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# Probability and Statistics (SPAS230C)

Problem Set V

Note: Let X be a random variable of discrete type with support EX and the p.m.f. pX .
Let h : R R be a function. Then Z = h(X) is a random variable of discrete type with
support EZ = {h(x) : x EX } and p.m.f.
X
pX (x) if z EZ
p(z) = xAz
0 otherwise

## 1. Let X be a random variable with p.m.f.

1
7 if x {2, 1, 0, 1}
3
p(x) = if x {2, 3}
14
0 otherwise
(a) Find the m.g.f. of X.
(b) Find the p.m.f. of Z = X 2 and its distribution function.
Answer: (a) The m.g.f. of X is X (t) = 71 (e2t + et + et + 1) + 3
14
(e2t + e3t ) (b) The
p.m.f. of Z is
1

7
if z = 0
2
7 if z = 1

5
pZ (z) = 14
if z = 4
3
if z = 9

14

0 otherwise
and the distribution function of Z is

0 if z < 0
17 if 0 z < 1

3
FZ (z) = 7
if 1 z < 4
11
if 4 z < 9

14
1 z9

## 2. Let X be a random variable with p.m.f.

 1 2 x
( ) if x {0, 1, 2, }
3 3
p(x) =
0 otherwise
X
Find the distribution function of Z = X+1 and hence find p.m.f. of Z.
Answer: The distribution function of Z is

0 if z < 0
FZ (z) = 2 i+1 i
1 (3) if i+1 z < i+1
i+2
, i {0, 1, 2, }
and p.m.f. of Z is
 z
1 2 1z
( ) if z {0, 12 , 13 , }
fZ (z) = 3 3
0 otherwise
3. Let S be a sample space and P be a probability function defined for all events. Let A
and B be two events. Define the following random variables
 
1 if w A 1 if w B
X(w) = and Y (w) = .
0 otherwise 0 otherwise

Then show that X and Y are independent if and only if A and B are independent.

## 4. Let X1 and X2 be i.i.d. random variables with common p.m.f. P (X = 1) = 21 . Show

that X1 , X2 , X3 are pairwise independent but not independent, where X3 = X1 X2 .

 x
e if x > 0
f (x) =
0 otherwise

## Find the distribution function Z = X 2 and hence find its p.d.f.

Answer: The distribution function of Z is

0
if z < 0
FZ (z) = z
1e if z 0

and p.d.f. of Z is
(
e z
2 z
if z > 0
fZ (z) =
0 otherwise

## 6. Let X and Y be two random variables with joint p.d.f.

 1+xy
4
if |x| < 1, |y| < 1
f (x, y) =
0 otherwise

Then show that X and Y are not independent but X 2 and Y 2 are independent.

## 7. Let X be a random variable with p.d.f.


6x(1 x) if 0 < x < 1
f (x) =
0 otherwise

Find the distribution function Z = X 2 (3 2X) and hence find its p.d.f.
Answer: The distribution function of Z is

0 if z < 0
FZ (z) = z if 0 z < 1
1 if z 1

and p.d.f. of Z is

1 if 0 < z < 1
fZ (z) =
0 otherwise

et e2t
8. If m.g.f. of a random variable X is X (t) = 3t
, for t 6= 0, then find a p.d.f. of X.

2
9. Let X be a random variable with p.d.f.
x
if 0 < x 1
12

2
if 1 < x 2
f (x) = 3x
if 2 < x 3
2

0 otherwise
Find the expected value of Y = X 2 5X + 3.

10. Let X N(, 2 ) be a normal random variable. Then show that the random variable
Y = (X )2 / 2 is distributed as gamma distribution G(1/2, 1/2). Let us now consider
n independent Normal random variables Xi N(i , i2 ), i = 1, 2, ..., n, and define the
new variable n
2
X (X i )2
n = .
i=1
i2
Show that 2n , will be distributed as G(1/2, n/2), which have a p.d.f.
1 1 2
f (2n ) = (2n )n/21 e( 2 n ) .
2n/2 (n/2)
This is known as the chi-squared distribution of order n and has numerous applications
in statistics.
Note: Normal Approximation to Binomial Bin(n, p) is good if np(1 p) 10 .
Similarly Normal Approximation to Poisson P () is good if 10.
Table of continuity correction:
Discrete Continuous
P (X = a) P (a 0.5 < X < a + 0.5)
P (X > a) P (X > a + 0.5)
P (X a) P (X < a + 0.5)
P (X < a) P (X < a 0.5)
P (X a) P (X > a 0.5)
11. The ideal size of a first-year class at a particular college is 150 students. The college,
knowing from past experience that, on the average, only 30 percent of those accepted
for admission will actually attend, uses a policy of approving the applications of 450
students. Compute the probability that more than 150 first-year students attend this
college.
12. Suppose cars arrive at a parking lot at a rate of 50 per hour. Lets assume that the
process is a Poisson random variable with = 50. Compute the probability that in
the next hour the number of cars that arrive at this parking lot will be between 54 and
62.
13. An insurance company has 25, 000 automobile policy holders. If the yearly claim
of a policy holder is a random variable with mean 320 and standard deviation 540,
approximate the probability that the total yearly claim exceeds 8.3 million.