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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

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

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.

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

x

e if x > 0

f (x) =

0 otherwise

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

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.

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.

Answer: 116

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.

Answer: 0.06

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.

Answer: 0.2718

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.

Answer: 0.00023.

3

14. In a Municipal election to select the post of the Chairman, suppose 50% of the popu-

lation supports Arjun, 20% supports Sarika, and the rest are split between Nisar, John

and Rohini. A poll asks 400 random people who they support. Use the central limit

theorem to estimate the probability that less than 25% of those polled prefer Nisar,

John and Rohini?

Answer: 0.0145.

15. If the mean and standard deviation of serum iron values for healthy men are 120 and

15 micrograms per 100 ml, respectively, what is the probability that a random sample

of 50 normal men will yield a mean between 115 and 125 micrograms per 100 ml?

Answer: 0.9818.

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