E2 202 Homework-02 Aug 18, 2022

1. Two fair dice are rolled and X is the maximum of two numbers.
(a) Specify a reasonable sample space Ω.
(b) Define this random variable as a function on the appropriate Ω.
(c) Derive its probability mass function.

2. Consider the probability space (Ω, F, P) with the sample space Ω ≜ [0, 1], event space F ≜ B([0, 1]),
and the probability measure P([ a, b]) ≜ b − a for 0 ⩽ a ⩽ b ⩽ 1. We define a mapping X : Ω → [0, 1.5],
such that (
2ω, ω ∈ [0, 12 ],
X (ω ) = 1
2ω − 2 , ω ∈ ( 21 , 1].
(a) Show that the mapping X is a F-measurable random variable.
(b) Find the event X −1 ((.5, 0.75]) and its probability.
(c) Find the distribution of X.
3. Let X : Ω → R2 be a random vector, such that the joint density is given by f X1 ,X2 ( x1 , x2 ). Let us define
a mapping Z : Ω → R such that Z ≜ X1 X2 . Show that Z is a random variable with distribution given
by
Z +∞
1 z
f Z (z) = f X1 ,X2 (w, )dw
−∞ | w | w

4. A point is chosen uniformly at random on a line segment of length L. Find the probability that the
ratio of the shorter to the longer segment is less than 14 .
5. Let (Ω, F, P) be a probability space and X : Ω → R+ be an exponential random variable with distri-
bution function FX : R+ → [0, 1] defined as

FX ( x ) = 1 − e−λx , x ∈ R+ .
√
We define a mapping ϕ : R+ → R+ such that ϕ( x ) = x.
(a) Show that ϕ is a Borel measurable function, and hence Y ≜ ϕ ◦ X is a random variable.
(b) Find the density function of Y.
6. Let X and Y be independent Gamma random variables defined on the same probability space
(Ω, F, P), with X ∼ G(m, α) and Y ∼ G(n, α) where m, n ∈ Z+ and α ∈ R+ , and the density f X :
R+ → R+ is defined as
x
e − α x m −1
f X (x) ≜ m , x ∈ R+ .
α Γ(m)
We define a mapping ϕ : R2+ → R+ such that ϕ( x, y) = x
x +y .

(a) Show that ϕ is a Borel measurable function, and hence Z ≜ ϕ ◦ ( X, Y ) is a random variable.
(b) Find the density function of Z.
7. Let X : Ω → R2 be an independent random vector with its components X1 and X2 being zero mean
and unit variance Gaussian random variables. We define the magnitude of X as R : Ω → R+ , such
that q
R ≜ X12 + X22 .
The angle of the random variable X is defined as Θ : Ω → [−π, π ), such that
  


 tan−1 X 2
X1 , X1 > 0, X2 > 0,
 
− 1 X2

π − tan , X1 < 0, X2 > 0,


−X1 
Θ≜ − X


 −π + tan−1 −X21 , X1 < 0, X2 < 0,
  
− tan−1 −XX2 ,

X1 > 0, X2 < 0.


1

(a) Show that R and Θ are random variables.

E2 202 Homework-02, Page 2 of 4 Aug 18, 2022
(b) Compute the joint density of R and Θ.
(c) Are R and Θ independent?
8. Let X : Ω → Rn be an i.i.d. random vector with a common density function f X1 = f : R → R+ . For
each outcome ω ∈ Ω, we can arrange components of vector X (ω ) in non-decreasing order, such that
the arranged vector is Y where Y1 ⩽ . . . ⩽ Yn and Yi = Xσ(ω )−1 (i) for a permutation σ : Ω → [n][n] .
The new vector Y is called the order statistics.
(a) Show that the joint distribution of the order statistics is given by

P {Y1 ⩽ y1 , . . . , Yn ⩽ yn } = n!P { X1 ⩽ y1 , . . . , Xn ⩽ yn , X1 < X2 < · · · < Xn } .

(b) Find the marginal density function of the kth order statistic Yk .