MAS 102: Probability and Distribution Theory I 7th March 2022

Answer ALL the questions

1. Let 𝑋𝑋 and 𝑌𝑌 have a joint probability mass function

(𝒙𝒙, 𝒚𝒚) (1,1) (1,2) (1,3) (2,1) (2,2) (2,3)

𝒑𝒑(𝒙𝒙, 𝒚𝒚) 2 4 3 1 1 4
15 15 15 15 15 15

and 𝑝𝑝(𝑥𝑥, 𝑦𝑦) is zero elsewhere. Determine the correlation coefficient of 𝑋𝑋 and 𝑌𝑌

2. Let 𝑓𝑓(𝑥𝑥, 𝑦𝑦) = 2, 0 < 𝑥𝑥 < 𝑦𝑦, 0 < 𝑦𝑦 < 1, zero elsewhere be the joint pdf of 𝑋𝑋 and 𝑌𝑌. Determine
a) the conditional mean of 𝑋𝑋 given 𝑌𝑌, 𝐸𝐸(𝑋𝑋⁄𝑌𝑌)
b) the conditional mean of 𝑌𝑌 given 𝑋𝑋, 𝐸𝐸(𝑌𝑌⁄𝑋𝑋)
c) the correlation coefficient of 𝑋𝑋 and 𝑌𝑌
d) 𝑉𝑉𝑉𝑉𝑉𝑉(𝑌𝑌⁄𝑋𝑋 = 𝑥𝑥 )

𝑥𝑥 2
3. Let 𝑋𝑋 have pdf 𝑓𝑓(𝑥𝑥) = 9
,0 < 𝑥𝑥 < 3, zero elsewhere. Find the pdf of 𝑌𝑌 = 𝑋𝑋 3 .

4. Let 𝑋𝑋 and 𝑌𝑌 have a bivariate normal distribution with parameters 𝜇𝜇𝑥𝑥 = 5, 𝜇𝜇𝑦𝑦 = 10, 𝜎𝜎𝑥𝑥2 = 10, 𝜎𝜎𝑦𝑦2 = 25
and 𝜌𝜌 > 0. If 𝑝𝑝(4 < 𝑌𝑌 < 16⁄𝑋𝑋 = 5) = 0.954, determine 𝜌𝜌.

5. Let 𝑋𝑋 and 𝑌𝑌 have a bivariate normal distribution with parameters 𝜇𝜇𝑥𝑥 = 20, 𝜇𝜇𝑦𝑦 = 40, 𝜎𝜎𝑥𝑥2 = 9, 𝜎𝜎𝑦𝑦2 = 4
and 𝜌𝜌 = 0.6. Find the shortest interval for which 0.90 is the conditional probability that 𝑌𝑌 is in this
interval given 𝑋𝑋 = 22.
1
6. If (1 − 2𝑡𝑡)−6 , 𝑡𝑡 > is the moment generating function of the random variable 𝑋𝑋, find 𝑝𝑝(𝑋𝑋 < 5.23).
2

2
7. If 𝑋𝑋~𝜒𝜒(5) determine the constants 𝑐𝑐 and 𝑑𝑑 so that 𝑝𝑝(𝑐𝑐 < 𝑋𝑋 < 𝑑𝑑) = 0.95 and 𝑝𝑝(𝑋𝑋 < 𝑐𝑐) = 0.025