STA 413 (2021), Review problems 2 (Lecture 2)

1. Assume that X is a random vector in R2 with joint cdf FX . Then

(a) P (X1 ∈ (a1 , b1 ], X2 ∈ (a2 , b2 ]) = F (b1 , b2 ) − F (a1 , b2 ) − F (b1 , a2 ) + F (a1 , a2 )

(b) P (X1 < x, X2 < y) = limxn ↑x,yn ↑y F (xn , yn ).
(c) Now assume that X = (X1 , X2 , X3 ) is an R3 -valued random vector. Express the
joint cdf of the random vector (X1 , X2 ) through that of X (Hint: you need to take
limits similarly as in Proposition I.4.3)

2. Assume that X = (X1 , . . . , Xd ) is an Rd -valued random vector with joint pmf pX .

Prove: (X1 , . . . , Xk ) has joint pmf
X X
g(x1 , . . . , xk ) = ··· pX (x1 , . . . , xd ).
xk+1 ∈R xd ∈R

3. Assume (X1 , X2 ) has density f (x) = 2I{0 ≤ x ≤ 1, 0 ≤ y ≤ x}. Compute the density
of X2 .

4. Prove: if (X1 , . . . Xd ) has joint pmf pX and marginal pmf p1 , . . . , pd then X1 , . . . , Xd

are mutually independent iff
d
Y
pX (x1 , . . . , xd ) = pi (xi ).
i=1

5. Assume that (X1 , X2 ) is random vector with joint density f . Use Theorem I.1.6 to
determine joint density of X1 + X2 , X1 − X2 . From that determine the density of
X1 + X2 by using Proposition I.4.7