Professional Documents
Culture Documents
2014-2015-II Semester
Assignment-III
Instructor: Neeraj Misra
1 . Let (R, B0 , P ) be a probability space, where B0 is the Borel -eld in R. Assuming
the fact that there exists a set D R such that D
/ B0 , through a counter example,
show that not all functions X : R R are random variables.
2 . Let X be a random variable with p.m.f.
{
fX (x) =
1 2 x
( ) ,
3 3
0,
if x {0, 1, 2, . . .}
.
otherwise
(a) Find the distribution function of Y = X/(X + 1) and hence determine the
p.m.f. of Y ;
(b) Find the p.m.f. of Y = X/(X + 1) and hence determine the distribution
function of Y ;
(c) Find the mean and the variance of X.
3 . Let the random variable X have the p.d.f.
2 , if 2 < x < 1
1
fX (x) =
.
, if 0 < x < 3
6
0, otherwise
(a) Find the distribution function of Y = X 2 and hence determine the p.d.f. of Y ;
(b) Find the probability density function of Y = X 2 and hence determine the
distribution function of Y ;
(c) Find the mean and the variance of X.
4 . (a) Give an example of a discrete type random variable X for which E(X) is nite
but E(X 2 ) is not nite;
(b) Give an example of an absolutely continuous type random variable X for which
E(X) is nite but E(X 2 ) is not nite.
5. Let X be a random variable with
1
2
P ({X = 2}) = 21
, P ({X = 1}) = 21
, P ({X = 0}) = 71 ,
4
5
P ({X = 1}) = 21
,
P ({X = 2}) = 21
,
P ({X = 3}) = 72 .
1, if 0 < x < 1
.
0, otherwise
X; (b) Y2 = X 2 ; (c)
1, if 0 < x < 1
,
0, otherwise
and let
1, if X < 0
1
Y =
, if X = 0 .
2
1, if X > 0
0, if x < 0
x3 , if 0 x < 1
8
FX (x) =
.
x
,
if
1
x
<
2
1, if x 2
Find the mean and variance of X.
12. Let X be a random variable with distribution function
0, if x < 0
4 , if 0 x < 1
x
FX (x) =
, if 1 x < 2 .
3
3x
, if 2 x < 52
1, if x 52
Find the mean of X.
13 . (a) Let E(|X| ) < , for some > 0. Then show that E(|X| ) < , (0, ];
(b) Let X be a random variable with nite expectation. Show that limx xFX (x) =
limx [x(1 FX (x))] = 0, where FX is the distribution function of X;
(c) Let X be a random variable with limx [x P (|X| > x)] = 0, for some > 0.
Show that E(|X| ) < , (0, ). What about E(|X| )?
14 . (a) Find the moments of the random variable that has the m.g.f. M (t) = (1 t)3 ,
t < 1;
(b) Let the random variable X have the m.g.f.
M (t) =
et et e2t e3t
+ +
+
, t R.
8
4
8
2
et e2t
, for t = 0,
3t
nd the p.d.f. of Y = X 2 .
15 . Let p (0, 1) and let Xp be a random variable with p.m.f.
{ ( )
n
fXp (x) =
px q nx , if x {0, 1, . . . , n}
,
0,
otherwise
E((X)) =
(b) Let be a positive real number. Under the assumptions of (a), show that
E(X ) =
x1 P (X > x)dx;
(c) Let F (0) = G(0) = 0 and let F (t) G(t), t > 0, where F and G are distribution functions of absolutely continuous type non-negative random variables
X and Y , respectively. Show that E(X k ) E(Y k ), k > 0, provided the
expectations exist.
18 . (a) Let X be a random variable such that P (X 0) = 0 and let = E(X) be
nite. Show that P (X 2) 0.5;
(b) If X is a random variable such that E(X) = 3 and E(X 2 ) = 13, then determine
a lower bound for P (2 < X < 8).
19. (a) An enquiry oce receives, on an average, 25, 000 telephone calls a day. What
can you say about the probability that this oce will receive at least 30, 000
telephone calls tomorrow?
(b) An enquiry oce receives, on an average, 20, 000 telephone calls per day with
a variance of 2, 500 calls. What can be said about the probability that this
oce will receive between 19, 900 and 20, 100 telephone calls tomorrow? What
can you say about the probability that this oce will receive more than 20, 200
telephone calls tomorrow?
20. Let X be a random variable with m.g.f. M (t), h < t < h.
(a) Prove that P (X a) eat M (t), 0 < t < h;
(b) Prove that P (X a) eat M (t), h < t < 0;
(
)1 3 (
)1
(c) Suppose that M (t) = 41 1 3t
+ 4 1 2t
, t < 13 . Find P (X > 1).
21. Let R and > 0 be real constants and let X, be a random variable having
p.d.f.
(x)2
1
fX, (x) = e 22 , < x < .
2
(a) Show that fX, is a p.d.f.;
(b) Show that the probability distribution function of X, is symmetric about .
Hence nd E(X, );
(c) Find the m.g.f. of X, and hence nd the mean and variance of X, ;
(d) Let Y, = aX, + b, where a = 0 and b are real constants. Using the m.g.f.
of X, , show that the p.d.f. of Y, is
fY, (y) =
(y(a+b))2
1
e 2a2 2 , < y < .
|a| 2
f (x) =
0,
1
,
x(1x)
if 0 < x < 1,
.
otherwise
Show that the distribution of X is symmetric about a point . Find this point .
Also nd E(X) and P (X > ).
23. Let X be a random variable with p.d.f.
x2
1
f (x) = e 2 , < x < .
2
)(
ari bi
i=1
)r1
bi
( n
i=1
)r
a i bi
i=1
)(
a2m+1
i
i=1
)
ai
i=1
)2
am+1
i
i=1