 0.9772 0.9332 0.9988 4 0.7088 0.8315 0.5675 0.7123 0.9608 0.8461 0.9706 0.9979 0.9641 0.8 1.8869 0.4 0.9279 0.9515 0.8289 0.1 0.7324 0.9 Φ(a) = a a ϕ(z) dz = −∞ −∞ 1 2 √1 e− 2 z 2π dz -2.9 2.9951 0.9463 0.9987 1 0.8770 0.9934 0.5319 0.6 2.7 2.9049 0.6915 0.5239 0.8106 0.0 -1.5987 0.5910 0.9738 0.9978 0.10 0.6 1.7549 0.9949 0.7257 0.5 2.7704 0.9884 0.8078 0.7995 0.8133 0.5948 0.7517 0.9868 0.9963 0.

1. 1 p p(1 − p) et p + (1 − p) binomial disc n. . 1. . 2. . . a≤x≤b uniform cont a<b fX (x) = 1 b−a a+b 2 (b − a)2 12 ebt − eat (b − a)t TABLE II: SOME COMMON PROBABILITY DISTRIBUTIONS exponential cont α>0 fX (x) = αe−αx x≥0 1 α 1 α2 α α−t r gamma cont r ≥ 1. . α > 0 fX (x) = α (αx)r−1 e−αx Γ(r) x−µ 2 σ x≥0 r α −∞ < x < ∞ µ r α2 σ2 α α−t e(tµ+σ normal cont µ. n np np(1 − p) (et p + (1 − p))n geometric disc 0≤p≤1 pX (k) = (1 − p)k−1 p k = 1. 1 p α α 1−p p2 pet 1 − (1 − p)et eα(e t −1) Table II: Some Common Probability Distributions Poisson disc α>0 pX (k) = e−α αk k! k = 0. σ > 0 1 1 fX (x) = √ e− 2 σ 2π 2 t2 /2) 251 .Name Type Parameters Definition Support E(X) Var(X) mgf Bernoulli disc 0≤p≤1 pX (k) = pk (1 − p)1−k k = 0. . . . . . 0 ≤ p ≤ 1 pX (k) = n k pk (1 − p)n−k k = 0.

252 Table II: Some Common Probability Distributions .

6 S2.3 S3. C C E D D A C C S3.29 S3.30 S3.3 C S1.7 S3.9 A C S2.31 S3.28 S3. Hence.12 A D B S2.19 S3.4 S2.6 Chapter 2 S2.14 S3.7 S2.17 S3.2 S1.4 A S1.33 E B B D A D A S3.10 S3.2 S3.4 S3.15 S3.9 S3.5 Answer C is acceptable if you allow the triangle to be flipped S2.22 S3.5 D B E C S2.1 S3.5 S2.12 S3.25 S3.6 The correct answer is Chapter 3 S3.36 Remarks S3. P (A ∩ B) = P (A)P (B).24 S3.26 S3.2 S2.3 S2.23 S3.16 S3.8 S3.32 C D B A C D B S3.11 Remarks S2.27 S3.1 S1.6 S3.20 S3.7 D A S1.5 Must have p = P (A) = P (B) = P (A ∩ B) = 0.8 B D S2.11 S3.18 S3.21 S3.13 S3.5 S3.35 C B D A B D B 5 2 A D S1.10 D A 253 .34 C A A A A C A S3.1 S2.Appendix B ANSWERS TO SELF-TEST EXERCISES Chapter 1 S1.

1 S6.3 S4.8 S7.18 S5.7 S5.3 S5.17 C A D D S7.2 S6.2 S7.18 E C E D S6.11 S6.1 S7.8 S5.19 The correct answer is 1 Chapter 7 S7.5 S4.254 APPENDIX B.14 S6.17 S6.9 S5.16 Chapter 5 S5.14 B D B S7.11 S4.7 S7. ANSWERS TO SELF-TEST EXERCISES Chapter 4 S4.20 C B A D C C B C A D S5.20 S5.12 S7.15 C D B .24 A B B C C S5.18 C C D B S7.10 S6.16 S6.19 C C B A S4.27 A B D C B B S5.3 S6.5 S5.50) since ln(x) is an increasing function.23 S5.8 S6.10 S7.13 S4.10 S4.50)) = P (X < 0.9 S4.6 S7.13 S7.25 C B B B D A C B C S4.4 S4.22 D C C A B S6.22 S5.15 S5.9 S7.26 Remarks S5.4 S6.5 S6.4 S7.16 S5.4 S5.19 C C C E S6.14 S4.11 S5.2 S4.11 S7.10 S5.6 S6.3 S7.8 S4.6 S5.15 S6.19 S5.7 S6.17 B C C D S4.1 C D C A C S7.6 S4.21 Remarks S6.12 S5.7 S4. Chapter 6 S6.18 B B C C S4.27 Note that P (ln(X) < ln(0.13 S6.1 S4.1 S5.2 S5.21 S5.9 S6.12 S6.16 Chapter 8 S8.17 S5.5 S7.12 S4.13 S5.28 C C D A E C S5.14 S5.15 B C B B B B C D S6.

255 Chapter 9 S9.2 C S9.1 D S9.3 C .

ANSWERS TO SELF-TEST EXERCISES .256 APPENDIX B.

2. choose the best answer among those provided. Ω is a sample space with events A. In all of the following questions. (5 points) Four of your friends are having birthdays on the same date.) (a) 4! (b) 4 3 (c) 3! (d) 43 (e) none of the above. 257 .Appendix C SAMPLE EXAMINATION 1 PART I: MULTIPLE CHOICE QUESTIONS Instructions: For each of the questions in Part I. 1. You purchased four birthday cards. You purchased four birthday cards. How many different ways can you send cards to your friends so that each gets one card? (a) 4! (b) 4 4 (c) 4 (d) 44 (e) none of the above. B and C and probability measure P (·). (5 points) Three of your friends are having birthdays on the same date. How many different ways can you send cards to your friends so that each gets one card? (You will have one card left over.

then (a) P (A ∩ B) = 0 (b) A = B (c) A ∩ B = Ø (d) A and B are independent (e) none of the above. (5 points) If P (A) = p > 0.3 and P (A | B) = 0.7. 4. P (B) = 0.” is (a) A ∪ B ∪ C (b) A ∩ B ∩ C (c) (A ∩ B) ∪ (A ∩ C) ∪ (B ∩ C) (d) (A ∪ B ∪ C)c (e) none of the above. (5 points) If A ⊆ B .3. P (A) = 0.7 and P (B) = 0. 6. (5 points) The event which corresponds to the statement. P (B) = q > 0 and A∩B = Ø then P (A∪B | A) equals (a) 1 (b) p (c) (p + q)/p (d) (p + q − pq)/p (e) none of the above .258 Part I: Multiple Choice Questions 3. B and C occur simultaneously. (5 points) If P (A) = 0. “all of the events A.3 then (a) A and B are mutually exclusive (b) P (A ∩ B) = 0 (c) A and B are independent (d) all of the above (e) none of the above. 5.

After getting your engineering degree. 9. an engineering intern (who is working for you as a cook). Unfortunately. and usually you keep the two different types of chicken wings in separate containers.75 (d) 1 (e) none of the above. you are now the owner of the most successful restaurant in Buffalo. (5 points) P (X > 1) equals (a) 0. 8. (5 points) The value of the constant c is (a) 0. Your chicken wings can be either hot or mild. Your chicken wing recipe is so famous that the White House (in Washington DC) has asked that you send a large order of chicken wings for a important dinner.5 (c) 0.5 (b) 1 (c) 2 √ (d) 2 (e) none of the above. PART II Instructions: Show your work in the space provided. New York.25 (b) 0.Part II 259 For questions 7 and 8: Assume that X is a continuous random variable with probability density function fX (x) = cx if 0 ≤ x ≤ 2 0 otherwise where c is a constant. 7. accidentally mixed . Circle your final answer.

(a) (10 points) You plan to choose a container at random. and sample a chicken wing from that container. and you need to ship the order immediately. (d) (10 points) Compute P (X = 0 | X ≤ 1). (c) (10 points) You plan to sample one more wing from the container chosen in part (b). 10. What is the probability that the wing will be mild? Justify your answer. (b) (5 points) Compute P (X < 0). You don’t want to accidentally ship Container B or C. Let X be a random variable with the following probability mass function: pX (−1) = 0. The only way you can determine the contents of the containers is by sampling the wings.260 Part II some hot wings with some mild ones. (b) (10 points) You actually select a container at random. You now have only three containers of chicken wings: Container A All hot wings Container B All mild wings Container C One half hot and one half mild wings The White House wants only hot chicken wings. Justify your answer using Bayes’ theorem. it will also be hot? Justify your answer.4 (a) (10 points) Sketch the cumulative distribution function for X .4 pX (+1) = 0.2 pX (0) = 0. the containers are unmarked. and then sample one of the chicken wings from that container. To make matters worse. (c) (5 points) Compute P (X > 1). . It’s a hot wing! What is the probability that you chose Container C (the one with both hot and mild wings). what is the probability that if you sample a second wing from the same container. Given that the first wing that you sampled was hot.

choose the best answer among those provided. .. (5 points) Let X be a continuous random variable with probability density function λxn if 0 ≤ x ≤ 1 fX (x) = 0 otherwise where λ is a constant and n is a nonnegative. Then P (X ≥ k) equals (a) (b) 1 4 1 4 k k+1 261 . . 2. 1.Appendix D SAMPLE EXAMINATION 2 PART I: MULTIPLE CHOICE QUESTIONS Instructions: For each of the questions in Part I. integer constant. 1. . 2. (5 points) Let X be a discrete random variable with a probability distribution given by P (X = k) = 1 4 k 1− 1 4 for k = 0. A relationship which must exist between λ and n is (a) λn = 1 (b) λ = n + 1 (c) λ = n (d) λ = 2n (e) none of the above.

5. (5 points) If X is a random variable with P (X ≤ 0) = α. E[(X − E(Y ))2 ] equals (a) 0 (b) Var(X) (c) Var(Y ) (d) Cov(X. then P (−3X < 0) equals (a) 0 (b) 1 3α (c) α (d) 1 − α (e) none of the above. 3. Y ) (e) none of the above. 4.262 Part I: Multiple Choice Questions (c) (d) 3 4 3 4 k (e) none of the above. (5 points) Let X be a continuous random variable with probability density function 4e−4x if x > 0 fX (x) = 0 otherwise. The value of P (X 2 ≥ 16) is (a) 1 − e−4 (b) e−16 (c) 1 − 4e−16 (d) e−4 (e) none of the above. (5 points) Let X and Y be random variables with E(X) = 2 and E(Y ) = 2. Then. .

−1) = 1/3 pX. (5 points) The value of E(X + Y ) is (a) −1 (b) 0 (c) 1/3 (d) 1 (e) none of the above. 0) = 1/3 pX.Y (0. (5 points) Define the random variable W = XY .Y (−1.Part I: Multiple Choice Questions 263 6. 1) = 1/3 7.Y (1.  0 2 otherwise Then P (X < 0) equals (a) 0 (b) (c) (d) 1 8 1 4 1 2 (e) none of the above For questions 7 and 8: Assume that (X. 8. Y ) is a random vector with joint probability mass function given by pX. . (5 points) Let X be a continuous random variable with probability density function   x+1 if −1 ≤ x ≤ 1 fX (x) = . The value of P (W = 1) is (a) 0 (b) 1/9 (c) 1/3 (d) 2/3 (e) none of the above.

y) 0 X (men) 1 2 0 . What is the probability that no men will show up? 10.12 3 . . y) = 2 0 if x ≥ 0. Let (X.03 . (c) (10 points) Find the conditional probability density function for Y given 1 that X = 2 .Y (x. it has been determined that the random vector (X. The Youbee School of Engineering has a graduating class of 2 men and 3 women. otherwise 1 2 (a) (10 points) Compute P X + Y < .05 . and let Y denote the number of women from the class who will attend.04 (a) (5 points) What is the probability that 4 or more members of the graduating class will show up at the party? (b) (5 points) What is the probability that more women than men from the graduating class will show up at the party? (c) (10 points) If women are charged $1 for attending the party and men are charged $2.264 Part II PART II Instructions: Show your work in the space provided. After an extensive survey was conducted. Let X denote the number of men from the graduating class who will attend the party. Y ) be a continuous random vector with joint probability density function given by fX.01 .Y (x.04 Y (women) 1 2 . Y ) has the following joint probability mass function: pX. y ≥ 0 and x + y ≤ 1 .25 .01 .05 . Circle your final answer. (b) (10 points) Find the marginal probability density function for X . what is the expected amount of money that will be collected from members of the graduating class? (d) (10 points) All three women graduates arrive early at the party. 9. Plans are being made for a graduation party.15 .05 .20 .

1.Appendix E SAMPLE FINAL EXAMINATION PART I: MULTIPLE CHOICE QUESTIONS Instructions: For each of the questions in Part I. (3 points) Let X and Y be independent random variables with X ∼ N (0. 265 . In all of the following questions. B and C and probability measure P (·). 1) and Y ∼ N (0. 2. you lose $1.05 (c) 0. The value of P (X > Y ) is (a) 0 (b) 0. choose the best answer among those provided.95 (e) none of the above. and if the coin turns up tails. Ω is a sample space with events A. you win $1. If the coin turns up heads.50 (d) 0. For questions 3 and 4: A game is played by repeatedly tossing a fair coin. 2). (3 points) Let P (A) = r and P (B) = s with A ∩ B = Ø. Then P (A | B c ) equals (a) 0 (b) r (c) r/(1 − s) (d) 1 (e) none of the above.

3.. (3 points) The value of E(Yn ) is (a) 0 (b) −n (c) n/2 (d) n (e) none of the above. (3 points) The value of Var(Yn ) is (a) 0 √ (b) n (c) n (d) n2 (e) none of the above. 5.266 Part I: Multiple Choice Questions Let Yn denote your net winnings (i. (3 points) Let X be a continuous random variable with probability density function αe−x if x ≥ 0 fX (x) = 0 otherwise The value of α (a) must be 1 . The probability that both of the selected students received a grade of A is (a) 1/4 (b) 2/9 (c) 1/3 (d) 1/2 (e) none of the above. (3 points) In a class of 10 students. Two students are chosen at random from the class. Note that Yn may be negative.e. 6. 4. your winnings minus your losses) after n tosses. 5 students received an A on the last examination.

(3 points) The weight of a gum drop (in ounces) is normally distributed with 1 mean 2 and standard deviation 4 . (3 points) The set (A ∪ B) ∩ (A ∪ B c ) is equivalent to (a) Ø (b) Ω (c) A (d) B (e) none of the above. (Note: The chain will break if one or more links break. (3 points) Suppose a chain link has a probability of 0. 9. The probability that the total weight of the gum drops in the bag exceeds 20 ounces is (a) 0 (b) 0. 7.001 of breaking.5 (c) 1 (d) 1 − ( 1 )16 4 (e) none of the above. independently of all other links. 8. . what is the probability that a chain with 2000 such links will break. A bag contains 10 independent gum drops.001)2000 (e) none of the above. Approximately.) (a) e−2 (b) 1 − e−2 (c) 1/2 (d) (0.Part I: Multiple Choice Questions 267 (b) can be any positive real number (c) can be any positive integer (d) can be any real number (e) none of the above.

Then Var(X) equals (a) 1 .8413 (d) 1. (3 points) Let X be a random variable with E(X) = 2 and E(X 2 ) = 5. 8).1587 (b) 0. 12. (3 points) Let X ∼ N (1.268 Part I: Multiple Choice Questions 10. 13. (3 points) Let X be a random variable with moment generating function MX (t) = e(e t −1) The moment generating function of the random variable Y = 2X + 1 is (a) et (b) e2t (c) e(2e t −2) 2t −1) (d) e(t+e (e) none of the above. then P (Y > 1) equals (a) 0.5000 (c) 0. (3 points) Let X be a random variable with probability generating function g(z) = z(1 + z) 2 The value of E(X) is (a) 0 (b) 2/3 (c) 1 (d) 3/2 (e) none of the above. 11.0000 (e) none of the above. If Y = X 3 .

For questions 16 and 17: Suppose that X1 and X2 are independent random variables representing the lifetimes of two lightbulbs. Assume that a person decides independently whether or not to show up for a flight. It is know that. each having marginal probability . (3 points) The weight X (in pounds) of a roll of steel is a random variable with probability density function given by fX (x) = 1 2 (x − 499) 0 if 499 ≤ x ≤ 501 otherwise A roll is considered defective if its weight is less than 500 pounds. over many years. the probability that someone will be denied a seat is (a) 0 (b) 0. 15. If the airline permits 101 persons to make reservations for a given flight. (3 points) An airplane can hold 100 passengers.99)101 (d) 1 (e) none of the above. 1% of all persons making airline reservations never show up for their flight.Part I: Multiple Choice Questions 269 (b) 3 (c) 7 (d) 9 (e) none of the above.01 (c) (0. 14. If 3 independent rolls of steel are examined. the probability that exactly one is defective is (a) 1/4 (b) 3/8 (c) 9/64 (d) 27/64 (e) none of the above.

17. 16. (3 points) Suppose A ⊆ B . Xn be a random sample with each Xi having a probability mass function given by P (Xi = 0) = 1 − p P (Xi = 1) = p . . (3 points) The value of P (W < 2) is (a) 0 (b) 1/4 (c) 1/2 (d) 1 (e) none of the above. Which of the following statements are always true? (a) P (A) ≤ P (B) (b) P (A ∪ B) = P (B) (c) P (A ∩ B) = P (A) (d) all of the above (e) none of the above. .270 Part I: Multiple Choice Questions density function f (x) = 1/2 0 if 0 ≤ x ≤ 2 otherwise Let W = X1 + X2 represent the total lifetime of the two lightbulbs. (3 points) The value of E(W ) is (a) 1/2 (b) 1 (c) 2 (d) X1 + X2 (e) none of the above. 18. (3 points) Let X1 . . 19. .

The person is instructed to go to a secluded corner. and write down the answer to one of the following questions depending on the color of the bead: • If the bead is red. draw out a bead at random. Any cell may contain more than one ball. In order to avoid embarrassing any students and help assure a truthful response to the survey. Two indistinguishable balls are dropped into the box. The total number of distinguishable arrangements of the balls in the numbered cells is (a) (b) (c) 4 2 3 2 3 1 (d) 4 (e) none of the above. A sociologist is interested in determining the percentage of college students who like classical music. Circle your final answer. 21.Part II 271 where 0 ≤ p ≤ 1. she decides on the following technique: A person is given a bowl which contains 600 red beads and 400 blue beads. (3 points) A box is partitioned into 3 numbered cells. PART II Instructions: Show your work in the space provided. An unbiased estimator for p is given by (a) p = ˆ (b) p = ˆ i=1 n 1 n n n Xi i=1 Xi Xi2 i=1 (c) p = ˆ (d) all of the above (e) none of the above. answer “Yes” or “No” to the question: . 20.

(b) (5 points) Find the marginal probability density function for X . (a) (5 points) Suppose p is the unknown fraction of students who like classical music. What is the unconditional probability that a person surveyed will answer “Yes?” Your answer should depend on p. the person is likely to be truthful. Let (X. Determine P (X = k) as a function of k and p. answer “Yes” or “No” to the question: Does your student number end in an odd digit? The person simply responds “Yes” or “No. y) = 2 0 if x ≥ 0.272 Part II Do you like classical music? • If the bead is blue. (d) (5 points) Suppose 40 of the 100 students answered “Yes” to the survey. Show that E(Y ) = p.Y (x. (b) (5 points) Let X denote the number of “Yes” responses from a survey of 100 individuals. except the person being surveyed. y ≥ 0 and x + y ≤ 1 . . Y ) be a continuous random vector with joint probability density function given by fX. (c) (5 points) Find the marginal probability density function for Y . otherwise 1 2 (a) (5 points) Compute P X + Y < . (c) (5 points) Let Y = (X/60) − (1/3). What is your best guess for the value of p? (Hint: Use an unbiased estimator for p.” No one. knows which question was actually answered. (d) (5 points) Find the conditional probability density function for Y given 1 that X = 2 .) 22. Therefore.

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