Version: 20 August 2000 ISyE 3232 J. G. Dai and R. D. Foley Solution to Hmwk 1 1.

(a) What is the set of all possible outcomes called? Sample space. (b) What are subsets of the set of all possible outcomes called? Events. (c) What is a random variable? A function from the sample space to the real line. 2. Let X have mean 3 and variance 16. What is the mean and variance of 5 4X? The mean is -7. What is the mean and variance of (X 3)/4? E[5 4X] = 5 4E[X] = 7, Var[5 4X] = (4)2 Var[X] = 256. What is the mean and variance of (X 3)/4? The mean is zero and the variance is one. (X E[X])/ Var[X] has mean 0 and variance 1 as long as E[X] < and 0 < Var[X] < . 3. Let X have probability mass function Pr {X = i} = ci2 for integers i with 0 < i < 4. Find (a) c,
3

ci2 = 14c so c = 1/14.

i=1

(b) Pr {X 2} = (c) E[X] =

4 i=1

2 i=1

Pr {X = i} = 5/14,

iPr {X = i} = 18/7,

(d) Pr {X 2 | X > 1} = 4/13, (e) E[min(X, 2)] = c + 2 13c = 27/14, (f) E[max(X, 2)] = 2 5c + 3 9c = 37/14, (g) Var[X] = E[X 2 ] E[X]2 = 98/14 (36/14)2 4. Let X and Y have joint probability density function f(X,Y ) (s, t) = ce(s+2t) for 0 s, and 0 t. Find (a)
0 0

ce(s+2t) dsdt = c/2, so c = 2

1/3 1/3

(b) Pr {min(X, Y ) > 1/3} = Pr {X > 1/3, Y > 1/3} = e1 , (c) Pr {X Y } =

t 0 0

ce(s+2t) dsdt =

ce(s+2t) dsdt = 1/3,

0

(d) the marginal probability density function of X, (e) E[XY ] =

0 0

ce(s+2t) dt = es

cste(s+2t) dsdt = 1/2. 1

5. Let X and Y be independent uniform (0, 1) random variables. Compute (a) Pr {X < Y } =
1 y 0 0

dxdy = 1/2, (b) Pr {X = Y } = 0,

(c) the probability density function of min(X, Y ), Pr {min(X, Y ) < z} = 1 Pr {X > z, Y > z} = 1 (1 z)2 so f (min(X, Y ) = z) = 2 2 z where 0 z 1 (d) Var[X] = 1/12, (e) Var[X + Y ] = 1/12 + 1/12 = 1/6. 6. Make a reasonable guess for the distribution of each of the following random variables: (a) the number of boards examined until a defective board is found, geometric(b) the number of defective boards out of the next 10 examined, binomial with n = 10 (c) whether the next board is defective or not, Bernoulli(d) the number of defects in the next board, Poisson (e) the total weight of the next 1000 boards, normal 7. Suppose the average weight of an item labeled 16 ounces actually has mean 17 ounces and variance 4 ounce2 . What is the approximate probability that the combined weight of 25 items exceeds 445 ounces? What theorem is useful in answering this question? Let Xi denote the weight of the ith item. We do not know the distribution of Xi , but the distribution of the sum of 25 i.i.d. random variables should be approximately normal from the Central Limit Theorem. Let S = X1 + . . . X25 be the total weight. Note that, E[S] = E[X1 + + X25 ] = 17 25 and Var[S] = Var[X1 + + X25 ]4 25. Let Y be normally distributed with the same mean and variance, i.e., Y N (17 25, 4 25). From the Central Limit Theorem, Pr {S > 445} Pr {Y > 445} = Pr { Y 1725 > 10 = Pr {Z > 2} .2275
4451725 } 10

where Z is a standard normal random variable.