Islamic University of Gaza Probability and Stochastic Processes

Faculty of Engineering EELE 3340

Electrical Engineering Department Fall semester 2011/2012

Problem Set #5 Solution

Problem(1)
Let X denote the life time (in hours) of a light bulb:

2 x 0  x  1/ 2

f X(x)  3/4 2x3
0
 otherwise

(a) Compute Var[x2+1]

(b) What fraction of light bulbs has more than 1/4 hours , P(X>1/4) ?

Solution
(a)
V ar [x 2  1] V ar [x 2 ]  E[X 4 ]  (E[X 2 ]) 2
1/ 2 3
E[X ]   x f
2 2
X (x )dx   x 2
(2x) dx   x 2 (3 / 4) dx  4.78
x 0 x 2
1/ 2 3
E[X ]   x f
4 4
X (x )dx   x 4
(2x) dx   x 4 (3 / 4) dx  31.66
x 0 x 2

V ar [x 2  1] V ar [x 2 ]  E[X 4 ]-(E[X 2 ]) 2  31.66  (4.78) 2  8.8

(b)
 1/ 2 3
1 3
P (X  )   f X (x )dx   2xdx   dx 15 / 16
4 1/ 4 1/ 4 2
4
1 1
or : P (X  )  1  P ( X  )
4 4
Problem(2)
The PDF of continuous R.V X is given by:
1/3 0  x 1

f X (x )  2/3 1 x  2
0
 otherwise

Find CDF and Sketch PDF and CDF.

Solution
x
F X (x )  f

X (x )dx

0 x0
x
 1 dx
 0 3
0  x 1

F X (x )   1 1 x
2 2 1
 3 dx   3
dx  x 
3 3
1 x2
0 1

 11 2
2
  dx   dx  1 2 x
 0 3 1
3
Problem(3)
X is a random variable with probability density function

c |x|, 2 x  2
f X (x )  
0 , otherwise
(a) Find the value of the constant c.
(b) Find E[X] and Var[X] .

Solution
2 0 2
1
(a)  c | x | dx  1   c (x )dx   c (x )dx  2c+2c=1  c 
2 2 0
4

0 2
x x
(b) E[X]=  ( x )dx   ( x )dx  0
2
4 0
4
0 2
x2 x2
E[X ]= 
2
(  x )dx   ( x )dx  2
2
4 0
4
var[X]=E[X 2 ]  (E[X]) 2 =2

Problem(4)
Which of the following are valid cumulative probability distribution functions? For those that are
not valid cdfs, state at least one property of the cdf which is not satisfied.
Exercises 0 ,

x 1
(a ) F X ( x )   2x  x 2 , 1 x2
1 x2

0.5e 2 x , x 0
(b ) F X (x )   3 x
1  0.25e , x 0

Solution :
(a ) F X (x  1)  1 , F X ( x  2)  0 decreasing so its not vaild CDF
(b) Vaild ,continuous everywhere.
Problem(5)
Let X denote a random variable uniformly distributed on the interval [–1, 4] , Find FX(x).

Solution
1
 , 1  x  4
f X (x)   5
0 , otherwise

0 , x  1
1 x

x
1
F X (x)   dx    , 1  x  4
1
5 5 5
1 , x 4

Problem(6)
X is a continuous random variable with probability density function

a  bx , 0  x 1
f X (x)  
0 , otherwise
If E[X]=2/3 find P[X<0.5]

Solution
 1
b


f X (x)dx  1   (a  bx ).dx  a 
0
2
 1 .................(1)

 1
a b 2
E[x]  

xf X (x)dx  0 x (a  bx ).dx    ........(2)
2 3 3
solve (1) and (2) then : a  0 , b  2
 2x , 0  x 1
f X (x)  
0 , otherwise
0 .5
1
P [X  0.5]  0
2xdx 
4
Problem(7)
fX(x) denotes the probability density function (PDF) of a continuous random variable X.
Which of the following properties are satisfied by all PDFs?

1 𝑓𝑋 𝑥 ≤ 1 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑥, −∞ < 𝑥 < ∞ 2 𝑙𝑖𝑚𝑥→−∞ 𝑓𝑋 𝑥 = 0

3 𝑙𝑖𝑚𝑥→∞ 𝑓𝑋 𝑥 = 1 4 𝑃 𝑎<𝑋<𝑏 =𝑃 𝑎≤𝑋≤𝑏

Solution
The second and fourth properties are satisfied by all pdfs.
The first need not hold: the value of the function is a probability density, not a probability mass, and
can exceed 1 for some pdfs i.e:uniform(-1/4,1/4).
The third, no pdf can possibly satisfy the third property.

Problem(8)
The reandom variable X has CDF

0 x  5
(x  5) / 8  5  x  3

F X (x)  0.25 3 x  3
0.25  3(x  3) / 8 3x 5

1 x 5

What is E[X] and Var[X] ?

Solution
0 x  5
1/ 8  5  x  3 1/ 8  5  x  3
dFX (x )  
f X (x)   0  3  x  3  3 / 8 3 x 5
dx 3 / 8 0
3 x 5  otherwise


0 x 5

 3 5
1 3
E [X ]   xf X (x)dx   x dx   x dx  2
 5
8 3
8
 3 5
1 3
E [X ]   x f X (x)dx   x
2 2
dx   x 2 dx  16.33
2

 5
8 3
8
V ar [X ]  E [X 2 ]   E [X ]  16.33  4  12.33
2
Problem(9)
X is a random variable with probability density function

c x , 0 x3

f X( x)  c (6  x) , 3 x6
0 ,
 otherwise

(c) Find the value of the constant c.

(d) Compute the cdf FX(x) of X.
(e) Plot FX(x) .
(f) Show that the function FX(x) computed in part (b) satisfies all properties of cdfs.
(g) What is P[A]=P[X > 3] , P[B]=P[1.5≤X ≤ 9]?
(h) Are events A and B independent?
Solution

(a) f

X ( x )dx  1 ,

3 6
1

x 0
cx dx 
x 3
 c( 6 - x) dx  1  9c  1  c 
9

x
9 , 0x 3

1
f X ( x )   (6  x ) , 3x 6
9
0 , otherwise


x
(b) F X (x )  f

X ( x )dx ,

0 , x 0
x 2
 x dx  x ,
 
0 9 18
0x 3
F X (x )  3 x 2
 x dx  1 (6  x )dx  1  x  2x  3 ,
 9 3 9 3x 6
2 18 3 2
0

1 , x 6

0 , x 0
 2
 x , 0x 3
 18
F X (x )   2
 1  x  2x , 3 x 6
 18 3

1 , x 6
(c)

%%% using matlab

x=[0:.1:6];
F=(x.^2/18).*(x>=0 & x<3)+(-1-(x.^2/18)+(2*x/3)).*(x>=3& x<6)+1.*(x>=6);
plot(x,F)

Fx(x)
1

0.8

0.6

0.4

0.2

0
0 1 2 3 4 5 6

(d)
1. FX  x  is non decreasing .
2. 0  FX (x )  1
3. FX ()  1 , FX ( )  0
4. FX  x  is continuous everywhere,including the points x  0, x  3, and x  6.

 32  1
(e) P[A]  P [X  3]  1  P [X  3]  1  F X (x  3)  1    
 18  2
 1.52 
P[B]  P [1.5  X  9]  F X (9)  F X (1.5 )  1     0.875
 18 

 32 
(f) P[AB]  P [3  X  9]  F X (9)  F X (3)  1     0.5
 18 
P [A ]P [B ]  (0.5)(0.875)  P[AB]  0.5
 A & B are not independent