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Culture Documents
Fall 2014
Remark 1. Notice that these are suggested solutions. There are more than one (correct) way to
reach to the solution.
1. A class has N slots available, which will be lled on a First-Come-First-Serve basis. Each
student who will register can be one of four types: freshman(type 1), sophomore (type 2),
junior (type 3) or senior (type 4). It is known that the composition of the class usually
is given by 10%, 20%, 30%, 40%, respectively (corresponding to the four types mentioned
before). Let Xi be the number of students of type i, i = 1, 2, 3, 4.
(a) (5 points) What is the joint distribution of (X1 , X2 , X3 , X4 )?
Solution
(X1 , X2 , X3 , X4 ) M ultinomial (N ; 0.1, 0.2, 0.3, 0.4)
Solution We can dene a " success" if the student is either of type 2 (sophomore) or
type 3 (junior). The probability of " success" is therefore
P (success) = P ("type 2" or "type 3")
Solution.
We can dene an event A = {student attended}. Notice that
P (type 3|A) =
(0.6) (0.3)
(0.6) (0.3)
=
= 0.3
(0.8) (0.1) + (0.7) (0.2) + (0.6) (0.3) + (0.5) (0.4)
0.6
IEOR E3658
Fall 2014
X
Y
and
2
X
X,Y
X,Y
Y2
Solution.
We can represent (X, Y ) in term of Z, W iid N (0, 1) random variables.
q
X =X + X X,Y Z + 1 2X,Y W
Y =Y + Y Z
where
X,Y =
X,Y
X Y
Therefore,
q
2
V = aX + bY = aX + aX X,Y Z + 1 X,Y W + bY + bY Z
q
= aX + bY + (aX X,Y + bY ) Z + aX 1 2X,Y W
Since Z and W are independent Normal random variables any linear combinations of
the two is also a Normal random variable. Therefore,
q
2
2
2
V N aX + bY , (aX X,Y + bY ) + aX 1 X,Y
Solution.
Since both Y and V has a marginal Normal distribution, the vector (Y, V ) is Bivariate
Normal.
~
(Y, V ) N
, where
Y
V
and
Y2
Y,V
Y,V
V2
IEOR E3658
Fall 2014
2
= a2 X
+ 2abX,Y + b2 Y2
Here we used the fact that Z and W are independent, therefore Cov (Z, W ) = 0,and
that Z N (0, 1), therefore Cov (Z, Z) = V ar (Z) = 1
(c) (10 points) What is the conditional distribution of Y given V = 1?
Solution
iid N (0, 1).
We represent Y, V using Z ,W
q
Y = Y + Y Y,V Z + 1 2Y,V W
V = V + V Z
V = 1 implies Z =
1V
V
. Therefore,
q
q
1 V
Y
2
Y = Y + Y Y,V
+ 1 Y,V W = Y + Y,V (1 V )
+ Y 1 2Y,V W
V
V
Therefore,
Y |V = 1 N
Y + Y,V
Y 2
(1 V )
, Y 1 2Y,V
V
IEOR E3658
Fall 2014
Solution
Recall from part (a): We represented (X, Y ) in term of Z, W iid N (0, 1) random variables.
q
2
X =X + X X,Y Z + 1 X,Y W
Y =Y + Y Z
where
X,Y =
X,Y
X Y
Therefore V = 1 implies
Z=
q
aX 1 2X,Y
1 aX bY
W
(aX X,Y + bY ) (aX X,Y + bY )
q
2
+ dY ) Z + cX 1 X,Y W
Therefore
cX + dY |V = 1 =
1 aX bY
= cX + dY + (cX X,Y + dY )
(aX X,Y + bY )
q
q
aX 1 2X,Y
(cX X,Y + dY )
W + cX 1 2X,Y W
(aX X,Y + bY )
Therefore,
cX + dY |V = 1
1 aX bY
N cX + dY + (cX X,Y + dY )
,
(aX X,Y + bY )
q
2
2
q
aX 1 X,Y
(cX X,Y + dY )
+ cX 1 2X,Y
(aX X,Y + bY )
IEOR E3658
1
I
t1
Fall 2014
(2 t 3) I (1 s t)
Solution
To get te marginal of the random variable Y we need to integrate the joint density over
all possible values X can take.
Z
fY (t) =
Zt
fX,Y (s, t) ds =
1
I (2 t 3) ds = I (2 t 3)
t1
Solution
Here we will use the connection between the joint, marginal and conditional density.
fX|Y
fX,Y (s, t)
(s|t) =
=
fY (t)
1
I
t1
(2 t 3) I (1 s t)
1
=
I (1 s t)
I (2 t 3)
t1
Solution
Recall that : Cov (X, Y ) = E (XY ) E (X) E (Y )
E (XY ): Since we know that X|Y U nif (1, Y ) we will use the Law of Iterated Expectation and condition on Y :
Y +1
E (XY ) = E (E (XY |Y )) = E (Y E (X|Y )) = E Y
2
2
2
1
1
1 2 +23+3
1 2+3
43
= E Y 2 + E (Y ) =
+
=
2
2
2
3
2
2
12
E (X): Again, since we know the conditional distribution X|Y we will use the Law of
Iterated Expectation and condition on Y :
E (X) = E ((X|Y )) = E
Y +1
2
=
1 3+2 1
7
+ =
2
2
2
4
43
12
74
5
2
= 19
24
a+b
2
and E (T 2 ) =
a2 +ab+b2
3
IEOR E3658
Fall 2014
FX (s) = P (X s) =
s1
21
s<1
=s1 1s<2
2s
for t 0
FY (t) = 1
for t ln 2
where here we used the fact that: t (0, ln 2) et (1, 2). to summarize:
0
t<0
FY (t) = P (Y t) = et 1 0 t < ln 2
1
ln 2 t
pdf of Y : To obtain the density of Y we derive the cdf:
fY (t) =
dFY
(t) = et I (0 t ln 2)
dt
IEOR E3658
Fall 2014
ln 2
E (Y ) =
0
ln 2
tet dt = tet et 0 = 2 ln 2 1 = 0.3863
ln 2
ln 2
t2 et dt = t2 et 2tet + 2et 0 = 2 (ln 2)2 4ln2 + 4 2 = 2 (ln 2)2 4ln2 + 2
0
V ar (Y ) = E Y 2 (E (Y ))2 = 2 (ln 2)2 4 ln 2 + 2 4 (ln 2)2 4 ln 2 + 1
E Y
2
T =
20
Y
Q20
Xi = eln(
i=1
P20
Xi )
=e
i=1
ln(Xi )
P20
=e
i=1
Yi
i=1
where Yi = ln Xi . Therefore
P20
P (T 1000) = P e
i=1
Yi
1000 = P
20
X
!
Yi ln 1000
i=1
Since the Yi 's are iid random variables with nite variance we can use the CLT to
approximate their sum
20
X
Yi 20E (Y ) +
p
20V ar (Y )N (0, 1)
i=1
Therefore,
P (T 1000) P
ln 1000 20E (Y )
N (0, 1) p
20V ar (Y )
= P (N 0.92517) = 0.1775
IEOR E3658
Fall 2014
5. (10 points) A certain coin has a probability p of Heads. The coin is tossed successively and
independently until a Heads comes twice in a row or a Tails comes twice in a row. Find the
expected value of the number of tosses.
Solution
Let denote the number of tosses until a Heads comes twice in a row or a Tails comes twice
in a row. Let Ij denote the outcome of the j th toss. To compute we will condition on the
rst toss.
E () = E (|I1 = H) P (I1 = H) + E (|I1 = T ) P (I1 = T )
= pE (|I1 = H) + (1 p) E (|I1 = T )
(1)
(2)
(3)
p + = 2 p
(4)
Which leads to
E () = p + (1 p) =
p3 2p2 + 3p p2 + 2 p3 2p
p2 + p + 2
+
=
p2 p + 1
p2 p + 1
p2 p + 1
(5)