NATIONAL UNIVERSITY OF SINGAPORE

SEMESTER I, 2023/2024

MA2116/ST2131 Probability Tutorial 7

1. Let U be a uniform random variable on (0, 1).

(i) Find the distribution of min(U , 1 −U ).
(ii) Find the distribution of max(U , 1 −U ).
(
U, if 0 < U ≤ 1/2,
Solution. (i) Let X = min(U , 1 −U ) = Then 0 < X ≤ 1/2.
1 −U , if 1/2 < U < 1.
For 0 < x < 1/2,

F X (x) = P (X ≤ x) = P (U ≤ x) + P (1 −U ≤ x)

= P (U ≤ x) + P (U ≥ 1 − x) = x + (1 − (1 − x)) = 2x,

or

1 − F X (x) = P (X > x) = P (U > x, 1 −U > x) = P (x < U < 1 − x) = 1 − 2x.

Then f X (x) = 2. Alternatively, for 0 < x < 1/2 and small ϵ > 0,

P (x < X < x + ϵ) = P (x < U < x + ϵ) + P (x < 1 −U < x + ϵ)

= P (x < U < x + ϵ) + P (1 − x − ϵ < U < 1 − x) = ϵ + ϵ = 2ϵ.

Then f X (x) = 2. It follows that X is a uniform random variable on (0, 1/2).

(
1 −U , if 0 < U ≤ 1/2,
(ii) Let Y = max(U , 1 −U ) = Then 1/2 ≤ Y < 1.
U, if 1/2 < U < 1.
For 1/2 ≤ y < 1,

1 − F Y (y) = P (Y > y) = P (U > y) + P (1 −U > y)

= P (U > y) + P (U < 1 − y) = (1 − y) + (1 − y) = 2 − 2y,

or

F Y (y) = P (Y < y) = P (U < y, 1 −U < y) = P (1 − y < U < y) = 2y − 1.

1
 MA2116/ST2131 PROBABILITY TUTORIAL 7 2

Then f Y (y) = 2. Alternatively, for 1/2 < y < 1 and small ϵ > 0,

P (y < Y < y + ϵ) = P (y < U < y + ϵ) + P (y < 1 −U < y + ϵ)

= P (y < U + y + ϵ) + P (1 − y − ϵ < Y < 1 − y) = ϵ + ϵ = 2ϵ.

Then f Y (y) = 2. It follows that Y is a uniform random variable on (1/2, 1). □

2. Suppose that the arrival times of buses A and B are uniformly distributed between 8 : 00 to
8 : 30. A passenger is waiting at a bus stop and will take the first arriving bus. Assume that
that the arrival time of buses A and B are independent. Find the distribution of the waiting
time of the passenger.

Solution. Let X A and X B be the arrival time (in minutes) of buses A and B . They are uni-
formly distributed on (0, 30). Let Y be the waiting time of the passenger. Then for any
0 < y < 30,
µ ¶2
30 − y
P (Y > y) = P (X A > y, X B > y) = P (X A > y)P (X B > y) = .
30
Hence,
30 − y
f Y (y) = , 0 < y < 30. □
450
3. Consider a post office having two clerks, and suppose that when A enters the system he
discovers that B is being served by one of the clerks and C by the other. Suppose also that A
is told that his service will begin as soon as either B or C leaves. If the amount of time a clerk
spends with a customer is exponentially distributed with parameter λ, find the probability
that, of the three customers, A is the last to leave the post office.

Solution. Consider the time at which A is first finds a free clerk. At this point either B or C
would have just left and the other one would still be in service. Assume that B is still being
served. By the lack of memory of the exponential random variable, it follows that the amount
of additional time that B has to spend in the post office is also exponential with parameter
λ. That is, it is the same as if B was just starting his service at this point. By symmetry, the
probability that he finishes before A must equal 1/2. □

4. The mode of a continuous random variable having probability density function f is the value
of x for which f (x) attains its maximum. Calculate the mode of
(a) normal random variable of parameters (µ, σ2 );
(b) gamma random variable of parameters (α, λ), where α ≥ 1.
(c) beta random variable of parameters (a, b), where a > 1 and b > 1.
 MA2116/ST2131 PROBABILITY TUTORIAL 7 3

1 2 2
Solution. (a) f (x) = p e −(x−µ) /2σ .
2πσ
Note that −(x − µ)2 /2σ2 has the maximum value 0 at x = µ. Then f (x) also attains the
maximum at x = µ.
1
(b) f (x) = λe −λx (λx)α−1 , x > 0. Then
Γ(α)
λα −λx λα −λx α−2
f 0 (x) = e [(α − 1)x α−2 − λx α−1 ] = e x (α − 1 − λx).
Γ(α) Γ(α)
If 0 < x < (α − 1)/λ, then f 0 (x) > 0; if x > (α − 1)/λ, then f 0 (x) < 0. So f (x) attains the
maximum at x = (α − 1)/λ.
1
(c) f (x) = x a−1 (1 − x)b−1 , 0 < x < 1. Then
B (a, b)
1
f 0 (x) = [(a − 1)x a−2 (1 − x)b−1 − (b − 1)x a−1 (1 − x)b−2 ]
B (a, b)
1
= x a−2 (1 − x)b−2 [(a − 1)(1 − x) − (b − 1)x]
B (a, b)
1
= x a−2 (1 − x)b−2 [(a − 1) − (a + b − 2)x].
B (a, b)
Compare f (0) = 0, f (1) = 0 and f ((a − 1)/(a + b − 2)) > 0, we conclude that f (x) attains
the maximum at x = (a − 1)/(a + b − 2). □

5. Let Z be the standard normal random variable. Show that E [Z n+2 ] = (n + 1)E [Z n ].
1 2
Solution. Recall that the probability density function of Z is f (x) = p e −x /2 . Then
2π
Z∞
1 2
E [Z n+2 ] = p x n+2 e −x /2 d x.
2π −∞
2 2
Let u = x n+1 and d v/d x = −xe −x /2
. Then d u/d x = (n + 1)x n and v = −e −x /2
. Use integra-
tion by parts, · ¸
Z∞
n + 1 n+1 −x 2 /2 ¯¯∞
n+2 n −x 2 /2
E [Z ]= p x e ¯ + x e dx .
2π −∞ −∞
Note that for any positive integer n,
µ ¶n+1 µ ¶n+1
x n+1 x 1
lim = lim 2 = lim 2 = 0.
x→∞ e x 2 /2 x→∞ e x /2(n+1) x→∞ e x /2(n+1) x/(n + 1)

Similarly
x n+1
lim = 0.
x→−∞ e x 2 /2
Then Z∞
n +1 2
E [Z n+2
]= p x n e −x /2
d x = (n + 1)E [Z n ]. □
2π −∞

6. Let X be a nonnegative continuous random variable. Prove the following statements.

 MA2116/ST2131 PROBABILITY TUTORIAL 7 4
Z∞
(i) E [X n ] = nt n−1 P (X > t ) d t .
0
(ii) P (X > a) ≤ E [X n ]/a n for any a > 0 and positive integer n.
(iii) If X is exponential with parameter 1, then E [X n ] = n!.
(iv) n! ≥ (n/e)n .

Solution. (i) Let f (x) be the probability density function of X . Then

Z∞ Z∞ Z∞
nt n−1 P (X > t ) d t = nt n−1 f (x) d x d t
0 0 t
Z∞ Z x Z∞
n−1
= nt f (x) d t d x = x n f (x) d x = E [X n ].
0 0 0

(ii) Let f (x) be the probability density function of X . Then

Z∞ Z∞ Z∞
n n n
E [X ] = x f (x) d x ≥ x f (x) d x ≥ a n f (x) d x = a n P (X > a).
0 a a

Z∞ Z∞
n−1 −t
n
(iii) E [X ] = nt e dt = n t n−1 e −t d t = nE [X n−1 ]. Consequently,
0 0

E [X n ] = n(n − 1) · · · 1 · E [X 0 ] = n!.

(iv) Let X be an exponential random variable with parameter 1. Then E [X n ] = n!.

n! E [X n ]
= ≥ P (X ≥ n) = e −n .
nn nn

That is, n! ≥ n n e −n = (n/e)n . □

7. Let N (t ) be a Poisson process with parameter λ > 0. Recall that N (t ) denote the number of
events occurring in time interval [h, h + t ] and

(λt )n
P (N (t ) = n) = e −λt .
n!

Let S n denote the arrival time of the n th event.

(i) Explain that N (t ) < n is equivalent to S n > t .
(ii) Use (i) or otherwise, find the probability density function of S n .

Solution. (i) N (t ) < n means there are at most n − 1 events occurring in [0, t ]; in other
words, the n th event occurs after time t , that is, S n > t .
 MA2116/ST2131 PROBABILITY TUTORIAL 7 5
Pn−1 Pn−1
(ii) P (S n > t ) = P (N (t ) < n) = i =0 P (N (t ) = i ) = i =0 e −λt (λt )i /i !. So the probability den-
sity function of S n is given by, for t > 0,
· ¸
d X −λt (λt )i i (λt )i −1
n−1
f n (t ) = − P (S n > t ) = λe −
dt i =0 i! i!
X
n−1 (λt )i X −λt (λt )i −1
n−1
=λ e −λt −λ e
i =0 i! i =1 (i − 1)!
X
n−1
−λt (λt )i X −λt (λt ) j
n−2
−λt (λt )
n−1
=λ e −λ e = λe .
i =0 i! j =0 j! (n − 1)!

Hence, S n is a gamma random variable with parameters (n, λ).

Alternatively, P (N (t ) = 1) ≈ λt and P (N (t ) ≥ 2) ¿ λt . In particular, P (N (ε) ≥ 2) ≈ 0 for
small ϵ. Note that t < S n < t +ϵ means there are i < n events in (0, t ) and j ≥ n −i events
in (t , t + ϵ). So
X
n−1
P (t < S n < t + ϵ) = P (N (t ) = i , N (ϵ) ≥ n − i )
i =1

(λt )n−1
≈ P (N (t ) = n − 1)P (N (ϵ) = 1) ≈ e −λt · λϵ.
(n − 1)!
Hence, the probability density function of S n is
(λt )n−1
f n (t ) = λe −λt , t > 0.
(n − 1)!
Note that this also implies that Γ(n) = (n − 1)! for positive integer n. □

8. A standard Cauchy random variable X has probability density function

1
f (x) = , −∞ < x < ∞.
π(1 + x 2 )
Prove that 1/X is also a standard Cauchy random variable.

Solution. Let y > 0. Then

Z1/y
1 1
1 − F Y (y) = P (Y > y) = P (0 < X < 1/y) = d x = tan−1 (1/y).
0 π(1 + x )
2 π
It follows that
1 −1/y 2 1
f Y (y) = − · = , y > 0.
π 1 + (1/y)2 π(1 + y 2 )
Let y < 0. Then

F Y (y) = P (Y < y) = P (1/y < X < 0) = P (0 < X < −1/y) = 1 − F Y (−y).

It follows that
1
f Y (y) = −F Y0 (−y)(−1) = f Y (−y) = , y < 0.
π(1 + y 2 )
 MA2116/ST2131 PROBABILITY TUTORIAL 7 6

Alternatively, note that g (x) = 1/x is one-to-one and with inverse h(y) = 1/y. If y 6= 0, then
1 1 1
f Y (y) = f X (1/y) · |h 0 (y)| = · 2= . □
π(1 + 1/y ) y
2 π(1 + y 2 )

9. A fair coin is tossed three times. Find the joint probability mass function of X and Y .
(a) X is the number of heads in all three tosses, and Y is the number of tails.
(b) X is the number of heads on the first two tosses, and Y is the number of heads on all
three tosses.
(c) X is the absolute difference between the number of heads and the number of tails in all
three tosses, and Y is the number of tails.

Solution. (a) Note that X + Y = 3. For i + j = 3,

¡3 ¢
P (X = i , Y = j ) = P (X = i ) = i (1/2)i

Then
Y =0 Y =1 Y =2 Y =3
X =0 0 0 0 1/8
X =1 0 0 3/8 0
X =2 0 3/8 0 0
X =3 1/8 0 0 0
(b) Note that Y = X or Y = X + 1. For j = i , i + 1,
¡2¢¡ 1 ¢ ¡2¢
P (X = i , Y = j ) = P (X = i , Y − X = j − i ) = i j −i
(1/2)3 = i
(1/2)3 .

Y =0 Y =1 Y =2 Y =3
X =0 1/8 1/8 0 0
X =1 0 1/4 1/4 0
X =2 0 0 1/8 1/8
(c) Note that X = |Y − (3 − Y )| = |3 − 2Y |. For i = |3 − 2 j |,
¡3¢
P (X = i , Y = j ) = P (Y = j ) = j
(1/2)3 .

Y =0 Y =1 Y =2 Y =3
X =1 0 3/8 3/8 0
X =3 1/8 0 0 1/8
□

10. The joint probability density function of X and Y is given by

f (x, y) = C e −y , −y < x < y, y > 0.

 MA2116/ST2131 PROBABILITY TUTORIAL 7 7

(i) Find the value of C .

(ii) Find the marginal probability density function of X and E [X ].
(iii) Find the marginal probability density function of Y and E [Y ].
Z∞ Z∞
Solution. (i) Note that 1 = C f (x, y) d x d y. Then
−∞ −∞
Z∞ Z y Z∞ ¯∞
−y ¯
1= Ce dx dy = 2C ye −y d y = −2C (y + 1)e −y ¯ = 2C .
0 −y 0 0

So C = 1/2.
(ii) For any x ∈ R, −y < x < y means |x| < y. So
Z∞ Z∞
1 −y 1
f X (x) = f (x, y) d y = e d y = e −|x| .
−∞ |x| 2 2
Since f X (x) is even, x f X (x) is odd. Then
Z∞
E [X ] = x(1/2)e −|x| d x = 0.
−∞
(iii) For any y > 0,
Z∞ Zy
1 −y
f Y (y) = f (x, y) d x = e d x = ye −y .
−∞ −y 2
Then Z∞ Z∞
−y
E [Y ] = y · ye dy = y 2 e −y d y = 2. □
0 0