Stochastic Models I (for first-year doctoral students)

Attribution Non-Commercial (BY-NC)

2 views

Stochastic Models I (for first-year doctoral students)

Attribution Non-Commercial (BY-NC)

- How to Keep the Laboratory Notebook
- Teaching AS Chemistry Practical Skills
- ProbIntro (1)
- SDA 3E Chapter 3 (1)
- Elemental ChemistryLESSON PLAN
- Definition of Terms
- Lesson 4- Scientific Investigations
- University Level Lab Report Rubric 2010
- Effect of Interactive Hypermedia Program on Mathematics Achievement in Relation to Locus of Control
- Chapter 01
- Zukerman - Classnotes
- JPSP 1976 Schulz
- End Yr Physics F4 2009 Paper 3
- Tutorial 1
- 123 GRAVITYANDCENTRIFUGAL
- hannah midles something fishy
- science standards 2009
- iet 603 700 forum 5
- Final Project Experiment Due Dates
- Introductin to Econometrics

You are on page 1of 3

Justify your answers; show your work. 1. A sequence of Events. (10 points) Let {Bn : n 1} be a sequence of events in a probability space (, F , P ). (a) Explain what that means. (b) Under what useful condition(s) does the sequence of real numbers {P (Bn ) : n 1} converge to a limit? (c) What is the limit in part (b) above when the conditions are satised? (d) Prove the result stated in parts (b) and (c) above. 2. Random Variables and MGFs. (10 points) Let X be a random variable dened on a probability space (, F , P ), where is a nite set. (a) Dene the probability distribution of X (b) Dene the moment generating function (mgf) of X . (c) Give three representations for E [h(X )], where h is a real-valued function of a real variable. (d) Give an expression for E [X 3 ] in terms of the mgf of X . 3. A Sequence of Random Variables. (10 points) Let {Xn : n 1} be a sequence of random variables such that P (Xn = n4 ) = 1 = 1 P (Xn = 17 + (1n / n)), 2 n n 1.

(a) Determine whether or not the sequence {Xn : n 1} converges for each of the following four modes of convergence: (i) convergence in distribution (ii) convergence in the mean (iii) convergence in probability (iv) convergence with probability 1 (w.p.1) (b) For those cases in which the sequence above converges, identify the limit.

4. Two Exponential Random Variables (25 points) Let X1 and X2 be two independent exponentially distributed random variables, with means E [X1 ] = 1 and E [X2 ] = 1/2. Let Y minimum{X1 , X2 } and Z maximum{X1 , X2 }. Find the following quantities: (a) the mean of Y : E [Y ], (b) the mean of Z : E [Z ], (c) the cdf of Y : FY (t) P (Y t), (d) the cdf of Z : FZ (t) P (Z t), (e) E eZ/2 , (f) the covariance of Y and Z : cov (Y, Z ), (g) the conditional probability P (Z > 6|Y = 1). 5. Mind Over Matter (25 points) Olivia claims that she has supernatural powers. She claims that she has the ability, by the power of her mental concentration, coupled with divine guidance, to increase the chance that three coins tossed together come out the same, either all three heads or all three tails. Suppose that we conduct a series of experiments to test Olivias talent. In each experiment we toss three coins, and see whether or not the three outcomes are identical (i.e., if the outcome is either HHH or T T T ). (a) Suppose that we repeat the experiment 4, 800 times. Suppose that Olivia is successful (the outcome is either HHH or T T T ) 1321 times out of 4, 800. Does that result present strong evidence that Olivia actually does not possess this special talent? Does that result present strong evidence that she actually does possess this special talent? Why or why not? (b) State a theorem supporting your analysis in part (a). (c) Prove the theorem stated in part (b). 6. Rembrandts Long-Lost Painting (20 points) There is great excitement in the art world, because Rembrandts long-lost painting of his Aunt Mabel has been miraculously discovered in the attic of an apartment of a Columbia engineering professor. This painting has been placed on view in the Museum of Modern Art. You get to help plan for the exhibit. You want to ensure that there is enough space to accommodate the many enthusiastic visitors. Suppose that, on each day, visitors will come to see the painting according to a nonhomogeneous Poisson process with increasing arrival rate (t) 50t per hour, 0 t 4, during the allotted four-hour morning viewing period. Suppose that a visitor coming to the painting at time t will decide to stop and study the painting with an increasing probability p(t) t/5, 0 t 4, independently of what all the other visitors do. (Otherwise the visitor will continue walking right on by, and look at other exhibits.) Moreover, each visitor who does decide to stop 2 t 0, t 0,

does so for a random length of time, which is uniformly distributed between 0 and 1/2 hour, i.e., is uniformly distributed over the interval [0, 1/2]. These random durations are mutually independent for the dierent visitors. Based on these (highly dubious) assumptions, answer the following questions: (a) What is the distribution of the total number of visitors to see the painting in the rst two hours (including both those visitors who stop and those who do not)? (b) Let V (t) be the number of visitors viewing the painting at time t. (That includes those who have come before time t and stopped, but have not left already.) What is the probability distribution of V (3)? (c) What is the covariance between V (2) and V (4)?

- How to Keep the Laboratory NotebookUploaded byTaylor Bradford
- Teaching AS Chemistry Practical SkillsUploaded byArsalan Ahmed Usmani
- ProbIntro (1)Uploaded byMarco Andres Llanos
- SDA 3E Chapter 3 (1)Uploaded byxinearpinger
- Elemental ChemistryLESSON PLANUploaded byFitria Dwi Utami
- Definition of TermsUploaded byNicole Aquino
- Lesson 4- Scientific InvestigationsUploaded byRais Rahimi
- University Level Lab Report Rubric 2010Uploaded bykristen555
- Effect of Interactive Hypermedia Program on Mathematics Achievement in Relation to Locus of ControlUploaded byeditor_ijtel
- Chapter 01Uploaded bylasenecal
- Zukerman - ClassnotesUploaded byaleong1
- JPSP 1976 SchulzUploaded byGanescu Vlad
- End Yr Physics F4 2009 Paper 3Uploaded byVyvian Leow
- Tutorial 1Uploaded byKisalay Kumar
- 123 GRAVITYANDCENTRIFUGALUploaded byAizat DakNavy
- hannah midles something fishyUploaded byapi-263046827
- science standards 2009Uploaded byapi-247480019
- iet 603 700 forum 5Uploaded byapi-285292212
- Final Project Experiment Due DatesUploaded byKayla Chen
- Introductin to EconometricsUploaded bysuslu76
- Appendix a 2Uploaded byjjjoyce
- ARRIVE(2)Uploaded byNafisa Fariddputry
- ejerciciosUploaded byJeeferson Lopez
- Otago677893 - Information StatementUploaded bygus_lions
- The Gospel Am AssUploaded byRichard Chisalaba
- Materi ProbabilityUploaded byTri Utami
- 1 5 2 Mengkaji Hubungan Antara PanjangUploaded byE-Mann Wong
- The Relationship Between Theory and ResearchUploaded byJeremiahOmwoyo
- lessonplan-eggs.docxUploaded byEvasco Rechel
- THE 2Uploaded byAvani Dahiya

- midtermTwoF07solsUploaded bySongya Pan
- Midterm Two f 07Uploaded bySongya Pan
- midtermTwo6711F12solsUploaded bySongya Pan
- Midterm Two 6711 f 12Uploaded bySongya Pan
- midtermTwo6711F10solsUploaded bySongya Pan
- Midterm Two 6711 f 10Uploaded bySongya Pan
- midtermOne6711F12solsUploaded bySongya Pan
- Midterm One 6711 f 12Uploaded bySongya Pan
- midtermOne6711F10solsUploaded bySongya Pan
- Midterm One 6711 f 10Uploaded bytabrupt
- midtermOne6711F08solsUploaded bySongya Pan
- Lect 0910Uploaded bySongya Pan
- Lect 0905Uploaded bySongya Pan
- Lect 0903Uploaded bySongya Pan
- homewkLTUploaded bySongya Pan
- homewk13SolsUploaded bySongya Pan
- homewk13Uploaded bySongya Pan
- homewk12SolsUploaded bySongya Pan
- homewk12Uploaded bySongya Pan
- homewk11SolsUploaded bySongya Pan
- homewk11Uploaded bySongya Pan
- homewk10SolsUploaded bySongya Pan
- homewk10Uploaded bySongya Pan
- homewk9SolsUploaded bySongya Pan
- homewk9Uploaded bySongya Pan
- homewk8SolsUploaded bySongya Pan
- homewk8Uploaded bySongya Pan
- homewk7SolsUploaded bySongya Pan
- homewk7Uploaded bySongya Pan

- TSU TeacherKit thesis complete.docxUploaded byMarvin Arce
- Report Writing for Data Science in R - Roger D. PengUploaded byAlvaro Enrique Castañeda
- [CHEM] Experiment GuidelinesUploaded byAli Sir
- Measurement Project Report.pdfUploaded byAsssassin92
- task 3 - egg drop challengeUploaded byapi-275968397
- Terapy MusicUploaded byDiRsyaYudiaSari
- INST232_sec1Uploaded byCarlos Iba
- Three Way ANOVAUploaded bynehdia_s
- Pete 311 Lab 12 MemoUploaded byTyler Mrosko
- ji_IJHE12Uploaded bySantiago Martinez
- 654948Uploaded bydsfchatran
- A New Method for Determining Free Fatty Acid Content.pdfUploaded byFoo He Xuan
- The Goals of Research in PsychologyUploaded byAnonymous yiqdcRgYdJ
- Rivers & Derksen (2016) Ecologies of Deception in Psychology and RhetoricUploaded byScholarlyBeard
- ER Mechanical Equivalent of Heat.docxUploaded byMarybeth Hope
- Nathan Fong JmpUploaded byciriyuz
- Ruggedness and robustness-Robustez y SólidezUploaded byRafael
- Neo Classical Theory of ManagementUploaded bywaleedjutt
- 03 AbstractUploaded byGanesh Khilare
- EXPERT TOPIC 1501: ShrimpUploaded byInternational Aquafeed magazine
- demand forecasting demand estimationUploaded byChaitanya Bhimireddy
- Rupert Sheldrake - Sense of Being Stared AtUploaded byEscot
- Experimental Research on Just-World TheoryUploaded bySamuel
- Writing a Research ProposalUploaded bymaslaili
- Academic Reading HandbookUploaded byGustavo Moreno
- Chapter 1 NotesUploaded byKatarina Gruborović
- Technicians and Their JobsUploaded byKal Buenaflor
- Capitalistic MusingsUploaded bySam Vaknin
- A Simple Look at Having Less_shah.pdfUploaded byrebellin
- Ed 074755Uploaded byghytjurgfewdrthytgf