Probability Theory, Math 170b, Winter 2013, Toni Antunovi c c Homework 1

From the textbook solve the problems 1, 2, 3, 5, 6, 8, 11 and 14 at the end of the Chapter 4. And also the problems below: Problem 1. Give examples of (not independent) random variables X and Y , both of which are uniform in the interval [0, 1] and such that 1) P(X + Y = 1) = 1 2) X + Y is uniform in the interval [0, 2]. Solution: 1) Set X to be uniform in the interval [0, 1] and then set Y = 1 X. Then we always have X + Y = 1. 2) Set X to be uniform in the interval [0, 1] and then set Y = X. Then X + Y = 2X which is uniform in the interval [0, 2]. Problem 2. If X is uniform on the interval [0, 2] nd the PDF of Y = X 2 2X. Solution: The CDF is FY (y) = P(X 2 2X y) = P((X 1)2 y + 1). If y < 1 the above probability is zero, if y > 0 the above probability is one and if 1 y 0 then the above probability is P(|X 1| Therefore, 0, y + 1, FY (y) = 1, and fY (y) = 0, 0,
1 , 2 y+1

y + 1) = P(1

y+1X 1+

y + 1) =

y + 1.

if y < 1, if 1 y 0, if y > 0. if y < 1, if 1 y 0, if y > 0.

Problem 3. Two people have arranged to meet at a certain place and time. However, each of them is coming late and the person that comes rst will have wait to the other person. The amount of time that the rst and the second person are late is T1 and T2 respectively. Both T1 and T2 are exponential random variables with parameter and are independent. Find the PDF of the amount of time that the person arriving rst will have to wait for the other person. Solution: The waiting time is just T = |T1 T2 | and its PDF is just FT (t) = P(|T1 T2 | t) = P(0 T2 T1 t) + P(0 T1 T2 t). Since T1 and T2 are independent and they are both exponential with parameter the probabilities on the right hand side are equal so we just compute the rst one. We have for t > 0
x+t x

P(0 T2 T1 t) =
0 0

ex ey dydx 1 1 et . 2

= Therefore FT (t) = and

ex ex ext dx =

0, 1 et , 0, et ,

if t < 0, if t 0, if t < 0, if t 0.

fT (t) =

This is an exponential random variable with parameter . Problem 4. Let X be a continuous random variable with the PDF f and the CDF F . Assume that f (x) > 0 for all real numbers x. Dene the random variable Y = F (X). Show that Y is uniform in the interval [0, 1]. (Hint: Since the derivative of the CDF F is the PDF f which is always strictly positive, F is monotonically increasing and has an inverse function h which is monotonically increasing. Now you can try to use the formula we derived with the help of the calculus formula for the derivative of the inverse function. Alternatively, you can show that P(Y t) = t for 0 t 1 with a little help of the inverse function h.) Solution: The range of F is the interval (0, 1) so we can use the formula fY (y) = f (h(y))| 2 dh (y)|, dy

for 0 < y < 1. Since F is increasing so is its inverse h and so we dont need the absolute values. At a point y in (0, 1) (write it as y = F (x)) we have dh 1 1 (y) = = dy F (x) f (x) and so fY (y) = f (h(y)) 1 1 = f (x) = 1. f (x) f (x)

Since the density is 1 on the interval (0, 1) this shows Y is uniform in [0, 1]. Alternatively, you can simply compute for 0 < y < 1 FY (y) = P(F (X) y) = P(X h(y)) = F (h(y)) = y, so again the PDF is 1 in the interval (0, 1).