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Practice exam for probability final

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You are on page 1of 8

Fall 2014

Remark 1. Notice that these are suggested solutions. There are more than one (correct) way to

reach to the solution.

1. A class has N slots available, which will be lled on a First-Come-First-Serve basis. Each

student who will register can be one of four types: freshman(type 1), sophomore (type 2),

junior (type 3) or senior (type 4). It is known that the composition of the class usually

is given by 10%, 20%, 30%, 40%, respectively (corresponding to the four types mentioned

before). Let Xi be the number of students of type i, i = 1, 2, 3, 4.

(a) (5 points) What is the joint distribution of (X1 , X2 , X3 , X4 )?

Solution

(X1 , X2 , X3 , X4 ) M ultinomial (N ; 0.1, 0.2, 0.3, 0.4)

Solution We can dene a " success" if the student is either of type 2 (sophomore) or

type 3 (junior). The probability of " success" is therefore

P (success) = P ("type 2" or "type 3")

(c) (10 points) Suppose now that the probability of attendance of any given lecture per

student is as follows: if the student is a freshman than the probability of attendance is

80%, if the student is a sophomore the probability of attendance is 70%, if the student

is a junior the probability of attendance is 60%, if the student is a senior the probability

of attendance is 50%.

Suppose that N = 100. If in a given day 60 students have attended, what is the

distribution of the number of juniors that have attended class on such day?

Solution.

We can dene an event A = {student attended}. Notice that

P (type 3|A) =

4

P

P (A| type i) P (type i)

i=1

(0.6) (0.3)

(0.6) (0.3)

=

= 0.3

(0.8) (0.1) + (0.7) (0.2) + (0.6) (0.3) + (0.5) (0.4)

0.6

that the distribution of the juniors that attended the class that day is distributed

Bin (60, 0.3).

1

IEOR E3658

Fall 2014

=

X

Y

and

2

X

X,Y

X,Y

Y2

Solution.

We can represent (X, Y ) in term of Z, W iid N (0, 1) random variables.

q

X =X + X X,Y Z + 1 2X,Y W

Y =Y + Y Z

where

X,Y =

X,Y

X Y

Therefore,

q

2

V = aX + bY = aX + aX X,Y Z + 1 X,Y W + bY + bY Z

q

= aX + bY + (aX X,Y + bY ) Z + aX 1 2X,Y W

Since Z and W are independent Normal random variables any linear combinations of

the two is also a Normal random variable. Therefore,

q

2

2

2

V N aX + bY , (aX X,Y + bY ) + aX 1 X,Y

Solution.

Since both Y and V has a marginal Normal distribution, the vector (Y, V ) is Bivariate

Normal.

~

(Y, V ) N

, where

Y

V

and

Y2

Y,V

Y,V

V2

IEOR E3658

Fall 2014

V = aX + bY

q

2

V2 = (aX + bY X,Y )2 + bY 1 2X,Y

2

= a2 X

+ 2abX Y X,Y + b2 Y 2X,Y + b2 Y2 + b2 Y2 1 2X,Y

2

= a2 X

+ 2abX,Y + b2 Y2

Since Cov (T, ) = 0 for any random variable T and a constant we have that

Y,V = Cov (Y, V ) =

q

= Cov Y Z, (aX X,Y + bY ) Z + aX 1 2X,Y W

= aX,Y + bY2 cov (Z, Z)

= aX,Y + bY2

Here we used the fact that Z and W are independent, therefore Cov (Z, W ) = 0,and

that Z N (0, 1), therefore Cov (Z, Z) = V ar (Z) = 1

(c) (10 points) What is the conditional distribution of Y given V = 1?

Solution

iid N (0, 1).

We represent Y, V using Z ,W

q

Y = Y + Y Y,V Z + 1 2Y,V W

V = V + V Z

V = 1 implies Z =

1V

V

. Therefore,

q

q

1 V

Y

2

Y = Y + Y Y,V

+ 1 Y,V W = Y + Y,V (1 V )

+ Y 1 2Y,V W

V

V

Therefore,

Y |V = 1 N

Y + Y,V

Y 2

(1 V )

, Y 1 2Y,V

V

IEOR E3658

Fall 2014

Solution

Recall from part (a): We represented (X, Y ) in term of Z, W iid N (0, 1) random variables.

q

2

X =X + X X,Y Z + 1 X,Y W

Y =Y + Y Z

where

X,Y =

X,Y

X Y

q

V = aX + bY + (aX X,Y + bY ) Z + aX 1 2X,Y W

Therefore V = 1 implies

Z=

q

aX 1 2X,Y

1 aX bY

W

(aX X,Y + bY ) (aX X,Y + bY )

cX + dY = cX + dY + (cX X,Y

q

2

+ dY ) Z + cX 1 X,Y W

Therefore

cX + dY |V = 1 =

1 aX bY

= cX + dY + (cX X,Y + dY )

(aX X,Y + bY )

q

q

aX 1 2X,Y

(cX X,Y + dY )

W + cX 1 2X,Y W

(aX X,Y + bY )

Therefore,

cX + dY |V = 1

1 aX bY

N cX + dY + (cX X,Y + dY )

,

(aX X,Y + bY )

q

2

2

q

aX 1 X,Y

(cX X,Y + dY )

+ cX 1 2X,Y

(aX X,Y + bY )

IEOR E3658

1

I

t1

Fall 2014

(2 t 3) I (1 s t)

Solution

To get te marginal of the random variable Y we need to integrate the joint density over

all possible values X can take.

Z

fY (t) =

Zt

fX,Y (s, t) ds =

1

I (2 t 3) ds = I (2 t 3)

t1

(b) (10 points) Compute the conditional density of X given Y , i.e., fX|Y (s|t)

Solution

Here we will use the connection between the joint, marginal and conditional density.

fX|Y

fX,Y (s, t)

(s|t) =

=

fY (t)

1

I

t1

(2 t 3) I (1 s t)

1

=

I (1 s t)

I (2 t 3)

t1

(c) (10 points) Compute Cov (X, Y )

Solution

Recall that : Cov (X, Y ) = E (XY ) E (X) E (Y )

E (XY ): Since we know that X|Y U nif (1, Y ) we will use the Law of Iterated Expectation and condition on Y :

Y +1

E (XY ) = E (E (XY |Y )) = E (Y E (X|Y )) = E Y

2

2

2

1

1

1 2 +23+3

1 2+3

43

= E Y 2 + E (Y ) =

+

=

2

2

2

3

2

2

12

E (X): Again, since we know the conditional distribution X|Y we will use the Law of

Iterated Expectation and condition on Y :

E (X) = E ((X|Y )) = E

Y +1

2

=

1 3+2 1

7

+ =

2

2

2

4

43

12

74

5

2

= 19

24

a+b

2

and E (T 2 ) =

a2 +ab+b2

3

IEOR E3658

Fall 2014

(a) (10 points) Find the pdf of Y (Don't forget to specify what values Y can take)

Solution

The range of Y : Since X takes values in the interval (1, 2), we have that Y = ln X

takes values in (0, ln 2).

The cdf of Y : X U nif (1, 2) therefore the cdf of X is

FX (s) = P (X s) =

s1

21

s<1

=s1 1s<2

2s

Y (0, ln 2) we have that

FY (t) = 0

for t 0

FY (t) = 1

for t ln 2

FY (t) = P (Y t) = P (ln X t) = P X et = et 1

where here we used the fact that: t (0, ln 2) et (1, 2). to summarize:

0

t<0

FY (t) = P (Y t) = et 1 0 t < ln 2

1

ln 2 t

pdf of Y : To obtain the density of Y we derive the cdf:

fY (t) =

dFY

(t) = et I (0 t ln 2)

dt

IEOR E3658

Fall 2014

Solution

Z

ln 2

E (Y ) =

0

ln 2

tet dt = tet et 0 = 2 ln 2 1 = 0.3863

ln 2

ln 2

t2 et dt = t2 et 2tet + 2et 0 = 2 (ln 2)2 4ln2 + 4 2 = 2 (ln 2)2 4ln2 + 2

0

V ar (Y ) = E Y 2 (E (Y ))2 = 2 (ln 2)2 4 ln 2 + 2 4 (ln 2)2 4 ln 2 + 1

E Y

2

i=1 Xi where Xi are iid U nif (1, 2). Approximate the probability P (T 1000). Justify your answer!

Solution

We will use the identity s = eln s Notice that

Q

T =

20

Y

Q20

Xi = eln(

i=1

P20

Xi )

=e

i=1

ln(Xi )

P20

=e

i=1

Yi

i=1

where Yi = ln Xi . Therefore

P20

P (T 1000) = P e

i=1

Yi

1000 = P

20

X

!

Yi ln 1000

i=1

Since the Yi 's are iid random variables with nite variance we can use the CLT to

approximate their sum

20

X

Yi 20E (Y ) +

p

20V ar (Y )N (0, 1)

i=1

Therefore,

P (T 1000) P

ln 1000 20E (Y )

N (0, 1) p

20V ar (Y )

= P (N 0.92517) = 0.1775

IEOR E3658

Fall 2014

5. (10 points) A certain coin has a probability p of Heads. The coin is tossed successively and

independently until a Heads comes twice in a row or a Tails comes twice in a row. Find the

expected value of the number of tosses.

Solution

Let denote the number of tosses until a Heads comes twice in a row or a Tails comes twice

in a row. Let Ij denote the outcome of the j th toss. To compute we will condition on the

rst toss.

E () = E (|I1 = H) P (I1 = H) + E (|I1 = T ) P (I1 = T )

= pE (|I1 = H) + (1 p) E (|I1 = T )

(1)

(2)

condition further on the second toss.

= E (|I1 = H)

= E (|I1 = H, I2 = H) P (I2 = H|I1 = H) + E (|I1 = H, I2 = T ) P (I2 = T |I1 = H)

= 2 p + (E (|I1 = T ) + 1) (1 p)

= (1 p) + 1 + p

= E (|I1 = T )

= E (|I1 = T, I2 = T ) P (I2 = T |I1 = T ) + E (|I1 = T, I2 = H) P (I2 = H|I1 = T )

= 2 (1 p) + (E (|I1 = H) + 1) p

= p + 2 p

(1 p) = 1 + p

(3)

p + = 2 p

(4)

p2 2p + 3

p2 p + 1

p2 + 2

= 2

p p+1

Which leads to

E () = p + (1 p) =

p3 2p2 + 3p p2 + 2 p3 2p

p2 + p + 2

+

=

p2 p + 1

p2 p + 1

p2 p + 1

(5)

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