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MA225 Probability Theory and Random Processes July - November 2017

Problem Sheet 7 NS

1. A total of M people sit around a round table, where M > 5. Each person tosses a fair coin. Anyone

whose outcome is different from his/her two neighbors will receive a present. Let X be the number of

people who receive presents. Find E(X) and V ar(X).

1/4, x = 1

9/16, x = 3

2. Find the MGF of the random variable X whose PMF is f (x) =

3/16, x = 7

0, otherwise

3. If X ∼ U (0, 1), then find E(X k ) using MX (t). Carry out the same exercise if X ∼ Exp(λ).

4. Let MX (t) be finite for t ∈ (−t0 , t0 ), where t0 > 0. Assume E(X) = 0 and V ar(X) = 1. Prove that

t n 2

lim MX √ = et /2 .

n→∞ n

5. Let X be an n-dimensional random vector with joint PDF fX (·). Let A be a fixed (non-random)

invertible n × n matrix, and b be a fixed n-dimensional vector. Define the random vector Y as

Y = AX + b. Find the PDF of Y in terms of PDF of X.

(

1

f (x, y, z) = 3 (x + 2y + 3z), 0 ≤ x, y, z ≤ 1

0, otherwise

7. Let Y = X1 +X2 +· · ·+Xn , where Xi ’s are independent and Xi ∼ P oisson(λi ). Find the distribution

of Y .

8. We can define MGF for jointly distributed random variables as well, like the one-dimensional case. For

example, for two random variables (X, Y ), the MGF is defined by MX,Y (s, t) = E[esX+tY ]. Similar

to the MGF of a single random variable, the MGF of the joint distributions uniquely determines the

joint distribution. Let X and Y be two jointly normal random variables with EX = µ1 , EY =

µ2 , V ar(X) = σ12 , V ar(Y ) = σ22 , ρX,Y = ρ. Find MX,Y (s, t).

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