# Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science 6.041/6.431: Probabilistic Systems Analysis (Fall 2010)
Problem Set 6
Due October 27, 2010
1. Random variables X and Y are distributed according to the joint PDF � ax, if 1 ≤ x ≤ 2 and 0 ≤ y ≤ x, fX,Y (x, y ) = 0, otherwise. (a) Evaluate the constant a. (b) Determine the marginal PDF fY (y ). (c) Determine the conditional expectation of 1/X given that Y = 3/2. (d) Random variable Z is deﬁned by Z = Y − X . Determine the PDF fZ (z ). 2. Let X and Y be two independent random variables. Their probability densities functions are shown below.
1 0.8
2 fX (x) = 3 4 (1 − x )

fX (x)

0.6 0.4 0.2 0 −1.5 −1 −0.5 0 0.5 1 1.5

x

1

fY (y )

0.8 0.6 0.4 0.2 0 0 0.5 1 1.5
1 3

2 3

y

2

2.5

3

Let Z = X + Y . Determine fZ (z ). 3. Consider n independent tosses of a k-sided fair die. Let Xi be the number of tosses that result in i. (a) Are X1 and X2 uncorrelated, positively correlated, or negatively correlated? Give a one-line justiﬁcation. (b) Compute the covariance cov(X1 , X2 ) of X1 and X2 .

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Random variables X and Y have the joint PDF shown below: y 2. . N . . 1 ≤ k ≤ 2n. for various values of x and y . Use these to calculate var(Y ).y) = 0. † Required for 6. Each wombat member attends the meeting with probability q . . (a) Let X1 . and whether each wombat member attends are all independent. Find E[X1 | X1 + X2 + . . . E[X ]. and var(Y | X = x). . where N is a random variable with PMF pN (n) = pn−1 (1 − p) for n = 1. The wombat club has N members. S2n = s2n ].041/6. s2n are constants. .431. . Determine: (a) The expectation and variance of the number of wombats showing up to the meeting. . + Xk . . Sn+1 = sn+1 . E[Y ]. . . . (b) Find E[X | Y = y ]. where sn . On the second Tuesday night of every month.0 -2. X2n be independent and identically distributed random vari­ ables. M .041 Page 2 of 2 . the club holds a meeting. . + Xn = x0 ]. (b) The expectation and variance for the total amount of money brought to the meeting. Find E[X1 | Sn = sn .0 -1. then it brings an amount of money. (c) Find E[Y | X = x]. . independently of all the other members. . Xn . optional for 6. G1† . . respectively. M .0 x (a) Find the conditional PDFs fY |X (y | x) and fX |Y (x | y ).0 1. (b) Deﬁne Sk = X1 + X2 + .431: Probabilistic Systems Analysis (Fall 2010) 4. . 3. Xn+1 . 2. .Y (x. 5. . where x0 is a constant. sn+1 . . which is a continuous random variable with PDF fM (m) = λe−λm for m ≥ 0. and var(X | Y = y ). . . Use these to calculate var(X ).Massachusetts Institute of Technology Department of Electrical Engineering & Computer Science 6.0 f X. If a wombat attends the meeting. .0 2.0 1. X2 .1 -1.

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