Question 1 [9 marks]

Each of the following questions requires a short answer (i.e. answers to each
part should be at most 3 to 4 lines).

(a) If Y = 2X 4 and it is known that E (Y ) = 8 and var (Y ) = 4, what

are the mean and variance of X?

(b) A random variable X has mean 12 and variance 8. Compute

E X2 2X :

(c) Give an example of two distinct events A and B, for which

P (AB) = P (A) :

(d) The function 2e2t cannot be a valid moment generating function MX (t)
for any random variable X. Why?

(e) Given that one-third of the females in a certain tribe have height greater
than 1.68 metres, and two-thirds of the males have heights greater than
1.68 metres, explain what is wrong with the following statement:
“If we choose one male and one female, at least one must have a height
greater than 1.68 metres, since 31 + 23 = 1 ”

(f) Under what speci…c conditions will the convolution of two binomial
random variables result in a variable which itself has a binomial distri-
bution?

(g) Consider a sequence of independent Bernoulli trails with success prob-

ability 0.25. If it is known that the …rst success occurred at the third
trial, what is the probability that the third success occurs at the sixth
trial?

(h) In a lotto-like game, there are 40 balls numbered 1; 2; : : : ; 40. Five of

these balls are selected without replacement and classed as winning
numbers. Before the draw, a participant selects 8 numbers to play, and
wins $100,000 if …ve of her numbers match the winning ones. Show
that the probability of winning is approximately 8:511 10 5 .

(i) What are the expected value and variance of the winnings for one entry
in the game speci…ed in part (h) above?

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Question 2 [11 marks]
A manufacturing company has three lines producing ‡irps. Line 1 manu-
factures 45% of the ‡irps, line 2 manufactures 35% and line 3 manufactures
20%. However, some ‡irps produced are faulty. 3% produced in line 1, 1%
in line 2 and 0.05% in line 3 are defective.

(a) Set out the preceding details using probability notation i.e. de…ne
events, their probabilities, and any conditional probabilities.

(b) A sample of 10 ‡irps from production line 1 is to be tested. What is

the probability that no more than 1 ‡irp in this sample will be found
to be defective?

(c) On production line 3, a quality control worker selects ‡irps for checking.
He selects randomly until he …nds 3 which are defective. What is the
probability that he …nds 2 good ‡irps in the selection?

(d) Because of its lower rate of defectives, a special order for 10,000 ‡irps
has been assigned to production line 3. Use a sensible approximation
to obtain an estimate of the probability that no more than 4 ‡irps in
this batch will be defective.

(e) Before being transported to retail outlets, the ‡irps are sealed into
packets of 12 and sent to a central storage depot. A customer received
a packet produced in March, which contained 1 defective ‡irp. What is
the probability that this packet was manufactured on production line
1?

(f) In one year, line 2 produces a total of 580,000 ‡irps. What is the
probability that between 5700 and 5750 (inclusive) defective ‡irps are
produced in this year?

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Question 3 [15 marks]
The random variables X and Y are continuous, with pdf

ce x ; 0 < y < x < 1

fX;Y (x; y) =
0 ; otherwise.

(a) Find the constant c;

(b) Find the marginal pdfs of X and Y ;

(c) Determine E (X) ; var (X) ; E (Y ) ; var (Y ) ; cov (X; Y ) and corr (X; Y ) ;

(d) Are X and Y independent? Give reasons.

(e) Calculate E (XjY ) : Hence, using the pdf of Y; …nd E (X) :

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Question 4 [15 marks]
(a) The random variables X1 ; X2 ; : : : are independent and identically dis-
tributed, with
1 1 2
fX (x) = p e 2 x :
2
That is, they have the standard normal distribution.

(i) Show that the mgf of X1 is MX (t) = E etX = exp 12 t2 ;

P
(ii) Hence show that the mgf of Sn = nj=1 Xj is exp n2 t2 ;
(iii) What is the mgf of Zn = p1 Sn ? What can you conclude from this
n
observation?

(b) The random variable N is discrete, with probability function

p (1 p)n 1
; n = 1; : : :
fN (n) =
0 ; otherwise,

where 0 < p < 1: The random variables X1 ; X2 ; : : : are independent

of N and are independent and identically distributed with probability
function
r (1 r)x 1 ; x = 1; : : :
fX (x) =
0 ; otherwise,
where 0 < r < 1: Find the probability generating function of

X
N
SN = Xj ;
j=1

and hence determine the probability function of SN :

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Question 5 [15 marks]
(a) The random variables X and Y have joint pdf

1 2
fX;Y (x; y) = k exp x + 2xy + 5y 2 :
2

(i) Find k and the marginal pdfs of X and Y ;

(ii) Find cov (X; Y ) and corr (X; Y ) ;
(iii) Are X and Y independent? Give reasons.
(iv) Evaluate E (XjY ) and var (XjY ) :

(b) The number of cars passing through the Herring Road entrance to
Macquarie University between 9am and 10am has been modelled as a
Poisson process with rate 50 per minute. What is the distribution of
the time it takes for four consecutive cars to arrive?

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Question 6 [15 marks]
(a) The random variable X has pdf
(
( + ) 1
( ) ( )
x 1 (1 x) ; 0<x<1
fX (x) =
0 ; otherwise.

Determine the pdf of Y = X= (1 X) :

(b) The random variable X has pdf

1 jxj
fX (x) = e :
2
Find the pdf of Y = jXj :

(c) The random variables X and Y are independent with pdfs

1 x
e ; x>0
fX (x) =
0 ; otherwise

and ( y
1
e ; y>0
fY (y) =
0 ; otherwise.
Find the pdf of Z = X + Y by using the convolution formula. Pay
special attention to the special case where = :

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Question 7 [20 marks]
(a) The random variable X has pdf
1 jxj
fX (x) = e :
2
(i) Using Tchebyshe¤’s inequality, …nd an upper bound to

Pr fjXj > 2g :

(ii) The generalised Tchebyshe¤’s inequality states that if g is any

positive function, then

E fg (jX j)g
Pr fjX j sg :
g (s)

Show how to …nd a better upper bound to Pr fjXj > 8g than

would be obtained using the standard Tchebyshe¤ inequality, by
selecting the function g appropriately.
(iii) The rvs X1 ; X2 ; : : : ; Xn are iid with pdf fX (x) given above. Using
the central limit theorem, …nd an approximation to
p
Pr n X >2 ;

and compare this with the bound obtained using Tchebyshe¤’s

inequality.

(b) The random variables X1 ; X2 ; : : : ; Xn are iid with pdf

1 jxj
fX (x) = e :
2
(i) Find the (exact) cdfs of X(1) and X(n) :
(ii) Find the limit as n ! 1 of

Pr X(n) log n + x

and hence …nd the asymptotic distribution of X(n) :