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**Problem 1 A new elevator in a large hotel is designed to carry about 30 people,
**

with a total weight of up to 5000 lbs. More than 5000 lbs. overloads the elevator.

The average weight of guests at this hotel is 150 lbs., with an SD of 55 lbs. Suppose

30 of the hotels guests get into the elevator. Assuming the weights of these guests

are independent random variables, what is the chance of overloading the elevator?

Give your approximate answer as a decimal.

Solution:

Let X

1

, · · · , X

30

be random variables representing the weights of the 30 guests who

get into the elevator, and let S =

30

i=1

X

i

. The X

i

s are identically distributed inde-

pendent random variables with mean 150 and standard deviation 55, which means

S is a random variable with mean 150 ×30 = 4500 and standard deviation 55

√

30.

There are enough people in the elevator to use the Central Limit Theorem to say

that S is approximately normally distributed. Thus the probability of overloading

the elevator is approximately the probability of being at least

5000 −4500

55

√

30

= 1.66

standard deviations above the mean in a normal distribution. This is given by

1 −Φ(1.66) = 1 −0.9515 = 0.0485

so there is roughly a 4.85% chance of overloading the elevator.

Problem 2 Suppose X and Y are independent random variables such that E(X

4

) =

2, E(X

2

) = 1, E(Y

2

) = 1, and E(Y ) = 0. Let W = X

2

Y . Calculate E(W),

E(W

2

), and SD(W).

Solution:

Note that if f and g are real functions, then f(X) and g(Y ) are independent random

variables since X and Y are independent. Therefore

E(f(X)g(Y )) = Ef(X)E(g(Y ))

Using this observation, we compute that

EW = EX

2

Y = EX

2

EY = 0

and

EW

2

= EX

4

Y

2

= EX

4

EY

2

= 2.

Furthermore, we know that

V ar(W) = EW

2

−(EW)

2

= 2,

so therefore

SD(W) =

_

V ar(W) =

√

2.

1

2 MA2B 2012 HW 4 SOLUTIONS

Problem 3 (4.4.6) Suppose that a particle is ﬁred from the origin in the (x, y)-

plane in a straight line in a direction at random angle Φ to the x-axis, and let Y

be the y-coordinate of the place where the particle hits the line x = 1. Show that

if Φ has uniform (π/2, π/2) distribution, then

f

Y

(y) =

1

π(1 +y

2

)

This is called the Cauchy distribution. Show that the Cauchy distribution is sym-

metric about 0, but that the expectation of a Cauchy random variable is undeﬁned.

Solution:

We have that Y = tan(y). The uniform distribution on (−π/2, π/2) is deﬁned by

f

Φ

(φ) =

_

1/π φ ∈ (−π/2, π/2)

0 otherwise

Then we compute that

f

Y

(y) =

d(F

Y

(y))

dy

=

dP(Y ≤ y)

dy

=

dP(tan Φ ≤ y)

dy

=

dP(Φ ≤ arctan y)

dy

= f

Φ

(arctan y)

d(arctan y)

dy

=

1

π(1 +y

2

)

This function is clearly symmetric, so all that remains is to show that the expecta-

tion is undeﬁned. The expectation is by deﬁnition:

_

∞

−∞

y

π(1 +y

2

)

dy

An antiderivative of the integrand is

1

2π

log(1 +y

2

), so the integral is:

lim

(a,b)→(∞,−∞)

_

1

2π

log(1 +a

2

) −

1

2π

log(1 +b

2

)

_

Note that if we restrict to b = 0, we get lim

a→∞

1

2π

log(1 + a

2

), which is unde-

ﬁned. Therefore, the double-sided inﬁnite integral does not exist, meaning that the

expectation of this random variable is undeﬁned.

Problem 4 (5.2.6 parts (a) and (b)) Let X and Y have joint density

f(x, y) =

_

90(y −x)

8

0 < x < y < 1

0, otherwise

Solution:

MA2B 2012 HW 4 SOLUTIONS 3

(a) Find P(Y > 2X). b) Find the marginal density of X.

Solution: a)

P(Y > 2X) =

_ _

y>2x

f(x, y)dxdy

=

_

∞

−∞

_

∞

2x

f(x, y)dydx

=

_

1/2

0

_

1

2x

90(y −x)

8

dydx (as f(x, y) = 0 unless 0 < x < y < 1)

=

_

1/2

0

90(y −x)

9

9

¸

¸

¸

¸

1

2x

dx

=

_

1/2

0

10

_

(1 −x)

9

−x

9

_

dx

=

10

_

−(1 −x)

10

−x

10

_

10

¸

¸

¸

¸

¸

1/2

0

= 1 −

_

1

2

_

9

≈ 0.998.

**(b) For 0 < x < 1, the marginal density of X is
**

f

X

(x) =

_

∞

−∞

f(x, y)dy

=

_

1

x

90(y −x)

8

dy (as f(x, y) = 0 when x ≥ y)

=

90(y −x)

9

9

¸

¸

¸

¸

1

x

= 10(1 −x)

9

.

For x ≤ 0 or x ≥ 1, f

X

(x) = 0.

Problem 5 (5.3.8)

Solution:

Peter and Paul agree to meet at a restaurant at noon. Peter arrives at a time

normally distributed with mean 12:00 noon, and standard deviation 5 minutes.

Paul arrives at a time normally distributed with mean 12:02 P.M., and standard

deviation 3 minutes. Assuming the two arrival times are independent, ﬁnd the

chance that (a) Peter arrives before Paul, (b) both men arrive within 3 minutes of

noon, and (c) the mean arrive within 3 minutes of each other.

Solution:

4 MA2B 2012 HW 4 SOLUTIONS

(a) Let X and Y represent times when Peter and Paul arrive, respectively. We

can take noon to be the origin of the coordinate system and then X and Y

are normal (0, 25) and normal (2, 9) distributions, respectively. Using the

formula for a linear combination of normal variables given on page 363, we

obtain that X − Y is a normal (2, 34) distribution. Thus the probability

that Peter arrives before Paul is

P(X < Y ) = P(X −Y < 0) = P

_

X −Y + 2

√

34

<

0 + 2

√

34

_

≈ Φ(0.34) ≈ 0.6331

(b) This is similarly given by:

P(|X| ≤ 3, |Y | ≤ 3) = P(−3 ≤ X ≤ 3)P(−3 ≤ Y ≤ 3)

= P

_

−3

5

≤

X

5

≤

3

5

_

P

_

−5

3

≤

Y −2

3

≤

1

3

_

≈ (2Φ(0.6) −1)(φ(0.33) + Φ(1.67) −1)

≈ 0.2626

(c) This is given by

P(|X −Y | < 3) = P(−3 < X −Y < 3)

= P

_

−3 + 2

√

34

<

X −Y + 2

√

34

<

3 + 2

√

34

_

≈ Φ(0.86) + Φ(0.17) −1

≈ 0.3726

Problem 6 Suppose X and Y are two independent random variables. X has

density

f(x) =

_

6x(1 −x) 0 < x < 1

0 otherwise

and Y has density

g(y) =

_

2y 0 < y < 1

0 otherwise

Use the convolution formula to calculate the density function h(t) of X +Y .

Solution:

The convolution formula on page 372 gives

h

X+Y

(t) =

_

∞

−∞

f(x)g(t −x)dx.

We compute this explicitly by considering four cases: t ≤ 0, 0 < t < 1, 1 ≤ t < 2,

and t ≥ 2.

(a) t ≤ 0

In this case, there are no points where f(x) and g(t − x) are both nonzero, so

we have that h

X+Y

(t) = 0.

MA2B 2012 HW 4 SOLUTIONS 5

(b) 0 < t < 1

h

X+Y

(t) =

_

t

0

6x(1 −x) · 2(t −x)dx

= 12

_

1

2

x

2

t −

1

3

x

3

(1 +t) +

1

4

x

4

_¸

¸

¸

t

0

= 2t

3

−t

4

.

(c) 1 ≤ t < 2

h

X+Y

(t) =

_

1

t−1

6x(1 −x) · 2(t −x)dx

= 12

_

1

2

x

2

t −

1

3

x

3

(1 +t) +

1

4

x

4

_¸

¸

¸

1

t−1

= −8 + 16t −6t

2

−2t

3

+t

4

.

(d) t ≥ 2

In this case, there are again no points where f(x) and g(t −x) are both nonzero,

so we also have that h

X+Y

(t) = 0.

Hence, we conclude that

h

X+Y

(t) =

_

¸

_

¸

_

2t

3

−t

4

0 < t < 1,

−8 + 16t −6t

2

−2t

3

+t

4

1 ≤ t < 2.

0 otherwise.

As a sanity check, we observe that

_

1

0

(2t

3

−t

4

)dt = 3/10 −0 = 3/10

_

2

1

(−8 + 16t −6t

2

−2t

3

+t

4

)dt = −8/5 −(−23/10) = 7/10

and thus

_

2

0

h

X+Y

(t)dt = 1.

2 MA2B 2012 HW 4 SOLUTIONS Problem 3 (4. The expectation is by deﬁnition: ∞ y dy 2 −∞ π(1 + y ) fY (y) = An antiderivative of the integrand is lim (a. meaning that the expectation of this random variable is undeﬁned. but that the expectation of a Cauchy random variable is undeﬁned. Therefore. and let Y be the y-coordinate of the place where the particle hits the line x = 1. then 1 fY (y) = π(1 + y 2 ) This is called the Cauchy distribution. so the integral is: 1 1 log(1 + a2 ) − log(1 + b2 ) 2π 2π 1 Note that if we restrict to b = 0. 0<x<y<1 otherwise .6 parts (a) and (b)) Let X and Y have joint density f (x. π/2) otherwise log(1 + y 2 ). π/2) is deﬁned by fΦ (φ) = Then we compute that d(FY (y)) dy dP (Y ≤ y) = dy dP (tan Φ ≤ y) = dy dP (Φ ≤ arctan y) = dy d(arctan y) = fΦ (arctan y) dy 1 = π(1 + y 2 ) This function is clearly symmetric. Problem 4 (5.4. The uniform distribution on (−π/2. Show that the Cauchy distribution is symmetric about 0. the double-sided inﬁnite integral does not exist. which is undeﬁned.6) Suppose that a particle is ﬁred from the origin in the (x. so all that remains is to show that the expectation is undeﬁned. Solution: We have that Y = tan(y). Show that if Φ has uniform (π/2.2. y) = Solution: 90(y − x)8 0. we get lima→∞ 2π log(1 + a2 ). y)plane in a straight line in a direction at random angle Φ to the x-axis. π/2) distribution.b)→(∞.−∞) 1 2π 1/π 0 φ ∈ (−π/2.

y)dydx 90(y − x)8 dydx 0 1/2 2x = = 0 1/2 (as f (x. and standard deviation 5 minutes. y)dxdy y>2x ∞ ∞ f (x. Peter arrives at a time normally distributed with mean 12:00 noon. y) = 0 when x ≥ y) 90(y − x)9 9 10(1 − x)9 .MA2B 2012 HW 4 SOLUTIONS 3 (a) Find P (Y > 2X). Solution: a) P (Y > 2X) = = −∞ 2x 1 1/2 b) Find the marginal density of X. and standard deviation 3 minutes. ﬁnd the chance that (a) Peter arrives before Paul. the marginal density of X is ∞ fX (x) = −∞ 1 f (x. f (x.998. 1 x For x ≤ 0 or x ≥ 1.. Assuming the two arrival times are independent.3. y)dy 90(y − x)8 dy x = = = (as f (x. and (c) the mean arrive within 3 minutes of each other. Solution: . (b) both men arrive within 3 minutes of noon. Problem 5 (5. fX (x) = 0. (b) For 0 < x < 1.8) Solution: Peter and Paul agree to meet at a restaurant at noon. y) = 0 unless 0 < x < y < 1) 90(y − x)9 9 1 dx 2x = 0 10 (1 − x)9 − x9 dx 10 − (1 − x)10 − x10 10 1− 1 2 9 1/2 = = 0 ≈ 0.M. Paul arrives at a time normally distributed with mean 12:02 P.

respectively. 9) distributions.4 MA2B 2012 HW 4 SOLUTIONS (a) Let X and Y represent times when Peter and Paul arrive. and t ≥ 2. Solution: The convolution formula on page 372 gives ∞ hX+Y (t) = −∞ f (x)g(t − x)dx. 1 ≤ t < 2.33) + Φ(1.6331 Problem 6 Suppose X and Y are two independent random variables. We compute this explicitly by considering four cases: t ≤ 0. there are no points where f (x) and g(t − x) are both nonzero.67) − 1) = ≈ (c) This is given by P (|X − Y | < 3) = = ≈ ≈ P (−3 < X − Y < 3) X −Y +2 3+2 −3 + 2 √ √ < < √ P 34 34 34 Φ(0. 34) distribution.6) − 1)(φ(0. we obtain that X − Y is a normal (2. 0 < t < 1. respectively.2626 0+2 X −Y +2 √ < √ 34 34 ≈ Φ(0. |Y | ≤ 3) P (−3 ≤ X ≤ 3)P (−3 ≤ Y ≤ 3) −3 X 3 −5 Y −2 1 = P ≤ ≤ P ≤ ≤ 5 5 5 3 3 3 ≈ (2Φ(0. (a) t ≤ 0 In this case. so we have that hX+Y (t) = 0.86) + Φ(0. Using the formula for a linear combination of normal variables given on page 363. . 25) and normal (2.3726 0. We can take noon to be the origin of the coordinate system and then X and Y are normal (0.17) − 1 0.34) ≈ 0. Thus the probability that Peter arrives before Paul is P (X < Y ) = P (X − Y < 0) = P (b) This is similarly given by: P (|X| ≤ 3. X has density f (x) = and Y has density g(y) = 2y 0 0<y<1 otherwise 6x(1 − x) 0 < x < 1 0 otherwise Use the convolution formula to calculate the density function h(t) of X + Y .

. we observe that 1 0 < t < 1. so we also have that hX+Y (t) = 0. = 12 (d) t ≥ 2 In this case. we conclude that 2t3 − t4 hX+Y (t) = −8 + 16t − 6t2 − 2t3 + t4 0 As a sanity check. (2t3 − t4 )dt = 3/10 − 0 = 3/10 0 2 (−8 + 16t − 6t2 − 2t3 + t4 )dt = −8/5 − (−23/10) = 7/10 1 and thus 2 0 hX+Y (t)dt = 1. there are again no points where f (x) and g(t − x) are both nonzero. Hence. = 12 (c) 1 ≤ t < 2 1 hX+Y (t) = t−1 6x(1 − x) · 2(t − x)dx 1 t−1 1 2 1 1 x t − x3 (1 + t) + x4 2 3 4 = −8 + 16t − 6t2 − 2t3 + t4 . otherwise.MA2B 2012 HW 4 SOLUTIONS 5 (b) 0 < t < 1 t hX+Y (t) = 0 6x(1 − x) · 2(t − x)dx t 0 1 2 1 1 x t − x3 (1 + t) + x4 2 3 4 = 2t3 − t4 . 1 ≤ t < 2.

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