MAT 271E PROBABILITY AND STATISTICS BY E.

ERTEN - HOMEWORK II 1

Basic concepts of Probability Theory

I. H OMEWORK II
1) Find the entropy of random variable X following the Gaussian distribution1 .
2) Suppose X and Y are independent exponential random variables with common parameter λ. Then
if
fX (x) = λe−λx fY (y) = λe−λy , x>0 & y>0 (2)
find the probability density function of Z = X + Y .
3) Suppose that X and Y are independent random variables and let g(X, Y ) = g1 (X)g2 (Y ). Find the
expected valueE[g(X, Y )].
4) Match the figures of bivariate normal distribution with the following correlation coefficients ρ =
{−0.7, −0.3, 0, 0.65, 0.95}.

5) Given the probability mass function with values PX,Y (x, y) shown in the following table

Y X
2 4 6
1 0.15 0.20 0.05
3 0.15 0.08 0.10
5 0.20 0.02 0.05

• write down the joint cumulative density function CDF FX,Y (x, y)
• write down the marginal density function for X and Y .
• Find E[X] and E[Y ].
• Are random variables X and Y independent?

1
The Gaussian RV X is given by:
 
1 (x − m)2
fX (x) = p exp − −∞≤x≤∞
(2π)σ 2σ 2
(1)
E[X] = m
V AR[X] = E[(X − m)2 ] = σ 2