DEPARTMENT OF STATISTICS

STOCHASTIC PROCESSES 1: HSTS416

TUTORIAL WORKSHEET 1

1. Define each of the following terms:

(a) Stochastic process
(b) Stationary increments
(c) Convergence in probability
(d) Weak Law of large numbers
(e) State space
(f) Martingales

2. Suppose a jar contains 𝑛 chips numbered 1, 2, … , 𝑛. A person draws a chip, returns it, draws
another, returns it, and so on until he gets a chip that has been drawn before and then stops. Let
𝑋 be the number of drawings required to accomplish this objectives.
(a) Find the probability distribution of 𝑋.
(b) Show that the expectation of the random variable 𝑋 is given by
1 1 2 1 2 3 𝑛−1
𝐸(𝑋) = 2 + (1 − 𝑛) + (1 − 𝑛) (1 − 𝑛) + ⋯ + (1 − 𝑛) (1 − 𝑛) (1 − 𝑛) ⋯ (1 − 𝑛
)
3. Let 𝑋 and 𝑌 be independent random variables with uniform distributions over the interval [𝜃 −
0.5, 𝜃 + 0.5]. Find the density function of 𝑋 − 𝑌.

4. For each fixed 𝜇 > 0, let 𝑋 have a Poisson distribution with parameter 𝜇. Suppose 𝜇 itself is a
random variable following a gamma distribution with density
1 𝑛−1 −𝜇
𝜇 𝑒 , 𝜇≥0
𝑓(𝜇) = {𝛤(𝑛)
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
where 𝑛 is a fixed positive constant.
(a) Show that
𝛤(𝑘+𝑛) 1 𝑘+𝑛
𝑃(𝑋 = 𝑘) = ( ) ,𝑘 = 0, 1, ⋯
𝛤(𝑛)𝛤(𝑘+1) 2
1
(b) Show that when 𝑛 is an integer, the distribution is negative binomial with 𝑝 = 2.

5. Data indicate that the number of traffic accidents in Seke road on a rainy day is a Poisson random
variable with mean 9, whereas on a dry day it is a Poisson random variable with mean 3. Let 𝑋
denote the number of traffic accidents tomorrow. If it will rain tomorrow with probability 0.6,
find (a) 𝐸[𝑋]; (b) 𝑃(𝑋 = 0); (c) 𝑉𝑎𝑟(𝑋).

6. An individual whose level of exposure to a certain pathogen is x will contract the disease caused
by this pathogen with probability 𝑃(𝑥). If the exposure level of a randomly chosen member of
the population has probability density function 𝑓, determine the conditional probability density
of the exposure level of that member given that he or she
(a) has the disease,
(b) does not have the disease,
(c) Show that when 𝑃(𝑥) increases in 𝑥, then the ratio of the density of part (a) to that of part (b)
also increases in x.

END OF WORKSHEET