Quiz #2 of Probability Theory

May 13, 2014

1. Let the random variables X and Y have a joint PDF which is uniform over the
triangle with vertices at (0,0), (1,1), and (1,0).
(a) (5 points) Find the joint PDF of X and Y. (可用畫圖表示)
(b) (5 points) Find the marginal PDF of X. (要標示 X 的範圍)
(c) (5 points) Find the conditional PDF of Y given X. (要標示 Y 的範圍)

2. Let . Prove that if X and Y are independent random variables, then

(a) (5 points) var(Z) = var(X) + var(Y);
(b) (5 points) , where is the transform of Z.

3. (10 points) Given the Schwarz inequality , prove that

. Here is the correlation coefficient.

4. (a) (5 points) Let X be uniform on [0,1]. Find the PDF of .

(b) (10 points) Let X be a continuous random variable with PDF , and let

, where a and b are scalars, with . Prove that

5. Let .
(a) (8 points) Find and .
(b) (4 points) Find .

6. (8 分) Let X and Y be independent normal random variables with means

and standard deviations , respectively. The transform of X is

. Let . Find and prove that Z is a

 normal random variable.

7. (15 points) Prove Law of Total Variance : .

Hint: Use Law of Iterated Expectations

8. Let be i.i.d. random variables with mean and variance . Form

, and .

(a) (4 分) Find . (Hint: use the Weak Law of Large Numbers)

(b) (4 分) Find . (Hint: use the Central Limit Theorem)

9. Assume that the probability that Houston Rockets wins any basketball game is
0.8, independent of all other games. In this season, each NBA team plays 80
games.
(a) (5 points) What is the probability that Rockets wins at least 50 games this
season?
(b) (8 points) Answer the question by using the normal approximation to the
binomial. (i.e., De Moivre-Laplace Approximation to the Binomial)

10. (10 points) The joint PMF of two RVs X and Y is given below. Let Z=2X-Y. Find
the PMF of Z.

Binomial RV:
Poisson RV:

Normal RV: