108 高成工數教室工程機率與統計 第六章作業 p.

6-1

1. For a Gaussian random variable X with known m1  E{ X } and m2  E{ X 2 } , find

(a) the pdf (equation f X (x ) ) of X; (5%)
  x2 
1 
(b) Pr( X  A) in terms of Q-function ( Q(u ) 
2 u
exp
 2 
 
dx ); (5%)

(c) Var{2 X  A} , ( Var{ X }  E{ X 2 }  ( E{ X }) 2 ). (5%)

2. Find the expected value  and the variance  2 of a random variable with the probability function.
2 2
f ( x)  e 2 x 4x2
(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%)

7. Assume X is an exponential ( ) random variable. Let K   X  where  is an ceiling operator

(for example, 3.2   4 ).
(1) Find PMF PK (k ) in terms of CDF FX (x) . (10%)
(2) Show that K is a geometric ( p) random variable with p  1  e   . (10%)
108 高成工數教室工程機率與統計 第六章作業 p.6-2

8. Consider a continuous random variable X. Let M X ( s )  E[e sX ] , s  ( , ) . Which of the

following statements is/are true?
0.5
(A) If X is an exponential random variable with mean 2, M X ( s )  , s  0.5 .
0.5  s
dM X ( s ) d 2 M X (s)
(B) E[ X ]  . (C) E[ X 2 ]   .
ds s 0 ds 2 s 0
2
(D) If X is a standard normal random variable, M X ( s )  e s .
2
(E)If X is a normal random variable such that E[ X ]  0 and E[ X 2 ]  4 , M X ( s )  e 2 s . (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 

2. (D) 3. (a)  2   2 (b) 3 4 4. (E) 5. (A)(E) 6. (A)(C) 7.(1) FX (k )  FX ( k  1)

7.(2) 略 8. (A)(B)(E) 9. (A)(C)(E) 10.(a) bE[U 2 ]  (ab  1) E[UV ]  aE[V 2 ]
ab
10.(b) r.v. X ~ N (0,1  a 2 ) ; r.v.Y ~ N (0,1  b 2 ) ; r.vsX , Y ~ BN (0, 0,1  a 2 ,1  b 2 , )
(1  a 2 )(1  b 2 )
1  12 ( x2  y 2 )
11. f ( x, y )  e ;   x, y   12. (B)
2