Indian Institute of Technology Bhilai

CS Core 2: Probability and Statistics

Problem Set 6

November 5, 2024

1. Consider a random variable X such that

x2
fX (x) = , for x ∈ {−3, −2, −1, 1, 2, 3} and P (X = x) = 0 for x ∈
/ {−3, −2, −1, 1, 2, 3},
a
where a > 0 is a real parameter.
(a) Find a.
(b) What is the PMF of the random variable Z = X 2 ?

2. Let X be a random

variable with p.d.f fX . Find the p.d.f of the random variable Y = |X|
 1 , −2 < x ≤ 1,
3
(a) when f (x) =
0, otherwise;

2e−2x , x > 0,
(b) when f (x) =
0, otherwise;
.
(c) for general fX (x).

3. (a) Let X be a random variable that takes nonnegative integer values. Show that
∞
X
E(X) = P (X ≥ k).
k=1

(b) Use the formula in the previous part to find the expectation of a random variable Y
whose p.m.f is defined as follows:
1


 , y = a, a + 1, . . . , b,
fY (y) = b − a + 1
0, otherwise;


where a and b are nonnegative integers with b > a. Note that for y = a, a + 1, . . . , b, fY (y)
does not depend explicitly on y since it is a uniform p.m.f.

4. Two fair three-sided dice are rolled simultaneously. Let X be the difference of the two rolls.
(a) Calculate the p.m.f, the expected value, and the variance of X.
(b) Calculate and plot the p.m.f of X 2 .
 5. Consider 10 independent tosses of a biased coin with a probability of heads of p.
(a) Let A be the event that there are 6 heads in the first 8 tosses. Let B be the event that
the 9th toss results in heads. Show that events A and B are independent.
(b) Find the probability that there are 3 heads in the first 4 tosses and 2 heads in the last 3
tosses.
(c) Given that there were 4 heads in the first 7 tosses, find the probability that the 2nd head
occurred during the 4th trial.
(d) Find the probability that there are 5 heads in the first 8 tosses and 3 heads in the last 5
tosses.

6. Buses arrive at a specified stop at 15-minute intervals starting at 7 am. That is, they arrive
at 7, 7 : 15, 7 : 30, 7 : 45, and so on. If a passenger arrives at the stop at a time that is
uniformly distributed between 7 and 7 : 30, find the probability that he waits (a) less than 5
minutes for a bus; (b) more than 12 minutes for a bus.

7. If a string of 2 meter is cut into two pieces at a random point along its length, what is the
probability that the length of the longer piece is at least twice the length of the shorter piece?

8. A small industrial unit has 10 bulbs whose lifetimes are independent exponentially distributed
with mean 50 hours. If all the bulbs are used at a time, find the probability that even after
100 hours there are at least two bulbs working.

9. Let X and Y be Gaussian random variables, with X ∼ N (0, 1) and Y ∼ N (1, 4). (a) Find
P (X ≤ 1.5) and P (X ≤ −1). (b) What is the distribution of Y 2−1 ? (c) Find P (−1 ≤ Y ≤ 1).

10. Ben throws a dart at a circular target of radius r. We assume that he always hits the target,
and that all points of impact (x, y) are equally likely. Compute the joint PDF fX,Y (x, y) of
the random variables X and Y and compute the conditional PDF fX|Y (x|y).

11. Let X be a discrete random variable with p.m.f. fX and let Y be a continuous random
variable, independent from X, with p.d.f. fY . Derive a formula for the p.d.f. of the random
variable X + Y .

12. An ambulance travels back and forth, at a constant specific speed v, along a road of length
`. We may model the location of the ambulance at any moment in time to be uniformly
distributed over the interval (0, `). Also at any moment in time, an accident (not involving the
ambulance itself) occurs at a point uniformly distributed on the road; that is, the accident’s
distance from one of the fixed ends of the road is also uniformly distributed over the interval
(0, `). Assume the location of the accident and the location of the ambulance are independent.

Supposing the ambulance is capable of immediate U-turns, compute the c.d.f. and p.d.f. of
the ambulance’s travel time T to the location of the accident.
13. Random variables
 X and Y are distributed according to the joint p.d.f.
ax, if 1 ≤ x ≤ y ≤ 2,
fX,Y (x, y) =
0, otherwise.

(a) Evaluate the constant a.

(b) Determine the marginal p.d.f. fY (y).
(c) Determine the expected value of X1 , given that Y = 32 .

14. A two dimensional discrete random vector (X, Y ) having pmf as


c(3x + 4y), x = 0, 1, 2, 3, y = 1, 2, 3, 4,
fX,Y (x, y) = P (X = x, Y = y) =
0, otherwise.

(a) Find the value of c.

(b) Find the marginal distribution of X and Y .
(c) Find P (X ≥ 2|Y ≤ 3) and P (Y = 2|X = 3).

15. Let (X, Y ) be a random vector with the joint pdf


 6−x−y , 0 < x < 2, 2 < y < 4,
8
fX,Y (x, y) =
0, otherwise.

(a) Find the marginal distribution of X and Y .

(b) P (X < 1, Y < 3), P (X + Y < 3), P (X < 1|Y = 3) and P (X < 1|Y < 3).

ye−yx , x > 0,
16. The conditional p.d.f. of X given Y = y (> 0) is fX|Y (x|y) = and the
0, otherwise

αe−αy , y > 0,
marginal p.d.f. of Y is fY (y) = Find the conditional p.d.f. of Y given
0, otherwise.
X = x.

17. Let X1 and X2 be independent random variables with moment generating function M1 (t) =
 3 t −1)
3
4 + 41 et and M2 (t) = e2(e , respectively. Find the value of P (X1 + X2 = 1).

18. An absent-minded professor schedules two student appointments for the same time. The
appointment durations are independent and exponentially distributed with mean thirty
minutes. The first student arrives on time, but the second student arrives five minutes
late. What is the expected value of the time between the arrival of the first student and the
departure of the second student?

19. Let Ni denote the number of car arrivals in an interval Ii = (ti , ti + ci ]. Suppose we have n
such intervals, i = 1, 2, . . . , n, mutually disjoint and assume that Ni ’s are independent with
 Ni ∼ P o(ci λ), that is, Poisson distribution with parameter ci λ. Denote the union of these
intervals by I, and their total length by c = c1 + c2 + · · · + cn . Given ki ≥ 0 and with
k = k1 + k2 + · · · + kn , determine P (N1 = k1 , N2 = k2 , . . . , Nn = kn |NI = k).

20. An investment bank is managing $1 billion, which it invests in various financial instruments
(“assets") related to the housing market (e.g., the infamous “mortgage backed securities").
Because the bank is investing with borrowed money, its actual assets are only $50 million
(5%). Accordingly, if the bank loses more than 5%, it becomes insolvent. (Which means that
it will have to be bailed out, and the bankers may need to forgo any huge bonuses for a few
months.)
(a) The bank considers investing in a single asset, whose gain (over a 1-year period, and
measured in percentage points) is modeled as a normal random variable R, with mean 7 and
standard deviation 10. (That is, the asset is expected to yield a 7% profit.) What is the
probability that the bank will become insolvent? Would you accept this level of risk?
(b) In order to safeguard its position, the bank decides to diversify its investments. It
considers investing $50 million in each of twenty different assets, with the ith one having a
gain Ri , which is again normal with mean 7 and standard deviation 10; the bank’s gain will
be (R1 + R2 · · · + R20 )/20. These twenty assets are chosen to reflect the housing sectors at
different states or even countries, and the bank’s rocket scientists choose to model the Ri
as independent random variables. According to this model, what is the probability that the
bank becomes insolvent?
(c) Based on the calculations in part (b), the bank goes ahead with the diversified investment
strategy. It turns out that a global economic phenomenon can affect the housing sectors in
different states and countries simultaneously, and therefore the gains Ri are infact positively
correlated. Suppose that for every i and j where i 6= j, the correlation coefficient ρ(Ri , Rj )
is equal to 1/2. What is the probability that the bank becomes insolvent? You can assume
that (R1 + R2 + · · · + R20 )/20 is normal.