Probability (MATH 5375)

Assignment # 4
Due Date: Wednesday, April 24, 2019

Question # 1. Let (Xn ) and (Yn ) be sequences of random variables and let a be a constant.
Suppose that Xn → X and Yn → Y . Then

a) Xn + Yn → X + Y .

b) aXn → aX.

c) Xn Yn → XY .

Question # 2. LetPX1 , X2 , ... be independent random variables with mean zero and finite
variance. Show that nn=1 E{Xn2 } < ∞.

Question # 3. If X has the Exponential(λ) distribution. Prove that the characteristic

function is
λ
φ(t) =
it − λ

Question # 4. If X has the Poisson distribution with parameter λ > 0. Prove that the
characteristic function is
it
φ(t) = eλ(1−e )

Question # 5. If φ is the characteristics function of X, show that the characteristic function

of −X is φ.

Question # 6. Let X be N (µ, σ 2 ) and let z ∈ C. Show that

z2σ2
−zµ
E{ezX } = e 2

Use this to find the moment generating function and characteristic function of X.