Lecture Notes in Applied Probability

2005 Wayne F. Bialas Department of Industrial Engineering University at Buffalo

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Copyright c 2005 Wayne F. Bialas Department of Industrial Engineering University at Buffalo 301 Bell Hall Buffalo, New York 14260 USA E-mail: bialas@buffalo.edu Web: http://www.buffalo.edu/˜bialas All rights reserved. No part of this work may be reproduced by any means without the express written permission of the author.

Date printed: May 12, 2005

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CONTENTS

Acknowledgements To the student 1 Sets, Sample Spaces and Events Mathematical Models . . . . . . . . . . . . . . . . . . . . . . . . . . Deterministic models . . . . . . . . . . . . . . . . . . . . . . . . Nondeterministic models . . . . . . . . . . . . . . . . . . . . . . Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Basic definitions . . . . . . . . . . . . . . . . . . . . . . . . . . Venn diagrams . . . . . . . . . . . . . . . . . . . . . . . . . . . Set operations . . . . . . . . . . . . . . . . . . . . . . . . . . . Set identities . . . . . . . . . . . . . . . . . . . . . . . . . . . . Proving statements about sets . . . . . . . . . . . . . . . . . . . A proof of the distributive law for sets . . . . . . . . . . . . . . . Elementary sets . . . . . . . . . . . . . . . . . . . . . . . . . . Cardinality of sets . . . . . . . . . . . . . . . . . . . . . . . . . Sample spaces and events . . . . . . . . . . . . . . . . . . . . . Sets of events . . . . . . . . . . . . . . . . . . . . . . . . . . . Self-Test Exercises for Chapter 1 . . . . . . . . . . . . . . . . . . . . Questions for Chapter 1 . . . . . . . . . . . . . . . . . . . . . . . . .

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. Self-Test Exercises for Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . Deductions from the axioms . . . . . . . . Examples using logical probability . Independence of more than two events . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Probability Probability Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Questions for Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sampling . Questions for Chapter 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . Conditional probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Interpretation of probability . . . . . . . . . . Self-Test Exercises for Chapter 3 . . . . . . . . . . . . . . . . . . . . . . . . Conditional Probability and Independence . . . . . . Permutation of n items distinguished by groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Birthday Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Measuring sets . . . . . . . . .iv CONTENTS 2 Enumeration Fundamental Rule . . . . . . . . . . . . . . . 19 20 20 26 26 29 32 35 35 35 36 40 41 41 45 48 49 49 51 52 54 57 67 Independence . . . . . . . . . . . . Occupancy . . The birthday problem on the planet Yak . Relationships between English and set notation . . . . . . . . . . . . . . . . . . . . . Bayes’ theorem . . . . . . .

Other measures of central tendency . . . . . . . . . . . . . . . . . Examples of continuous distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81 81 81 81 82 82 83 85 86 87 88 89 90 90 90 91 91 92 92 99 105 5 Functions of Random Variables Basic Concepts . . . . . . . . . . . . . . . . . . . . . Properties of any probability density function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cumulative Distribution Function . . . . . . 105 Some examples . 109 Discrete case . . Continuous Random Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Finding E(X) for some specific distributions . . . . . . . . . . Examples of discrete distributions . . Exponential distribution . . . . . Geometric distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . Discrete Random Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Properties of any probability mass function . . . . . . . Poisson distribution . . . . . . . . . . . . . . . . Self-Test Exercises for Chapter 4 . . . . . . . . . . . . . . . . . . . . . . . . . . .CONTENTS v 4 Random Variables Basic Concepts . . . . Binomial distribution . . . . . . . . . . . Questions for Chapter 4 . . Properties of any cumulative distribution function . . . . . . . . . . . . . . . Differential mass interpretation of the pdf . . . . . . . . . . . . . . . . . . 110 . 109 Continuous case . . . Expectation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

. . . . . . . . . . . . . . . . . . . . . . 168 Independence of Random Variables . . 173 Random vectors and conditional probability . 115 The k th Moment of X . . . 118 Variance . . . . . . . . . . . . . . . 119 Approximating E(h(X)) and Var(h(X)) . . . . . 112 Expected values for functions of random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155 Joint Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121 Chebychev’s Inequality . . . . . . . . . . 131 Self-Test Exercises for Chapter 5 . 162 Functions of Random Vectors . . . . . . . . . . 133 Questions for Chapter 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171 Expectation and random vectors . . . . . . . . . . . . . . . . . . . . . . . . 126 Tools for using the standard normal tables . . . 179 Self-Test Exercises for Chapter 6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142 6 Random Vectors 155 Basic Concepts . . . . 124 The Law of Large Numbers . . . . . . 157 Discrete Distributions . . . . . . . . . . . . . . . . . . . 155 Definition . . . 159 Marginal Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .vi CONTENTS Invertible Functions of Continuous Random Variables . . . . . . . . . . . . 171 Testing for independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 178 Conditional distributions . . . . . . . . . . . . . . . . 126 The Normal Distribution . . . . . . . . . . . . . . . . . . . . . . . . . 158 Continuous Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180 . . . . . . . . . . . . . . . . . .

. . . . . . . 215 Questions for Chapter 7 . . . . . . . . . . . . . . . . . . . . . . . . 230 Questions for Chapter 8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227 Statistics . . . . . . . . . . . . 229 Self-Test Exercises for Chapter 8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211 The DeMoivre-Laplace Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213 The distribution of the sample mean for large n . . . . . . . . . . . . . . . . . . . . . . . . . . 199 Moment generating functions . . . . . . . . 229 Method of maximum likelihood . . . . . . . . . . . . . 227 Point Estimation . . . 199 Probability generating functions . . . . 188 7 Transforms and Sums 199 Transforms . . . . . . . . . . . . 229 Finding Estimators . . . . . . . . . . . . . . 199 Notation . . . 214 Self-Test Exercises for Chapter 7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229 The problem . . . . . . . . . . . . . . . . . . . . . . . . 227 Random samples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .CONTENTS vii Questions for Chapter 6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229 Unbiased estimators . . . . . . 209 Linear combinations of normal random variables . . . . . . . . . . . . . . . . . . . . . 211 The Central Limit Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203 Other transforms of random variables . 231 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221 8 Estimation 227 Basic Concepts . . . 209 The distribution of the sample mean . . . . . . . . . . .

. . . . . . . . . . . . . . . 259 D Sample Examination 2 261 Part I: Multiple Choice Questions . . . . . . . . . . . . . . . . 233 The geometric distribution . . . . . . . . . . . . . . . . 234 The Poisson distribution . 238 10 Approximations and Computations 247 Approximation for the Normal Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .viii CONTENTS 9 Probability Models 233 Coin Tossing (Binary) Models . . . . . . . . . . . . . . . . . . . . . . . 250 Table II: Some Common Probability Distributions . . . . . . . . . . . 235 Self-Test Exercises for Chapter 9 . . . . . . . . . . . . 264 . . . . . . . . . . . . . . . 248 Questions for Chapter 10 . 235 Random Particle Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261 Part II . . . . . . . . . . . . 251 B Answers to Self-Test Exercises C Sample Examination 1 253 257 Part I: Multiple Choice Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257 Part II . . . . . . . . . . . . . . . . . . . . . . . 237 Questions for Chapter 9 . . . . 233 The binomial distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248 A Tables 249 Table I: Standard Normal Cumulative Distribution Function . . . . . . . . . . . . . . . . 247 Approximation for the Inverse Normal Integral . . . . . . . . .

. . . 271 . . . . .CONTENTS ix E Sample Final Examination 265 Part I: Multiple Choice Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265 Part II . . . . . . . . . . . . . . . . . . .

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I must also thank Yu-Shuan Lee Brown. I am grateful to Mark Chew. WFB Buffalo.ACKNOWLEDGEMENTS Contained herein is a bit of the wisdom of the greatest scholars in probability theory. In particular. Nguk Ching Ling. The Adobe AcrobatTM driver. Shiju David. New York May 12. Derek Hoiem. Xiaofeng Nie. James Pasquini. Mona Khanna. Partel was modified and used to format this document. Amol Salunkhe. Kevin Cleary. written by Mark A. These notes have benefited the most from the many contributions of my students and teaching assistants. Lindsay Koslowski. Elif Tokar and Min Zhang for finding numerous mistakes in previous editions. Angelo Morgante. Judah Eisenhandler. Lynne Makrina Tkaczevski. A L by H. Taneka Lawson. Some of them were my professors. Satyaki Ghosh-Dastidar. a This manual was typeset using Donald Knuth’s TEX with Leslie Lamport’s L TEX aTEX style file developed enhancements as implemented by Eberhard Mattes. Steven Kieffer. Any remaining errors and omissions are mine. and AFPL Ghostscript were used to produce the printed output. Harold T. I would not have dared to prepare these notes without these tools. dvipdfm. Alfred Guiffrida and Nishant Mishra for several contributions to these notes. Dawn Holmes. Nikola Petrovic. Gerber. Michael Holender. Keith Klopfle. Rajarshi Chakraborty. Simin Huang. Andrew Lenkei. 2005 xi . Wicks.

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Point masses and continuous mass densities arise as a natural consequence. is that a course in probability asks that you change your view of everything around you. become the mean and variance of our probability distributions. – WILLIAM COWPER. For that. The concepts of center of mass (center of gravity) and moment of inertia. we are always more comfortable working with real numbers. the Central Limit Theorem. For that purpose. with examples ranging from coin tossing to proving one of the most important results in all of science. 1790) xiii . we will use the mathematical theory of measure. Probability theory provides a way to mathematically represent chance. we can assign probabilities to events by simply counting equally likely outcomes. We will do that. but a harmony of random possibilities. a measure of uncertainty to each of those sets. For some problems. and then assign. When outcomes are not equally likely. ultimately. or when they arise from a continuum of possible values. What is certain. A fool must now and then be right by chance. We will show you how sets can be used to express events. The universe is not a deterministic clockwork. There we will quickly discover analogies between allocating probability and allocating physical mass. we will introduce the concept of random variables and random vectors to map our abstract probability problems into Euclidean real space. But. As engineers and scientists. in a systematic way.TO THE STUDENT These notes are for a course devoted to describing those processes around us that appear to produce random outcomes. the goal of any good mathematical model is to serve as a tool for reaching conclusions about the processes being modeled. we provide some counting techniques. Conversation (c. That measure will be called probability. too.

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1 SETS. All the Days of My Life (1913) Mathematical Models What is a mathematical model?    . SAMPLE SPACES AND EVENTS There are no little events in life. – AMELIA E. BARR.

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 Observation  .

Examples: 1 To place this date in perspective. the result is a known constant. 1 . Application    Deterministic models For specified values of an experiment’s input parameters. University at Buffalo was founded in 1846. Example: V = IR Established experimentally by George Simon Ohm in 18271 Nondeterministic models Also called probabilistic models or stochastic models.

ω. • the number of students who will earn an A in EAS305. Definition 1. 3. The empty set (the set containing no elements) is denoted by Ø. A set is a collection of elements. B. • the outcome of a single toss of a fair die. The universe is the set containing all points under consideration and is denoted by Ω. Question: What is the difference (if any) between Ø and {Ø}? Definition 1. we write x ∈ A. If x is an element of a set A. .2 Sets • the number of α-particles emitted from a piece of radioactive material in one minute. . Ω.). . . A set can be described • by listing the set’s elements A = {1. Notation: Sets are denoted by capital letters (A. inclusive. If x is not an element of A. 4} • by describing the set in words “A is the set of all real numbers between 0 and 1. Sets Basic definitions We will need to use set theory to describe possible outcomes and scenarios in our model of uncertainty.3. 2. .1. we write x ∈ A. . b.” • by using the notation {ω : specification for ω} A = {x : 0 ≤ x ≤ 1} or A = {0 ≤ x ≤ 1} There are two sets of special importance: Definition 1.2.) while their elements are denoted by small letters (a. .

. Definition 1. / Venn diagrams Ω B A Set operations Complementation Ac = {ω ∈ Ω : ω ∈ A} . If every point of set A belongs to set B .4. .5. We write A⊆B B⊇A Now we have a way to say A is identical to B .6. We avoid the ambiguity here by using ⊆ for subset and ⊆ for proper subset. Example: Let Ω = R. Definition 1. / Note: Some authors use the symbol ⊂ for subset and other use ⊂ for proper subset. the set of all real numbers.Sets 3 Definition 1. 3} Then A ⊆ B and B = C . We write A ⊆B . Define the sets A = {x : x2 + x − 2 = 0} B = {x : (x − 3)(x2 + x − 2) = 0} C = {−2. A is a proper subset of B if A ⊆ B and A = B . then we say that A is a subset of B (B is a superset of A). 1. A = B if and only if A ⊆ B and B ⊆ A.

4 Example: Here is the region representing Ac in a Venn diagram: Ω Sets A Ac Union A ∪ B = {ω ∈ Ω : ω ∈ A or ω ∈ B (or both)} Example: Consider the following Venn diagram: Ω A B then the region representing A ∪ B is: Intersection A ∩ B = {ω ∈ Ω : ω ∈ A and ω ∈ B} .

Sets 5 Example: Using the same Venn diagram as above the region representing A ∩ B is given by: Note that some textbooks use the notation AB instead of A ∩ B to denote the intersection of two sets. These basic operations can be extended to any finite number of sets. Definition 1. A ∪ B ∪ C = A ∪ (B ∪ C) = (A ∪ B) ∪ C and A ∩ B ∩ C = A ∩ (B ∩ C) = (A ∩ B) ∩ C You can show that (a) A ∪ B = B ∪ A (b) A ∩ B = B ∩ A (c) A ∪ (B ∪ C) = (A ∪ B) ∪ C (d) A ∩ (B ∩ C) = (A ∩ B) ∩ C Note: (a) and (b) are the commutative laws Note: (c) and (d) are the associative laws Set identities (e) A ∪ (B ∩ C) = (A ∪ B) ∩ (A ∪ C) (f) A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C) (g) A ∩ Ø = Ø .7. Two sets A and B are disjoint (or mutually exclusive) if A∩B = Ø.

since B ⊆ C . every element x ∈ A is also an element of C . the proof of Theorem 1. Many mathematicians prefer to write proofs in paragraph form. (1) (2) (3) (4) Discussion If x ∈ A then x ∈ B Since x ∈ B then x ∈ C If x ∈ A then x ∈ C Therefore A ⊆ C Reasons Definition of A ⊆ B Definition of B ⊆ C By statements (1) and (2) Definition of A ⊆ C (as in the above proof) or the Note: A proof is often concluded with the symbol letters QED. Choose an x ∈ A.6 Sets (h) A ∪ Ø = A (i) (A ∪ B)c = Ac ∩ B c (j) (A ∩ B)c = Ac ∪ B c (k) (Ac )c = A Note: (e) and (f) are called the Distributive Laws Note: (i) and (j) are called DeMorgan’s Laws Proving statements about sets Venn diagrams can only illustrate set operations and basic results. But they can be used to disprove a false mathematical statement.1 would become: Proof. Therefore. Here is an example of a simple set theorem and its proof. Since A ⊆ B . If A ⊆ B and B ⊆ C . Theorem 1. then A ⊆ C . For example. You cannot prove a true mathematical statement regarding sets using Venn diagrams. Hence A ⊆ C . . x ∈ B implies x ∈ C .1. x ∈ A implies x ∈ B . from the definition of subset. Proof. Furthermore.

Meredith Publishing. . 1964. A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C). Proof.2. The proof is from a textbook on set theory by Flora Dinkines2 Theorem 1. Elementary Theory of Sets. Therefore x ∈ A and x ∈ B . Definition of ∩. Definition of ∪. F.Sets 7 A proof of the distributive law for sets Here is a proof of one of the distributive laws for sets. We now prove the inclusion in the opposite direction: 2 Dinkines. giving us A ∩ (B ∪ C) ⊆ (A ∩ B) ∪ (A ∩ C). Since x ∈ B ∪ C . Definition of ∪. By (1) and (2). then x ∈ B or x ∈ C . Hence x ∈ A ∩ B or x ∈ A ∩ C. Reasons Definition of ∩. or x ∈ A and x ∈ C . Discussion If x ∈ A ∩ (B ∪ C). (1) (2) (3) (4) (5) Therefore every element of A ∩ (B ∪ C) is also an element of (A ∩ B) ∪ (A ∩ C).. then x ∈ A and x ∈ B ∪ C . x ∈ (A ∩ B) ∪ (A ∩ C).

we have A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C). . Consider the following subsets of Ω: A B C 0 0 0 Ac ∩ B c ∩ C c = S0 0 0 1 Ac ∩ B c ∩ C = S1 0 1 0 Ac ∩ B ∩ C c = S2 0 1 1 Ac ∩ B ∩ C = S3 1 0 0 A ∩ Bc ∩ C c = S4 1 0 1 A ∩ Bc ∩ C = S5 1 1 0 A ∩ B ∩ Cc = S6 1 1 1 A∩B∩C = S7 The sets S0 . and C . Definition of ∩. then y ∈ (A ∩ B) or y ∈ (A ∩ C). B . If y ∈ A ∩ C then y ∈ A and y ∈ C . B and C . Therefore y ∈ A and y ∈ B ∪ C. Same as (7). S1 . using the definition of set equality. . . Elementary sets Let Ω be a universe with three subsets A. In either case (7) or (8). If y ∈ A ∩ B then y ∈ A and y ∈ B . S7 are called the elementary sets of A. Therefore y ∈ A ∩ (B ∪ C). . . Therefore.8 Sets (6) (7) (8) (9) (10) (11) If y ∈ (A ∩ B) ∪ (A ∩ C). it is in the union. giving us A ∩ (B ∪ C) ⊇ (A ∩ B) ∪ (A ∩ C). Definition of ∪. Statements (7) and (8) Since y is in B or C . y ∈ A and y is an element of one of the sets B or C . Definition of ∩. Therefore every element of (A ∩ B) ∪ (A ∩ C) is also an element of A ∩ (B ∪ C).

Sets 9 Ω A B A Bc Cc A B Cc A B C Ac B Cc Ac Bc Cc Figure 1.1: An example of elementary sets for three subsets For example. the binary sequence (0. This is the subset of elements that are 0: 1: 1: not in A in B in C and and Figure 1. B and C . B and C using a Venn diagram. we have                            A Bc C Ac B C Ac Bc C C . For some (but not all) experiments. For example (A ∪ B) ∩ C = S3 ∪ S5 ∪ S7 Cardinality of sets The cardinality of a set A (denoted by |A|) is the number of elements in A. Si ∩ Sj = Ø for any i = j . • Any set operation involving A.1) corresponds to S3 = Ac ∩ B ∩ C .1. B . That is. Elementary sets have two very useful properties: • Elementary sets are pairwise disjoint. and C can always be represented as a union of the elementary sets for A.1 illustrates all of the 23 = 8 elementary sets for A.

8. 3 Identify the subsets of Ω that represent the following events: 1.. Example: Consider the experiment of rolling a die once. • Each of the outcomes of the experiment are equally likely. The die turns up 6. Ω. then you just (re)invented the concept of a random variable. The outcome of the experiment is the life length of the bulb. count) the number of elements of subsets of Ω.10 • |Ω| is finite. . Sets In such cases. This will be discussed in a later chapter. 5. A= 2. An event is any subset of a sample space. A sample space.9. we can now introduce the first components of our probability model. 4. Definition 1. 2. The die turns up even. C= Example: Consider the experiment of burning a light bulb until it burns out. Sample spaces and events Using set notation. is the set of all possible outcomes of an experiment. 3. 3 What should be Ω for this experiment? Ω= If you thought the answer was Ω = {1. Definition 1. 6}. B= 3. it is important to be able to enumerate (i. The die turns up less than 5.e.

5} 2. The bulb burns out within one and one-half hours. The bulb lasts at least 5 hours. For example. the set of all events is really a set of sets. C = {24} Sets of events It is sometimes useful to be able to talk about the set of all possible events F. Ω.Sets 3 What should be Ω for this experiment? 11 Ω = {x ∈ R : x ≥ 0} For the lack of a better representation. The set F is very different than the set of all possible outcomes. Each element of F is a subset of Ω. 3 Identify the subsets of Ω that represent the following events: 1. B = {x ∈ R : x ≥ 5} 3. {HT }} A6 = {{HH}. A = {x ∈ R : 0 ≤ x < 1. T H. Since an event is a set. {T H}} . you would need to list all possible subsets of Ω. The sample space is Ω = {HH. suppose we toss a two-sided coin twice. we resorted to assigning a nonnegative real number to each possible outcome of the experiment. If you were asked to list all of the possible events for this experiment. T T }. namely A1 = {{HH}} A2 = {{HT }} A3 = {{T H}} A4 = {{T T }} A5 = {{HH}. HT. The bulb lasts exactly 24 hours.

If A is a finite set. When Ω contains a finite number of outcomes. . Theorem 1. {HT }. then we often use the set of all possible events F = 2Ω . {T H}. and is denoted by 2A . {T T }} A10 = {{T H}. Answers can be found in Appendix B. A16 } Definition 1. A2 . "at least one of the events A." is (A) A ∪ B ∪ C (B) A ∩ B ∩ C (C) (A ∩ B ∩ C)c . then |2A | = 2|A| Proof. {T T }} A13 = {{HH}. .10. If Ω is a sample space. B and C occurs. for some experiments. How to properly select a smaller F. {HT }. {HT }.12 Self-Test Exercises for Chapter 1 A7 = {{HH}. {T T }} A15 = {{HH}. In those cases. Self-Test Exercises for Chapter 1 For each of the following multiple-choice questions. this often works well. F. {T T }} A11 = {{HH}. the set of all subsets of A is called the power set of A.3. . However. choose the best response among those provided. is found in many graduate level probability courses. {T H}} A12 = {{HH}.1 The event that corresponds to the statement. Ω contains an infinite number of outcomes (either countable or uncountable) and F = 2Ω is much too large. to represent those events we actually need to consider. we select a smaller collection of sets. {T H}. {T T }} A8 = {{HT }. For a given set A. {T T }} A14 = {{HT }. S1. . {T H}. Left to reader. {T T }} = Ω A16 = {} = Ø In this case F = {A1 . {T H}} A9 = {{HT }.

3 The set (A ∩ B) ∪ (A ∩ B c ) is equivalent to (A) Ø (B) Ω (C) A (D) B (E) none of the above. B or C occurs is (A) (A ∩ B ∩ C) (B) (A ∩ B ∩ C)c (C) (A ∪ B ∪ C) (D) (A ∩ B c ∩ C c ) ∪ (Ac ∩ B ∩ C c ) ∪ (Ac ∩ B c ∩ C) (E) none of the above.2 The event that corresponds to the statement that exactly one of the events A.5 For any sets A and B . .Self-Test Exercises for Chapter 1 (D) (A ∪ B ∪ C)c (E) none of the above 13 S1. S1. S1. (A) (A ∩ B) ⊆ B (B) A ⊆ (A ∪ B) (C) Ac ⊆ (A ∩ B)c (D) all of the above are true.4 The set (A ∩ B) ∪ A is equivalent to (A) (A ∪ B) ∩ A (B) B (C) A ∩ B (D) Ø (E) none of the above. S1.

2 Suppose that the universe.14 Questions for Chapter 1 (E) none of the above are true.6 For any events A and B . the event (A ∪ B c ) ∩ B equals (A) Ø (B) Ω (C) A ∪ B (D) A ∩ B (E) none of the above. 3. S1. 4. Let A = {2. 7}. Ω. Describe the following sets: (a) (A ∪ B)c (b) A ∪ B c (c) (A ∩ B)c . List the elements of the following sets: (a) Ac ∩ B (b) Ac ∪ B (c) (Ac ∪ B c )c (d) A ∪ (B ∩ C)c c 1.5 ≤ x ≤ 1}. is given by Ω = {x : 0 ≤ x ≤ 2}. Questions for Chapter 1 1. 5} and C = {5. S1.7 If A ∩ B = Ø then (Ac ∪ B c )c equals (A) Ø (B) A (C) B (D) Ω (E) none of the above.25 ≤ x ≤ 1. 6. and B = {x : 0. Let A = {x : 0. 4}.1 Suppose that the universe consists of the positive integers from 1 through 10. B = {3.5}.

5 Let A = set of all even integers. (a) (A ∪ B) ∩ (A ∪ C) = A ∪ (B ∩ C) (b) (A ∪ B) = (A ∩ B c ) ∪ B (c) Ac ∩ B = A ∪ B (d) (A ∪ B)c ∩ C c = Ac ∩ B c ∩ C c (e) (A ∩ B) ∩ (B c ∩ C) = Ø 1. and J = set of all integers Describe the following sets: (a) A ∩ B (b) A ∪ B .3 Which of the following relationships are true? In each case. C = set of all integers that are integral multiples of 4. B = set of all integers that are integral multiples of 3. either prove your result using basic set relationships or disprove by providing a counterexample.Questions for Chapter 1 (d) Ac ∩ B 15 1.4 Identify the set obtained by the following set operations. where Ω is the universe and A is a subset of Ω. (a) A ∩ Ac (b) A ∪ Ac (c) A ∩ Ø (d) A ∪ Ø (e) Ω ∩ Ø (f) Ω ∪ Ø (g) A ∩ Ω (h) A ∪ Ω 1.

a switch is placed in the “ON” position. Describe the sample space generated by a day’s production. 2. (a) Describe the sample space. at some time. (still during the same 24– hour period) the switch is placed in the “OFF” position.9 During the course of a day. until a defective bulb is found. one by one. Y ). 1. Assume that X and Y are measured in hours on the continuous time axis with the beginning of the time period as the origin.7 A box of N light bulbs has r (r ≤ N ) bulbs with broken filaments. 4. at some future time.e. the following holds: A ∪ (A ∩ B) = A ∩ (A ∪ B) = A. These bulbs are tested. Y . X . (b) Describe and sketch in the XY –plane the following events: 1. The circuit is turned on before time r and turned off after time s (r < s). show that for any sets A and B . The circuit is on at time z where z is some instant of time during the 24–hour period. i. Describe the sample space for this experiment. The circuit is on exactly three times as long as it is off. a machine produces three items. 3. Subsequently.. The circuit is on for less than one hour. until all defectives have been found. 1. is determined at the end of the day. . (a) Describe the sample space for the above experiment.6 Prove the Law of Absorption. one by one. 1. each of whose quality. defective or nondefective. (b) Suppose that the above bulbs are tested.16 Questions for Chapter 1 (c) B ∩ C (d) A ∪ J (e) A ∪ C 1. The outcome of the experiment consists of the pair of numbers (X.8 During a 24–hour period.

(d) At least one event occurs. B and C be three events associated with an experiment. Express the following verbal statements in set notation: (a) At least one of the events occurs. another follows.12 (†) (provided by Nishant Mishra) Provide a theorem that is true for Venn diagrams but false for an arbitrary universe Ω. Do not add other attributes of elements of R2 such as the distance between points. Your theorem should only use sets and basic set operations. .Questions for Chapter 1 17 1. This process continues until a successful probe is launched.10 A space probe is sent to Mars. (b) Exactly one of the events occurs. 1. but no more than two of the events occur. (c) Exactly two of the events occurs. another probe is sent.11 Let A. If it fails. Describe the sample space for this experiment. If the second probe fails. 1.

18 Questions for Chapter 1 .

1: A single domino dominoes have each half of a tile painted with 1 to 9 dots (called “pips”) or a blank for a total of 10 possible choices. L. 1975. 2 Just have a person at the end of the assembly line rotating half of the (4. Of course. Elementary probability theory with stochastic processes. Figure 2..1). New York. Fables (600 BC) This section is based on Chapter 3 of a text by K. L.4) dominoes and another producing (4.) Chung. So there is no need to have one assembly line producing (1. 1 19 .1. a domino painted (1. – AESOP.2 How many different dominoes does your factory actually produce? (Try this problem on your friends and see how many different answers you get.1) the dominoes by 180 degrees.2 ENUMERATION Do not count your chickens before they are hatched. Chung1 So you think you know how to count? Consider the following problem: Suppose you are the chief engineer at the Ellicott Dominoes domino factory. Springer-Verlag. Dominoes are rectangular tiles used in some parlor games and they look like Figure 2.4) can be turned 180 degrees to look like a domino painted (4. K.1) dominoes. Typically.

we will present a systematic way to approach counting problems. The total number of possible ways to answer all of the questions on the exam is 2 · 2 · 2 · 2 · 2 = 25 = 32. 3. it is replaced in the urn and may be drawn again. m2 alternatives for the second. There are four disciplines under which the balls can be drawn from the urn and examined. and so on. The order of the balls is noted. two ways to answer the second question. therefore. Example: Suppose you give a quiz with 5 questions. Since there are n possible ways to draw the first ball. 2. Hence the sequence 1. 2.20 Sampling In this chapter. each with a possible answer of True or False. most counting problems can be approached using one or a combination of these four basic types. . etc. 3. The total number of alternatives for the whole set of choices is equal to (m1 )(m2 )(m3 ) · · · . there are two ways to answer the first question. After a ball is drawn. There are four choices for selecting the man and five choices for selecting the woman. and solve each type. the total number of possible sequences is nm . Therefore. We will classify counting problems into four categories. Sampling with replacement and with ordering. etc. Example: Suppose a engineering class has five women and four men. m3 for the third. The total number of possible research teams is. Fundamental Rule The following rule forms the foundation for solving any counting problem: Multiplication Principle: Suppose there are several multiple choices to be made. A total of m balls are drawn sequentially. I. In practice.. 4 · 5 = 20 Sampling The Urn Model: Imagine an urn that contains n balls marked 1 to n. You would like to select a research team consisting of one man and one woman. 3 is distinguished from 3. 1. There are m1 alternatives for the first choice. n possible ways to draw the second.

The card for Mary’s must come from the remaining 4 cards. Since there are n possible ways to draw the first ball.. The number of possible choices for Bill’s card is 5. (n − n)! 0! Example: Suppose you have five different birthday cards. and Sue) with birthdays this week. and you have three friends (named Bill. n − 1 possible ways to draw the second. Finally. Here is another way to look at this problem: Consider the empty mailboxes of your three friends. this is equivalent to the problem of counting the number of ways you can arrange n different balls in a row. the number of possible choices for Sue’s card is 3. The order of the balls is noted. it is not replaced in the urn and hence cannot be drawn again. n − 2 possible ways to draw the third. (n − m)! By definition. then Sue) is arbitrary and does not affect the answer. Note that when m = n. Computational Hint: We can compute n(n − 1)(n − 2) · · · (n − m + 1) = n! . Sampling without replacement and with ordering. 0! ≡ 1 so that when n = m. ? ? ? B M S . After a ball is drawn. we have n(n − 1)(n − 2) · · · (n − n + 1) = n! n! = = n !. etc. then Mary. the total number of possible sequences is n(n − 1)(n − 2) · · · (n − m + 1). You want to send one card to each friend. the total number of possible ways to draw n balls is n(n − 1)(n − 2) · · · (2)(1) ≡ n!. Mary. It’s interesting to note that the sequence of friends (Bill. Hence the total number of ways you can assign five birthday cards to your three friends is 5 · 4 · 3 = 60. For the special case when m = n.Sampling 21 II. A total of m balls are drawn sequentially with m ≤ n.

y. . A total of m balls (m ≤ n) are drawn from the urn. The balls are not replaced after each drawing and the order of the drawings is not observed. Bill’s mailbox). This time we have 3 positions to fill with 3 different items.e. the two stages implement Case II (sampling without replacement and with ordering). Sampling without replacement and without ordering. Combined. let x denote the number of ways to choose m items from n items without replacement and without ordering. To derive the above formula.c.e. then one possible assignment is c d B M a S There are 5 ways to fill the first position (i. m This number is often referred to as the binomial coefficient. Example: Using the above example. we can compute the number of ways one can arrange the three letters x. z. We can find the value of x by considering Case II as a two-stage process: Stage 1 Grab m items from n without replacement and without ordering.b. this case can be thought of as reaching into the urn and drawing m balls simultaneously. 4 ways to fill the second position and 3 ways to fill the third. ? ? ? 1 2 3 So a possible arrangement is y z x 1 2 3 and there are 3 · 2 · 1 = 3! = 6 possible assignments.. Hence. Stage 2 Given the m items selected in Stage 1.d.22 Sampling If the cards are labelled a. III. Stage 1 (selecting the m balls) can be performed x ways. The total number of ways a subset of m items can be drawn from a set of n elements is (1) n! ≡ m!(n − m)! n . arrange the m items in order.

m!(n − m)! (n − m)!m! n−m So. Stage 2 (ordering the m balls) can be performed m! ways (using Case II for m items drawn from m items). using Case II (with m items drawn from n items). for example. m!(n − m)! m! with only m terms in both the numerator and the denominator. 97 3 3!97! 3! Example: A consumer survey asks: Select exactly two vegetables from the following list: ◦ peas ◦ carrots ◦ lima beans ◦ corn 4 2 The total number of ways you can select two items from the four is = 6. 10 10! 10 · 9 = = = 45 2 2!8! 2! and 100 100 100! 100 · 99 · 98 = = = = 161700. we must have x · m! = n! (n − m)! In other words. note that n m = n! n(n − 1)(n − 2) · · · (n − m + 1) = . we know. Furthermore. Computational Hint: Note that n m = n! n n! = = .Sampling 23 our unknown quantity. Hence. [Stage 1] · [Stage 2] = [Case II]. To overcome this. Hence. Solving for x then yields our result. 4 5 Also note that if n is large. . brute force computation of all three factorial terms n of m can be a challenge. 5 5 = 3 2 and 9 9 = . that the entire process of Stage 1 followed by Stage 2 can be performed in n! (n−m)! ways.

2. First. 2. drawing 3.24 Sampling IV. 2. 2. A total of m balls are drawn sequentially from the urn. 1. 3. m Let’s prove that this formula works. 1. . 3. the sequence of the draws is ignored. 3. Ball 2 was drawn once. for example. yet it has important applications. For example. and Ball 3 was drawn twice. 3. 3. we only need to know how many times each ball was drawn. However. For example. The number of ways that m balls can be drawn from an urn containing n balls in this fashion is m+n−1 . 3 or 2. Each ball is replaced after being drawn. 3. 3. 3 we only need to know that Ball 1 was drawn once. 2 is the same as drawing 1. 3. 2 or 1. Therefore. to describe 3. 1 √ 2 3 √ √√ √√√ √ √√√√ || 1 2 2 2 3 2 3 3 Coded Representation √ √ √√ | | √√√ √ | | So. the arrangements 2. note that to describe a possible outcome from this scenario. Sampling with replacement and without ordering. This arrangement can be represented as follows: 1 √ 2 √ 3 √√ 1 2 3 3 For another example using this scheme. 2. This case is perhaps the most difficult to perceive as a sampling discipline. would represent 3. 2 and their counterparts would be represented as 1 2 2 2 3 2 √√√ 3 √ Now notice that any of these outcomes can be represented by only specifying √ the arrangement of the four check marks ( ) among the inner two vertical lines (|). 3.

1 √√ 2 √ ··· ··· n √ k1 k2 · · · kn Coded Representation √√ √ √ | |···| Therefore. She likes peanut butter cookies. we will need m check marks √ ( ). there are 15 4 possible ways we can select 4 balls from an urn containing 3 balls if we allow replacement and disregard ordering. To represent all possible outcomes. our table will have n columns. 3 chocolate chip and 7 sugar cookies. we are arranging 14 symbols in a row: . The baker will allow her to select any number of each type to make a dozen. In this case. note that our coded representation has six positions ? ? ? ? ? ? √ Any four of these can be selected for the check marks ( ) and the remaining two will be filled with the two vertical lines (|). The number of ways we can select 4 positions from 6 positions is 6 = 15. So the following arrangement: Peanut Butter √√ Chocolate Chip √√√ Sugar √√√√√√√ Coded Representation √√ √√√ √√√√√√√ | | would represent the outcome when Mary selects 2 peanut butter. if there are n balls and m drawings. In this case. In general.Sampling 25 To count the total number of possible outcomes. our table has three columns with twelve check marks. chocolate chip cookies and sugar cookies. our coded representation will have m check marks and n − 1 vertical lines. So we need (n − 1) + m positions for both check marks and vertical lines ? ? ? ··· ? (n − 1) + m positions The number of ways we can select m positions for check marks from (n − 1) + m positions is n+m−1 m Example: Mary wants to buy a dozen cookies. Therefore.

A. So the number of possible different boxes of one dozen cookies is 12 + 3 − 1 14 14 14 · 13 = = 91. A. We have k ni = n. The reason for introducing occupancy problems becomes clear as one encounters different counting problems.26 Occupancy 2 vertical lines and 12 check marks. and m tokens numbered 1 to m. the number of distinguishable arrangements is given by n! . A. A direct analogy can be made with so-called occupancy problems. B. . . . The number of distinct arrangements of these seven letters in a row is 7! = 210. Nevertheless.. we think of n balls placed in an urn from which m balls are drawn. Example: Consider the seven characters. the number of distinguishable ways in which the tokens may occupy the boxes is computed in precisely the same manner as in the sampling models. i=1 If the balls are arranged in a row. There are four disciplines for placing the tokens in the boxes. we are given n boxes marked 1 to n. n2 of them painted with color number 2.nk of them painted with color number k . C. Each of these four scenarios correspond to one of the four sampling cases. n1 !n2 ! · · · nk ! This quantity is a generalization of the binomial coefficient and is called the multinomial coefficient. In such models. 3!2!2! Occupancy The Token Model: In sampling problems. B. . = = 12 2·1 12 2 Permutation of n items distinguished by groups An extension of case III is the situation where one has n balls with n1 of them painted with color number 1. Note that when k = 2. Some may be easier to conceptualize as occupancy problems rather than sampling problems. C . this situation is the same as case III.

Occupancy

27

The connection between the two formulations is easy to remember if you note the following relationships: Sampling Problems ball number of drawing j th draw yields ball k Occupancy Problems box number on token j th token is placed in box k

For example, suppose we have a sampling problem with 3 balls (labelled a, b, c) being drawn 4 times. This would correspond to an occupancy problem with 3 boxes and 4 tokens (See Figure 2.2). Moreover, the following outcomes from each

Tokens 1 2 3 4

Tokens 1 2 3 4

2

1

3

4

a

b

c

a

b

c

(a) Token labels observed

(b) Token labels not observed

Figure 2.2: The occupancy problem model would be equivalent: Sampling Drawing Ball 1 b 2 a 3 b 4 c Occupancy Box Token(s) a 2 b 1,3 c 4

Sampling cases I to IV can now be viewed as

28

Occupancy

I*. Each box may contain any number of tokens and the labels on the tokens are observed. II*. No box may contain more than one token and the labels on the tokens are observed. III*. No box may contain more than one token and the labels on the tokens are not observed. IV*. Each box may contain any number of tokens and the labels on the tokens are not observed. The scheme with check marks and vertical bars that we used for Case IV is now readily apparent. Each column of the table represents a box, and each check mark represents a token. Example: Suppose a school has five classrooms (with different room numbers) and three teachers, Ms. Smith, Mr. Thomas and Ms. Warren. For some courses, more than one teacher might be assigned to the same classroom. I*. If more than one teacher can be assigned to a classroom, and it matters which teacher teaches in a particular room, then the number of ways you can assign teachers to classrooms is
nm = 53 = 125.

II*. If only one teacher can be assigned to a classroom, and it matters which teacher teaches in a particular room, then the number of ways you can assign teachers to classrooms is
n(n − 1) · · · (n − m + 1) = 5 · 4 · 3· = 60.

III*. If only one teacher can be assigned to a classroom, and it does not matter which teacher teaches in a particular room, then the number of ways you can assign teachers to classrooms is
n m =

5 = 10. 3

IV*. If more than one teacher can be assigned to a classroom, and it does not matter which teacher teaches in a particular room, then the number of ways

Self-Test Exercises for Chapter 2

29

you can assign teachers to classrooms is
m+n−1 m =

3+5−1 = 35. 3

Self-Test Exercises for Chapter 2
For each of the following multiple-choice questions, choose the best response among those provided. Answers can be found in Appendix B. S2.1 Bill’s Donut Shop bakes 10 varieties of doughnuts. How many different boxes of 12 doughnuts can a customer select from the 10 varieties? Note: Assume that Bill’s Shop has at least 12 of each type of donut. (A) 12! (B)
21 12

(C) 10! (D) 1210 (E) none of the above. S2.2 A teacher has a class of 30 students. Each day, she selects a team of 6 students to present their homework solutions to the rest of the class. How many different teams of 6 students can she select? (A)
30 6

(B) 306 (C) 30!/24! (D) 630 (E) none of the above S2.3 A box is partitioned into 3 numbered cells. Two indistinguishable balls are dropped into the box. Each cell may contain at most one ball. The total number of distinguishable arrangements of the balls in the numbered cells is (A) 1 (B) 3 (C) 6

30

Self-Test Exercises for Chapter 2

(D) 9 (E) none of the above. S2.4 A professor wants to use three colors (red, green and blue) to draw an equilateral triangle on a sheet of paper. Each edge of the triangle is a single color, but any color can be used more than once. How many different triangles can be drawn? (A) 33 (B) 3! (C) (D)
5 3 5 3

+1

(E) none of the above. S2.5 A professor has an equilateral triangle cut from a sheet of cardboard. He wants to use three colors (red, green and blue) to color the edges. Each edge of the triangle is a single color, but any color can be used more than once. How many different triangles can be produced? (A) 33 (B) 3! (C) (D)
5 3 5 3

+1

(E) none of the above. S2.6 Two white balls are dropped randomly into four labelled boxes, one at a time. A box may contain more than one ball. The number of distinguishable arrangements of the balls in the boxes is (A) (B)
4 2 7 2

(C) 4 (D) 42 (E) none of the above.

Self-Test Exercises for Chapter 2

31

S2.7 One white ball and one black ball are dropped randomly into four labelled boxes, one at a time. A box may contain more than one ball. The number of distinguishable arrangements of the balls in the boxes is (A) (B)
4 2 7 2

(C) 4 (D) 42 (E) none of the above. S2.8 A class has ten students. The teacher must select three students to form a committee. How many different possible committees can be formed? (A) 103 (B) 310 (C) 10!/7! (D)
10 3

(E) none of the above S2.9 A student club has ten members. The club must elect a president, vicepresident and treasurer from the membership. How many ways can these three positions be filled? (A) 103 (B) 310 (C) 10!/7! (D)
10 3

(E) none of the above S2.10 A candy company is introducing a new, bite-sized, chocolate candy called "XYZ’s". Each candy is covered with a sugar coat that is colored a single color: either red, green, or blue. Also each candy is marked with a single letter: either “X,” “Y” or “Z’. How many different possible candies are there?

If each is worker assigned to one machine. S2. How many different pieces can be made using the numbers 1. . ranging from five different flavors to five scoops of the same flavor. The pieces are symmetrical so that the number pair is not ordered. .1 A domino piece is marked by two numbers. How many different playing situations are there? . How many different “Big Dishes” are possible? (A) 205 (B) (C) 20 5 24 5 (D) 20!/5! (E) none of the above S2.2 At a bridge table. how many ways can 4 workers be assigned to the machines? (A) 42 (B) 4! (C) 7 4 (D) 44 (E) none of the above Questions for Chapter 2 2. 2. n? 2. .12 There are 4 machines in a factory. You may order the five scoops in any way.11 An ice cream shop offers 20 different flavors of ice cream. Their menu says that their “Big Dish” contains five scoops of ice cream. the 52 cards are partitioned into four equal groups.32 Questions for Chapter 2 (A) 9 (B) 33 (C) 9 3 (D) 3! (E) none of the above. .

6 A ballot lists 10 candidates.3 How many ways can a poker hand of 5 cards be drawn from a 52 card deck so that each card is a different number or face (i. If the balls are indistinguishable. different. According to the “bullet” voting system. ignoring suits)? 2. How many different ways can the ballot be marked? 2. exactly four are women. how many different ways can Jack order a dozen doughnuts? 2. how many different ways can you mark your ballot? 2.Questions for Chapter 2 33 2. Peanut Krunch (11) and Powdered Jelly (15). and his boss in the Parks Department wants 3 Bavarian Creme for his coffee break. You may vote for any three of them.8 A multiple choice test contains 10 questions with each question having 4 possible answers.4 Throw three indistinguishable dice. a voter must place 4 check marks on the ballot. and may assign more than one check mark to any candidate(s) up to a total of four marks. (a) How many different ways can Jack order a dozen doughnuts? Assume that ordering 6 Bavarian Creme and 6 Peanut Krunch is the same as ordering 6 Peanut Krunch and 6 Bavarian Creme.e. How many distinguishable results of the throw are there? 2. .5 From eight persons. Two balls are dropped into the box.9 (provided by Mark Chew) Jack Dukey enters the Dip-’n-Donut Shop to buy a dozen doughnuts for himself and his co-workers in the Parks Department. Strawberry (30). each independently of the other.. Each voter is allowed 4 votes.10 Consider a box partitioned into 3 cells. list all possible arrangements. A cell may contain more than one ball. how many committees of three members may be chosen? Suppose that among the eight persons. (b) If Jack wants 2 Peanut Krunch for himself. He notices that they have the following inventory of his favorite doughnuts: Bavarian Creme (21). How many three-person committees can be chosen so that at least one member is female? 2. If you vote for exactly three candidates. How many different ways could a student answer the entire test? 2.7 An election ballot lists 10 candidates. in such a way that every cell has an equal chance of receiving a ball.

.12 Fifty students have rented 3 busses for a class trip. A class is composed of 4 girls and 12 boys. B . . How many different ways can you mark your ballot? 2. How many different ways can the students sign up for busses? 2. A. Each bus can hold 50 riders. or C with A being your most preferred candidate.6.14 Prove the binomial theorem: For any real numbers x and y and integer n ≥ 1 (x + y)n = n k=0 n k n−k x y k 2. (a) arrange all of them in a row? (b) choose m of them simultaneously? (c) divide them (perhaps unequally) between two identical urns? (d) divide them (perhaps unequally) between two children (and each child cares about the colors he or she receives)? . 2.11 A classroom in the Bell Elementary School contains 16 seats with four rows of four seats each. How many distinguishable ways can you.) A ballot lists 10 candidates.34 Questions for Chapter 2 Reanswer the question if no cell can have more than one ball.13 (See also Question 2.15 You are given n balls of different colors. You must pick three candidates and rank them according to your preference. How many ways can the 4 girls be seated among the 12 boys if the students are distinguished only by sex? 2.

Ω. A probability measure. Reflection (c 1880) Probability Spaces In Chapter 1.1. In those cases.2. How would you measure a set? • finite sets • countable sets • uncountable sets Definition 3. In this chapter. that assigns to each event E a real number P (E) such that the following three probability axioms hold: 35 . we will define what we mean by the probability of an event.3 PROBABILITY The scientific imagination always restrains itself within the limits of probability. The mathematical details are usually covered in advanced courses in probability theory. Ω = R) we often cannot reasonably compute P (A) for all A ⊆ Ω. F. that does not necessarily include every possible subset of Ω. For infinite sample spaces.3. we showed how you can use sample spaces Ω and events A ⊆ Ω to describe an experiment. (for example. we restrict our definition of P (A) to some smaller subset of events. Definition 3. defined on subsets of Ω. is a function. P (·). is the set of all possible outcomes of an experiment. P (A) and the mathematics necessary to consistently compute P (A) for all events A ⊆ Ω. The sample space. Measuring sets Definition 3. – THOMAS HENRY HUXLEY. Ω. An event is any subset of the sample space.

That is P : F → [0. you worked with real-valued functions f (·). including Emile Borel. P (Ω) = 1 3. a single number from the interval [0. we will show that 0 ≤ P (A) ≤ 1 for every A ⊆ Ω. . . ω2 . In calculus. then P (E ∪ F ) = P (E) + P (F ) The three specifications in the above definition are often called the Kolmogorov axioms for probability measures. In section 3. Henri Lebesgue and Eugene Dynkin. Interpretation of probability How do you assign the real numbers in Definition 3. That is. . is a function whose argument is a subset of Ω (namely an event) rather than a number. Here. 1].. . . maps x = 2 into f (2) = 8. That is P ({ωi }) = 1 n for i = 1. a great deal of probability theory has its foundations in a mathematical field called measure theory with important results from many mathematicians. f : R → R. f (x) = x3 .3? Logical probability This can be done when Ω is a finite set Ω = {ω1 . In mathematical terms. the set of events. That’s why we refer to P (·) as a probability measure. measures. P (·). n . If E ∩ F = Ø (i. the function.e. P (E) ≥ 0 for all events E 2. However. In mathematics we call functions that assign real numbers to subsets. Such functions assign each number in R a single number from R. . . . ωn } and each of the outcomes in Ω is equally likely. For example. Note that every event A ⊆ Ω is assigned one and only one number P (A). 1]. P (·) is a function that assigns to each member of F. if the events E and F are mutually exclusive ).36 Probability Spaces 1.

for any A ⊆ Ω assign P (A) = |A| n 37 For example. indefinitely. ω6 }) = |A| for any A ⊆ Ω 6 Logical probability is only useful when the mechanism producing the random outcomes has symmetry so that one could argue that there is no reason for one outcome to occur rather than other. 6. tossing a fair coin The coin is symmetrical and there is no reason for heads to turn up rather than tails. We also must be able to assume that the outcome of any one of the trials does not affect the probabilities associated with the outcomes of any of the other trials. . . 2. So we can assign. ω4 . for example. . .Probability Spaces In that case. and there is no reason for one card to be drawn rather than another. . ω2 . 6 3 6 P ({The die is even}) = P ({ω2 . P ({ωi }) = 1 6 for i = 1. As you can see. the notion of logical probability has limited applications. . Experimental probability This interpretation requires that the experiment can be identically reproduced over and over again. ω6 } where ωi = the die shows i pips for i = 1. . . drawing a card randomly from a deck of playing cards Each card is physically the same. . In that case Ω = {ω1 . in general. Each replicate is called an experimental trial. . . As an example. . rolling a fair die The die is symmetrical and there is no reason for one side to turn up rather than another. Some examples where logical probability can be used are: P (A) = and. consider the outcome of rolling a fair six-sided die once. suppose we .

random and cannot be predetermined. In that case. i=1 would be zero. although not likely. The proof requires measure theory. consider the infinite sequence of experimental outcomes T 1 . that P (A) equaled 2 . 2 In fact. In particular. and assign P (A) = lim n→∞ n i=1 Ti n There are some important mathematical issues associated with defining P (A) in this way. it can be proven that for a prespecified small number δ > 0. The outcome of one of our experimental trials is whether that transistor is either good or bad. itself. Let A = {good}. such that for all n > K the quantity n i=1 Ti n was arbitrarily close to P (A). T2 . . however. determined in advance. It is possible. that you could examine billions of transistors and find that all of them n are bad. with Ti = 0 Ti = 1 if transistor i is bad if transistor i is good In this case. 1 Suppose. and is typically covered in a graduate-level probability course. We can. there always existed some K . Ω = {bad. To assign P (A) using logical probability. . The value of K is. . good}. for instance. the type of limit that you defined in calculus cannot be used. there does exist some integer K such that for all n > K n i=1 Ti Ti n − P (A) < δ. say that P (K < ∞) = 1. In calculus. Consider the sequence of outcomes for the repeated experiment. and quite far away from the n eventual limit of 1 as n gets bigger than billions. That concept is not suitable here. with each transistor an experimental trial. Some examples where experimental probability can be used are: .38 Probability Spaces examine transistors being produced by an assembly line.

But sometimes it is the only way we can give meaning to the number P (A). we simply count the balls in the urn and assign P (A) = number of red balls in the urn total number of balls in the urn Not surprisingly. Let A = {you get an “A” in EAS305} The procedure of determining the subjective probability of A. interarrival times for queues Stating the probability that the time between any two consecutive customers is greater than five minutes. There is a mathematical theory (complete with axioms and deductions) regarding the existence of such equivalent lotteries. The decision maker is asked to place in the urn any number of red balls and white balls he or she desires. Subjective probability There are some cases where we would like to use probability theory. but it is impossible to argue that the experiment can be replicated. hitting a home run Specifying the probability that a baseball player will hit a home run on any attempt. auctions Stating the probability that painting by Monet will sell for one million dollars at an art auction. consider the experiment of taking EAS305. and an unlimited quantity of red and white balls.Probability Spaces 39 quality assurance Specifying the probability that a single microprocessor from a semiconductor fabrication facility will be defective. For example. football Specifying the probability that the Buffalo Bills will win the Super Bowl next year. with the outcome being the grade that you get in the course. . with the goal of making the event of drawing a red ball equivalent to getting an “A” in EAS305. Once the decision maker has decided how many balls of each type to place in the urn. is to construct an equivalent lottery consisting of an urn. Some examples where subjective probability can be used are: weather Specifying the probability that it will be warm and sunny tomorrow. subjective probability has a lot of critics.

without ordering). and one of them is bad. this solution is wrong. then the probability of selecting the bad 4 bulb is 6 = 2 3 Solution 2: If the two bulbs are selected simultaneously (i. the bad light bulb. There are three possible outcomes: Both bulbs are good Both bulbs are bad Exactly one bulb is bad 1 So the probability that exactly one bulb is bad is 3 . and C and that light bulb A is bad. If the two bulbs are selected one at a time. B . What is the probability that exactly one of the two tested bulbs is bad? “Solution:” Suppose the two bulbs are labelled A and B and bulb A is the bad light bulb. (Actually. If these 3 outcomes are equally likely (are they?). there are (3)(2) = 6 possible outcomes of the experiment: AB BA AC CA CB BC Note that 4 of the 6 outcomes result in choosing A. Then a second bulb is chosen. there are 3 = 3 possible outcomes of the experiment: 2 AB AC CB and 2 of the 3 outcomes result in choosing bad bulb A. Suppose a first bulb is chosen. If two light bulbs are chosen at random from the box. Note that the same bulb might be selected twice. If these 6 outcomes are equally likely (are they?). Why it is wrong?) ..e. and tested. then the probability of selecting the bad bulb is 2 3 Example: A box contains two light bulbs. tested and then placed back in the box.40 Probability Spaces Examples using logical probability Example: A box contains three light bulbs. and one of them is bad. what is the probability that one of the two bulbs is bad? Solution 1: Assume that the bulbs are labelled A.

Probability Spaces 41 Relationships between English and set notation • P (not E) = P (E c ) • P (E or F ) = P (E ∪ F ) • P (E and F ) = P (E ∩ F ) Deductions from the axioms Theorem 3.1 since P (Ac ) ≥ 0 (Axiom 1) Theorem 3. P (Ω) P (A ∪ Ac ) P (A) + P (Ac ) P (Ac ) = = = = 1 1 1 1 − P (A) from Axiom 2 since Ω = A ∪ Ac since A ∩ Ac = Ø Theorem 3. Let A be the event that the selected student is one of those who likes . A ⊆ B ⇒ P (A) ≤ P (B) Proof. P (A) = 1 − P (Ac ) P (A) ≤ 1 from Theorem 3. Consider the experiment of picking a student at random from the class of 100. A∪B (A ∪ B) ∩ (A ∪ Ac ) A ∪ (B ∩ Ac ) P (A ∪ (B ∩ Ac )) P (A) + P (B ∩ Ac ) P (A) = = = = = ≤ B B B P (B) P (B) P (B) since A ⊆ B since A ∪ Ac = Ω DeMorgan’s law See Question 3.1.3. P (A) ≤ 1 for all A ⊆ Ω Proof.31 A ∩ (B ∩ Ac ) = Ø since P (B ∩ Ac ) ≥ 0 (Axiom 1) Example: In a class of 100 students it is known that 80 of the students like hamburger. P (Ac ) = 1 − P (A) Proof.2.

Hence. . . E ⊆ F implies P (E) ≤ P (F ). In this case |A| = 80 and |Ω| = 100 and we can use logical probability to determine P (A) = 80/100 = 0. Solution: Pick an element ω ∈ A ∩ B . 3 Even if |B| is unknown we know that P (A ∩ B) ≤ 0.80. . . An we have P (A1 ∪ A2 ∪ · · · ∪ An ) = P (A1 ) + P (A2 ) + · · · + P (An ) Proof. . Ak we have P (A1 ∪ · · · ∪ Ak ) = P (A1 ) + · · · + P (Ak ) . 3 Show that A ∩ B ⊆ A. ω ∈ A. Since A ∩ B ⊆ A. . 3 Describe the set A ∩ B . (By induction) Is it true for n = 2? Yes. Theorem 3. For any finite number of pairwise disjoint sets A1 . we have P (A ∩ B) ≤ P (A) = 0.80. Solution: A ∩ B is the event that the student selected likes hamburger and broccoli. A2 . Therefore. Suppose |B| is unknown.80. Let B be the event that the selected student is one of those who likes broccoli. is it true for n = k + 1? Assume for k pairwise disjoint sets A1 . Assume it’s true for n = k .4. .42 Probability Spaces hamburger. A2 . that’s Axiom 3. That implies that ω ∈ A and ω ∈ B . . Why? Solution: For any events E and F . A ∩ B ⊆ A.

a surface defect. .5.5. + P (Ak )) + P (Ak+1 ) from induction hypothesis P (A1 ∪ · · · ∪ Ak ∪ Ak+1 ) = P (A1 ) + . . k . and/or 2. . both or neither defect. . Example: A hydraulic piston can have only two types of defects: 1. . . From quality control records we see that • The probability that a piston has a surface defect is 0. . A ∪ B = A ∪ (Ac ∩ B) Distributive law for sets and B = (A ∩ B) ∪ (Ac ∩ B) Distributive law for sets Therefore P (A ∪ B) = P (A) + P (Ac ∩ B) from Axiom 3 P (B) = P (A ∩ B) + P (Ac ∩ B) from Axiom 3 Subtracting the second equation from the first produces the result. For any two events A and B P (A ∪ B) = P (A) + P (B) − P (A ∩ B) Proof. . + P (Ak+1 ) Associative law Theorem 3.Probability Spaces 43 Let Ak+1 be an event such that Ai ∩ Ak+1 = Ø for all i = 1. a structural defect A single piston may have one. . Then (A1 ∪ · · · ∪ Ak ) ∩ Ak+1 = Ø since Ai ∩ Ak+1 = Ø for all i P ((A1 ∪ · · · ∪ Ak ) ∪ Ak+1 ) = P (A1 ∪ · · · ∪ Ak ) + P (Ak+1 ) since (A1 ∪ · · · ∪ Ak ) ∩ Ak+1 = Ø P ((A1 ∪ · · · ∪ Ak ) ∪ Ak+1 ) = (P (A1 ) + .

4 + 0. the third probability axiom is replaced by 3.4 P (S ∪ T ) = 0.4 + 0. .5 − 0.4. • The probability that a piston has some type of defect is 0. is a countable sequence of disjoint sets.* If A1 .6 Therefore.44 Probability Spaces • The probability that a piston has a structural defect is 0.6 To find the probability that a piston has both a structural and a surface defect. first define the following events: S = {a piston has a surface defect} T = {a piston has a structural defect} We want to find P (S ∩ T ). . . using Theorem 3. P (Ø) P (Ø) P (Ø) P (Ø) = = = = 1 − P (Øc ) 1 − P (Ω) 1−1 0 from Theorem 3.1 since Øc = Ω from Axiom 2 In order to allow the extension of Axiom (3) in Definition 3.3 to apply to a countable collection of disjoint sets (rather than just a finite collection). P (S ∪ T ) = P (S) + P (T ) − P (S ∩ T ) 0.6.5 P (T ) = 0. then ∞ ∞ P i=1 Ai = i=1 P (Ai ) .5.5 − P (S ∩ T ) P (S ∩ T ) = 0.6 = 0. P (Ø) = 0 Proof. A2 . We know that P (S) = 0.3 Theorem 3.6 = 0.

That is. we will make two assumptions: .* and the fact that Ei ∩ Ej = Ø for any i = j . . we want to compute P ∪∞ Ei .. . .50 that at least two of them will have the same birthday? To solve this problem. Let Ei be the event that exactly i accidents occur in a month with i = 0. we get ∞ ∞ P i=0 ∞ Ei Ei i=1 ∞ = i=0 P (Ei ) = 1 P E0 ∪ = 1 = 1 P (E0 ) + P i=1 ∞ Ei Ei i=1 Since E0 ∩ ∪∞ Ei = Ø i=1 P = 1 − P (E0 ) = 1 − e−1 THE BIRTHDAY PROBLEM Suppose k randomly selected individuals are seated in a room. . 2. 1.The Birthday Problem 45 Example: Consider the experiment of counting the number of accidents in a factory in a month. 2. Suppose that P (Ei ) = e−1 i! for i = 0. What is the probability that at least two of them will have the same birthday? How large must k be so that the probability is 0. . 1. . we have ∞ ∞ P (Ei ) = i=0 i=0 e−1 i! ∞ i=0 = e −1 1 i! = e−1 e1 = 1 Using axiom 3. i=1 Since ∞ αi i=0 i! = eα for any α. and we want to find the probability that the factory has at least one accident in a month.

} The assignment of birthdays with ordered individuals can be represented as a sampling problem. . we’ll first solve the problem for k = 3 and n = 365. there are (365)k corresponding permutations of their k birthdays.Jan03). It sounds simple. Later. For just one example of many. We can begin to write down all of the elements of Ω as follows: Ω = {(Jan01. (Jan01. The number of ways we can draw three balls from 365 with replacement and with ordering is (365)3 . To compute P (F ). The question asks us to compute P (E). that is until you begin identifying and counting equally likely elements in Ω. To illustrate the issues. and any n. Prentice-Hall. we’ll use an approach that is common for most problems involving logical probability: Step 1 Count the number of equally likely outcomes in Ω.Jan01).Jan01. d3 ). d2 . see Richard J. Let’s suppose the individuals are ordered. Some textbooks1 say something like “If we imagine the k people to be ordered. 1 . Larsen and Morris Marx.Jan04).Jan01. there are n = 365 days in a year 2. each person is assigned a birthday with any of the n = 365 days being equally likely. An introduction to probability and its applications. we’ll extend our solution for any k . Then every element of the sample space can be written as an ordered triple ω = (d1 .Jan01. . 1985. d2 and d3 are the birthdays of the three individuals. where d1 . (Jan01.Jan02).” Why ordered? Why not? Suppose k = 3.46 The Birthday Problem 1. Step 3 Divide the number obtained in Step 2 by the number in Step 1. . But P (E) = 1 − P (F ) and it turns out that P (F ) is easier to compute. (Jan01.Jan01. Step 2 Count the number of elements in F ⊆ Ω. Define the events E = {at least 2 birthdays are the same} F = {all of the birthdays are different} and notice that E = F c .

The Birthday Problem 47 Continuing with this reasoning.” the following table lists P (E) for several different values of k with n = 365: k 15 22 23 40 50 70 P (E) 0. Furthermore. the number of ways that we can assign birthdays to individuals with everyone getting a different birthday is equal to the number of ways we can draw three balls from 365 without replacement and with ordering. . And that number is (365)!/(365 − 3)!.475 0.970 0.253 0. “how many ways can we arrange 3 check marks among the 365 columns?” Jan01 √√√ √√ √√ .891 0.999 and we see that we need at least 23 persons to insure that P (E) is at least 0. the general correct answer is P (E) = 1 − P (F ) = 1 − (n)!/(n − k)! (n)k To answer the question “how large must k be?. But why would we get the wrong answer if we don’t order the k individuals? Let’s see what this would mean for k = 3. .507 0. if we perform the same computations for any n and k ≤ n. Identifying the elements of Ω without ordering the individuals is equivalent to listing all of the ways we can draw 3 balls from an urn containing 365 balls. .50... Jan02 √ √ Jan03 . etc. with replacement and without ordering. We can do this by creating a table with 365 columns (one for each calendar day) and asking the question. So for k = 3 we get P (E) = 1 − P (F ) = 1 − (365)!/(365 − 3)! (365)3 This turns out to be the correct answer.

. Under the ordered individual model there are four elements in Ω. HT. etc. etc.. Yak has only two days in its calendar year. using the unordered individual assumption. T T }. They are from a planet called Yak. Once again. So we can use our formulas with values n = 2 and k = 2. not who in the group is assigned Jan01. but this time. Jan02. that is Ω = {HH. But we would wrong to assume that such elements are equally likely. the total number of elements in Ω is n+k−1 k = (n + k − 1)! k !(n − 1)! and the number of elements in F is n k = n! k !(n − k)! (n)!(n − 1)! (n + k − 1)!(n − k)! So that P (E) = 1 − P (F ) = 1 − To show why the unordered individual assumption is wrong. The names of the days are “Heads” and “Tails”. Jan02. let’s use all of our formulas to solve a slightly modified version of the birthday problem: The birthday problem on the planet Yak There are two aliens from outer space in a room. There is nothing wrong with identifying the elements of the sample space Ω in this way. Assigning birthdays at random to the aliens is the same as each alien tossing a fair coin to determine it’s birthday. In this case. T H. with each day equally likely.48 The Birthday Problem Using this approach. each element of Ω is distinguishable by the number of times someone in the group is assigned the birthday Jan01. We can again compute P (E). and P (E) = 1 − 1 (2)!/(2 − 2)! = (2)2 2 . assume that birthdays are randomly assigned.

2) (4. 1) (4. des arts and des m´ tiers. 4) (1. 4) (4. 1) (2. 4) (3. 1754.3 Conditional Probability and Independence Conditional probability Example: Roll a die twice. 3) (2.” And the corresponding computation for P (E) yields P (E) = 1 − P (F ) = 1 − 2 (2)!(2 − 1)! = (2 + 2 − 1)!(2 − 2)! 3 And we see that the second (and faulty) formulation results in the same mistake that Jean d‘Alembert2 made in 1754. 5) (3. 5) (6. 2) (5. 3) (6. 5) (4. 6) (2. 1) (5. “two tails” and “one head one tail. “two heads”. 3) (5. 5) (5. The sample space can be represented as in Figure 3. 6) Figure 3. see the work of Bose and Einstein in statistical mechanics. 3 For an important exception. 4) (2.1: Sample Space for Rolling a Die Twice Under the unordered individual model there are three elements in Ω. 1H1T} that is. 5) (1. 4) (6. Ω = {2H. 1) (3.Conditional Probability and Independence 49 (1. repeated random assignments. 4) (5.1. Define the events A = {first roll is less than or equal to the second roll} B = {the sum of the two rolls is 4} Jean d’Alembert Encyclop´ die ou dictionnaire raisonn´ des sciences. 3) (4. 2) (1. 6) (4. 1) (1. 1) (6. 2) (2. 6) (6. 6) (3. 3) (1. 6) (5. 2T. 3) (3. e e e Volume 4. Moral of the story: Sampling Case IV (with replacement and without ordering) usually cannot be used to enumerate equally likely outcomes resulting from multiple. 2) (6. 5) (2. 2 . 2) (3.

4. Suppose you are told that the first roll is less than or equal to the second.50 Conditional Probability and Independence Since each of the outcomes is equally likely. . we can use logical probability to get P (B) = 1/12. P (Ω) = 1 3. .7. An P (A1 A2 · · · An ) = P (A1 )P (A2 | A1 )P (A3 | A1 A2 ) · · · P (An | A1 A2 · · · An−1 ) P (· | B) is a probability measure Remember that P (·) is a probability measure if and only if 1. If E ∩ F = Ø then P (E ∪ F ) = P (E) + P (F ) Suppose P (B) > 0 and consider P (· | B) • For any event E ⊆ Ω P (E | B) = = P (E ∩ B) P (B) [something ≥ 0] ≥0 [something > 0] Therefore P (E | B) ≥ 0 for all events E . this is equivalent to P (A | B) = P (A ∩ B) P (B) Notation: Sometimes we write P (A ∩ B) = P (AB). With this additional information. is the value that solves the equation P (A ∩ B) = P (A | B)P (B) Note: If P (B) > 0. . For any events A1 . Theorem 3. A2 . denoted P (A | B). P (E) ≥ 0 for all events E 2. what is the probability that the two rolls sum to 4? Definition 3. The probability of an event A given the event B . .

• In fact. “what is the probability of E if the event A occurs. we have P (Ω | B) = = P (Ω ∩ B) P (B) P (B) =1 P (B) Therefore P (Ω | B) = 1 • And for any two events E and F with E ∩ F = Ø P (E ∪ F | B) = = = = = P ((E ∪ F ) ∩ B) P (B) P ((E ∩ B) ∪ (F ∩ B) P (B) P (E ∩ B) + P (F ∩ B) P (B) P (E ∩ B) P (F ∩ B) + P (B) P (B) P (E | B) + P (F | B) Therefore if E ∩ F = Ø then P (E ∪ F | B) = P (E | B) + P (F | B) • Hence P (· | B) is a probability measure. Independence Definition 3.5.Conditional Probability and Independence 51 • Also. • We can think of P (· | B) as the updated version of P (·) given B . every event A ⊆ Ω produces an updated probability measure P (· | A). . • When interpreting P (E | A) we are asking the “what if” question. A and B . The events A and B are independent if and only if P (A ∩ B) = P (A)P (B).” • We can evaluate and use P (E | A) and P (E | B) simultaneously for different events.

B2 . Theorem 3. • Ac and B are independent events.6. and • Ac and B c are independent events.8. .9. B2 . . Bi ∩ Bj = Ø for any i = j . . (Law of Total Probability) Given an event A and a complete set of alternatives B1 . . Proof.52 Conditional Probability and Independence Note: If P (B) > 0 this is equivalent to saying that A and B are independent if and only if P (A | B) = P (A). Bn then n n P (A) = i=1 P (A ∩ Bi ) = i=1 P (A | Bi )P (Bi ) . and 2. Bayes’ theorem Definition 3. A complete set of alternatives is a collection of events B1 . Suppose A and B are independent events. The other two results follow by interchanging the roles of A and B . . If A and B are independent events then • A and B c are independent events. Bn such that 1. . . Then P (A ∩ (B ∪ B c )) = P (A) P ((A ∩ B) ∪ (A ∩ B c )) = P (A) P (A ∩ B) + P (A ∩ B c ) = P (A) P (A)P (B) + P (A ∩ B c ) = P (A) P (A ∩ B c ) = P (A) − P (A)P (B) P (A ∩ B c ) = P (A)(1 − P (B)) P (A ∩ B c ) = P (A)P (B c ) Therefore A and B c are independent events. . Theorem 3. B1 ∪ B2 ∪ · · · ∪ Bn = Ω.

But the value of 1 P (A2 | A1 ) is 5 . (Bayes’ Theorem) Let B1 . It is a treacherous journey. Introductory probability theory and statistical applications.10. 4 . what is the probability that the two short bolts are picked? Let Ai = {the ith chosen bolt is short}. and write P (A2 ) = P (A1 )P (A2 | A1 ) + P (Ac )P (A2 | Ac ) 1 1 = 1 5 · 2 6 + 2 5 · 4 6 = 1. When it rains. two are shorter than a specified length. Bn be a complete set of alternatives. . P. 1 Although the answer is correct. 1 We can the use the law of total probability. Reading MA. Many of the snails are crushed by the feet of unthinking students and faculty walking up and down the stairway. To evaluate P (A2 ) properly. the value of P (A2 ) is not 5 . Ac } is a complete set of alternatives. Meyer. . . 1965. A concrete stairway divides the garden into two sections.Conditional Probability and Independence 53 Example: (from Meyer4 ) Suppose that among six bolts. we note that {A1 . If two bolts are chosen at random. The common but incorrect solution is obtained by writing P (A1 ∩ A2 ) = P (A2 )P (A1 ) = 1 5 · 2 6 = 1 15 . . the snails bravely travel from one section of the garden to the other by crawling across the steps of the concrete stairway. The proper solution is obtained by writing P (A1 ∩ A2 ) = P (A2 | A1 )P (A1 ) = 1 5 · 2 6 = 1 15 . B2 .. 3 Theorem 3. then P (A | Bk )P (Bk ) P (Bk | A) = n i=1 P (A | Bi )P (Bi ) Example: Thousands of little snails live in the Snail Garden between the University at Buffalo Natural Sciences Complex and Talbert Hall. Addison-Wesley.

you select.90)(0. we want to find P (S | A) = = P (A | S)P (S) P (A | S)P (S) + P (A | S c )P (S c ) (0.54 Conditional Probability and Independence There are two types of snails. a snail that has successfully crossed the concrete steps. Suppose that half of the snails are smart snails. and the other half are not-so-smart snails. The probability that a not-so-smart snail will be crushed is 0.50) + (0. A smart snail crawls along the vertical portion of a step to avoid being crushed. . What is the probability that it is a smart snail? In this case. What is the probability of finding a smart snails after two rainstorms? Independence of more than two events The definition of independence can be extended to more than two events.50) = 0.90)(0.75 3 Suppose that after the end of a rainstorm.90)(0. using the Law of Total Probability P (A) = P (A | S)P (S) + P (A | S c )P (S c ) = (0. The probability that a smart snail will be crushed is 0.60)(0. 3 To find the probability that a single snail (chosen at random) will successfully cross the concrete steps uncrushed define the events S = {The snail is a smart snail} S c = {The snail is a not-so-smart snail} A = {The snail is successful} Note that S ∪ S c = Ω and S ∩ S c = Ø. at random.10. The probability after the rainstorm is 0.50) + (0.50) = 0. A not-so-smart snail crawls on the horizontal part of a step.60)(0.50) The probability of selecting a smart snail before the rainstorm was 0. The event that any one snail will be crushed is independent from all others. smart snails and not-so-smart snails.60.40.60 (0. Therefore.50.

2 or 5} {second die is 4. A finite collection of events A1 . . A2 . as shown by the following example: Example: Toss a fair coin twice. . 2. (2) and (3) all fail. and assign probability HH. j) 1 for i. . Three events A. and let Ω be all ordered pairs (i. C are pairwise independent but not independent. A3 are independent if and only if (1) (2) (3) (4) P (A1 ∩ A2 ) = P (A1 )P (A2 ) P (A1 ∩ A3 ) = P (A1 )P (A3 ) P (A2 ∩ A3 ) = P (A2 )P (A3 ) P (A1 ∩ A2 ∩ A3 ) = P (A1 )P (A2 )P (A3 ) All of the above must hold for A1 . TT. Let A B C = = = {second die is 1. A2 . . A2 and A3 where equation (4) holds. Let A = {first toss is a head} B = {second toss is a head} C = {first toss equals second toss} 1 4 to each of the outcomes Then P (A ∩ B) = P (A ∩ C) = P (B ∩ C) = P (A ∩ B ∩ C) = 1 4 1 4 1 4 1 4 = P (A)P (B) = P (A)P (C) = P (B)P (C) = P (A)P (B)P (C) Hence A. the events A1 .Conditional Probability and Independence 55 Definition 3. but not independent. j = 1. B and C can be pairwise independent. then we say that A1 . 6 with probability of 36 assigned to each point. TH. A3 are pairwise independent. HT. . 5 or 6} {the sum of the faces is 9} . This is demonstrated by the following example: Example: Suppose that two dice are tossed. A2 . . B.7. A2 . but equations (1). Note: For n = 3. A3 to be independent. An are independent if and only if P (Ak1 ∩ · · · ∩ Akj ) = P (Ak1 ) · · · P (Akj ) for all 2 ≤ j ≤ n and all 1 ≤ k1 < · · · < kj ≤ n. It is also possible to have three events A1 . . If only the first three conditions hold. .

Assume all the outcomes from each roll are independent. c c c P (An ) = P (S1 )P (S2 ) · · · P (Sn−1 )P (Sn ) c c c An = S1 ∩ S2 ∩ · · · ∩ Sn−1 ∩ Sn = 5 6 n−1 1 6 for n = 1. . for n = 1. P (first 6 occurs after toss k) ∞ = n=k+1 ∞ P (An ) 5 6 n=k+1 n−1 1 6 = letting n = n − (k + 1) ∞ = n =0 5 6 k+n 1 6 . . 2.. . Furthermore. . We can also compute.. Let Sk = {toss k is a six} An = {the first six occurs on toss n} Then P (Sk ) = 1 6 c P (Sk ) = 5 6 for k = 1. .56 Conditional Probability and Independence Then P (A ∩ B) = P (A ∩ C) = P (B ∩ C) = P (A ∩ B ∩ C) = 1 6 1 36 1 12 1 36 = P (A)P (B) = = P (A)P (C) = = P (B)P (C) = 1 4 1 18 1 18 = P (A)P (B)P (C) Example: Suppose you roll a fair die repeatedly until a six appears. . . 2. 2. . ..

. Which makes sense.3 then (A) A and B are mutually exclusive (B) P (A ∩ B) = 0 (C) A and B are independent (D) all of the above (E) none of the above.. .1 If P (A) = 0.3. S3. . . choose the best response among those provided.Self-Test Exercises for Chapter 3 57 = = = 1 6 1 6 5 6 5 6 5 6 k k k ∞ n =0 5 6 n ·6 for k = 0.3 and P (A | B) = 0.. since the first 6 occurs after toss k if and only if you get k non-6’s in a row. . 1. P (B) = 0.2 Let P (A) = P (B) = 2p and let P (A ∪ B) = 3p. 2. . S3. 1. Answers can be found in Appendix B. Self-Test Exercises for Chapter 3 For each of the following multiple-choice questions. . So c c c {first 6 occurs after toss k} = S1 ∩ S2 ∩ · · · ∩ Sk c c c P (first 6 occurs after toss k) = P (S1 )P (S2 ) · · · P (Sk ) k = 5 6 for k = 0. 2. Which of the following are always true? (A) p = 0 (B) A and B are independent (C) P ((A ∩ B)c ) = 1 − p (D) A and B are mutually exclusive (E) none of the above.

Then P (R = Heads | R = B) is equal to (A) 1/4 (B) 1/3 (C) 1/2 .5 If P (A) = p. P (B) = p > 0 and P (A ∪ B) = 2p then P (B | A ∪ B) equals (A) 1 (B) p (C) 1/2 (D) p2 (E) none of the above S3. Let B denote the outcome of the blue coin. One coin is painted red.4 If P (A) = p > 0. then which of the following statements are always true? (A) A and B are independent (B) P (A) > P (B) (C) A and B are mutually exclusive (D) A ∪ B = A (E) none of the above S3. and the other is painted blue. S3.3 If A ⊆ B .6 Two fair coins are tossed once. Let R denote the outcome of the red coin (Heads or Tails).58 Self-Test Exercises for Chapter 3 S3. P (B) = p and P (A ∩ B) = p2 then (A) A ∪ B = Ω (B) A = B (C) A and B are independent (D) all of the above (E) none of the above.

(D) all of the above are true (E) none of the above are true.8 Suppose P (A) = 0. S3. Then (A) A = Ø (B) P (A ∩ A) = P (A)P (A) (C) P (A ∪ B) = 0 for any B ⊆ Ω. S3. S3. P (B) = q .9 Which of the following statements are always true? (A) P (Ω) = 1 (B) If P (A) < P (B) then A ⊆ B (C) If P (A) = 0 then A = Ø (D) all of the above (E) none of the above.7 Two indistinguishable six-sided fair dice are rolled.10 Suppose P (A) = p.Self-Test Exercises for Chapter 3 59 (D) 1 (E) none of the above. S3. If A ⊆ B and A = B then (A) p ≥ q (B) p ≤ q (C) p > q (D) p < q . What is the probability that they both turn up the same value? (A) 1/72 (B) 1/36 (C) 1/12 (D) 1/6 (E) none of the above.

what is the probability that the student will answer all questions correctly? (A) 1/(125 ) (B) 1/(512 ) (C) 1/ (D) 1/ 12 5 16 5 (E) none of the above.14 A student club has four officers. If a student randomly picks the answer to each question. one at a time.60 Self-Test Exercises for Chapter 3 (E) none of the above.12 A multiple choice test has 12 questions. Someone places a seventh. S3. with each question having 5 possible answers.13 Two balls are dropped randomly into four labelled boxes. S3.11 There is one lock on a door and the key is among the six different ones you usually carry in your pocket. three of them are seniors and one of them is a junior. Three of the students will be picked at random to go on a trip. in your pocket. useless key. S3. What is the probability that the first key you try will open the door? (A) 1/6 (B) 1/2 (C) 1/3 (D) 2/3 (E) none of the above. S3. What is the probability that the junior stays home? . A box may contain more than one ball. The probability that both balls fall in the same box is (A) 4/ 7 2 (B) 1/4 (C) 1/16 (D) it depends on whether or not the balls are different colors (E) none of the above.

T are placed in a container.17 If A ⊆ B with P (A) = P (B) > 0 then (A) P (Ac ∩ B) = 0 (B) A = B (C) Ac ∩ B = Ø (D) all of the above are true (E) none of the above are true.15 Suppose that five tiles labelled with the letters C. S3. C. S3.Self-Test Exercises for Chapter 3 61 (A) 1/4 (B) 1/ 6 3 (C) 1/4! (D) 1/43 (E) none of the above.18 Which of the following statements are always true? . Then P (A) + P (Ac ) equals (A) 0 (B) P (A) (C) P (Ac ) (D) 1 (E) none of the above. If three tiles are selected from the container (without replacement). S3. S3.16 Suppose A is any event. A. C. what is the probability that they can be arranged to spell the word CAT? (A) 1 (B) 1/3 (C) 1/ (D) 3/ 5 3 5 2 (E) none of the above.

with each question having 4 possible answers. (E) none of the above are true.20 A multiple choice test has 5 questions. (E) none of the above are true.19 Suppose P (A) = 1 and P (B) = 0. S3. the probability that the sum of the two tosses is 7 equals (A) 1/36 (B) 1/18 (C) 1/9 (D) 1/6 (E) none of the above. S3.62 (A) P (Ω) = 1 (B) If A ⊆ B then P (A) ≤ P (B) Self-Test Exercises for Chapter 3 (C) P (A ∩ B c ) ≤ P (A) for any event B (D) all of the above are true.25. what is the probability that the student will answer all questions correctly? (A) 1/(45 ) (B) 1/4 (C) 1/ (D) 1/ 5 4 8 4 (E) none of the above. .21 A fair die is tossed twice. Given that a 2 appears on the first toss. If a student randomly picks the answer to each question. S3. Which of the following statements are always true? (A) A and B are independent (B) A ∩ B = B (C) B ⊆ A (D) all of the above are true.

24 If P (A) ≤ P (Ac ) then (A) 0 ≤ P (A) ≤ (B) P (A) = 0 (C) A ⊆ Ac (D) P (A) can be any value between 0 and 1 (E) none of the above. S3. The probability that exactly two of them turn up with a value less than or equal to 4 is (A) 24/81 (B) 1/3 (C) 4/9 (D) 1/2 (E) none of the above S3.Self-Test Exercises for Chapter 3 63 S3.25 If P (A) = 1 4 1 2 and P (B) = 1 2 1 2 1 4 then (A) P (A ∪ B) = (B) P (A ∪ B) ≤ (C) A ∩ B = Ø (D) A = B (E) none of the above. S3.22 If A ∩ B ∩ C = Ø then which of the following must be true (A) A ∩ B = Ø (B) P (A ∩ B) = 0 (C) P (A ∩ B ∩ C) = 0 (D) all of the above are true (E) none of the above.23 Four fair dice are rolled simultaneously. .

none of the above. S3. the probability that all of them are good is equal to (A) (0. 4% and 2% of the screws are defective.3125 5. B and C that produce screws. What is the probability that it came from machine A? 1.01 2.032 3. 0.27 In a screw factor.29 Suppose A and B are independent events with P (A) = p and P (B) = q . S3. there are three machines A. Machine C produces the remaining 50% of the daily output.64 Self-Test Exercises for Chapter 3 S3.28 A box contains fifty light bulbs. S3. A screw is chosen at random from a day’s production and found to be defective.01)5 (B) 1/ (C) 5/ 50 5 50 5 (D) (45!)2 /(40!50!) (E) none of the above. Machine A produces 20% of the daily output. exactly five of which are defective.26 The probability that the birthdays of twelve people will fall in twelve different calendar months (assuming equal probabilities for the twelve months) is (A) 12!/(1212 ) (B) 1/(12!) (C) 1/12 (D) 1/(1212 ) (E) none of the above. Of their output. If five bulbs are chosen at random from the box. 5%. 0. 0. respectively.2 4. Machine B produces 30% of the daily output. 0. Then P (A ∩ B c ) equals .

S3. S3. A classroom has 364 students. S3. The probability that the second ball is red equals (A) 1/3 (B) 4/9 (C) 1/2 (D) 5/9 (E) none of the above. . What is the probability that they all have different birthdays? (A) 0 (B) 365!/(365)364 (C) 1/365 (D) (365!364!)/728! (E) none of the above.31 An urn contains 5 red balls and 5 black balls.32 Suppose birthdays are assigned to people randomly with each of the 365 days of the year equally likely.30 Suppose A and B are independent events with P (A) = p and P (B) = q . One ball is drawn from the urn at random and then thrown away.Self-Test Exercises for Chapter 3 65 (A) pq (B) 1 − pq (C) p − pq (D) q − pq (E) none of the above. Then which of the following statements are true: (A) P (A ∩ B) = pq (B) P (A ∩ B c ) = p − pq (C) P (Ac ∩ B) = q − pq (D) all of the above are true (E) none of the above are true. A second ball is then drawn from the urn.

2 (B) 1/3 (C) 0. Five of them are good. S3.5 (D) 0.33 A box contains 10 incandescent lamps.66 Self-Test Exercises for Chapter 3 S3. (E) none of the above are always true.6 .34 Which of the following statements (A) (B) or (C) are not always true? (A) P (E ∩ F ) = P (E)P (F ) for any events E and F (B) P (Ω) = 1 (C) P (E) ≥ 0 for any event E (D) all of the above are always true. The following circuit contains two such incandescent lamps in series and a (good) battery sufficient to light both lamps: + Both lamps must be good in order for either to light. five are bad.35 Suppose P (A | B) = 0. S3.5 Then P (B | A) equals (A) 0.8 P (B) = 0. Two lamps are randomly chosen from the box. The probability that the lamps will light is (A) 2/9 (B) 1/4 (C) 1/2 (D) 3/4 (E) none of the above.4 P (A | B c ) = 0.

0200 (B) 0.01 0. S3. Questions for Chapter 3 3. 2. n}. in haste. .05 Model year 2002 2003 Other Proportion of all vehicles 0.2 Let P be a probability measure. in haste. 3. What is the probability that you can still open the door? What is the probability . Hint: B = A ∪ (B \ A). define P (A) ≡ |A|/n.3 There is one lock on the door and the correct key is among the six different ones you usually carry in your pocket.0513 (D) 0. .70 You know that an automobile has been involved in an accident.02 0.0390 (C) 0. you’ve lost one. A. What is the probability that the model year for this automobile is 2003? (A) 0. However. 3. Let |A| denote the number of elements in the set A. However.4 There are two locks on the door and the keys are among the six different ones you usually carry in your pocket. . you’ve lost a key at random.1 Consider the sample space Ω = {1. For any event.36 A study of automobile accidents produced the following data: Probability of involvement in an accident 0. .3333 (E) none of the above.Questions for Chapter 3 67 (E) none of the above. What is the probability that you can still open the door? What is the probability that the first key you try will open the door? 3.20 0.10 0. Show that P (·) satisfies the three probability axioms. Show that if A ⊂ B then P (B \ A) = P (B) − P (A).

.2 P (A ∪ C) = 0.5 P (A ∪ B ∪ C) = 0. 3. .3 P (A ∪ B) = 0.e. There are 4 manholes in the prison. i. What is the probability that the prisoner must try exactly 1 manhole? 2 manholes? 3 manholes? 4 manholes? 3. Show that V is a probability measure. What is the value of P (S ∪ T | T )? 3. and suppose that the value per unit is in the ratio of 1:3:2. but only one leads to the outside.7 Suppose P (S) = p and P (T ) = q with 0 < p < 1 and 0 < q < 1. justifying your answer: P (A ∩ B ∩ C) P (Ac ∪ B c ) P (A ∩ B ∩ C c ) P (A ∩ B) P (A | B) (b) Are A and B mutually exclusive? Justify your answer. B and C of equal area. and the events S and T are independent. is divided into three strips. never reentering an unsuccessful manhole.8 Suppose that the land of a square kingdom.5 P (B) = 0. S .6 P (C) = 0. show that V satisfies the three probability axioms.68 Questions for Chapter 3 that the first two keys you try will open the door? (Note: There are two interpretations. B and C and probability measure P (·).) 3.4 (a) Compute each of the following. Ω. with events A. such that P (A) = 0. A. what is the value of P (S ∩ T | S)? 3.6 If P (S) = p and P (T ) = q with p > 0. Ω. The prisoner plans to enter each of the manholes at random.3 P (B ∪ C) = 0. in this kingdom. For any piece of land. the relative value with respect to that of the kingdom is then given by the formula V (S) = P (S ∩ A) + 3P (S ∩ B) + 2P (S ∩ C) 2 where P (D) = (area of D)/(area of Ω) for any region D.5 A convict is planning to escape prison by leaving through the prison sewer system.9 Consider a sample space.

it is claimed that Monty wrote a letter to Steve Selvin. Contestant: No.” The American Statistician.10 (from Selvin5 ) It’s “Let’s Make a Deal” – the famous TV show starring Monty Hall! Monty Hall: One of the three boxes labelled A. Monty Hall: I’ll give you $2000. I think I’ll keep this box. Monty Hall: Now box A and box C are on the table and here is box B (contestant grips box B tightly). Contestant: Gasp! Monty Hall: Select one of these boxes. Contestant: No thank you. August 1975. The other two are empty. Contestant: I’ll take box B. It’s empty! (Audience: applause). Now either box C or your box B contains the car keys. Vol. but clear. Monty provided a short. No. In that letter.)6 This problem has appeared in various forms. Contestant: No. I’ll give you $10. To my knowledge. The keys might be in your box! I’ll give you $500 for the box.000. and there are several claims for its origin.000 cash for your 2 box. is the contestant’s probability of winning the car 0. the original problem appeared in the paper by Steve Selvin. 29. the probability of your box containing the keys is now 1 . Is Monty right? Assuming Monty knows which of the three boxes contains the keys. statement of 5 . but I’ll trade you my box B for box C on the table. once Selvin’s paper appeared in American Statistician. If you choose the box containing the keys. Monty Hall: I’ll do you a favor and open one of the remaining boxes on the table (he opens box A). 3.Questions for Chapter 3 69 3. “On The Monty Hall Problem.5? Why does the contestant want to trade boxes? (Hint: The contestant is a former EAS305 student. Since there are two boxes left. B and C contains the keys to that new car worth $50. you win the car. 6 To Monty Hall’s credit.

What is the probability that it is correctly printed? (b) Suppose that two characters are transmitted independently. Monty also cautioned that there is a difference between the actual probability that the keys are in B and the contestant’s perceived probability. You test it and discover it is defective. What is the probability that the other one is also defective? (b) You chose another coffee maker at random from those in the warehouse.11 Given two mutually exclusive events A and B . One is defective. it is possible that the printer will not print the same character as transmitted. each character has an equal chance of being sent. If a B is printed. due to transmission errors. Other printer errors are impossible. but without any verification of its authenticity. A and B . However. What is the probability that two A’s will be printed? (c) Suppose that a single character is transmitted.14 John throws six dice and wins if he scores at least one ace. Should you accept the claim that die is a fair die? Why or why not? the correct answer to this question.50 of the coffee makers from B are defective. (a) You know that two particular coffee makers came from the same factory.12 A warehouse receives the same model of a coffee maker from two different factories.70 Questions for Chapter 3 3.2.15 A person gives you a six-sided die and tells you that it is a fair die. past history has shown that 0. It is known that any one coffee maker has an equal chance of originating from A or B . what is the probability that a B was transmitted? 3. The probability that an C will be incorrectly printed as a B is 0. B or C ) to a printer. can A and B be independent? Why? 3. (a) Suppose that a single A is transmitted. What is the probability that it came from Factory B ? 3. Mary throws twelve dice and wins if she scores at least two aces. . The text of Monty’s letter is available on several web sites.5. Who has the advantage? 3. You roll the die 100 times and 99 of the 100 rolls turns up 4. However. and a probability measure P (·) such that P (A) > 0 and P (B) > 0. The probability that an A will be incorrectly printed as a B is 0.10 of the coffee makers from A are defective while 0. During each transmission.13 A computer can send any one of three characters (A.

1950. .21 de M´ r´ ’s paradox: Which is more probable: (a) to get at least one ace with ee four dice. or (b) to get at least one double ace in 24 throws of two dice? 7 This is a problem from the text: William Feller. adopt the following decision rule: If the youngest brother breaks three or more of four broken dishes. Feller is often regarded as the first person to organize probability theory as a self-contained subject. Reanswer (a) and (b). each independently of the other. Wiley.19 Consider a box partitioned into 3 cells.18 A parking lot attendant noticed that in a section where there are 10 parking spaces arranged in a row. (a) If the balls are indistinguishable. three were caused by the youngest and he was thereafter called “clumsy. but in such a way so that the four empty places were adjacent to each other.20 (from Feller7 ) In a certain family. Every one of the 12 tickets was given on either a Tuesday or Thursday.16 A professor parks illegally on campus every night and has received twelve tickets for overnight parking. in such a way that every cell has an equal chance of receiving a ball. Two balls are dropped into the box. what is the probability of such an event? 3. (b) What is the probability of each arrangement? (c) Suppose that no cell can have more than one ball. A cell may contain more than one ball. what is the probability of incorrectly announcing that the youngest is clumsy. 3. An introduction to probability theory and its applications. he is clumsy. list all possible arrangements. there are 6 cars parked. four boys take turns at washing dishes.” Was he justified in attributing the frequency of his breakage to chance? Hint: Before the four dishes are broken. Out of a total of four broken dishes.17 Let n balls be placed “randomly” into n cells. thus. Find the probability of this event assuming tickets are given out on random days. What is the probability that each cell is occupied? 3. when the process of breaking dishes is actually random? 3. Was his renting a garage only for Tuesdays and Thursdays justified? 3. we will announce that the four dishes were not randomly broken and. Assuming that car owners pick a parking place at random among the spaces available.Questions for Chapter 3 71 3. Using this decision rule.

22 A bus starts with r passengers and stops at n bus stops (r ≤ n).72 Questions for Chapter 3 B B B B G G B B G G B B B B B B (B = Boy. (b) If the seats are assigned randomly. one letter per box. Answer the following questions assuming that each student chooses his bus for the trip at random: (a) What is the probability that every bus has at least one rider? . However. A class is composed of 4 girls and 12 boys. G = Girl) Figure 3.25 Fifty students have rented 3 busses for a class trip. (a) The students in the class are assigned seats at random. (a) How many different ways could the postal carrier deliver the letters? (b) What is the probability that everyone gets the correct letter? (c) What is the probability that at least two people get the wrong letters? 3.2: Example of a ‘Block’ for Bell Elementary School 3. what is the probability that no two passengers leave at the same stop? What assumptions are you making? 3. the neighborhood postal carrier decides to deliver n letters addressed to n different individuals. Each bus can hold 50 riders. (See Figure 3. the carrier places the letters randomly into the n mailboxes. What is the probability that the four girls will be seated together in a block of two rows and two columns somewhere in the classroom. If no new passengers are picked up.23 After a night on the town. what is the probability that each row contains exactly one girl? 3. in his state-of-mind.24 A classroom in the Bell Elementary School contains 16 seats with four rows of four seats each.2 for an example of such a block).

Provide an example to show that the converse is not true. Provide an example where A ⊂ B (with A = B ) and P (A) = P (B). 3. If each student casts his vote independently and at random for one of the two candidates. What is the probability that the youngest child breaks exactly x dishes? 3.3 is still true even if we replace ⊆ by proper subset (i. and 20% of the independents favor him.e..32 A community of 20. Show that for any events A. 000 voters is composed of 10. A ⊂ B and A = B ). 5. it is known that 80% of the Republicans favor Presidential candidate JK. 000 Democrats and 5. Out of a total of d broken dishes. 000 independents.28 In a family. A = B ⇐ P (A) = P (B) 3.30 Show that Theorem 3.27 A class of 100 students vote for class president among two candidates.29 Let Ω be a sample space with probability measure P (·). what is the probability of a tied election? 3. 000 Republicans. From a recent survey. n boys take turns at washing dishes. (a) What is the probability that a voter chosen at random from the community will favor JK? . what is the probability that the player who gets the ace of spades will also get the ace of hearts? 3.Questions for Chapter 3 73 (b) What is the probability that all students sign up for the same bus? 3. while 5% of the Democrats favor JK.26 If an ordinary deck of 52 cards is dealt to four hands of 13 cards each. B and C P (A ∪ B ∪ C) = P (A) + P (B) + P (C) −P (A ∩ B) − P (A ∩ C) − P (B ∩ C) +P (A ∩ B ∩ C) 3. That is.31 We know that A = B ⇒ P (A) = P (B) Note that this is used in many of the proofs in this chapter.

On a busy production day. 4 red socks and 2 green socks. one fourth green and three quarters red. What is the probability that the voter is a Republican? 3. (a) Suppose that one of the 26 impulses is chosen at random and fed into the machine. The barrels have no distinguishing markings. (a) For what choice(s) of p is P (A ∩ B) = 0? (b) For what choice(s) of p are A and B indpendent? 3. In addition. Suppose that P (A) = 0.9 of correctly producing the character corresponding to the impulse received. What’s the probability that both socks are the same color? 3. the probabilities that any of the 25 other characters will actually appear are equal. has a basket that contains 5 blue socks. When turned off. . one barrel of red LED’s was produced. a second barrel was filled with a mixture of LED’s.35 Mary. can it be determined whether the LED gives off green or red light. In the dark. she picks two socks at random from the basket. Only when an electrical current is applied.36 The Colorful LED Company manufacturers both green and red light emitting diodes (LED’s).4 while P (A∪B) = 0.33 A printing machine capable of printing any of the 26 letters (A through Z ) is operated by electrical impulses. Suppose the machine has the probability 0. What is the probability that the impulse chosen was the one designed to produce a C ? 3.7. Let P (B) = p. independent of past behavior. and the character C is printed both times. accidentally. a university student. LED’s are packaged and shipped in bulk using large cardboard barrels.74 Questions for Chapter 3 (b) Suppose a voter is chosen from the community and it is learned to favor JK.34 Let A and B be two events. If it prints the wrong character. each character being produced by a unique impulse. and that the character C is printed. the red and green LED’s look alike. What is the probability that the impulse chosen was the one designed to produce a C ? (b) Suppose that one of the 26 impulses is chosen at random and fed into the machine twice.

you choose randomly from all three doors. Find a formula to compute the value of P (Ek ) for any positive integer k . What is the probability that it is the barrel with a mixture of green and red LED’s? (b) Suppose that one of the two barrels is chosen at random and then an LED is tested. What is the probability that it is a green LED? (c) Suppose that one of the two barrels is chosen at random. (c) Assuming that the aliens zap you with their anti-memory beam (as in part (b)). an LED is tested.Questions for Chapter 3 75 (a) Suppose that one of the two barrels is chosen at random. each time you return to your cell. What is the probability that you need more than three attempts? (d) Assume that the aliens zap you with their anti-memory beam (as in part (b)). Let Ek denote the event that you require exactly k escape attempts. (b) Anticipating your plan to escape. you may need more than three attempts to escape. and it turns out to be RED.37 You have been captured by aliens from outer space and held in a one-room cell on their planet. The room has three doors labelled A. every time you attempt to escape. the space aliens zap you with a electromagnetic beam that causes you to forget which doors you have previously chosen. Find the values of P (E1 ). Assume that after a failed escape attempt you never choose a previously chosen door. . What is the probability that it is the barrel with a mixture of green and red LED’s? 3. Because of your engineering degree. B and C . Find the values of P (E1 ). you know how to expertly pilot the spacecraft back to Earth. P (E2 ) and P (E3 ). (a) You decide to try each door (one at a time) at random. Two of the doors lead to corridors that return you back to your one-room cell. P (E2 ) and P (E3 ). Only one of the three doors leads to an escape spacecraft. Hence.

green. (a) Suppose you choose a barrel at random. you perform a DNA test on the seeds). (a) In the experiment.76 Questions for Chapter 3 3. you are given one bag each of red.). Just before leaving the company.39 Jelly beans are packaged in one-pound bags. red and white petunia seeds are indistinguishable except through DNA testing. the company has only four barrels of petunia seeds remaining. Exactly one half of the red jelly beans (one-half pound) are placed in the blue bowl and the other half are placed in the white bowl. In order to conduct a probability experiment. What is the probability that it is a red petunia seed? (c) You now perform a DNA test on that single petunia seed (the one chosen at random in part (b. experimental or subjective probability? (b) You choose a single petunia seed at random from the randomly chosen barrel. What is the probability that it is the barrel with the mixture of red and white seeds? Are you using logical. from the barrel that was randomly chosen in part (a. one contains only red petunia seeds. The green jelly beans are likewise placed in a white bowl.)). The beans in both bowls are thoroughly mixed together.38 The Belchee Seed Company sells flower seeds and specializes in red petunias and white petunias. of course. an angry employee removed the labels from all four barrels of seeds so that they are now indistinguishable (unless. At the end of the season. Then you will choose a bowl at random and then pick a jelly at random . with each bag containing jelly beans that are all of the same color. and the fourth barrel contains a mixture of 10% red petunia seeds and 90% white petunia seeds. What is the probability you selected the barrel containing a mixture of red and white seeds? 3. you will be blindfolded. The purple and yellow jelly beans are placed in a blue bowl. Two of the barrels contain only white petunia seeds. You determine that it is a white petunia seed. Before they are grown. purple and yellow jelly beans.

what is the probability that the second jelly bean is also RED? 3. P and Y form a complete set of alternatives? Briefly explain why. indeed. 3.42 (†) We define P (A | B) to be the number x that solves the equation P (A ∩ B) = xP (B) . How should you initially distribute the balls so as to maximize the probability of drawing a white ball? 3. You draw out a second jelly bean from the same bowl as you selected in parts (b) and (c).41 (†) Suppose that you have n white balls and m red balls which you plan to distribute between two boxes. you choose a bowl at random and then pick a jelly bean from that bowl at random. Do the events R.40 Show that if P (A) = P (B) = 1 then P (A ∩ B) = 1. What is the probability that it is a RED jelly bean? (c) A friend (who is not blindfolded) tells you that you did. choose a RED jelly bean? What is the probability that you selected the BLUE bowl? (d) You are still blindfolded. After you have distributed all of the balls between the two boxes.Questions for Chapter 3 77 from that bowl. Let B = {the BLUE bowl is chosen} W = {the WHITE bowl is chosen} Also let R = {a RED jelly bean is chosen} G = {a GREEN jelly bean is chosen} P Y = {a PURPLE jelly bean is chosen} = {a YELLOW jelly bean is chosen} Do the events B and W form a complete set of alternatives? Briefly explain why. Given that the first jelly bean was RED. a box will be picked at random and a ball randomly chosen from the selected box. G. (b) While blindfolded. So you do not know precisely which bowl you selected in part (b) and (c).

The “spam” E-mail is of two types: junk mail that is advertising to sell a product. B and C . must match a sequence of three numbers. then Equation (6) holds for any events A. For this question. and he gets a lot of “spam” messages. Mr. Pop has carefully analyzed his E-mail messages. the same as the date of the drawing. or adult content mail that is promoting web sites containing explicit adult material. once mid-day and once in the evening. On September 11. What is the probability that the lottery numbers will match the calendar date at least once in a year? 3. assume the following: • Two sets of three numbers are drawn twice each day.78 Questions for Chapter 3 We do not define P (A | B) as (5) P (A | B) = P (A ∩ B) P (B) Here is one reason why. . Why? 3. . with each number independently selected at random from the digits 0 through 9. the numbers drawn were 9-1-1. Jackpot winners of the daily New York Lottery numbers game. This was regarded by many as a “miraculous” outcome. the lottery game is played twice a day.44 Mr.4. Consider the following equation (6) P (A ∩ B ∩ C) = P (A)P (B | A)P (C | A ∩ B) Show that if we use Definition 3. Each message he receives belongs to one of the following three categories B1 = {the message is “junk mail”} B2 = {the message is “adult content mail”} B3 = (B1 ∪ B2 )c = {the message is regular E-mail} . Pop has a computer with an E-mail account. But if we try to use (5) to define conditional probabilities. That is. then Equation (6) doesn’t always hold. • The numbers can match the calendar date only in the months of January to September.43 (†) The 9-1-1 New York Lottery Problem. 2002.

Mr.” and the remaining 30% is useful. Being a former EAS305 student. Pop defined the events A$ = {the message contains ‘$’} AX = {the message contains “XXX”} and determined that P (A$ | B1 ) = 0.6 P (B2 ) = 0. and that almost all of the “adult mail” contains the text string ‘’XXX”.9 P (AX | B3 ) = 0.” (c) An E-mail message arrives and contains the character string “XXX”.2 P (A$ | B3 ) = 0.Questions for Chapter 3 79 Note that every message is assigned to one and only one category. regular E-mail. that is.1 P (B3 ) = 0.3 That is.1 P (AX | B1 ) = 0. (b) An E-mail message arrives and contains the character ‘$’.0 P (AX | B2 ) = 0.0 (a) Use the law of total probability to find P (A$ ). Use Bayes’ theorem to find the probability that the message is “adult content mail. 60% of his E-mail is “junk mail. Mr.” . Pop estimates that the probability that a single message is assigned to a category is given by P (B1 ) = 0. Upon further analysis. Use Bayes’ theorem to find the probability that the message is “junk mail. the probability that an E-mail message chosen at random contains the character ‘$’.” 10% is “adult content mail. Mr.8 P (A$ | B2 ) = 0. Regular mail usually contains neither string. Pop has determined that most of the “junk mail” contains the text character ‘$’.

80 Questions for Chapter 3 .

The Man Against the Sky (1921) Basic Concepts Definition 4. Notation: (1) P {ω ∈ Ω : X(ω) = a} ≡ P {X(ω) = a} ≡ P (X = a) Cumulative Distribution Function Definition 4.2. In other words. as FX (a) ≡ P (X ≤ a). For any random variable X . FX (a). And sees in Love a coin to toss. A random variable is a function X(·) which assigns to each element ω of Ω a real value X(ω). Properties of any cumulative distribution function 1. lim FX (x) = x↓a FX (a) 81 . 4. – EDWIN ARLINGTON ROBINSON. a→−∞ lim FX (a) = 0 3. we define the cumulative distribution function (CDF).1.4 RANDOM VARIABLES He stares in vain for what awaits him. FX (a) is a nondecreasing function of a. FX (x) is a right-continuous function of a. lim FX (a) = 1 a→∞ 2.

3. all xi 3. Properties of any probability mass function 1.6 F(x) 0.1.82 Discrete Random Variables 1 0. For any random variable X and real values a < b P (a < X ≤ b) = FX (b) − FX (a) Discrete Random Variables Definition 4.2 0 0 1 2 3 4 5 x Figure 4.4 0.1: An example of a CDF for a discrete random variable Theorem 4.8 0. The probability mass function (pmf) of a discrete random variable X is given by pX (xi ) ≡ P (X = xi ). pX (x) ≥ 0 for every x 2. P (E) = xi ∈E pX (xi ) = 1 pX (xi ) .

n. 2. we want to find the probability that the first success occurs on the k th trial. repeated trials. Then the probability mass function for Y is given by pY (k) = (1 − p)k−1 p for k = 1.Discrete Random Variables 83 Examples of discrete distributions The binomial distribution Consider a sequence of n independent. . . . with each trial having two possible outcomes. Let p be the probability of a success for any single trial and let Y denote the number of trials needed to obtain the first success. . n k=0 pX (k) Let’s check to make sure that if X has a binomial distribution. Let X denote the number of successes on n trials. . and the random variable Y is said to have a geometric distribution with parameter p where 0 ≤ p ≤ 1. success or failure. The random variable X is said to have a binomial distribution and has probability mass function (2) pX (k) = n k p (1 − p)(n−k) k for k = 0. We will need the binomial expansion for any polynomial: (a + b)n = n k=0 = n k (n−k) a b k So n k=0 n k p (1 − p)(n−k) = (p + (1 − p))n k = (1)n = 1 The geometric distribution Recall the “success/failure” model that was used to derive the binomial distribution. . then 1. . 1. Let p be the probability of a success for any single trial. but.. . this time.

For any 0 < θ < 1. For any 0 < θ < 1. ∞ j=0 jθj = θ (1 − θ)2 Proof. Using Theorem 4.3.2 ∞ j=0 ∞ j=0 θj θj = = 1 1−θ d 1 dθ 1 − θ d dθ .2.84 Discrete Random Variables Some facts about geometric series When working with the geometric distribution. ∞ j=0 ∞ j j=0 ∞ j=0 ∞ θ − θ0 = θ − θ j θj = 1 = 1 = 1 = 1 = j=1 ∞ j+1 j=0 ∞ j=0 ∞ j=0 ∞ j=0 θj − θ θj θj θj (1 − θ) 1 1−θ Theorem 4. the following results are often helpful: Theorem 4. ∞ j=0 θj = 1 1−θ Proof.

.2.Continuous Random Variables ∞ 85 d j θ dθ j=0 ∞ = 1 (1 − θ)2 1 (1 − θ)2 1 (1 − θ)2 θ (1 − θ)2 θ (1 − θ)2 jθj−1 = jθj jθj jθj = = = θ j=1 ∞ −1 j=1 ∞ j=1 ∞ j=0 Example: Using Theorem 4. Suppose pY (k) = (1 − p)k−1 p for k = 1. . 2. . . 2. Continuous Random Variables . . . then ∞ ∞ pY (k) = k=1 (1 − p)k−1 p (1 − p)j p k=1 ∞ = = j=0 1 p=1 1 − (1 − p) The Poisson distribution The random variable X is said to have a Poisson distribution with parameter α > 0 if X has a probability mass function given by (3) pX (k) = e−α αk k! for k = 0.. we can show that the probability mass function for a geometric random variable must sum to one. 1.

2 0 0 1 2 3 4 5 x Figure 4. The probability density function (pdf) of a continuous random variable X is given by d FX (a). If X is a continuous random variable then P (X < a) = P (X ≤ a).86 Continuous Random Variables 1 0. If X is a continuous random variable.4. P (E) = E Theorem 4.8 0.2: An example of a CDF for a continuous random variable Definition 4. −∞ fX (x) dx = 1 fX (x) dx 3. fX (x) ≥ 0 for every x ∞ 2. . then (4) FX (a) = a −∞ fX (x) dx. Theorem 4.6 F(x) 0. fX (a) ≡ da Properties of any probability density function 1.4.4 0.5.

Continuous Random Variables 87 Area = f(x)dx f(x) x x+dx Figure 4.3: The differential mass interpretation of fX (x) dx Differential mass interpretation of the pdf (5) P (X ∈ [x. x + dx)) = fX (x)dx .

88 Continuous Random Variables Comparison of pmf’s and pdf’s A comparison of the properties of the probability mass function and probability density function. pmf pX (x) ≥ 0 P (X = x) = pX (x) pX (x) = 1 all x pdf fX (x) ≥ 0 P (x ≤ X < x + dx) = fX (x) dx ∞ −∞ fX (x) dx = 1 a −∞ FX (a) = x≤a pX (x) FX (a) = fX (x) dx pX (x) = P (E) x∈E E fX (x) dx = P (E) Examples of continuous distributions The uniform distribution The random variable X is said to have a uniform distribution if it has the probability density function given by (6) 1 fX (x) = b−a  0   if a ≤ x ≤ b otherwise The exponential distribution The random variable X is said to have an exponential distribution with parameter α > 0 if it has the probability density function given by (7) fX (x) = αe−αx if x ≥ 0 0 otherwise .

” • The value of E(X) can be interpreted as the center of mass or center of gravity of the probability mass distribution for X . Let X equal the number of pips. • The expected value of X is often called the “mean of X .Expectation 89 Expectation Definition 4.5. The expected value of a random variable X is given by E(X) = all x xpX (x) + for discrete X . Note: • E(X) is a number. Then E(X) = all x xpX (x) = (1)pX (1) + (2)pX (2) + (3)pX (3) + (4)pX (4) + (5)pX (5) + (6)pX (6) 1 1 = (1) 6 + (2) 1 + (3) 1 + (4) 1 + (5) 1 + (6) 6 = 3. and E(X) = +∞ −∞ xfX (x) dx for continuous X .5 6 6 6 6 Example: Let X be a continuous random variable with probability density function fX (x) = 2x 0 ≤ x ≤ 1 0 otherwise Then E(X) = = = 0 +∞ −∞ 0 −∞ 1 xfX (x) dx 1 0 x0 dx + x2x dx + 1 1 +∞ x0 dx 2x2 dx = 2x3 3 = 0 2 3 −0= 2 3 . Example: Roll a fair die once.

1. . 1.90 Finding E(X) for some specific distributions Finding E(X) for some specific distributions Binomial distribution Let X be a binomial random variable with parameters n and 0 ≤ p ≤ 1. . We can find E(X) as follows: n E(X) = k=0 n k n k p (1 − p)n−k k = n! pk (1 − p)n−k (k − 1)!(n − k)! k=1 Let s = k − 1 n−1 E(X) = = np = np n s=0 n−1 s=0 n − 1 s+1 p (1 − p)(n−s−1) s n−1 s p (1 − p)(n−s−1) s Poisson distribution Let X be a Poisson random variable with parameter α > 0. 2. . . We have pX (k) = n k p (1 − p)n−k k for k = 0. . . n. The expected value for X can be found as follows: ∞ E(X) = k=0 ∞ ke−α e−α αk k! = k=1 αk (k − 1)! . . We have pX (k) = e−α αk k! for k = 0.

This produces E(X) = −xe−αx ∞ 0 + 0 ∞ e−αx dx = 1 α . To find E(X) let q = (1 − p) and then. We have fX (x) = αe−αx if x ≥ 0 0 otherwise We can get E(X) as follows: E(X) = 0 ∞ xαe−αx dx Integrate this by parts.Finding E(X) for some specific distributions 91 Let s = k − 1 ∞ E(X) = = α = α e−α s=0 ∞ s=0 αs+1 s! αs s! e−α Geometric distribution Let X be a geometric random variable with parameter 0 ≤ p ≤ 1. 2. .. Hence v = −e−αx and du = dx. . ∞ E(X) = = p kq k−1 p kq k−1 k=1 ∞ k=1 = p 1 1 = (1 − q)2 p Exponential distribution Let X be an exponential random variable with parameter α > 0. We have pX (k) = (1 − p)k−1 p for k = 1. letting dv = αe−αx dx and x = u. .

50) equals (A) 0 . The mode of a random variable X .2 Suppose X is a continuous random variable with cumulative distribution function   0 if x < 0  2 x if 0 ≤ x ≤ 1 FX (x) =   1 if x > 1 Then P (X < 0.7. denoted by m 1 (X). E(X). S4. The median of a random variable X . denoted by Mode(X). 1} (E) none of the above are true. Answers can be found in Appendix B. is given by pX (Mode(X)) = max pX (x) if X is discrete x fX (Mode(X)) = sup fX (x) x if X is continuous Self-Test Exercises for Chapter 4 For each of the following multiple-choice questions.6. 0. 2 2 Definition 4. S4. equals (A) 0 (B) 1/3 (C) 1/2 (D) any of the values in the set {−1.1 If X is a discrete random variable with P (X = −1) = P (X = 0) = P (X = 1) = 1/3 Then the expected value of X . is given 2 by 1 P (X ≤ m 1 (X)) = .92 Self-Test Exercises for Chapter 4 Other measures of central tendency Definition 4. choose the best response among those provided.

50 (E) none of the above. S4.5 Let X be a continuous random variable with probability density function fX (x) = λe−2x 0 if x > 0 otherwise The value of λ must equal .Self-Test Exercises for Chapter 4 93 (B) 0.3 Suppose X is a random variable with cumulative distribution function 1/3 FX (x) =  2/3    1 Then P (X = 2) equals (A) 0 (B) 1/3 (C) 2/3 (D) 1 (E) none of the above.50 √ (D) 0. S4.25 (C) 0. S4.4 Suppose X is a continuous random variable with probability density function fX (x) =   0    if x < 0 if 0 ≤ x < 1 if 1 ≤ x < 2 if x ≥ 2 1/2 0 if 0 ≤ x ≤ c otherwise Then the value of c is (A) 1/2 (B) 1 (C) 2 (D) +∞ (E) none of the above.

If 2 independent steel rods are examined. Which of the following statements are always true: (A) lim FX (a) = 0 a→∞ (B) P (X = a) = FX (a) − FX (a − 1) (C) 0 ≤ FX (a) ≤ 1 for every a (D) all of the above are true (E) none of the above are true. S4. The probability that exactly two heads turn up is (A) (B) (C) (D) 1 2 1 4 3 8 2 3 (E) none of the above.7 Let X be a random variable with cumulative distribution function FX (a).94 Self-Test Exercises for Chapter 4 (A) 1/2 (B) 1 (C) 2 (D) e2x (E) none of the above. the probability that exactly one is defective is (A) 1/4 . S4. S4.8 The length X (in inches) of a steel rod is a random variable with probability density function given by   x−9 fX (x) =  0 2 if 9 ≤ x ≤ 11 otherwise A rod is considered defective if its length is less than 10 inches.6 Suppose a fair coin is flipped 3 times.

S4.10 Let X be a continuous random variable with probability density function fX (x) = αe−αx if x ≥ 0 0 otherwise If P (X > 1) = e−2 . If the airline permits 101 persons to make reservations for a given flight. the probability that someone will be denied a seat is (A) 0 (B) 0. then α must equal (A) −1 (B) 1/2 (C) 1 (D) 2 (E) none of the above.01 that a person making an airline reservation will never show up for his or her flight.11 Let X be a continuous random variable with probability density function fX (x) = x/2 if 0 ≤ x ≤ 2 0 otherwise Then P (X ≤ 1) equals . S4. Passenger behavior has been extensively studied over the years.99)101 (D) 1 (E) none of the above.9 An airplane can hold 100 passengers. Assume that a person decides independently whether or not to show up for a flight. It is known that the probability is 0. S4.01 (C) (0.Self-Test Exercises for Chapter 4 95 (B) 3/8 (C) 1/16 (D) 3/16 (E) none of the above.

The probability that both bulbs will each last at least one hour is (A) 0 (B) (1 − e−2 )2 (C) e−4 (D) 2e−2 (E) none of the above. 2. S4. . . . 1. Then P (X > 1) equals (A) e−1 (B) 1 − e−1 (C) 1 − 2e−1 (D) 1 (E) none of the above. . The life length of each bulb (in hours) is a continuous random variable X with probability density function fX (x) = 2e−2x if x > 0 0 otherwise The two bulbs are allowed to burn independently of each other.12 Let X be a discrete random variable with probability mass function P (X = k) = e−1 k! for k = 0.96 Self-Test Exercises for Chapter 4 (A) 1/8 (B) 1/4 (C) 1/3 (D) 1/2 (E) none of the above. S4.13 You have two light bulbs.

3 (D) 0. S4.2 (C) 0.00 (E) none of the above.75 (D) 1.00 (B) 0.3 and FX (1) = 0. Then P (0 < X ≤ 1) equals (A) 0 (B) 0.50 (C) 0.15 Let X be a random variable with cumulative distribution function FX (x). The value of fX (0) is (A) 0.16 Let X be a continuous random variable with probability density function fX (x) = 3x2 0 if 0 ≤ x ≤ 1 otherwise Let E(X) denote the expected value of X . The value of E(X) is (A) 0 (B) 3/8 (C) 3/4 (D) 3/2 (E) none of the above.14 Let X be a continuous random variable with cumulative distribution function   0  FX (x) =   1 1 2 (x + 1) if x < −1 if −1 ≤ x ≤ 1 if x > 1 Let fX (x) denote the probability density function for X .5. Suppose FX (0) = 0. . S4.Self-Test Exercises for Chapter 4 97 S4.5 (E) none of the above.

F (a) ≡ P (X ≤ a).2 (B) 0.4 (C) 0.6 0.18 Let X be a discrete random variable with cumulative distribution function. S4.17 Suppose that an integrated circuit has a life length X (in units of 1000 hours) that is a continuous random variable with probability density function fX (x) = 3e−3x if x ≥ 0 0 otherwise An integrated circuit considered defective if its life length is less than 3000 hours. The life lengths of any two integrated circuits are independent random variables.98 Self-Test Exercises for Chapter 4 S4.4 0. A batch of 100 integrated circuits are tested.2 0 -2 -1 0 1 2 3 FX(a) a The value of P (−1 ≤ X ≤ 1) is (A) 0.8 . given by the following graph: 1 0.6 (D) 0.8 0. The expected number of defective items is (A) e−3 (B) (1 − e−3 ) (C) (1 − e−9 ) (D) 100(1 − e−9 ) (E) none of the above.

(b) Find P (X ≥ 0. (c) Find E(X).1 Let X be a continuous random variable having the probability density function 3 2 2 (1 − x ) if 0 ≤ x ≤ 1 fX (x) = 0 otherwise (a) Compute and plot the cumulative distribution function for X. . (b) Find the probability density function fX (x) for X .Questions for Chapter 4 99 (E) none of the above. The probability of a head on one toss is 1/4. (c) Find E(X). 4. What is the probability of getting exactly two heads on 4 tosses? (A) (B) (C) 4 2 1 4 1 4 1 4 2 2 3 4 2 2 3 4 2 (D) 1 − 3 4 2 (E) none of the above. S4.19 An unfair coin is tossed 4 times. Questions for Chapter 4 4.2 The angle of ascent of an erratic rocket is a random variable X having the cumulative distribution function given by   1  FX (x) = if x > π/2 sin x if 0 ≤ x ≤ π/2   0 if x < 0 (a) Compute P (X ≤ π/8).5).

3 Let X be a random variable with probability density function fX (x) = 3√ 2 x 0 if 0 ≤ x ≤ 1 otherwise Let F denote the cumulative distribution function of X .7 Let X be a continuous random variable with probability density function fX (x) = 1/θ if 0 ≤ x ≤ α 0 otherwise What relationship must hold between θ and α? . P (Y ≤ 0).P Y ≥ 1 2 . 4. F (1. 4. Find the value of c. (b) Compute P (−1 ≤ X ≤ 0. (a) Compute F (0.4 Let X be a discrete random variable with probability mass function pX (−1) = p pX (0) = 1 − 2p pX (1) = p The value of p is unknown. and F (−0.3).25).6 Let X be a continuous random variable with probability density function fX (x) = cx if 0 ≤ x ≤ 2 0 otherwise 1 2 . 4. Identify all possible values for p.100 Questions for Chapter 4 4. (c) Find E(X). and P 1 3 ≤Y ≤ 1 2 .5 Let Y be a random variable with probability density function fY (y) = 3y 2 if 0 ≤ y ≤ 1 0 otherwise (a) Find the cumulative distribution function for Y . 4.25). (b) Compute P Y ≤ (c) Find E(Y ).25).

2 pX (−1) = 0.Questions for Chapter 4 101 4.12 Let X be a discrete random variable with probability mass function pX (−2) = 0.2 Draw a plot of the cumulative distribution function (CDF) for X . (b) Find the probability density function fX (x) for X and the probability mass at π/4. . 3. . 2. . (a) Compute P (X ≤ π/8).2 pX (+2) = 0. 4. (c) Find E(X).8 The angle of ascent of an erratic rocket is a random variable X having the cumulative distribution function given by   1  FX (x) = if x > π/4 sin x if 0 ≤ x ≤ π/4   0 if x < 0 Note: This is an example of a mixed probability distribution with both discrete and continuous probability mass. There is a positive point mass at π/4. what is the expected number of weekly accidents? 4.9 Suppose that D.10 The probability is p that there will be at least one accident in a certain factory in any given week. the daily demand for an item.4 pX (0) = 0.11 True or False: If X has a Poisson distribution and P (X = 0) = e−1 . 4. (b) Compute the expected demand. If the number of weekly accidents in this factory is distributed with a Poisson distribution. . 4. is a random variable with the following probability distribution: P (D = k) = c2k k! k = 1. then P (X = 1) = e−1 . (a) Evaluate the constant c.

5). what is the probability that the shipment is Low grade gasoline? .5 ≤ X ≤ 0. You are the owner of a Classey Gassey gasoline station. If the octane rating is r. then the gasoline is Low grade if High grade if r < 85 r ≥ 85 When gasoline is delivered.02(y − 80) 0 if 80 < y < 90 otherwise The grade of the gasoline is determined by its octane rating.102 Questions for Chapter 4 4.13 Suppose that X is a random variable with the following probability density function: 2x if 0 < x < 1 fX (x) = 0 otherwise (a) Compute P (X > 0. (c) Compute P (−0.14 The Classey Gassey gasoline company produces gasoline at two plants (A and B ) and then delivers the gasoline by truck to gasoline stations where it is sold.5).5). (a) Given only the above information. there is an equal probability that it was produced at Plant A or Plant B . (b) Let FX (x) denote the cumulative distribution function for X . 4.005(x − 80) 0 if 80 < x < 100 otherwise The octane rating of gasoline produced at Plant B is a continuous random variable Y with probability density function fY (y) = 0. The octane rating of gasoline produced at Plant A is a continuous random variable X with probability density function fX (x) = 0. A truck has arrived with today’s shipment of gasoline. Find FX (0.

F (−3). (a) Compute F (−5).16 Let X be a random variable with probability density function fX (x) = 2/x2 if 1 ≤ x ≤ 2 0 otherwise Let F denote the cumulative distribution function of X . (b) Find E(X). (b) Compute E(X). find the baker’s expected profit for .18 The manager of a bakery knows that the number of chocolate cakes he can sell on any given day is a random variable with probability mass function p(x) = 1 6 for x = 0.15 Suppose that X is a random variable with the following probability density function: cx if 0 < x < 1 fX (x) = 0 otherwise where c is a constant. F ( 2 ). What is the probability that the shipment came from Plant A? 4. Assuming that each cake can be sold only on the day it is made. 4.5). 1.Questions for Chapter 4 103 (b) You actually test today’s shipment of gasoline and discover that it is.40 on each cake that he does not sell. F (π) and F (2π). and F (14). (a) What is the value of the constant c? (b) Find P (X < 0.17 Let X be a discrete random variable with probability mass function pX (−4) = 1/4 pX (4) = 1/8 pX (−π) = 1/4 pX (π) = 1/8 pX (0) = 1/4 Let F denote the cumulative distribution function of X .00 on each cake that he sells and a loss (due to spoilage) of $0. 3 (a) Compute F (−11). in fact. He also knows that there is a profit of $1. 3. 2. Low grade gasoline. 4 and 5. 4. 4.

20 (†) A large bag contains pretzels with 4 different shapes: heart. (a) Find P (X = k) for k = 4. 6. square. Billy plans to reach into the bag and draw out one pretzel at a time. may exceed your supply. . stopping only when he has at least one pretzel of each type. . (c) How many chocolate cakes should he bake to maximize his expected profit? 4. You can assume that there is an infinite number of pretzels in the bag with equal proportions of each shape.104 Questions for Chapter 4 (a) a day when he bakes 5 chocolate cakes. circle and star. 5. X . what is her expected profit? 4. . Let the random variable X denote the number of pretzels that Billy will draw from the bag. Hint: Define the random variable Y as the actual daily profit (or loss).. You can then answer the question using the random variable Y . (b) Find E(X). Be careful to consider the possibility that the demand for your cakes. Using the probability distribution for X (the number of customer asking for cakes) find the probability distribution for Y . The probability distribution for Y will depend on the number of cakes you decide to bake that day.19 If a contractor’s profit on a construction job is a random variable with probability density function fX (x) = 1 18 (x + 1) 0 −1 ≤ x ≤ 5 otherwise where the units are $1000. (b) a day when he bakes 4 chocolate cakes. .

As an example. They are convenient. and probably more important reason for using random variables: 3. namely FX (x). This random variable might be suitable for the use of Buffalonians. except in degrees Celsius. still so. we could evaluate the cumulative distribution function for Y . Note that Ω is being mapped by both of the random variables X and Y into the real line. There is a third. New York temperature at 4:00 pm next Monday in degrees Fahrenheit. They permit algebraic manipulation of event definitions.5 FUNCTIONS OF RANDOM VARIABLES When you do dance. that you might ever do Nothing but that. 2. I wish you A wave o’the sea. let X be the random variable representing the Buffalo. – WILLIAM SHAKESPEARE. And own no other function. representations of experimental outcomes. move still. They allow us to restrict our attention to sample spaces that are subsets of the real line. In order to compute P (A). they are interested in the event A = {ω ∈ Ω : Y (ω) ≤ 20} where Ω is the sample space of the underlying experiment. FY (y). This chapter deals with this third “feature” of random variables. Can we still find P (A)? 105 . But suppose we only know the cumulative distribution function for X . Ontario prefer the random variable Y representing the same Buffalo temperature. at the point y = 20. The Winter’s Tale (c 1600) Basic Concepts Two of the primary reasons for considering random variables are: 1. and often obvious. Furthermore. but our neighbors in Fort Erie.

If X is a random variable.106 The answer is “yes. mathematicians usually will drop the (ω). To show you what we mean by this. (1) Y (ω) = 5 9 Basic Concepts X(ω) − 32 . we also have Y = h(X) as a random variable. let the function h(x) be defined by h(x) = 5 (x − 32).1 The function h(x) maps merely points in the real line (the sample space for X ) into points in the real line (the sample space for Y ) as in Figure 5. we can compute probabilities of events expressed in terms of the random variable Y . We can then redefine the event A in terms of X as follows: A = {ω ∈ Ω : Y (ω) ≤ 20} = ω∈Ω : 5 9 (X(ω) − 32) ≤ 20 = {ω ∈ Ω : X(ω) − 32 ≤ 36} = {ω ∈ Ω : X(ω) ≤ 68} .1. So. we can use the shortcut notation presented in Chapter 5: P (A) = P (Y ≤ 20) = P ( 5 (X − 32) ≤ 20) 9 = P (X − 32 ≤ 36) = P (X ≤ 68) = FX (68). if we know the probability distribution for X . Note that we should have really written this as Y (ω) = h(X(ω)). So. allows a representation of the event A in terms of either the random variable X or the random variable Y . In order to simplify the notation. The general concept surrounding the above example is the notion of a function of a random variable. When finding the probability of the event A. notice that for any ω ∈ Ω. 1 .” First. 9 which is nothing more than the equation of a straight line. knowing a relationship like Equation 1 between X(ω) and Y (ω) for every ω ∈ Ω.

To oblige. Suppose we are given a cumulative distribution function for the random variable X . Using this. it would be very handy to have a tool that would enable us to compute probabilities involving Y using the facts we already know about X . Referring to Figure 5. suppose we are given a random variable X .e. we ask ourselves. Returning to our example. But consider the case where we have already defined X and then are given a functional relationship between X and Y . measuring Monday’s 4 pm temperature) that would result in announcing that the temperature in degrees Celsius in 20 or less?” Call this event A and compute the probability of A from the distribution of the random variable X. This gives us the cumulative distribution function FX (t) and allows us to compute the probability of many other events.3.1: The mapping Y (ω) = h(X(ω)) The random variable X serves as a “middleman” in the mapping shown in Figure 5. you can see that what is happening is really quite simple.1. Also assume that we are given the cumulative . the Buffalo temperature in degrees Fahrenheit. An even more general situation appears in Figure 5. we can compute P (X ≤ t) for any value of t. Under those circumstances.2.. the folks in Fort Erie are asking us to compute P (Y ≤ 20).Basic Concepts 107 Ω ω X( ) Real line Y( ) Real line 212 100 Figure 5. In this case. more obvious to define Y as mapping directly from Ω to the real numbers. It may seem. “What are all of the possible outcomes of the experiment (i. at first.

3: A more complicated example .2: Representing the event {Y ≤ 20} y y= h(x) B x = h-1(B) Figure 5.108 Basic Concepts y 20 y= ) h(x x 68 A Figure 5.

−1. 1 or 2. Then A is called the support of the distribution for the random variable Y .3) we can compute the probability measure of any subset B in the sample space for Y by determining which outcomes of X will be mapped by h into B . We would like to find the probability distribution for Y . . To solve the problem. Such a set is called the support for the random variable Y . Some examples Discrete case Example: Let X be a discrete random variable with probability mass function pX (−2) = pX (−1) = pX (0) = pX (1) = pX (2) = 1 5 1 5 1 5 1 5 1 5 Let Y = X 2 . x = 1 into 1 and x = 2 into 4. we should first ask ourselves. 1. A function of any discrete random variable is also a discrete random variable. So all of the probability mass for the random variable Y is assigned to the set {0. Unfortunately. Definition 5.1. what values can Y assume?” We see that the function h(x) = x2 maps the point x = −2 into the point 4. If we then define the random variable Y = h(X) (where h is the function shown in Figure 5. 0. “Since X can take on the values −2. Let A be the smallest subset of R such that P (Y ∈ A) = 1.1. Solution: There is a pleasant fact that helps when working with discrete random variables: Theorem 5. x = 0 into 0. The probability of any of these particular outcomes of X is. we cannot make such a statement for continuous random variables. therefore. also the probability of observing Y taking on a value in B . as we will see in a later example. 4}.Some examples 109 distribution function for X so that we are capable of computing the probability measure of any subset of the sample space for X . x = −1 into 1.

the answer is “Y can assume values from 0 to 1. Hence the probability distribution for Y is 5 5 given by the probability mass function: pY (0) = pY (1) = pY (4) = 1 5 2 5 2 5 Continuous case Example: Let X be a uniformly distributed random variable on the interval (−1. i. we can say that 2 pY (4) = pX (−2) + pX (2) = 5 . Solution: For continuous random variables. Similarly.” With no elaborate computation.110 Some examples Since X will take on the value −2 with probability 1 and the value 2 with probability 5 1 . pY (1) = 2 and pY (0) = 1 . we now know that if y < 0 ? if 0 ≤ y ≤ 1 FY (y) =   1 if y > 1. First. Let’s try to find FY (y).e. and since each of these mutually exclusive events will result in Y taking on the 5 value 4. we should ask ourselves. Find the distribution for the random variable Y = X 2 . “Since X can take on only values from −1 to +1. it is easier to deal with the cumulative distribution functions. 1)..   0  . what values can Y take on?” Since Y = X 2 . the density for X is given by fX (x) = if −1 ≤ x ≤ 1 0 otherwise 1 2 and the cumulative distribution function is x+1 FX (x) =  2   1   0   if x < −1 if −1 ≤ x ≤ 1 if x > 1.

the density for X is given by fX (x) = if 0 ≤ x ≤ 2 0 otherwise   0   1 2 and the cumulative distribution function is x FX (x) =  2   1 if x < 0 if 0 ≤ x ≤ 2 if x > 2 Let h(x) be the greatest integer less than or equal to x..4. That task is left to you. To find the probability mass function for Y . Find the distribution for Y = h(X).4 again and try to visualize why this happened.Some examples 111 Now suppose that y is equal to a value in the only remaining unknown case. We then have FY (y) = P (Y ≤ y ) = P X2 ≤ y √ √ = P − y≤X≤ y √ √ = FX y − FX − y √ √ y+1 − y+1 = − 2 √ 2 = y. that is 0 ≤ y ≤ 1. Solution: Since X takes on the values ranging continuously from 0 to 2.. Example: Let X be a uniformly distributed random variable on the interval (0. i. and we have our first example of a continuous random variable being mapped into a discrete random variable.e. FY (y) =   0  √ if y < 0 y if 0 ≤ y ≤ 1   1 if y > 1 Finding the probability density function for Y is now easy. 1 and 2 (why 2?). We immediately know that the random variable Y is discrete. Y can take on only the integers 0. We know that Y takes on the value 0 when X takes on any value from 0 to 1 (but not including . Look at Figure 5.e. first let’s try to find pY (0). i. So. let h be given by the step function shown in Figure 5. 2).

Invertible Functions of Continuous Random Variables First we need a few concepts about inverse functions from calculus: Definition 5. .4: The greatest integer function 1).112 Invertible Functions of Continuous Random Variables y 3 2 1 x -2 -1 1 2 3 4 A Figure 5. A function h : R → R is called onto. A function h : R → R is called one-to-one. 2 2 which is good thing because we ran out of probability mass after the first two computations. 1 pY (0) = pY (1) = 2 . Hence. if for every y ∈ R there exists some x ∈ R such that y = h(x). pY (1) = 1 1 dx = 2 2 and 1 dx = 0. pY (0) = 0 1 1 x dx = 2 2 2 1 1 0 1 = . pY (2) = 2 So we have the answer.2. 2 Similarly. if h(a) = h(b) implies a = b.

Suppose h(x) has an inverse and is increasing (or decreasing). If h(x) is a strictly increasing function with a differentiable inverse h−1 (·). we can develop a general relationship between the probability density function for X and the probability density function for Y . the monotonicity property of h allows us to uniquely solve . Suppose X is a continuous random variable with probability density function fX (x). Therefore. If one considers the function Y = h(X) as a transformation (x) → (y). we have h−1 (a) ≤ h−1 (b). then h−1 (x) is nondecreasing. This produces the following relationship between the cumulative distribution function for X and the cumulative distribution function for Y : FY (y) = P [Y ≤ y] = P [h(X) ≤ y] FY (y) = P [h−1 (h(X)) ≤ h−1 (y)] FY (y) = P [X ≤ h−1 (y)] FY (y) = FX (h−1 (y)) To get the relationship between the densities. if X is a continuous random variable. then we can define the inverse function h−1 : R → R such that h−1 (y) = x if and only if h(x) = y . then the random variable Y = h(X) has probability density function d fY (y) = fX (h−1 (y)) h−1 (y) dy We will leave it to you to find a similar result for the case when h(x) is decreasing rather than increasing. Then. and Y = h(X). If h(x) a strictly increasing function and h(x) has an inverse. Note: This transformation technique is actually a special case of a more general technique from calculus.Invertible Functions of Continuous Random Variables 113 If a function h(x) is both one-to-one and onto. for any a ≤ b. take the first derivative of both sides with respect to y and use the chain rule: d FY (y) = dy d FX (h−1 (y)) dy d fY (y) = fX (h−1 (y)) h−1 (y) dy We have just proven the following theorem: Theorem 5.2.

Since h−1 (y) = y 3 . 2]. the resulting n × n determinant is called the Jacobian of the transformation.2 to get fY (y) = fX (h−1 (y)) = fX (y 3 ) 1 1 1 d −1 h (y) dy d 1 y3 dy 2 = fX (y 3 )( 1 )y − 3 3 When y < −8 or y > 8 we have y 3 < −2 or y 3 > 2. In those cases.114 Invertible Functions of Continuous Random Variables y = h(x). That solution is x = h−1 (y). Find the probability density function for Y without explicitly finding the cumulative distribution function for Y . fX (y 3 ) = 0 hence fY (y) is zero. When −8 ≤ y ≤ 8 fY (y) = = = 1 1 1 −2 3 3 4 |y |( 3 )y 1 1 1 3 √ 12 |y | 3 y 2 1 −1 3| 12 |y 1 1 1 . has a nonnegative first derivative with respect to y . 8]. We can then express the probability density function of Y as fY (y) = fX (h−1 (y))J(y) where J(y) is the following 1 × 1 determinant: J(y) = ∂ −1 ∂x ∂ −1 = h (y) = h (y) ∂y ∂y ∂y since h−1 (y) is also an increasing function of y and. thus. Example: Let X be a continuous random variable with density for X given by fX (x) = |x|/4 if −2 ≤ x ≤ 2 0 otherwise Let Y = h(X) = X 3 . when solving transformation problems with n variables. we can use Theorem 5. So the support for Y is [−8. Solution: The support for X is [−2. In calculus.

. . Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. X = 0 if tails. . We are really finding E(h(X)) where h(x) = a for all x. What are your expected earnings? Theorem 5. If X is a discrete random variable with probability mass function pX (x). −5 x = 0 h(x) = 10 x = 1 Find E(h(X)). Let X = 1 if heads. your expected winnings. We will provide proofs for both the discrete and continuous cases. then E(Y ) = E(h(X)) = +∞ −∞ h(x)fX (x) dx Question: Toss a coin. Let Y = h(X). be a continuous random variable with probability density function fX (x) = 2e−2x x ≥ 0 0 otherwise Suppose you earn ln(x) + x2 − 3 dollars if the transistor lasts exactly x hours. E(a) = a if a is a constant. the life length of a transistor. then E(Y ) = E(h(X)) = all x h(x)pX (x) If X is a continuous random variable with probability density function fX (x). Let h(X) denote your winnings.Expected values for functions of random variables 115 Summarizing fY (y) = |y − 3 |/12 if −8 ≤ y ≤ 8 0 otherwise 1 Expected values for functions of random variables Theorem 5.3.4. 2.. Proof. . Question: Let X .

Then E(h(X)) = E(a) = ∞ −∞ ∞ h(x)fX (x) dx afX (x) dx fX (x) dx = a(1) = a = a −∞ ∞ −∞ Theorem 5. We are finding E(h(X)) where h(x) = ax.116 Expected values for functions of random variables Then E(h(X)) = k h(xk )pk apk k E(a) = = a pk = a(1) = a k Suppose X is a continuous random variable with probability density function fX (x).. 2. Then E(h(X)) = k h(xk )pk axk pk k E(aX) = = a xk pk = a(E(X)) k Suppose X is a continuous random variable with probability density function fX (x). . Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1.5. Then E(h(X)) = E(aX) = ∞ −∞ ∞ h(x)fX (x) dx axfX (x) dx xfX (x) dx = a(E(X)) = a −∞ ∞ −∞ . . . E(aX) = aE(X) if a is a constant. Proof.

. . 2. Then E(h(X)) = k h(xk )pk (xk + b)pk = k k E(X + b) = = k (xk pk + bpk ) xk pk + k bpk pk = E(X) + b(1) k = k xk pk + b Suppose X is a continuous random variable with probability density function fX (x).6.7. Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. Suppose X is a discrete random variable with probability mass function pX (xk ) = P (X = xk ) = pk for k = 1. Then E(h(X)) = E(X + b) = = ∞ −∞ ∞ −∞ ∞ −∞ h(x)fX (x) dx (x + b)fX (x) dx = xfX (x) dx + ∞ −∞ ∞ −∞ (xfX (x) + bfX (x)) dx bfX (x) dx = E(X) + b(1) Theorem 5. We are finding E(h(X)) where h(x) = x + b. E(X + b) = E(X) + b if b is a constant. E[h1 (X) + h2 (X)] = E[h1 (X)] + E[h2 (X)] for any functions h1 (X) and h2 (X) Proof. We are finding E(h(X)) where h(x) = h1 (x) + h2 (x). . Proof.Expected values for functions of random variables 117 Theorem 5.. . . . Then E(h(X)) = k h(xk )pk . . 2.

6.6 is really only a corollary to Theorem 5. we get the following definition: Definition 5.7.118 The k th Moment of X E[h1 (X) + h2 (X)] = k [h1 (xk ) + h2 (xk )]pk [h1 (xk )pk + h2 (xk )pk ] k = = k h1 (xk )pk + k h2 (xk )pk = E[h1 (X)] + E[h2 (X)] Suppose X is a continuous random variable with probability density function fX (x).7 with h1 (x) = x and h2 (x) = b and you get Theorem 5. The quantity E(X k ) is defined as the kth moment about the origin of the random variable X . . Then E(h(X)) = E[h1 (X) + h2 (X)] = = = ∞ −∞ ∞ −∞ ∞ −∞ ∞ −∞ h(x)fX (x) dx (h1 (x) + h2 (x))fX (x) dx (h1 (x)fX (x) + h2 (fX (x)) dx h1 (x)fX (x) dx + ∞ −∞ h2 (x)fX (x) dx = E[h1 (X)] + E[h2 (X)] Notice in the all of the above proofs the close relationship of Discrete X and Continuous X ∞ and k −∞ P (X = k) = pX (xk ) = pk and P (x ≤ X ≤ x + dx) = fX (x) dx Also notice that Theorem 5. The kth Moment of X If we let h(x) = xk and consider E[h(X)].3. Simply use Theorem 5.

4. and Var(X) = +∞ −∞ (x − E(X))2 pX (x) all x (x − E(X))2 fX (x) dx for a continuous random variable X . Var(X) = E(X 2 ) − [E(X)]2 Proof.Variance 119 Variance Recall that E(X) is simply a number. Note that Var(X) = for a discrete random variable X . Notation: We often write E(X) = µX 2 Var(X) = σX Theorem 5. Using the properties of expected value. This can be interpreted as the moment of inertia of the probability mass distribution for X . we get Var(X) = E[(X − E(X))2 ] = E[X 2 − 2XE(X) + [E(X)]2 ] 2 2 expand the square from Theorem 5. If we let h(x) = (x − E(X))2 and compute E(h(X)) we get a very useful result: Definition 5. Definition 5.8. The variance of a random variable X is Var(X) ≡ E[(X − E(X))2 ] . Note: The value of Var(X) is the second moment of the probability distribution about the expected value of X .7 from Theorem 5.5. The standard deviation of a random variable X is given by σX ≡ Var(X).5 2 = E[X ] + E[−2XE(X)] + E[[E(X)]2 ] = E[X ] − 2E(X)E[X] + E[[E(X)] ] .

11.8 Theorem 5.8. Using Definition 5.9. Var(aX) = a2 Var(X) Proof. Var(X + b) = Var(X) Proof.4 Theorem 5.120 Variance = E[X 2 ] − 2E(X)E[X] + [E(X)]2 = E[X ] − 2[E[X]] + [E(X)] = E[X 2 ] − [E[X]]2 2 2 2 from Theorem 5. we get Var(X + b) = E[((X + b) − E[X + b])2 ] = E[(X + b − E[X] − b)2 ] = E[(X − E[X])2 ] = Var(X) The proof of the following result is left to the reader: Theorem 5. we get Var(aX) = E[(aX)2 ] − [E(aX)]2 = E[a2 X 2 ] − [E(aX)]2 = a2 E[X 2 ] − [aE(X)]2 = a E[X ] − a [E(X)] = a2 Var(X) 2 2 2 2 Using Theorem 5. Let Y = h(X) then Var(Y ) = E [h(X) − E(h(X))]2 Example: Suppose X is a continuous random variable with probability density function 3x2 if 0 ≤ x ≤ 1 fX (x) = 0 otherwise . Using Theorem 5.10.4.5 = a2 (E[X 2 ] − [E(X)]2 ) Using Theorem 5.

given a random variable X and function Y = h(X). 1965. Reading MA. Often. Meyer. Introductory probability theory and statistical applications. Then (2) (3) 2 h (µ) 2 σ 2 Var(Y ) ≈ [h (µ)]2 σ 2 E(Y ) ≈ h(µ) + Meyer. However..12.2 We have already shown that. .Approximating E(h(X)) and Var(h(X)) 121 Let Y = h(X) = 1/X . we can compute E(Y ) = E(h(X)) directly using only the probability distribution for X . we can get good results using the following approximations: Theorem 5. if the function h(·) is very complicated. Addison-Wesley. P. then even using these short-cut methods for computing E(h(X)) and Var(h(X)) may result in difficult integrals. Then E(Y ) = 0 1 h(x)(3x2 ) dx = = 1 (3x2 ) dx 0 x 3 21 3 x = 2 0 2 3 2 1 Then we can use E(Y ) = E(h(X)) = Var(Y ) = 0 1 to compute (h(x) − E(h(X)))2 (3x2 ) dx = = = 1 3 2 − (3x2 ) dx x 2 0 1 1 3 9 (3x2 ) dx − + 2 x x 4 0 1 1 1 27 3 3 dx − 9x dx + x2 dx = 4 0 0 0 4 1 Approximating E(h(X)) and Var(h(X)) This section is based on material in a text by P. Let X be a random variable with E(X) = µ and Var(X) = σ 2 . This avoids the need for explicitly finding the probability distribution for the random variable Y = h(X) if we are only computing expected values. Suppose Y = h(X). L.

this will not be the same as h(µ) = h(E(X)). expand h in a Taylor series about x = µ to only one term to get Y = h(µ) + (X − µ)h (µ) + R2 where R2 is the remainder.) Expand the function h in a Taylor series about x = µ to two terms. That is. h (µ) 2 σ 2 h (µ) 2 h(µ) − E(Y ) ≈ − σ 2 E(Y ) ≈ h(µ) + . and the random variable X represents the monthly demand (in terms of the number of items sold). (This is only a sketch of the proof. Discard the remainder term R1 and take the expected value of both sides to get Equation (2). We obtain. Discard the term R2 and take the variance of both sides to get Equation (3). the expected sales figure is “plugged into” the profit function.12 provides an approximation for the error if you incorrectly use h(µ) rather than E(h(X)). suppose we are selling a product. Now suppose. Then E(X) = µ represents the expected number of items sold in a month. Often. For the second approximation. For example. the expected profit is actually E(Y ) = E(h(X)). A common mistake when using expected values is to assume that E(h(X)) = h(E(X)). Unless h is linear. the number h(µ) is incorrectly interpreted as the expected profit. This is not generally true. believing the result is the expected profit. Y = h(X) is the actual profit from selling X items in a month. Y = h(µ) + (X − µ)h (µ) + (X − µ)2 h (µ) + R1 2 where R1 is the remainder of the expansion. In fact.122 Approximating E(h(X)) and Var(h(X)) Proof. Equation (2) in Theorem 5.

Suppose T is a continuous random variable with probability density function fX (x) = 3000t−4 if t ≥ 10 0 otherwise Therefore.005T )1.82 (dyne/cm) Var(S) ≈ 75[h (15)] = 0.8 ≈ 0+ and. your answer will be wrong by approximately ∆=− h (µ) 2 σ 2 Note that if h is linear.005t)1.2 h (t) = −0. we will use h(t) = 2(1 − 0. 5. using Theorem 5.2 . where T is the temperature of the liquid (degrees centigrade).82 h (15) = 0.12. the surface tension of a liquid (dyn/cm) is given by the formula S = 2(1 − 0. results in E(S) ≈ h(15) + 75h (15) = 1.6 and 5.000012(1 − 0. E(T ) = ∞ 10 3000t−3 dt = 15 (degrees centigrade) Var(T ) = E(T 2 ) − (15)2 = ∞ 10 3000t−2 dt − 225 = 75 (degrees centigrade)2 In order to use Equations (2) and (3).87 2 (dyne/cm)2 .000012(1 − 0.012(1 − 0.2 h (t) = 0. h (x) = 0. This result for the linear case is also provided by Theorems 5.005t)−0. Example: (Meyer) Under certain conditions.8 Since µ = 15. we have h(15) = 1.7. and ∆ = 0.005t)0. if you incorrectly state that h(µ) is your expected monthly profit.01 h (15) = 0.005(15))−0.5.Approximating E(h(X)) and Var(h(X)) 123 Therefore.

13. . Let X be a discrete or continuous random variable with E(X) = µ and Var(X) = σ 2 . Houghton Mifflin Company. Rural country. µ−a −∞ +∞ µ+a (x − µ)2 fX (x) dx ≥ (x − µ)2 fX (x) dx ≥ µ−a −∞ +∞ µ+a a2 fX (x) dx a2 fX (x) dx. Example usage: The o¯ o 1965 Billy Joe Royal Song: “Down in the Boondocks. Fourth Edition. Therefore. Hence.124 Chebychev’s Inequality Chebychev’s Inequality Chebychev’s inequality. given in the following Theorem 5.13. µ − a] ∪ [µ + a. For a given Var(X). Then for any a > 0 P (|X − µ| ≥ a) ≤ σ2 a2 Proof. and 3 boon·docks (b¯ on’d˘ ks’) plural noun. (The proof for X discrete is similar using summations rather than integrals. the backwoods. for all x over this region of integration. Theorem 5.” Source: The American Heritage R Dictionary of the English Language. +∞). is applicable for any random variable X with finite variance.) We have for any a > 0 +∞ σ2 = = (x − µ)2 fX (x) dx −∞ µ−a µ+a +∞ (x − µ)2 fX (x) dx + −∞ µ−a µ−a (x − µ)2 fX (x) dx + µ+a +∞ (x − µ)2 fX (x) dx = −∞ µ−a (x − µ)2 fX (x) dx + something ≥ 0 + µ+a +∞ (x − µ)2 fX (x) dx ≥ −∞ (x − µ)2 fX (x) dx + µ+a (x − µ)2 fX (x) dx µ+a since µ−a (x − µ)2 fX (x) dx ≥ 0. Note that (x − µ)2 ≥ a2 for every x ∈ (−∞. we have (x − µ)2 fX (x) ≥ a2 fX (x). and fX (x) dx replaced by the probability mass function for X . We will prove this result when X is a continuous random variable. the inequality establishes a limit on the amount of probability mass that can be found at distances far away from E(X) (the boondocks3 of the probability distribution).

the manager. has determined that the mean and variance of X are 18 and 6.25 respectively. An equivalent way to state Chebychev’s inequality is Let X be a discrete or continuous random variable with E(X) = µ and Var(X) = σ 2 .25.9375 102 This is the best statement we can make without knowing more about the distribution for X . a former EAS305 student. Linda Chattin at Arizona State University for this example. . X .25 = 0. we get σ2 ≥ ≥ µ−a −∞ µ−a −∞ (x − µ)2 fX (x) dx + a2 fX (x) dx + +∞ µ+a +∞ µ+a (x − µ)2 fX (x) dx a2 fX (x) dx = a2 P (X ≤ µ − a) + a2 (P (X ≥ µ + a) = a2 P (|X − µ| ≥ a) Note: X can be discrete. so P (8 < X < 28) = P (8 − 18 < X − 18 < 28 − 18) = P (−10 < X − 18 < 10) = P (|X − 18| < 10) = P (|X − µ| < 10) ≥ 1 − 6.Chebychev’s Inequality 125 So. Using extensive prior experience. 4 Thanks to Dr. What is the probability that there will be between 8 and 28 customers on any given Saturday? Solution We are given E(X) = µ = 18 and Var(X) = σ 2 = 6. Then for any a > 0 P (|X − µ| < a) ≥ 1 − σ2 a2 Example:4 The number of customers who visit a car dealer’s showroom on a Saturday morning is a random variable.

Theorem 5. and Var(X) = σ 2 . . this sequence converges to p. The above result is the weak law of large numbers. The random variable X is said to have a normal distribution if it has probability density function 1 1 fX (x) = √ e− 2 σ 2π x−µ 2 σ for −∞ < x < ∞ Note that X has two parameters. The theorem guarantees that. with probability one. the probability that the ratio Xn /n is observed to be “close” to p approaches one. σ 2 ) . We often say that “X is distributed normally with mean µ and variance σ 2 ” We write X ∼ N (µ. Let Xn ≡ number of times the event A occurs p ≡ P (A) Then for any > 0 n→∞ lim P Xn −p < n = 1.14. we often say that the sequence { n Xn } converges to p almost surely. There is a related result called the strong law of large numbers that makes a similar (but stronger statement) about the entire sequence of random variables 1 {X1 .126 The Normal Distribution The Law of Large Numbers This is an important application of Chebychev’s inequality. σ 2 ) then E(X) = µ. The Normal Distribution Definition 5. µ and σ . Let an experiment be conducted n times. 1 X3 .} 2 3 The strong law states that. .6. Theorem 5. as n gets large. 1 X2 . 4 X4 . If X ∼ N (µ. with each outcome of the experiment independent of all others. In 1 this case.15. .

1) probabilities. there exists no function in closed form whose derivative is 1 1 fX (x) = √ e− 2 σ 2π x−µ 2 σ The only way to compute probabilities for normally distributed random variables is to evaluate the cumulative distribution function in Equation 4 using numerical integration. such as P (X ≤ a).7. 1). Suppose X ∼ N (µ. then the random variable Z= X −µ ∼ N (0. σ 2 ). and thus avoid numerically integrating Equation 4 for every conceivable pair of values µ and σ . 1). Therefore.. In other words. The standard normal random variable. to an equivalent probability statement involving only a normal random variable with mean zero and variance one. σ 2 ). σ Proof. We can then refer to a table of N (0. the probability density function for X is 1 x−µ 2 1 for −∞ < x < ∞ fX (x) = √ e− 2 σ σ 2π Define the function x−µ h(x) = σ .16. Z ∼ N (0. Z . σ 2 ). has probability density function 1 2 1 φ(z) = √ e− 2 z 2π i. If X ∼ N (µ. If X ∼ N (µ. Definition 5. there is an important property of the normal distribution that allows us to convert any probability statement. Such a table is provided in Table I of Appendix A.e.The Normal Distribution 127 One of the amazing facts about the normal distribution is that the cumulative distribution function (4) FX (a) = a −∞ 1 1 √ e− 2 σ 2π x−µ 2 σ dx does not exist in closed form. Theorem 5. We denote the cumulative distribution function for Z by Φ(a) = P (Z ≤ a).

Z has a normal distribution Actually. We have E(Z) = E X −µ σ .2. σ Then E(Z) = 0 and Var(Z) = 1. Var(Z) = 1. the probability density function for the random variable Z = h(X) is fZ (z) = fX (h−1 (z)) = = d −1 h (z) dz 1 (σz+µ)−µ 2 1 σ √ e− 2 σ for −∞ < σz + µ < ∞ σ 2π 1 2 1 √ e− 2 z for −∞ < z < ∞ 2π Note that we couldn’t use the cumulative distribution function of X to find the cumulative distribution function of Z since neither cumulative distribution function exists in closed form.128 The Normal Distribution Note that z = h(x) is an invertible. Suppose X is any random variable with finite mean E(X) = µ and finite. and 3. increasing function of x with h−1 (z) = σz + µ d −1 h (z) = σ dz Using Theorem 5. the first two results would be true even if X did not have a normal distribution: Lemma 5. E(Z) = 0 2.16 tells us three things about Z = σ 1. nonzero variance Var(X) = σ 2 .17. X −µ If X ∼ N (µ. Define the random variable Z= X −µ . Proof. σ 2 ). Theorem 5.

16 is that if X is normally distributed. What is important in Theorem 5. Proof. then any linear function h(X) = aX + b is also normally distributed as long as a = 0.16.18. If X ∼ N (µ.The Normal Distribution 129 = E = = = 1 (X − µ) σ 1 E[X − µ] σ 1 (E[X] − µ) σ 1 (0) = 0 σ and Var(Z) = Var X −µ σ 1 = Var (X − µ) σ 1 Var[X − µ] = σ2 1 = Var[X] = 1 σ2 So. When we perform the above transformation (i.. a2 σ 2 ). it is no surprise that. we say we are standardizing the distribution of X . E(Z) = 0 and Var(Z) = 1. Z = (X − µ)/σ ). then the linear transformation of X . then for any constants a = 0 and b.e. This fact is provided by the following theorem: Theorem 5.) With a little additional work we can show that id X is normally distributed. the function Y = h(X) is strictly decreasing. X −µ Z= σ is also normally distributed. namely. then the function Y = h(X) is strictly increasing and if a < 0. σ 2 ). the random variable Y = aX + b ∼ N (aµ + b.2. If a > 0. A distribution that has zero mean and unit variance is said to be in standard form. . This is just a special case of Theorem 5. in Theorem 5.

130

The Normal Distribution

We know

1 1 fX (x) = √ e− 2 σ 2π

x−µ 2 σ

Suppose a > 0, then
FY (y) = P (Y ≤ y) = P (aX + b ≤ y) y−b = P X≤ a y−b = FX a

Take derivatives on both sides and use the chain rule to obtain d y−b d fY (y) = FY (y) = FX dy dy a y−b 1 = fX a a
= =

1 √ e σ 2π 1 1 √ e− 2 aσ 2π

−1 2

y−b a −µ σ

2

1 a

y−(aµ+b) 2 aσ

Hence, Y ∼ N (aµ + b, a2 σ 2 ). Now suppose a < 0, then
FY (y) = P (Y ≤ y) = P (aX + b ≤ y) y−b = P X≥ a y−b y−b = P X> +P X = a a y−b y−b +P X = = 1 − FX a a = and since X is continuous. . . y−b +0 = 1 − FX a

Take derivatives on both sides and use the chain rule to obtain d d y−b fY (y) = FY (y) = 1 − FX dy dy a

The Normal Distribution
y−b 1 a a and remembering that a < 0 . . .
1 −2 y−b a −µ σ 2

131

= −fX

=

1 1 √ e −a σ 2π 1 y−(aµ+b) 2 1 aσ √ e− 2 = −aσ 2π and since a2 = (−a)2 . . . 1 y−(aµ+b) 2 1 √ e− 2 −aσ = −aσ 2π

So, again, we have Y ∼ N (aµ + b, a2 σ 2 ). Question: What happens to the probability distribution of Y = aX + b when a = 0? Linear transformations rarely preserve the “shape” of the probability distribution. For example, if X is exponentially distributed, Z would not be exponentially distributed. If X was a Poisson random variable, Z would not be a Poisson random variable. But, as provided by Theorem 5.16, if X is normally distributed, then Z is also normally distributed. (See Question 5.6 to see that the uniform distribution is preserved under linear transformations.) Tools for using the standard normal tables
P (Z ≤ a) = Φ(a) is given in the tables for various values of a. It can be shown that since Z is a continuous random variable and the probability density function for Z is symmetric about zero, we have

Φ(a) = 1 − Φ(−a). Example: Suppose X ∼ N (0, 4). Let’s find P (X ≤ 1).
P (X ≤ 1) = P (X − 0 ≤ 1 − 0) X −0 1−0 = P ≤ 2 2

Since X ∼ N (0, 4) we know from Theorem 5.16 that
Z= X −0 2 ∼ N (0, 1)

132

The Normal Distribution

so, using Table I in Appendix A, we have
P (X ≤ 1) = P Z ≤ = P Z≤

1−0 2
1 2

= 0.6915

This is the area shown in the following figure:
0.5 0.4 0.3

φ(z ) φ( )

0.2 0.1 0.0 -2.0 -1.8 -1.6 -1.4 -1.2 -1.1 -0.9 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 1.0 1.2 1.4 1.6 1.8 2.0

z

Example: Suppose X ∼ N (2, 9). Let’s find P (0 ≤ X ≤ 3).
P (0 ≤ X ≤ 3) = P (0 − 2 ≤ X − 2 ≤ 3 − 2) X −2 3−2 0−2 ≤ ≤ = P 3 3 3

Since X ∼ N (2, 9) we know that
Z= X −2 3 ∼ N (0, 1)

Hence,
2 P (0 ≤ X ≤ 3) = P − 3 ≤ Z ≤ 1 3

= P Z≤

1 3

− P Z < −2 3

Since the N (0, 1) distribution is symmetric about zero,
P Z < −2 = P Z > 3
2 3

=1−P Z ≤

2 3

Finally, from Table I, we get
P (0 ≤ X ≤ 3) = P Z ≤
1 3

− 1−P Z ≤

2 3

= 0.63 − (1 − 0.75) = 0.38

Self-Test Exercises for Chapter 5

133

which is the area shown in the following figure:
0.5 0.4 0.3

φ(z ) φ( )

0.2 0.1 0.0 -2.0 -1.8 -1.6 -1.4 -1.2 -1.1 -0.9 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 0.9 1.0 1.2 1.4 1.6 1.8 2.0

z

Self-Test Exercises for Chapter 5
For each of the following multiple-choice questions, choose the best response among those provided. Answers can be found in Appendix B. S5.1 Let X be a continuous random variable with probability density function
fX (x) =
1 2

0

if −1 ≤ x ≤ 1 otherwise.

The value of P (X 2 ≥ 1 ) is 4 (A) 0 (B) (C)
1 4 1 2

(D) 1 (E) none of the above. S5.2 Let X be a random variable with E(X) = 0 and E(X 2 ) = 2. Then the value of E[X(1 − X)] is (A) −2 (B) 0 (C) 1 (D) 2 (E) Var(X)

134

Self-Test Exercises for Chapter 5

(F) none of the above. S5.3 Let X be a random variable with E(X) = 1 and E(X 2 ) = 2. Then Var(X) equals (A) −1 (B) 0 (C) 1 (D) 3 (E) none of the above. S5.4 Suppose that X is a continuous random variable with P (X < −2) = P (X < 2) = 1 . Then P (X 2 ≤ 4) equals. 2 (A) (B) (C)
1 4 1 2 3 4 1 4

and

(D) 1 (E) none of the above. S5.5 Let X be a random variable with E(X) = 2. Then E[(X − 2)2 ] equals (A) 0 (B) 2 (C) Var(X) (D) E(X 2 ) (E) none of the above. S5.6 Let X be a random variable with cumulative distribution function if x < 0 x if 0 ≤ x ≤ 1 FX (x) =   1 if x > 1 Then P (3X ≤ 1) equals (A) 1/6
  0 

S5. 1 or 2 0 otherwise 1 Let Y = 1/X .9 Let X be a continuous random variable with probability density function fX (x) = 1/4 if −2 ≤ x ≤ 2 0 otherwise 1 Let Y = 1/X . S5. Then P (Y ≤ 2 ) equals .7 Let X be a discrete random variable with probability mass function pX (−1) = p pX (0) = 1 − 2p pX (1) = p where 0 < p < 1 .Self-Test Exercises for Chapter 5 135 (B) 1/4 (C) 1/3 (D) 1/2 (E) none of the above. Then P (Y ≤ 2 ) equals (A) 0 (B) 1/4 (C) 3/4 (D) 1 (E) none of the above. S5.8 Let X be a discrete random variable with probability mass function pX (x) = 1/4 if x = −2. −1. The value of P (X 2 = 1) is 2 (A) p2 (B) 2p (C) (1 − 2p)2 (D) 1 (E) none of the above.

Then P (X 2 ≥ 0) equals (A) 0 . S5. S5. S5.12 Suppose that X is a random variable with P (X > 0) = r where 0 < r < 1.136 Self-Test Exercises for Chapter 5 (A) 0 (B) 1/2 (C) 3/4 (D) 1 (E) none of the above.11 Let X be a continuous random variable with probability density function fX (x) = if −1 ≤ x ≤ 1 0 otherwise 1 2 Then P (|X| ≤ 1 ) equals 4 (A) 0 (B) 1/4 (C) 1/2 (D) 1 (E) none of the above.10 Let X be a random variable with P (X < −1) = 1/4 P (X ≤ +1) = 3/4 Then P (|X| > 1) equals (A) 1/4 (B) 1/2 (C) 3/4 (D) 1 (E) none of the above.

Let Y denote your actual net amount won (which may be negative). where α > 0. S5. Then E(X 2 ) equals (A) 0 (B) α (C) α2 (D) α + α2 (E) none of the above. The expected daily profit from chocolate cake is equal to . the bakery owner bakes two chocolate cakes at a cost of $2.13 Suppose X is a random variable with E(X) = α and Var(X) = α.14 A fair coin is tossed 10 times.00 per cake. S5.2 pX (2) = 0. Then P (Y ≥ 0) equals (A) 2/3 (B) 848/1024 (C) 904/1024 (D) 1 (E) none of the above.00 a cake and all unsold chocolate cakes are thrown away at the end of the day.15 The daily demand for chocolate cake in a neighborhood bakery is a random variable X with probability mass function given by pX (0) = 0.5 pX (3) = 0.Self-Test Exercises for Chapter 5 √ r 137 (B) (C) r (D) 1 (E) none of the above. S5. Suppose you win $2 for every head and lose $1 for every tail. The cake is sold for $5.2 pX (1) = 0.1 where X represents the number of cakes requested by customers. with each outcome independent of the others. At the beginning of the day.

S5.17 Suppose that an electronic device has a life length X (in units of 1000 hours) that is considered a continuous random variable with probability density function fX (x) = e−x 0 if x > 0 otherwise Suppose that the cost of manufacturing one such item is $2.2 pX (2) = 0.6 At the beginning of the day. The bread is sold for 50 cents a loaf and all unsold loaves are thrown away at the end of the day. The expected daily profit from rye bread is equal to (A) 0 (B) 20 cents (C) 30 cents (D) 40 cents (E) none of the above.138 Self-Test Exercises for Chapter 5 (A) 0 (B) $1. the store owner bakes two loaves of rye bread at a cost of 20 cents per loaf.00 (D) $3.50 (C) $2. What is the manufacturer’s expected profit per item? (A) 5e−1 (B) 2e−1 (C) −2 + 5e−1 .16 The daily demand for rye bread in a corner grocery store is a random variable X with probability mass function given by pX (0) = 0. S5. but guarantees a total refund if X ≤ 1.2 pX (1) = 0.00.00 (E) none of the above.00. The manufacturer sells the item for $5.

S5.19 Let X be a random variable with E(X) = 1 and Var(X) = 4 then E((X − 1)2 ) equals (A) 0 (B) 1 (C) 4 (D) 16 (E) none of the above. S5. S5. . You win $2 for each head that appears. Then Var(X) equals (A) 1 (B) 3 (C) 7 (D) 9 (E) none of the above. Let Y denote your earnings after 3 tosses. The value of E(Y ) is (A) 0 (B) 3/2 (C) 1 (D) 3 (E) none of the above.18 Let X be a random variable with E(X) = 2 and E(X 2 ) = 5.Self-Test Exercises for Chapter 5 139 (D) 5 − 2e−1 (E) none of the above. and you lose $1 for each tail that appears.20 A fair coin is tossed 3 times.

22 Let X be a normally distributed random variable with E(X) = 3 and Var(X) = 9.5 (D) 0.24 Let X be a random variable with P (X = −1) = 0. S5.1587 (C) 0. S5. Y = σ Which of the following are always true: (A) E(Y ) = 0 and Var(Y ) = 1 (B) Y has a normal distribution (C) P (Y > 0) = 1/2 (D) all of the above are true.140 Self-Test Exercises for Chapter 5 S5.23 If Y is a random variable with P (Y ≥ 0) = p. then P (−2Y < 0) equals (A) p (B) 1 − p (C) 0. Consider the random variable X −µ .21 Let X be any random variable with E(X) = µ and Var(X) = σ 2 . Then P (X < 0) equals (A) 0 (B) 0.5 and P (X = +1) = 0.5. Then the value of E(|X|) is (A) 0 . (E) none of the above are true.8413 (E) none of the above S5.5 (D) 0 (E) none of the above.

is (A) 0 (B) 5 (C) 10 (D) 10e−25 (E) none of the above.26 Suppose that the random variable X has a normal distribution with mean 1 and variance 4.Self-Test Exercises for Chapter 5 141 (B) 0.1826 (C) 0.27 Suppose X is a continuous random variable with cumulative distribution function   0 if x < 0  2 x if 0 ≤ x ≤ 1 FX (x) =   1 if x > 1 .5 (C) 1 (D) 2 (E) none of the above are true. S5.3413 (E) none of the above.25 The time to wait for service in the El Gasso Mexican Restaurant is a continuous random variable X (in minutes) with probability density function fX (x) = 5e−5x 0 x≥0 otherwise The restaurant will pay a customer a $10 reward if they wait more than 5 minutes for service. Then.3174 (D) 0. P (|X| ≤ 1) equals (A) 0. Let Y denote the reward for any one customer. S5.1528 (B) 0. the expected reward. The value of E(Y ). S5.

.642.293. how much should he expect to pay in refunds? (A) $2706.71 (B) $7357. (b) Find E(X). E(h(X)) and h(E(X)).59 (C) $12.1 Let X be the random variable with probability density function fX (x) = 3 2 (1 0 − x2 ) if 0 ≤ x ≤ 1 otherwise Let h(x) = 1/x.41 (D) $17.50)) equals (A) 0 (B) 0. S5.29 (E) none of the above. Define the random variable Y = ln(X). Then P (Y < ln(0.28 The life length X (in years) of a printer costing $200 is a continuous random variable with probability density function fX (x) = e−x if x ≥ 0 0 otherwise The manufacturer agrees to pay a full refund to the buyer if the printer fails within the first year. (a) Find the probability density function for the random variable Y = h(X) = 1/X .50 (E) none of the above.142 Questions for Chapter 5 Let ln(x) denote the natural logarithm of x.50 √ (D) 0. Questions for Chapter 5 5. If the manufacturer sells 100 printers.25 (C) 0.

(c) Compute P (2X 2 ≤ 0. (c) Find Var(X).4 The price. (b) Determine the cumulative distribution function for X . 9 (a) Find the probability density function for the random variable Y = h(X) = 4 X . (c) Find Var(X). 5. (b) Find E(X). . E(h(X)) and h(E(X)). 5.2 Let X be the random variable with probability density function fX (x) = 2/x2 if 1 ≤ x ≤ 2 0 otherwise Let h(x) = ln x. (d) Compute E(X) and Var(X). 5.Questions for Chapter 5 143 (c) Find Var(X). E(h(X)) and h(E(X)). of a commodity is a continuous random variable with the following probability density function   ax if 0 ≤ x ≤ 1  fX (x) =   0 a if 1 < x ≤ 2 otherwise (a) Determine the value of a. X .3 Let X be the random variable with probability density function fX (x) = 3√ 2 x 0 if 0 ≤ x ≤ 1 otherwise Let h(x) = 4 x.5). (a) Find the probability density function for the random variable Y = h(X) = ln X . 9 (b) Find E(X).

5. That is.9. The results should be the same as Example 5. What is the manufacturer’s expected profit per item? .00. Note: The integral for fX (x) does not exist in closed form.5 using the actual probability density function for Y . Note: Be careful of the case where s < 0. Find the probability density function for the random variable Y = X 3 .00 but guarantees a total refund if X ≤ 0.7 Verify the results of Example 5. b]. The manufacturer sells the item for $5. Show that Z also has a uniform distribution.5. In other words. Z= Let 5.6 (†) Let X be a uniformly distributed random variable on the interval [a.144 Questions for Chapter 5 5. (b) Using the probability density function for Y find E(Y ) and Var(Y ).5 Let X be a random variable with the following probability density function: 1 2 fX (x) = √ e−x /2 2π for −∞ < x < ∞ The is the normal distribution with parameters µ = 0 and σ 2 = 1. let X be the random variable with probability density function 3x2 if 0 ≤ x ≤ 1 fX (x) = 0 otherwise (a) Find the probability density function for the random variable Y = h(X) = 1/X . where a < b. 5.8 Suppose that an electronic device has a life length X (in units of 1000 hours) that is considered as a continuous random variable with probability density function: e−x x>0 fX (x) = 0 otherwise Suppose that the cost of manufacturing one such item is $2. X −r s Where r and s are non-zero constants. suppose the cumulative distribution function of X is given by  if x < a  0   x−a if a ≤ x ≤ b FX (x) =  b−a   1 if x > b.

X .e. (a) Using the fact that Var(X). Mary’s entry fee will be E(2X ). (a) What is the expected number of tosses required to obtain the first head? (b) What is Mary’s entry fee? Is this fair? Why? 5. what is Billy’s expected score? .Questions for Chapter 5 145 5. Let X denote the number of questions correctly answered by Billy. John will pay Mary 2X dollars when the game is over (i. 5. The examination consists of 4 multiple choice questions. Therefore. Each question has 6 possible answers from which to choose. (a) What is the probability mass function for the random variable X? (b) If the professor assigns a credit of ten points for every correct answer and deducts one point for every incorrect answer. To make the game fair.10 Let X be a random variable with density   2 fX (x) = x2  0 d dx 1≤x≤2 otherwise 1 x. Mary will pay an “entry fee” in advance to John equal to her expected winnings. where Y = X 2 + 1.. was not able to study for an examination. 5. Billy plans to answer the questions randomly by rolling a fair die for each question and choosing the response associated with the number rolled. only one of which is correct.9 Suppose that the continuous random variable X has a probability density function given by   √1 e−x2 fX (x) = 2π  −∞ ≤ x ≤ +∞ 0 otherwise Let Y = X 2 . to obtain the first head. an industrial engineering student.11 John and Mary play a game by tossing a fair coin repeatedly and betting on the number of tosses required. ln(x) = compute E(X) and (b) Compute E(Y ).12 Due to pressing social commitments. Evaluate E(Y ). when the first head appears). Bill Bell.

That is. k = 1).00. if the store owner decides to bake one loaf (i. Suppose that X ∼ N (µX . (a) Determine the probability distribution for the daily profit. it is sold for $15.146 Questions for Chapter 5 (c) The professor deducts points for wrong answers in order to discourage random guessing. What is the expected selling price of an article? 5.18 A distribution closely related to the normal distribution is the log-normal 2 distribution. the store owner bakes k loaves of bread at a cost of 20 cents for the first loaf and 10 cents for each additional loaf.1. and has a uniform distribution on the interval (36. it is sold for $12.3. 2 5. 56). If its weight is greater than 44 ounces and less than 52 ounces. . then E(X(X − 1)) equals zero. Let Y = eX .15 If X is a random variable with P (X = −2) = what is the value of E(|X|)? 1 2 and P (X = +2) = 1 . (b) How many loaves should the grocer bake per day to maximize his expected profit? 5.. Find the probability density function for Y .e. pX (1) = 0. how many points should be deducted for each wrong answer so that Billy’s expected score from guessing is zero? 5. common six-sided die is tossed. R. σX ).13 Let X be the number of dots obtained when a fair. If the weight of the article is less than 44 ounces.14 (True or False) If X is a random variable with E(X) = 1. For what number α is E(X(α − X)) zero? 5.17 A random variable X represents the weight (in ounces) of an article. 5. The bread is sold for 30 cents a loaf and all unsold loaves are thrown away at the end of the day. it is considered unsatisfactory and thrown away. pX (2) = 0. If 10 points are credited for each correct answer.16 The daily demand for pumpernickel bread in a corner grocery store is a random variable X with probability mass function given by pX (0) = 0. If its weight is greater than 52 ounces. Then Y is said to have a log-normal distribution. Y is log-normal if and only if ln(Y ) is normal. Justify your answer.00.6 At the beginning of the day.

it can be sold for 25 cents. by 50%. the diameter of a small particle after a crushing process. (a) What proportion of the resistors must be scrapped? (b) The company is considering the purchase of a new highprecision machine that will reduce the above production .10 per gallon  T (X) = $0.19 A rocket fuel is to contain a certain percent (say X ) of a particular additive. and the length of life of certain items. The actual resistance of each resistor is a normally distributed random variable with mean resistance of 1000 ohms and a variance of 625 ohms2 . 5. What must his new profit function be in order to achieve this goal? 5. If a resistor has a resistance between 950 and 1050 ohms. These are not the expected value and standard deviation of Y . The specifications call for X to be between 30 and 35 percent.20 The Youbee Resistor Company uses a machine to produce resistors. The relationship between the moments of X and the moments of Y is given by µX 2 σX = ln(µY ) − = ln 2 1 σY 1 2 ln + 1 = ln(µY ) − σX 2 2 2 µY 2 σY +1 µ2 Y Examples of random variables that may be represented by the log-normal distribution are river flows. evaluate E(T ).10 per gallon if 30 < X < 35 if 35 < X < 40 or 25 < X ≤ 30 otherwise (a) If X ∼ N (33. the size of an organism subject to a number of small impulses. E(T ). 9). your answer is in terms of µX and σX . The manufacturer will make a net profit on the fuel (per gallon) which is the following function of X :   $0.Questions for Chapter 5 147 Note: For this question.05 per gallon   -$0. He intends to do this by increasing his profit (per gallon) on those batches of fuel meeting the specification 30 < X < 35. The cost of producing one resistor is 10 cents. otherwise it is scrapped. (b) Suppose that the manufacturer wants to increase his expected profit.

. cannot take on negative values. the reading. X . That is P (X < 0) ≈ 0. What is the probability that a sample of fabric. If only noise is present.95. As long as the parameters µ and σ 2 are chosen so that P (X < 0) is essentially zero.23 A measuring device provides a reading on a continuous scale whenever a button is pressed. a normally distributed random variable may be observed to take on any positive or negative value. say X .99. If a signal is present when the button is pressed. on the other hand. is normally distributed with E(X) = 165 and Var(X) = 9. Find k such that P (X > µ − kσ) = 0. σ 2 ).148 Questions for Chapter 5 variance to 400 ohms2 (the mean remains the same). = 0. Assume furthermore that a sample of this fabric is considered to be defective if X ≤ 162. = 0. What would Var(X) have to equal so that P (X < 0) = 0. you will announce that a signal is present.22 Let Xi ∼ N (µ. Although the selling price of resistors would remain the same.841. Nevertheless. that we hold Var(X) fixed at 9. the above model (apparently not valid in view of the objection just raised) assigns negligible probability to the event {X < 0}. will have a normal distribution with mean 10 and variance 9. You settle on the following signal detection rule: If the reading is 7 or greater. Compute this probability to verify this property for yourself in the above example. such a representation may work.975. In the above example. However. will be defective? Note: An immediate objection to the use of the normal distribution may be raised here. the strength of cotton fabric. the reading will have a normal distribution with mean 5 and variance 9. 5.10? Suppose. Otherwise.10? 5. the cost of producing each resistor will increase to 15 cents if the company decides to purchase the machine (the new machine’s capital cost is included in this production cost). What would E(X) have to be so that P (X < 0) = 0. If the company wishes to maximize expected profit. = 0. should the new machine be purchased? 5.21 Suppose that the breaking strength of cotton fabric (in pounds). you will say only noise is present. suppose we hold E(X) fixed at 165. This situation will occur frequently: A certain random variable that we know cannot take on negative values will be assumed to have a normal distribution anyway. chosen at random. It is obvious that X .

Questions for Chapter 5

149

(a) If a signal is truly present, and you use the above rule, what is the probability that your announcement is wrong? If only noise is really present, what is the probability that your announcement is wrong? (b) Suppose that the probability that a signal is truly present when the button is pressed is 0.25. If your reading is greater than 7, what is the probability that a signal is really present? (c) The value, 7, is called the threshold. What should this value be changed to so that your two answers for question (a) are equal? 5.24 An electronic device has a life length X (in years) that is considered a continuous random variable with probability density function
fX (x) = x/2 0

if 0 < x < 2 otherwise

(a) Find P (X > 1). (b) Find E(X). (c) Suppose that the cost of manufacturing one such item is $2.00. The manufacturer sells the item for $10.00, but guarantees a total refund if X ≤ 1. What is the manufacturer’s expected profit per item? (d) Suppose that the cost of manufacturing one such item is $2.00 and the customer is guaranteed a total refund if X ≤ 1. What should be the manufacturer’s selling price in order to provide an expected profit of $4.00 per item? 5.25 The reading of a water level meter is a continuous random variable X with probability density function
fX (x) =

1/4 0

if −2 < x < 2 otherwise

(a) Find P (X ≤ 1). (b) Find P (|X| ≤ 1). (c) Find E(X).

150

Questions for Chapter 5

(d) Find Var(X). (e) Let Y = X 2 . Find the cumulative distribution function for Y. 5.26 The daily demand for pumpkin pies at a corner grocery store is a random variable with probability mass function
  1 

pX (k) =

4 16 k   0

for k = 0, 1, 2, 3, 4 otherwise

The cost of baking one pumpkin pie is $1.00. The store sells the pies for $3.00, each. At the beginning of every day, the store manager must decide how many pies to bake. At the end of the day, any unsold pies are thrown away. If the demand for pies exceeds the supply, you can only sell those pies that you have already baked for that day. The additional customers leave unsatisfied. (a) Find P (X > 0). (b) Find E(X). (c) Find Var(X). (d) If the manager decides to bake three pies, what is the expected profit for that day? 5.27 The input voltage for an electronic component is a continuous random variable X with probability density function
fX (x) =

1/3 0

if −1 < x < 2 otherwise

(a) Find P (X ≤ 1). (b) Find P (X 2 ≤ 0.25). (c) Find E(X 2 ). (d) Let Y = 2X . Find the cumulative distribution function for Y. 5.28 The Youbee Mine has been used to mine gold ore for several years. The mass (in grams) of actual gold in one cubic centimeter of ore is a random variable

Questions for Chapter 5

151

X with probability density function fX (x) = cx3 0

if 0 < x < 1 otherwise

(a) Find the value of the constant c. (b) Find the cumulative distribution function for X and sketch a graph of the cumulative distribution function. (c) Each cubic centimeter or ore is worth $5 if it has more than 1 2 gram of gold. It is worth $0 otherwise. Let Y be a random variable denoting the value of a cubic centimeter of ore selected at random. What is the probability mass function for Y ? 5.29 Let X be a continuous random variable with probability density function
fX (x) =

1/3 0

if −1 < x < 2 otherwise

Let Y = X 2 . Find the cumulative distribution function for Y . 5.30 Let X be a continuous random variable with probability density function
fX (x) =

1 0

if −1 < x < 0 otherwise

Let Y = X 2 . Find P (Y ≤ 0.25). 5.31 Let X be a continuous random variable with probability density function
  a(1 + x) 

fX (x) =

  0

a(1 − x)

if −1 ≤ x < 0 if 0 ≤ x ≤ 1 otherwise

(a) Prove that the value of a must be 1. Use a clear mathematical presentation to show why this must be true. (b) Find P (X ≤ 0.5). (c) Find P (X 2 ≤ 0.25). (d) Find the cumulative distribution function for X .

152

Questions for Chapter 5

5.32 A person accused of a crime is being questioned by the police. A new “lie detector” device is being used that measures the amount of stress in a person’s voice. When the person speaks, the device gives a reading, X . If the person is telling the truth, then X ∼ N (2, 1). If the person is lying, then X ∼ N (4, 1). Therefore, the mean (expected) stress level of a person’s voice increases if he is lying. (a) The police decide on the following rule: If a person’s voice stress exceeds 4 when he is answering a question, conclude that he is lying. What is the probability of incorrectly accusing person of lying when he is telling the truth? (b) When the suspect was originally brought in for questioning, the police thought there was only a 50% chance that he was guilty of the crime. The police ask him the question, “Did you commit the crime?” The suspect replies, “No.” The reading on the voice stress meter exceeds 4. What is the probability that he committed the crime? 5.33 Consider a random variable X with possible outcomes, 0, 1, 2, . . . Suppose that P (X = k) = (1 − a)(ak ) for k = 0, 1, 2, . . . (a) Identify all permissible values for the constant a. (b) Show that for any two positive integers, m and n,
P (X > m + n | X > m) = P (X ≥ n).

5.34 Check whether the mean and the variance of the following distributions exist: (a)
fX (x) =

2x−3 0

x≥1 otherwise

(b) (The Cauchy distribution) a is a positive constant.
fX (x) = a π(a2 + x2 ) −∞ < x < ∞.

Questions for Chapter 5

153

5.35 Diameters of bearings in mass production are normally distributed with mean 0.25 inch and standard deviation 0.01 inch. Bearing specifications call for diameters of 0.24 ± 0.02 inch. What is the probability of a defective bearing being produced? 5.36 Suppose that the continuous random variable X has a probability density function given by
  √2 e−x2 fX (x) = 2π 

x≥0

0

otherwise

Let Y = X 2 . Evaluate E(Y ). 5.37 Suppose that the life lengths of two electronic devices, D1 and D2 , have distributions N (40, 36) and N (45, 9), respectively. If the electronic device is to be used for a 45-hour period, which device is to be preferred? If it is to be used for a 50-hour period, which device is to be preferred? 5.38 (†) Suppose random variable Z has a standard normal density function
φ(z) =
1 2 √1 e− 2 z 2π

for −∞ < z < ∞

Let Y = Z 2 . Find the probability density function for Y . (We say that Y has a Chi-square distribution with one degree of freedom.) Warning: Y is not strictly increasing or strictly decreasing.

154 Questions for Chapter 5 .

relative humidity and temperature.1}. let T be a random variable representing tomorrow’s maximum temperature and let R be a random variable representing tomorrow’s total rainfall. R < 0. tomorrow’s weather is really best described by an array of random variables that includes wind speed. wind direction.” 155 . For example. In this chapter. Definition The first thing we must do is to precisely define what we mean by “an array of random variables. In other words.6 RANDOM VECTORS Basic Concepts Often. a single random variable cannot adequately provide all of the information needed about the outcome of an experiment. “What is the probability that the temperature will be greater than 70◦ regardless of the rainfall?” To answer this question. It would be reasonable to ask for the probability that tomorrow’s temperature is greater than 70◦ and tomorrow’s total rainfall is less than 0. atmospheric pressure. we will build on our probability model and extend our definition of a random variable to permit such calculations. Another question that we might like to have answered is.1 inch. we wish to determine the probability of the event A = {T > 70. For example. We would like to extend the notion of a random variable to deal with an experiment that results in several observations each time the experiment is run. It would not be either easy or desirable to attempt to combine all of this information into a single measurement. we would need to compute the probability of the event B = {T > 70}.

156

Definition

y
ω
3 2 1 1 2 3 (4,1)

4

5

x

Figure 6.1: A mapping using (X1 , X2 ) Definition 6.1. Let Ω be a sample space. An n-dimensional random variable or random vector, X1 (·), X2 (·), . . . , Xn (·) , is a vector of functions that assigns to each point ω ∈ Ω a point X1 (ω), X2 (ω), . . . , Xn (ω) in n-dimensional Euclidean space. Example: Consider an experiment where a die is rolled twice. Let X1 denote the number of the first roll, and X2 the number of the second roll. Then (X1 , X2 ) is a two-dimensional random vector. A possible sample point in Ω is

that is mapped into the point (4, 1) as shown in Figure 6.1.

Joint Distributions

157

(x,y)

Figure 6.2: The region representing the event P (X ≤ x, Y ≤ y).

Joint Distributions
Now that we know the definition of a random vector, we can begin to use it to assign probabilities to events. For any random vector, we can define a joint cumulative distribution function for all of the components as follows: Definition 6.2. Let (X1 , X2 , . . . , Xn ) be a random vector. The joint cumulative distribution function for this random vector is given by
FX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ) ≡ P (X1 ≤ x1 , X2 ≤ x2 , . . . , Xn ≤ xn ).

In the two-dimensional case, the joint cumulative distribution function for the random vector (X, Y ) evaluated at the point (x, y), namely
FX,Y (x, y),

is the probability that the experiment results in a two-dimensional value within the shaded region shown in Figure 6.2. Every joint cumulative distribution function must posses the following properties: 1.
all xi →−∞

lim

FX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ) = 0

158

Discrete Distributions

x2 6 5 4 3 2 1 1 2 3 4 5 6 x1

Figure 6.3: The possible outcomes from rolling a die twice. 2. lim
FX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ) = 1

all xi →+∞

3. As xi varies, with all other xj ’s (j = i) fixed,
FX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn )

is a nondecreasing function of xi . As in the case of one-dimensional random variables, we shall identify two major classifications of vector-valued random variables: discrete and continuous. Although there are many common properties between these two types, we shall discuss each separately.

Discrete Distributions
A random vector that can only assume at most a countable collection of discrete values is said to be discrete. As an example, consider once again the example on page 156 where a die is rolled twice. The possible values for either X1 or X2 are in the set {1, 2, 3, 4, 5, 6}. Hence, the random vector (X1 , X2 ) can only take on one of the 36 values shown in Figure 6.3. If the die is fair, then each of the points can be considered to have a probability

Continuous Distributions

159

1 mass of 36 . This prompts us to define a joint probability mass function for this type of random vector, as follows:

Definition 6.3. Let (X1 , X2 , . . . Xn ) be a discrete random vector. Then
pX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ) ≡ P (X1 = x1 , X2 = x2 , . . . , Xn = xn ).

is the joint probability mass function for the random vector (X1 , X2 , . . . , Xn ). Referring again to the example on page 156, we find that the joint probability mass function for (X1 , X2 ) is given by
pX1 ,X2 (x1 , x2 ) =
1 36

for x1 = 1, 2, . . . , 6 and x2 = 1, 2, . . . , 6

Note that for any probability mass function,
FX1 ,X2 ,...,Xn (b1 , b2 , . . . , bn ) =
x1 ≤b1 x2 ≤b2

···
xn ≤bn

pX1 ,X2 ,...,Xn (x1 , x2 , . . . , xn ).

Therefore, if we wished to evaluate FX1 ,X2 (3.0, 4.5) we would sum all of the probability mass in the shaded region shown in Figure 6.3, and obtain
1 FX1 ,X2 (3.0, 4.5) = 12 36 = 1 . 3

This is the probability that the first roll is less than or equal to 3 and the second roll is less than or equal to 4.5. Every joint probability mass function must have the following properties: 1. pX1 ,X2 ,...,Xn (x1 , x2 , . . . xn ) ≥ 0 for any (x1 , x2 , . . . , xn ). 2.
all x1

...
all xn

pX1 ,X2 ,...,Xn (x1 , x2 , . . . xn ) = 1 pX1 ,X2 ,...,Xn (x1 , x2 , . . . xn ) for any event E .
(x1 ,...,xn )∈E

3. P (E) =

You should compare these properties with those of probability mass functions for single-valued discrete random variables given in Chapter 5.

Continuous Distributions
Extending our notion of probability density functions to continuous random vectors is a bit tricky and the mathematical details of the problem is beyond the scope of

160

Continuous Distributions

an introductory course. In essence, it is not possible to define the joint density as a derivative of the cumulative distribution function as we did in the one-dimensional case. Let Rn denote n-dimensional Euclidean space. We sidestep the problem by defining the density of an n-dimensional random vector to be a function that when integrated over the set
{(x1 , . . . , xn ) ∈ Rn : x1 ≤ b1 , x2 ≤ b2 , . . . , xn ≤ bn }

will yield the value for the cumulative distribution function evaluated at
(b1 , b2 , . . . , bn ).

More formally, we have the following: Definition 6.4. Let (X1 , . . . , Xn ) be a continuous random vector with joint cumulative distribution function
FX1 ,...,Xn (x1 , . . . , xn ).

The function fX1 ,...,Xn (x1 , . . . , xn ) that satisfies the equation
FX1 ,...,Xn (b1 , . . . , bn ) =
b1 −∞

···

bn −∞

fX1 ,...,Xn (t1 , . . . , tn ) dt1 · · · dtn

for all (b1 , . . . , bn ) is called the joint probability density function for the random vector (X1 , . . . , Xn ). Now, instead of obtaining a derived relationship between the density and the cumulative distribution function by using integrals as anti-derivatives, we have enforced such a relationship by the above definition. Every joint probability density function must have the following properties: 1. fX1 ,X2 ,...,Xn (x1 , x2 , . . . xn ) ≥ 0 for any (x1 , x2 , . . . , xn ).
+∞ +∞ −∞

2.

−∞

···

fX1 ,...,Xn (x1 , . . . , xn ) dx1 · · · dxn = 1 fX1 ,...,Xn (x1 , . . . , xn ) dx1 · · · dxn for any event E .

3. P (E) =

···

E

You should compare these properties with those of probability density functions for single-valued continuous random variables given in Chapter 5.

y) = 2−y 0 2 1 0 2 if 0 ≤ x ≤ 2 and 1 ≤ y ≤ 2 otherwise Note that (2 − y) dx dy = 1. Example: Let (X. In the one-dimensional case. b2 ) − FX1 . Y ) be a two-dimensional random variable with the following joint probability density function (see Figure 6.4.X2 (a1 . we had the handy formula P (a < X ≤ b) = FX (b) − FX (a).X2 (a1 .X2 (b1 . You should be able to verify this formula for yourself by accounting for all of the probability masses in the regions shown in Figure 6. This worked for any type of probability distribution.5): fX.X2 (b1 . a2 < X2 ≤ b2 ) = FX1 . with a comparable formula given by P (a1 < X1 ≤ b1 . The situation in the multidimensional case is a little more complicated.4: Computing P (a1 < X1 ≤ b1 .Y (x. a2 < X2 ≤ b2 ). a2 ) + FX1 . a2 ). . b2 ) − FX1 .Continuous Distributions 161 x2 b2 a2 a1 b1 x1 Figure 6.

.5).0. Xn ). To do this. This region of integration is shown shaded (in green) in Figure 6.5 1. Y ≤ 1.5. y) dx dy 3 (2 − y) dx dy = 8 . we calculate the volume under the surface fX. y) : x ≤ 1. we might ask the question. P (X ≤ 1. we may be given a random vector (X. y) over the region {(x. For example. Y ) with joint cumulative distribution function FX. Y ≤ 1.5: A two-dimensional probability density function Suppose we would like to compute P (X ≤ 1.0 1. we get.Y (x.0 −∞ −∞ 1.5}.5 1..Y (x.162 Marginal Distributions fXY(x. Marginal Distributions Given the probability distribution for a vector-valued random variable (X1 . and the solution requires the careful use of English rather than mathematics. .e.0. y).Y (x. Y ≤ y) .Y (x. i. FX (x)? We know that FX.0 0 fX. “Can we determine the distribution of X1 . Suppose we would like to find the cumulative distribution function for X alone. .y) 1 1 2 y 1 2 x Figure 6. in the two-dimensional case. disregarding the other components?” The answer is yes. y ≤ 1. y) = P (X ≤ x.5) = = 1. Performing the integration.

we ask “What is the probability that X = x regardless of the value that Y takes on? This can be written as pX (x) = P (X = x) = P (X = x.Y (x. y). .. . y). Y = any value) = all y pX. .. . .Y (x. . To find pX (x).5. 6 and x2 = 1. suppose we have a discrete random vector (X. Example: In the die example (on page 156) pX1 . .” Therefore.. x2 . .Xn (x1 . But in terms of both X and Y . 2.. y). .X2 . we shall define what we will call the marginal cumulative distribution function: Definition 6. . it is more useful to examine marginal probability mass functions and marginal probability density functions..5 is a nice definition. .. expression 1 can be read: “the probability that X takes on a value less than or equal to x and Y takes on any value.. for example. we compute 6 pX1 (2) = P (X1 = 2) = k=1 1 pX1 . xn ). So we can use the above definition to find the marginal cumulative distribution function for any of the Xi ’s. Although Definition 6. 2. . . . For example.Y (x.X2 (x1 .X2 (2. . x2 ) = 1 36 for x1 = 1. . Y ) with joint probability mass function pX. xn ). Let (X1 . . The marginal cumulative distribution function for X1 is given by FX1 (x1 ) = lim x2 →∞ x3 →∞ lim · · · lim FX1 . it would make sense to say FX (x) = P (X ≤ x) = P (X ≤ x. . xn →∞ Notice that we can renumber the components of the random vector and call any one of them X1 . Using this idea. . k) = 6 . . 6 To find pX1 (2).Marginal Distributions 163 and we are asking for (1) FX (x) = P (X ≤ x). Y ≤ ∞) = y→∞ lim FX.Xn (x1 .. Xn ) be a random vector with joint cumulative distribution function FX1 . .

Y ) is given by Table 6.15 + 0. we sum the probabilities over all possible values of Y for each fixed x: pX (1) = pX. is. We simply look for the result in the margin1 for the entry Y = 2.05 .25 pX (3) = pX.Y (3.10 0 . Using this joint distribution. but fX (x)dx.05 .Y (2. Recall that a density.10 5 0 0 0 0 0 This is hardly a surprising result.Y (3.Y (1.05 . 1) = 0.164 Marginal Distributions Table 6.10 4 0 0 0 0 . X .05 pX (2) = pX.1. we can see that the probability of producing 2 items with exactly 1 of those items being defective is pX. 1) = 0.15.10 . 2) + pX. y) 1 2 X 3 4 5 Y 2 3 0 0 .10 = 0. but it brings some comfort to know we can get it from all of the mathematical machinery we’ve developed thus far.Y (2. 3) = 0. 1) + pX.10 = 0. we are simply adding the entries all columns for each row of Table 6.15 . 1) + pX. itself is not a probability measure. Doing this for Y as well as X we can obtain Table 6. P (Y = 2) = pY (2) = 0. 2) = 0.Y (2.05 . and let Y be the number of defective items produced. for example.2 So.1.20 etc.10 1 .Y (x. So 1 Would you believe that this is why they are called marginal distributions? .Y (3. fX (x).025 .025 . The procedure is similar for obtaining marginal probability density functions. Suppose that the probability mass function for (X.275.10 . But notice that in these computations. Example: Let X be the total number of items produced in a day’s work at a factory.05 + 0.05 + 0.1: Joint pmf for daily production pX. To find the marginal probability mass function for the total daily production.

... y) dy and we therefore offer the following: Definition 6.275 .15 . xn ) dx2 · · · dxn . .Xn .025 .Marginal Distributions 165 Table 6..Y (x. .Y (x.4 4 0 0 0 0 .. y) dy dx it would seem reasonable to define fX (x) ≡ +∞ −∞ fX.05 .05 . .. Y = any value) = +∞ −∞ fX.X2 .20 . we sum (or integrate) over all possible values of the unwanted random variable components. Xn ) be a continuous random variable with joint probability density function fX1 .10 0 .2: Marginal pmf’s for daily production pX..05 ..025 .25 . y) 1 2 X 3 4 5 pY (y) Y 2 3 0 0 .6. Looking at this relationship as fX (x) dx = +∞ −∞ fX. y) dy dx where y is the variable of integration in the above integral.10 5 0 0 0 0 0 0 with a little loose-speaking integration notation we should be able to compute fX (x) dx = P (x ≤ X < x + dx) = P (x ≤ X < x + dx..10 . Let (X1 . .40 1 .Y (x.10 .10 .10 0.10 . The marginal probability density function for the random variable X1 is given by fX1 (x1 ) = +∞ −∞ ··· +∞ −∞ fX1 . .Xn (x1 .225 pX (x) . x2 . . .10 .05 . .Y (x. Notice that in both the discrete and continuous cases.05 .

by integrating over all values of y . Example: Let (X.6 indicates a particular value for x (call it a). the picture of the support would be as shown in Figure 6. Solution: Let’s consider the case where we fix x so that 0 ≤ x ≤ 1. y) = x+y 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Find the marginal probability density function for X .Y (x.Y (x.6. we are actually determining how much probability mass has been placed along the line x = a. Y ) in the example The trick in such problems is to insure that your limits of integration are correct. y) dy . The integration process assigns all of that mass to x = a in one-dimension. Y ) be a two-dimensional continuous random variable with joint probability density function fX. For the above example.166 Marginal Distributions y 1 0 a 1 x Figure 6. We compute fX (x) = +∞ −∞ fX. Drawing a picture of the region where there is positive probability mass (the support of the distribution) often helps. Repeating this process for each x yields the desired probability density function.6: The support for the random vector (X. If the dotted line in Figure 6.

Y (x. we have fX (x) = 0.Y (x. Solution: Let’s first find the marginal probability density function for X . Y ) be the two-dimensional random variable with the following joint probability density function (see Figure 6. fX (x) = 1 2 0 0≤x≤2 otherwise . y) = 2−y 0 if 0 ≤ x ≤ 2 and 1 ≤ y ≤ 2 otherwise Find the marginal probability density function for X and the marginal probability density function for Y . in fact. summarizing these computations we find that fX (x) = x+ 0 1 2 0≤x≤1 otherwise We will leave it to you to check that fX (x) is. a probability density +∞ functionby making sure that fX (x) ≥ 0 for all x and that −∞ fX (x) dx = 1. 1]. Consider the case where we fix x so that 0 ≤ x ≤ 2. 2]. Therefore. y) dy (2 − y) dy y2 2 y=2 y=1 2y − 1 2 If x is outside the interval [0. So.5 on page 162) fX.Marginal Distributions 167 = 0 1 (x + y) dy y2 2 y=1 y=0 = xy + = x+ 1 2 If x is outside the interval [0. We compute fX (x) = = = = +∞ −∞ 2 1 fX. we have fX (x) = 0. Example: Let (X.

. or {X1 = 3. 1) = 3 36 .Y (x. Most of these problems just require a little careful reasoning. . Example: Let (X1 . 4. 3.X2 (3. . . . 12.168 Functions of Random Vectors To find the marginal probability density function for Y . x2 ) = 36 for x1 = 1. y) dx (2 − y) dx = 4 − 2y If y is outside the interval [1. . “What are the possible values that Z can take on?” The answer: “The integers 2. X2 = 2}. the sum of the two rolls. y) = 0 giving us fY (y) = 0.X2 (2. X2 ) be the die-tossing random vector of the example on page 156. 1 Solution: We already know that pX1 . .X2 (x1 . Functions of Random Vectors The technique for computing functions of one-dimensional random variables carries over to the multi-dimensional case. we have fX. 2].” For example. Therefore. . So. X2 = 3}.Y (x. . 6. X2 = 1} occurs. {X1 = 2. Find the probability mass function for the random variable Z = X1 +X2 . . 2) + pX1 . We compute fY (y) = = = +∞ −∞ 2 0 x=2 (2 − y)x|x=0 fX.X2 (1. We ask the question. . . 6 and x2 = 1. consider the case where we fix y so that 1 ≤ y ≤ 2. . Z equals 4 precisely when any one of the mutually exclusive events {X1 = 1. pZ (4) = pX1 . 3) + pX1 . 4 − 2y 1≤y≤2 fY (x) = 0 otherwise You should also double check that fX and fY are both probability density functions.

Case II (z > 1): FZ (z) = 0 z−1 0 1 (x + y) dx dy + 1 z−1 0 z−y (x + y) dx dy 1 1 = z2 − 3 z3 − 3 . 1 pZ (12) = 36 . 5 pZ (6) = 36 . 5 pZ (8) = 36 . In establishing limits of integration. In other words. Solution: The support for the random variable Z is the interval [0. 3 pZ (10) = 36 .Functions of Random Vectors 169 Continuing in this manner. 3 pZ (4) = 36 . Y ) be the two-dimensional random variable given in the example on page 166. 4 pZ (5) = 36 . Example: Let (X. . you should be able to verify that 1 pZ (2) = 36 . we wish to evaluate FZ (z) = P (Z ≤ z) = P (X + Y ≤ z). Find the cumulative distribution function for the random variable Z =X +Y. so   0  FZ (z) =   1 ? if z < 0 if 0 ≤ z ≤ 2 if z > 2 For the case 0 ≤ z ≤ 2. 6 pZ (7) = 36 .7 as z varies from 0 to 2. 2]. 2 pZ (11) = 36 . 2 pZ (3) = 36 .8: Case I (z ≤ 1): FZ (z) = 0 z 0 z−y (x + y) dx dy = 1 3 3z . we are computing the probability mass assigned to the shaded set in Figure 6. 4 pZ (9) = 36 . we notice that there are two cases to worry about as shown in Figure 6.

7: The event {Z ≤ z}. y z 1 z y 1 0 z 1 x 0 1 z x Case I Case II Figure 6.170 Functions of Random Vectors y 1 z x+ y= z 0 z 1 x Figure 6.8: Two cases to worry about for the example .

.X2 . . . bn . Recall: An event A is independent of an event B if and only if P (A ∩ B) = P (A)P (B). . X2 . bn ) = FX1 (b1 )FX2 (b2 ) · · · FXn (bn ) for all values b1 . each Xi has the same marginal distribution. .. X2 .. F (x)). .1. Xn is independent if and only if. . FXi (x) = F (x) for all x and for all i (i. b2 . b2 . Xn are independent. Theorem 6. Xn is a random sample if and only if 1. . . . If X and Y are independent random variables then any event A involving X alone is independent of any event B involving Y alone.8. . X2 . We say that a random sample is a vector of independent and identically distributed (i. . A sequence of n random variables X1 .. . .Independence of Random Variables 171 These two cases can be summarized as FZ (z) =   0   1 3  z 3 1  z2 − 1 z3 − 3  3   1 if z < 0 if 0 ≤ z ≤ 1 if 1 < z ≤ 2 if z > 2 Notice what we thought at first to be one case (0 ≤ z ≤ 2) had to be divided into two cases (0 ≤ z ≤ 1 and 1 < z ≤ 2). .i. and 2.Xn (b1 . . and FX1 .7.e. Definition 6. Independence of Random Variables Definition 6.Y (x. X1 . . A sequence of n random variables X1 .d. .. . . . Testing for independence Case I: Discrete A discrete random variable X is independent of a discrete random variable Y if and only if pX..) random variables. y) = [pX (x)][pY (y)] for all x and y .

1 0. Y = y) is given by the following table: y pX.Y (x. y ≥ 0 0 otherwise The marginal densities are fX (x) = 2e−2x x ≥ 0 0 otherwise fY (y) = 2e−2y y ≥ 0 0 otherwise . y) = 4e−2(x+y) x ≥ 0. Example: A company produces two types of compressors.Y (0.2 Example: Suppose an electronic circuit contains two transistors. Let Y denote the number of grade B compressors produced on the same day.3 0.Y (x.1 = pX (0)pY (0) = (0. Suppose that the joint probability mass function pX. y) = P (X = x.2 0.Y (x. Let X be the time to failure of transistor 1 and let Y be the time to failure of transistor 2.1 0. 0) = 0.172 Independence of Random Variables Case II: Continuous A continuous random variable X is independent of a continuous random variable Y if and only if fX. fX.5) = 0.Y (x. grade A and grade B. Note that pX.4)(0. y) 0 x 1 2 0 0. y) = [fX (x)][fY (y)] for all x and y .2 1 0.1 The random variables X and Y are not independent. Let X denote the number of grade A compressors produced on a given day.

Y ))? Theorem 6. For x ≥ 0 and y ≥ 0: fX. y)pX. y) if (X.Y (x. Y ) is continuous Example: Suppose X and Y have joint probability density function fX. y). 0 ≤ y ≤ 1 0 otherwise .Y (x. Expectation and random vectors Suppose we are given a random vector (X. X and Y for all values of (x.Y (x. y) = 0 = fX (x)fY (y) = 2e−2x (0) For x < 0 and y ≥ 0: fX. Y ) and a function g(x. Y )) = all x all y ∞ ∞ g(x.Y (x. Can we find E(g(X.Y (x. y) dy dx if (X. y) = 4e−2(x+y) = fX (x)fY (y) = 2e−2x 2e−2y For x ≥ 0 and y < 0: fX.2. Y ) is discrete E(g(X.Expectation and random vectors 173 We must check the probability density functions for (X. Y ).Y (x. E(g(X. y)fX.Y (x. y) = 0 = fX (x)fY (y) = (0)(0) So the random variables X and Y are independent. y) = 0 = fX (x)fY (y) = (0)2e−2y For x < 0 and y < 0: fX. Y )) = −∞ −∞ g(x. y) = x + y 0 ≤ x ≤ 1. y).

If X and Y are independent.3. y) dy dx + ∞ −∞ y fX.4. Y ) is a continuous random vector.2 to get E(XY ) = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 0 1 0 1 3 3x y 1 3y 0 1 xyfX. E(X + Y ) = E(X) + E(Y ) Proof. probability mass functions rather than probability density functions. y) dx dy xfX. The proofs for the discrete case are similar using summations rather than integrals.174 Expectation and random vectors Let Z = XY . y) dx dy + xfX. Theorem 6. y) dx dy yfX.2: E(X + Y ) = = = = = ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ ∞ ∞ (x + y)fX.Y (x.Y (x. y) dx dy xy(x + y) dx dy x2 y + xy 2 dx dy 1 + 2 x2 y 2 1 0 = = 0 dy 1 + 1 y 2 dy 2 1 0 = 1 2 6y 1 + 6 y3 = 1 3 We will prove the following results for the case when (X.Y (x. To find E(Z) = E(XY ) use Theorem 6. y) dx dy x fX (x) dx + y fY (y) dy = E(X) + E(Y ) Theorem 6. then E[h(X)g(Y )] = E[h(X)]E[g(Y )] .Y (x.Y (x.Y (x. y) dx dy ∞ −∞ −∞ −∞ ∞ ∞ −∞ ∞ −∞ x −∞ fX.Y (x. Using Theorem 6. y) dy dx + ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ ∞ −∞ yfX.Y (x.

Theorem 6. . Note that Cov(X.6. X) = Var(X). For any random variables X and Y Var(X + Y ) = Var(X) + Var(Y ) + 2Cov(X. Using Theorem 6. set h(x) = x and g(y) = y to get E[h(X)g(Y )] = E(h(X))E(g(Y )) E[XY ] = E(X)E(Y ) Definition 6.5. The covariance of the random variables X and Y is Cov(X.Expectation and random vectors 175 Proof. then E(XY ) = E(X)E(Y ) Proof. . Y ) ≡ E[(X − E(X))(Y − E(Y ))]. If X and Y are independent. . Using Theorem 6.4. = = = ∞ ∞ −∞ −∞ ∞ −∞ ∞ −∞ h(x)g(y)fX (x)fY (y) dx dy ∞ −∞ g(y)fY (y) h(x)fX (x) dx dy g(y)fY (y) E(h(X)) dy since E(h(X)) is a constant.2: E[h(X)g(Y )] = ∞ ∞ −∞ −∞ h(x)g(y)fX. .9.Y (x. = E(h(X)) ∞ −∞ g(y)fY (y) dy = E(h(X))E(g(Y )) Corollary 6. y) dx dy since X and Y are independent. Y ) .

7: Cov(X. = E[{X − E(X)}2 + {Y − E(Y )}2 + 2{X − E(X)}{Y − E(Y )}] = E[{X − E(X)}2 ] + E[{Y − E(Y )}2 ] +2E[{X − E(X)}{Y − E(Y )}] = Var(X) + Var(Y ) + 2Cov(X. = E[XY ] − E(Y )E[X] − E(X)E[Y ] + E(X)E(Y ) = E[XY ] − E(X)E(Y ) Corollary 6. Using Definition 6. . we get Cov(X.176 Expectation and random vectors Proof.5. Y ) = E(XY ) − E(X)E(Y ) Proof.8.7. . We can then use Theorem 6. E[Y ]. . .9. If X and Y are independent then Cov(X. . let b = {Y − E(Y )}. Y ) = E(XY ) − E(X)E(Y ) = 0 . Y ) Theorem 6. . and expand (a + b)2 to get. and E[XY ] are all constants. Proof. from Corollary 6. If X and Y are independent then. Y ) = E[(X − E(X))(Y − E(Y ))] = E[XY − XE(Y ) − E(X)Y + E(X)E(Y )] = E[XY ] + E[−XE(Y )] + E[−E(X)Y ] + E[E(X)E(Y )]] Since E[X]. Cov(X. Remember that the variance of a random variable W is defined as Var(W ) = E[(W − E(W ))2 ] Now let W = X + Y . E(XY ) = E(X)E(Y ). Y ) = 0. Var(X + Y ) = E[(X + Y − E(X + Y ))2 ] = E[(X + Y − E(X) − E(Y ))2 ] = E[({X − E(X)} + {Y − E(Y )})2 ] Now let a = {X − E(X)}.

For any random variables X and Y . Proofs of these results may be found in the book by Meyer. Y ) = −1. Var(X)Var(Y ) Theorems 6. Y )| = 1. Y ) Var(X + Y ) = Var(X) + Var(Y ) + 2(0) Var(X + Y ) = Var(X) + Var(Y ) Definition 6. 2 . then ρ(X. Theorem 6.2 Theorem 6.10. Addison-Wesley.8: Var(X + Y ) = Var(X) + Var(Y ) + 2Cov(X.10.12 are stated without proof. Y ) ρ(X. Introductory probability theory and statistical applications. If X and Y are independent then. The correlation coefficient for two random variables X and Y is given by Cov(X. Y )| ≤ 1. 6. Y ) ≡ . Definition 6. Y ) ≡ E (X − E(X))(Y − E(Y )) . Then |ρ(X. P. Meyer. Y )| = 1.11. The covariance of two random variables X and Y is given by Cov(X..Expectation and random vectors 177 Corollary 6. then ρ(X. Reading MA. If X and Y are independent then Var(X+Y ) = Var(X)+Var(Y ). 1965. Then (with probability one).9. Y ) = +1. Suppose that X and Y are two random variables. If a > 0. The converse of this theorem is also true: Theorem 6. the Y is a linear function of X (with probability one). from Theorem 6. Y = aX + b for some constants a and b.6 and Corollary 6. If a < 0.10.12. In other words: If the correlation coefficient ρ is ±1. Suppose that |ρ(X.11 and 6.11. Proof. such that Y = aX + b where a and b are constants. |ρ(X.

1 0. . again.Y (x.3 3 Example: And. y) 0 x 1 2 0 0.1 = 0.1 0.1 Given that no grade B compressors were produced on a given day. what is the probability that the first transistor lasted more than one hour? . y ≥ 0 0 otherwise Given that the total life time for the two transistors is less than two hours. Y = 0) P (Y = 0) 2 0.3 0. what is the probability that one of them is a grade B compressor? Solution: P (Y = 1 | X + Y = 2) = = = P (Y = 1. what is the probability that 2 grade A compressors were produced? Solution: P (X = 2 | Y = 0) = = P (X = 2.2 = 0.Y (x. y) = 4e−2(x+y) x ≥ 0. Y = 1) P (X + Y = 2) 1 0.5 5 Given that 2 compressors were produced on a given day. consider the two transistors. X + Y = 2) P (X + Y = 2) P (X = 1. y pX. .178 Expectation and random vectors Random vectors and conditional probability Example: Consider the compressor problem again. fX.2 1 0.2 0.

Y (x. We define the conditional probability mass function of X given Y as pX|Y (x | y) = pX. X + Y ≤ 2) P (X + Y ≤ 2) 2 1 0 −2 2−x We then compute P (X > 1. .0885 1 − 5e−4 Conditional distributions Case I: Discrete Let X and Y be random variables with joint probability mass function pX. y) and let pY (y) be the marginal probability mass function for Y . y) and let fY (y) be the marginal probability density function for Y . y) pY (y) whenever pY (y) > 0.Y (x.Y (x. Case II: Continuous Let X and Y be random variables with joint probability density function fX.Y (x.Expectation and random vectors 179 Solution: P (X > 1 | X + Y ≤ 2) = P (X > 1. X + Y ≤ 2) = = e 4e−2(x+y) dy dx − 3e−4 and P (X + Y ≤ 2) = 0 2 0 2−x 4e−2(x+y) dy dx = 1 − 5e−4 to get P (X > 1 | X + Y ≤ 2) = e−2 − 3e−4 = 0. y) fY (y) whenever fY (y) > 0. We define the conditional probability density function of X given Y as fX|Y (x | y) = fX.

each with P (Xi = 1) = 1 and P (Xi = 0) = 1 . X4 be independent and identically distributed random variables. then the value of r is (A) (B) (C) 1 16 1 4 1 2 (D) 1 (E) none of the above.Y (0. Answers can be found in Appendix B. 1) = 1/4 pX. X3 . X2 .1 Let X1 .2 Let (X. S6. 0) = 1/4 pX.180 Self-Test Exercises for Chapter 6 Law of total probability Case I: Discrete pX (x) = y pX|Y (x | y)pY (y) Case II: Continuous fX (x) = +∞ −∞ fX|Y (x | y)fY (y) dy Self-Test Exercises for Chapter 6 For each of the following multiple-choice questions. Let P (X1 + X2 + 2 2 X3 + X4 = 3) = r. S6. Y ) be a discrete random vector with joint probability mass function given by pX.Y (0. 1) = 1/2 Then P (Y = 1) equals (A) 1/3 (B) 1/4 (C) 1/2 . choose the best response among those provided.Y (1.

S6. Y ) be a random vector with joint probability mass function given by pX.Y (x. S6. 0) = 1 4 Let pX (x) denote the marginal probability mass function for X .Self-Test Exercises for Chapter 6 181 (D) 3/4 (E) none of the above.Y (0. Y ) be a continuous random vector with joint probability density function fX.3 Let (X. 1) = 1 2 pX. y) = 1/2 if −1 ≤ x ≤ 1 and 0 ≤ y ≤ 1 0 otherwise Then P (X > 0) equals (A) 0 (B) 1/4 .4 Let (X.5 Let (X.Y (1. 0) = 1 4 The value of P (XY > 0) is (A) 0 (B) (C) 1 4 1 2 (D) 1 (E) none of the above. Y ) be a random vector with joint probability mass function given by pX.Y (1.Y (1. −1) = 1 4 pX. S6.Y (1. 1) = 1 2 pX. The value of pX (1) is (A) 0 (B) (C) 1 4 1 2 (D) 1 (E) none of the above. −1) = 1 4 pX.Y (0.

Y ) is a continuous random vector with joint probability density function e−y if 0 ≤ x ≤ 1 and y ≥ 0 fX.8 Let (X. 1) = 1/3 pX.Y (0. 0) = 1/3 pX.7 Let (X. 0) = 1/3 pX.Y (0.6 Suppose (X. 1) = 1/3 pX. 0) = 1/3 Then P (X + Y = 1) equals (A) 0 (B) 1/3 (C) 2/3 (D) 1 (E) none of the above.182 Self-Test Exercises for Chapter 6 (C) 1/2 (D) 1 (E) none of the above. S6.Y (x.Y (0. Y ) be a discrete random vector with joint probability mass function given by pX. S6.Y (0. y) = 0 otherwise Then P (X > 1 ) equals 2 (A) 0 (B) 1/2 (C) e−1/2 (D) 1 −y 2e (E) none of the above. S6.Y (1.Y (1. 0) = 1/3 . Y ) be a discrete random vector with joint probability mass function given by pX.

Y < 0.10 Suppose (X. Y ) is a continuous random vector with joint probability density function   y if 0 ≤ x ≤ 2 and  0≤y≤1 fX. Y ) is a continuous random vector with joint probability density function   y if 0 ≤ x ≤ 2 and  0≤y≤1 fX.Y (x. y) =   0 otherwise Then P (X < 1. y) =   0 otherwise Then E(X 2 ) equals (A) 0 (B) 1 (C) 4/3 (D) 8/3 (E) none of the above.9 Suppose (X.Y (x.5) equals (A) 0 (B) 1/8 (C) 1/4 (D) 1/2 (E) none of the above. . Then P (W = 1) equals (A) 0 (B) 1/3 (C) 2/3 (D) 1 (E) none of the above. S6. Y }.Self-Test Exercises for Chapter 6 183 Let W = max{X. S6.

Y ) be a continuous random vector with joint probability density function 1/π if x2 + y 2 ≤ 1 fX. each with P (Xi = 1) = p and P (Xi = 0) = 1 − p. X2 . The variance of Y is equal to √ (A) 4 n (B) 4n (C) 4n2 (D) 4 (E) none of the above.12 Let X1 .184 Self-Test Exercises for Chapter 6 S6.11 The weights of individual oranges are independent random variables. then Var(X + Y ) must equal (A) 2Var(X) √ (B) 2(Var(X)) (C) Var(2X) (D) 4Var(X) (E) none of the above. S6. then the value of p is (A) (B) (C) 1 3 √ 3 r 1 2 (D) r3 (E) none of the above.Y (x. If P (X1 + X2 + X3 = 3) = r. y) = 0 otherwise Then P (X > 0) equals . X3 be independent and identically distributed random variables. each having an expected value of 6 ounces and standard deviation of 2 ounces. Let Y denote the total net weight (in ounces) of a basket of n oranges.14 Let (X. S6.13 If X and Y are random variables with Var(X) = Var(Y ). S6.

Self-Test Exercises for Chapter 6 185 (A) 1/(4π) (B) 1/(2π) (C) 1/2 (D) 1 (E) none of the above.17 Toss a fair die twice. Then E[(X + 1)2 ] − (E[X + 1])2 equals (A) Var(X) (B) 2E[(X + 1)2 ] (C) 0 (D) 1 (E) none of the above. Y and Z be independent random variables with E(X) = 1 E(Y ) = 0 E(Z) = 1 Let W = X(Y + Z). (A) 1/4 (B) 1/3 (C) 1/2 . Let the random variable X represent the outcome of the first toss and the random variable Y represent the outcome of the second toss. S6. S6. What is the probability that X is odd and Y is even.16 Let X .15 Let X be a random variable. Then E(W ) equals (A) 0 (B) E(X 2 ) (C) 1 (D) 2 (E) none of the above S6.

y − w} (C) min{1. To find the cumulative distribution function for W we can compute FW (w) = B A D C k dx dy for 0 ≤ w ≤ 1. The limit of integration that should appear in position D is (A) min{1.18 Assume that (X. 0) = 1/4 pX. The value of P (W = 0) is (A) 0 (B) 1/4 (C) 1/2 (D) 3/4 (E) none of the above.Y (0.Y (x.Y (0. y) = k for 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 and y ≤ x 0 otherwise where k is a some positive constant. Y ) is random vector with joint probability density function fX. .Y (−1. S6. Let W = X −Y . 1) = 1/4 Define the random variable W = XY . Y ) is a random vector with joint probability mass function given by pX. x − y} (D) min{1. y + w} (E) none of the above.186 Self-Test Exercises for Chapter 6 (D) 1 (E) none of the above S6.19 Assume that (X. 0) = 1/2 pX. x − w} (B) min{1.

Then E(X 2 + Y 2 ) equals (A) 0 (B) 1 (C) 3 (D) 5 (E) none of the above. y) = 4xy 0 if 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Then E 1 XY equals (A) +∞ (B) 0 (C) 1/2 (D) 4 (E) none of the above. Let Y be a random variable with E(Y ) = 0 and Var(Y ) = 4. Y ) where X is the life length of transistor 1 and Y is the life length of transistor 2. Y ) is given by fX. y) = 2e−(x+2y) if x ≥ 0 and y ≥ 0 0 otherwise Then P (X + Y ≤ 1) equals (A) (B) (C) 1 1 −(x+2y) dx dy 0 0 2e 1 1−y 0 0 2e−(x+2y) dx dy 1 1 −(x+2y) dx dy 0 y 2e . S6. Y ) is a continuous random vector with joint probability density function fX. The joint probability density function of (X.Self-Test Exercises for Chapter 6 187 S6.Y (x. S6.20 Let X be a random variable with E(X) = 0 and Var(X) = 1.Y (x.22 The life lengths of two transistors in an electronic circuit is a random vector (X.21 Suppose (X.

X(ω4 ) = 1 Y (ω4 ) = 0 Z(ω4 ) = 4 (a) Find the joint probability mass function for (X. P (X ≤ 2. as follows: P ({ω1 }) = P ({ω3 }) = 1 2 1 4 P ({ω2 }) = P ({ω4 }) = 1 8 1 8 Random variables X . ω4 }.20. and let Y be the number of Type 2 gizmos produced on the same day. Questions for Chapter 6 6. X(ω2 ) = 0.20. (a) Compute P (X ≤ 2.Y (3. Type 1 and Type 2. (c) Find the probability mass function for X . Y = 2) and P (Y > 0). pX.Y (1.Y (1.05. Y (ω3 ) = 1.20. {ω1 . pX. 3) = 0. Z(ω3 ) = 3. 6. pX. (c) Find the distribution for the random variable Z = X + Y which is the total daily production of gizmos. 2) = 0. 1) = 0. Z). Let X be a random variable denoting the number of Type 1 gizmos produced on a given day. Z(ω1 ) = 1. Z(ω2 ) = 2. The joint probability mass function for X and Y is given by pX. 2) = 0. ω3 .2 A sample space Ω is a set consisting for four points.188 Questions for Chapter 6 (D) 1 1 0 1−y 2e−(x+2y) dx dy (E) none of the above. Y = 2). pX. A probability measure.10. Y (ω1 ) = 0. 0) = 0.Y (2.Y (1.Y (2.Y (3. 2) = 0. X(ω3 ) = 1. 1) = 0. Y ).10. Y and Z are defined as X(ω1 ) = 0. Y (ω2 ) = 1.05. pX. (b) Find the marginal probability mass functions for X and for Y. P (·) assigns probabilities. pX. (b) Find the joint probability mass function for (X.10.1 A factory can produce two types of gizmos. Y. ω2 .Y (1. 1) = 0. . pX.

Y (x. (g) Find the probability mass function for the random variable V = max{X. Find the probability density function for Z . (1. y)-space for which the above probability density function assigns positive mass. Y ) is given by fX. Obviously X ≤ Y . let Z = Y − X . 1).3 Let (X. Y }.. y) = 2 0 if x > 0. The joint probability density function for (X. Y ) is given by fX.4 Two light bulbs are burned starting at time 0. 6. Y ) have a uniform distribution over the rectangle (0. i.Y (x. y) = 2e−(x+y) 0 if 0 < x < y < ∞ otherwise (a) Sketch the region in (x.5 If two random variables X and Y have a joint probability density function given by fX. 6. (0. T ). 0) . (e) Find the probability mass function for the random variable T = XY Z .e. (f) Find the joint probability mass function for the random variable (W. 0). 1). the probability density function for (X. (b) Find the marginal probability density functions for X and for Y .Y (x. (1. y > 0 and x + y < 1 otherwise . (d) Compute P (Z > 1) and P (Y > 1). The first one to fail burns out at time X and the second one at time Y . 6. (c) Let Z denote the excess life of the second bulb.Questions for Chapter 6 189 (d) Find the probability mass function for the random variable W = X + Y + Z. y) = 1 0 if 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Find the cumulative distribution function for the random variable Z = X+Y . In other words.

Y ). 1 2 (c) Find the probability density function for the random vector (X. y. Y ) in the xy plane. (e) Find the probability density function for Z = X + Y . 0 < y < 2 and 0 < z < 2 otherwise (a) Find the value of the constant α.Y (x. (e) Find the marginal probability density function for Z = X + Y. y) = kx(x − y) 0 if 0 ≤ x ≤ 2 and |y| ≤ x otherwise (a) Sketch the support of the distribution for (X. (c) Find the marginal probability density function for Y .7 Suppose that the random vector (X. Z) is a random vector with joint probability density function fX. . 6. Y ) has joint probability density function fX. z) = α(xyz 2 ) 0 if 0 < x < 1. 6.190 Questions for Chapter 6 (a) Find the probability that both random variables will take on a value less than 1 . Y.Y. (d) Find the marginal probability density function for X . (b) Evaluate the constant k .Z (x. (b) Find the probability that X will take on a value less than and Y and Z will both take on values less than 1.6 Suppose (X. 3 (d) Find the marginal probability density functions for X and for Y . 2 (b) Find the probability that X will take on a value less than and Y will take on a value greater than 1 . 2 1 4 (c) Find the probability that the sum of the values taken on by the two random variables will exceed 2 .

000 units) is given by fS. (c) Find the conditional probability density function for Y given that X takes on the value x.Questions for Chapter 6 191 6. of salt crystals form a random variable (X. p) = 5pe−ps 0 0. 000 units given P = 0.40 and s > 0 otherwise (a) Find the marginal probability density functions for P and for S . (b) Find the conditional probability density function for X given that Y takes on the value y . 6. y) = 2 5 (x + 4y) 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise (a) Find the marginal probability density functions for X and for Y .20 < p < 0.P (s. (d) Find the probability that there will be at least a 20% response to the second type of mail-order solicitation.Y (x. X . of a commodity (in dollars) and total sales. (c) Find the probability that sales will exceed 20. . (in 10. Y is proportion of persons who will respond to a second type of mail-order solicitation.10 If X is the proportion of persons who will respond to one kind of mail-order solicitation. 6. Y ) with joint probability density function fX.25. and the width. S .9 If the joint probability density function of the price. P . and the joint probability density function of X and Y is given by fX. Y .Y (x. (b) Find the conditional probability density function for S given that P takes on the value p. y) = x 0 if 0 ≤ x ≤ 1 and 0 ≤ y ≤ 2 otherwise (a) Find the marginal probability density functions for X and for Y .8 The length.

The joint probability density function of the random vector (X.11 An electronic component has two fuses. let pX|Y be the conditional probability mass function of X given Y . Let pX be the marginal probability mass function for X . (b) Are X and Y independent? Justify your answer. and let pY |X be the conditional probability mass function of .) 6. Y ) with the following probability density function:   1 fX. If an overload occurs. y) = e−y 0 0 ≤ x ≤ 1 and y ≥ 0 otherwise (a) Compute P (X + Y ≥ 1). (X. Y ) has a uniform distribution on a disk of radius one centered at (0. 0).25). Y > 0). 6. (d) Compute P (X ≥ 0 | Y > 0). Y .13 Let X and Y be discrete random variables with the support of X denoted by Θ and the support of Y denoted by Φ.192 Questions for Chapter 6 (e) Find the probability that there will be at least a 20% response to the second type of mail-order solicitation given that there has only been a 10% response to the first kind of mail-order solicitation. X . 6.Y (x. (c) Compute P (X ≥ 0. (b) Find the marginal distributions for X and Y . (a) Compute P (X 2 + Y 2 ≤ 0.12 The coordinates of a laser on a circular target are given by the random vector (X. (e) Find the conditional distribution for X given Y = y . Y ) is given by fX. the time when fuse 1 blows is a random variable. y) =  π 0 x2 + y 2 ≤ 1 otherwise Hence. and the time when fuse 2 blows is a random variable.Y (x. (Note: Be careful of the case |y| = 1.

6. 6. 6. P . 0 < z < 2 otherwise Find E(X + Y + Z).Z (x. p) = 5pe−ps 0 0.Y (x.5 | Y = 0. The random vector (X. S . Show that pX|Y (x|y) = pY |X (y|x)pX (x) pY |X (y|x)pX (x) x∈Θ for any x ∈ Θ and y ∈ Φ. (b) Are X and Y independent random variables? Justify your answer. Y ) is a continuous random vector with joint probability density function fX.14 The volumetric fractions of each of two compounds in a mixture are random variables X and Y . (d) Compute P (X < 0. (in 10.5).25). y. 6.5 | Y < 0.40 and s > 0 otherwise Find E(S | P = 0. y) = 2 0 if x > 0.Questions for Chapter 6 193 Y given X .17 Suppose the joint probability density function of the price.Y. 0 < y < 2. y) = 2 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 − x otherwise (a) Determine the marginal probability density functions for X and for Y . z) = 3 2 8 (xyz ) 0 if 0 < x < 1.15 Suppose (X.5). Y ) has joint probability density function fX. (c) Compute P (X < 0. respectively.16 Suppose (X. y > 0 and x + y < 1 otherwise Find E(X + Y ).Y (x. . Z) is a random vector with joint probability density function fX. Y. of a commodity (in dollars) and total sales. 000 units) is given by fS.20 < p < 0.P (s.

After an extensive survey was conducted. Let X denote the number of juniors who will attend the party. Suppose the joint probability density function of X and Y is given by fX.03 . (d) Are X and Y independent random variables? Justify your answer.12 .05 . Y ) is a random vector with the following joint probability density function: fX. with 2 juniors and 3 seniors. Plans are being made for a party.04 .Y (x.5). and let Y denote the number of seniors who will attend. 6. 6. y) X (juniors) Y (seniors) 0 1 2 .15 .20 0 1 2 3 .04 .01 .194 Questions for Chapter 6 6.05 .19 Suppose that (X.18 Let X be the proportion of persons who will respond to one kind of mailorder solicitation.25 . y) = 2 5 (x + 4y) 0 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise Find E(X | Y = y) for each 0 < y < 1. (b) Find the marginal probability density function for Y . y) = 2xe−y 0 if 0 ≤ x ≤ 1 and y ≥ 0 otherwise (a) Find P (X > 0.01 .20 Suppose that (X. y) = 2x 0 if 0 < x < 1 and 0 < y < 1 otherwise Find the marginal probability density function for Y .Y (x. (c) Find E(X). it has been determined that the random vector (X. Y ) is a random vector with the following joint probability density function: fX. Y ) has the following joint probability mass function: pX. 6. and let Y be the proportion of persons who will respond to a second type of mail-order solicitation.21 The Department of Metaphysics of Podunk University has 5 students.05 .Y (x.Y (x.

Y ) be a continuous random vector with joint probability density function given by fX. what is the expected amount of money that will be collected from all students? (d) The two juniors arrive early at the party. (c) Find the conditional probability density function for Y given that X = 1 . (b) Find the marginal probability density function for X and the marginal probability density function for Y .5 | Y ≤ 0. .23 Let (X. What is the probability that no seniors will show up? 6. 2 (d) Are X and Y independent random variables? Justify your answer.Questions for Chapter 6 195 (a) What is the probability that 3 or more students (juniors and/or seniors) will show up at the party? (b) What is the probability that more seniors than juniors will show up at the party? (c) If juniors are charged $5 for attending the party and seniors are charged $10.5).Y (x. Y ) be a continuous random vector with joint probability density function given by fX. 6. (d) Find P (X > 0. (b) Are X and Y independent random variables? Justify your answer. y ≥ 0 and x + y ≤ 1 . (c) Find P (X + Y ≤ 1). otherwise (a) Find the marginal probability density function for X and the marginal probability density function for Y . otherwise (a) Compute P (X < Y ).Y (x. y) = 4xy 0 for 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 . y) = 2 0 if x ≥ 0.22 Let (X.

25 A box contains four balls numbered 1. y) = if 0 < x < 1 and y > 0 otherwise  0    (a) Compute P (X > 0. (b) Compute P (Y ≥ 3 | X = 1). y) = 6x2 y 0 for 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1 otherwise (a) Find the marginal probability density function for X and the marginal probability density function for Y . It is not replaced. Y < 1. Y ) be a continuous random vector with joint probability density function given by fX. 6. A second ball is then drawn at random from the box. 6. (d) Find E(X + Y ). Y ). (d) Find E(X + Y ).5. 3 and 4. Let X be the number on the first ball drawn.24 Let (X.26 Suppose that (X. (c) Find the marginal probability density function for X .Y (x. (b) Are X and Y independent random variables? Justify your answer. Y ) is a random vector with the following joint probability density function:   2xe−y    fX. (c) Find P (X + Y ≤ 1).5 | Y < 1. 2.Y (x. . (a) Find the joint probability mass function for the random vector (X. and let Y be the number on the second ball.0). A game consists of drawing one of the balls at random from the box.0).196 Questions for Chapter 6 6. (b) Compute P (X > 0.

28 (†) Suppose X and Y are positive.. A probability class is composed of 75 juniors and 25 seniors. Let Z = X/Y .27 Past studies have shown that juniors taking a particular probability course receive grades according to a normal distribution with mean 65 and variance 36. (a) What is the probability that a student chosen at random from the class will receive a grade in the 70’s (i. Express the probability density function for Z in terms of an integral that involves only fX and fY . . independent continuous random variables with probability density functions fX (x) and fY (y). Seniors taking the same course receive grades normally distributed with a mean of 70 and a variance of 36. between 70 and 80)? (b) If a student is chosen at random from the class. (a) Express the probability density function for Z in terms of an integral that involves only fX and fY .e. (b) Now suppose that X and Y can be positive and/or negative. respectively. what is the student’s expected grade? (c) A student is chosen at random from the class and you are told that the student has a grade in the 70’s.Questions for Chapter 6 197 6. Compare your answer to the case where X and Y are both positive. What is the probability that the student is a junior? 6.

198 Questions for Chapter 6 .

u=c In other words. Example: Let h(x) = x3 then h(2) (4) = = = d2 h(x) dx2 d2 3 x dx2 x=4 x=4 3x 2 x=4 = 3(4)2 = 48 Probability generating functions Definition 7. For any differentiable function h(u). 199 .1.7 TRANSFORMS AND SUMS Transforms Notation Throughout this section we will use the following notation: Definition 7. Let X be a discrete random variable with support on the nonnegative integers. Then the probability generating function for X is given by gX (z) ≡ E(z X ) for |z| < 1.2. and constant c h(k) (c) ≡ dk h(u) duk . h(k) (c) is the k th derivative of h evaluated at u = c.

we get. .1. We have gX (z) = E(z X ) ∞ = k=0 z k P (X = k) Writing out the sum explicitly. . . gX (z) = z 0 P (X = 0) + z 1 P (X = 1) + z 2 P (X = 2) + z 3 P (X = 3) + . . . gX (0) = P (X = 1) (1) (1) Another derivative produces. . . . . . we get ∞ k=0 gX (z) = E(z X ) = zk e−α αk k! = e−α (αz)k k! k=0 ∞ = e−α eαz = eα(z−1) Theorem 7. gX (0) = (1)P (X = 0) Now take the first derivative of gX (z).200 Transforms Example: Let X have a Poisson distribution with parameter α > 0 Then pX (k) = e−α αk k! for k = 0. gX (z) = P (X = 1) + 2zP (X = 2) + 3z 2 P (X = 3) + 4x3 P (X = 4) + . . . then P (X = k) = gX (0) k! (k) Proof. (Informal proof) Let g (k) (z) denote the k th derivative of g with respect to z . 2. . Recalling that ex = ∞ k k=0 (x /k !). 1. . If gX (z) is the probability generating function of X .

. Xn are independent random variables with probability generating functions gX1 (z). . . Recall that if X and Y are independent random variables.Transforms (2) 201 gX (z) = 2P (X = 2) + 3(2)zP (X = 3) + 4(3)z 2 P (X = 4) + 5(4)z 3 P (X = 5) + . Proof. X2 . If gX (z) is the probability generating function of X .3.2. gX2 (z). . respectively. . evaluated at z = 1. . ∞ (1) (1) (1) = k=0 kP (X = k) = E(X) Theorem 7. . . . then E(X) = gX (1) (1) where gX (1) is the first derivative of gX (z) with respect to z . gX (0) = 2P (X = 2) (2) And once more to see the pattern. gX (1) = P (X = 1) + 2P (X = 2) + 3P (X = 3) + 4P (X = 4) + . gXn (z). then E(h(X)g(Y )) = E(h(X))E(g(Y )) . Proof. then the probability generating function of the random variable Y = X1 + X2 + · · · + Xn is n gY (z) = i=1 gXi (z). . . gX (z) = 3(2)P (X = 3) + 4(3)(2)zP (X = 4) + 5(4)(3)z 2 P (X = 5) + . . . As above. . . gX (z) = P (X = 1) + 2zP (X = 2) + 3z 2 P (X = 3) + 4x3 P (X = 4) + . . gX (0) = 3(2)P (X = 3) (3) (3) And. . If X1 . in general gX (0) = n!P (X = n) (n) Theorem 7. .

Example: Let T have a Bernoulli distribution with parameter p. it is a direct result of Theorem 7. If gX (z) is the probability generating function of X . then the probability generating function of the random variable Y = a + X is gY (z) = z a gX (z)..5. We have. Except for some technical details. and a is a nonnegative. P (T = 1) = p P (T = 0) = 1 − p = q Then the probability generating function of T is given by gT (z) = z 0 q + z 1 p = q + zp ..5 without proof.1.+Xn ) = E(z X1 z X2 · · · z Xn ) = E(z X1 )E(z X2 ) · · · E(z Xn ) = gX1 (z)gX2 (z) · · · gXn (z) Theorem 7. Proof. The probability generating function of a random variable uniquely determines its probability distribution.4.202 Transforms Therefore. Theorem 7. integer constant. gY (z) = E(z Y ) = E(z a+X ) = E(z a z X ) = z a E(z X ) = z a gX (z) We offer Theorem 7. gY (z) = E(z Y ) = E(z X1 +X2 +.

The kth moment about the origin of a random variable X is defined as E(X k ). T1 . b).3 with the Ti ’s to easily get gX (z) = gT1 (z)gT2 (z) · · · gTn (z) = (q + zp)n As an exercise. . Then the moment generating function for X is given by MX (t) ≡ E(etX ).4. Let X be (almost) any random variable. 1. T2 . Example: Let X have a uniform distribution on the interval (a. Definition 7. n.3. Then   fX (x) = 1 b−a  0 if a ≤ x ≤ b otherwise . . .2 to get E(X) from gX (z). .Transforms 203 Example: Now suppose. . Moment generating functions Definition 7. . One could obtain the probability generating function for X is given by computing gX (z) = E(z X ) = n k=0 zk n k (n−k) p q k But we can use Theorem 7. Tn are n independent Bernoulli random variables each with P (Ti = 1) = p P (Ti = 0) = 1 − p = q We know (from Chapter 4) that X = T1 + T2 + · · · + Tn has a Binomial distribution with parameters n and p. That is P (X = k) = n k (n−k) p q k for k = 0. . . use Theorem 7.

.204 Transforms Therefore. we get tX ∞ MX (t) = E(e ) = k=0 etk ∞ e−α αk k! = e−α (αet )k k! k=0 t t −1) = e−α eαe = eα(e Note that since a Poisson random variable X has support {0. MX (t) = E(etX ) = = = = = ∞ −∞ b a etx fX (x) dx etx 1 dx b−a b a 1 t(b − a) tetx dx b a 1 etx t(b − a) etb − eta t(b − a) for t = 0 Example: Let X have a Poisson distribution with parameter α > 0 Then pX (k) = e−α αk k! for k = 0. 1. we can derive the following relationship: gX (z) = E[z X ] substituting z = et . . it can have a probability generating function and a moment generating function. 2. . When a random variable has both a probability generating function and a moment generating function.}. 1. 2. we obtain gX (et ) = E[(et )X ] = E[etX ] = MX (t) Since the probability generating function for a Poisson random variable is gX (z) = eα(z−1) . Recalling that ex = ∞ k k=0 (x /k !). . . .

Then 1 1 x−µ fX (x) = √ exp − 2 σ 2πσ Therefore. Then fX (x) = αe−αx if x ≥ 0 0 otherwise Therefore.. MX (t) = E(etX ) = 0 ∞ ∞ etx αe−αx dx αex(t−α) dx = 0 Note that this integral only converges if t < α. Reading MA. . MX (t) = = α x(t−α) ∞ e t−α 0 α for t < α α−t Example: (From Meyer.1 ) Let X ∼ N (µ.} (that is. MX (t) = 1 1 √ 2π +∞ −∞ exp[t(σs + µ)]e−s 2 /2 ds Meyer. . σ 2 ). thus x = σs + µ and dx = σds. Introductory probability theory and statistical applications. P. Example: Let X have an exponential distribution with parameter α > 0. . Addison-Wesley. 1965. for every t. those random variables with probability generating functions). 1 MX (t) = √ 2πσ +∞ −∞ 2 etx exp − 1 x−µ 2 σ 2 dx Let (x − µ)/σ = s. 2. Continuing. 1.Transforms 205 the moment generating function for a Poisson random variable must be MX (t) = gX (et ) = eα(e t −1) It’s important to remember that this relationship will only hold for random variables with support {0. Therefore. .

206 +∞ −∞ +∞ −∞ Transforms 1 = etµ √ 2π 1 = etµ √ 2π = etµ+σ 2 t2 /2 1 exp(− 2 [s2 − 2σts]) ds exp{− 1 [(s − σt)2 − σ 2 t2 ]} ds 2 +∞ −∞ 1 √ 2π exp(− 1 [s − σt]2 ) ds 2 Now let s − σt = v . . (Informal proof) Let MX (t) denote the k th derivative of MX with respect to t. . . MX (t) = E 1 + tX + (tX)2 (tX)3 (tX)4 + + + ··· 2! 3! 4! If the sum in the right hand side converges. then ds = dv and we obtain MX (t) = etµ+σ 2 t2 /2 1 √ 2π . . 1. . . MX (t) = E(X) + tE(X 2 ) + (1) t2 E(X 3 ) t3 E(X 4 ) + + ··· 2! 3! . . If MX (t) is the moment generating function of X . 2. Proof. We have MX (t) = E(etX ) = E (tX)k k! k=0 ∞ (k) Writing out the sum explicitly. +∞ −∞ e−v 2 /2 dv = e(tµ+σ 2 t2 /2) Theorem 7. . then E(X k ) = MX (0) (k) for k = 0.6. MX (t) = 1 + tE(X) + t2 E(X 2 ) t3 E(X 3 ) t4 E(X 4 ) + + + ··· 2! 3! 4! Take the first derivative of both sides to get . . we get . we get.

Xn are independent random variables with moment generating functions MX1 (t). . . If X1 . MXn (t). If MX (t) is the moment generating function of X . . .9. . . X2 . Theorem 7. MX2 (t). then the moment generating function of the random variable Y = X1 + X2 + · · · + Xn is n MY (t) = i=1 MXi (t). and a and b are constants. respectively. Theorem 7. . MX (0) = E(X 2 ) (2) Continuing. . MX (t) = E(X 2 ) + tE(X 3 ) + (2) t2 E(X 4 ) t3 E(X 5 ) + + ··· 2! 3! and when evaluated at t = 0. . . . The moment generating function of a random variable uniquely determines its probability distribution. . MX (0) = E(X k ) (k) Theorem 7. . .7.Transforms 207 and when evaluated at t = 0. .8. Example: If X ∼ N (µ. then the moment generating function of the random variable Y = aX +b is MY (t) = ebt MX (at). . we see that. MX (t) = E(X k ) + tE(X k+1 ) + (k) t2 E(X k+2 ) t3 E(X k+3 ) + + ··· 2! 3! and when evaluated at t = 0. . . MX (0) = E(X) (1) Take the second derivative of both sides to get . σ 2 ) then the moment generating function for X is MX (t) = etµ+ 2 t 1 2 2 σ .

. 1).8 with a= 1 σ and b=− µ σ we find that the moment generating function for Z is MZ (t) = ebt MX (at) = e−tµ/σ MX (t/σ) = e[− σ ] e = e = et 2 /2 tµ t [ σ µ+ t2 σ2 ] 2σ 2 [− tµ + tµ + σ σ t2 σ2 ] 2σ 2 which is the moment generating function of a normal random variable with expected value equal to zero and variance equal to one.208 Transforms So. And. σ 2 ) then Z = (X − µ)/σ ∼ N (0. if you encounter a random Y with moment generating function MY (t) = et 2 /2 you can immediately say that Y ∼ N (0. we have shown that if X ∼ N (µ. 1). Now. So the moment generating function for X is MX (t) = etµ+ 2 t 1 2 2 σ Consider the random variable Z= 1 µ X −µ = X− σ σ σ Using Theorem 7. suppose you are given that the random variable X has a normal distribution with mean µ and variance σ 2 . 8). Therefore. if someone tells you that the random variable W has moment generating function 2 MW (t) = e−2t+4t then the distribution of W must be N (−2.

Let X be (almost) any random variable. . σi ) and a1 . .6.5. Xn are independent normal random variables with 2 Xi ∼ N (µi . Characteristic function Definition 7.Linear combinations of normal random variables 209 Other transforms of random variables Laplace transform Definition 7. Linear combinations of normal random variables Theorem 7. Let X be any random variable. . . an and b are constants.10. Then the characteristic function for X is given by ψX (t) ≡ E(eitX ) √ where i ≡ −1. . a2 . . Note that the moment generating function for a continuous random variable X with probability density function fX (x) is MX (t) = ∞ −∞ etx fX (x) dx and the Laplace transform for the same density function is LX (t) = ∞ −∞ e−tx fX (x) dx So the moment generating function of a continuous random variable is simply the Laplace transform of the probability density function with t replaced by −t everywhere in the formula for the transform. . X2 . . then n Y =b+ i=1 2 ai Xi ∼ N (µY . Then the Laplace transform for X is given by LX (t) ≡ E(e−tX ). σY ) where µY = b + n ai µi i=1 . if X1 .

X2 . . 1) = 1 − [P (Z ≤ 2) − P (Z ≤ −2)] = 1 − [P (Z ≤ 2) − (1 − P (Z ≤ 2))] = 2 − 2P (Z ≤ 2) = 2 − 2(0. . we want to find P (|X − 6| > 2). Xn . 4). it is reasonable to assume that the weights of n snails chosen at random from the population of all snails are n independent identically distributed random variables. Since X1 . Xn . 16). 4 P (|X − 6| > 2) = 1 − P (|X − 6| ≤ 2) = 1 − P (−2 ≤ X − 6 ≤ 2) = 1−P −2 X −6 2 ≤ ≤ 1 1 1 = 1 − P (−2 ≤ Z ≤ 2) where Z ∼ N (0. 4). That is.9772) = 0. X2 .210 Linear combinations of normal random variables and 2 σY = n 2 a2 σi . .8413 = 0. Therefore.0456 . and variance 4 gm2 . . suppose that 4 snails are selected at random. will exceed 28 gm. . Let X = 1 (X1 + 4 X2 + X3 + X4 ) denote the average weight of the 4 snails. . Let’s find the probability that the observed average weight deviates from the expected weight by more than 2 gm. . Xn . we have X = 4 1 i=1 Xi ∼ N (6. . . T = X1 + X2 + X3 + X4 . i i=1 Example: The weights of snails are normally distributed with mean 6 gm. P (T > 28) = P 28 − 24 T − 24 > 4 4 = P (Z > 1) where Z ∼ N (0. and we would like to find the probability that the total weight. Therefore.1587 3 Once again. with each Xi ∼ N (6. . we have T = 4 i=1 Xi ∼ N (24. 4). are iid with each Xi ∼ N (6. 1).? Since X1 . . 1) = 1 − P (Z ≤ 1) = 1 − 0. . X2 . X1 . Therefore. are iid with each Xi ∼ N (6. 3 Suppose that 4 snails are selected at random.

The Central Limit Theorem Theorem 7. X2 . the sample mean. is a random variable. . Remember that X . Proof. Let X = n 1 i=1 Xi . Xn is a random sample with E(Xi ) = µ and Var(Xi ) = σ 2 for all i. X2 . . . Therefore. and MZn (t) = e−µ √ nt/σ √ M (t/(σ n)) n We are going to need the following two facts: . σ 2 ) distribution. . Xn . . First note that E(Sn ) = nµ and Var(Sn ) = nσ 2 . Xn . we can let M (t) denote the common moment generating function of each X1 . we get √ √ (1) MZn (t) = e−µ nt/σ MSn (t/(σ n)) Since each Xi has the same moment generating function for all i. and 3. we can let M (t) denote the common moment generating function of each X1 . Zn = then n→∞ Sn − nµ √ . We will get the result by showing that the moment generating function for Zn must approach the moment generating function of a N (0. X2 . X1 .The Central Limit Theorem 211 The distribution of the sample mean Let X1 . MSn (t) = [M (t)]n . . Since each Xi has the same moment generating function for all i. . σ 2 /n). Sn = X1 + X2 + · · · + Xn . σ n lim P (Zn ≤ z) = Φ(z). . . 1) random variable. .11. (Central Limit Theorem) If 1. Xn be a random sample from a N (µ. . . . . and 2. X2 . . Then MZn (t) = M Sn√ (t) = M −nµ σ n Sn √ − σ n √ nµ σ (t) Since MaY +b (t) = etb MY (at) for any random variable Y and any constants a and b. . Then n X ∼ N (µ.

. we can make this summation as small as we want. ξ ) will eventually be less than one. As n → ∞. so ln MZn (t)   √ ∞  −µ nt (−1)j−1 = + n  σ j j=1 =  √ −µ nt + n σ ∞ j E(X k ) k! k=1 t √ σ n k t √ σ n ∞ k    E(X k ) k! k=1 ∞ 1 − 2 E(X k ) k! k=1 t √ σ n k 2  + · · · . Now. Therefore. take the natural log of both sides of equation (1) and use fact (A): √ t −µ nt ln MZn (t) = + n ln M √ σ σ n √ ∞ k −µ nt E(X k ) t √ = + n ln 1 + . permitting us to use fact (B).212 E(X k ) k t k! k=1 (−1)j−1 j ξ j j=1 ∞ ∞ The Central Limit Theorem (A) M (t) = 1 + (B) ln(1 + ξ) = for |ξ| < 1. the summation (i.e. 1 ln MZn (t) = 0t + t2 + [other terms]. Hence. ln MZn (t) = √ (−µ + E(X)) n t+ σ E(X) 1 E(X)2 − 2!σ 2 n 2 σ 2 n t2 + · · · . E(X 2 ) − E(X)2 2σ 2 t2 + [other terms] But E(X) = µ and E(X 2 ) − E(X)2 = σ 2 . Collect similar powers of t to obtain √ −µ nt E(X) √ +n t+ ln MZn (t) = σ σ n Hence. for suitably large n. σ k! σ n k=1 Note that the natural log term looks like fact (B) with ξ= E(X k ) k! k=1 ∞ t √ σ n k . 2 .

. . n i=1 Ti Then E(Ti ) = p and Var(Ti ) = p(1 − p). We already know that Sn = has a Binomial distribution with parameters n and p. . However. So limn→∞ P (Zn ≤ a) = Φ(a). Hence.e. Of course. 1. 1).2 we get the following Theorem 7. n. .The Central Limit Theorem 213 But the “[other terms]” for tn with n ≥ 3 go to zero as n → ∞ because there is a power of n in the denominator of each of the “[other terms]” (expand the series further if you need convincing). as the number of Bernoulli trials increases) the distribution of Zn = Sn − np np(1 − p) approaches the distribution of a N (0. Tn be a random sample from a Bernoulli distribution. that is P (Sn = k) = n k p (1 − p)n−k k for k = 0. 2 /2 n→∞ which is the moment generating function for N (0. because of the Central Limit Theorem.12. The DeMoivre-Laplace Theorem A proof of the Central Limit Theorem was provided by Liapounoff in 1902. .. 2 . 2 n→∞ Therefore. . But DeMoivre (1733) and Laplace (1812) proved a similar result for the following special case: Let T1 . . T2 . (DeMoivre-Laplace Theorem) As n gets large (i. lim ln MZn (t) = lim MZn (t) = et t2 . 1) random variable. DeMoivre and Laplace didn’t know about the Central Limit Theorem and had to prove this in a different way. . that is let P (Ti = 1) = p P (Ti = 0) = 1 − p.

i=1 • If X1 . X2 . The distribution of the sample mean for large n Let X1 . Combining this fact with the case discussed on page 211. . Suppose n is an integer and 0 < p < 1. we can use the Central Limit Theorem to say that the probability distribution of X approaches a N (µ. . Xn is a random sample from a normal distribution with E(Xi ) = µ and Var(Xi ) = σ 2 . np(1 − p)) random variable. we can still say that the probability distribution of the sample 1 mean X = n n Xi is approximately N (µ. Xn be a random sample from (just about any) distribution with E(Xi ) = µ and Var(Xi ) = σ 2 . because as n → ∞ both the mean np and variance np(1 − p) go to ∞. X2 . we get what is often called the “normal approximation to the binomial. In the limit. . σ 2 /n). . X2 . Then the probability distribution of the 1 sample mean X = n n Xi is N (µ. (k−np)2 n k −1 e 2 np(1−p) p (1 − p)n−k ≈ √ 1 2πnp(1−p) k This approximation usually works well when np(1 − p) > 9. we can summarize both results as follows: • If X1 . Then. σ 2 /n) distribution.13.” as follows: Corollary 7. . i=1 . since X is composed of a sum of independent random variables. . . . . then for “large” values of n. because of the Central Limit Theorem. . this is not very useful (and not precise). furthermore.214 The Central Limit Theorem Another (more casual) way to state the DeMoivre-Laplace Theorem is to say that as n → ∞. . And recall that the sample mean is defined as X= 1 n n Xi i=1 Simply using the rules for expected value and variance. σ 2 /n). But for finite n. . Xn is a random sample with E(Xi ) = µ and Var(Xi ) = σ 2 but the distribution of the Xi is not normal. the distribution of the random variable Sn approaches the distribution of a N (np. we get E(X) = µ Var(X) = σ 2 /n But.

5t 2 2 (B) 2e0.Self-Test Exercises for Chapter 7 215 Self-Test Exercises for Chapter 7 For each of the following multiple-choice questions. Then the moment generating function for Y = X1 + X2 is (A) e0.2 Suppose X ∼ N (2. 9) and Y ∼ N (2.5t (C) et 2 .9772 (E) none of the above.5199 (C) 0.5t 2 Let X1 and X2 be two independent random variables.1 Let X be a random variable with probability generating function g(z) = z + z5 + z6 3 The value of E(X) equals (A) 0 (B) 1 3 (C) 1 (D) 4 (E) none of the above. S7.3 Suppose X is a random variable with moment generating function MX (t) = E(etX ) = e0. S7. 16) are independent random variables. each with the same probability distribution as X .8413 (D) 0.1587 (B) 0. choose the best response among those provided. Answers can be found in Appendix B. S7. Then P (X + Y < 9) equals (approximately) (A) 0.

5 If X and Y are independent.05 (C) 0. Then P (S ≥ 1) equals (A) 1 − pn (B) 1 − (1 − p)n (C) 2 ∞ √1 e−x /2 dx 1 2π (D) 1 (E) none of the above.50 . Tn be n independent identically distributed random variables with {Ti = 1} if light bulb i is good. Then S = n Ti is the i=1 total number of good light bulbs in the batch.5t 4 (E) none of the above. and {Ti = 0} if light bulb i is bad. T2 . 1) and Y ∼ N (0. then 3X − Y (A) has a normal distribution with mean 2 and variance 1 (B) has a normal distribution with mean 0 and variance 10 (C) has a normal distribution with mean 0 and variance 2 (D) has a normal distribution with mean 2 and variance 4 (E) none of the above. 2). If p is the probability that any one light bulb is good. Suppose that a batch of n bulbs are selected at random. normally distributed random variables each with mean 0 and variance 1. . . S7. then each Ti has probability mass function pTi (k) = 1−p p if k = 0 if k = 1 where 0 < p < 1. The value of P (X > Y ) is (A) 0 (B) 0. .6 Let X and Y be independent random variables with X ∼ N (0. . S7.216 Self-Test Exercises for Chapter 7 (D) e0.4 An automated assembly line produces incandescent light bulbs. Let T1 . S7.

X2 .7 Let X be a random variable with probability generating function g(z) = z(1 + z) 2 The value of P (X = 0) is (A) 0 (B) 1/4 (C) 1/2 (D) 1 (E) none of the above. Then Var(Y ) equals (A) 1/16 (B) 1/4 (C) 4 (D) 16 (E) none of the above. 3.Self-Test Exercises for Chapter 7 217 (D) 0. 4.9 Let X and Y be independent. S7. X3 . S7. 2. Let Y = X1 + X2 + X3 + X4 . each with E(Xi ) = 0 and Var(Xi ) = 1 for i = 1. X4 be independent random variables. normally distributed random variables each with mean 0 and variance 1. Then the random variables W1 = X + Y W2 = X − Y (A) have the same mean (B) have the same variance (C) are both normally distributed .95 (E) none of the above. S7.8 Let X1 .

S7. The amount of water he carries on any one trip from the well to the tank is normally distributed with mean 1 gallon and standard deviation 0. fills his one gallon bucket with water and brings that water down to the 100 gallon tank.0636 .218 Self-Test Exercises for Chapter 7 (D) all of the above (E) none of the above. Jack repeatedly goes to a well at the top of a hill. The amount of water carried on any trip is independent of all other trips. The probability that Jack will need to make more than 100 trips to the well is (A) 0. S7. If X and Y are independent. S7. then X + Y + 1 has a moment generating function equal to (A) et (1 − t)−2 (B) (1 − t)−2 (C) 2et (1 − t)−1 (D) es (1 − t)(1 − s) (E) none of the above.05 (B) 0.12 Jack is attempting to fill a 100 gallon water tank using a one gallon bucket.10 Let X be a random variable with moment generating function MX (t) = et (1 + e2t ) 2 The value of E(X) is (A) 0 (B) 1 (C) 2 (D) 3 (E) none of the above.1 gallon.11 Let X be a random variable with moment generating function MX (t) = (1 − t)−1 . Let Y be a random variable with moment generating function MY (s) = (1 − s)−1 .

6915 (D) 1. 2) and Y ∼ N (1. 1) and Y ∼ N (0. S7.5 (C) 1 (D) P (X + Y < 1) (E) none of the above.14 Let X and Y be independent random variables with X ∼ N (1.0 (E) none of the above. 2).15 Let X be a discrete random variable with probability mass function given by 1 P (X = 0) = 3 P (X = 1) = 2 3 Then the moment generating function for X is (A) e2t/3 (B) (C) (D) 1 3 (1 1 2 (1 + 2et ) + et ) + e2t ) 1 t 2 e (1 (E) none of the above.3830 (C) 0.13 Let X and Y be independent random variables with X ∼ N (0.2580 (D) 0. 2).5 (E) none of the above. .Self-Test Exercises for Chapter 7 219 (C) 0. S7. Then P (|X − Y | ≤ 1) equals (A) 0 (B) 0. The value of P (X − Y < 1) equals (A) 0 (B) 0. S7.

S7. n. Xn be independent. identically distributed random variables with each Xi having a probability mass function given by P (Xi = 0) = 1 − p P (Xi = 1) = p where 0 ≤ p ≤ 1. S7. . . 4) for i = 1. . Let W = n Xi and define the random i=1 variable W − 2n Z= c Then Z ∼ N (0. . . 1) if and only if (A) c = 1 (B) c = n √ (C) c = 2 n √ (D) c = 2/ n (E) none of the above.18 Let X1 .16 Suppose X1 . . Xn are independent random variables with each Xi ∼ N (2. . X2 . .17 Let X be a random variable with moment generating function MX (t) = et (1 + et ) 2 The value of E(X) is (A) 0 (B) 2 3 (C) 1 (D) 3 2 (E) none of the above. . .220 Self-Test Exercises for Chapter 7 S7. Define the random variable Y = 1 n n Xi i=1 Then E(Y ) equals (A) 0 . . . 2.

and Z are independent random variables with X ∼ N (1.3 The moment generating function for a random variable X is given by M (t) = (0. (c) Find E(|X − 15|). Y . integer support and moment generating function p . (b) Find E(X) and E(X 2 + 1). 9) and Z ∼ N (3. 16). (a) Compute P (X ≤ 30). 4). Questions for Chapter 7 7.Questions for Chapter 7 221 (B) p (C) p2 (D) 1 (E) none of the above. Y ∼ N (2. M (t) = t (1 − p) 1−e What is the value of P (X = 0)? 7. .4 Let X be a random variable with nonnegative. (d) Find the moment generating function for X . 7. (b) Find E(X).25)e27t + (0.25)e49t . 2−t What is the expected value for this random variable? 7.5)e26t + (0.5 Suppose that X .2 A random variable has the moment generating function M (t) = 2 . 7. 2 (a) Find P (X > 18 | X > 13).1 The probability generating function for a random variable X is given by g(z) = z 10 + z 20 .

7 A large forklift has a 0. Hint: Don’t use Chebychev’s inequality. .95.01? 7. find a number a (that will depend on n).9 A one-pound box of breakfast cereal never contains exactly one pound of product. . . each with E(Xi ) = 0 and Var(Xi ) = 1 for all i = 1. The net weight (in pounds) is normally distributed with variance 0.3174 7. Explain the difference in your answers. X2 . Approximately what is the probability that at least 1965 of the tosses will turn up heads? 7. Xn be independent and identically distributed random variables. 0. . .8 A fair coin is tossed 5000 times. Approximately how many cartons can the forklift carry so that the probability that its total load exceeds its capacity is only 0. . (c) Compare the answers to (a) and (b). (a) What value should µ be adjusted to so that the producer can guarantee that the probability that the net weight of a box is less than one pound is only 0. . (a) Using Chebychev’s inequality.6 Let X1 . (b) Solve question (a) again using the additional information that each of the Xi is normally distributed. (d) Compute P [(3X − Z)2 > 52]. (b) Find the number a such that P (3−4a < Z < 3+4a) = 0.01 and mean µ that can be varied by adjusting the packaging equipment. X2 . (c) Compute P [(X + Y + Z)2 ≤ 25]. 2. These weights can be assumed to be independent and identically distributed. . . . . Xn . 7.222 Questions for Chapter 7 (a) Compute P (X + Y ≤ 1).5 ton (1000 pound) capacity. You should be able to get this answer knowing the exact distribution of Xn .05? . n. . such that P (|X n | ≤ a) ≥ 0. Cartons of items have individual weights that are normally distributed with mean 25 pounds and standard deviation 2 pounds.95 where X n denotes the sample mean of X1 .

(b) Suppose that two bottles of Phizzi-Soda are chosen at random. the quantity of Phizzi-Soda in a single bottle is a random variable X .1 ounces and variance 0. Assume that X is normally distributed with mean 12. . Find P (X1 > X2 ). (a) What is the probability of receiving a grade less than 80? (b) If 49 students take the test. When the automated filling machine is working properly.12 The Phizzi Soft Drink Company’s best selling product is Phizzi-Soda that it sells in 12-ounce bottles. Hint: P (X1 > X2 ) = P (X1 − X2 > 0). 7. Find P (X < 12).Questions for Chapter 7 223 (b) What is the probability that a carton of 16 cereal boxes produced according to the specifications determined in part (a) will not exceed a total net weight of 19. (a) Let X1 denote the fill-volume of a single bottle of PhizziSoda. what is the probability that the average of their scores lies between 68 and 72? (c) What is the probability that the difference in the scores of two students (picked at random) lies between −5 and +5? 7. Let X1 and X2 be independent random variables denoting the fill-volume of each of the two bottles. Find P (X1 < 12).11 True or False: If X and Y are normally distributed random variables with mean 0 and variance 1.28 pounds? 7. then 3X − Y has a normal distribution with mean 0 and variance 10.0025 (ounces)2 . (c) Let X = (X1 +X2 )/2 be a random variable representing the average fill-volume of the two bottles selected in question (b).10 The distribution of test scores on an examination is approximately normal with mean 70 and standard deviation 7.

identically distributed random variables. 9) and Y ∼ N (6.25(kgm)2 . (a) Suppose that one package of paper is weighed. then limz→1 gX (z) = 1. (b) Find the moment generating function for X . What is the probability that their average weight is greater than 2. 7. The weights of all packages can be considered independent. (d) Compute P (0 ≤ X < 2). What is the probability that their total weight is greater than 25 kgm? (c) Suppose that ten packages of paper are weighed together. normally distributed random variables with X ∼ N (1. (b) Find P (X > Y ).13 Let X be a continuous random vector with probability density function given by 1/θ for 0 ≤ x ≤ θ fX (x) = .16 Let X and Y be independent. (a) Find the number a having the property that P (Y > a) = 0.5 kgm? (b) Suppose that ten packages of paper are weighed together. 7.1 kgm? 7.15 Prove that if gX (z) ≡ E(z x ) is a probability generating function for X .975. 16). 0 otherwise where θ is a constant with θ > 0. (a) Find Var(X). . (c) Compute P (|X − 1| < 4).14 Individual packages of writing paper have weights that are normally distributed each with mean 2 kgm and variance 0. What is the probability that its weight is greater than 2.224 Questions for Chapter 7 7. Your answers to the following questions might depend on the constant θ.

then n W = i=1 Yi is a log-normal random variable. σ = 0. Gutts plans to transport the water to the mountain-top pool using a fleet of 200 helicopters with each helicopter carrying a small water-tank. The amount of water carried the 200 individual helicopters can be assumed to be a collection of independent and identically distributed random variables X1 .04 cm. . show that if Y1 . The elevation of the pool (and his home) is very high so that it is impossible to pump water up the mountain. Y2 .01 cm. wants to fill one of the swimming pools at his mountain-top home.17 Referring to the previous question. If the components are selected at random for the assembly. (a) Find E(Y ) and Var(Y ) (b) What is the probability that Mr. 7. The capacity of the swimming pool is 198869 gallons. Let Y = n Xi be a random variable denoting the total water carried by i=1 all of the n = 200 helicopters. .Questions for Chapter 7 225 7. Quality control measurements show that the distribution of rod diameter and socket diameter are independent and normal with parameters: Rod diameter: µ = 5. Yn are independent log-normal random variables. . . σ = 0.03 cm. . . Mr. Gutts can fill his swimming pool using the 200 helicopters? . . . Xn with n = 200. But it is well-known that the amount of water (in gallons) carried by a single helicopter can be represented by a random variable that is normally distributed with mean 1000 and variance 1600. a cylindrical rod with a circular cross-section has to fit into a circular socket.18 At one stage in the assembly of an article. what proportion of rods will not fit? 7. X2 . Socket diameter: µ = 5. The amount of water transported varies from helicopter to helicopter.19 Bill Gutts. For that reason.10 cm. one of the wealthiest men on earth.

even for a wealthy guy like Mr. Gutts.50. 1/2 if k = 0 P (Y = k) = 1/2 if k = 1 Find the probability distribution of the random variable W = X + Y .282).20 (†) Suppose X and Y are independent random varaibles. 1069. .226 Questions for Chapter 7 (c) Helicopters are very expensive. 1).718. Suppose Mr. Gutts would be happy if the probability that his swimming pool is completely filled is only 0. 7. Use the Central Limit Theorem to find the approximate probability that Mr. X has density function fX (x) = 1 if 0 < x < 1 0 otherwise The discrete random variable Y is a Bernoulli random variable with p = 1/2. How many helicopters should he use? (d) In an E-mail message. Instead it is has a uniform distribution on the interval (930. 1600) distribution. That is. Mr. The continuous random variable X has a uniform distribution on the interval (0. Gutts can fill his swimming pool if he uses 200 helicopters. Gutts is given the bad news that the amount of water carried by each helicopter does not have a N (1000. That is.

. A random sample is any sequence. 227 . . A statistic is any function.. identically distributed random variables. θ) = 1 1 −θx θe 0 x>0 otherwise where θ is unknown. θ) = 1 1 − θ (x1 +x2 +···+xn ) θe 0 xi > 0 for all i otherwise Statistics Definition 8. of independent.. X1 .8 ESTIMATION Good and bad luck are often mistaken for good and bad jusment – ANONYMOUS. . xn . Xn representing n independent observations from this random variable has a joint probability density function given by fX1 .1. . . . If a continuous random variable X has an unknown parameter θ. X1 . identically distributed random variables. . X2 .2.Xn (x1 . x2 . θ). . .X2 . Xn of independent. Example: Let X have an exponential distribution with probability density function fX (x. . . we often write it’s probability density function as fX (x. . . . Salada TM tea bag tag Basic Concepts Random samples Definition 8. Xn ). . X2 . . h(X1 . X2 . Then a random sample. ..

. Xn be a random sample. . . X2 . X2 . . ˆ 4. . Let X1 . θ(X1 . . X2 . . . . Xn as representing the future data values that will be obtained by making n independent observations of our experiment. i=1 . . . . . Note: Any function of a random sample can be called a statistic.3. Xn ) = X1 ˆ The random variable θ is the first observation. . Xn ) = max(X1 . . . . . Xn be a random sample. Xn ) = i=1 Xi ˆ The random variable θ is the product of the observations. You can think of the random variables X1 . X2 . . .228 Basic Concepts If a statistic is being used to establish statistical inferences about a particular ˆ unknown parameter θ. . Xn ). θ(X1 . . . θ(X1 . . X2 . . with the others discarded. n ˆ 2. Example: Let X1 . . . . X2 . The sample mean is the statistic 1 n X≡ Xi n i=1 and the sample variance is the statistic s2 ≡ X n 1 n−1 (Xi − X)2 . . Xn ) ˆ The random variable θ is the largest of the observations. then it is often written as θ(X1 . θ(X1 . ˆ 3. . Then the following are statistics: 1 ˆ 1. . Xn ) = n n Xi i=1 ˆ The random variable θ is the average of the observations. . . There are two important statistics that arise so frequently that they are given special symbols: Definition 8. X2 . X2 . X2 . . . .

. value of θ. X2 . .. . . . . i. . . Xn . . where θ is unknown. If X1 . . . . Xn ) an estimator for θ. We will call the number θ(x1 . . . . . θ) that is completely determined except for the unknown constant θ. X2 . . . . n Xi i=1 Finding Estimators Method of maximum likelihood Definition 8. ˆ E(θ) = θ for all θ. X2 . x2 . Xn ) has been already been selected for use. A random sample X1 . .Point Estimation 229 Point Estimation The problem Let X be a random variable with cumulative distribution function FX (x. ˆ ˆ Applying the function θ to these observations yields the number θ(x1 . Let X1 . . Suppose that a statistic ˆ θ(X1 . .e. Xn be a random sample from a discrete random variable X with probability mass function pX (x. . . θ). . xn denote the actual observed values taken on by X1 . Let x1 . . . Xn is a random sample from X then 1 ˆ θ(X1 . x2 . Xn is to be drawn from this distribution.4. X2 . X2 . X2 . . The likelihood function for . The estimator θ is an unbiased estimator of θ if its expected value equals θ. xn ) our estimate for the ˆ 1 . Xn ). . . . . . . Xn ) = n is an unbiased estimator for θ. . . We call the random variable θ(X Since any statistic can be called an estimator of any parameter. X2 . X2 . . xn ). Unbiased estimators ˆ Definition 8. x2 . .5. . This number can be thought of as an actual observation of the random variable ˆ ˆ θ(X1 . Example: Let X be a discrete random variable with probability mass function given by pX (0) = 1 − θ and pX (1) = θ. . . . . we will have to find ways to distinguish good estimators from poor estimators. .

. . xn . S8. . instead. . . one of the properties that we might like to check for is whether θ is ˆ = θ). . Then an unbiased estimator for µ is (A) (X1 )(X2 ) · · · (Xn ) (B) (X1 + X2 )2 /2 (C) 1 n n i=1 Xi . . . X2 . θ) = i=1 pX (xi . xn ). . x2 . . . . an unbiased estimator for θ (i. . . we can look at its performance prior to actually making the observations x1 . ˆ For example.230 Self-Test Exercises for Chapter 8 X1 . xn . Xn ). choose the best response among those provided. Since the value of θ that does this will usually vary with x1 . . θ) = i=1 fX (xi . Xn is given by n L(x1 . . xn . x2 . . x2 .e. . namely θ(x1 . . check to see if E(θ) Self-Test Exercises for Chapter 8 For the following multiple-choice question. .1 Suppose that X1 . where σ > 0. The answer can be found in Appendix B. θ). . Maximum likelihood estimators are obtained by finding that value of θ that maximizes L for a given set of observations x1 . x2 . xn . . If. . xn . . . θ). then the likelihood function is given by n L(x1 . . ˆ To evaluate the properties of θ. . θ). . . . X2 . x2 . X2 .. . xn . . x2 . X is a continuous random variable with probability density function fX (x. That is we can substitute Xi for xi in the ˆ specification for θ and look at its properties as the statistic ˆ θ(X1 . . . x2 . . . . . Xn are independent identically distributed random variables each with marginal probability density function 1 1 fXi (x) = √ e− 2 σ 2π x−µ 2 σ for −∞ < x < +∞. . . θ can be thought of as a function of ˆ x1 .

. . . i.e. . What constraint must be placed on a1 . θ) = n k θ (1 − θ)n−k k for k = 0. . . an are i=1 constants. 1. 8. a2 . (c) Find the maximum likelihood estimator for η = 1/θ. . . on a page of text has a Poisson distribution with parameter λ. . n. .2 Let Y be an estimator for θ based on the random sample X1 . X2 . . 2. ˆ (b) Show that θ = X1 /n is the maximum likelihood estimator for θ. i. . . . Suppose that E(Xi ) = θ and Y = n ai Xi where a1 . Questions for Chapter 8 8.e. . (a) Find an estimator for θ using the method of maximum likelihood. a2 . X2 . A random sample of n pages are observed . Xn .1 Let X be a random variable with a binomial distribution. pX (k .4 The number of typographical errors. . k! for k = 0. Xn be a random sample from X . . 8. .. Let X1 be a random sample of size 1 from X . an in order for Y to be an unbiased estimator for θ? 8. λ) = λk e−λ . X . . (b) Is the estimator for part (a) unbiased? Justify your answer. ... . pX (k . θ) = 0 otherwise Let X1 .Questions for Chapter 8 231 (D) σ (E) none of the above. . . ˆ (a) Show that θ = X1 /n is an unbiased estimator for θ.3 The life of a light bulb is a random variable X which has probability density function 1 1 −θx x>0 θe fX (x. 1.

. . (b) Is the estimator for part (a) unbiased? Justify your answer. Xj }. There are n such pairs.5 Given the random sample X1 . . Xn consider the statistic d2 formed by averaging the squared differences of all possible pairings of {Xi . . 8. X X . That statistic can be represented as 2 d2 ≡ X 1 n 2 i>j (Xi − Xj )2 Prove that d2 = 2s2 .232 Questions for Chapter 8 (a) Find an estimator for λ using the method of maximum likelihood. X2 .

. Theorem 9. Let X = n i=1 Ti . . then pX (k) = n k p (1 − p)n−k k k = 0. Definition 9. 2. Let T1 . If X is a binomial random variable with parameters n and p. . with P (Ti = 1) = p for all i. . . These outcomes are conventionally called success and failure. A Bernoulli random variable. Tn be a sequence of n independent and identically distributed Bernoulli random variables. T is a random variable with a probability mass function given by pT (0) = 1 − p pT (1) = p Definition 9. 1. .3. . n 233 . . n The binomial distribution Support: Probability mass function: 0. A Bernoulli trial is an experiment with only two outcomes. 2. T2 . 1. 1.1. n pX (k) = n k p (1 − p)n−k k k = 0.2. . . . Note: X denotes the total number of successes from n independent and identically distributed Bernoulli trials. . . . 2. Then X is said to have a binomial distribution.9 PROBABILITY MODELS Coin Tossing (Binary) Models Definition 9. .1. .

2)4 = 0.287 3 2.8)3 (0. It therefore remains operational for an entire day with probability 0. 1.234 Coin Tossing (Binary) Models g(z) = (zp + (1 − p))n MX (t) = (et p + (1 − p))n E(X) = np Probability generating function: Moment generating function: Moments: Notation Var(X) = np(1 − p) If X has a binomial distribution with parameters n and p. pX (k) = p(1 − p)k−1 k = 1. 2.2)3 (0. X ∼ B(7.8. . .8). . Hence. The geometric distribution Support: Probability mass function: Probability generating function: Moment generating function: Moments: Note X denotes the number of independent and identically distributed Bernoulli trials required until the first success (counting the successful trial). p). P (X = 3) = 7 (0. . . 2. P (Y = 4) = (0. we often write X ∼ B(n. 1 zp for |z| < g(z) = 1 − z(1 − p) 1−p tp e MX (t) = 1 − et (1 − p) E(X) = 1/p Var(X) = (1 − p)/p2 Example: A computer breaks down at least once a day with probability 0. What is the probability that it is operational for 3 days in a row before a breakdown? Solution: Let Y denote the number of days until a breakdown. . 1. What is the probability that it breaks down exactly 3 days out of a week? Solution: Let X denote the number of breakdowns.8) = 0.2. 0.0064 .

2. . 1. then for “large” n and “small” p P (X = k) = n k e−np (np)k p (1 − p)n−k ≈ k! k Random Particle Models n The expected number of particles per interval of length one is equal to α. pX (k) = e−α αk k = 0. Suppose the interval is divided into n equal segments with at most one particle placed in any segment. 1.2.Random Particle Models 235 The Poisson distribution Support: Probability mass function: Probability generating function: Moment generating function: Moments: 0. If X is a binomial random variable with parameters n and p. . . X is a binomial random variable with parameters n and p = α/n. 2. What is the probability that there are exactly k particles in the unit interval? Let X denote the number of particles in the unit interval. . Therefore. . P (X = k) = n k α n k  1 1− α n n−k . . k! g(z) = eα(z−1) for |z| < 1 MX (t) = eα(e E(X) = α t −1) Var(X) = α Theorem 9.

n. 2. This limiting particle process is called the Poisson Process with α = expected number of occurrences per unit interval X = number of occurrences in a unit interval and the probability mass function for X is given by pX (k) = αk e−α k! k = 0. . . .236 −k Random Particle Models αk k! n = 1− α n n n n−1 n−k+1 ··· n n 1− α n for k = 0. 1. .1).1)? Theorem 9. 2. . . W (see Figure 9. . 1. . fW (w) = αe−αw 0 if w ≥ 0 otherwise . Let Yi denote the interarrival time between occurrences i − 1 and i (see Figure 9.3. Each of the Yi are independent and identically distributed random variables with probability density function given by fYi (y) = αe−αy 0 if y ≥ 0 otherwise Question: Suppose a person begins to observe the process at time t0 chosen independently of the future of the process? What is the distribution of the waiting time to the next occurrence. Taking the limit as n gets large (the segment widths decrease) we obtain lim P (X = k) = 1(1)(1) · · · (1) = e−α αk k! αk −α e k! n→∞ for k = 0. . 1. 2. ..

Flashbulbs are packed n to a box. let Y denote the profit from selling a box of Cheapy flashbulbs.Self-Test Exercises for Chapter 9 237 Yi t i-1 W t t0 i Figure 9. The probability that any one bulb is good is p > 0 and it is independent of all other bulbs. The company sells each bulb for r cents.1: Interarrival and waiting times Self-Test Exercises for Chapter 9 For each of the following multiple-choice questions. S9. Answers can be found in Appendix B. What is the probability that every bulb in a box is good? (A) 0 (B) p (C) 1 − p (D) pn (E) none of the above.2 Using the information in the previous question. S9. Note that Y may be negative.1 It costs the Cheapy Flashbulb Company c cents to manufacture a single flashbulb. choose the best response among those provided. Cheapy will refund the purchase price of the entire box to the customer. If any of the bulbs in a box is bad. The value of E(Y ) is (A) 0 .

Present port facilities can service 2 tankers each day. The number of breakdowns during any period of length t hours is a random variable with a Poisson distribution with parameter t. If the machine breaks down x times during the t hours. Let P be the random variable representing the total profit from running the machine for t hours. (b) Find the length of time the machine should be operated to maximize the expected profit. can bring a profit of c dollars per hour (c < 2) to a firm. (a) Find E(P ) as a function of t. Questions for Chapter 9 9.238 Questions for Chapter 9 (B) n(rp − c) (C) nrpn − nc (D) nrpn + nc − 2ncpn (E) none of the above. Suppose that X has a Poisson distribution with E(X) = α > 0.2 The number of oil tankers. X . the probability that they all have no knots is (A) 1/4 (B) 4e−α (C) e−4α (D) α4 e−4α (E) none of the above. 9. when running properly. the excess tankers must be sent to another port. what is the probability of having to send tankers away? .3 The number of knots in a piece of lumber is a random variable. the loss incurred (from the shutdown plus repair costs) equals (x2 + x). N . arriving at a refinery each day has a Poisson distribution with parameter α = 3. If more than 2 tankers arrive in a day. However. (a) On any given day. this machine breaks down at unexpected and unpredictable times.1 A complicated piece of machinery. S9. If four independent pieces of lumber are examined.

2 cars/hour. If these are randomly distributed throughout the book. what is the probability of finding zero.5 In forming binary numbers with 32 binary digits. one. X3 .3 Suppose cars on a very long test track travel at exactly 50 miles per hour and pass a check point on the track according to a Poisson process at a rate of 5. X2 . selected at random.002. If 5 P i=1 Xi = 5 = r. (a) What is the average distance between cars? (b) What is the probability that the distance between any two cars is greater than 10 miles? 9. each with P (Xi = 1) = p. X4 . what is the probability that an incorrect number is formed during any one-second time period? 9. X5 be independent and identically distributed Bernoulli random variables. will be free of errors? 9.6 Let X1 . what is the expected total fees collected in one day? (g) How much must the present facilities be increased to assure that the expected total fees collected in one day is at least $30000? 9.Questions for Chapter 9 239 (b) How much must the present facilities be increased to permit handling all tankers on approximately 80% on the days? (c) What is the expected number of tankers arriving per day? (d) What is the expected number of tankers serviced daily? (e) What is the expected number of tankers turned away daily? (f) If a fee of $10000 is collected from each tanker serviced. then what is the value of p in terms of r? . the probability that an incorrect digit will appear is 0. If the errors are independent. or more than one incorrect digit in a binary number? If a computer forms 106 such 32-digit numbers per second. what is the probability that 10 pages.4 Suppose that a book of 620 pages contains 55 typographical errors.

with a simple link connecting exactly two molecules (see diagram below) .240 Questions for Chapter 9 9.7 A chromosome can be considered a string of molecules.

Parity errors are generated independently from one word to the next. In recombinant DNA experiments. and each link breaks independently of the others. (a) Let N be the number of links broken. The probability that any one word has a parity error is 0. Each link has a probability 0. Approximately what proportion of these chains will contain at least 200 molecules? 9. (c) Consider the number of molecules on the smaller chains that result from the breakup. Approximately what is the probability that an error cycle will be longer than two minutes? .8 A computer transmits 1000 words per minute. some of these links are broken. What is the actual probability mass function for N ? (b) Compute the approximate probability that exactly 4 smaller chains result from the breakup. (a) Approximately what is the probability of generating at least 2 words with parity errors in a one minute period? (b) An error cycle is the time between successive words with parity errors.001.    Suppose a section of a chromosome consists of 1000 such links (and 1001 molecules).005 of breaking. thus breaking the section into smaller chains.

. it is considered unsatisfactory. What is the probability that the computer operator on the new shift will wait at least two minutes for the first parity error on that shift? (d) What is the probability that no parity error occurs between 10:00 and 10:02 am? 9. 2. (a) What is the probability that a piece of lumber is unsatisfactory? (b) What is the expected number of unsatisfactory pieces in a load of 500 pieces? (c) What is the probability that all of the 500 pieces are satisfactory? 9. . Small imperfections appear in the continuous rod according to a Poisson process with an average of two imperfections per foot of glass rod. If a piece has any knots. 1. 1. (a) What is the average length of the cut glass rods? (b) What fraction of the rods will have a length greater than one foot? 9.10 Glass rods are manufactured by cutting a continuous glass rod leaving a production machine. the continuous rod is cut at each imperfection. . . . To produce “perfect” glass rods. . n (a) Prove or give a counterexample: Suppose 0 < pi < 1 for i = 1. n for k = 0. . The number of knots from piece to piece can be assumed to be independent.11 (†) Suppose X1 and X2 are independent Binomial random variables with P (X1 = k) = P (X2 = k) = n k p (1 − p1 )n−k k 1 n k p (1 − p2 )n−k k 2 for k = 0. .9 The number of knots in a piece of lumber has a Poisson distribution with an average of 2 knots per piece.Questions for Chapter 9 241 (c) A shift change in computer personnel takes place at 8:00 am each day. . If p1 = p2 then Y = X1 + X2 has a Binomial distribution.

(d) Finally.. n where n = xM and α = x/100. 2. 1 Meyer. 2 and let Y = X1 + X2 . (ii) W as p2 → 1. (c) Show that. Addison-Wesley. the number of particles in a randomly chosen bottle. (c) Suppose 0 < pi < 1 for i = 1. (a) Show that for M 100 kg batches of bottles. for large M . . P. x particles. (b) Show that as M → ∞ P (Z = k) ≈ e−α ak k! for k = 0. the expected percentage of defective bottles equals d(x) = 100(1 − ex/100 ). . has probability distribution P (Z = k) = n k α n k 1− α n n−k for k = 0. small particles in the molten glass cause individual bottles to be defective. the quick (and wrong) answer would be x percent. and (b) the distribution of any particle among the bottles is independent of all other particles. If we wanted to compute the expected percentage of defective bottles. Z . on average. A defective bottle may have more than one particle. but for larger x (say x = 100) the “quick” solution is very wrong. 1965 . If p1 = p2 then Y = X1 + X2 cannot have a Binomial distribution. Assume that: (a) every particle may appear in any bottle with equal probability. . On average. 1. 9. Let W = Y − n.242 Questions for Chapter 9 (b) Prove or give a counterexample: Suppose 0 < pi < 1 for i = 1. there are x particles in a batch of 100 kg of molten glass. Introductory Probability and Statistical Applications. Find the limiting distribution for each of the following random variables: (i) Y as p2 → 0. . we have d(x) ≈ x. 1. A single bottle requires 1 kg of molten glass. . Note that the molten glass required for 100 bottles contains. .12 (†) (from Meyer1 ) In the manufacturing of glass bottles. . show that for small x.

T2 .15 (†) Pip’s Pizza Shoppe sells pepperoni and plain pizza by the slice. 9.14 (†) Mr. are independent identically distributed random variables (in dollars) each with cumulative distribution function FX (x). X2 . Since one fourth of the slices sold by Pip are pepperoni. . find FY (y) = P (Y ≤ y). Defects from one bulb to the next can be assumed to be independent random variables.13 The Youbee Light Bulb Company manufactures electric light bulbs. every pizza that Pip prepares has pepperoni on only one of the . . . 9.1. . . Therefore. (c) Find P (X = 0). 2. . Suppose the offers X1 . Let Y be the actual selling price of the house. . where c is a positive constant. . 10. . Compute E(X) and Var(X). That is. He decides he will accept the first offer exceeding c dollars.9 P (Ti = 1) = 0. T10 are independent.Questions for Chapter 9 243 9. Let N be the number of offers needed to sell the house. (a) Find the probability mass function for N . Let the Bernoulli random variable Ti equal 1 if bulb i is defective and 0 if the bulb is non-defective. identically distributed random variables with P (Ti = 0) = 0. There are four slices in each pizza. Clearly justify each step of your answer. (a) Compute E(Ti ) and Var(Ti ) for every i. (b) Find E(N ) (c) Find the cumulative distribution function for Y . for a box of 10 bulbs T1 . . (b) Let X = T1 + T2 + · · · + T10 denote the total number of defective bulbs in a box of 10 bulbs. Each bulb has a probability be being defective equal to 0. Bonkers is selling his house.1 for all i = 1.

a major oil company says that one fourth of all cars have at least one underinflated tire. X2 = 0. What is the probability that Pip must bake a another pizza before selling all of the slices in the current pizza? Hint: Find the probability that he doesn’t need to bake another pizza. . . See the following diagram: Let the independent random variables X1 . . Let the random variable Y denote the number of pizzas that Pip must bake that day. . X4 = 0. represent the slices sold by Pip with Xi = 1 if slice i is pepperoni. (a) Suppose 20 customers visit Pip’s Pizza Shoppe on a particular day. and Xi = 0 if it’s plain. X5 = 0. Each car has 4 tires. The remainder of the pizza is plain. would require that Pip bake a second pizza before selling all of the slices in the first pizza. X2 . 9. . . the current customer wants pepperoni but Pip has no pepperoni slices available or the current customer wants plain but Pip has no plain slices available. X3 = 1. (b) Suppose Pip has just taken a freshly baked pizza out of the oven and suppose that there are no other unsold slices. Assume that Pip never throws away any slices of pizza during the day. Suppose that any tire becomes underinflated independently and with the same probability for each tire on every car. What is the probability distribution for the random variable Y ? Hint: There is only one pepperoni slice per pie.244 Questions for Chapter 9 four slices. . Note that a sequence such as X1 = 1.16 (†) In a radio advertisement. (c) (††) What is the probability that Pip must bake a pizza to satisfy the request of the current customer? That is.

Let the random variable X represent the number of tires (out of the 40) that are underinflated. What is the probability that the tire in underinflated? (b) Suppose a parking lot contains 10 cars.Questions for Chapter 9 245 (a) Suppose we select a car at random. What is the probability distribution for X? . We plan on testing the air pressure for every tire on every car. and then select a tire on that car at random.

246 Questions for Chapter 9 .

821255978 b5 = 1. Handbook of Mathematical Functions. | (z)| < 7.gov/.356563782 b4 = −1.2316419 1 + rz b1 = 0.5 × 10−8 .10 APPROXIMATIONS AND COMPUTATIONS These numerical approximations are from a book by Abramowitz and Stegun.1 Approximation for the Normal Integral Let Z be a standard normal random variable. that is Q(z) = ∞ z 1 2 1 √ e− 2 t dt 2π For z ≥ 0 the following approximation can be used to compute Q(z): Q(z) = φ(z)(b1 t + b2 t2 + b3 t3 + b4 t4 + b5 t5 ) + (z) where 1 r = 0.nist. M.781477937 With this approximation.330274429 t= b3 = 1. 247 . Dover Publications. Inc.31938153 b2 = −0. This handbook is being published as a reference source on the World Wide Web at http://dlmf. I. New York (1970).. (1970). 1 Abramowitz. and Stegun. that is the probability density function for Z is given by 1 2 1 φ(z) = √ e− 2 z 2π −∞<z <∞ Let Q(z) ≡ P (Z > z).

50.99. | (Q)| < 4.5.515517 d0 = 1.802853 d1 = 0. Questions for Chapter 10 10.01. 1). for a given 0 < Q < 0. 0.95 and 0.432788 c2 = 0. that is Q= ∞ z 1 2 1 √ e− 2 t dt 2π The problem is. the following approximation can be used to compute z : z =t− c0 + c1 t + c2 t2 + (Q) 1 + d1 t + d2 t2 + d3 t3 where 1 Q2 c1 = 0.25.05. . Write a computer program to find z when P (Z ≤ z) = 0.248 Questions for Chapter 10 Approximation for the Inverse Normal Integral Let Z be a standard normal random variable. For a given 0 < Q < 0.00 in increments of 0.1 Write a computer program to generate a table for the cumulative distribution function of the standard normal distribution for −3.5 × 10−4 .5.001308 With this approximation.010328 d2 = 0. that is the probability density function for Z is given by 1 2 1 φ(z) = √ e− 2 z 2π −∞<z <∞ Let Q = P (Z > z). 0.01. 10.189269 t= ln c0 = 2. 0.00 ≤ z ≤ 3.2 Let Z ∼ N (0. find the corresponding z that satisfies the above integral equation. 0.

Appendix A TABLES Page Table I Table II Standard Normal Cumulative Distribution Function Some Common Probability Distributions 250 251 249 .

9987 3 0.5239 0.9938 0.9909 0.9961 0.1 1.6 -0.250 Table I: Standard Normal Cumulative Distribution Function TABLE I: STANDARD NORMAL CUMULATIVE DISTRIBUTION FUNCTION 0.9904 0.5948 0.5398 0.2 1.6217 0.9772 0.7088 0.5675 0.9864 0.7910 0.9761 0.9931 0.9649 0.9345 0.6879 0.5438 0.9664 0.7 2.9966 0.9826 0.5199 0.8340 0.9798 0.7123 0.9922 0.8365 0.6064 0.6293 0.9719 0.0 1.0 -1.9015 0.9545 0.9783 0.9969 0.8438 0.9981 0.9177 0.9713 0.9099 0.8264 0.5359 0.9964 0.9973 0.8643 0.8686 0.9608 0.9292 0.9984 0.9251 0.8461 0.5910 0.8389 0.9971 0.9750 0.3 -1.6443 0.8023 0.9115 0.6985 0.7823 0.9582 0.9955 0.9890 0.9989 8 0.9441 0.9834 0.9279 0.6331 0.9554 0.8212 0.7967 0.9878 0.9641 0.8621 0.9948 0.9699 0.7704 0.9535 0.2 1.9884 0.9162 0.9965 0.9982 0.9857 0.9983 0.9693 0.9940 0.6368 0.9990 9 0.5793 0.9 -0.9925 0.9192 0.9988 4 0.9406 0.9943 0.9932 0.9986 0.9850 0.7190 0.3 2.4 -0.7257 0.9980 0.5557 0.9986 0.9911 0.8997 0.8106 0.6772 0.9941 0.5987 0.9868 0.9972 0.9525 0.9985 0.5 -1.7881 0.8599 0.8159 0.8 0.9927 0.7939 0.5 1.6554 0.5871 0.5714 0.9793 0.9066 0.9875 0.8869 0.9982 0.9817 0.9952 0.05 0.8289 0.9957 0.1 0.1 -0.4 0.9803 0.4 2.7794 0.5753 0.9984 0.8770 0.9744 0.0 2.8 1.8830 0.7454 0.5517 0.9946 0.8186 0.9959 0.7357 0.5040 0.9032 0.7764 0.9977 0.8 -1.9838 0.7852 0.0 1.6844 0.9265 0.9147 0.1 2.5 0.8665 0.7224 0.0 0.3 0.9656 0.25 0.7324 0.9625 0.8708 0.9474 0.9767 0.9671 0.9 3.8980 0.8849 0.7054 0.6480 0.7157 0.5 1.8315 0.8531 0.2 z z a 0.9960 0.8925 0.3 0.6517 0.9979 0.9976 0.2 0.9988 5 0.9896 0.9726 0.9678 0.6406 0.9 Φ(a) = a a ϕ(z) dz = −∞ −∞ 1 2 √1 e− 2 z 2π dz -2.8962 0.9962 0.9 1.9887 0.9949 0.8 1.9990 .9821 0.9974 0.7 a 1.6808 0.9429 0.6 0.6664 0.8907 0.9 2.7019 0.2 2.8810 0.6736 0.9788 0.9599 0.9564 0.9778 0.9881 0.9131 0.7 0.5478 0.7517 0.9394 0.5 0.00 0.9319 0.9854 0.9953 0.1 0.5 2.8 2.8508 0.9830 0.7995 0.8413 0.9936 0.6 1.8944 0.9974 0.9452 0.7 1.9573 0.5279 0.20 0.6179 0.7673 0.9987 2 0.9989 7 0.7389 0.9732 0.9082 0.9989 6 0.6628 0.9633 0.7611 0.9861 0.5120 0.7486 0.9207 0.9357 0.10 0.9505 0.5636 0.9967 0.9495 0.5319 0.8888 0.9920 0.0 0 0.9929 0.8485 0.9049 0.6026 0.9706 0.8790 0.5000 0.9945 0.5596 0.9893 0.8577 0.9332 0.9484 0.9987 1 0.4 1.9898 0.9463 0.30 0.5160 0.9842 0.3 1.9977 0.9236 0.7580 0.8238 0.9985 0.8051 0.40 Φ(a) ϕ(z) z 0.6255 0.9871 0.7549 0.7291 0.9913 0.9956 0.9846 0.15 0.9906 0.9591 0.9382 0.9963 0.9222 0.9951 0.9979 0.9756 0.6915 0.9981 0.35 0.8554 0.8729 0.5832 0.8133 0.9934 0.8749 0.9738 0.6103 0.9812 0.9975 0.9808 0.6950 0.5080 0.9616 0.9978 0.9968 0.6141 0.9901 0.9970 0.9918 0.9370 0.7642 0.6591 0.9418 0.6 2.8078 0.7422 0.9515 0.6700 0.9306 0.9916 0.7734 0.9686 0.

a≤x≤b uniform cont a<b fX (x) = 1 b−a a+b 2 (b − a)2 12 ebt − eat (b − a)t TABLE II: SOME COMMON PROBABILITY DISTRIBUTIONS exponential cont α>0 fX (x) = αe−αx x≥0 1 α 1 α2 α α−t r gamma cont r ≥ 1. 0 ≤ p ≤ 1 pX (k) = n k pk (1 − p)n−k k = 0. . . n np np(1 − p) (et p + (1 − p))n geometric disc 0≤p≤1 pX (k) = (1 − p)k−1 p k = 1. . . . 1 p α α 1−p p2 pet 1 − (1 − p)et eα(e t −1) Table II: Some Common Probability Distributions Poisson disc α>0 pX (k) = e−α αk k! k = 0. σ > 0 1 1 fX (x) = √ e− 2 σ 2π 2 t2 /2) 251 . 1. . 2. 1. .Name Type Parameters Definition Support E(X) Var(X) mgf Bernoulli disc 0≤p≤1 pX (k) = pk (1 − p)1−k k = 0. α > 0 fX (x) = α (αx)r−1 e−αx Γ(r) x−µ 2 σ x≥0 r α −∞ < x < ∞ µ r α2 σ2 α α−t e(tµ+σ normal cont µ. . 1 p p(1 − p) et p + (1 − p) binomial disc n. . .

252 Table II: Some Common Probability Distributions .

9 S3.3 S3.3 C S1.33 E B B D A D A S3.2 S3.6 S3.5 Must have p = P (A) = P (B) = P (A ∩ B) = 0.4 A S1.1 S3.15 S3.2 S2.17 S3.6 Chapter 2 S2.23 S3.32 C D B A C D B S3.27 S3. C C E D D A C C S3.12 S3.16 S3.6 S2.5 S3.4 S2.24 S3. P (A ∩ B) = P (A)P (B).9 A C S2.35 C B D A B D B 5 2 A D S1.31 S3.19 S3.11 Remarks S2.30 S3.8 S3.7 D A S1.26 S3.29 S3.Appendix B ANSWERS TO SELF-TEST EXERCISES Chapter 1 S1. Hence.21 S3.2 S1.5 D B E C S2.28 S3.25 S3.18 S3.5 Answer C is acceptable if you allow the triangle to be flipped S2.6 The correct answer is Chapter 3 S3.11 S3.22 S3.1 S1.5 S2.4 S3.20 S3.10 S3.36 Remarks S3.10 D A 253 .8 B D S2.34 C A A A A C A S3.12 A D B S2.13 S3.3 S2.1 S2.7 S2.14 S3.7 S3.

ANSWERS TO SELF-TEST EXERCISES Chapter 4 S4.4 S7. Chapter 6 S6.9 S4.15 B C B B B B C D S6.11 S4.13 S6.12 S6.1 S5.15 S5.10 S6.17 C A D D S7.7 S5.15 S6.23 S5.25 C B B B D A C B C S4.16 Chapter 5 S5.8 S7.8 S4.3 S4.10 S4.2 S6.20 C B A D C C B C A D S5.14 S4.3 S5.7 S6.19 C C C E S6.4 S5.15 C D B .5 S5.1 C D C A C S7.19 C C B A S4.20 S5.12 S5.22 S5.14 B D B S7.18 E C E D S6.8 S5.1 S7.11 S5.21 S5.4 S6.1 S4.27 A B D C B B S5.2 S7.17 S5.10 S7.19 The correct answer is 1 Chapter 7 S7.17 S6.4 S4.26 Remarks S5.3 S6.12 S4.5 S4.14 S5.16 S6.9 S6.16 Chapter 8 S8.8 S6.2 S4.19 S5.18 C C D B S7.10 S5.6 S5.6 S7.13 S5.17 B C C D S4.18 S5.16 S5.12 S7.50) since ln(x) is an increasing function.18 B B C C S4.11 S7.50)) = P (X < 0.254 APPENDIX B.5 S6.14 S6.9 S7.28 C C D A E C S5.5 S7.22 D C C A B S6.13 S4.11 S6.24 A B B C C S5.2 S5.6 S4.6 S6.7 S7.7 S4.9 S5.3 S7.13 S7.27 Note that P (ln(X) < ln(0.1 S6.21 Remarks S6.

1 D S9.2 C S9.3 C .255 Chapter 9 S9.

256 APPENDIX B. ANSWERS TO SELF-TEST EXERCISES .

How many different ways can you send cards to your friends so that each gets one card? (a) 4! (b) 4 4 (c) 4 (d) 44 (e) none of the above. Ω is a sample space with events A. choose the best answer among those provided.Appendix C SAMPLE EXAMINATION 1 PART I: MULTIPLE CHOICE QUESTIONS Instructions: For each of the questions in Part I. In all of the following questions. How many different ways can you send cards to your friends so that each gets one card? (You will have one card left over.) (a) 4! (b) 4 3 (c) 3! (d) 43 (e) none of the above. 2. You purchased four birthday cards. (5 points) Four of your friends are having birthdays on the same date. 257 . You purchased four birthday cards. B and C and probability measure P (·). 1. (5 points) Three of your friends are having birthdays on the same date.

3. (5 points) The event which corresponds to the statement. then (a) P (A ∩ B) = 0 (b) A = B (c) A ∩ B = Ø (d) A and B are independent (e) none of the above. 4.” is (a) A ∪ B ∪ C (b) A ∩ B ∩ C (c) (A ∩ B) ∪ (A ∩ C) ∪ (B ∩ C) (d) (A ∪ B ∪ C)c (e) none of the above. (5 points) If P (A) = p > 0.3 then (a) A and B are mutually exclusive (b) P (A ∩ B) = 0 (c) A and B are independent (d) all of the above (e) none of the above. “all of the events A. (5 points) If P (A) = 0. P (B) = q > 0 and A∩B = Ø then P (A∪B | A) equals (a) 1 (b) p (c) (p + q)/p (d) (p + q − pq)/p (e) none of the above . P (B) = 0.7 and P (B) = 0.7.3 and P (A | B) = 0. 6. 5. B and C occur simultaneously. (5 points) If A ⊆ B . P (A) = 0.258 Part I: Multiple Choice Questions 3.

Part II 259 For questions 7 and 8: Assume that X is a continuous random variable with probability density function fX (x) = cx if 0 ≤ x ≤ 2 0 otherwise where c is a constant. 9.5 (b) 1 (c) 2 √ (d) 2 (e) none of the above. you are now the owner of the most successful restaurant in Buffalo. accidentally mixed . 8. Your chicken wing recipe is so famous that the White House (in Washington DC) has asked that you send a large order of chicken wings for a important dinner. an engineering intern (who is working for you as a cook). and usually you keep the two different types of chicken wings in separate containers.5 (c) 0. (5 points) P (X > 1) equals (a) 0. (5 points) The value of the constant c is (a) 0.75 (d) 1 (e) none of the above. Your chicken wings can be either hot or mild. 7. New York. After getting your engineering degree. Circle your final answer. PART II Instructions: Show your work in the space provided.25 (b) 0. Unfortunately.

2 pX (0) = 0.260 Part II some hot wings with some mild ones. (a) (10 points) You plan to choose a container at random. and then sample one of the chicken wings from that container. Let X be a random variable with the following probability mass function: pX (−1) = 0. the containers are unmarked. what is the probability that if you sample a second wing from the same container. and sample a chicken wing from that container. What is the probability that the wing will be mild? Justify your answer. To make matters worse. (c) (10 points) You plan to sample one more wing from the container chosen in part (b). (b) (10 points) You actually select a container at random. it will also be hot? Justify your answer.4 pX (+1) = 0. (c) (5 points) Compute P (X > 1). 10. . and you need to ship the order immediately. The only way you can determine the contents of the containers is by sampling the wings.4 (a) (10 points) Sketch the cumulative distribution function for X . (b) (5 points) Compute P (X < 0). Justify your answer using Bayes’ theorem. You don’t want to accidentally ship Container B or C. It’s a hot wing! What is the probability that you chose Container C (the one with both hot and mild wings). (d) (10 points) Compute P (X = 0 | X ≤ 1). You now have only three containers of chicken wings: Container A All hot wings Container B All mild wings Container C One half hot and one half mild wings The White House wants only hot chicken wings. Given that the first wing that you sampled was hot.

Then P (X ≥ k) equals (a) (b) 1 4 1 4 k k+1 261 .. . (5 points) Let X be a continuous random variable with probability density function λxn if 0 ≤ x ≤ 1 fX (x) = 0 otherwise where λ is a constant and n is a nonnegative. 1. A relationship which must exist between λ and n is (a) λn = 1 (b) λ = n + 1 (c) λ = n (d) λ = 2n (e) none of the above. 2. . 1. choose the best answer among those provided. .Appendix D SAMPLE EXAMINATION 2 PART I: MULTIPLE CHOICE QUESTIONS Instructions: For each of the questions in Part I. 2. integer constant. (5 points) Let X be a discrete random variable with a probability distribution given by P (X = k) = 1 4 k 1− 1 4 for k = 0.

262 Part I: Multiple Choice Questions (c) (d) 3 4 3 4 k (e) none of the above. 4. . (5 points) Let X be a continuous random variable with probability density function 4e−4x if x > 0 fX (x) = 0 otherwise. then P (−3X < 0) equals (a) 0 (b) 1 3α (c) α (d) 1 − α (e) none of the above. 5. 3. Then. E[(X − E(Y ))2 ] equals (a) 0 (b) Var(X) (c) Var(Y ) (d) Cov(X. (5 points) If X is a random variable with P (X ≤ 0) = α. (5 points) Let X and Y be random variables with E(X) = 2 and E(Y ) = 2. The value of P (X 2 ≥ 16) is (a) 1 − e−4 (b) e−16 (c) 1 − 4e−16 (d) e−4 (e) none of the above. Y ) (e) none of the above.

(5 points) Let X be a continuous random variable with probability density function   x+1 if −1 ≤ x ≤ 1 fX (x) = . 0) = 1/3 pX. (5 points) The value of E(X + Y ) is (a) −1 (b) 0 (c) 1/3 (d) 1 (e) none of the above.Y (1. −1) = 1/3 pX. The value of P (W = 1) is (a) 0 (b) 1/9 (c) 1/3 (d) 2/3 (e) none of the above. 8.Y (0. (5 points) Define the random variable W = XY . Y ) is a random vector with joint probability mass function given by pX.Y (−1. . 1) = 1/3 7.  0 2 otherwise Then P (X < 0) equals (a) 0 (b) (c) (d) 1 8 1 4 1 2 (e) none of the above For questions 7 and 8: Assume that (X.Part I: Multiple Choice Questions 263 6.

After an extensive survey was conducted. and let Y denote the number of women from the class who will attend.Y (x. Circle your final answer. Y ) be a continuous random vector with joint probability density function given by fX. (c) (10 points) Find the conditional probability density function for Y given 1 that X = 2 . y) = 2 0 if x ≥ 0.01 . otherwise 1 2 (a) (10 points) Compute P X + Y < .04 Y (women) 1 2 . y ≥ 0 and x + y ≤ 1 .25 .20 .05 .01 .Y (x. what is the expected amount of money that will be collected from members of the graduating class? (d) (10 points) All three women graduates arrive early at the party. (b) (10 points) Find the marginal probability density function for X . Y ) has the following joint probability mass function: pX.12 3 . Let (X. What is the probability that no men will show up? 10. . Plans are being made for a graduation party. Let X denote the number of men from the graduating class who will attend the party.03 . 9. it has been determined that the random vector (X.15 .264 Part II PART II Instructions: Show your work in the space provided. The Youbee School of Engineering has a graduating class of 2 men and 3 women. y) 0 X (men) 1 2 0 .04 (a) (5 points) What is the probability that 4 or more members of the graduating class will show up at the party? (b) (5 points) What is the probability that more women than men from the graduating class will show up at the party? (c) (10 points) If women are charged $1 for attending the party and men are charged $2.05 .05 .

(3 points) Let X and Y be independent random variables with X ∼ N (0. and if the coin turns up tails.05 (c) 0. 1. 265 . If the coin turns up heads. 1) and Y ∼ N (0. Ω is a sample space with events A.50 (d) 0. choose the best answer among those provided. Then P (A | B c ) equals (a) 0 (b) r (c) r/(1 − s) (d) 1 (e) none of the above.95 (e) none of the above. 2). you lose $1. In all of the following questions. The value of P (X > Y ) is (a) 0 (b) 0. 2. you win $1. For questions 3 and 4: A game is played by repeatedly tossing a fair coin.Appendix E SAMPLE FINAL EXAMINATION PART I: MULTIPLE CHOICE QUESTIONS Instructions: For each of the questions in Part I. B and C and probability measure P (·). (3 points) Let P (A) = r and P (B) = s with A ∩ B = Ø.

(3 points) The value of Var(Yn ) is (a) 0 √ (b) n (c) n (d) n2 (e) none of the above. 3. (3 points) In a class of 10 students..266 Part I: Multiple Choice Questions Let Yn denote your net winnings (i. (3 points) The value of E(Yn ) is (a) 0 (b) −n (c) n/2 (d) n (e) none of the above. 5 students received an A on the last examination. Two students are chosen at random from the class.e. your winnings minus your losses) after n tosses. 5. The probability that both of the selected students received a grade of A is (a) 1/4 (b) 2/9 (c) 1/3 (d) 1/2 (e) none of the above. (3 points) Let X be a continuous random variable with probability density function αe−x if x ≥ 0 fX (x) = 0 otherwise The value of α (a) must be 1 . 6. Note that Yn may be negative. 4.

what is the probability that a chain with 2000 such links will break.001)2000 (e) none of the above.001 of breaking. 8. Approximately.) (a) e−2 (b) 1 − e−2 (c) 1/2 (d) (0. (Note: The chain will break if one or more links break.Part I: Multiple Choice Questions 267 (b) can be any positive real number (c) can be any positive integer (d) can be any real number (e) none of the above. 9. 7. . A bag contains 10 independent gum drops. (3 points) The weight of a gum drop (in ounces) is normally distributed with 1 mean 2 and standard deviation 4 . independently of all other links. (3 points) The set (A ∪ B) ∩ (A ∪ B c ) is equivalent to (a) Ø (b) Ω (c) A (d) B (e) none of the above. The probability that the total weight of the gum drops in the bag exceeds 20 ounces is (a) 0 (b) 0.5 (c) 1 (d) 1 − ( 1 )16 4 (e) none of the above. (3 points) Suppose a chain link has a probability of 0.

12.0000 (e) none of the above. (3 points) Let X ∼ N (1. (3 points) Let X be a random variable with E(X) = 2 and E(X 2 ) = 5. Then Var(X) equals (a) 1 . then P (Y > 1) equals (a) 0.1587 (b) 0. (3 points) Let X be a random variable with probability generating function g(z) = z(1 + z) 2 The value of E(X) is (a) 0 (b) 2/3 (c) 1 (d) 3/2 (e) none of the above.5000 (c) 0.268 Part I: Multiple Choice Questions 10.8413 (d) 1. (3 points) Let X be a random variable with moment generating function MX (t) = e(e t −1) The moment generating function of the random variable Y = 2X + 1 is (a) et (b) e2t (c) e(2e t −2) 2t −1) (d) e(t+e (e) none of the above. 8). 11. 13. If Y = X 3 .

(3 points) The weight X (in pounds) of a roll of steel is a random variable with probability density function given by fX (x) = 1 2 (x − 499) 0 if 499 ≤ x ≤ 501 otherwise A roll is considered defective if its weight is less than 500 pounds. each having marginal probability . the probability that exactly one is defective is (a) 1/4 (b) 3/8 (c) 9/64 (d) 27/64 (e) none of the above. 14. 1% of all persons making airline reservations never show up for their flight.01 (c) (0. 15. If the airline permits 101 persons to make reservations for a given flight. over many years. For questions 16 and 17: Suppose that X1 and X2 are independent random variables representing the lifetimes of two lightbulbs.Part I: Multiple Choice Questions 269 (b) 3 (c) 7 (d) 9 (e) none of the above. the probability that someone will be denied a seat is (a) 0 (b) 0. If 3 independent rolls of steel are examined. Assume that a person decides independently whether or not to show up for a flight. (3 points) An airplane can hold 100 passengers.99)101 (d) 1 (e) none of the above. It is know that.

19. . . . Which of the following statements are always true? (a) P (A) ≤ P (B) (b) P (A ∪ B) = P (B) (c) P (A ∩ B) = P (A) (d) all of the above (e) none of the above. (3 points) Suppose A ⊆ B . (3 points) The value of E(W ) is (a) 1/2 (b) 1 (c) 2 (d) X1 + X2 (e) none of the above. 18. (3 points) The value of P (W < 2) is (a) 0 (b) 1/4 (c) 1/2 (d) 1 (e) none of the above. 16. . 17. (3 points) Let X1 . Xn be a random sample with each Xi having a probability mass function given by P (Xi = 0) = 1 − p P (Xi = 1) = p .270 Part I: Multiple Choice Questions density function f (x) = 1/2 0 if 0 ≤ x ≤ 2 otherwise Let W = X1 + X2 represent the total lifetime of the two lightbulbs.

In order to avoid embarrassing any students and help assure a truthful response to the survey. The total number of distinguishable arrangements of the balls in the numbered cells is (a) (b) (c) 4 2 3 2 3 1 (d) 4 (e) none of the above. 20. and write down the answer to one of the following questions depending on the color of the bead: • If the bead is red. she decides on the following technique: A person is given a bowl which contains 600 red beads and 400 blue beads. Circle your final answer. Two indistinguishable balls are dropped into the box.Part II 271 where 0 ≤ p ≤ 1. 21. PART II Instructions: Show your work in the space provided. (3 points) A box is partitioned into 3 numbered cells. The person is instructed to go to a secluded corner. An unbiased estimator for p is given by (a) p = ˆ (b) p = ˆ i=1 n 1 n n n Xi i=1 Xi Xi2 i=1 (c) p = ˆ (d) all of the above (e) none of the above. answer “Yes” or “No” to the question: . draw out a bead at random. Any cell may contain more than one ball. A sociologist is interested in determining the percentage of college students who like classical music.

(d) (5 points) Find the conditional probability density function for Y given 1 that X = 2 . (d) (5 points) Suppose 40 of the 100 students answered “Yes” to the survey. answer “Yes” or “No” to the question: Does your student number end in an odd digit? The person simply responds “Yes” or “No. What is the unconditional probability that a person surveyed will answer “Yes?” Your answer should depend on p. y ≥ 0 and x + y ≤ 1 . y) = 2 0 if x ≥ 0. otherwise 1 2 (a) (5 points) Compute P X + Y < . knows which question was actually answered. Show that E(Y ) = p. the person is likely to be truthful.” No one. What is your best guess for the value of p? (Hint: Use an unbiased estimator for p. (c) (5 points) Find the marginal probability density function for Y . (a) (5 points) Suppose p is the unknown fraction of students who like classical music.272 Part II Do you like classical music? • If the bead is blue. (c) (5 points) Let Y = (X/60) − (1/3). except the person being surveyed. Therefore.Y (x. Let (X. Y ) be a continuous random vector with joint probability density function given by fX. (b) (5 points) Find the marginal probability density function for X . Determine P (X = k) as a function of k and p. . (b) (5 points) Let X denote the number of “Yes” responses from a survey of 100 individuals.) 22.

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