Assignment 1 Solutions

1. Here are two methods for this question.

Method 1:
∫ ∞
P [X ≤ Y ] = P [X ≤ Y |Y = y]fY (y)dy
∫−∞
∞
= P [X ≤ y]fY (y)dy
∫−∞
∞
= FX (y)fY (y)dy
−∞

Method 2: Let Z = X − Y and W = Y , then X = Z + W , Y = W and

 
 1 1 

J = .
0 1 
∫∞
Then fZ,W (z, w) = fX (z +w)fY (w)×1, thus fZ (z) = −∞ fX (z +w)fY (w)dw , which means,
∫ 0 (∫ ∞ )
P [X ≤ Y ] = P [Z ≤ 0] = fX (z + w)fY (w)dw dz
−∞ −∞
∫ ∞ (∫ 0 )
= fX (z + w)dz fY (w)dw
∫−∞
∞
−∞

= FX (w)fY (w)dw
∫−∞
∞
= FX (y)fY (y)dy
−∞

2. Since X1 , X2 , . . . , Xn are independent and identically distributed with mean µ and variance σ 2 ,
we have,
[ ]
X1 + · · · + Xn
E = µ
n
( )
X1 + · · · + Xn nσ 2
V ar =
n n2
σ2
=
n
By Chebyshev’s inequality,
{  }
 X1 + · · · + Xn  σ2

P  
− µ ≥ ϵ ≤ 2
n nϵ

Hence, it’s easy to show,

{  }
 X1 + · · · + Xn 

lim P  
− µ ≥ ϵ = 0
n→∞ n

1
3. X is uniform over (0, 1), which means P (X < x) = x. Firstly we calculate the probability of
P (X < x|X < 21 ).

1 P (X ≤ x, X < 12 )
P (X ≤ x|X < ) =
2 P (X < 12 )
P (X ≤ x) 1
= 1 as x <
P (X < 2 ) 2
x
= 1
2
= 2x

and
1
P (X = x|X < ) = 2
2
Now we can get the final result.
∫ 1
1 2 1
E[X|X < ] = x ∗ P (X = x|X < )dx
2 0 2
1
=
4