MAST20004 Probability: Student Number

Student
number
Semester 2 Assessment, 2021

Page 1 of 19 — add any extra pages after page 19 — Page 1 of 19
School of Mathematics and Statistics

MAST20004 Probability
Reading time: 30 minutes — Writing time: 3 hours — Upload time: 30 minutes
This exam consists of 19 pages (including this page) with 8 questions and 100 total marks
Permitted Materials
• This exam and/or an offline electronic PDF reader, blank loose-leaf paper and a Casio
FX-82 calculator.
• One double sided A4 page of notes (handwritten only).
• No headphones or earphones are permitted.
Instructions to Students
• Wave your hand right in front of your webcam if you wish to communicate with the
supervisor at any time (before, during or after the exam).
• You must not be out of webcam view at any time without supervisor permission.
• You must not write your answers on an iPad or other electronic device.
• Off-line PDF readers (i) must have the screen visible in Zoom; (ii) must only be used to
read exam questions (do not access other software or files); (iii) must be set in flight mode
or have both internet and Bluetooth disabled as soon as the exam paper is downloaded.
Writing
• If you are writing answers on the exam and need more space, use blank paper. Note this
in the answer box, so the marker knows.
• If you are only writing on blank A4 paper, the first page must contain only your student
number, subject code and subject name. Write on one side of each sheet only. Start each
question on a new page and include the question number at the top of each page.
Scanning and Submitting
• You must not leave Zoom supervision to scan your exam. Put the pages in number
order and the correct way up. Add any extra pages to the end. Use a scanning app to
scan all pages to PDF. Scan directly from above. Crop pages to A4.
• Submit your scanned exam as a single PDF file and carefully review the submission in
Gradescope. Scan again and resubmit if necessary. Do not leave Zoom supervision until
you have confirmed orally with the supervisor that you have received the Gradescope
confirmation email.
• You must not submit or resubmit after having left Zoom supervision.
University
c of Melbourne 2021 Page 1 of 19 pages Can be placed in Baillieu Library
MAST20004 Probability Semester 2, 2021
Question 1 (10 marks)

Consider a random experiment with sample space Ω and set of events A.
(a) What do we mean when we say that events A and B in A are
(i) disjoint,
(ii) exhaustive?
(b) State the axioms that must be satisfied by a probability mapping P defined on the set
A of events of the random experiment.
NB: In lectures, two versions of the axioms were discussed. Students will be awarded
full marks for giving either version perfectly.
(c) Consider the situation where Ω = {ω1 , . . . , ωn } is finite and the outcomes are equally
likely.
(i) Use the probability axioms from part (b) to show that P({ωi }) = 1/n for any
i = 1, . . . , n.
Page 2 of 19 pages
(ii) Writing #A for the number of outcomes in A, show that, for any event A, P(A) =
#A/n.
(a) Let A1 , A2 , . . . , An be a set of disjoint and exhaustive events and H be any event of a
random experiment. State Bayes’ Formula for the probability P(Ai |H).
(b) A bank uses a credit test to decide if loan applicants are likely to default. Each applicant
is rated either A1 , A2 , A3 or B. The proportions of applicants rated in these categories
are 30%, 25%, 25% and 20% respectively. Applicants rated A1 , A2 or A3 receive a loan,
while applicants rated B do not receive a loan. Past experience indicates that 1/50
of applicants rated A1 , 1/25 of applicants rated A2 and 1/20 of applicants rated A3
eventually default.
Page 3 of 19 pages
(i) Given that they receive a loan, what are the probabilities that an arbitrarily-chosen
applicant is rated (i) A1 , (ii) A2 and (iii) A3 ?
(ii) What is the probability that an applicant eventually defaults?
(iii) What is the probability that an applicant who defaults was originally rated A3 ?
Page 4 of 19 pages

d
Let X = R(0, 2) and Y = eX .
(a) Describe the sets SX and SY of possible values of the random variables X and Y .
(b) For x ∈ SX , write down the distribution function FX (x) and density function fX (x) of
X.
(c) Calculate E(X) and V (X).
Page 5 of 19 pages
(d) For y ∈ SY , write down the distribution function FY (y) and density function fY (y) of
Y.
(e) Calculate E(Y ),
ex fX (x)dx, and
R
(i) by evaluating SX
R
(ii) by evaluating SY yfY (y)dy.
(f) Calculate V (Y ).
Page 6 of 19 pages
(g) Using appropriate Taylor series expansions of ex , give approximations for E(Y ) and
V (Y ). Compare this with the exact values that you calculated in parts (e) and (f).

A level crossing in suburban Melbourne has two lines, one used for northbound trains and the
other used for southbound trains. An engineering consulting company is asked to advise the
government on the potential benefits of replacing the level crossing with an overpass.
They start out by assuming that the number N N (t) of northbound trains that pass through
the crossing during time interval (0, t] has a Poisson distribution with parameter λ1 t. Similarly
the number N S (t) of southbound trains that pass through the crossing during any time interval
(0, t] has a Poisson distribution with parameter λ2 t and is independent of N N (t).
(a) Give an expression for the probability mass function of N N (t).
Page 7 of 19 pages
(b) Showing all your working, use the definition of the expected value to derive E(N N (t)).
(c) Conditioning on the number of northbound trains and using the Law of Total Probabil-
ity, derive an expression for the probability mass function N (t) of the number of trains
that pass through the level crossing in either direction during the time interval (0, t].
Page 8 of 19 pages
(d) Let T be the time that the first northbound train passes through the level crossing. By
observing that the event {N N (t) = 0} is the same as the event that {T > t}, derive the
distribution function of T . Name this distribution.
(e) A pedestrian waiting at the level crossing has observed that no northbound train has
passed in the time interval (0, a]. Conditional on this observation, what is the distribu-
tion function of the remaining time Ta until the first northbound train passes through
the level crossing? What property of the random variable T is established by your
calculation?
(a) Let X and Y have joint probability density function of the form

kxy if 0 ≤ 2x + y ≤ 2, x ≥ 0 and y ≥ 0,
f(X,Y ) (x, y) =
0 otherwise,
with k a positive constant.
(i) What are the sets SX and SY of possible values of the random variables X and Y .
(ii) Justifying your reasoning, derive the value of k.
Page 9 of 19 pages
(iii) For x ∈ SX and y ∈ SY , write down the marginal probability density functions
fX (x) and fY (y) of X and Y . Verify that your expressions are, indeed, probability
density functions.
Page 10 of 19 pages
1
(iv) For y ∈ SY , find the conditional probability density function of Y given X = 2 and
verify that it is a probability density function.
Page 11 of 19 pages
(b) Consider independent continuous random variables X and Y with distribution functions
FX (x) and FY (y) and probability density functions fX (x) and fY (y) respectively. Let
SX be the set of possible values of X.
(i) Justifying all your steps, derive the expression

Z
fZ (z) = fY (z − x)fX (x)dx
x∈SX
for the probability density function fZ (z) of Z = X + Y .
(ii) Hence, or otherwise, derive the probability density function fZ (z) for Z = X + Y
d d
where X = exp(α) and Y = γ(2, α) (so that Y has pdf fY (y) = α2 ye−αy for y > 0).
Page 12 of 19 pages

In a particular population, the number of daughters that any woman has is a random variable
C with probability mass function

1/4 if n = 0

pC (n) = 1/4 if n = 1

1/2 if n = 2

independently of the number of daughters that any other woman has.
(a) Write down the probability generating function PC (z) of C and define its domain of
convergence.
(b) Use your expression in part (a) to derive the mean and variance of C.
(c) Let G be the number of grandchildren in the direct female line that Mary, a woman
from this population, has and observe that
C
X
G= Ci (1)
i=1
where Ci is the number of daughters that Mary’s ith daughter has (and we take the
empty sum to be equal to zero in the case that C = 0). Use expression (1) to derive the
mean and variance of G.
Page 13 of 19 pages
(d) Write down an expression for the probability generating function of G and use it to
verify your answers in part (c).

In this question, you may use the fact that the probability density function for a standard
normal random variable Z is
1 1
φ(z) = √ exp (− z 2 ).
2π 2
(a) Derive the moment generating function MZ (t) of Z.
Page 14 of 19 pages
d
(b) Use the fact that a random variable X = N (µ, σ 2 ) has the same distribution as µ + σZ
to write down the moment generating function of X.
d
(c) For i = 1, 2, . . . , n, let Xi = N (µ, σ 2 ) be independent random variables. Derive the
moment generating function of
n
1X
X n ≡ Sn /n = Xi .
n
i=1
Page 15 of 19 pages
(d) Now, let X1 , X2 , . . . , Xn be independent and identically-distributed (not necessarily nor-

mal) random variables with E(Xi ) = 0 and V (Xi ) = 1 and density function f (x).
Assume that the moment generating function MXi (t) of Xi exists for some t 6= 0.
0 (0) = 0 and M 00 (0) = 1.
(i) Show that MXi (0) = 1, MXi Xi
Page 16 of 19 pages
(ii) Hence use an appropriate Taylor Series approximation to show that
MXi (t) ≈ 1 + t2 /2.
Pn
(iii) Let Sn = i=1 Xi . In this context, the Central Limit Theorem states that
Sn d
Zn ≡ √ → N (0, 1), as n → ∞.
n
Prove this theorem by showing that the moment generating function MZn (t) con-
verges as n → ∞ to the function that you derived in part (a).
Page 17 of 19 pages

In this question we think again about the population in Question 6, but in this case the prob-
ability mass function for the number of daughters that a woman has is simpler. Specifically it
is (
1/3 if n = 0
pC (n) =
2/3 if n = 1.
(a) Consider two sisters from the population and let Dk be the number of descendants in
the female line that they have in Generation k (with the sisters at Generation 0, their
children at Generation 1 etc). What is the set M of possible values of D1 ?
(b) For each i and j in M , write down the probability that Dk+1 = j given that Dk = i.
(c) The sequence Dk can be modelled as a discrete-time Markov chain. Use your calculations
in part (b) to write down the transition matrix of this Markov chain.
Page 18 of 19 pages
(d) Hence write down the probability that the sisters have no direct female descendants
(i) in Generation 1,
(ii) in Generation 2.
(e) What is the probability that the sisters’ female line of descendants eventually dies out?
End of Exam — Total Available Marks = 100
Page 19 of 19 pages

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Student

Semester 2 Assessment, 2021

School of Mathematics and Statistics

• One double sided A4 page of notes (handwritten only).

• No headphones or earphones are permitted.

Scanning and Submitting

Question 1 (10 marks)

Consider a random experiment with sample space Ω and set of events A.

(a) What do we mean when we say that events A and B in A are

(ii) What is the probability that an applicant eventually defaults?

Question 3 (16 marks)

(c) Calculate E(X) and V (X).

(e) Calculate E(Y ),

Question 4 (10 marks)

(a) Give an expression for the probability mass function of N N (t).

Question 5 (16 marks)

with k a positive constant.

(ii) Justifying your reasoning, derive the value of k.

(i) Justifying all your steps, derive the expression

for the probability density function fZ (z) of Z = X + Y .

Question 6 (12 marks)

independently of the number of daughters that any other woman has.

Question 7 (18 marks)

(a) Derive the moment generating function MZ (t) of Z.

(d) Now, let X1 , X2 , . . . , Xn be independent and identically-distributed (not necessarily nor-

(ii) Hence use an appropriate Taylor Series approximation to show that

MXi (t) ≈ 1 + t2 /2.

Question 8 (10 marks)

End of Exam — Total Available Marks = 100

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