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6-1
2. Find the expected value and the variance 2 of a random variable with the probability function.
2 2
f ( x) e 2 x 4x2
(A) / 2 (B) 1 / 2 (C) 2 1 / 2 (D) 2 1 / 4
(E) None of the above (5%)
3. Evaluate the following definite integrals, where and are positive real numbers.
x2
( x )2
(a) I1
2
exp
2 2
dx (10%)
( x )4 ( x )2
(b) I 2
2
exp
2 2
dx (10%)
4. Let X be a Gaussian random variable with mean X and variance X2 , and let Y be a Bernoulli
random variable with P(Y 1) p and P(Y 1) 1 p . Assume that X and Y are independent. Let
Z XY . Under which of the following conditions is Z a Gaussian random variable?
(A) p 1 / 2 (B) p 1 / 2 and X2 1 (C) X2 1 (D) X 1 and X2 1
(E) X 0 (5%)
5. Let X be a Gaussian random variable such that E[ X ] 1 and E[( X 1) 2 ] 4 . Let Y be a Gaussian
random variable such that E[Y ] 0 and E[Y 2 ] 1 . In addition, X and Y are statistically independent.
Let Z be a random variable such that Z 2 X 3Y . Which of the following statements is/are true?
(A) E[ Z ] 2 . (B) E[ Z 2 ] 25 . (C) E[YZ ] 4 .
1
(D) Y 2 is an exponential random variable. (E) P( Z 2) . (5%)
2
x
1
6. If a continuous random variable X has the pdf f ( x) e 2 , x 0 .
2
Which of the following statements is wrong?
(A) P (0 x 2) e 1 (B) E[ X ] 2 (C) Var[ X ] 8
x
(D) The CDF of X is F ( x) 1 e 2 , x 0. (E) None of these (5%)
9. Let X be a continuous random variable that is uniformly distributed over (0,1) and Y ln(X ) . Which
of the following statements is/are true?
2
(A) P( X 0.25) 0.75 . (B) E[ X 2 ] . (C) P(25 X 2 20 X 3 0) 0.55 .
3
(D) E[Y ] 2 . (E) E[Y 2 ] 2 . (5%)
10. Let U and V be two random variables and X U aV , Y bU V , where a and b are constants.
(a) Find an expression for E{XY } in terms of joint moments of U and V.
(b) If U and V are independent standard Gaussian random variables, find the joint and marginal
probability density functions (pdf) of X and Y. (20%)
11. Let U 0 and U 1 be two independent Gaussian random variables with mean 0 and variance 1. Given
1 1
the following two random variables X (U 0 U1 ) , Y (U 0 U1 )
2 2
Find the joint pdf of X and Y. (10%)
12. Suppose two random variables X and Y are jointly Gaussian with X 1 , X2 4 , Y 1 ,
Y2 1 , X ,Y 1 3 . Let Z X 3Y . Which of the following statements wrong?
(A) Z is Gaussian distributed (B) E[ Z ] 2 (C) Z2 9 (D) Cov ( X , Z ) 2
(E) None of these (5%)
參考解答
1
( x )2 A m1
1. (a) f ( x) e 2 2
; x ; m1 , 2 m2 m12 (b) Q (c) 4(m2 m12 ) \
2 m m2
2 1