Assignment 2 Solution

1. We place at random n points in the interval (0,1) and we denote by random variables
X and Y the distance from the origin to the first and the last points respectively. Find
FX (x), FY (y) and FX,Y (x, y).
Solution: Let X = min Zi , and Y = max Zi , where Zi is i.i.d uniformly distributed in the
interval (0, 1). Then, the CDF of X is

FX (x) = P (X x) = P (min Zi x) = P {at least one point in the interval(0, x)}

= 1 P {all n points are in the interval(x, 1)}
= 1 (1 x)n

The CDF of Y is

FY (y) = P (Y y) = P (max Zi y)
= P {all n points are in the interval(0, y)}
= yn

The joint CDF is

FX,Y (x, y) = P {min Zi x, max Zi y}

(a) If x > y,
FX,Y (x, y) = P {max Zi y} = y n

(b) If x y,

FX,Y (x, y) = P {all n points in (0, y)} P {all points in (x, y)

= y n (y x)n

(c) The complete joint CDF is

y n (y x)n xy
FX,Y (x, y) =
yn x>y

2. Problem 2 Solution:
C = A B = {1 X 2.5}
For x 0, Z x
1 /2 h i
FX (x) = e d = 1 ex/2 x0
0 2
(a)

P (A) = FX (3) FX (1) = e1/2 e3/2 = 0.3834

1
 (b)

P (B) = FX (2.5) = 1 e1.25 = 0.7135

(c)

P (C) = FX (2.5) FX (1) = e1/2 e1.25 = 0.3200

3. Problem 3 Solution:

(a) The probability of A is

1000 4000 3300 4000
P (A) = P {1000 < X < 3300} = P <Y <
1000 1000
= P {3.0 < Y < 0.7}

where Y is normalized Gaussian therefore,

P (A) = (0.7) (3.0) = [1 (0.7)] [1 (3.0)] = (3) (0.7)

= 0.9987 0.7580 = 0.2407

(b) The probability of B is

2000 4000 4200 4000
P (B) = P {2000 < X < 4200} = P <Y <
1000 1000
= P {2 < Y < 0.2} = (0.2) (2)
= (0.2) + (2) 1 = 0.5793 + 0.9772 1 = 0.5565

(c) The probability of both correct is

P (both correct) = P (A B) = P {2000 < X < 3300}

3300 4000 2000 4000
= = (0.7) (2.0)
1000 1000
= (2.0) (0.7) = 0.9772 0.7580 = 0.2192

4. Problem 4 Solution: Poisson distribution is

k
P (X = k) = e-
k!
(a) Substitute = 4 and integer k values, we can obtain the pmf as below when i =
0, 1, , 8,

P (i) = [0.0183, 0.0733, 0.1465, 0.1954, 0.1954, 0.1563, 0.1042, 0.0595, 0.0298]

the corresponding CDF are given as

F (i) = [0.0183, 0.0916, 0.2381, 0.4335, 0.6289, 0.7852, 0.8894, 0.9489, 0.9787]

where jump points are i = 0, 1, , 8

2
 0.2

0.18

0.16

0.14

0.12

pmf of X
0.1

0.08

0.06

0.04

0.02

0
0 1 2 3 4 5 6 7 8
x

Figure 1: Probability mass function for Prob. 4

(b)
5
X
P (0 X 5) = P (X = k) = FX (5) = 0.7852
k=0

5. Problem 5 Solution:

(a) The mean of X is

Z Z 4
x
E[X] = x fX (x) dx = x cos dx = 0
4 16 8
where the integral is an odd function, and the result is zero when integrate over a
symmetrical interval.
(b) The second moment is
Z 4
2 2 x 1Z 4 2 x
E[X ] = x cos dx = x d sin
4 16 8 2 4 8
Z 4
1 2 x 4 x
= x sin sin x dx
2 8 4 4 8

8Z4 x
= 16 + x d cos
4 8
8 x 4 8Z4 x
= 16 + x cos |4 cos dx
8 4 8

8 16 8
= 16 = 16 1
2 2

(c) The variance of X is

2 8 2
V ar(X) = E[X ] E (X) = 16 1 2

6. Problem 6 Solution:

3
 (a) The mean of X is
Z Z 1
5
E[X] = xfX (x) dx = x (1 x4 ) dx
0 4
Z 1 Z 1
5 5 5 1 21 1 61 5
= x dx x dx = x |0 x |0 =
4 0 0 4 2 6 12
(b)
Z 1 Z 1
5 5
E[4X + 2] = (4x + 2) (1 x4 ) dx = (1 + 2x x4 2x5 )dx
0

4
0 2
5 1 2 11
= 1+1 =
2 5 6 3
(c) The second moment is
Z 1 Z 1
5 5 2
E[X 2 ] = x2 (1 x4 ) dx = (x x6 ) dx
0

4
0 4
5 1 1 5
= =
4 3 7 21
7. Problem 7 Solution: X has a Binomial distribution with parameters (n = 3, p = 0.7).
The pmf is give as:

3
P (X = 0) = 0.70 (1 0.7)3 = 0.33 = 0.027
0

3
P (X = 1) = 0.71 (1 0.7)2 = 3 0.7 0.32 = 0.189
1

3
P (X = 2) = 0.72 (1 0.7)1 = 3 0.72 0.3 = 0.441
2

3
P (X = 3) = 0.73 (1 0.7)0 = 1 0.73 = 0.343
3

8. Problem 8 Solution: The mass function is give as

P (b) = 0.5(b) + 0.1(b 1) + 0.2(b 2) + 0.1(b 3) + 0.1(b 3.5)

where the non-zero mass function is obtained by taking the difference of jump points in
CDF curve. (The pmf sketch is ignored.)

9. Problem 9 Solution: Let X be the number of correct answers. There are 5 questions,
we can think there are 5 trials. Each trial has a probability of 1/3 success and 2/3 fail.
Therefore, X is a binomial random variable. The probability of four or more correct answer
is

4 1 5

5 1 2 5 1
P (X = 4) + P (X = 5) = + (1)
4 3 3 5 3
4 5
1 2 1
= 5 +
3 3 3

4
10. Problem 10 Solution: X is poisson r.v. so

k
P (X = k) = e k = 0, 1, 2,
k!
we have i
P (X = i) e i! (i 1)!
= i1 = = (i = 1, 2, )
P (X = i 1) e (i1)! i! i
when i < , P (X = i) > P (X = i 1), the pmf is an increasing function. When i > ,
P (X = i) < P (X = i 1), the pmf is an decreasing function. Therefore, the pmf of X first
increases until i reaches the largest integer below . Then it decreases monotonically.

11. Problem 11 Solution:

(a) Let Y = cX, then Y = c X , and

V ar(cX) = V ar(Y ) = E[(Y Y )2 ] = E[Y 2 2Y Y + 2Y ] (2)

= E[Y 2 ] 2Y = E[c2 X 2 ] c2 2X = c2 {E[X 2 ] 2X }
= c2 V ar(X)

(b) Let Y = c + X, then Y = c + X ,

V ar(Y ) = E[(Y Y )2 ] = E[(c + X c X )2 ] (3)

= E[(X X )2 ] = V ar(X)

12. Problem 12 Solution: The mass function of discrete RV X is

1 (n = 1, 2, 3)
3
PX (x = n) =
0 (o.w.)

First, we can find moment by direct derivation:

1 1 1 1
E[X] = 1+ 2+ 3= 6=2
3 3 3 3
1 1 1 1 14
E[X 2 ] = 1 + 22 + 32 = (1 + 4 + 9) =
3 3 3 3 3
1 1 1 1
E[X 3 ] = 1 + 23 + 33 = (1 + 8 + 27) = 12
3 3 3 3
while moment generation function of X is
X 1
() = E[eX ] = exi P (X = xi ) = (e + e2 + e3 )
i 3

The first derivative of () is

1
0 () = (e + 2e2 + 3e3 )
3

5
Hence, E[X] can be obtained as
1
E[X] = 0 ()|=0 = (1 + 2 + 3) = 2
3
Similarly,
1
00 () = (e + 22 e2 + 32 e3 )
3
and
1 14
E[X 2 ] = 00 ()|=0 = (1 + 22 + 32 ) =
3 3
1
E[X 3 ] = 000 ()|=0 = (1 + 23 + 33 ) = 12
3