EE3110 Problem Set-8

1. Let X, Y and Z be iid Bernoulli r.v. each taking the value 1 with probability p.
(a) Determine E( X | X 6= Y ).
(b) Determine E[( X − Y ) | YZ ] in terms of p. Consider separately each value of YZ.

2. (a) Let X and Y be two iid discrete r.v. with uniform pmf in {1, 2, · · · , N }. Determine a
closed-form expression for E( X |{ X − Y = k}) in terms of k and N for 0 ≤ k ≤ N − 1.
(b) Let X and Y be any two discrete r.v, and let α be any constant for which
P( X − Y = α) > 0. Express E( X + Y |{ X − Y = α}) in terms of α and
E( X |{ X − Y = α}).

3. Let the r.v. X have the U (−1, 1) pdf. Define the r.v. Y as Y = X for X ≤ 0 and Y = 1 for
X > 0. Determine E( X |Y = y) for all y ∈ ΩY .

4. Let X and Y be two r.v. for which E( X |Y = y) = α (a constant) ∀ y. Determine E( X ), E( XY ),

and Cov(X, Y) in terms of α and E(Y ).

5. Let Y | X = x ∼ U (0, x ) for any x ∈ Ω X . Let X ∼ U (0, 1), and define Z = X + Y. Determine
the following:
(a) E( Z | X = x ) and Var( Z | X = x ) in terms of x without explicitly finding f Z|X
(b) E( X | Z = z) for any z ∈ Ω Z and Var( X | Z = 0.5)

6. Let X ∼ Exp(1), and let Y | X = x ∼ Exp( x ) for x > 0 with Y = 0 when X = 0.

Determine the following: (a) E(Y | X = x ) (b) E(Y ) (c) E( XY ) (d) E( X |Y = y)


(e) Var( X |Y = y) (f) E Var( X |Y ) and compare with Var(X).

7. A petty thief in a jail is asked to make a series of (random) draws, where each draw has three
outcomes: m more days in jail with probability 0.5, or n more days in jail with probability
0.25, or immediate freedom with probability 0.25. Starting on Day 0, he makes his draw in
the morning of a day when the duration stipulated by the previous draw gets over. Each
new draw is independent of any previous draw. The count C of the number of days in jail
is set to 0 on Day 0 and incremented accordingly. Determine E(C ) and E(C2 ) in terms of m
and n.

8. Let U ∼ U (0, 1), and let S be an positive-integer-valued r.v. independent of U. Given U = u

and S = s, a coin with probability u of showing heads at any toss is tossed s times; these
tosses are independent of each other. Let Y be the resulting number of heads.
(a) Write expressions for E(Y | U = u, S = s) and Var(Y | U = u, S = s).
(b) Evaluate E(Y | U = u) in terms of E(S) (hint: average over S while fixing U = u).
(c) Evaluate E(Y ), E(Y 2 ), and Var(Y ) in terms of E(S) and E(S2 ) in the composite experi-
ment where U and S are both allowed to vary.
(d) Evaluate EUS (Var(Y | U, S) and compare with Var(Y ).
 9. In a photomultiplier, a light pulse causes N primary electrons to be ejected from a cathode.
The k-th electron (1 ≤ k ≤ N when N > 0) in turn knocks out Xk secondary electrons from
a second surface upon impingement. All the secondary electrons (a total of S) are collected
at the anode. Let N be an r.v. with the Poisson(λ) distribution, and let the { Xk } be iid, each
independent of N, where each Xk is Poisson-distributed with parameter G. Determine the
mean and variance of S in terms of λ and G. Does S have a Poisson distribution?

2
10. The variance of h( X ) is obtained as Var h( X ) = E h2 ( X ) − E h( X ) .





For the r.v. X and Y, let h( X ) = E(Y | X ). Determine the relation between Var(Y ), E Var(Y | X ) ,


and Var h( X ) .

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