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6.041/6.431: Probabilistic Systems Analysis

(Fall 2010)

Problem Set 6

ax, if 1 x 2 and 0 y x,

fX,Y (x, y) =

0, otherwise.

(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 dened 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.

0.8 fX (x) = 34 (1 x2 )

fX (x)

0.6

0.4

0.2

0

1.5 1 0.5 0 0.5 1 1.5

x

1

0.8

fY (y)

2

0.6 3

0.4 1

3

0.2

0

0 0.5 1 1.5 2 2.5 3

y

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

justication.

(b) Compute the covariance cov(X1 , X2 ) of X1 and X2 .

Page 1 of 2

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science

6.041/6.431: Probabilistic Systems Analysis

(Fall 2010)

y

1.0

x

-1.0 1.0 2.0

-1.0

-2.0

(a) Find the conditional PDFs fY |X (y | x) and fX|Y (x | y), for various values of x and y,

respectively.

(b) Find E[X | Y = y], E[X], and var(X | Y = y). Use these to calculate var(X).

(c) Find E[Y | X = x], E[Y ], and var(Y | X = x). Use these to calculate var(Y ).

5. The wombat club has N members, where N is a random variable with PMF

pN (n) = pn1 (1 p) for n = 1, 2, 3, . . ..

On the second Tuesday night of every month, the club holds a meeting. Each wombat member

attends the meeting with probability q, independently of all the other members. If a wombat

attends the meeting, then it brings an amount of money, M , which is a continuous random

variable with PDF

fM (m) = em for m 0.

N , M , and whether each wombat member attends are all independent. Determine:

(a) The expectation and variance of the number of wombats showing up to the meeting.

(b) The expectation and variance for the total amount of money brought to the meeting.

G1 . (a) Let X1 , X2 , . . . , Xn , Xn+1 , . . . , X2n be independent and identically distributed random vari

ables.

Find

E[X1 | X1 + X2 + . . . + Xn = x0 ],

where x0 is a constant.

(b) Dene

Sk = X1 + X2 + . . . + Xk , 1 k 2n.

Find

E[X1 | Sn = sn , Sn+1 = sn+1 , . . . , S2n = s2n ],

where sn , sn+1 , . . . , s2n are constants.

MIT OpenCourseWare

http://ocw.mit.edu

Fall 2010

For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.

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