Exercise

Statistics and Probability

1. (a) Calculate E(X), V(X) for the random variable X with the following pdf:

r 0 1 2 3
P(X=r) 0.3 0.1 0.4 0.2

(b) Find E(3X 3 – 2X – 1) and V(3X 3 – 2X – 1) for the distribution above.

(c) Let f(x) = 3x2 0<x<1

Find E(X) and V(X).

2. For the following distribution

f(x) = x/8 0<x<4

=0 otherwise

(a) Verify that the area under the curve satisfies the requirements for a probability
distribution function (pdf).

(b) Find the first moment of the distribution.

(c) Find the second moment about the mean of the distribution.

(d) Do you expect the third moment about the mean to be positive, zero or negative?
Explain your answer.

(e) Find P(X < 3).

3. Assume that X is a continuous random variable whose probability density function is

given by:

f(x) = [5x – x2] 0<x<6

=0 otherwise

(a) For what value(s) of  is this a probability density function?

(b) Find P(X > 2).

4. A random variable X is distributed uniformly between parameters  and . Thus, the

probability density function is expressed as:


f x   <x<
β α
=0 (otherwise)

(a) Derive an expression for the mean of this distribution.

(b) [Optional] Derive an expression for the variance of this distribution.

4. Let X and Y have the joint probability density:

f(x,y) = 2 0xy1

Use the domain 0  x  y  1 for the remaining parts of the question.

(a) Find P(0  x  ½, 0  y  ½).

(b) Find the marginal pdf for x.
(c) Find the marginal pdf for y.
(d) Find E(X) and E(Y).
(e) Find V(X) and V(Y).
(f) Find the pdf for x conditional on y.
(g) Find the pdf for y conditional on x.
(h) If X and Y are found to be dependent, compute the correlation coefficient.

5. For the joint probability density function , 0 ≤ x, y ≤ 1

a) Derive the marginal densities of x and y

b) Determine if x and y are independent of each other

c) Calculate the conditional density of x given y

d) Calculate the expected value of x given y = 0.75

e) Find the probability that 0 ≤ x ≤ 0.5 and 0.25 ≤ y ≤ 0.75

f) If y were regressed on x what would be the expected value of R2,

approximately?

(6)

(b) Find the conditional distributions for Y given X = 1, and for Y given X = 2. Calculate the
conditional expectations E(Y=2|X = 1) and E(Y=1|X = 2). Calculate the E(X) and E(Y) along with the
variances. Determine if X and Y are independent or not. Lastly calculate the correlation between X
and Y; what do you conclude?