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November 9, 2023
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11. Let X1 and X2 be random variables with E(X1 |X2 ) = 4 X2 , E(X2 ) = 5, V ar(X1 |X2 ) = 8 X2 and
V ar(X2 ) = 5. Then calculate 10000 × V ar(X1 ).
(answer error range: 0.00)
ANSWER : 9375
and
E (V (X1 |X2 )) = E(X2 /8) = E(X2 )/8 = 5/8.
5 5 15
Hence V (X1 ) = 8 + 16 = 16 . Therefore
15
10000 × V (X1 ) = 10000 × = 9375.
16
1
13. Let (X1 , X2 ) be a continuous random vector with joint pdf
−x2
e
, 0 < x1 < x2 < ∞
f (x1 , x2 ) =
0 , otherwise
Find V ar(X2 ).
(answer error range: 0.00)
ANSWER : 2
15. Let X be a continuous random variable with pdf f (x) = 3e−3x , x > 0. Let the cdf of random variable
Y = 1 − e−3X is denoted by G(·). Then find 20 × G(0.5).
(answer error range: 0.00)
ANSWER : 10
ANSWER : 3
2
ERROR RANGE: 0.00
SOLUTION : The joint pmf of (X,Y) is
y−x
1 2 1
p(x, y) = p(y|x)pX (x) = × x , y ≥ x, y ∈ N.
3 3 2
The marginal pmf of Y is
P
pY (y) = x p(x, y)
2 y−x
Py 1
× 21x
= x=1 3 3
y Py 3 x
= 13 23
x=1 4
1
hP∞ 3 x P∞
2 y 3 x
i
= 3 3 x=1 4 − x=y+1 4
h
1 2 y
3/4 (3/4)y+1
= 3 3 1−(3/4) − 1−(3/4)
2 y
y
− 21 , y ∈ N.
= 3
31. Suppose that X is a continuous random variable with distribution function F (x) and density function
f (x). Suppose f (x) is continuous. Find E( 13 F (x)).
(answer should be provided up to three decimal places, error range: 0.05)
ANSWER : 0.167
40. Suppose that X and Y have a bivariate normal distribution such that the marginal expectation and
standard deviation of X are 70 and 5 respectively and the marginal expectation and standard de-
viation of Y are 70 and 10 respectively and the correlation coefficient of X and Y is ρ > 0. If
P (58.24 < Y < 81.76|X = 70) = .95, then determine ρ.
(Given that Φ(1.96) = 0.975, Φ(0) = 0.5, Φ(1.65) = 0.95, Φ(0.44) = 0.67, where Φ is the standard
normal distribution function.)
(answer should be provided up to three decimal places, error range: 0.05)
ANSWER : 0.8
3
SOLUTION : The conditional distribution (Y |X = 70) ∼ N (70 + ρ.2.(70 − 70), 100(1 − ρ2 )) =
N (70, 100(1 − ρ2 )).
11.76
So, P (58.24 < Y < 81.76|X = 70) = Φ( √ 2
) − Φ( −11.76 11.76
√ 2 ) = .95 =⇒ Φ( √ 2
) = 0.975 =⇒
10 1−ρ 10 1−ρ 10 1−ρ
11.76
√ = 1.96 =⇒ ρ = ±0.8.
10 1−ρ2
Z11
41. Let Z1 and Z2 be i.i.d. N (0, 1) random variables and Y = Z22
. Find P (Y > 1)
(answer should be provided up to three decimal places, error range: 0.05)
ANSWER : 0.5
61. Let the pair of random variables (X, Y ) have joint density f (x, y) = 2, 0 ≤ x, y ≤ 1, x > y, and
f (x, y) = 0, otherwise. What is P (Y > 1/2) =?
(answer should be provided up to three decimal places, error range: 0.05)
ANSWER : 0.25
ERROR RANGE: 0.05
SOLUTION : Observe that it is uniform on the 0 ≤ x, y ≤ 1, x > y, triangle. So the probability is
2 ∗ 1/2 ∗ 1/2 ∗ 1/2 = 1/4
63. Let the pair of random variables (X, Y ) follow bivariate normal (1, −1, 2, 3, 1). What is E(X 2 +Y 2 ) =?
(answer should be provided up to three decimal places, error range: 0.05)
ANSWER : 5
ERROR RANGE: 0.05
SOLUTION : E(X 2 + Y 2 ) = E(X 2 ) + E(Y 2 ) = 3 + 2 + 2 = 7
67. Let Y follow uniform [0, 1] and for all y ∈ [0, 1], the conditional distribution of X|Y = y is Bernoulli(y).
Then find E(X 2 ).
(answer should be provided up to three decimal places, error range: 0.05)
ANSWER : 0.1666
ERROR RANGE: 0.05
4
SOLUTION : Observe that E(X 2 ) = E(E(X 2 |Y )) = E(Y (1 − Y )) = 1/2 − 1/3