STAT515, Review Worksheet for Final Exam

Spring 2019

1.

(1) Suppose that X and Y are random variables with

E(X) = 1, E(Y ) = 2, Var(X) = 1, Var(Y ) = 4, and Cov(X, Y ) = 2.

Compute the mean and variance of Z = 3X − 5Y .

Solution.

E(Z) = E(3X − 5Y ) = 3E(X) − 5E(Y ) = 3 · 1 − 5 · 2 = −7

Var(Z) = Var(3X − 5Y ) = 32 Var(X) + (−5)2 Var(Y ) + 2 · 3 · (−5)Cov(X, Y )

= 9 · 1 + 25 · 4 − 30 · 2 = 49.

(2) Suppose the joint distribution of X and Y is given by

(
6y, 0 ≤ y ≤ x ≤ 1,
f (x, y) =
0, elsewhere.
1 3
It is known that E(X) = 2
and E(Y ) = 4
(you may assume this).

(a) Compute the covariance Cov(X, Y ).

(b) Are X and Y independent? (Justify your answer).

Solution.
ZZ Z 1 Z x 
E(XY ) = xyf (x, y)dxdy = xy · 6y dy dx
0 0
Z 1 h
y=x i
= 2xy 3 y=0 dx
0
Z 1 1
4 2 5  2
= 2x dx = x  =
0 5 0 5
 2

So
2 1 3 1
Cov(X, Y ) = E(XY ) − E(X)E(Y ) = − · =
5 2 4 40
Thus, X and Y are dependent since Cov(X, Y ) 6= 0.

(3) Let X be a standard normal distribution, that is, X ∼ N (0, 12 ). Let

Y = X 2.

(a) Compute the mean of Y .

(b) Compute the covariance Cov(X, Y ).

Solution. (a) Since X ∼ N (0, 12 ), we have E(X) = 0 and Var(X) =

12 = 1.

E(Y ) = E(X 2 ) = Var(X) + [E(X)]2 = 1 + 02 = 1.

(b) Note that Z ∞

1 x2
3
E(X ) = x3 √ e− 2 dx = 0
−∞ 2π
as the above integrand is an odd function. Therefore,

Cov(X, Y ) = E(XY ) − E(X)E(Y ) = E(X 3 ) − E(X)E(X 2 ) = 0 − 0 = 0

 3

2.
(1) Suppose that X has density function given by
(
2x, 0 ≤ x ≤ 1,
f (x) =
0, elsewhere.
Find the probability density function for Y = eX .

Solution. Note that the function y = ex is strictly increasing and hence

invertible, and its inverse is given by x = h(y) = ln y. Then h0 (y) = y1 .
By the method of transformation, we get the pdf of Y by
(  
1
2 ln y · y , 0 ≤ ln y ≤ 1,
fY (y) = fX (h(y)) · |h0 (y)| =
0, elsewhere
(
2 ln y
y
, 1 ≤ y ≤ e,
=
0, elsewhere

(2) Suppose that X has density function given by

x2
(
xe− 2 , x > 0,
f (x) =
0, elsewhere.
Show that Y = X 2 has an exponential distribution with mean β = 2.

Solution. Note that the function y = x2 is strictly increasing and hence

invertible on the effective domain with x > 0 , and its inverse is given by
√
x = h(y) = y. Then h0 (y) = 2√1 y . By the method of transformation,
we get the pdf of Y by
√

√ye− ( 2y)2 ·  √1  , √
 
0 2 y y > 0,
fY (y) = fX (h(y)) · |h (y)| =
0, elsewhere
(
1 − y2
2
e , y > 0,
=
0, elsewhere
which is exactly the density function of exponential distribution with
mean β = 2.
 4

(3) Let X by a random variable with exponential distribution with β = 1,

that is, (
e−x , x > 0,
f (x) =
0, elsewhere.

(a) Find the probability density function of Y = 3X − 1.

√
(b) Find the probability density function of Z = X.

Solution. (a) Note that the function y = 3x − 1 is strictly increasing

and hence invertible, and its inverse is given by x = h(y) = (y + 1)/3.
Then h0 (y) = 13 . By the method of transformation, we get the pdf of
Y by
(  
0 e−(y+1)/3 ·  31  , (y + 1)/3 > 0,
fY (y) = fX (h(y)) · |h (y)| =
0, elsewhere
(
1 −(y+1)/3
3
e , y > −1,
=
0, elsewhere
√
(b) Note that the function z = x is strictly increasing and hence
invertible, and its inverse is given by x = h(z) = z 2 for all z > 0. Then
h0 (z) = 2z. By the method of transformation, we get the pdf of Z by
( 2
e−z · |2z| , z > 0,
fZ (z) = fX (h(z)) · |h0 (z)| =
0, elsewhere
( 2
2ze−z , z > 0,
=
0, elsewhere
 5

3.

(1) Let X by a random variable with probability density function given by

(
ex , x < 0,
f (x) =
0, elsewhere.

(a) Compute the moment generating function mX (t) for t > −1.
(b) Use part (a) to compute E(e2X ), E(X) and E(X 3 ).

Solution. (a) For all t > −1,

Z ∞ Z 0
tX tx
mX (t) = E(e ) = e f (x)dx = etx ex dx
−∞ −∞
Z 0
= e(1+t)x dx
−∞
x=0
1 (1+t)x  1
= e = .
1+t 
x=−∞ 1+t

1
(b) E(e2X ) = mX (2) = 1+2
= 13 . Since
(3)
m0X (t) = −(1 + t)−2 , m00X (t) = 2(1 + t)−3 , mX (t) = −6(1 + t)−4 ,
(3)
we get E(X) = m0X (0) = −(1 + 0)−2 = −1 and E(X 3 ) = mX (0) =
−6(1 + 0)−4 = −6.

(2) (a) Suppose that the random variable Y has Bernoulli distribution
with rate p ∈ (0, 1), that is, its probability distribution is
(
p, y = 1,
p(y) = P (Y = y) =
1 − p, y = 0.

Compute the moment generating function of Y (Provide a com-

plete mathematical calculation without using tables).
 6

(b) Assume Y1 , Y2 , . . . , Yn are independent random variables, and each

Yi has Bernoulli distribution with rate p. What is the distribution
of the sum U = Y1 + Y2 + · · · + Yn ? (Justify your answer)

Solution. (a)
X
mY (t) = E(etY ) = ety p(y) = et·1 p(1) + et·0 p(0) = pet + (1 − p).
all y

(b) By part (a), we get mYi (t) = pet + (1 − p) for any i = 1, . . . , n.

Since Y1 , Y2 , . . . , Yn are independent, we have
2
mU (t) = mY1 (t) . . . mYn (t) = pet + (1 − p) ,


which is exactly the mgf of Binomial distribution B(n, p), that is,
U ∼ B(n, p).

(3) Find the distributions of the random variables that have the MGFs:
5
(a) mX (t) = [(1/3)et + (2/3)] .
et
(b) mY (t) = .
2 − et
t
(c) mZ (t) = e2(e −1) .
2
(d) mU (t) = e−2t+2t .
e2t − et
(e) mV (t) = .
t
1
(f) mW (t) = .
(1 − 3t)5
Solution.
5 5
(a) mX (t) = [(1/3)et + (2/3)] = [(1/3)et + (1 − 1/3)] , so X ∼ B(5, 13 ).
1 t
et e
(b) mY (t) = = 2
, so Y ∼ Geo( 12 ).
2−e t 1 − (1 − 21 )et
t
(c) mZ (t) = e2(e −1) , so Z ∼ P oisson(2).
2 1 2 2
(d) mU (t) = e−2t+2t = e−2t+ 2 ·2 t , so U ∼ N (−2, 22 ).
 7

e2t − et e2·t − e1·t

(e) mV (t) = = , so V ∼ U (1, 2).
t t(2 − 1)
1
(f) mW (t) = 5
= (1 − 3t)−5 , so W ∼ Gamma(5, 3).
(1 − 3t)
 8

4.

(1) For students taking a national standardized examination for college

admission, the math scores are normally distributed with a mean 380
and a standard deviation of 200, while the verbal scores are normally
distributed with a mean 420 and a standard deviation of 150. Assume
that the math and verbal scores are independent. If a college requires
a minimum combined score of 1050 for admission, what percentage of
student satisfy that requirement?

Solution. Let X and Y be the math and verbal scores respectively

for a randomly chosen student, then X ∼ N (380, 2002 ) and Y ∼
N (420, 1502 ). Since X and Y are independent, the sum U = X + Y ∼
N (µ, σ 2 ) with

µ = 380 + 420 = 800, σ 2 = 2002 + 1502 = 2502 .

So Z ∞
1 (u−800)2
P (U > 1050) = √ e− 2·2502 du ≈ 15.87%
1050 250 2π

(2) Independent random samples of n = 100 observations each are drawn

from normal populations. The parameters of these populations are:

– Population 1: µ1 = 300 and σ1 = 60;

– Population 2: µ2 = 290 and σ2 = 80.

(a) Find the probability that the mean of Population 1 is between 294
and 306.
(b) Find the probability that the mean of Population 1 is greater than
the mean of Population 2 by more than 20.

Solution. (a) Let {Xi }1≤i≤n be the samples of population 1, then the
sample mean

X n ∼ N (µ1 , σ12 /n) = N (300, 602 /100) = N (300, 62 ).

 9

So the probability that the mean of Population 1 is between 294 and

306 is
P (294 ≤ X n ≤ 306) = P (300 − 6 ≤ X n ≤ 300 + 6)
Z 306
1 (x−300)2
= √ e− 2·62 dx ≈ 68.27%.
294 6 2π

(b) Let {Yi }1≤i≤n be the samples of population 2, then

Y n ∼ N (µ2 , σ22 /n) = N (290, 802 /100) = N (290, 82 ),
and hence
X n − Y n ∼ N (300 − 290, 12 · 62 + (−1)2 · 82 ) = N (10, 102 ).
Therefore,
Z ∞
1 (z−10)2
P (X n − Y n > 20) = √ e− 2·102 dz ≈ 15.87%.
20 10 2π

(3) Suppose that from past data a professor knows that the test score of
a typical student taking their final examination is a normal random
variable with mean 73 and standard deviation 10.
(a) If 4 students are selected at random, what is the probability that
their sample average grade will be within 5 of 73?
(b) What is the minimum number of students that need to take the
examination to ensure, with probability at least 99.7%, that the
class average would be within 5 of 73? (Hint: Using the fact that
if Y ∼ N (µ, σ 2 ), then P (|Y − µ| ≤ 3σ) ≈ 99.7%).

Solution. (a) Here n = 4 and let Xi be the test score of the i-th student
for i = 1, . . . , n. Since each Xi ∼ N (73, 102 ), the sample mean
X n ∼ N (73, 102 /4) = N (73, 52 ).
Then the probability that their sample average grade will be within 5
of 73 is
Z 78
1 (x−73)2
P (|X n −73| ≤ 5) = P (68 ≤ X n ≤ 78) = √ e− 2·52 dx ≈ 68.27%
68 5 2π
 10

(b) For arbitary n, the sample mean

√
X n ∼ N (73, 102 /n) = N (73, (10/ n)2 ).
√
That is, the standard deviation of X n equals to 10/ n. To ensure that
the class average within 5 of 73 with probability at least 99.7%, we
need √
3 · 10/ n ≤ 5 ⇒ n ≥ 36.
 11

5.
(1) The service times for customers coming through a checkout counter in
a retail store are independent random variables with mean 1.5 minutes
and variance 1.0. Use the Central Limit Theorem to approximate the
probability that 100 customers can be served in less than 2 hours of
total service time.

Solution. Here n = 100 and let Yi be the service time for the i-th cus-
tomer, for i = 1, 2, . . . , n. Since they are independent, by the Central
Limit Theorem,
Y 100 − 1.5
U= √ = 10Y 100 − 15 ≈ N (0, 12 ),
1/ 100
and thus the probability that 100 customers can be served in less than
2 hours is

P (Y1 + · · · + Y100 ≤ 120) = P (100Y 100 ≤ 120)

= P (Y 100 ≤ 1.2)
= P (U ≤ 10 · 1.2 − 15)
= P (U ≤ −3)
Z −3
1 2
= √ e−x /2 dx ≈ 0.13%
−∞ 2π

(2) An airline company decided to book 400 persons on an airplane that

can seat only 372. Past studies have revealed that only 90% of the
booked passengers actually arrive for the flight. Use the Central Limit
Theorem to approximate the probability that there are not enough
seats will be available.

Solution. Let Y be the number of passengers who actually arrive,

then Y ∼ B(n, p) = B(400, 0.9). Use the Central Limit Theorem to
approximate the binomial distribution, we get
Y − np Y − 400 · 0.9 Y − 360
U=p =p = ≈ N (0, 12 ).
np(1 − p) 400 · 0.9(1 − 0.9) 6
 12

So the probability that there are not enough seats will be available is
 
372 − 360
P (Y > 372) = P U > = P (U > 2)
6
Z ∞
1 2
= √ e−x /2 dx ≈ 2.28%
2 2π

(3) The lifetime of light bulbs from a certain factory has an exponential
distribution with mean 18 months.

(a) 81 light bulbs are purchased from this company. Use the Central
Limit theorem to approximate the probability that the average
lifetime of the 81 light bulbs is between 14 and 16 months.
(b) Now suppose we have 100 light bulbs. Use the Central Limit
Theorem to approximate the probability that the total lifetime
of these 100 bulbs (that is, the sum of their lifetimes) does not
exceed 2000 months.

Solution. (a) Here n = 81 and let Yi be the lifetime of the i-th light
bulb, for i = 1, 2, . . . , n. Each Yi ∼ exp(18), and hence E(Yi ) = 18
and V (Yi ) = 182 . Since they are independent, by the Central Limit
Theorem,
Y 81 − 18 Y 81 − 18
U= √ = ≈ N (0, 12 ),
18/ 81 2
and thus the probability that the average lifetime of the 81 light bulbs
is between 14 and 16 months is
 
14 − 18 16 − 18
P (14 ≤ Y 81 ≤ 16) = P ≤U ≤
2 2
= P (−2 ≤ U ≤ −1)
Z −1
1 2
= √ e−x /2 dx ≈ 13.59%
−2 2π
 13

(b) Now n = 100 and let Yi be the lifetime of the i-th light bulb, for
i = 1, 2, . . . , n. Each Yi ∼ exp(18), and hence E(Yi ) = 18 and V (Yi ) =
182 . Since they are independent, by the Central Limit Theorem,

Y 100 − 18 Y 100 − 18
U= √ = ≈ N (0, 12 ),
18/ 100 1.8

and thus the probability that the total lifetime of these 100 bulbs does
not exceed 2000 months is

P (Y1 + · · · + Y100 ≤ 2000) = P (100Y 100 ≤ 2000)

= P (Y 100 ≤ 20)
 
20 − 18
= P U≤
1.2
 
5
= P U≤
3
Z 5
3 1 2
= √ e−x /2 dx ≈ 95.22%
−∞ 2π