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MSO 201a: Probability & Statistics

Quiz-l
20t9-2020-ll Semester

Time Allowed: 45 Minutes Maximum Marks:25

\*\od'el Sol-q'tdsnA

Problem No. 1:

ln a probability space (Q,T,P), let A, B and C be events such that P(A) =1,
p(B)=1, p(c)-!, P(AnD=1, P(Anc)=1, P(Bnc)=f ano

p(A n B n C) = 1. Let D be the event that exactly one the event among A,B and
C occurs, Derive the value of P(D).

S o0..lto"r
PtFnc )l
?tl) ?tnr+ I ($) + Itc)- ! L ttA^D)-t ItAna)+
= 5 hA9-ta
-r 3 ?tA^$Ac )

1-+
6o
$ flAFvs'
Ptu) z
Problem No. 2:

Let X be a random variable with

distribution function

(0, x< 0

It
l4'
o'x<t
F(x) =
1t
I 3'
rsx<z
\1, x2z
P(1 <x <2), P(1 S x <2) and P(1 <
Derive the values of P(X e [0 ,L,}j),
x <2). 3+2+2+2 = 9 Marks

I
\t'Sol**to'. I

ltxe\glu't)' [[I>o)+lLrzt)+ttr'>)
Fut- rtr-t)1 ut- rtr-l-)
\ Pto\-P1o-rl * [ T Ft

ot i;*t F"F-t'sl
s\l> -2
L-| Fa.-1
ffi
F CF)
?ttg x <t) = F(lr)- =

!Ug I i'r-\'z Fqt) - gtt'-): t-I

'h -- Ltr
g tr-) - eLt) :
L-t
Ptte x t.r-\ Cr3
Problem No.3:

Let F: IR + IR be defined
bY

0, x(0
x*4 03x<2
T,
x2+4b 2<x14
F(x) =
T'
x*c
'

43x36
T,
L, x>6
values of b and c so that F is
a
Find the
where b and c are real constants'
random variable'
distribution function of some

b) r
bz l-
brL ]-

---g|

L%J
MSO 201a: Probability and Statistics
2019-20-II Semester
Assignment-V
Instructor: Neeraj Misra

1. For µ ∈ R and λ > 0, let Xµ,λ be a random variable having the p.d.f.
(
1 − x−µ
λ
e λ , if x ≥ µ
fµ,σ (x) = .
0, otherwise

(a) Find Cr (µ, λ) = E((X − µ)r ), r ∈ {1, 2, . . .} and µ0r (µ, λ) = E(Xµ,λ
r
), r ∈ {1, 2};

(b) For p ∈ (0, 1), find the p-th quantile ξp ≡ ξp (µ, λ) of the distribution of Xµ,λ
(Fµ,λ (ξp ) = p, where Fµ,λ is the distribution function of Xµ,λ );

(d) Find the mode m0 (µ, λ) of the distribution of Xµ,σ ;

(e) Find the standard deviation σ(µ, λ), the mean deviation about median MD(m(µ, λ)),
the inter-quartile range IQR(µ, λ), the quartile deviation (or semi-inter-quartile
range) QD(µ, λ), the coefficient of quartile deviation CQD(µ, λ) and the coefficient
of variation CV(µ, λ) of the distribution of Xµ,λ ;

(f) Find the coefficient of skewness β1 (µ, λ) and the Yule coefficient of skewness
β2 (µ, λ) of the distribution of Xµ,λ ;

(g) Find the excess kurtosis γ2 (µ, λ) of the distribution of Xµ,λ ;

(h) Based on values of measures of skewness and the kurtosis of the distribution of
Xµ,λ , comment on the shape of fµ,σ .

2. Let X be a random variable with p.d.f. fX (x) that is symmetric about µ (∈ R),
i.e., fX (x + µ) = fX (µ − x), ∀ x ∈ (−∞, ∞).

(a) If q1 , m and q3 are respectively the lower quartile, the median and the upper
quartile of the distribution of X then show that µ = m = q1 +q2
3
;
q1 +q3
(b) If E(X) is finite then show that E(X) = µ = m = 2
.

3. A fair dice is rolled six times independently. Find the probability that on two
occasions we get an upper face with 2 or 3 dots.

1
4. Let n (≥ 2) and r ∈ {1, 2, , n − 1} be fixed integers and let p ∈ (0, 1) be a fixed real
number. Using probabilistic arguments show that

n n−1
X n j n−j
X n−1 j n−1−j n−1 r
p (1 − p) − p (1 − p) = p (1 − p)n−r .
j=r
j j=r
j r

5. Let X ∼ Bin(n, p), where n is a positive integer and p ∈ (0, 1). Find the mode of
the distribution of X.

6. Eighteen balls are placed at random in seven boxes that are labeled B1 , . . . , B7 .
Find the probability that boxes with labels B1 , B2 and B3 all together contain six
balls.

7. Let T be a discrete type random variable with support ST = {0, 1, 2, . . .}. Show that
T has the lack of memory property if, and only if, T ∼ Ge(p), for some p ∈ (0, 1).

8. A person repeatedly rolls a fair dice independently until an upper face with two or
three dots is observed twice. Find the probability that the person would require
eights rolls to achieve this.

9. (a) Consider a sequence of independent Bernoulli trials with probability of success

in each trial being p ∈ (0, 1). Let Z denote the number of trials required to get the
r-th success, where r is a given positive integer. Let X = Z − r. Find the marginal
probability distributions of X and Z. For r = 1, show that P (Z > m + n) = P (Z >
m)P (Z > n), m, n ∈ {0, 1, . . .} (or equivalently P (Z > m + n|Z > m) = P (Z >
n), m, n ∈ {0, 1, . . .}; this property is also known as the lack of memory property).
(b) Two teams (say Team A and Team B) play a series of games until one team
wins 5 games. If the probability of Team A (Team B) winning any game is 0.7 (0.3),
find the probability that the series will end in 8 games.

10. (Relation between binomial and negative binomial probabilities) Let n be

a positive integer, r ∈ {1, 2, . . . , n} and let p ∈ (0, 1). Using probabilistic arguments
and also otherwise show that
n n−r
X n k n−k r
X r+k−1
p (1 − p) =p . (1 − p)k ,
k=r
k k=0
k

i.e., for r ∈ {1, 2, . . . , n}, P (Bin(n, p) ≥ r) = P (NB(r, p) ≤ n − r).

11. A mathematician carries at all times two match boxes, one in his left pocket and
one in his right pocket. To begin with each match box contains n matches. Each

2
time the mathematician needs a match he is equally likely to take it from either
pocket. Consider the moment when the mathematician for the first time discovers
that one of the match boxes is empty. Find the probability that at that moment
the other box contains exactly k matches, where k ∈ {0, 1, . . . , n}.

12. Consider a population comprising of N (≥ 2) units out of which a (∈ {1, 2, . . . , N −

1}) are labeled as S (success) and N − a are labeled as F (failure). A sample of
size n (∈ {1, 2, . . . , N − 1}) is drawn from this population, drawing one unit at a
time and without replacing it back into the population (i.e., sampling is without
replacement). Let Ai (i = 1, 2, . . . , n) denote the probability of obtaining success
(S) in the i-th trial. Show that P (Ai ) = Na , i = 1, . . . , n (i.e., probability of
obtaining S remains the same in each trial). Hint: Use induction by first showing
that P (A1 ) = P (A2 ) = Na .

13. (a) (Binomial approximation to hypergeometric distribution) Show that a

hypergeometric distributed can be approximated by a Bin(n, p) distribution pro-
vided N is large (N → ∞), a is large (a → ∞) and a/N → p, as N → ∞;
(b) Out of 120 applicants for a job, only 80 are qualified for the job. Out of 120
applicants, five are selected at random for the interview. Find the probability that
at least two selected applicants will be qualified for the job. Using Problem 13 (a)
find an approximate value of this probability.

14. Urn Ui (i = 1, 2) contains Ni balls out of which ri are red and Ni − ri are black.
A sample of n (1 ≤ n ≤ N1 ) balls is chosen at random (without replacement) from
urn U1 and all the balls in the selected sample are transferred to urn U2 . After the
transfer two balls are drawn at random from the urn U2 . Find the probability that
both the balls drawn from urn U2 are red.

15. Let X ∼ Po(λ), where λ > 0. Find the mode of the distribution of X.

16. (a) (Poisson approximation to negative binomial distribution) Show that

−λ k
limr→∞ r+k−1 pr (1 − pr )k = e k!λ , k = 0, 1, 2, . . ., provided limr→∞ pr = 1 and
r
k
limr→∞ (r(1 − pr )) = λ > 0.
(b) Consider a person who plays a series of 2500 games independently. If the proba-
bility of person winning any game is 0.002, find the probability that the person will
win at least two games.

17. (a) If X ∼ Po(λ), find E((2 + X)−1 );

(b) If X ∼ Ge(p) and r is a positive integer, find E(min(X, r)).

3
18. A person has to open a lock whose key is lost among a set of N keys. Assume that
out of these N keys only one can open the lock. To open the lock the person tries
keys one by one by choosing, at each attempt, one of the keys at random from the
unattempted keys. The unsuccessful keys are not considered for future attempts.
Let Y denote the number of attempts the person will have to make to open the lock.
Show that Y ∼ U ({1, 2, . . . , N }) and hence find the mean and the variance of the
r.v. Y .

19. Let a > 0 be a real constant. A point X is chosen at random on the interval (0, a)
(i.e., X ∼ U (0, a)).
(a) If Y denotes the area of equilateral triangle having sides of length X, find the
mean and variance of Y ;
(b) If the point X divides the interval (0, a) into subintervals I1 = (0, X) and
I2 = [X, a), find the probability that the larger of these two subintervals is at least
the double the size of the smaller subinterval.

20. Using a random observation U ∼ U (0, 1), describe a method to generate a random
observation X from the distribution having
(a) probability density function

e−|x|
f (x) = , −∞ < x < ∞;
2

(b) probability mass function

(
n
x
x
θ (1 − θ)n−x , if x ∈ {0, 1, . . . , n}
g(x) = ,
0, otherwise

where n ∈ N and θ ∈ (0, 1) are real constants.

21. Let X ∼ U (0, θ), where θ is a positive integer. Let Y = X − [X], where [x] is the
largest integer ≤ x. Show that Y ∼ U (0, 1).

22. Let U ∼ U (0, 1) and let X be the root of the equation 3t2 − 2t3 − U = 0. Show that
X has p.d.f. f (x) = 6x(1 − x), if 0 ≤ x ≤ 1, = 0, otherwise.

23. (Relation between gamma and Poisson probabilities) For t > 0, θ > 0 and
n ∈ {1, 2, . . .}, using integration by parts, show that

∞ n−1 − t t j
e θ( )
Z
1 − xθ n−1
X
θ
n
e x dx = ,
θ Γ(n) t j=0
j!

i.e., P (G(n, θ) > t) = P (Po( θt ) ≤ n − 1).

4
24. Let Y be a random variable of continuous type with FY (0) = 0, where FY (·) is the
distribution function of Y . Show that Y has the lack of memory property if, and
only if, Y ∼ Exp(θ), for some θ > 0.

25. (Relation between binomial and beta probabilities) Let n be a positive

integer, k ∈ {0, 1, . . . , n} and let p ∈ (0, 1). If X ∼ Bin(n, p) and Y ∼ Be(k, n − k +
1), show that P ({X ≥ k}) = P ({Y ≤ p}).

26. Let X = (X1 , X2 )0 have the joint p.d.f.

fX (x1 , x2 ) = φ(x1 )φ(x2 )[1+α(2Φ(x1 )−1)(2Φ(x2 )−1)], −∞ < xi < ∞, i = 1, 2, |α| ≤ 1.

(a) Verify that fX (x1 , x2 ) is a p.d.f.;

(b) Find the marginal p.d.f.s of X1 and X2 ;
(c) Is (X1 , X2 ) jointly normal?

27. Let X = (X1 , X2 )0 ∼ N2 (µ1 , µ2 , σ12 , σ22 , ρ) and, for constants a1 , a2 , a3 and a4 (ai 6= 0,
i = 1, 2, 3, 4, a1 a4 6= a2 a3 ), let Y = a1 X1 + a2 X2 and Z = a3 X1 + a4 X2 .
(a) Find the joint p.d.f. of (Y, Z);
(b) Find the marginal p.d.f.s. of Y and Z.

28. (a) Let (X, Y )0 ∼ N2 (5, 8, 16, 9, 0.6). Find P ({5 < Y < 11}|{X = 2}), P ({4 < X <
6}) and P ({7 < Y < 9});
(b) Let (X, Y )0 ∼ N2 (5, 10, 1, 25, ρ), where ρ > 0. If P ({4 < Y < 16}|{X = 5}) =
0.954, determine ρ.

29. Let X and Y be independent and identically distributed N (0, σ 2 ) r.v.s.

(a) Find the joint p.d.f. of (U, V ), where U = aX + bY and V = bX − aY (a 6=
0, b 6= 0);
(b) Show that U and V are independent;
X+Y X−Y
(c) Show that √
2
and √
2
are independent N (0, σ 2 ) random variables.

30. Let X = (X1 , X2 )0 ∼ N2 (0, 0, 1, 1, ρ).

(a) Find the m.g.f. of Y = X1 X2 ;
(b) Using (a), find E(X12 X22 );
(c) Using conditional expectation, find E(X12 X22 ).

5
31. Let X = (X1 , X2 )0 have the joint p.d.f.
(
1 − 12 (x2 +y 2 )
π
e , if xy > 0
f (x, y) = .
0, otherwise

Show that marginals of f (·, ·) are each N (0, 1) but f (·, ·) is not the p.d.f. of a
bivariate normal distribution.

32. Let fr (·, ·), −1 < r < 1, denote the pdf of N2 (0, 0, 1, 1, r) and, for a fixed ρ ∈ (−1, 1),
let the random variable (X, Y ) have the joint p.d.f.

1
gρ (x, y) = [fρ (x, y) + f−ρ (x, y)].
2

Show that X and Y are normally distributed but the distribution of (X, Y ) is not
bivariate normal.

33. Consider the random vector (X, Y ) as defined in Problem 32.

(a) Find Corr(X, Y );
(b) Are X and Y independent?

34. (a) Suppose that X = (X1 , X2 , X3 , X4 ) ∼ Mult(30, θ1 , θ2 , θ3 , θ4 ). Find the con-

ditional probability mass function of (X1 , X2 , X3 , X4 ) given that X5 = 2, where
X5 = 30 − 4i=1 Xi .
P

(b) Consider 7 independent casts of a pair of fair dice. Find the probability that
once we get a sum of 12 and twice we get a sum of 8.
n2
35. (a) Let X ∼ Fn1 ,n2 . Show that Y = n2 +n 1X
∼ Be( n21 , n22 );
(b) Let Z1 and Z2 be i.i.d. N (0, 1) random variables. Show that |ZZ12 | ∼ t1 and
Z1
Z2
∼ t1 (Cauchy distribution);
(c) Let X1 and X2 be i.i.d. Exp(θ) random variables, where θ > 0. Show that
Z=X 1
X2
has a F -distribution;
(d) Let X1 , X2 and X3 be independent random variables with Xi ∼ χ2ni , i = 1, 2, 3.
X1 /n1
Show that X 2 /n2
and (X1 +XX23)/(n
/n3
1 +n2 )
are independent F -variables.

36. Let X1 , . . . , Xn be a random sample from Exp(θ) distribution, where θ > 0. Let
X1:n ≤ · · · ≤ Xn:n denote the order statistics of X1 , . . . , Xn . Define Z1 = nX1:n , Zi =
(n − i + 1)(Xi:n − Xi−1:n ), i = 2, . . . , n. Show that Z1 , . . . , Zn are independent and
identically distributed Exp(θ) random variables. Hence find the mean and variance
of Xr:n , r = 1, . . . , n. Also, for 1 ≤ r < s ≤ n, find Cov(Xr:n , Xs:n ).

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ESO 209: Probability and Statistics
2019-2020-II Semester
Assignment No. 7
1. Let X1 , . . . , Xn be a random sample from a distribution having p.d.f. (or p.m.f.)
f (·|θ), where θ ∈ Θ is unknown, and let the estimand be g(θ). In each of the follow-
ing situations, find the M.M.E. and the M.L.E.. Also verify if they are consistent
estimators of g(θ).
(a) f (x|θ) = θ(1 − θ)x−1 , if x = 1, 2, . . ., and = 0, otherwise; Θ = (0, 1); g(θ) = θ.
(b) X1 ∼ Poisson(θ); Θ = (0, ∞); g(θ) = eθ .
(c) f (x|θ) = θ1 , if x = 1, = 1−θ 1
θ2 −1
, if x = 2, 3, . . . , θ2 , and = 0, otherwise; θ = (θ1 , θ2 );
Θ = {(z1 , z2 ) : 0 < z1 < 1, z2 ∈ {2, 3, . . .}}; g(θ) = (θ1 , θ2 ).
(d) f (x|θ) = K(θ)xθ (1 − x), if 0 ≤ x ≤ 1, and = 0, otherwise; Θ = (−1, ∞);
g(θ) = θ; here K(θ) is the normalizing factor.
(e) X1 ∼ Gamma(α, µ); θ = (α, µ); Θ = (0, ∞) × (0, ∞); g(θ) = (α, µ).
√
(f) f (x|θ) = (σ 2π)−1 x−1 exp(− 2σ1 2 (ln x − µ)2 ), if x > 0, and = 0, otherwise;
θ = (µ, σ); Θ = (−∞, ∞) × (0, ∞); g(θ) = (µ, σ).
(g) X1 ∼ Exp(θ); Θ = (0, ∞); g(θ) = Pθ (X1 ≤ 1).
(h) X1 ∼ Poisson(θ); Θ = (0, ∞); g(θ) = Pθ (X1 + X2 + X3 = 0).
(i) X1 ∼ U (− 2θ , 2θ ); Θ = (0, ∞); g(θ) = (1 + θ)−1 .
µ2
(j) X1 ∼ N (µ, σ 2 ); θ = (µ, σ 2 ); Θ = (−∞, ∞) × (0, ∞); g(θ) = σ2
.
(k) f (x|θ) = σ −1 exp(− x−µ
σ
), if x > µ, and = 0, otherwise; θ = (µ, σ); Θ =
(−∞, ∞) × (0, ∞); g(θ) = (µ, σ).
(l) X1 ∼ U (θ1 , θ2 ); θ = (θ1 , θ2 ); Θ = {(z1 , z2 ) : −∞ < z1 < z2 < ∞}; g(θ) = (θ1 , θ2 ).
2. Suppose a randomly selected sample of size five from the distribution having p.m.f.
given in Problem 1 (a) gives the following data: x1 = 2, x2 = 7, x3 = 6, x4 = 5
and x5 = 9. Based on this data compute the m.l.e. of Pθ (X1 ≥ 4).
3. The lifetimes of a brand of a component are assumed to be exponentially distributed
with mean (in hours) θ, where θ ∈ Θ = (0, ∞) is unknown. Ten of these compo-
nents were independently put in test. The only data recorded were the number of
components that had failed in less than 100 hours versus the number that had not
failed. It was found that three had failed before 100 hours. What is the m.l.e. of θ?

1
4. Let X1 , . . . , Xn be a random sample from a distribution having p.d.f. (or p.m.f.)
f (·|θ), where θ ∈ Θ is an unknown parameter. In each of the following situations,
find the M.L.E. of θ and verify if it is a consistent estimator of θ.
(a) X1 ∼ N (θ, 1), Θ = [0, ∞). (b) X1 ∼ Bin(1, θ), Θ = [ 41 , 34 ].
5. Let X1 , . . . , Xn be a random sample from a distribution having mean µ and finite
variance σ 2 . Show that X and S 2 are unbiased estimators of µ and σ 2 , respectively.
6. Let X1 , . . . , Xn be a random sample from a distribution having p.d.f. (or p.m.f.)
f (x|θ), where θ ∈ Θ is unknown, and let g(θ) be the estimand. In each of the
following situations, find the M.L.E., say δM (X), and the unbiased estimator based
on the M.L.E., say δU (X).
(a) X1 ∼ Exp(θ); Θ = (0, ∞); g(θ) = θr , for some known positive integer r.
(b) n ≥ 2, X1 ∼ N (µ, σ 2 ); θ = (µ, σ 2 ); Θ = (−∞, ∞); g(θ) = µ + σ.
(c) Same as (b) with g(θ) = σµ .
(d) X1 ∼ Poisson(θ); Θ = (0, ∞); g(θ) = eθ .
7. Let X1 , . . . , Xn be a random sample from a distribution having p.d.f. (or p.m.f.)
f (x|θ), where θ ∈ Θ is unknown, and let g(θ) be the estimand. In each of the
following situations, find the M.L.E., say δM (X), and the unbiased estimator based
on the M.L.E., say δU (X). Also compare the m.s.e.s of δM and δU .
(a) f (x|θ) = e−(x−θ) , if x > θ, and = 0, otherwise; Θ = (−∞, ∞); g(θ) = θ.
x−µ
(b) n ≥ 2, f (x|θ) = σ1 e− σ , if x > µ, and = 0, otherwise; θ = (µ, σ); Θ =
(−∞, ∞) × (0, ∞); g(θ) = µ.
(c) Same as (b) with g(θ) = σ.
(d) X1 ∼ Exp(θ); Θ = (0, ∞); g(θ) = θ.
(e) X1 ∼ U (0, θ); Θ = (0, ∞); g(θ) = θr , for some known positive integer r.
(f) X1 ∼ N (θ, 1); Θ = (−∞, ∞); g(θ) = θ2 .

8. Let X1 , X2 be a random sample from a distribution having p.d.f. (or p.m.f.) f (·|θ),
where θ ∈ Θ is unknown, and let the estimand be g(θ). Show that given any unbiased
estimator, say δ(X), which is not permutation symmetric (i.e., Pθ (δ(X1 , X2 ) =
δ(X2 , X1 )) < 1, for some θ ∈ Θ), there exists a permutation symmetric and unbiased
estimator δU (X) which is better than δ(·). Can you extend this result to the case
when we have a random sample consisting of n (≥ 2) observations.
9. Consider a single observation X from a distribution having p.m.f. f (x|θ) = θ, if
x = −1, = (1 − θ)2 θx , if x = 0, 1, 2, . . ., and = 0, otherwise, where θ ∈ Θ = (0, 1) is
an unknown parameter. Determine all unbiased estimators of θ.

2
10. Let X1 , . . . , Xn (n ≥ 2) be a random sample from a distribution having p.d.f.

1 − (x−µ)
(
f (x|θ) = σ
e σ , if x > µ
0, otherwise,

where θ = (µ, σ) ∈ Θ = (−∞, ∞) × (0, ∞) is unknown. Let the estimand be

g(θ) = µ. Find an unbiased estimator of g(θ) which is based on the M.L.E.. Let
X(1) = min{X1 , . . . , Xn } and let T = ni=1 (Xi − X(1) ). Among the estimators of
P

µ, which are based on the M.L.E. and belong to the class D = {δα (X) : δc (X) =
X(1) − cT, c > 0}, find the estimator having the smallest m.s.e., at each parametric
point.

11. Let X1 , . . . , Xn be a random sample from U (0, θ) distribution, where θ ∈ Θ = (0, ∞)

is an unknown parameter. Of the two estimators, the M.M.E. and the M.L.E, of
θ, which one would you prefer with respect to (a) the criterion of the bias; (b) the
criterion of the m.s.e. Among the estimators of θ, which are based on the M.L.E.
and belong to the class D = {δα (X) : δc (X) = cX(n) , c > 0}, find the estimator
having the smallest m.s.e., at each parametric point.

12. Let X1 , . . . , Xn (n ≥ 2) be a random sample from U (θ − 0.5, θ + 0.5) distribution,

where θ ∈ Θ = (−∞, ∞) is an unknown parameter. Let the estimand be g(θ) = θ.
Among the estimators which are based on the M.L.E. and belong to the class D =
{δα (X) : δα (X) = α(X(n) − 0.5) + (1 − α)(X(1) + 0.5), 0 ≤ α ≤ 1}, find the estimator
having the smallest m.s.e., at each parametric point.

13. Let X1 , . . . , Xn be a random sample from the Exp(θ) distribution, where θ ∈ Θ =

(0, ∞) is an unknown parameter. Let the estimand be g(θ) = θr , for some fixed
positive integer r. Among the estimators which are based on the M.L.E. and belong
r
to the class D = {δc (X) = cX , c > 0}, find the estimator having the smallest m.s.e.
at each parametric point. Is this estimator consistent?

3
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ESO 209: Probability and Statistics
2019-2020-II Semester
Assignment No. 7
1. Let X1 , . . . , Xn be a random sample from a distribution having p.d.f. (or p.m.f.)
f (·|θ), where θ ∈ Θ is unknown, and let the estimand be g(θ). In each of the follow-
ing situations, find the M.M.E. and the M.L.E.. Also verify if they are consistent
estimators of g(θ).
(a) f (x|θ) = θ(1 − θ)x−1 , if x = 1, 2, . . ., and = 0, otherwise; Θ = (0, 1); g(θ) = θ.
(b) X1 ∼ Poisson(θ); Θ = (0, ∞); g(θ) = eθ .
(c) f (x|θ) = θ1 , if x = 1, = 1−θ 1
θ2 −1
, if x = 2, 3, . . . , θ2 , and = 0, otherwise; θ = (θ1 , θ2 );
Θ = {(z1 , z2 ) : 0 < z1 < 1, z2 ∈ {2, 3, . . .}}; g(θ) = (θ1 , θ2 ).
(d) f (x|θ) = K(θ)xθ (1 − x), if 0 ≤ x ≤ 1, and = 0, otherwise; Θ = (−1, ∞);
g(θ) = θ; here K(θ) is the normalizing factor.
(e) X1 ∼ Gamma(α, µ); θ = (α, µ); Θ = (0, ∞) × (0, ∞); g(θ) = (α, µ).
√
(f) f (x|θ) = (σ 2π)−1 x−1 exp(− 2σ1 2 (ln x − µ)2 ), if x > 0, and = 0, otherwise;
θ = (µ, σ); Θ = (−∞, ∞) × (0, ∞); g(θ) = (µ, σ).
(g) X1 ∼ Exp(θ); Θ = (0, ∞); g(θ) = Pθ (X1 ≤ 1).
(h) X1 ∼ Poisson(θ); Θ = (0, ∞); g(θ) = Pθ (X1 + X2 + X3 = 0).
(i) X1 ∼ U (− 2θ , 2θ ); Θ = (0, ∞); g(θ) = (1 + θ)−1 .
µ2
(j) X1 ∼ N (µ, σ 2 ); θ = (µ, σ 2 ); Θ = (−∞, ∞) × (0, ∞); g(θ) = σ2
.
(k) f (x|θ) = σ −1 exp(− x−µ
σ
), if x > µ, and = 0, otherwise; θ = (µ, σ); Θ =
(−∞, ∞) × (0, ∞); g(θ) = (µ, σ).
(l) X1 ∼ U (θ1 , θ2 ); θ = (θ1 , θ2 ); Θ = {(z1 , z2 ) : −∞ < z1 < z2 < ∞}; g(θ) = (θ1 , θ2 ).
2. Suppose a randomly selected sample of size five from the distribution having p.m.f.
given in Problem 1 (a) gives the following data: x1 = 2, x2 = 7, x3 = 6, x4 = 5
and x5 = 9. Based on this data compute the m.l.e. of Pθ (X1 ≥ 4).
3. The lifetimes of a brand of a component are assumed to be exponentially distributed
with mean (in hours) θ, where θ ∈ Θ = (0, ∞) is unknown. Ten of these compo-
nents were independently put in test. The only data recorded were the number of
components that had failed in less than 100 hours versus the number that had not
failed. It was found that three had failed before 100 hours. What is the m.l.e. of θ?

2
10. Let X1 , . . . , Xn (n ≥ 2) be a random sample from a distribution having p.d.f.

1 − (x−µ)
(
f (x|θ) = σ
e σ , if x > µ
0, otherwise,

where θ = (µ, σ) ∈ Θ = (−∞, ∞) × (0, ∞) is unknown. Let the estimand be

g(θ) = µ. Find an unbiased estimator of g(θ) which is based on the M.L.E.. Let
X(1) = min{X1 , . . . , Xn } and let T = ni=1 (Xi − X(1) ). Among the estimators of
P

µ, which are based on the M.L.E. and belong to the class D = {δα (X) : δc (X) =
X(1) − cT, c > 0}, find the estimator having the smallest m.s.e., at each parametric
point.

11. Let X1 , . . . , Xn be a random sample from U (0, θ) distribution, where θ ∈ Θ = (0, ∞)

12. Let X1 , . . . , Xn (n ≥ 2) be a random sample from U (θ − 0.5, θ + 0.5) distribution,

13. Let X1 , . . . , Xn be a random sample from the Exp(θ) distribution, where θ ∈ Θ =

3
MSO201a: Probability and Statistics
2019-20-II Semester
Assignment No. 6
Instructor: Neeraj Misra
1. Let X1 , X2 , . . . be a sequence of r.v.s, such that Xn , n = 1, 2, . . ., has the d.f.:
Fn (x) = 0, if x < −n, = x+n 2n
, if −n ≤ x < n, and = 1, if x ≥ n. Does Fn (·)
converge to a d.f., as n → ∞?

2. Let X1 , X2 , . . . be a sequence of i.i.d. r.v.s and let X1:n = min{X1 , . . . , Xn } and

Yn = nX1:n , n = 1, 2, . . .. Find the limiting distributions of X1:n and Yn (as n → ∞)
when (a) X1 ∼ U(0, θ), θ > 0; (b) X1 ∼ Exp(θ), θ > 0.
1
3. Let X1 , X2 , . . . be a sequence of independent r.v.s with P (Xn = x) = 2
, if x =
1 1 P
−n , n , and = 0, otherwise. Show that X n → 0, as n → ∞.
4 4

P P
4. (a) If Xn → a and Xn → b, then show that a = b.
(b) Let a and r > 0 be real numbers. If E(|Xn − a|r ) → 0, as n → ∞, then show
P
that Xn → a.
|X| r |X|r
tr 1+tr
5. (a) For r > 0 and t > 0, show that E( 1+|X| r) − 1+tr
≤ P (|X| ≥ t) ≤ tr
E( 1+|X| r ).
P |Xn | r
(b) Show that Xn → 0 ⇔ E( 1+|X n|
r ) → 0, for some r > 0.

P
6. (a) If {Xn }n≥1 are identically distributed and an → 0, then show that an Xn → 0.
P P P
(b) If Yn ≤ Xn ≤ Zn , n = 1, 2, . . ., Yn → a and Zn → a, then show that Xn → a.
P P
(c) If Xn → c and an → a, then show that, as n → ∞, Xn + an → c + a and
P
an Xn → ac.
(d) Let Xn = min(|Yn |, a), n = 1, 2, . . ., where a is a positive constant. Show that
P P
Xn → 0 ⇔ Yn → 0.

7. Let X1 , X2 , . . . be a sequence of i.i.d. r.v.s with mean µ and finite variance. Show
that:
2
Pn P
(a) n(n+1) i=1 iXi → µ;
6
Pn 2 P
(b) n(n+1)(2n+1) i=1 i Xi → µ.

8. Let Xn , n = 1, 2, . . ., have a negative binomial distribution with parameters n and

θ n+x−1 n

pn = 1 − n , i.e., Xn has the p.m.f. P (Xn = x) = x
pn (1 − pn )x , x = 0, 1, 2, . . .;
d
n = 1, 2, . . .. Show that Xn → X ∼ Poisson(θ).

1
P
9. (a) Let Xn ∼ Gamma( n1 , n), n = 1, 2, . . .. Show that Xn → 1.
d
(b) Let Xn ∼ N ( n1 , 1 − n1 ), n = 1, 2, . . .. Show that Xn → Z ∼ N (0, 1).

10. (a) Let f (x) = x12 , if 1 ≤ x < ∞, and = 0, elsewhere, be the p.d.f. of a r.v. X.
Consider the random sample of size 72 from the distribution having p.d.f. f (·).
Compute, approximately, the possibility that more than 50 of the items of the
random sample are less than 3.
(b)
P100Let X1 , X2 , . . . be a random sample from Poisson(3) distribution and let Y =
i=1 Xi . Find, approximately, P (100 ≤ Y ≤ 200).
(c) Let X ∼ Bin(25, 0.6). Find, approximately, P (10 ≤ X ≤ 16). What is the exact
value of this probability?
k
11. (a) Show that limn→∞ e−n Pnk=0 nk! = 21 .
P
(b) Show that limn→∞ 2−n rk=0 n n
k
= 12 , where rn is the largest integer ≤ n2 .
P P
12. (a) If Tn = max(|X1 |, . . . , |Xn |) → 0, as n → ∞, then show that X n → 0. Is the
P
conclusion true if only Sn = max(X1 , . . . , Xn ) → 0.
1
(b) If {Xn }n≥1 are i.i.d. U (0, 1) r.v.s. and Zn = ( ni=1 Xi ) n , n = 1, 2, . . .. Find a
Q
P
real α such that Zn → α.

13. Let {En }n≥1 be a sequence

Pn of i.i.d. Exp(1) r.v.s.
(a) Show that Tn ≡ i=1 Ei ∼ Gamma(n, 1), n = 1, 2, . . ..
R n+x√n e−t tn−1 Rx t2
(b) For any real number x, show that limn→∞ 0 Γ(n)
dt = √12π −∞ e− 2 dt.
(c) For large values of n, show that an approximation
√ (called the Stirling approxi-
−n n− 21
mation) to the gamma function is: Γn ≈ 2πe n .

14. Let X1 , X2 , . . . be a sequence of i.i.d. r.v.s having the common Cauchy p.d.f. f (x) =
1
· 1 , −∞ < x < ∞.
π 1+x2
(a) For any α ∈ (0, 1), show that Y = αX1 + (1 − α)X2 again has a Cauchy p.d.f.
f (·).
n 1
(b) Note that X n+1 = n+1 X n + n+1 Xn+1 and hence, using induction, conclude that
X n has the same distribution as X1 .
(c) Show that X n does not converge in probability to any constant. (Note that
E(X1 ) does not exist and hence the WLLN is not guaranteed).
Xn
15. Let Xn ∼ Poisson(4n), n = 1, 2, . . ., and let Yn = n
, n = 1, 2, . . ..
P √ P
(a) Show that Yn → 4; (b) Show that Yn2 + Yn → 18;
2 Y 2 +nY
n P
(c) Show that nnY n
n +n
2 → 16.

16. Let X n be the sample mean computed from a random sample of size n from a
distribution
√
with mean µ (−∞ < µ < ∞) and variance σ 2 (0 < σ < ∞). Let
Zn = n(Xσn −µ) .
P d 16Zn 2 d (4n+Yn )Zn d
4Zn
(a) If Yn → 4, show that: Yn
→ Z ∼ N (0, 1); Yn2
→ U ∼ χ21 ; and (nYn +Yn2 )
→

2
Z ∼ N (0, 1).
√ d
(b) If σ = 1 and µ > 0, show that: n(ln X n − ln µ) → V ∼ N (0, µ12 );
δ P
(c) Show that n (Xσn −µ) → 0, for any δ < 0.5.
√ 2 2 2
√ Find the 2asymptotic distributions of: (i) n(X n − µ ); (ii) n(X n − µ) and (iii)
(d)
n(X n − µ) .

17. Let X1 , X2 , . . . be i.i.d. r.v.s having Exp(θ) (θ > 0) distribution and let X n =
Pn
i=1 Xi
√ d
n
, n = 1, 2, . . .. Show that: n( X1n − 1θ ) → N (0, θ12 ), as n → ∞.

18. Let X1 , X2 , . . . be a sequence of i.i.d. U (0, 1) r.v.s. For the sequence of geometric
1 √ d
means Gn = ( ni=1 Xi ) n , n = 1, 2, . . ., show that n(Gn − 1e ) → N (0, σ 2 ), for some
Q
σ 2 > 0. Find σ 2 .

19. Let (X1 , Y1 ), (X2 , Y2 ), . . . be a sequence of independent bivariate random vectors

having the same joint p.d.f. Let E(X1P ) = µ, E(Y1 ) = ν, Var(X1P) = σ 2 , Var(Y1 ) =
n n
(X −X )(Y −Y ) (Xi −X n )2
τ 2 and Corr(X1 , Y1 ) = ρ. Let Qn = i=1 i n−1n i n , Sn2 = i=1 n−1 , Tn2 =
Pn 2
i=1 (Yi −Y n ) Qn
n−1
and Rn = Sn Tn
.
P P
(a) Show that Qn → ρτ σ and Rn → ρ.
2 (Y −ν)2 ) √ d
(b) Let δ = E((X1 −µ)
σ2 τ 2
1
. Show that n(Qn − ρστ ) → N (0, (δ − ρ2 )σ 2 τ 2 ).

3
MSO 201a: Probability and Statistics
2019-20-II Semester
Assignment-V
Instructor: Neeraj Misra