Lecture Notes in Applied Probability

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

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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

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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 . . . . . . . . . . . . . . . . . . . . . . . . .

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

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

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

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

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

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

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

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

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

.

 Observation  .

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

A set is a collection of elements. b. . ω. . . If x is not an element of A. A set can be described • by listing the set’s elements A = {1. Ω. • the outcome of a single toss of a fair die. • the number of students who will earn an A in EAS305. The universe is the set containing all points under consideration and is denoted by Ω. 3. . we write x ∈ A. 4} • by describing the set in words “A is the set of all real numbers between 0 and 1. The empty set (the set containing no elements) is denoted by Ø. we write x ∈ A. Sets Basic definitions We will need to use set theory to describe possible outcomes and scenarios in our model of uncertainty.3.) while their elements are denoted by small letters (a. Question: What is the difference (if any) between Ø and {Ø}? Definition 1. . Definition 1. .2. Notation: Sets are denoted by capital letters (A. B.2 Sets • the number of α-particles emitted from a piece of radioactive material in one minute. .). 2. If x is an element of a set A.1. inclusive.” • 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 avoid the ambiguity here by using ⊆ for subset and ⊆ for proper subset. then we say that A is a subset of B (B is a superset of A). Definition 1. If every point of set A belongs to set B . Define the sets A = {x : x2 + x − 2 = 0} B = {x : (x − 3)(x2 + x − 2) = 0} C = {−2.5. A is a proper subset of B if A ⊆ B and A = B . . the set of all real numbers. 3} Then A ⊆ B and B = C . / Venn diagrams Ω B A Set operations Complementation Ac = {ω ∈ Ω : ω ∈ A} . A = B if and only if A ⊆ B and B ⊆ A.Sets 3 Definition 1. Definition 1. 1. . Example: Let Ω = R.6.4. / Note: Some authors use the symbol ⊂ for subset and other use ⊂ for proper subset. We write A⊆B B⊇A Now we have a way to say A is identical to B . We write A ⊆B .

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} .

7. Two sets A and B are disjoint (or mutually exclusive) if A∩B = Ø. Definition 1. These basic operations can be extended to any finite number of 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 .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.

then A ⊆ C . x ∈ B implies x ∈ C . If A ⊆ B and B ⊆ C . since B ⊆ C . the proof of Theorem 1. Proof.1 would become: Proof. from the definition of subset. every element x ∈ A is also an element of C . Furthermore. Choose an x ∈ A. Many mathematicians prefer to write proofs in paragraph form. But they can be used to disprove a false mathematical statement. Theorem 1. For example.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. Therefore. Since A ⊆ B . Hence A ⊆ C . You cannot prove a true mathematical statement regarding sets using Venn diagrams. (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. x ∈ A implies x ∈ B . .1.

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

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

the binary sequence (0. That is. B and C .1 illustrates all of the 23 = 8 elementary sets for A. For some (but not all) experiments. B and C using a Venn diagram. Elementary sets have two very useful properties: • Elementary sets are pairwise disjoint. 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.1.1) corresponds to S3 = Ac ∩ B ∩ C .1: An example of elementary sets for three subsets For example. • Any set operation involving A. B . we have                            A Bc C Ac B C Ac Bc C C . Si ∩ Sj = Ø for any i = j . and C can always be represented as a union of the elementary sets for A.Sets 9 Ω A B A Bc Cc A B Cc A B C Ac B Cc Ac Bc Cc Figure 1. This is the subset of elements that are 0: 1: 1: not in A in B in C and and Figure 1.

. 3. is the set of all possible outcomes of an experiment. A sample space. count) the number of elements of subsets of Ω. Example: Consider the experiment of rolling a die once. 3 What should be Ω for this experiment? Ω= If you thought the answer was Ω = {1. 3 Identify the subsets of Ω that represent the following events: 1. 5.10 • |Ω| is finite. then you just (re)invented the concept of a random variable. it is important to be able to enumerate (i. Definition 1. The die turns up less than 5.8. Ω. C= Example: Consider the experiment of burning a light bulb until it burns out. Sample spaces and events Using set notation. The die turns up 6. Sets In such cases.9. 2. Definition 1. 6}. 4. The outcome of the experiment is the life length of the bulb. B= 3. An event is any subset of a sample space.e. we can now introduce the first components of our probability model. This will be discussed in a later chapter. . • Each of the outcomes of the experiment are equally likely. The die turns up even. A= 2.

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

then we often use the set of all possible events F = 2Ω . "at least one of the events A. {T T }} A11 = {{HH}. How to properly select a smaller F. F. If Ω is a sample space. . {HT }. A16 } Definition 1. {T T }} A15 = {{HH}. . for some experiments. {T H}.3. Self-Test Exercises for Chapter 1 For each of the following multiple-choice questions. {T H}. to represent those events we actually need to consider. However. {T H}} A9 = {{HT }. {T T }} A8 = {{HT }.1 The event that corresponds to the statement. For a given set A.10. {T T }} A14 = {{HT }. {HT }. is found in many graduate level probability courses. {T T }} A10 = {{T H}. B and C occurs. . {T T }} = Ω A16 = {} = Ø In this case F = {A1 . this often works well. In those cases. A2 . S1." is (A) A ∪ B ∪ C (B) A ∩ B ∩ C (C) (A ∩ B ∩ C)c . When Ω contains a finite number of outcomes. 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. we select a smaller collection of sets. Left to reader. . then |2A | = 2|A| Proof. Answers can be found in Appendix B. {T H}. {T H}} A12 = {{HH}. {HT }. {T T }} A13 = {{HH}. the set of all subsets of A is called the power set of A. Theorem 1.12 Self-Test Exercises for Chapter 1 A7 = {{HH}. If A is a finite set. and is denoted by 2A .

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

4}. 3. 7}. Ω.14 Questions for Chapter 1 (E) none of the above are true. B = {3. 5} and C = {5. Describe the following sets: (a) (A ∪ B)c (b) A ∪ B c (c) (A ∩ B)c . and B = {x : 0. 4. Let A = {2. the event (A ∪ B c ) ∩ B equals (A) Ø (B) Ω (C) A ∪ B (D) A ∩ B (E) none of the above.6 For any events A and B .1 Suppose that the universe consists of the positive integers from 1 through 10. is given by Ω = {x : 0 ≤ x ≤ 2}.5 ≤ x ≤ 1}. Questions for Chapter 1 1. 6. S1. Let A = {x : 0.2 Suppose that the universe.5}. List the elements of the following sets: (a) Ac ∩ B (b) Ac ∪ B (c) (Ac ∪ B c )c (d) A ∪ (B ∩ C)c c 1.25 ≤ x ≤ 1.7 If A ∩ B = Ø then (Ac ∪ B c )c equals (A) Ø (B) A (C) B (D) Ω (E) none of the above. S1.

4 Identify the set obtained by the following set operations. either prove your result using basic set relationships or disprove by providing a counterexample. where Ω is the universe and A is a subset of Ω. B = set of all integers that are integral multiples of 3. and J = set of all integers Describe the following sets: (a) A ∩ B (b) A ∪ B . (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. (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.5 Let A = set of all even integers. C = set of all integers that are integral multiples of 4.Questions for Chapter 1 (d) Ac ∩ B 15 1.

a machine produces three items. at some future time. at some time. The circuit is on for less than one hour. 2.8 During a 24–hour period.e. (still during the same 24– hour period) the switch is placed in the “OFF” position. 1.16 Questions for Chapter 1 (c) B ∩ C (d) A ∪ J (e) A ∪ C 1. 1.7 A box of N light bulbs has r (r ≤ N ) bulbs with broken filaments. The circuit is on exactly three times as long as it is off. (a) Describe the sample space.9 During the course of a day. 4. each of whose quality. Subsequently. The circuit is turned on before time r and turned off after time s (r < s). Describe the sample space generated by a day’s production. 1. one by one.. (b) Suppose that the above bulbs are tested. show that for any sets A and B . a switch is placed in the “ON” position. (a) Describe the sample space for the above experiment. . defective or nondefective. (b) Describe and sketch in the XY –plane the following events: 1. is determined at the end of the day. Assume that X and Y are measured in hours on the continuous time axis with the beginning of the time period as the origin. until all defectives have been found. The outcome of the experiment consists of the pair of numbers (X.6 Prove the Law of Absorption. one by one. The circuit is on at time z where z is some instant of time during the 24–hour period. X . i. the following holds: A ∪ (A ∩ B) = A ∩ (A ∪ B) = A. Describe the sample space for this experiment. 3. until a defective bulb is found. Y ). These bulbs are tested. Y .

(c) Exactly two of the events occurs. (b) Exactly one of the events occurs. If it fails.Questions for Chapter 1 17 1. but no more than two of the events occur. .10 A space probe is sent to Mars. Do not add other attributes of elements of R2 such as the distance between points. If the second probe fails. (d) At least one event occurs. B and C be three events associated with an experiment.11 Let A. another probe is sent. Express the following verbal statements in set notation: (a) At least one of the events occurs. Your theorem should only use sets and basic set operations. 1.12 (†) (provided by Nishant Mishra) Provide a theorem that is true for Venn diagrams but false for an arbitrary universe Ω. This process continues until a successful probe is launched. another follows. Describe the sample space for this experiment. 1.

18 Questions for Chapter 1 .

2 ENUMERATION Do not count your chickens before they are hatched. K. 1 19 . So there is no need to have one assembly line producing (1. 1975.1: 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.1) the dominoes by 180 degrees.) Chung. Springer-Verlag.. Elementary probability theory with stochastic processes. L.4) can be turned 180 degrees to look like a domino painted (4. Dominoes are rectangular tiles used in some parlor games and they look like Figure 2.1) dominoes. 2 Just have a person at the end of the assembly line rotating half of the (4. L. New York. Of course. – AESOP.1. a domino painted (1. Fables (600 BC) This section is based on Chapter 3 of a text by 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.4) dominoes and another producing (4. 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. Figure 2.1). Typically.

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

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

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

Hence. Hence. 10 10! 10 · 9 = = = 45 2 2!8! 2! and 100 100 100! 100 · 99 · 98 = = = = 161700. we know. using Case II (with m items drawn from n items). 5 5 = 3 2 and 9 9 = . brute force computation of all three factorial terms n of m can be a challenge. 4 5 Also note that if n is large. To overcome this. Furthermore. note that n m = n! n(n − 1)(n − 2) · · · (n − m + 1) = . 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.Sampling 23 our unknown quantity. m!(n − m)! (n − m)!m! n−m So. for example. Solving for x then yields our result. [Stage 1] · [Stage 2] = [Case II]. m!(n − m)! m! with only m terms in both the numerator and the denominator. we must have x · m! = n! (n − m)! In other words. . Computational Hint: Note that n m = n! n n! = = . Stage 2 (ordering the m balls) can be performed m! ways (using Case II for m items drawn from m items). that the entire process of Stage 1 followed by Stage 2 can be performed in n! (n−m)! ways.

3. 2. m Let’s prove that this formula works. would represent 3. 2 or 1. However. 1. This case is perhaps the most difficult to perceive as a sampling discipline. 2. 2. the arrangements 2. 3 or 2. Ball 2 was drawn once. 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. Each ball is replaced after being drawn. drawing 3. the sequence of the draws is ignored. This arrangement can be represented as follows: 1 √ 2 √ 3 √√ 1 2 3 3 For another example using this scheme. 3 we only need to know that Ball 1 was drawn once. 3. For example. For example. 3. yet it has important applications. First. 3. 1. 3.24 Sampling IV. 2. 2 is the same as drawing 1. . we only need to know how many times each ball was drawn. to describe 3. and Ball 3 was drawn twice. The number of ways that m balls can be drawn from an urn containing n balls in this fashion is m+n−1 . 1 √ 2 3 √ √√ √√√ √ √√√√ || 1 2 2 2 3 2 3 3 Coded Representation √ √ √√ | | √√√ √ | | So. 3. note that to describe a possible outcome from this scenario. 3. Sampling with replacement and without ordering. A total of m balls are drawn sequentially from the urn. 3. Therefore. for example. 2.

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

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

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?

. Their menu says that their “Big Dish” contains five scoops of ice cream. If each is worker assigned to one machine. ranging from five different flavors to five scoops of the same flavor.1 A domino piece is marked by two numbers.32 Questions for Chapter 2 (A) 9 (B) 33 (C) 9 3 (D) 3! (E) none of the above. . the 52 cards are partitioned into four equal groups.2 At a bridge table.12 There are 4 machines in a factory. You may order the five scoops in any way. n? 2. The pieces are symmetrical so that the number pair is not ordered. . How many different pieces can be made using the numbers 1.11 An ice cream shop offers 20 different flavors of ice cream. S2. 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 playing situations are there? . How many different “Big Dishes” are possible? (A) 205 (B) (C) 20 5 24 5 (D) 20!/5! (E) none of the above S2. 2.

How many three-person committees can be chosen so that at least one member is female? 2. According to the “bullet” voting system.10 Consider a box partitioned into 3 cells. list all possible arrangements. and may assign more than one check mark to any candidate(s) up to a total of four marks. how many different ways can you mark your ballot? 2.8 A multiple choice test contains 10 questions with each question having 4 possible answers. different. ignoring suits)? 2.6 A ballot lists 10 candidates.5 From eight persons.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. He notices that they have the following inventory of his favorite doughnuts: Bavarian Creme (21).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. You may vote for any three of them. how many committees of three members may be chosen? Suppose that among the eight persons.4 Throw three indistinguishable dice.7 An election ballot lists 10 candidates. each independently of the other.Questions for Chapter 2 33 2.. How many different ways could a student answer the entire test? 2. in such a way that every cell has an equal chance of receiving a ball. How many different ways can the ballot be marked? 2. Each voter is allowed 4 votes. exactly four are women. a voter must place 4 check marks on the ballot. If the balls are indistinguishable. How many distinguishable results of the throw are there? 2. A cell may contain more than one ball. (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. how many different ways can Jack order a dozen doughnuts? 2. (b) If Jack wants 2 Peanut Krunch for himself. Two balls are dropped into the box. Strawberry (30).e. Peanut Krunch (11) and Powdered Jelly (15). and his boss in the Parks Department wants 3 Bavarian Creme for his coffee break. . If you vote for exactly three candidates.

12 Fifty students have rented 3 busses for a class trip. 2.15 You are given n balls of different colors.6.11 A classroom in the Bell Elementary School contains 16 seats with four rows of four seats each. A. You must pick three candidates and rank them according to your preference.34 Questions for Chapter 2 Reanswer the question if no cell can have more than one ball. How many ways can the 4 girls be seated among the 12 boys if the students are distinguished only by sex? 2. How many distinguishable ways can you.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. . How many different ways can you mark your ballot? 2.) A ballot lists 10 candidates. How many different ways can the students sign up for busses? 2. (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)? . A class is composed of 4 girls and 12 boys.13 (See also Question 2. B . . or C with A being your most preferred candidate. Each bus can hold 50 riders.

In this chapter.1. is the set of all possible outcomes of an experiment. F. The mathematical details are usually covered in advanced courses in probability theory. Ω = R) we often cannot reasonably compute P (A) for all A ⊆ Ω. Ω. defined on subsets of Ω. – THOMAS HENRY HUXLEY. is a function. A probability measure. Definition 3. Reflection (c 1880) Probability Spaces In Chapter 1. In those cases.2. An event is any subset of the sample space. Measuring sets Definition 3. (for example. P (A) and the mathematics necessary to consistently compute P (A) for all events A ⊆ Ω. How would you measure a set? • finite sets • countable sets • uncountable sets Definition 3. P (·). The sample space.3 PROBABILITY The scientific imagination always restrains itself within the limits of probability.3. Ω. we showed how you can use sample spaces Ω and events A ⊆ Ω to describe an experiment. we will define what we mean by the probability of an event. we restrict our definition of P (A) to some smaller subset of events. that assigns to each event E a real number P (E) such that the following three probability axioms hold: 35 . that does not necessarily include every possible subset of Ω. For infinite sample spaces.

P (E) ≥ 0 for all events E 2. ωn } and each of the outcomes in Ω is equally likely. n . P (·) is a function that assigns to each member of F.3? Logical probability This can be done when Ω is a finite set Ω = {ω1 . the function. For example.. 1]. In mathematical terms. a great deal of probability theory has its foundations in a mathematical field called measure theory with important results from many mathematicians. . In section 3. maps x = 2 into f (2) = 8. In calculus. That is P : F → [0. including Emile Borel. Note that every event A ⊆ Ω is assigned one and only one number P (A). . Interpretation of probability How do you assign the real numbers in Definition 3. you worked with real-valued functions f (·). Here. . measures. P (·).e. . f (x) = x3 . the set of events. P (Ω) = 1 3. In mathematics we call functions that assign real numbers to subsets. a single number from the interval [0. . . f : R → R. if the events E and F are mutually exclusive ).36 Probability Spaces 1. we will show that 0 ≤ P (A) ≤ 1 for every A ⊆ Ω. Henri Lebesgue and Eugene Dynkin. . 1]. . That is P ({ωi }) = 1 n for i = 1. is a function whose argument is a subset of Ω (namely an event) rather than a number. If E ∩ F = Ø (i. However. Such functions assign each number in R a single number from R. That’s why we refer to P (·) as a probability measure. ω2 . then P (E ∪ F ) = P (E) + P (F ) The three specifications in the above definition are often called the Kolmogorov axioms for probability measures. That is.

. 2. P ({ωi }) = 1 6 for i = 1. So we can assign. In that case Ω = {ω1 . 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. . . . . in general. and there is no reason for one card to be drawn rather than another. ω6 } where ωi = the die shows i pips for i = 1. . consider the outcome of rolling a fair six-sided die once. . As an example. Some examples where logical probability can be used are: P (A) = and. . the notion of logical probability has limited applications. . for any A ⊆ Ω assign P (A) = |A| n 37 For example. . ω2 . rolling a fair die The die is symmetrical and there is no reason for one side to turn up rather than another. indefinitely. tossing a fair coin The coin is symmetrical and there is no reason for heads to turn up rather than tails. As you can see. drawing a card randomly from a deck of playing cards Each card is physically the same. 6 3 6 P ({The die is even}) = P ({ω2 . . 6. 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. suppose we . . Each replicate is called an experimental trial. ω4 . for example. Experimental probability This interpretation requires that the experiment can be identically reproduced over and over again.Probability Spaces In that case.

itself. the type of limit that you defined in calculus cannot be used. and quite far away from the n eventual limit of 1 as n gets bigger than billions. good}. The outcome of one of our experimental trials is whether that transistor is either good or bad. i=1 would be zero. there always existed some K . say that P (K < ∞) = 1. We can. 1 Suppose. T2 . there does exist some integer K such that for all n > K n i=1 Ti Ti n − P (A) < δ. for instance. In calculus. . It is possible. In that case. The proof requires measure theory. determined in advance. To assign P (A) using logical probability. with each transistor an experimental trial. although not likely. 2 In fact. That concept is not suitable here. that you could examine billions of transistors and find that all of them n are bad. it can be proven that for a prespecified small number δ > 0.38 Probability Spaces examine transistors being produced by an assembly line. . consider the infinite sequence of experimental outcomes T 1 . Let A = {good}. however. . random and cannot be predetermined. Consider the sequence of outcomes for the repeated experiment. Ω = {bad. Some examples where experimental probability can be used are: . with Ti = 0 Ti = 1 if transistor i is bad if transistor i is good In this case. such that for all n > K the quantity n i=1 Ti n was arbitrarily close to P (A). In particular. The value of K is. that P (A) equaled 2 . 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. and is typically covered in a graduate-level probability course.

The decision maker is asked to place in the urn any number of red balls and white balls he or she desires. consider the experiment of taking EAS305. with the goal of making the event of drawing a red ball equivalent to getting an “A” in EAS305. . is to construct an equivalent lottery consisting of an urn. hitting a home run Specifying the probability that a baseball player will hit a home run on any attempt. Some examples where subjective probability can be used are: weather Specifying the probability that it will be warm and sunny tomorrow. 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. But sometimes it is the only way we can give meaning to the number P (A). football Specifying the probability that the Buffalo Bills will win the Super Bowl next year. and an unlimited quantity of red and white balls. Subjective probability There are some cases where we would like to use probability theory. interarrival times for queues Stating the probability that the time between any two consecutive customers is greater than five minutes. Let A = {you get an “A” in EAS305} The procedure of determining the subjective probability of A. There is a mathematical theory (complete with axioms and deductions) regarding the existence of such equivalent lotteries. subjective probability has a lot of critics. auctions Stating the probability that painting by Monet will sell for one million dollars at an art auction. with the outcome being the grade that you get in the course. Once the decision maker has decided how many balls of each type to place in the urn. but it is impossible to argue that the experiment can be replicated.Probability Spaces 39 quality assurance Specifying the probability that a single microprocessor from a semiconductor fabrication facility will be defective. For example.

what is the probability that one of the two bulbs is bad? Solution 1: Assume that the bulbs are labelled A.. 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?). If the two bulbs are selected one at a time. (Actually. Why it is wrong?) . then the probability of selecting the bad bulb is 2 3 Example: A box contains two light bulbs. and tested. and C and that light bulb A is bad. tested and then placed back in the box. Note that the same bulb might be selected twice. this solution is wrong. then the probability of selecting the bad 4 bulb is 6 = 2 3 Solution 2: If the two bulbs are selected simultaneously (i. 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. the bad light bulb. and one of them is bad. without ordering).e.40 Probability Spaces Examples using logical probability Example: A box contains three light bulbs. If these 6 outcomes are equally likely (are they?). Suppose a first bulb is chosen. 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 . Then a second bulb is chosen. If two light bulbs are chosen at random from the box.

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. Let A be the event that the selected student is one of those who likes . 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 3.1 since P (Ac ) ≥ 0 (Axiom 1) 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. P (A) ≤ 1 for all A ⊆ Ω Proof.3. P (A) = 1 − P (Ac ) P (A) ≤ 1 from Theorem 3. Consider the experiment of picking a student at random from the class of 100.2. P (Ac ) = 1 − P (A) Proof.1.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.

is it true for n = k + 1? Assume for k pairwise disjoint sets A1 . we have P (A ∩ B) ≤ P (A) = 0. Since A ∩ B ⊆ A.80. A2 . Suppose |B| is unknown. .42 Probability Spaces hamburger.4. 3 Show that A ∩ B ⊆ A. . . Why? Solution: For any events E and F . . 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.80. . E ⊆ F implies P (E) ≤ P (F ). Solution: A ∩ B is the event that the student selected likes hamburger and broccoli. Assume it’s true for n = k . In this case |A| = 80 and |Ω| = 100 and we can use logical probability to determine P (A) = 80/100 = 0. Solution: Pick an element ω ∈ A ∩ B . . For any finite number of pairwise disjoint sets A1 . A2 . Therefore. . A ∩ B ⊆ A. that’s Axiom 3.80. That implies that ω ∈ A and ω ∈ B . (By induction) Is it true for n = 2? Yes. ω ∈ A. 3 Describe the set A ∩ B . An we have P (A1 ∪ A2 ∪ · · · ∪ An ) = P (A1 ) + P (A2 ) + · · · + P (An ) Proof. Theorem 3. . Ak we have P (A1 ∪ · · · ∪ Ak ) = P (A1 ) + · · · + P (Ak ) . Hence.

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

.* If A1 .44 Probability Spaces • The probability that a piston has a structural defect is 0. P (Ø) = 0 Proof.4 + 0.6 = 0. We know that P (S) = 0. P (S ∪ T ) = P (S) + P (T ) − P (S ∩ T ) 0.5 − P (S ∩ T ) P (S ∩ T ) = 0. . . • The probability that a piston has some type of defect is 0.1 since Øc = Ω from Axiom 2 In order to allow the extension of Axiom (3) in Definition 3.4 P (S ∪ T ) = 0.3 Theorem 3. the third probability axiom is replaced by 3.5.4. using Theorem 3.6 To find the probability that a piston has both a structural and a surface defect. then ∞ ∞ P i=1 Ai = i=1 P (Ai ) . 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 ).5 P (T ) = 0. A2 .4 + 0.6 = 0. P (Ø) P (Ø) P (Ø) P (Ø) = = = = 1 − P (Øc ) 1 − P (Ω) 1−1 0 from Theorem 3. is a countable sequence of disjoint sets.3 to apply to a countable collection of disjoint sets (rather than just a finite collection).6 Therefore.5 − 0.6.

50 that at least two of them will have the same birthday? To solve this problem. . 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. 1. That is. 1. and we want to find the probability that the factory has at least one accident in a month.* and the fact that Ei ∩ Ej = Ø for any i = j . we want to compute P ∪∞ Ei . we will make two assumptions: . we have ∞ ∞ P (Ei ) = i=0 i=0 e−1 i! ∞ i=0 = e −1 1 i! = e−1 e1 = 1 Using axiom 3. 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.The Birthday Problem 45 Example: Consider the experiment of counting the number of accidents in a factory in a month. 2. i=1 Since ∞ αi i=0 i! = eα for any α. Suppose that P (Ei ) = e−1 i! for i = 0. . 2.

Later.Jan02). that is until you begin identifying and counting equally likely elements in Ω. see Richard J. We can begin to write down all of the elements of Ω as follows: Ω = {(Jan01. The number of ways we can draw three balls from 365 with replacement and with ordering is (365)3 . Define the events E = {at least 2 birthdays are the same} F = {all of the birthdays are different} and notice that E = F c . d2 and d3 are the birthdays of the three individuals. there are n = 365 days in a year 2. we’ll first solve the problem for k = 3 and n = 365. For just one example of many. we’ll extend our solution for any k .} The assignment of birthdays with ordered individuals can be represented as a sampling problem. 1985. d3 ). (Jan01. To illustrate the issues. An introduction to probability and its applications. .Jan04). To compute P (F ). d2 . But P (E) = 1 − P (F ) and it turns out that P (F ) is easier to compute. Step 3 Divide the number obtained in Step 2 by the number in Step 1. there are (365)k corresponding permutations of their k birthdays.Jan03). each person is assigned a birthday with any of the n = 365 days being equally likely.Jan01. . where d1 .Jan01). 1 . (Jan01. 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. The question asks us to compute P (E).Jan01.Jan01.” Why ordered? Why not? Suppose k = 3. Step 2 Count the number of elements in F ⊆ Ω. . and any n. Let’s suppose the individuals are ordered. Then every element of the sample space can be written as an ordered triple ω = (d1 . Prentice-Hall. It sounds simple.Jan01. (Jan01. Some textbooks1 say something like “If we imagine the k people to be ordered. Larsen and Morris Marx.46 The Birthday Problem 1.

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?.475 0. Furthermore.891 0. And that number is (365)!/(365 − 3)!. . 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. with replacement and without ordering. . Jan02 √ √ Jan03 . “how many ways can we arrange 3 check marks among the 365 columns?” Jan01 √√√ √√ √√ . 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.507 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. We can do this by creating a table with 365 columns (one for each calendar day) and asking the question.50.253 0. .. etc. if we perform the same computations for any n and k ≤ n.” 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 Birthday Problem 47 Continuing with this reasoning.999 and we see that we need at least 23 persons to insure that P (E) is at least 0.. 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 = 3.970 0.

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

5) (4. 2 .3 Conditional Probability and Independence Conditional probability Example: Roll a die twice. Moral of the story: Sampling Case IV (with replacement and without ordering) usually cannot be used to enumerate equally likely outcomes resulting from multiple. 3) (1. The sample space can be represented as in Figure 3. 6) (3. 2) (3. 5) (3. “two heads”. 6) (5. 1) (2. 4) (6. 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. 4) (3. 5) (2. 4) (1. 4) (2. 5) (6. “two tails” and “one head one tail. 1) (5. 2) (2.Conditional Probability and Independence 49 (1. 5) (1. 3) (5. 1) (4. 5) (5.1. 6) (4. 2) (1. 1) (6. 1) (1.1: Sample Space for Rolling a Die Twice Under the unordered individual model there are three elements in Ω. 2) (5. 6) (2. 3) (6. des arts and des m´ tiers. 3) (4. 2) (4. e e e Volume 4. 6) (6. 3) (3. 3 For an important exception. 6) Figure 3. 1H1T} that is. 4) (5.” 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. 1754. 1) (3. 3) (2. 2) (6. 2T. 4) (4. Ω = {2H. see the work of Bose and Einstein in statistical mechanics. repeated random assignments.

With this additional information.4. denoted P (A | B). . we can use logical probability to get P (B) = 1/12. A2 . P (E) ≥ 0 for all events E 2. 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 . . . . 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. P (Ω) = 1 3. For any events A1 . this is equivalent to P (A | B) = P (A ∩ B) P (B) Notation: Sometimes we write P (A ∩ B) = P (AB).7. is the value that solves the equation P (A ∩ B) = P (A | B)P (B) Note: If P (B) > 0. The probability of an event A given the event B . Suppose you are told that the first roll is less than or equal to the second. Theorem 3.50 Conditional Probability and Independence Since each of the outcomes is equally likely.

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

. B1 ∪ B2 ∪ · · · ∪ Bn = Ω. Bn such that 1. and • Ac and B c are independent events.9. Theorem 3. Bi ∩ Bj = Ø for any i = j . A complete set of alternatives is a collection of events B1 . .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). . The other two results follow by interchanging the roles of A and B . Suppose A and B are independent events. Theorem 3. Proof. If A and B are independent events then • A and B c are independent events.8. . • Ac and B are independent events. (Law of Total Probability) Given an event A and a complete set of alternatives B1 . B2 . . . . 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. and 2. Bn then n n P (A) = i=1 P (A ∩ Bi ) = i=1 P (A | Bi )P (Bi ) . B2 . Bayes’ theorem Definition 3.6. .

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

60)(0. . smart snails and not-so-smart snails. a snail that has successfully crossed the concrete steps.60. using the Law of Total Probability P (A) = P (A | S)P (S) + P (A | S c )P (S c ) = (0. A not-so-smart snail crawls on the horizontal part of a step.90)(0.54 Conditional Probability and Independence There are two types of snails. you select. at random.90)(0. What is the probability that it is a smart snail? In this case. and the other half are not-so-smart snails. The probability that a not-so-smart snail will be crushed is 0. The event that any one snail will be crushed is independent from all others. Therefore.40.50.10.50) = 0.50) + (0.60 (0.75 3 Suppose that after the end of a rainstorm.50) + (0.50) = 0.60)(0. A smart snail crawls along the vertical portion of a step to avoid being crushed.50) The probability of selecting a smart snail before the rainstorm was 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. Suppose that half of the snails are smart snails. we want to find P (S | A) = = P (A | S)P (S) P (A | S)P (S) + P (A | S c )P (S c ) (0.90)(0. The probability that a smart snail will be crushed is 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. The probability after the rainstorm is 0.

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

Assume all the outcomes from each roll are independent. 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. . . . We can also compute. 2. .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. 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. 2. . . . 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.. for n = 1. .

1.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. Which makes sense. 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..1 If P (A) = 0. 2. . choose the best response among those provided.3 and P (A | B) = 0. S3. 1.3. . . Answers can be found in Appendix B. since the first 6 occurs after toss k if and only if you get k non-6’s in a row. S3. P (B) = 0.. . 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. Self-Test Exercises for Chapter 3 For each of the following multiple-choice questions. 2.3 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. . .2 Let P (A) = P (B) = 2p and let P (A ∪ B) = 3p. .

S3.3 If A ⊆ B . 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. Let B denote the outcome of the blue coin.4 If P (A) = p > 0. and the other is painted blue. 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.6 Two fair coins are tossed once. One coin is painted red. 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 S3.5 If P (A) = p.58 Self-Test Exercises for Chapter 3 S3. Then P (R = Heads | R = B) is equal to (A) 1/4 (B) 1/3 (C) 1/2 .

7 Two indistinguishable six-sided fair dice are rolled. If A ⊆ B and A = B then (A) p ≥ q (B) p ≤ q (C) p > q (D) p < q .10 Suppose P (A) = p. S3. S3.9 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. (D) all of the above are true (E) none of the above are true. P (B) = q . Then (A) A = Ø (B) P (A ∩ A) = P (A)P (A) (C) P (A ∪ B) = 0 for any B ⊆ Ω.8 Suppose P (A) = 0. S3. 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.Self-Test Exercises for Chapter 3 59 (D) 1 (E) none of the above.

12 A multiple choice test has 12 questions.60 Self-Test Exercises for Chapter 3 (E) none of the above. S3. A box may contain more than one ball. in your pocket. three of them are seniors and one of them is a junior.14 A student club has four officers. 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. Three of the students will be picked at random to go on a trip.13 Two balls are dropped randomly into four labelled boxes. with each question having 5 possible answers.11 There is one lock on a door and the key is among the six different ones you usually carry in your pocket. S3. one at a time. S3. useless key. What is the probability that the junior stays home? . If a student randomly picks the answer to each question. S3. Someone places a seventh. 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. 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.

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. S3.16 Suppose A is any event. S3. Then P (A) + P (Ac ) equals (A) 0 (B) P (A) (C) P (Ac ) (D) 1 (E) none of the above. C. 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. A.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. T are placed in a container. S3.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.

. (E) none of the above are true. S3. with each question having 4 possible answers. 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.20 A multiple choice test has 5 questions. 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. 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. (E) none of the above are true.21 A fair die is tossed twice.19 Suppose P (A) = 1 and P (B) = 0.25.62 (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. S3. S3. Given that a 2 appears on the first toss. If a student randomly picks the answer to each question.

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.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.Self-Test Exercises for Chapter 3 63 S3.23 Four fair dice are rolled simultaneously. S3.24 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. . S3. 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.

the probability that all of them are good is equal to (A) (0. Machine B produces 30% of the daily output.01)5 (B) 1/ (C) 5/ 50 5 50 5 (D) (45!)2 /(40!50!) (E) none of the above.27 In a screw factor. A screw is chosen at random from a day’s production and found to be defective. S3. 0. Machine C produces the remaining 50% of the daily output. there are three machines A. Of their output.2 4. none of the above. exactly five of which are defective. S3. 0.26 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. S3. 5%. respectively. Then P (A ∩ B c ) equals . What is the probability that it came from machine A? 1. B and C that produce screws.64 Self-Test Exercises for Chapter 3 S3.032 3.28 A box contains fifty light bulbs. 0.01 2. Machine A produces 20% of the daily output.3125 5.29 Suppose A and B are independent events with P (A) = p and P (B) = q . 0. 4% and 2% of the screws are defective. If five bulbs are chosen at random from the box.

31 An urn contains 5 red balls and 5 black balls. A second ball is then drawn from the urn.Self-Test Exercises for Chapter 3 65 (A) pq (B) 1 − pq (C) p − pq (D) q − pq (E) none of the above.32 Suppose birthdays are assigned to people randomly with each of the 365 days of the year equally likely. A classroom has 364 students. . 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. One ball is drawn from the urn at random and then thrown away. S3. 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. S3. 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.30 Suppose A and B are independent events with P (A) = p and P (B) = q . S3.

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. 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.4 P (A | B c ) = 0.5 Then P (B | A) equals (A) 0.6 .8 P (B) = 0. five are bad. Two lamps are randomly chosen from the box. 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.35 Suppose P (A | B) = 0.66 Self-Test Exercises for Chapter 3 S3.2 (B) 1/3 (C) 0. S3. Five of them are good.33 A box contains 10 incandescent lamps. S3.5 (D) 0.

10 0. in haste.0200 (B) 0.0390 (C) 0. Show that if A ⊂ B then P (B \ A) = P (B) − P (A). However.02 0.01 0. Let |A| denote the number of elements in the set A. S3. n}.3 There is one lock on the door and the correct key is among the six different ones you usually carry in your pocket.05 Model year 2002 2003 Other Proportion of all vehicles 0. . Hint: B = A ∪ (B \ A). . 3. What is the probability that the model year for this automobile is 2003? (A) 0. What is the probability that you can still open the door? What is the probability .36 A study of automobile accidents produced the following data: Probability of involvement in an accident 0. A. . you’ve lost a key at random. 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. Show that P (·) satisfies the three probability axioms. However.2 Let P be a probability measure. 2. 3.3333 (E) none of the above. Questions for Chapter 3 3.70 You know that an automobile has been involved in an accident. in haste.0513 (D) 0.20 0. you’ve lost one.Questions for Chapter 3 67 (E) none of the above. For any event. define P (A) ≡ |A|/n.1 Consider the sample space Ω = {1.4 There are two locks on the door and the keys are among the six different ones you usually carry in your pocket. .

The prisoner plans to enter each of the manholes at random. For any piece of land. Ω. such that P (A) = 0. never reentering an unsuccessful manhole.e. What is the probability that the prisoner must try exactly 1 manhole? 2 manholes? 3 manholes? 4 manholes? 3. S . i. B and C and probability measure P (·). with events A. . There are 4 manholes in the prison.68 Questions for Chapter 3 that the first two keys you try will open the door? (Note: There are two interpretations. 3.5 P (A ∪ B ∪ C) = 0.8 Suppose that the land of a square kingdom. Ω.) 3. is divided into three strips.5 A convict is planning to escape prison by leaving through the prison sewer system. 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. B and C of equal area. What is the value of P (S ∪ T | T )? 3.6 P (C) = 0.9 Consider a sample space.3 P (B ∪ C) = 0. what is the value of P (S ∩ T | S)? 3.7 Suppose P (S) = p and P (T ) = q with 0 < p < 1 and 0 < q < 1. and the events S and T are independent.3 P (A ∪ B) = 0.5 P (B) = 0. Show that V is a probability measure. show that V satisfies the three probability axioms. in this kingdom.6 If P (S) = p and P (T ) = q with p > 0.4 (a) Compute each of the following. and suppose that the value per unit is in the ratio of 1:3:2. but only one leads to the outside.2 P (A ∪ C) = 0. A.. 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.

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

B or C ) to a printer. The probability that an A will be incorrectly printed as a B is 0. The text of Monty’s letter is available on several web sites.5. It is known that any one coffee maker has an equal chance of originating from A or B . Who has the advantage? 3.2. What is the probability that it is correctly printed? (b) Suppose that two characters are transmitted independently. What is the probability that it came from Factory B ? 3. You test it and discover it is defective. What is the probability that two A’s will be printed? (c) Suppose that a single character is transmitted.14 John throws six dice and wins if he scores at least one ace. One is defective.15 A person gives you a six-sided die and tells you that it is a fair die. However. (a) Suppose that a single A is transmitted. A and B .50 of the coffee makers from B are defective. The probability that an C will be incorrectly printed as a B is 0. Mary throws twelve dice and wins if she scores at least two aces. What is the probability that the other one is also defective? (b) You chose another coffee maker at random from those in the warehouse. During each transmission.10 of the coffee makers from A are defective while 0. each character has an equal chance of being sent.70 Questions for Chapter 3 3. it is possible that the printer will not print the same character as transmitted.12 A warehouse receives the same model of a coffee maker from two different factories.11 Given two mutually exclusive events A and B . can A and B be independent? Why? 3. and a probability measure P (·) such that P (A) > 0 and P (B) > 0. You roll the die 100 times and 99 of the 100 rolls turns up 4. Monty also cautioned that there is a difference between the actual probability that the keys are in B and the contestant’s perceived probability.13 A computer can send any one of three characters (A. what is the probability that a B was transmitted? 3. Other printer errors are impossible. However. past history has shown that 0. but without any verification of its authenticity. . If a B is printed. (a) You know that two particular coffee makers came from the same factory. due to transmission errors. Should you accept the claim that die is a fair die? Why or why not? the correct answer to this question.

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

G = Girl) Figure 3.72 Questions for Chapter 3 B B B B G G B B G G B B B B B B (B = Boy.2 for an example of such a block).23 After a night on the town. 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. Each bus can hold 50 riders. 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? . (b) If the seats are assigned randomly.22 A bus starts with r passengers and stops at n bus stops (r ≤ n).24 A classroom in the Bell Elementary School contains 16 seats with four rows of four seats each. the carrier places the letters randomly into the n mailboxes. the neighborhood postal carrier decides to deliver n letters addressed to n different individuals. in his state-of-mind. (a) The students in the class are assigned seats at random.25 Fifty students have rented 3 busses for a class trip. what is the probability that each row contains exactly one girl? 3. one letter per box. A class is composed of 4 girls and 12 boys. what is the probability that no two passengers leave at the same stop? What assumptions are you making? 3.2: Example of a ‘Block’ for Bell Elementary School 3. (See 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. However. If no new passengers are picked up.

From a recent survey. what is the probability that the player who gets the ace of spades will also get the ace of hearts? 3.28 In a family. If each student casts his vote independently and at random for one of the two candidates. it is known that 80% of the Republicans favor Presidential candidate JK. A ⊂ B and A = B ). A = B ⇐ P (A) = P (B) 3. n boys take turns at washing dishes.27 A class of 100 students vote for class president among two candidates.3 is still true even if we replace ⊆ by proper subset (i. 3.29 Let Ω be a sample space with probability measure P (·).32 A community of 20.31 We know that A = B ⇒ P (A) = P (B) Note that this is used in many of the proofs in this chapter.e. while 5% of the Democrats favor JK. That is.Questions for Chapter 3 73 (b) What is the probability that all students sign up for the same bus? 3. What is the probability that the youngest child breaks exactly x dishes? 3. 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. and 20% of the independents favor him. Provide an example where A ⊂ B (with A = B ) and P (A) = P (B). 000 independents.30 Show that Theorem 3. 000 Democrats and 5. (a) What is the probability that a voter chosen at random from the community will favor JK? . what is the probability of a tied election? 3.26 If an ordinary deck of 52 cards is dealt to four hands of 13 cards each. Show that for any events A. 000 Republicans. Out of a total of d broken dishes. 5.. Provide an example to show that the converse is not true. 000 voters is composed of 10.

If it prints the wrong character.33 A printing machine capable of printing any of the 26 letters (A through Z ) is operated by electrical impulses. In the dark. one barrel of red LED’s was produced. the probabilities that any of the 25 other characters will actually appear are equal. accidentally. Only when an electrical current is applied. (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. independent of past behavior. LED’s are packaged and shipped in bulk using large cardboard barrels. Let P (B) = p.35 Mary. each character being produced by a unique impulse. What is the probability that the impulse chosen was the one designed to produce a C ? 3. a second barrel was filled with a mixture of LED’s. On a busy production day. The barrels have no distinguishing markings.9 of correctly producing the character corresponding to the impulse received. the red and green LED’s look alike.34 Let A and B be two events. can it be determined whether the LED gives off green or red light. When turned off.36 The Colorful LED Company manufacturers both green and red light emitting diodes (LED’s). . has a basket that contains 5 blue socks.4 while P (A∪B) = 0. and that the character C is printed. Suppose the machine has the probability 0. In addition.7. and the character C is printed both times. 4 red socks and 2 green socks. a university student. she picks two socks at random from the basket. one fourth green and three quarters red. 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. (a) Suppose that one of the 26 impulses is chosen at random and fed into the machine.74 Questions for Chapter 3 (b) Suppose a voter is chosen from the community and it is learned to favor JK. What’s the probability that both socks are the same color? 3. What is the probability that the voter is a Republican? 3. Suppose that P (A) = 0.

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

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

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

4. That is. On September 11. Pop has carefully analyzed his E-mail messages. must match a sequence of three numbers. the same as the date of the drawing. assume the following: • Two sets of three numbers are drawn twice each day. . 2002. For this question. then Equation (6) doesn’t always hold. the lottery game is played twice a day. with each number independently selected at random from the digits 0 through 9. or adult content mail that is promoting web sites containing explicit adult material. once mid-day and once in the evening.43 (†) The 9-1-1 New York Lottery Problem. Jackpot winners of the daily New York Lottery numbers game. 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} . What is the probability that the lottery numbers will match the calendar date at least once in a year? 3. This was regarded by many as a “miraculous” outcome. . the numbers drawn were 9-1-1. Mr. 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. Pop has a computer with an E-mail account. • The numbers can match the calendar date only in the months of January to September.44 Mr. The “spam” E-mail is of two types: junk mail that is advertising to sell a product. But if we try to use (5) to define conditional probabilities. B and C . then Equation (6) holds for any events A.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. and he gets a lot of “spam” messages.

1 P (AX | B1 ) = 0. and that almost all of the “adult mail” contains the text string ‘’XXX”. Pop estimates that the probability that a single message is assigned to a category is given by P (B1 ) = 0. Pop defined the events A$ = {the message contains ‘$’} AX = {the message contains “XXX”} and determined that P (A$ | B1 ) = 0. 60% of his E-mail is “junk mail. Upon further analysis.” (c) An E-mail message arrives and contains the character string “XXX”.” and the remaining 30% is useful.2 P (A$ | B3 ) = 0. Mr.8 P (A$ | B2 ) = 0. Use Bayes’ theorem to find the probability that the message is “junk mail. that is.Questions for Chapter 3 79 Note that every message is assigned to one and only one category.” 10% is “adult content mail.0 (a) Use the law of total probability to find P (A$ ). the probability that an E-mail message chosen at random contains the character ‘$’.6 P (B2 ) = 0. Pop has determined that most of the “junk mail” contains the text character ‘$’.1 P (B3 ) = 0. (b) An E-mail message arrives and contains the character ‘$’.3 That is. Being a former EAS305 student. Mr. Use Bayes’ theorem to find the probability that the message is “adult content mail.0 P (AX | B2 ) = 0.” . Mr.9 P (AX | B3 ) = 0. regular E-mail. Regular mail usually contains neither string.

80 Questions for Chapter 3 .

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

Properties of any probability mass function 1.3. P (E) = xi ∈E pX (xi ) = 1 pX (xi ) .4 0.6 F(x) 0. pX (x) ≥ 0 for every x 2.8 0.82 Discrete Random Variables 1 0. all xi 3.1: An example of a CDF for a discrete random variable Theorem 4.1.2 0 0 1 2 3 4 5 x Figure 4. The probability mass function (pmf) of a discrete random variable X is given by pX (xi ) ≡ P (X = xi ). For any random variable X and real values a < b P (a < X ≤ b) = FX (b) − FX (a) Discrete Random Variables Definition 4.

1.. repeated trials. Let p be the probability of a success for any single trial. .Discrete Random Variables 83 Examples of discrete distributions The binomial distribution Consider a sequence of n independent. we want to find the probability that the first success occurs on the k th trial. . . 2. . Then the probability mass function for Y is given by pY (k) = (1 − p)k−1 p for k = 1. then 1. and the random variable Y is said to have a geometric distribution with parameter p where 0 ≤ p ≤ 1. 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. Let X denote the number of successes on n trials. . n k=0 pX (k) Let’s check to make sure that if X has a binomial distribution. n. . 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. . but. . success or failure. with each trial having two possible outcomes. 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.

For any 0 < θ < 1.2 ∞ j=0 ∞ j=0 θj θj = = 1 1−θ d 1 dθ 1 − θ d dθ .2.84 Discrete Random Variables Some facts about geometric series When working with the geometric distribution. ∞ j=0 jθj = θ (1 − θ)2 Proof. Using 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. the following results are often helpful: Theorem 4. For any 0 < θ < 1.3. ∞ j=0 θj = 1 1−θ Proof.

Suppose pY (k) = (1 − p)k−1 p for k = 1.2. .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. . . 2. . 2. . Continuous Random Variables . 1. 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. .. we can show that the probability mass function for a geometric random variable must sum to one.

If X is a continuous random variable. −∞ fX (x) dx = 1 fX (x) dx 3.4 0.4. If X is a continuous random variable then P (X < a) = P (X ≤ a). The probability density function (pdf) of a continuous random variable X is given by d FX (a). P (E) = E Theorem 4.2: An example of a CDF for a continuous random variable Definition 4. . then (4) FX (a) = a −∞ fX (x) dx.5.4. fX (a) ≡ da Properties of any probability density function 1.86 Continuous Random Variables 1 0.8 0. Theorem 4.2 0 0 1 2 3 4 5 x Figure 4.6 F(x) 0. fX (x) ≥ 0 for every x ∞ 2.

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

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. 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 .

and E(X) = +∞ −∞ xfX (x) dx for continuous X .5. Note: • E(X) is a number. • 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 .Expectation 89 Expectation Definition 4.” • The value of E(X) can be interpreted as the center of mass or center of gravity of the probability mass distribution for 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. Let X equal the number of pips. Example: Roll a fair die once.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 .

1. . 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)! . n. 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 > 0.90 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. . 1. . . 2. We have pX (k) = e−α αk k! for k = 0. . We have pX (k) = n k p (1 − p)n−k k for k = 0. . .

2.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. . .. 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. We have pX (k) = (1 − p)k−1 p for k = 1. ∞ 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. To find E(X) let q = (1 − p) and then. This produces E(X) = −xe−αx ∞ 0 + 0 ∞ e−αx dx = 1 α . letting dv = αe−αx dx and x = u.

2 2 Definition 4. equals (A) 0 (B) 1/3 (C) 1/2 (D) any of the values in the set {−1. denoted by Mode(X). Answers can be found in Appendix B.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. is given 2 by 1 P (X ≤ m 1 (X)) = . E(X). choose the best response among those provided.50) equals (A) 0 . denoted by m 1 (X). 0. S4. 1} (E) none of the above are true.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 . The median of a random variable X . The mode of a random variable X .7.2 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 < 0.92 Self-Test Exercises for Chapter 4 Other measures of central tendency Definition 4. S4.

50 (E) none of the above.25 (C) 0.3 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.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. S4. S4.50 √ (D) 0. S4.5 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.

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. the probability that exactly one is defective is (A) 1/4 .7 Let X be a random variable with cumulative distribution function FX (a).94 Self-Test Exercises for Chapter 4 (A) 1/2 (B) 1 (C) 2 (D) e2x (E) none of the above. 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.6 Suppose a fair coin is flipped 3 times. S4. If 2 independent steel rods are examined. S4. 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. S4.

Self-Test Exercises for Chapter 4 95 (B) 3/8 (C) 1/16 (D) 3/16 (E) none of the above. S4.01 that a person making an airline reservation will never show up for his or her flight.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 . S4. S4. then α must equal (A) −1 (B) 1/2 (C) 1 (D) 2 (E) none of the above.01 (C) (0. If the airline permits 101 persons to make reservations for a given flight.99)101 (D) 1 (E) none of the above. Passenger behavior has been extensively studied over the years.9 An airplane can hold 100 passengers. Assume that a person decides independently whether or not to show up for a flight. It is known that the probability is 0.10 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 . the probability that someone will be denied a seat is (A) 0 (B) 0.

. .96 Self-Test Exercises for Chapter 4 (A) 1/8 (B) 1/4 (C) 1/3 (D) 1/2 (E) none of the above.13 You have two light bulbs. 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. Then P (X > 1) equals (A) e−1 (B) 1 − e−1 (C) 1 − 2e−1 (D) 1 (E) none of the above. S4. S4. 2. . . 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. 1.

75 (D) 1.00 (E) none of the above. S4. The value of E(X) is (A) 0 (B) 3/8 (C) 3/4 (D) 3/2 (E) none of the above. Then P (0 < X ≤ 1) equals (A) 0 (B) 0.5 (E) none of the above.50 (C) 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 .00 (B) 0.2 (C) 0.3 and FX (1) = 0. The value of fX (0) is (A) 0.14 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 .5. Suppose FX (0) = 0. S4.15 Let X be a random variable with cumulative distribution function FX (x). .Self-Test Exercises for Chapter 4 97 S4.3 (D) 0.

F (a) ≡ P (X ≤ a).4 0.8 0.2 0 -2 -1 0 1 2 3 FX(a) a The value of P (−1 ≤ X ≤ 1) is (A) 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. The life lengths of any two integrated circuits are independent random variables.2 (B) 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. A batch of 100 integrated circuits are tested. given by the following graph: 1 0. S4.98 Self-Test Exercises for Chapter 4 S4.6 (D) 0.4 (C) 0.18 Let X be a discrete random variable with cumulative distribution function.6 0.8 .

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. 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.5). Questions for Chapter 4 4. (c) Find E(X).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). The probability of a head on one toss is 1/4.19 An unfair coin is tossed 4 times. 4. (c) Find E(X). .Questions for Chapter 4 99 (E) none of the above. (b) Find the probability density function fX (x) for X . (b) Find P (X ≥ 0. S4.

Find the value of c.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 . (b) Compute P (−1 ≤ X ≤ 0. F (1.6 Let X be a continuous random variable with probability density function fX (x) = cx if 0 ≤ x ≤ 2 0 otherwise 1 2 .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 . Identify all possible values for p.25).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. 4.100 Questions for Chapter 4 4. (a) Compute F (0.25). and F (−0.7 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? . (c) Find E(X). P (Y ≤ 0).3).25). 4.P Y ≥ 1 2 . 4. (b) Compute P Y ≤ (c) Find E(Y ). 4. and P 1 3 ≤Y ≤ 1 2 .

then P (X = 1) = e−1 . . There is a positive point mass at π/4.Questions for Chapter 4 101 4. is a random variable with the following probability distribution: P (D = k) = c2k k! k = 1.4 pX (0) = 0.2 pX (−1) = 0.11 True or False: If X has a Poisson distribution and P (X = 0) = e−1 .2 pX (+2) = 0.12 Let X be a discrete random variable with probability mass function pX (−2) = 0. . 2. If the number of weekly accidents in this factory is distributed with a Poisson distribution.10 The probability is p that there will be at least one accident in a certain factory in any given week. (c) Find E(X). the daily demand for an item. (b) Compute the expected demand.9 Suppose that D. what is the expected number of weekly accidents? 4. .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. 4. . (a) Compute P (X ≤ π/8). 4. (b) Find the probability density function fX (x) for X and the probability mass at π/4. 3. (a) Evaluate the constant c. 4.2 Draw a plot of the cumulative distribution function (CDF) for X .

what is the probability that the shipment is Low grade gasoline? . (a) Given only the above information.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. A truck has arrived with today’s shipment of gasoline. 4.5). then the gasoline is Low grade if High grade if r < 85 r ≥ 85 When gasoline is delivered.5 ≤ X ≤ 0.13 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. The octane rating of gasoline produced at Plant A is a continuous random variable X with probability density function fX (x) = 0.102 Questions for Chapter 4 4. You are the owner of a Classey Gassey gasoline station.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. Find FX (0.5).02(y − 80) 0 if 80 < y < 90 otherwise The grade of the gasoline is determined by its octane rating. there is an equal probability that it was produced at Plant A or Plant B . If the octane rating is r.5). (b) Let FX (x) denote the cumulative distribution function for X .

2. What is the probability that the shipment came from Plant A? 4. 4. find the baker’s expected profit for . Assuming that each cake can be sold only on the day it is made. 4.40 on each cake that he does not sell.5).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. in fact. and F (14).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 .Questions for Chapter 4 103 (b) You actually test today’s shipment of gasoline and discover that it is. (b) Compute E(X). 1. (b) Find E(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. 4 and 5.17 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 . (a) What is the value of the constant c? (b) Find P (X < 0. 3.00 on each cake that he sells and a loss (due to spoilage) of $0. 4. 3 (a) Compute F (−11). (a) Compute F (−5). F ( 2 ). F (−3). Low grade gasoline. F (π) and F (2π). He also knows that there is a profit of $1.

Using the probability distribution for X (the number of customer asking for cakes) find the probability distribution for Y . (b) a day when he bakes 4 chocolate cakes. X . . You can assume that there is an infinite number of pretzels in the bag with equal proportions of each shape. Hint: Define the random variable Y as the actual daily profit (or loss). . (c) How many chocolate cakes should he bake to maximize his expected profit? 4. what is her expected profit? 4. . may exceed your supply.104 Questions for Chapter 4 (a) a day when he bakes 5 chocolate cakes. square. (b) Find E(X).20 (†) A large bag contains pretzels with 4 different shapes: heart. Billy plans to reach into the bag and draw out one pretzel at a time.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.. stopping only when he has at least one pretzel of each type. Let the random variable X denote the number of pretzels that Billy will draw from the bag. 6. You can then answer the question using the random variable Y . Be careful to consider the possibility that the demand for your cakes. . The probability distribution for Y will depend on the number of cakes you decide to bake that day. circle and star. (a) Find P (X = k) for k = 4. 5.

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

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

1: The mapping Y (ω) = h(X(ω)) The random variable X serves as a “middleman” in the mapping shown in Figure 5. Referring to Figure 5. In this case. But consider the case where we have already defined X and then are given a functional relationship between X and Y . An even more general situation appears in Figure 5. This gives us the cumulative distribution function FX (t) and allows us to compute the probability of many other events. “What are all of the possible outcomes of the experiment (i.2. To oblige. 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 .e.3. more obvious to define Y as mapping directly from Ω to the real numbers. suppose we are given a random variable X . you can see that what is happening is really quite simple. It may seem. we can compute P (X ≤ t) for any value of t. Using this.. 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 . Returning to our example. 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. Also assume that we are given the cumulative . we ask ourselves. at first. the Buffalo temperature in degrees Fahrenheit. Under those circumstances.1.Basic Concepts 107 Ω ω X( ) Real line Y( ) Real line 212 100 Figure 5.

2: Representing the event {Y ≤ 20} y y= h(x) B x = h-1(B) Figure 5.3: A more complicated example .108 Basic Concepts y 20 y= ) h(x x 68 A Figure 5.

So all of the probability mass for the random variable Y is assigned to the set {0. what values can Y assume?” We see that the function h(x) = x2 maps the point x = −2 into the point 4. Definition 5. The probability of any of these particular outcomes of X is. x = 1 into 1 and x = 2 into 4. “Since X can take on the values −2. Let A be the smallest subset of R such that P (Y ∈ A) = 1. we cannot make such a statement for continuous random variables.1.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 . A function of any discrete random variable is also a discrete random variable. Unfortunately. 1. 0. also the probability of observing Y taking on a value in B . Solution: There is a pleasant fact that helps when working with discrete random variables: Theorem 5. We would like to find the probability distribution for Y . . x = −1 into 1. 1 or 2. as we will see in a later example.1. Then A is called the support of the distribution for the random variable Y . therefore. 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 . x = 0 into 0.3) 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 . 4}. If we then define the random variable Y = h(X) (where h is the function shown in Figure 5. −1. To solve the problem. Such a set is called the support for the random variable Y . we should first ask ourselves.

1).   0  . what values can Y take on?” Since Y = X 2 . Find the distribution for the random variable Y = X 2 . Solution: For continuous random variables.” With no elaborate computation. we should ask ourselves. 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 (−1.110 Some examples Since X will take on the value −2 with probability 1 and the value 2 with probability 5 1 . i. the answer is “Y can assume values from 0 to 1. we can say that 2 pY (4) = pX (−2) + pX (2) = 5 . we now know that if y < 0 ? if 0 ≤ y ≤ 1 FY (y) =   1 if y > 1. and since each of these mutually exclusive events will result in Y taking on the 5 value 4. 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. it is easier to deal with the cumulative distribution functions. First.. Similarly.e. “Since X can take on only values from −1 to +1. Let’s try to find FY (y). pY (1) = 2 and pY (0) = 1 .

e. let h be given by the step function shown in Figure 5. So. 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.. Solution: Since X takes on the values ranging continuously from 0 to 2. and we have our first example of a continuous random variable being mapped into a discrete random variable. 2). 1 and 2 (why 2?).4 again and try to visualize why this happened. 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.4. We immediately know that the random variable Y is discrete. 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. i. i.Some examples 111 Now suppose that y is equal to a value in the only remaining unknown case. We know that Y takes on the value 0 when X takes on any value from 0 to 1 (but not including .e. Y can take on only the integers 0. That task is left to you. that is 0 ≤ y ≤ 1.. Find the distribution for Y = h(X). Example: Let X be a uniformly distributed random variable on the interval (0. To find the probability mass function for Y . first let’s try to find pY (0). Look at Figure 5.

. 2 2 which is good thing because we ran out of probability mass after the first two computations.112 Invertible Functions of Continuous Random Variables y 3 2 1 x -2 -1 1 2 3 4 A Figure 5. Hence. if for every y ∈ R there exists some x ∈ R such that y = h(x). 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. if h(a) = h(b) implies a = b. pY (1) = 1 1 dx = 2 2 and 1 dx = 0.2. A function h : R → R is called one-to-one. A function h : R → R is called onto. pY (2) = 2 So we have the answer. 2 Similarly.4: The greatest integer function 1). 1 pY (0) = pY (1) = 2 .

If h(x) is a strictly increasing function with a differentiable inverse h−1 (·). for any a ≤ b. we can develop a general relationship between the probability density function for X and the probability density function for Y . Then. the monotonicity property of h allows us to uniquely solve . if X is a continuous random variable. 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. and Y = h(X).2. If one considers the function Y = h(X) as a transformation (x) → (y). Therefore. Suppose h(x) has an inverse and is increasing (or decreasing). Suppose X is a continuous random variable with probability density function fX (x).Invertible Functions of Continuous Random Variables 113 If a function h(x) is both one-to-one and onto. 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. we have h−1 (a) ≤ h−1 (b). 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. Note: This transformation technique is actually a special case of a more general technique from calculus. then we can define the inverse function h−1 : R → R such that h−1 (y) = x if and only if h(x) = y . If h(x) a strictly increasing function and h(x) has an inverse.

Find the probability density function for Y without explicitly finding the cumulative distribution function for Y . 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 . In those cases. That solution is x = h−1 (y). has a nonnegative first derivative with respect to y . the resulting n × n determinant is called the Jacobian of the transformation. 8]. 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. So the support for Y is [−8. thus. when solving transformation problems with n variables.114 Invertible Functions of Continuous Random Variables y = h(x). we can use Theorem 5. 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 .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. 2]. Solution: The support for X is [−2. Since h−1 (y) = y 3 . In calculus. fX (y 3 ) = 0 hence fY (y) is zero.

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. E(a) = a if a is a constant. Let h(X) denote your winnings. . If X is a discrete random variable with probability mass function pX (x).3. We are really finding E(h(X)) where h(x) = a for all x. What are your expected earnings? Theorem 5. 2.4. your expected winnings. We will provide proofs for both the discrete and continuous cases. Proof.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. Let X = 1 if heads. . . Let Y = h(X). . Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. 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). the life length of a transistor. −5 x = 0 h(x) = 10 x = 1 Find E(h(X)). then E(Y ) = E(h(X)) = +∞ −∞ h(x)fX (x) dx Question: Toss a coin. Question: Let X .. X = 0 if tails.

Then E(h(X)) = E(a) = ∞ −∞ ∞ h(x)fX (x) dx afX (x) dx fX (x) dx = a(1) = a = a −∞ ∞ −∞ Theorem 5. We are finding E(h(X)) where h(x) = ax. E(aX) = aE(X) if a is a constant. .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). . .5. Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1.. Then E(h(X)) = E(aX) = ∞ −∞ ∞ h(x)fX (x) dx axfX (x) dx xfX (x) dx = a(E(X)) = a −∞ ∞ −∞ . 2. Proof. 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).

. Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. . Then E(h(X)) = k h(xk )pk . 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.Expected values for functions of random variables 117 Theorem 5.7. . .6. E[h1 (X) + h2 (X)] = E[h1 (X)] + E[h2 (X)] for any functions h1 (X) and h2 (X) Proof. 2. We are finding E(h(X)) where h(x) = h1 (x) + h2 (x). Proof.. 2. E(X + b) = E(X) + b if b is a constant. We are finding E(h(X)) where h(x) = x + b. 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.

we get the following definition: Definition 5. .6. 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. Simply use Theorem 5. The quantity E(X k ) is defined as the kth moment about the origin of the random variable X .7.118 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). The kth Moment of X If we let h(x) = xk and consider E[h(X)].7 with h1 (x) = x and h2 (x) = b and you get Theorem 5.6 is really only a corollary to Theorem 5.3.

4. This can be interpreted as the moment of inertia of the probability mass distribution for X . Using the properties of expected value.5.7 from Theorem 5. Note: The value of Var(X) is the second moment of the probability distribution about the expected value of X . Notation: We often write E(X) = µX 2 Var(X) = σX Theorem 5.Variance 119 Variance Recall that E(X) is simply a number. Var(X) = E(X 2 ) − [E(X)]2 Proof. 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. Note that Var(X) = for a discrete random variable X .5 2 = E[X ] + E[−2XE(X)] + E[[E(X)]2 ] = E[X ] − 2E(X)E[X] + E[[E(X)] ] . Definition 5. The standard deviation of a random variable X is given by σX ≡ Var(X). and Var(X) = +∞ −∞ (x − E(X))2 pX (x) all x (x − E(X))2 fX (x) dx for a continuous random variable X . If we let h(x) = (x − E(X))2 and compute E(h(X)) we get a very useful result: Definition 5.8. The variance of a random variable X is Var(X) ≡ E[(X − E(X))2 ] .

4. Var(aX) = a2 Var(X) Proof.5 = a2 (E[X 2 ] − [E(X)]2 ) Using Theorem 5.8.9. Var(X + b) = Var(X) Proof.8 Theorem 5.10. 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 5.4 Theorem 5. 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. 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 . Using Definition 5.11. Using Theorem 5.

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

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

005t)1.82 h (15) = 0.005(15))−0.8 Since µ = 15.87 2 (dyne/cm)2 . if you incorrectly state that h(µ) is your expected monthly profit.000012(1 − 0. and ∆ = 0. your answer will be wrong by approximately ∆=− h (µ) 2 σ 2 Note that if h is linear. where T is the temperature of the liquid (degrees centigrade). h (x) = 0. we have h(15) = 1.012(1 − 0.12.005t)0. Example: (Meyer) Under certain conditions. results in E(S) ≈ h(15) + 75h (15) = 1.8 ≈ 0+ and. 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).01 h (15) = 0. we will use h(t) = 2(1 − 0.Approximating E(h(X)) and Var(h(X)) 123 Therefore.5.2 h (t) = 0. 5.6 and 5.2 h (t) = −0.000012(1 − 0.2 .82 (dyne/cm) Var(S) ≈ 75[h (15)] = 0.005T )1. This result for the linear case is also provided by Theorems 5. the surface tension of a liquid (dyn/cm) is given by the formula S = 2(1 − 0. Suppose T is a continuous random variable with probability density function fX (x) = 3000t−4 if t ≥ 10 0 otherwise Therefore.7. using Theorem 5.005t)−0.

(The proof for X discrete is similar using summations rather than integrals. Note that (x − µ)2 ≥ a2 for every x ∈ (−∞. for all x over this region of integration. Then for any a > 0 P (|X − µ| ≥ a) ≤ σ2 a2 Proof. given in the following Theorem 5.) 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 ≥ 0.124 Chebychev’s Inequality Chebychev’s Inequality Chebychev’s inequality. µ − a] ∪ [µ + a. is applicable for any random variable X with finite variance.13. Therefore. 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. +∞).” Source: The American Heritage R Dictionary of the English Language. and fX (x) dx replaced by the probability mass function for X . Example usage: The o¯ o 1965 Billy Joe Royal Song: “Down in the Boondocks. Hence. the backwoods. Houghton Mifflin Company. and 3 boon·docks (b¯ on’d˘ ks’) plural noun. Rural country. we have (x − µ)2 fX (x) ≥ a2 fX (x). Fourth Edition. 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). Theorem 5.13. For a given Var(X). . 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.

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 . Using extensive prior experience.9375 102 This is the best statement we can make without knowing more about the distribution for X .25 respectively. 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. the manager. . Linda Chattin at Arizona State University for this example. 4 Thanks to Dr. 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. 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.25 = 0. a former EAS305 student.25. 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.Chebychev’s Inequality 125 So. X . has determined that the mean and variance of X are 18 and 6.

1 X2 .14. The theorem guarantees that. we often say that the sequence { n Xn } converges to p almost surely. the probability that the ratio Xn /n is observed to be “close” to p approaches one. σ 2 ) then E(X) = µ. Theorem 5.15. . Theorem 5. Let an experiment be conducted n times. 4 X4 .6. The Normal Distribution Definition 5. If X ∼ N (µ. µ and σ . as n gets large.} 2 3 The strong law states that. . . and Var(X) = σ 2 . σ 2 ) . 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 . 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. We often say that “X is distributed normally with mean µ and variance σ 2 ” We write X ∼ N (µ. 1 X3 . with probability one. this sequence converges to p.126 The Normal Distribution The Law of Large Numbers This is an important application of Chebychev’s inequality. In 1 this case. The above result is the weak law of large numbers. 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.

Z .. If X ∼ N (µ. has probability density function 1 2 1 φ(z) = √ e− 2 z 2π i. σ 2 ). 1) probabilities. Such a table is provided in Table I of Appendix A. Definition 5. Theorem 5. 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 .7. Suppose X ∼ N (µ.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. such as P (X ≤ a). σ 2 ). We denote the cumulative distribution function for Z by Φ(a) = P (Z ≤ a). and thus avoid numerically integrating Equation 4 for every conceivable pair of values µ and σ . Therefore.16. 1). If X ∼ N (µ. We can then refer to a table of N (0. σ 2 ). then the random variable Z= X −µ ∼ N (0. σ Proof. 1).e. 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. there is an important property of the normal distribution that allows us to convert any probability statement. The standard normal random variable. to an equivalent probability statement involving only a normal random variable with mean zero and variance one. In other words. Z ∼ N (0.

increasing function of x with h−1 (z) = σz + µ d −1 h (z) = σ dz Using Theorem 5. We have E(Z) = E X −µ σ . nonzero variance Var(X) = σ 2 .128 The Normal Distribution Note that z = h(x) is an invertible. Var(Z) = 1.2. 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 .17. σ Then E(Z) = 0 and Var(Z) = 1. Z has a normal distribution Actually. Suppose X is any random variable with finite mean E(X) = µ and finite. X −µ If X ∼ N (µ. Proof. E(Z) = 0 2. the first two results would be true even if X did not have a normal distribution: Lemma 5. and 3.16 tells us three things about Z = σ 1. Theorem 5.

. then the linear transformation of X . the function Y = h(X) is strictly decreasing. This fact is provided by the following theorem: Theorem 5.16. a2 σ 2 ). . the random variable Y = aX + b ∼ N (aµ + b. A distribution that has zero mean and unit variance is said to be in standard form. namely. σ 2 ). If a > 0. When we perform the above transformation (i.2. we say we are standardizing the distribution of X .) With a little additional work we can show that id X is normally distributed. in Theorem 5. E(Z) = 0 and Var(Z) = 1. then for any constants a = 0 and b. Proof. What is important in Theorem 5. If X ∼ N (µ.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. X −µ Z= σ is also normally distributed. Z = (X − µ)/σ ).16 is that if X is normally distributed.18. then the function Y = h(X) is strictly increasing and if a < 0. then any linear function h(X) = aX + b is also normally distributed as long as a = 0. it is no surprise that. This is just a special case of Theorem 5.e.

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 

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

12 Suppose that X is a random variable with P (X > 0) = r where 0 < r < 1. S5.11 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. S5.10 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.136 Self-Test Exercises for Chapter 5 (A) 0 (B) 1/2 (C) 3/4 (D) 1 (E) none of the above. Then P (X 2 ≥ 0) equals (A) 0 . S5.

At the beginning of the day.13 Suppose X is a random variable with E(X) = α and Var(X) = α. the bakery owner bakes two chocolate cakes at a cost of $2. where α > 0. Then E(X 2 ) equals (A) 0 (B) α (C) α2 (D) α + α2 (E) none of the above.Self-Test Exercises for Chapter 5 √ r 137 (B) (C) r (D) 1 (E) none of the above. The expected daily profit from chocolate cake is equal to . Suppose you win $2 for every head and lose $1 for every tail.5 pX (3) = 0.00 a cake and all unsold chocolate cakes are thrown away at the end of the day. S5. Then P (Y ≥ 0) equals (A) 2/3 (B) 848/1024 (C) 904/1024 (D) 1 (E) none of the above.14 A fair coin is tossed 10 times. The cake is sold for $5.00 per cake.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. Let Y denote your actual net amount won (which may be negative).1 where X represents the number of cakes requested by customers.2 pX (2) = 0. with each outcome independent of the others.2 pX (1) = 0. S5. S5.

but guarantees a total refund if X ≤ 1.2 pX (2) = 0.00.00 (E) none of the above. The manufacturer sells the item for $5.00. S5.00 (D) $3.17 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. the store owner bakes two loaves of rye bread at a cost of 20 cents per loaf.2 pX (1) = 0. S5. 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.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. 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. What is the manufacturer’s expected profit per item? (A) 5e−1 (B) 2e−1 (C) −2 + 5e−1 .6 At the beginning of the day.

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

then P (−2Y < 0) equals (A) p (B) 1 − p (C) 0. Then the value of E(|X|) is (A) 0 . (E) none of the above are true. Consider the random variable X −µ . Then P (X < 0) equals (A) 0 (B) 0.140 Self-Test Exercises for Chapter 5 S5. S5. S5. 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.1587 (C) 0.5.5 (D) 0.23 If Y is a random variable with P (Y ≥ 0) = p.8413 (E) none of the above S5.24 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 .5 (D) 0 (E) none of the above.22 Let X be a normally distributed random variable with E(X) = 3 and Var(X) = 9.5 and P (X = +1) = 0.

3174 (D) 0. The value of E(Y ).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 .Self-Test Exercises for Chapter 5 141 (B) 0.25 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. S5. S5. the expected reward. Then.5 (C) 1 (D) 2 (E) none of the above are true. P (|X| ≤ 1) equals (A) 0. Let Y denote the reward for any one customer.26 Suppose that the random variable X has a normal distribution with mean 1 and variance 4.3413 (E) none of the above.1528 (B) 0.1826 (C) 0. S5. is (A) 0 (B) 5 (C) 10 (D) 10e−25 (E) none of the above.

Questions for Chapter 5 5.50 √ (D) 0.293.59 (C) $12. 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. Define the random variable Y = ln(X). (b) Find E(X).71 (B) $7357. E(h(X)) and h(E(X)). S5.50 (E) none of the above.29 (E) none of the above. (a) Find the probability density function for the random variable Y = h(X) = 1/X .25 (C) 0. .642. If the manufacturer sells 100 printers.50)) equals (A) 0 (B) 0.1 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.41 (D) $17.142 Questions for Chapter 5 Let ln(x) denote the natural logarithm of x. how much should he expect to pay in refunds? (A) $2706.

E(h(X)) and h(E(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.5). (b) Find E(X). 5. (a) Find the probability density function for the random variable Y = h(X) = ln X . 5.4 The price. 5. 9 (a) Find the probability density function for the random variable Y = h(X) = 4 X . (c) Find Var(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. X . (c) Compute P (2X 2 ≤ 0.3 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.Questions for Chapter 5 143 (c) Find Var(X). (b) Determine the cumulative distribution function for X . (c) Find Var(X). 9 (b) Find E(X). (d) Compute E(X) and Var(X). E(h(X)) and h(E(X)).

b].00. Note: Be careful of the case where s < 0.6 (†) Let X be a uniformly distributed random variable on the interval [a. The manufacturer sells the item for $5. where a < b. X −r s Where r and s are non-zero constants.00 but guarantees a total refund if X ≤ 0.5 using the actual probability density function for Y . Find the probability density function for the random variable Y = X 3 . The results should be the same as Example 5. Note: The integral for fX (x) does not exist in closed form.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.5.8 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. (b) Using the probability density function for Y find E(Y ) and Var(Y ).7 Verify the results of Example 5. Show that Z also has a uniform distribution.9. 5. What is the manufacturer’s expected profit per item? . That is. Z= Let 5.144 Questions for Chapter 5 5. 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 .

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

e. 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. k = 1). Suppose that X ∼ N (µX .17 A random variable X represents the weight (in ounces) of an article. 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. σX ). 56).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 . pX (2) = 0. Justify your answer. 5.. If its weight is greater than 52 ounces. If 10 points are credited for each correct answer.146 Questions for Chapter 5 (c) The professor deducts points for wrong answers in order to discourage random guessing. If the weight of the article is less than 44 ounces. it is sold for $15. (a) Determine the probability distribution for the daily profit. Let Y = eX . (b) How many loaves should the grocer bake per day to maximize his expected profit? 5. If its weight is greater than 44 ounces and less than 52 ounces. Find the probability density function for Y . if the store owner decides to bake one loaf (i.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) = 0.00. it is sold for $12. 2 5.18 A distribution closely related to the normal distribution is the log-normal 2 distribution.3.1. it is considered unsatisfactory and thrown away. Then Y is said to have a log-normal distribution. then E(X(X − 1)) equals zero. Y is log-normal if and only if ln(Y ) is normal.00.13 Let X be the number of dots obtained when a fair.6 At the beginning of the day. and has a uniform distribution on the interval (36. . That is. R. The bread is sold for 30 cents a loaf and all unsold loaves are thrown away at the end of the day. how many points should be deducted for each wrong answer so that Billy’s expected score from guessing is zero? 5. pX (1) = 0. What is the expected selling price of an article? 5. common six-sided die is tossed.

E(T ). it can be sold for 25 cents. your answer is in terms of µX and σX .20 The Youbee Resistor Company uses a machine to produce resistors. 5. (b) Suppose that the manufacturer wants to increase his expected profit. The manufacturer will make a net profit on the fuel (per gallon) which is the following function of X :   $0.10 per gallon if 30 < X < 35 if 35 < X < 40 or 25 < X ≤ 30 otherwise (a) If X ∼ N (33. and the length of life of certain items. 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 . evaluate E(T ). If a resistor has a resistance between 950 and 1050 ohms. otherwise it is scrapped.Questions for Chapter 5 147 Note: For this question.10 per gallon  T (X) = $0.05 per gallon   -$0. the diameter of a small particle after a crushing process. These are not the expected value and standard deviation of Y . What must his new profit function be in order to achieve this goal? 5. (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 . by 50%.19 A rocket fuel is to contain a certain percent (say X ) of a particular additive. The specifications call for X to be between 30 and 35 percent. The cost of producing one resistor is 10 cents. the size of an organism subject to a number of small impulses. 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. He intends to do this by increasing his profit (per gallon) on those batches of fuel meeting the specification 30 < X < 35.

should the new machine be purchased? 5.975. Compute this probability to verify this property for yourself in the above example. 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. If the company wishes to maximize expected profit. = 0. Although the selling price of resistors would remain the same. you will say only noise is present. the reading. Assume furthermore that a sample of this fabric is considered to be defective if X ≤ 162. As long as the parameters µ and σ 2 are chosen so that P (X < 0) is essentially zero. In the above example.22 Let Xi ∼ N (µ. Otherwise. 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 have a normal distribution with mean 10 and variance 9. If only noise is present. = 0. = 0. Find k such that P (X > µ − kσ) = 0.10? Suppose. X . What is the probability that a sample of fabric. the above model (apparently not valid in view of the objection just raised) assigns negligible probability to the event {X < 0}.95. say X .99. the reading will have a normal distribution with mean 5 and variance 9. . suppose we hold E(X) fixed at 165.23 A measuring device provides a reading on a continuous scale whenever a button is pressed. on the other hand. the strength of cotton fabric. chosen at random. What would E(X) have to be so that P (X < 0) = 0. a normally distributed random variable may be observed to take on any positive or negative value. 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). is normally distributed with E(X) = 165 and Var(X) = 9. such a representation may work. However.21 Suppose that the breaking strength of cotton fabric (in pounds). you will announce that a signal is present. You settle on the following signal detection rule: If the reading is 7 or greater.10? 5. that we hold Var(X) fixed at 9. σ 2 ). 5. What would Var(X) have to equal so that P (X < 0) = 0. cannot take on negative values. Nevertheless. That is P (X < 0) ≈ 0. It is obvious that X . will be defective? Note: An immediate objection to the use of the normal distribution may be raised here.841.

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 .

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

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.

4: Computing P (a1 < X1 ≤ b1 . In the one-dimensional case. b2 ) − FX1 . b2 ) − FX1 .4.Continuous Distributions 161 x2 b2 a2 a1 b1 x1 Figure 6.X2 (a1 .X2 (b1 . a2 < X2 ≤ b2 ) = FX1 . a2 ).X2 (b1 . Example: Let (X.Y (x. y) = 2−y 0 2 1 0 2 if 0 ≤ x ≤ 2 and 1 ≤ y ≤ 2 otherwise Note that (2 − y) dx dy = 1. a2 ) + FX1 .5): fX. Y ) be a two-dimensional random variable with the following joint probability density function (see Figure 6. . a2 < X2 ≤ b2 ).X2 (a1 . with a comparable formula given by P (a1 < X1 ≤ b1 . This worked for any type of probability distribution. 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. The situation in the multidimensional case is a little more complicated. we had the handy formula P (a < X ≤ b) = FX (b) − FX (a).

Marginal Distributions Given the probability distribution for a vector-valued random variable (X1 . Performing the integration. .0. we get.5. To do this.Y (x.0. Y ≤ 1. Y ≤ y) .5). This region of integration is shown shaded (in green) in Figure 6. “Can we determine the distribution of X1 . y ≤ 1. y) over the region {(x.0 0 fX. For example.. y) dx dy 3 (2 − y) dx dy = 8 .162 Marginal Distributions fXY(x. Y ≤ 1.Y (x.5: A two-dimensional probability density function Suppose we would like to compute P (X ≤ 1.Y (x.y) 1 1 2 y 1 2 x Figure 6. i.5) = = 1. y) = P (X ≤ x. y) : x ≤ 1.0 1. .e. Y ) with joint cumulative distribution function FX. P (X ≤ 1. disregarding the other components?” The answer is yes. we may be given a random vector (X. we calculate the volume under the surface fX.5}. . y). Suppose we would like to find the cumulative distribution function for X alone.5 1.Y (x. Xn ). we might ask the question. in the two-dimensional case.5 1.0 −∞ −∞ 1. and the solution requires the careful use of English rather than mathematics. FX (x)? We know that FX.

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

10 . The procedure is similar for obtaining marginal probability density functions. y) 1 2 X 3 4 5 Y 2 3 0 0 .15 + 0. and let Y be the number of defective items produced.025 . Doing this for Y as well as X we can obtain Table 6.10 4 0 0 0 0 .05 + 0.05 . But notice that in these computations. X .Y (3. but fX (x)dx.164 Marginal Distributions Table 6. is.10 5 0 0 0 0 0 This is hardly a surprising result.Y (2. Suppose that the probability mass function for (X. Using this joint distribution. Example: Let X be the total number of items produced in a day’s work at a factory. but it brings some comfort to know we can get it from all of the mathematical machinery we’ve developed thus far. 1) = 0.10 1 .Y (2.2 So. So 1 Would you believe that this is why they are called marginal distributions? . we can see that the probability of producing 2 items with exactly 1 of those items being defective is pX.05 .10 = 0. We simply look for the result in the margin1 for the entry Y = 2. Y ) is given by Table 6.Y (x.275.1.Y (2.Y (1. To find the marginal probability mass function for the total daily production. 1) = 0.05 .15 . 2) + pX.Y (3.05 pX (2) = pX. 1) + pX. 2) = 0. we are simply adding the entries all columns for each row of Table 6. 3) = 0. 1) + pX. fX (x). P (Y = 2) = pY (2) = 0. we sum the probabilities over all possible values of Y for each fixed x: pX (1) = pX. itself is not a probability measure.Y (3.25 pX (3) = pX.10 0 .20 etc.05 . Recall that a density.05 + 0.025 . for example.1: Joint pmf for daily production pX.10 = 0.15.1.10 .

6. . . . . Y = any value) = +∞ −∞ fX.10 .15 .40 1 .25 . .05 .Xn .05 .. Let (X1 .025 . The marginal probability density function for the random variable X1 is given by fX1 (x1 ) = +∞ −∞ ··· +∞ −∞ fX1 . we sum (or integrate) over all possible values of the unwanted random variable components. Looking at this relationship as fX (x) dx = +∞ −∞ fX. .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. Notice that in both the discrete and continuous cases.05 . Xn ) be a continuous random variable with joint probability density function fX1 . . y) dy dx it would seem reasonable to define fX (x) ≡ +∞ −∞ fX. xn ) dx2 · · · dxn .20 .4 4 0 0 0 0 .10 . y) dy and we therefore offer the following: Definition 6. x2 .10 . .025 .Y (x.Xn (x1 .X2 ..Y (x.10 ..05 ....275 .Marginal Distributions 165 Table 6.10 0 .Y (x.2: Marginal pmf’s for daily production pX..10 . . y) 1 2 X 3 4 5 pY (y) Y 2 3 0 0 ..10 0.225 pX (x) .05 . y) dy dx where y is the variable of integration in the above integral.Y (x.

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

Therefore. we have fX (x) = 0. We compute fX (x) = = = = +∞ −∞ 2 1 fX. 1].Y (x.Y (x. Consider the case where we fix x so that 0 ≤ x ≤ 2.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. 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 .5 on page 162) fX. Solution: Let’s first find the marginal probability density function for X . 2]. in fact. Y ) be the two-dimensional random variable with the following joint probability density function (see Figure 6. 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 have fX (x) = 0. y) dy (2 − y) dy y2 2 y=2 y=1 2y − 1 2 If x is outside the interval [0. fX (x) = 1 2 0 0≤x≤2 otherwise . Example: Let (X. So. a probability density +∞ functionby making sure that fX (x) ≥ 0 for all x and that −∞ fX (x) dx = 1.

x2 ) = 36 for x1 = 1.X2 (x1 . .Y (x. Therefore. . 4 − 2y 1≤y≤2 fY (x) = 0 otherwise You should also double check that fX and fY are both probability density functions. . . We ask the question. . pZ (4) = pX1 . Find the probability mass function for the random variable Z = X1 +X2 . . . Example: Let (X1 . 2]. . consider the case where we fix y so that 1 ≤ y ≤ 2. Most of these problems just require a little careful reasoning. y) = 0 giving us fY (y) = 0. y) dx (2 − y) dx = 4 − 2y If y is outside the interval [1.X2 (2. “What are the possible values that Z can take on?” The answer: “The integers 2. Z equals 4 precisely when any one of the mutually exclusive events {X1 = 1. We compute fY (y) = = = +∞ −∞ 2 0 x=2 (2 − y)x|x=0 fX. 3. 3) + pX1 . . So. X2 = 1} occurs. Functions of Random Vectors The technique for computing functions of one-dimensional random variables carries over to the multi-dimensional case. .” For example. X2 = 3}. 1 Solution: We already know that pX1 . . 4.168 Functions of Random Vectors To find the marginal probability density function for Y . 2) + pX1 . X2 ) be the die-tossing random vector of the example on page 156.X2 (1.X2 (3. 6. the sum of the two rolls. or {X1 = 3. . X2 = 2}. {X1 = 2. we have fX. 1) = 3 36 .Y (x. 6 and x2 = 1. 12. .

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

170 Functions of Random Vectors y 1 z x+ y= z 0 z 1 x Figure 6.7: The event {Z ≤ z}. y z 1 z y 1 0 z 1 x 0 1 z x Case I Case II Figure 6.8: Two cases to worry about for the example .

Xn is independent if and only if.8. . and 2. F (x)). . .X2 . A sequence of n random variables X1 . . Independence of Random Variables Definition 6. . X2 .. . Xn is a random sample if and only if 1. . . b2 . y) = [pX (x)][pY (y)] for all x and y . . FXi (x) = F (x) for all x and for all i (i. . Recall: An event A is independent of an event B if and only if P (A ∩ B) = P (A)P (B).. . . Definition 6.Y (x. .1.d. each Xi has the same marginal distribution.e. X2 .) random variables. Xn are independent. Testing for independence Case I: Discrete A discrete random variable X is independent of a discrete random variable Y if and only if pX. and FX1 . X1 . If X and Y are independent random variables then any event A involving X alone is independent of any event B involving Y alone. bn . A sequence of n random variables X1 .. Theorem 6. . .7. We say that a random sample is a vector of independent and identically distributed (i.Xn (b1 .i. bn ) = FX1 (b1 )FX2 (b2 ) · · · FXn (bn ) for all values b1 . b2 . . . X2 . . .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).. . ..

2 Example: Suppose an electronic circuit contains two transistors.4)(0. Example: A company produces two types of compressors. y) = [fX (x)][fY (y)] for all x and y .1 0. 0) = 0.2 1 0.1 0.Y (x. y) 0 x 1 2 0 0. Y = y) is given by the following table: y pX. fX.Y (x. y) = 4e−2(x+y) x ≥ 0. Let X be the time to failure of transistor 1 and let Y be the time to failure of transistor 2. Note that pX.5) = 0. Let X denote the number of grade A compressors produced on a given day.1 The random variables X and Y are not independent.2 0.3 0. 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. grade A and grade B.Y (x. Suppose that the joint probability mass function pX.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. Let Y denote the number of grade B compressors produced on the same day.Y (0.1 = pX (0)pY (0) = (0.

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

4.Y (x. If X and Y are independent.Y (x. y) dy dx + ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ ∞ −∞ yfX.2 to get E(XY ) = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 0 1 0 1 3 3x y 1 3y 0 1 xyfX.174 Expectation and random vectors Let Z = XY . E(X + Y ) = E(X) + E(Y ) Proof.Y (x.Y (x. 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. To find E(Z) = E(XY ) use Theorem 6. y) dx dy ∞ −∞ −∞ −∞ ∞ ∞ −∞ ∞ −∞ x −∞ fX. y) dy dx + ∞ −∞ y fX. Y ) is a continuous random vector. then E[h(X)g(Y )] = E[h(X)]E[g(Y )] . y) dx dy + xfX.Y (x. The proofs for the discrete case are similar using summations rather than integrals. Theorem 6. y) dx dy xfX. probability mass functions rather than probability density functions. y) dx dy x fX (x) dx + y fY (y) dy = E(X) + E(Y ) Theorem 6.2: E(X + Y ) = = = = = ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ ∞ ∞ (x + y)fX. y) dx dy yfX. Using Theorem 6.Y (x.3.Y (x.Y (x.

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

Y ) Theorem 6.7: Cov(X. 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)}. Y ) = 0.176 Expectation and random vectors Proof.8. . Y ) = E(XY ) − E(X)E(Y ) = 0 . let b = {Y − E(Y )}. We can then use Theorem 6. Using Definition 6. Y ) = E(XY ) − E(X)E(Y ) Proof. E[Y ]. E(XY ) = E(X)E(Y ). If X and Y are independent then. . and expand (a + b)2 to get. 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]. we get Cov(X. . = E[XY ] − E(Y )E[X] − E(X)E[Y ] + E(X)E(Y ) = E[XY ] − E(X)E(Y ) Corollary 6. from Corollary 6. Proof.5. Remember that the variance of a random variable W is defined as Var(W ) = E[(W − E(W ))2 ] Now let W = X + Y .7. = 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. . . and E[XY ] are all constants. Cov(X. If X and Y are independent then Cov(X. .9.

Reading MA. Y ) = +1.Expectation and random vectors 177 Corollary 6.10. Y ) ≡ .11 and 6. Y )| ≤ 1. from Theorem 6. 1965.8: Var(X + Y ) = Var(X) + Var(Y ) + 2Cov(X. Definition 6. For any random variables X and Y . then ρ(X. then ρ(X. Suppose that X and Y are two random variables. 6.. Y = aX + b for some constants a and b. Y )| = 1.11. The converse of this theorem is also true: Theorem 6. If X and Y are independent then. If a < 0. Then (with probability one).6 and Corollary 6. Suppose that |ρ(X.12. Y ) = −1. Proofs of these results may be found in the book by Meyer. Then |ρ(X.12 are stated without proof. Addison-Wesley. Meyer. such that Y = aX + b where a and b are constants. Y ) ≡ E (X − E(X))(Y − E(Y )) . Proof. The correlation coefficient for two random variables X and Y is given by Cov(X.10. |ρ(X. 2 . Y ) Var(X + Y ) = Var(X) + Var(Y ) + 2(0) Var(X + Y ) = Var(X) + Var(Y ) Definition 6. Y ) ρ(X. Y )| = 1. Introductory probability theory and statistical applications. Var(X)Var(Y ) Theorems 6. In other words: If the correlation coefficient ρ is ±1.9.10. the Y is a linear function of X (with probability one).2 Theorem 6. If X and Y are independent then Var(X+Y ) = Var(X)+Var(Y ).11. If a > 0. The covariance of two random variables X and Y is given by Cov(X. Theorem 6. P.

what is the probability that one of them is a grade B compressor? Solution: P (Y = 1 | X + Y = 2) = = = P (Y = 1. what is the probability that the first transistor lasted more than one hour? .3 0.1 = 0.2 0.Y (x. what is the probability that 2 grade A compressors were produced? Solution: P (X = 2 | Y = 0) = = P (X = 2.178 Expectation and random vectors Random vectors and conditional probability Example: Consider the compressor problem again.1 0.2 1 0. Y = 0) P (Y = 0) 2 0. . y ≥ 0 0 otherwise Given that the total life time for the two transistors is less than two hours. y) = 4e−2(x+y) x ≥ 0. fX.3 3 Example: And. Y = 1) P (X + Y = 2) 1 0.1 Given that no grade B compressors were produced on a given day.5 5 Given that 2 compressors were produced on a given day. again.1 0. y) 0 x 1 2 0 0. X + Y = 2) P (X + Y = 2) P (X = 1.Y (x.2 = 0. . consider the two transistors. y pX.

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

S6. 0) = 1/4 pX.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. X2 . Answers can be found in Appendix B. Y ) be a discrete random vector with joint probability mass function given by pX.1 Let X1 .Y (0. then the value of r is (A) (B) (C) 1 16 1 4 1 2 (D) 1 (E) none of the above.2 Let (X. 1) = 1/4 pX. choose the best response among those provided. X4 be independent and identically distributed random variables.Y (0. S6. 1) = 1/2 Then P (Y = 1) equals (A) 1/3 (B) 1/4 (C) 1/2 . X3 . each with P (Xi = 1) = 1 and P (Xi = 0) = 1 . Let P (X1 + X2 + 2 2 X3 + X4 = 3) = r.Y (1.

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

1) = 1/3 pX. 0) = 1/3 pX. 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.Y (0.8 Let (X. 1) = 1/3 pX.Y (0.6 Suppose (X.Y (1. 0) = 1/3 .Y (0. Y ) is a continuous random vector with joint probability density function e−y if 0 ≤ x ≤ 1 and y ≥ 0 fX.Y (1.182 Self-Test Exercises for Chapter 6 (C) 1/2 (D) 1 (E) none of the above. S6.Y (0. Y ) be a discrete random vector with joint probability mass function given by pX.Y (x. 0) = 1/3 pX.7 Let (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. Y ) be a discrete random vector with joint probability mass function given by pX. S6. S6.

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

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

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

19 Assume that (X. x − w} (B) min{1. Y ) is random vector with joint probability density function fX.186 Self-Test Exercises for Chapter 6 (D) 1 (E) none of the above S6. Let W = X −Y .Y (0. .Y (x. The limit of integration that should appear in position D is (A) min{1. Y ) is a random vector with joint probability mass function given by pX. The value of P (W = 0) is (A) 0 (B) 1/4 (C) 1/2 (D) 3/4 (E) none of the above. x − y} (D) min{1. 0) = 1/2 pX. y + w} (E) none of the above. 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. y − w} (C) min{1.18 Assume that (X.Y (−1. y) = k for 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 and y ≤ x 0 otherwise where k is a some positive constant. S6. 1) = 1/4 Define the random variable W = XY .Y (0.

Y ) where X is the life length of transistor 1 and Y is the life length of transistor 2.21 Suppose (X.Self-Test Exercises for Chapter 6 187 S6. Y ) is a continuous random vector with joint probability density function fX.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.Y (x. 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 . Then E(X 2 + Y 2 ) equals (A) 0 (B) 1 (C) 3 (D) 5 (E) none of the above. S6. 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 (x. Let Y be a random variable with E(Y ) = 0 and Var(Y ) = 4. The joint probability density function of (X. Y ) is given by fX. S6.

Y (2. ω4 }. P (X ≤ 2.Y (1. {ω1 . pX. (c) Find the distribution for the random variable Z = X + Y which is the total daily production of gizmos. Y = 2). and let Y be the number of Type 2 gizmos produced on the same day. pX. Z). (b) Find the marginal probability mass functions for X and for Y.20. pX. pX. as follows: P ({ω1 }) = P ({ω3 }) = 1 2 1 4 P ({ω2 }) = P ({ω4 }) = 1 8 1 8 Random variables X . pX.1 A factory can produce two types of gizmos. 3) = 0.20. pX. Y and Z are defined as X(ω1 ) = 0. (a) Compute P (X ≤ 2. 2) = 0. Z(ω1 ) = 1. Y (ω2 ) = 1.10. X(ω3 ) = 1.20.10. X(ω4 ) = 1 Y (ω4 ) = 0 Z(ω4 ) = 4 (a) Find the joint probability mass function for (X. Y. A probability measure. 6. (b) Find the joint probability mass function for (X.188 Questions for Chapter 6 (D) 1 1 0 1−y 2e−(x+2y) dx dy (E) none of the above. Type 1 and Type 2. Let X be a random variable denoting the number of Type 1 gizmos produced on a given day. Y (ω3 ) = 1. ω3 .Y (1. 1) = 0.05. X(ω2 ) = 0.10.Y (3. Z(ω3 ) = 3. The joint probability mass function for X and Y is given by pX. . (c) Find the probability mass function for X .Y (1.Y (1. 1) = 0. 0) = 0. 1) = 0.Y (3.05. Z(ω2 ) = 2. Questions for Chapter 6 6. Y ). Y = 2) and P (Y > 0). ω2 . P (·) assigns probabilities. 2) = 0. Y (ω1 ) = 0.2 A sample space Ω is a set consisting for four points. pX.Y (2. 2) = 0.

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

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

6.Y (x. 000 units given P = 0. P . 6. (c) Find the conditional probability density function for Y given that X takes on the value x. 000 units) is given by fS. and the width. Y is proportion of persons who will respond to a second type of mail-order solicitation. (b) Find the conditional probability density function for X given that Y takes on the value y .20 < p < 0.Questions for Chapter 6 191 6.25. .Y (x. 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 .40 and s > 0 otherwise (a) Find the marginal probability density functions for P and for S . (c) Find the probability that sales will exceed 20. (d) Find the probability that there will be at least a 20% response to the second type of mail-order solicitation. of salt crystals form a random variable (X. (in 10. y) = x 0 if 0 ≤ x ≤ 1 and 0 ≤ y ≤ 2 otherwise (a) Find the marginal probability density functions for X and for Y .P (s. X . and the joint probability density function of X and Y is given by fX. of a commodity (in dollars) and total sales.9 If the joint probability density function of the price. Y .10 If X is the proportion of persons who will respond to one kind of mail-order solicitation. S . Y ) with joint probability density function fX. p) = 5pe−ps 0 0.8 The length. (b) Find the conditional probability density function for S given that P takes on the value p.

Y > 0). 0).11 An electronic component has two fuses. (a) Compute P (X 2 + Y 2 ≤ 0. Y ) is given by fX. X .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. (X. Y . (d) Compute P (X ≥ 0 | Y > 0). y) =  π 0 x2 + y 2 ≤ 1 otherwise Hence. (Note: Be careful of the case |y| = 1. Y ) with the following probability density function:   1 fX.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. y) = e−y 0 0 ≤ x ≤ 1 and y ≥ 0 otherwise (a) Compute P (X + Y ≥ 1). let pX|Y be the conditional probability mass function of X given Y . (b) Are X and Y independent? Justify your answer. (b) Find the marginal distributions for X and Y . and the time when fuse 2 blows is a random variable. Y ) has a uniform distribution on a disk of radius one centered at (0.12 The coordinates of a laser on a circular target are given by the random vector (X. (c) Compute P (X ≥ 0. Let pX be the marginal probability mass function for X . (e) Find the conditional distribution for X given Y = y . If an overload occurs. the time when fuse 1 blows is a random variable.) 6.Y (x.25). 6. The joint probability density function of the random vector (X.Y (x. 6. and let pY |X be the conditional probability mass function of .

5). 0 < z < 2 otherwise Find E(X + Y + Z). The random vector (X. Y ) has joint probability density function fX. y) = 2 0 if x > 0. (c) Compute P (X < 0.25).5).Z (x. (d) Compute P (X < 0. Y ) is a continuous random vector with joint probability density function fX. y > 0 and x + y < 1 otherwise Find E(X + Y ). y. Y.Questions for Chapter 6 193 Y given X .20 < p < 0. p) = 5pe−ps 0 0. 0 < y < 2.5 | Y = 0.15 Suppose (X.16 Suppose (X. S . 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. (b) Are X and Y independent random variables? Justify your answer. (in 10. 6.5 | Y < 0.40 and s > 0 otherwise Find E(S | P = 0. 000 units) is given by fS. .14 The volumetric fractions of each of two compounds in a mixture are random variables X and Y . P . z) = 3 2 8 (xyz ) 0 if 0 < x < 1. 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. 6. respectively.Y (x.17 Suppose the joint probability density function of the price. 6.P (s. 6. of a commodity (in dollars) and total sales. Z) is a random vector with joint probability density function fX.Y (x.

Y ) is a random vector with the following joint probability density function: fX. Y ) has the following joint probability mass function: pX.01 .Y (x.15 . 6.05 .05 . After an extensive survey was conducted.01 . (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 > 0.20 Suppose that (X.04 . y) X (juniors) Y (seniors) 0 1 2 . Let X denote the number of juniors who will attend the party.5). Y ) is a random vector with the following joint probability density function: fX. y) = 2x 0 if 0 < x < 1 and 0 < y < 1 otherwise Find the marginal probability density function for Y .20 0 1 2 3 . Plans are being made for a party.04 .Y (x. 6.Y (x. (d) Are X and Y independent random variables? Justify your answer. y) = 2 5 (x + 4y) 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Find E(X | Y = y) for each 0 < y < 1.05 . it has been determined that the random vector (X. and let Y be the proportion of persons who will respond to a second type of mail-order solicitation.21 The Department of Metaphysics of Podunk University has 5 students.194 Questions for Chapter 6 6. with 2 juniors and 3 seniors.18 Let X be the proportion of persons who will respond to one kind of mailorder solicitation.12 . Suppose the joint probability density function of X and Y is given by fX. (c) Find E(X). 6.25 .03 .Y (x. and let Y denote the number of seniors who will attend.19 Suppose that (X.

(b) Are X and Y independent random variables? Justify your answer. . 2 (d) Are X and Y independent random variables? Justify your answer.5 | Y ≤ 0. What is the probability that no seniors will show up? 6.22 Let (X. y ≥ 0 and x + y ≤ 1 . y) = 4xy 0 for 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 .Y (x. (c) Find the conditional probability density function for Y given that X = 1 . otherwise (a) Find the marginal probability density function for X and the marginal probability density function for Y . (c) Find P (X + Y ≤ 1). (d) Find P (X > 0.5).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 $10.23 Let (X. (b) Find the marginal probability density function for X and the marginal probability density function for Y . what is the expected amount of money that will be collected from all students? (d) The two juniors arrive early at the party. Y ) be a continuous random vector with joint probability density function given by fX. otherwise (a) Compute P (X < Y ). 6. Y ) be a continuous random vector with joint probability density function given by fX. y) = 2 0 if x ≥ 0.Y (x.

and let Y be the number on the second ball. y) = if 0 < x < 1 and y > 0 otherwise  0    (a) Compute P (X > 0. A second ball is then drawn at random from the box.5. 3 and 4. Y ) is a random vector with the following joint probability density function:   2xe−y    fX. Let X be the number on the first ball drawn.5 | Y < 1.0). 6. (b) Compute P (Y ≥ 3 | X = 1). (a) Find the joint probability mass function for the random vector (X. Y < 1.0). . It is not replaced. (b) Are X and Y independent random variables? Justify your answer. 6. Y ) be a continuous random vector with joint probability density function given by fX. (c) Find P (X + Y ≤ 1). Y ). (d) Find E(X + Y ). (c) Find the marginal probability density function for X . 2. (b) Compute P (X > 0.196 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.25 A box contains four balls numbered 1.26 Suppose that (X. A game consists of drawing one of the balls at random from the box.Y (x. (d) Find E(X + Y ).24 Let (X.

Questions for Chapter 6 197 6. between 70 and 80)? (b) If a student is chosen at random from the class. independent continuous random variables with probability density functions fX (x) and fY (y). Compare your answer to the case where X and Y are both positive. 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.e. A probability class is composed of 75 juniors and 25 seniors. Let Z = X/Y . . (b) Now suppose that X and Y can be positive and/or negative. respectively. Express the probability density function for Z in terms of an integral that involves only fX and fY . (a) Express the probability density function for Z in terms of an integral that involves only fX and fY .28 (†) Suppose X and Y are positive. (a) What is the probability that a student chosen at random from the class will receive a grade in the 70’s (i. 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. What is the probability that the student is a junior? 6..

198 Questions for Chapter 6 .

h(k) (c) is the k th derivative of h evaluated at u = c. Let X be a discrete random variable with support on the nonnegative integers. 199 . For any differentiable function h(u).2. Then the probability generating function for X is given by gX (z) ≡ E(z X ) for |z| < 1. and constant c h(k) (c) ≡ dk h(u) duk . 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 7.1.7 TRANSFORMS AND SUMS Transforms Notation Throughout this section we will use the following notation: Definition 7.

2. . gX (0) = (1)P (X = 0) Now take the first derivative of gX (z). . then P (X = k) = gX (0) k! (k) Proof.200 Transforms Example: Let X have a Poisson distribution with parameter α > 0 Then pX (k) = e−α αk k! for k = 0. . We have gX (z) = E(z X ) ∞ = k=0 z k P (X = k) Writing out the sum explicitly. . . we get. 1. . gX (z) = P (X = 1) + 2zP (X = 2) + 3z 2 P (X = 3) + 4x3 P (X = 4) + . . 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 . 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. If gX (z) is the probability generating function of X . . . .

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

Proof.5 without proof. 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. Theorem 7. gY (z) = E(z Y ) = E(z X1 +X2 +..1. The probability generating function of a random variable uniquely determines its probability distribution. then the probability generating function of the random variable Y = a + X is gY (z) = z a gX (z). and a is a nonnegative.202 Transforms Therefore. If gX (z) is the probability generating function of X .4. 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 .5.+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. Example: Let T have a Bernoulli distribution with parameter p. it is a direct result of Theorem 7.. Except for some technical details. integer constant. We have.

That is P (X = k) = n k (n−k) p q k for k = 0.2 to get E(X) from gX (z).3 with the Ti ’s to easily get gX (z) = gT1 (z)gT2 (z) · · · gTn (z) = (q + zp)n As an exercise. . . 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. . n. The kth moment about the origin of a random variable X is defined as E(X k ). 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 7.4. T2 . . . Let X be (almost) any random variable. b). Definition 7. use Theorem 7.Transforms 203 Example: Now suppose. Then the moment generating function for X is given by MX (t) ≡ E(etX ). 1. . T1 . . . Moment generating functions Definition 7. Then   fX (x) = 1 b−a  0 if a ≤ x ≤ b otherwise . Example: Let X have a uniform distribution on the interval (a.3.

1. . we can derive the following relationship: gX (z) = E[z X ] substituting z = et . . it can have a probability generating function and a moment generating function. 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) . .}. . . 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. 2. 2. . 1. 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 {0.204 Transforms Therefore. Recalling that ex = ∞ k k=0 (x /k !). When a random variable has both a probability generating function and a moment generating function.

. 1965. for every t. Therefore. Reading MA. . . Addison-Wesley. 1 MX (t) = √ 2πσ +∞ −∞ 2 etx exp − 1 x−µ 2 σ 2 dx Let (x − µ)/σ = s. 2. . Example: Let X have an exponential distribution with parameter α > 0.} (that is. those random variables with probability generating functions). σ 2 ). Then fX (x) = αe−αx if x ≥ 0 0 otherwise Therefore. 1. Then 1 1 x−µ fX (x) = √ exp − 2 σ 2πσ Therefore. Continuing. P. MX (t) = 1 1 √ 2π +∞ −∞ exp[t(σs + µ)]e−s 2 /2 ds Meyer.. MX (t) = E(etX ) = 0 ∞ ∞ etx αe−αx dx αex(t−α) dx = 0 Note that this integral only converges if t < α.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. thus x = σs + µ and dx = σds.1 ) Let X ∼ N (µ. MX (t) = = α x(t−α) ∞ e t−α 0 α for t < α α−t Example: (From Meyer. Introductory probability theory and statistical applications.

. . 1. We have MX (t) = E(etX ) = E (tX)k k! k=0 ∞ (k) Writing out the sum explicitly. 2.206 +∞ −∞ +∞ −∞ 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 . . Proof. .6. (Informal proof) Let MX (t) denote the k th derivative of MX with respect to t. MX (t) = E 1 + tX + (tX)2 (tX)3 (tX)4 + + + ··· 2! 3! 4! If the sum in the right hand side converges. 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 . . +∞ −∞ e−v 2 /2 dv = e(tµ+σ 2 t2 /2) Theorem 7. . then ds = dv and we obtain MX (t) = etµ+σ 2 t2 /2 1 √ 2π . we get . we get. If MX (t) is the moment generating function of X . then E(X k ) = MX (0) (k) for k = 0. MX (t) = E(X) + tE(X 2 ) + (1) t2 E(X 3 ) t3 E(X 4 ) + + ··· 2! 3! . . . .

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

if you encounter a random Y with moment generating function MY (t) = et 2 /2 you can immediately say that Y ∼ N (0. 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. 1). Now. 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. 8). suppose you are given that the random variable X has a normal distribution with mean µ and variance σ 2 . Therefore. 1).208 Transforms So. .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. And. σ 2 ) then Z = (X − µ)/σ ∼ N (0.

. Linear combinations of normal random variables Theorem 7.5. then n Y =b+ i=1 2 ai Xi ∼ N (µY . 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. . σi ) and a1 .6. an and b are constants. . . Then the Laplace transform for X is given by LX (t) ≡ E(e−tX ). . . Let X be any random variable. σY ) where µY = b + n ai µi i=1 .10. a2 . . Characteristic function Definition 7. Xn are independent normal random variables with 2 Xi ∼ N (µi . . X2 . Then the characteristic function for X is given by ψX (t) ≡ E(eitX ) √ where i ≡ −1. if X1 . Let X be (almost) any random variable.Linear combinations of normal random variables 209 Other transforms of random variables Laplace transform Definition 7.

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

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

Hence. 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 + .e. 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  + · · · . 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 . ln MZn (t) = √ (−µ + E(X)) n t+ σ E(X) 1 E(X)2 − 2!σ 2 n 2 σ 2 n t2 + · · · . permitting us to use fact (B). we can make this summation as small as we want. for suitably large n. the summation (i. E(X 2 ) − E(X)2 2σ 2 t2 + [other terms] But E(X) = µ and E(X 2 ) − E(X)2 = σ 2 . Therefore..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. As n → ∞. Collect similar powers of t to obtain √ −µ nt E(X) √ +n t+ ln MZn (t) = σ σ n Hence. ξ ) will eventually be less than one.

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

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

S7.2 Suppose X ∼ N (2. Then the moment generating function for Y = X1 + X2 is (A) e0. S7.Self-Test Exercises for Chapter 7 215 Self-Test Exercises for Chapter 7 For each of the following multiple-choice questions. Then P (X + Y < 9) equals (approximately) (A) 0. Answers can be found in Appendix B.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.5t (C) et 2 .9772 (E) none of the above.5199 (C) 0. 16) are independent random variables.5t 2 2 (B) 2e0. 9) and Y ∼ N (2. each with the same probability distribution as X .5t 2 Let X1 and X2 be two independent random variables.3 Suppose X is a random variable with moment generating function MX (t) = E(etX ) = e0.1587 (B) 0. choose the best response among those provided. S7.8413 (D) 0.

216 Self-Test Exercises for Chapter 7 (D) e0.5t 4 (E) none of the above. normally distributed random variables each with mean 0 and variance 1. The value of P (X > Y ) is (A) 0 (B) 0. Tn be n independent identically distributed random variables with {Ti = 1} if light bulb i is good. S7.6 Let X and Y be independent random variables with X ∼ N (0. S7. 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. . 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. Let T1 . 1) and Y ∼ N (0.50 .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. Suppose that a batch of n bulbs are selected at random. 2). . S7.05 (C) 0. . T2 . If p is the probability that any one light bulb is good. Then S = n Ti is the i=1 total number of good light bulbs in the batch.5 If X and Y are independent. and {Ti = 0} if light bulb i is bad. .

X2 .8 Let X1 . X3 .9 Let X and Y be independent. S7.Self-Test Exercises for Chapter 7 217 (D) 0. S7. 4.7 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. Then Var(Y ) equals (A) 1/16 (B) 1/4 (C) 4 (D) 16 (E) none of the above. X4 be independent random variables.95 (E) none of the above. Let Y = X1 + X2 + X3 + X4 . 2. 3. normally distributed random variables each with mean 0 and variance 1. 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 . each with E(Xi ) = 0 and Var(Xi ) = 1 for i = 1.

S7. fills his one gallon bucket with water and brings that water down to the 100 gallon tank.0636 . Jack repeatedly goes to a well at the top of a hill. The probability that Jack will need to make more than 100 trips to the well is (A) 0. S7.218 Self-Test Exercises for Chapter 7 (D) all of the above (E) none of the above. The amount of water carried on any trip is independent of all other trips.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. 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.1 gallon. Let Y be a random variable with moment generating function MY (s) = (1 − s)−1 . 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. If X and Y are independent.11 Let X be a random variable with moment generating function MX (t) = (1 − t)−1 . S7.05 (B) 0.

3830 (C) 0.6915 (D) 1.5 (E) none of the above. 1) and Y ∼ N (0. 2).Self-Test Exercises for Chapter 7 219 (C) 0.2580 (D) 0. 2) and Y ∼ N (1. 2). S7. S7.13 Let X and Y be independent random variables with X ∼ N (0.5 (C) 1 (D) P (X + Y < 1) (E) none of the above. The value of P (X − Y < 1) equals (A) 0 (B) 0. Then P (|X − Y | ≤ 1) equals (A) 0 (B) 0. S7.14 Let X and Y be independent random variables with X ∼ N (1. .0 (E) none of the above.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.

X2 . .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. n.16 Suppose X1 . . 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 ≤ 1.18 Let X1 . . . . Define the random variable Y = 1 n n Xi i=1 Then E(Y ) equals (A) 0 .220 Self-Test Exercises for Chapter 7 S7. 1) if and only if (A) c = 1 (B) c = n √ (C) c = 2 n √ (D) c = 2/ n (E) none of the above. Let W = n Xi and define the random i=1 variable W − 2n Z= c Then Z ∼ N (0. 2. . 4) for i = 1. . Xn are independent random variables with each Xi ∼ N (2. S7. . Xn be independent. . . .

Questions for Chapter 7 221 (B) p (C) p2 (D) 1 (E) none of the above. M (t) = t (1 − p) 1−e What is the value of P (X = 0)? 7. (b) Find E(X) and E(X 2 + 1). (b) Find E(X). Y ∼ N (2.4 Let X be a random variable with nonnegative. (a) Compute P (X ≤ 30). 4). 2−t What is the expected value for this random variable? 7.1 The probability generating function for a random variable X is given by g(z) = z 10 + z 20 .3 The moment generating function for a random variable X is given by M (t) = (0.5)e26t + (0. Questions for Chapter 7 7.25)e27t + (0. 16). integer support and moment generating function p . .5 Suppose that X . and Z are independent random variables with X ∼ N (1. 9) and Z ∼ N (3. 2 (a) Find P (X > 18 | X > 13). (c) Find E(|X − 15|). 7. Y .25)e49t . (d) Find the moment generating function for X . 7.2 A random variable has the moment generating function M (t) = 2 .

0. . (c) Compare the answers to (a) and (b).222 Questions for Chapter 7 (a) Compute P (X + Y ≤ 1). (b) Solve question (a) again using the additional information that each of the Xi is normally distributed. .05? . n. . (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. Hint: Don’t use Chebychev’s inequality. You should be able to get this answer knowing the exact distribution of Xn .7 A large forklift has a 0. .01 and mean µ that can be varied by adjusting the packaging equipment. . 7. (c) Compute P [(X + Y + Z)2 ≤ 25]. .95. Explain the difference in your answers. such that P (|X n | ≤ a) ≥ 0. 2.5 ton (1000 pound) capacity. (b) Find the number a such that P (3−4a < Z < 3+4a) = 0.95 where X n denotes the sample mean of X1 . Xn be independent and identically distributed random variables. . X2 . . . . Cartons of items have individual weights that are normally distributed with mean 25 pounds and standard deviation 2 pounds. Approximately what is the probability that at least 1965 of the tosses will turn up heads? 7.8 A fair coin is tossed 5000 times.6 Let X1 .9 A one-pound box of breakfast cereal never contains exactly one pound of product. X2 . Approximately how many cartons can the forklift carry so that the probability that its total load exceeds its capacity is only 0. These weights can be assumed to be independent and identically distributed. (d) Compute P [(3X − Z)2 > 52]. . The net weight (in pounds) is normally distributed with variance 0.3174 7.01? 7. (a) Using Chebychev’s inequality. find a number a (that will depend on n). Xn . .

When the automated filling machine is working properly. Find P (X < 12).28 pounds? 7.1 ounces and variance 0.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. Hint: P (X1 > X2 ) = P (X1 − X2 > 0). Assume that X is normally distributed with mean 12.12 The Phizzi Soft Drink Company’s best selling product is Phizzi-Soda that it sells in 12-ounce bottles. then 3X − Y has a normal distribution with mean 0 and variance 10.11 True or False: If X and Y are normally distributed random variables with mean 0 and variance 1. Find P (X1 > X2 ). (b) Suppose that two bottles of Phizzi-Soda are chosen at random. 7. (a) What is the probability of receiving a grade less than 80? (b) If 49 students take the test. 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. Let X1 and X2 be independent random variables denoting the fill-volume of each of the two bottles. Find P (X1 < 12).10 The distribution of test scores on an examination is approximately normal with mean 70 and standard deviation 7. the quantity of Phizzi-Soda in a single bottle is a random variable X . . (a) Let X1 denote the fill-volume of a single bottle of PhizziSoda.0025 (ounces)2 . (c) Let X = (X1 +X2 )/2 be a random variable representing the average fill-volume of the two bottles selected in question (b).

1 kgm? 7. (c) Compute P (|X − 1| < 4). What is the probability that their total weight is greater than 25 kgm? (c) Suppose that ten packages of paper are weighed together. 0 otherwise where θ is a constant with θ > 0. (b) Find P (X > Y ). What is the probability that their average weight is greater than 2.14 Individual packages of writing paper have weights that are normally distributed each with mean 2 kgm and variance 0. (b) Find the moment generating function for X . normally distributed random variables with X ∼ N (1.975. identically distributed random variables. Your answers to the following questions might depend on the constant θ.5 kgm? (b) Suppose that ten packages of paper are weighed together. then limz→1 gX (z) = 1. (d) Compute P (0 ≤ X < 2). 7.224 Questions for Chapter 7 7. What is the probability that its weight is greater than 2. (a) Find Var(X). The weights of all packages can be considered independent.13 Let X be a continuous random vector with probability density function given by 1/θ for 0 ≤ x ≤ θ fX (x) = . 16).15 Prove that if gX (z) ≡ E(z x ) is a probability generating function for X . 7. . (a) Suppose that one package of paper is weighed.25(kgm)2 .16 Let X and Y be independent. 9) and Y ∼ N (6. (a) Find the number a having the property that P (Y > a) = 0.

The amount of water carried the 200 individual helicopters can be assumed to be a collection of independent and identically distributed random variables X1 . 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 1600.04 cm.Questions for Chapter 7 225 7. The amount of water transported varies from helicopter to helicopter. Mr. . a cylindrical rod with a circular cross-section has to fit into a circular socket. The capacity of the swimming pool is 198869 gallons. σ = 0. X2 . Let Y = n Xi be a random variable denoting the total water carried by i=1 all of the n = 200 helicopters. then n W = i=1 Yi is a log-normal random variable. . what proportion of rods will not fit? 7. . 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. The elevation of the pool (and his home) is very high so that it is impossible to pump water up the mountain. If the components are selected at random for the assembly. wants to fill one of the swimming pools at his mountain-top home.01 cm. . one of the wealthiest men on earth. Yn are independent log-normal random variables. .19 Bill Gutts. Y2 .18 At one stage in the assembly of an article. .10 cm. .03 cm. (a) Find E(Y ) and Var(Y ) (b) What is the probability that Mr. σ = 0. For that reason. 7. show that if Y1 . Gutts can fill his swimming pool using the 200 helicopters? . . Xn with n = 200. Socket diameter: µ = 5. Quality control measurements show that the distribution of rod diameter and socket diameter are independent and normal with parameters: Rod diameter: µ = 5.17 Referring to the previous question.

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. 1069. 1). 7. How many helicopters should he use? (d) In an E-mail message. 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 . Use the Central Limit Theorem to find the approximate probability that Mr. Gutts would be happy if the probability that his swimming pool is completely filled is only 0.718. Suppose Mr. Gutts.226 Questions for Chapter 7 (c) Helicopters are very expensive. 1600) distribution. The continuous random variable X has a uniform distribution on the interval (0.282). . Instead it is has a uniform distribution on the interval (930. Gutts is given the bad news that the amount of water carried by each helicopter does not have a N (1000. even for a wealthy guy like Mr.20 (†) Suppose X and Y are independent random varaibles. That is.50. Gutts can fill his swimming pool if he uses 200 helicopters. Mr.

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

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

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

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

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

X2 .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 .232 Questions for Chapter 8 (a) Find an estimator for λ using the method of maximum likelihood. Xj }. . X X . 8. Xn consider the statistic d2 formed by averaging the squared differences of all possible pairings of {Xi . There are n such pairs. (b) Is the estimator for part (a) unbiased? Justify your answer. . . .

1.9 PROBABILITY MODELS Coin Tossing (Binary) Models Definition 9. Let X = n i=1 Ti .1. . Note: X denotes the total number of successes from n independent and identically distributed Bernoulli trials. Tn be a sequence of n independent and identically distributed Bernoulli random variables.1. . . n pX (k) = n k p (1 − p)n−k k k = 0. . . These outcomes are conventionally called success and failure. . n 233 . If X is a binomial random variable with parameters n and p. . . then pX (k) = n k p (1 − p)n−k k k = 0.3. T2 . 2. 2. A Bernoulli random variable. with P (Ti = 1) = p for all i. 1. . Theorem 9. . Definition 9.2. . 2. 1. n The binomial distribution Support: Probability mass function: 0. . A Bernoulli trial is an experiment with only two outcomes. Then X is said to have a binomial distribution. Let T1 . . T is a random variable with a probability mass function given by pT (0) = 1 − p pT (1) = p Definition 9. . . .

It therefore remains operational for an entire day with probability 0. . X ∼ B(7.8)3 (0.2)4 = 0.8) = 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). .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. 1. 0. . pX (k) = p(1 − p)k−1 k = 1. . we often write X ∼ B(n. 2. p). .0064 . . 2.8.2. 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.2)3 (0. What is the probability that it breaks down exactly 3 days out of a week? Solution: Let X denote the number of breakdowns. P (X = 3) = 7 (0. Hence.287 3 2. 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. P (Y = 4) = (0. 1.8).

. 1. 1. Suppose the interval is divided into n equal segments with at most one particle placed in any segment.2. 2. pX (k) = e−α αk k = 0. . . P (X = k) = n k α n k  1 1− α n n−k . k! g(z) = eα(z−1) for |z| < 1 MX (t) = eα(e E(X) = α t −1) Var(X) = α Theorem 9. X is a binomial random variable with parameters n and p = α/n.Random Particle Models 235 The Poisson distribution Support: Probability mass function: Probability generating function: Moment generating function: Moments: 0. . 2. Therefore. . . 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. 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. If X is a binomial random variable with parameters n and p.

1.1)? Theorem 9. . . 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. n. . 1. 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. 2. . . 2.236 −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. . . W (see Figure 9. 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. fW (w) = αe−αw 0 if w ≥ 0 otherwise .. 2.1).3. 1. . . Let Yi denote the interarrival time between occurrences i − 1 and i (see Figure 9. .

Self-Test Exercises for Chapter 9 237 Yi t i-1 W t t0 i Figure 9. If any of the bulbs in a box is bad. Flashbulbs are packed n to a box. let Y denote the profit from selling a box of Cheapy flashbulbs. The probability that any one bulb is good is p > 0 and it is independent of all other bulbs. Cheapy will refund the purchase price of the entire box to the customer.2 Using the information in the previous question. S9. The value of E(Y ) is (A) 0 .1 It costs the Cheapy Flashbulb Company c cents to manufacture a single flashbulb. S9. Answers can be found in Appendix B. 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.1: Interarrival and waiting times Self-Test Exercises for Chapter 9 For each of the following multiple-choice questions. Note that Y may be negative. choose the best response among those provided. The company sells each bulb for r cents.

If four independent pieces of lumber are examined. If the machine breaks down x times during the t hours.1 A complicated piece of machinery. X . If more than 2 tankers arrive in a day.3 The number of knots in a piece of lumber is a random variable.2 The number of oil tankers. However. when running properly. 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. arriving at a refinery each day has a Poisson distribution with parameter α = 3. this machine breaks down at unexpected and unpredictable times. 9. (b) Find the length of time the machine should be operated to maximize the expected profit. (a) On any given day. Present port facilities can service 2 tankers each day. Let P be the random variable representing the total profit from running the machine for t hours. (a) Find E(P ) as a function of t. Questions for Chapter 9 9. N . S9. Suppose that X has a Poisson distribution with E(X) = α > 0. The number of breakdowns during any period of length t hours is a random variable with a Poisson distribution with parameter t. the excess tankers must be sent to another port. can bring a profit of c dollars per hour (c < 2) to a firm. what is the probability of having to send tankers away? .238 Questions for Chapter 9 (B) n(rp − c) (C) nrpn − nc (D) nrpn + nc − 2ncpn (E) none of the above. the loss incurred (from the shutdown plus repair costs) equals (x2 + x).

X4 .2 cars/hour.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. X3 . X5 be independent and identically distributed Bernoulli random variables. will be free of errors? 9. If 5 P i=1 Xi = 5 = r.6 Let X1 . X2 . each with P (Xi = 1) = p.4 Suppose that a book of 620 pages contains 55 typographical errors. then what is the value of p in terms of r? . If the errors are independent. what is the probability of finding zero. one.002. what is the probability that an incorrect number is formed during any one-second time period? 9. If these are randomly distributed throughout the book. the probability that an incorrect digit will appear is 0. selected at random.5 In forming binary numbers with 32 binary digits. what is the probability that 10 pages.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. 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. (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. or more than one incorrect digit in a binary number? If a computer forms 106 such 32-digit numbers per second.

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

The probability that any one word has a parity error is 0. (c) Consider the number of molecules on the smaller chains that result from the breakup. Approximately what proportion of these chains will contain at least 200 molecules? 9. In recombinant DNA experiments. thus breaking the section into smaller chains.005 of breaking.001. and each link breaks independently of the others. Approximately what is the probability that an error cycle will be longer than two minutes? .    Suppose a section of a chromosome consists of 1000 such links (and 1001 molecules). (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. What is the actual probability mass function for N ? (b) Compute the approximate probability that exactly 4 smaller chains result from the breakup. (a) Let N be the number of links broken. some of these links are broken.8 A computer transmits 1000 words per minute. Parity errors are generated independently from one word to the next. Each link has a probability 0.

Questions for Chapter 9 241 (c) A shift change in computer personnel takes place at 8:00 am each day. If a piece has any knots. 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. . 1. To produce “perfect” glass rods. n for k = 0. (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. .10 Glass rods are manufactured by cutting a continuous glass rod leaving a production machine. 2. . (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? 9.11 (†) 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. . . If p1 = p2 then Y = X1 + X2 has a Binomial distribution. .9 The number of knots in a piece of lumber has a Poisson distribution with an average of 2 knots per piece. the continuous rod is cut at each imperfection. Small imperfections appear in the continuous rod according to a Poisson process with an average of two imperfections per foot of glass rod. The number of knots from piece to piece can be assumed to be independent. . it is considered unsatisfactory. 1. . . n (a) Prove or give a counterexample: Suppose 0 < pi < 1 for i = 1.

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

where c is a positive constant.9 P (Ti = 1) = 0. 9. Clearly justify each step of your answer. for a box of 10 bulbs T1 .1 for all i = 1. Therefore. That is.15 (†) Pip’s Pizza Shoppe sells pepperoni and plain pizza by the slice. 9. Each bulb has a probability be being defective equal to 0.14 (†) Mr. Since one fourth of the slices sold by Pip are pepperoni. (b) Find E(N ) (c) Find the cumulative distribution function for Y . Defects from one bulb to the next can be assumed to be independent random variables.1. . . (a) Compute E(Ti ) and Var(Ti ) for every i. . X2 . T10 are independent. 10. . Let the Bernoulli random variable Ti equal 1 if bulb i is defective and 0 if the bulb is non-defective. . . are independent identically distributed random variables (in dollars) each with cumulative distribution function FX (x). (a) Find the probability mass function for N .13 The Youbee Light Bulb Company manufactures electric light bulbs. Suppose the offers X1 . Compute E(X) and Var(X). .Questions for Chapter 9 243 9. 2. . identically distributed random variables with P (Ti = 0) = 0. There are four slices in each pizza. every pizza that Pip prepares has pepperoni on only one of the . (c) Find P (X = 0). T2 . find FY (y) = P (Y ≤ y). He decides he will accept the first offer exceeding c dollars. (b) Let X = T1 + T2 + · · · + T10 denote the total number of defective bulbs in a box of 10 bulbs. . Bonkers is selling his house. Let N be the number of offers needed to sell the house. . Let Y be the actual selling price of the house.

. (c) (††) What is the probability that Pip must bake a pizza to satisfy the request of the current customer? That is.244 Questions for Chapter 9 four slices. See the following diagram: Let the independent random variables X1 . and Xi = 0 if it’s plain. X5 = 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. . (a) Suppose 20 customers visit Pip’s Pizza Shoppe on a particular day. . X2 . 9. Assume that Pip never throws away any slices of pizza during the day. represent the slices sold by Pip with Xi = 1 if slice i is pepperoni. Note that a sequence such as X1 = 1. 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. X4 = 0. would require that Pip bake a second pizza before selling all of the slices in the first pizza. Let the random variable Y denote the number of pizzas that Pip must bake that day. Each car has 4 tires. . . X2 = 0. (b) Suppose Pip has just taken a freshly baked pizza out of the oven and suppose that there are no other unsold slices.16 (†) In a radio advertisement. . The remainder of the pizza is plain. What is the probability distribution for the random variable Y ? Hint: There is only one pepperoni slice per pie. Suppose that any tire becomes underinflated independently and with the same probability for each tire on every car. a major oil company says that one fourth of all cars have at least one underinflated tire. X3 = 1. .

What is the probability distribution for X? . What is the probability that the tire in underinflated? (b) Suppose a parking lot contains 10 cars. and then select a tire on that car at random.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.

246 Questions for Chapter 9 .

1 Approximation for the Normal Integral Let Z be a standard normal random variable.nist. Dover Publications. Inc..5 × 10−8 . New York (1970). This handbook is being published as a reference source on the World Wide Web at http://dlmf. | (z)| < 7. and Stegun.781477937 With this approximation. 1 Abramowitz.330274429 t= b3 = 1.gov/.2316419 1 + rz b1 = 0.821255978 b5 = 1.31938153 b2 = −0. (1970). 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). 247 . I. Handbook of Mathematical Functions. M.10 APPROXIMATIONS AND COMPUTATIONS These numerical approximations are from a book by Abramowitz and Stegun.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.

1). Write a computer program to find z when P (Z ≤ z) = 0.99. 0. For a given 0 < Q < 0.001308 With this approximation. 0.010328 d2 = 0. .802853 d1 = 0.01. for a given 0 < Q < 0. that is Q= ∞ z 1 2 1 √ e− 2 t dt 2π The problem is.00 in increments of 0.25.01. Questions for Chapter 10 10. 10.5 × 10−4 .5. 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).2 Let Z ∼ N (0.189269 t= ln c0 = 2.95 and 0. find the corresponding z that satisfies the above integral equation. 0. 0.00 ≤ z ≤ 3.1 Write a computer program to generate a table for the cumulative distribution function of the standard normal distribution for −3.432788 c2 = 0.248 Questions for Chapter 10 Approximation for the Inverse Normal Integral Let Z be a standard normal random variable.50. 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 = 0.5.05.515517 d0 = 1. | (Q)| < 4.

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

9901 0.7823 0.9686 0.9968 0.9974 0.8 -1.1 0.8599 0.9984 0.9826 0.8 0.9535 0.9793 0.9966 0.9515 0.8962 0.10 0.5398 0.9946 0.8023 0.8790 0.7673 0.9783 0.5596 0.4 0.7324 0.9984 0.9207 0.6736 0.9177 0.9978 0.9767 0.7642 0.9988 4 0.9292 0.9 1.9 Φ(a) = a a ϕ(z) dz = −∞ −∞ 1 2 √1 e− 2 z 2π dz -2.9974 0.9162 0.5793 0.9911 0.9 -0.9306 0.9887 0.9957 0.9495 0.5000 0.5753 0.5987 0.00 0.6700 0.9904 0.6 1.8531 0.6331 0.9382 0.9452 0.9706 0.40 Φ(a) ϕ(z) z 0.9969 0.7422 0.6293 0.9980 0.9940 0.7357 0.8810 0.2 0.6591 0.9842 0.7881 0.9664 0.6950 0.9616 0.9881 0.9761 0.9938 0.7157 0.9370 0.9934 0.8078 0.9989 8 0.9545 0.3 0.6915 0.8461 0.0 0.2 2.9982 0.8 2.9979 0.5319 0.1 2.5359 0.9713 0.8997 0.9418 0.9678 0.7 2.8485 0.8289 0.9750 0.8 1.7764 0.8944 0.6772 0.7939 0.9192 0.6879 0.9625 0.30 0.9956 0.8869 0.9608 0.7257 0.9967 0.9564 0.8159 0.9222 0.5239 0.5557 0.8888 0.9975 0.7517 0.9890 0.7389 0.8708 0.9990 9 0.9920 0.8315 0.15 0.6217 0.9973 0.9641 0.5910 0.8508 0.9099 0.9744 0.9985 0.7054 0.9066 0.9719 0.6255 0.9972 0.9788 0.7967 0.1 -0.9345 0.9943 0.4 1.8729 0.6 0.6179 0.8925 0.9463 0.9898 0.9987 3 0.7123 0.8133 0.6844 0.8665 0.9429 0.5 2.9251 0.4 2.8389 0.9960 0.5438 0.9929 0.9913 0.8340 0.9964 0.25 0.9693 0.9948 0.5 0.9394 0.5040 0.7 1.5080 0.9474 0.9357 0.6026 0.0 1.9525 0.9441 0.5199 0.5517 0.7224 0.9959 0.0 -1.9922 0.7580 0.9808 0.7 0.8980 0.6628 0.8365 0.9861 0.6664 0.9591 0.9812 0.9115 0.6 2.9941 0.9989 7 0.9803 0.9082 0.8238 0.5160 0.5948 0.9970 0.9945 0.5 1.9726 0.8186 0.9878 0.9 2.7910 0.8413 0.9821 0.9015 0.9505 0.9599 0.7794 0.9951 0.9649 0.9952 0.7088 0.9925 0.9871 0.9884 0.8212 0.7486 0.9875 0.9554 0.9989 6 0.5279 0.5478 0.8051 0.8577 0.9990 .6103 0.6406 0.9986 0.9981 0.5832 0.9868 0.9406 0.9979 0.9977 0.9949 0.6808 0.5636 0.6064 0.9656 0.6141 0.7291 0.9732 0.7190 0.3 -1.5871 0.1 1.7611 0.8264 0.6985 0.9738 0.9987 2 0.9756 0.8554 0.35 0.9981 0.9573 0.9955 0.9988 5 0.5714 0.9985 0.9983 0.3 0.05 0.8 1.5 -1.9896 0.9147 0.9265 0.1 0.20 0.9699 0.8749 0.9830 0.9932 0.9916 0.9864 0.7995 0.9049 0.9772 0.6480 0.9319 0.9484 0.9906 0.8621 0.8686 0.9961 0.9962 0.7019 0.9582 0.4 -0.8830 0.8770 0.5675 0.9032 0.6554 0.9332 0.5 0.6368 0.0 2.9834 0.2 1.9 3.9778 0.9982 0.9279 0.6 -0.8907 0.9846 0.9909 0.7704 0.6443 0.9850 0.9918 0.9854 0.9927 0.9936 0.2 1.7734 0.7 a 1.9953 0.9236 0.8106 0.9857 0.250 Table I: Standard Normal Cumulative Distribution Function TABLE I: STANDARD NORMAL CUMULATIVE DISTRIBUTION FUNCTION 0.9817 0.2 z z a 0.9987 1 0.9798 0.7852 0.9633 0.9986 0.5 1.5120 0.8849 0.3 1.9971 0.8438 0.9131 0.9965 0.7549 0.9963 0.0 0 0.9977 0.9671 0.9893 0.9931 0.8643 0.9976 0.3 2.9838 0.7454 0.6517 0.0 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. 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. . 2. . .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. . σ > 0 1 1 fX (x) = √ e− 2 σ 2π 2 t2 /2) 251 . . 1 p p(1 − p) et p + (1 − p) binomial disc n. 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. 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. 1. . . .

252 Table II: Some Common Probability Distributions .

35 C B D A B D B 5 2 A D S1.5 D B E C S2. P (A ∩ B) = P (A)P (B).3 S3.15 S3.12 S3.6 The correct answer is Chapter 3 S3.6 Chapter 2 S2.10 S3.7 S3.30 S3.14 S3.16 S3.22 S3.31 S3.25 S3.21 S3.1 S3.7 S2.18 S3.8 B D S2.34 C A A A A C A S3.2 S3.11 Remarks S2.24 S3.5 Answer C is acceptable if you allow the triangle to be flipped S2.17 S3.33 E B B D A D A S3.3 C S1.5 S2.2 S1.4 S3.7 D A S1.Appendix B ANSWERS TO SELF-TEST EXERCISES Chapter 1 S1.4 A S1.32 C D B A C D B S3.4 S2.13 S3.26 S3.5 S3.29 S3.1 S1.6 S2.12 A D B S2.2 S2.10 D A 253 .19 S3.9 A C S2. Hence.6 S3.28 S3.11 S3.8 S3.23 S3.20 S3.9 S3. C C E D D A C C S3.5 Must have p = P (A) = P (B) = P (A ∩ B) = 0.3 S2.27 S3.1 S2.36 Remarks S3.

27 Note that P (ln(X) < ln(0.13 S7.18 B B C C S4.24 A B B C C S5.10 S5.3 S6.27 A B D C B B S5.16 Chapter 8 S8.10 S7.9 S6.7 S6.1 S4.19 C C B A S4.3 S7.1 C D C A C S7.2 S5.11 S7.15 S6.11 S5.6 S4.23 S5.21 Remarks S6.7 S7. Chapter 6 S6.1 S7.19 S5.6 S6.14 S6.12 S6.2 S4.21 S5.15 B C B B B B C D S6.9 S7.1 S5.26 Remarks S5.11 S4.6 S7.22 D C C A B S6.6 S5.18 C C D B S7.12 S4.5 S4.28 C C D A E C S5.4 S6.1 S6.5 S5.10 S6.8 S4.14 S5.18 S5.20 C B A D C C B C A D S5.7 S5.16 S5.17 C A D D S7.5 S7.4 S5.12 S5.3 S4.13 S4.254 APPENDIX B.14 S4.4 S4. ANSWERS TO SELF-TEST EXERCISES Chapter 4 S4.12 S7.7 S4.9 S4.2 S7.9 S5.8 S6.4 S7.19 The correct answer is 1 Chapter 7 S7.25 C B B B D A C B C S4.19 C C C E S6.17 B C C D S4.17 S5.15 C D B .17 S6.22 S5.20 S5.16 S6.13 S6.8 S5.8 S7.18 E C E D S6.14 B D B S7.3 S5.13 S5.15 S5.2 S6.16 Chapter 5 S5.50)) = P (X < 0.11 S6.5 S6.10 S4.50) since ln(x) is an increasing function.

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

ANSWERS TO SELF-TEST EXERCISES .256 APPENDIX B.

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

B and C occur simultaneously. 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 A ⊆ B .7 and P (B) = 0. 5. (5 points) If P (A) = 0. (5 points) If P (A) = p > 0.7. 6. (5 points) The event which corresponds to the statement. “all of the events A.” 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.3. P (B) = 0.258 Part I: Multiple Choice Questions 3.3 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. P (A) = 0. 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 .3 and P (A | B) = 0. 4.

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.25 (b) 0. New York. After getting your engineering degree. accidentally mixed .5 (c) 0. 9.5 (b) 1 (c) 2 √ (d) 2 (e) none of the above.75 (d) 1 (e) none of the above. Your chicken wings can be either hot or mild. and usually you keep the two different types of chicken wings in separate containers. 8. 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. you are now the owner of the most successful restaurant in Buffalo. (5 points) The value of the constant c is (a) 0. (5 points) P (X > 1) equals (a) 0. PART II Instructions: Show your work in the space provided. an engineering intern (who is working for you as a cook). 7. Unfortunately. Circle your final answer.

(d) (10 points) Compute P (X = 0 | 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 the wing will be mild? Justify your answer. (b) (10 points) You actually select a container at random. (c) (5 points) Compute P (X > 1). The only way you can determine the contents of the containers is by sampling the wings. and then sample one of the chicken wings from that container. (a) (10 points) You plan to choose a container at random. 10. and sample a chicken wing from that container. it will also be hot? Justify your answer. (c) (10 points) You plan to sample one more wing from the container chosen in part (b). Justify your answer using Bayes’ theorem. Given that the first wing that you sampled was hot. To make matters worse. Let X be a random variable with the following probability mass function: pX (−1) = 0. You don’t want to accidentally ship Container B or C.260 Part II some hot wings with some mild ones.4 pX (+1) = 0. the containers are unmarked. 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. (b) (5 points) Compute P (X < 0). what is the probability that if you sample a second wing from the same container.4 (a) (10 points) Sketch the cumulative distribution function for X . and you need to ship the order immediately. .2 pX (0) = 0.

choose the best answer among those provided. (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. 1.. . 2. 1. 2. .Appendix D SAMPLE EXAMINATION 2 PART I: MULTIPLE CHOICE QUESTIONS Instructions: For each of the questions in Part I. Then P (X ≥ k) equals (a) (b) 1 4 1 4 k k+1 261 . 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. integer constant. (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. .

. 3. Y ) (e) none of the above. then P (−3X < 0) equals (a) 0 (b) 1 3α (c) α (d) 1 − α (e) none of the above. (5 points) Let X and Y be random variables with E(X) = 2 and E(Y ) = 2. Then.262 Part I: Multiple Choice Questions (c) (d) 3 4 3 4 k (e) none of the above. 4. 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. 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 be a continuous random variable with probability density function 4e−4x if x > 0 fX (x) = 0 otherwise.

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

05 .04 Y (women) 1 2 . After an extensive survey was conducted.05 .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.Y (x. (c) (10 points) Find the conditional probability density function for Y given 1 that X = 2 .20 . and let Y denote the number of women from the class who will attend. y) = 2 0 if x ≥ 0. Plans are being made for a graduation party. y) 0 X (men) 1 2 0 . Let X denote the number of men from the graduating class who will attend the party.Y (x. (b) (10 points) Find the marginal probability density function for X .15 . . it has been determined that the random vector (X.12 3 . y ≥ 0 and x + y ≤ 1 . Let (X.01 . The Youbee School of Engineering has a graduating class of 2 men and 3 women.03 .25 . What is the probability that no men will show up? 10.01 . Y ) be a continuous random vector with joint probability density function given by fX. 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.264 Part II PART II Instructions: Show your work in the space provided. otherwise 1 2 (a) (10 points) Compute P X + Y < .05 . 9. Circle your final answer. Y ) has the following joint probability mass function: pX.

choose the best answer among those provided. 265 . If the coin turns up heads.05 (c) 0. For questions 3 and 4: A game is played by repeatedly tossing a fair coin. 2). 1) and Y ∼ N (0. (3 points) Let X and Y be independent random variables with X ∼ N (0.50 (d) 0. Then P (A | B c ) equals (a) 0 (b) r (c) r/(1 − s) (d) 1 (e) none of the above. 2. In all of the following questions. B and C and probability measure P (·). (3 points) Let P (A) = r and P (B) = s with A ∩ B = Ø. 1. and if the coin turns up tails.95 (e) none of the above. you lose $1. The value of P (X > Y ) is (a) 0 (b) 0.Appendix E SAMPLE FINAL EXAMINATION PART I: MULTIPLE CHOICE QUESTIONS Instructions: For each of the questions in Part I. you win $1. Ω is a sample space with events A.

3. your winnings minus your losses) after n tosses. 5.e. (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.266 Part I: Multiple Choice Questions Let Yn denote your net winnings (i. 5 students received an A on the last examination. 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. 6. Two students are chosen at random from the class. (3 points) In a class of 10 students. 4.. Note that Yn may be negative. (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 .

(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. 9.001 of breaking. what is the probability that a chain with 2000 such links will break. (3 points) Suppose a chain link has a probability of 0. . 8. 7.001)2000 (e) none of the above. The probability that the total weight of the gum drops in the bag exceeds 20 ounces is (a) 0 (b) 0. (3 points) The weight of a gum drop (in ounces) is normally distributed with 1 mean 2 and standard deviation 4 . (Note: The chain will break if one or more links break.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.) (a) e−2 (b) 1 − e−2 (c) 1/2 (d) (0. independently of all other links.5 (c) 1 (d) 1 − ( 1 )16 4 (e) none of the above. Approximately. A bag contains 10 independent gum drops.

(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.268 Part I: Multiple Choice Questions 10. 8). (3 points) Let X be a random variable with E(X) = 2 and E(X 2 ) = 5.1587 (b) 0. 11.0000 (e) none of the above. If Y = X 3 . Then Var(X) equals (a) 1 . 13.5000 (c) 0. 12.8413 (d) 1. (3 points) Let X ∼ N (1. (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. then P (Y > 1) equals (a) 0.

If the airline permits 101 persons to make reservations for a given flight.99)101 (d) 1 (e) none of the above. 15. If 3 independent rolls of steel are examined.01 (c) (0. It is know that. For questions 16 and 17: Suppose that X1 and X2 are independent random variables representing the lifetimes of two lightbulbs. 14. 1% of all persons making airline reservations never show up for their flight. (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. 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. each having marginal probability . over many years. the probability that someone will be denied a seat is (a) 0 (b) 0.Part I: Multiple Choice Questions 269 (b) 3 (c) 7 (d) 9 (e) none of the above. Assume that a person decides independently whether or not to show up for a flight. (3 points) An airplane can hold 100 passengers.

(3 points) The value of P (W < 2) is (a) 0 (b) 1/4 (c) 1/2 (d) 1 (e) none of the above. 17. 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. . 18. . 19. (3 points) The value of E(W ) is (a) 1/2 (b) 1 (c) 2 (d) X1 + X2 (e) none of the above. (3 points) Let X1 . . 16. . Xn be a random sample with each Xi having a probability mass function given by P (Xi = 0) = 1 − p P (Xi = 1) = p .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) Suppose A ⊆ B .

answer “Yes” or “No” to the question: . A sociologist is interested in determining the percentage of college students who like classical music. Any cell may contain more than one ball. Two indistinguishable balls are dropped into the box. The person is instructed to go to a secluded corner. PART II Instructions: Show your work in the space provided. In order to avoid embarrassing any students and help assure a truthful response to the survey. 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. she decides on the following technique: A person is given a bowl which contains 600 red beads and 400 blue beads. 20. and write down the answer to one of the following questions depending on the color of the bead: • If the bead is red. Circle your final answer. draw out a bead at random. 21. (3 points) A box is partitioned into 3 numbered cells.Part II 271 where 0 ≤ p ≤ 1. 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.

(a) (5 points) Suppose p is the unknown fraction of students who like classical music.Y (x. Determine P (X = k) as a function of k and p.272 Part II Do you like classical music? • If the bead is blue. except the person being surveyed. Let (X. Therefore. . knows which question was actually answered. What is the unconditional probability that a person surveyed will answer “Yes?” Your answer should depend on p. answer “Yes” or “No” to the question: Does your student number end in an odd digit? The person simply responds “Yes” or “No. (c) (5 points) Find the marginal probability density function for Y . (c) (5 points) Let Y = (X/60) − (1/3). (d) (5 points) Suppose 40 of the 100 students answered “Yes” to the survey. otherwise 1 2 (a) (5 points) Compute P X + Y < . (d) (5 points) Find the conditional probability density function for Y given 1 that X = 2 . the person is likely to be truthful. (b) (5 points) Find the marginal probability density function for X . What is your best guess for the value of p? (Hint: Use an unbiased estimator for p. y) = 2 0 if x ≥ 0. (b) (5 points) Let X denote the number of “Yes” responses from a survey of 100 individuals. Y ) be a continuous random vector with joint probability density function given by fX. y ≥ 0 and x + y ≤ 1 . Show that E(Y ) = p.” No one.) 22.

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