NATIONAL UNIVERSITY OF SINGAPORE EXAMINATION ST2131/MA2216 PROBABILITY

(Semester 2: AY 20092010) April/May 2010 Time allowed: 2 hours

INSTRUCTIONS TO CANDIDATES 1. This examination paper contains SIX (6) questions and comprises NINETEEN (19) printed pages. 2. Answer ALL questions. Marks for each question are indicated. The total marks for this paper is 70. 3. Candidates may use any calculator. However, they should lay out systematically the various steps in the calculations. 4. Candidates may bring in ONE (1) two-sided, A4 size help sheet. 5. Write down your matriculation number and seat number neatly in the boxes provided below. Answers should be written on this booklet. This booklet will be collected at the end of the examination.

Matriculation Number

Seat Number

Question

Total

Score

PAGE 2 Question 1 [10 marks]

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(i) Let X be a gamma random variable with parameters ( , ) . Show that the moment generating function of X is given by MX (t ) = t

for t < .

... 3

PAGE 3 (ii) Hence or otherwise, nd the mean and variance of X .

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... 4

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(iii) Suppose X1 and X2 are independent, identically distributed exponential random variables with parameter . Find the moment generating function of X1 + X2 . What is the distribution of X1 + X2 ?

... 5

PAGE 5 Question 2 [10 marks]

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(a) An urn contains 10 balls. Two balls are drawn successively from the urn. Find the probability that the second ball drawn has a larger number than the rst (i) if the balls are numbered 1 to 10;

... 6

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(ii) if two of the balls are numbered 1, two numbered 2, . . . , and two numbered 5.

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(b) Let X be a binomial random variable with parameters (n, p). Show that for any > 0, P X p n 1 . 4n 2

... 8

PAGE 8 Question 3 [10 marks]

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(a) A group of 20 people go out to dinner. 10 go to an Italian restaurant, 6 to a Japanese restaurant, and 4 to a French restaurant. The fractions of people satised with their meals were 4/5, 2/3, and 1/2 respectively. The next day the person you are talking to was satised with what he ate. What is the probability that he went to the Italian restaurant? The Japanese restaurant? The French restaurant?

... 9

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(b) A balanced die is rolled repeatedly until a 6 occurs. The number of times 5 has occurred is then recorded. Let N be the number of rolls until 6 occurs and X be the number of times 5 has occurred. (i) Show that for 0 k n 1, n1 P(X = k|N = n) = k 1 5
k

4 5

n1k

. . . 10

PAGE 10 (ii) Find the probability mass function of X . You may use the fact that for |x| < 1, (1 x)k1 =
j=k

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j jk x . k

. . . 11

PAGE 11 Question 4 [10 marks]

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A point Y is chosen randomly from the interval (0, 1). Another point X is then chosen randomly from the interval (0, Y ). (i) Find P(X a|Y = y), E (X |Y = y) and E (X 2 |Y = y), where 0 a 1.

. . . 12

PAGE 12 (ii) Find P(X a), E (X ) and var(X ).

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. . . 13

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(iii) Find fX ,Y , the joint density function of X and Y . Hence or otherwise, nd fX , the marginal density function of X .

. . . 14

PAGE 14 Question 5 [15 marks]

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(a) Suppose that events occur according to a Poisson process with rate , so that for every t > 0, the number of occurrences N (t ) in the time interval [0, t ] has a Poisson distribution with parameter t . Let Tn be the waiting time to the occurrence of the nth event. Show that Tn has a gamma distribution with parameters (n, ).

. . . 15

PAGE 15

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(b) Airlines nd that each passenger who reserves a seat will turn up with probability 0.94 independently of the other passengers. So JetMoon Airway always sells 100 reserved tickets on a plane that seats 97. Show that the probability that every person who shows up for the ight will nd a seat available is approximately 1 25e6 .

. . . 16

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(c) Pick 13 cards from a deck of 52 and let X be the number of diamonds. What is the expected value of X ?

. . . 17

PAGE 17 Question 6 [15 marks]

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(a) Let U and V be independent random variables, each uniformly distributed over (0, 2 ). Dene X = cos(U ) 2 log V 2 and Y = sin(U ) 2 log V . 2

(i) Find the joint density function of X and Y . Hence or otherwise, deduce that X and Y are independent standard normal random variables.

. . . 18

PAGE 18

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(ii) Compute the following integral:

(x2 + y2 ) (x2 +y2 ) 2 e dx dy . 2

. . . 19

PAGE 19 (b) Suppose that X and Y are both integer-valued random variables. Let p(i| j) = P(X = i|Y = j) and Show that P(X = i, Y = j) =

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q( j|i) = P(Y = j|X = i). p(i| j) i q( j|i)

p(i| j)

END OF PAPER