IE241: Engineering Statistics I

Homework 4 Spring 2013

1. Suppose that X and Y are independent continuous random variables with CDF FX , FY , and PDF fX , fY , respectively. Show that P(X Y) =

FX (t) fY (t)dt.

2. The joint PDF of X and Y is given as follows: 2 ; 0 < x < y, 0 < y < 1, f (x, y) = 0 ; otherwise. (a) Compute the marginal PDF of X. (b) Compute the marginal PDF of Y. (c) Are X and Y independent? 3. The joint PDF of X and Y is given by 12 x(2 x y) ; 0 < x < 1, 0 < y < 1, 5 f (x, y) = 0 ; otherwise Compute the conditional density of X given that Y = y for 0 < y < 1. 4. Let Y1 , Y2 be independent Poisson random variables with means 1 , 2 , respectively. Set X = Y1 + Y2 . It is known that this random variable has a Poisson distribution with mean 1 + 2 . Using this fact, show that the conditional distribution of Y1 given X = x is a binomial with n = x and p = 1 /(1 + 2 ). 5. Consider a coin tossing. A and B toss coins independently. The probability of head is p for both coins. A tosses a coin until the rst head appears and stops. B does the same. What is the probability that A and B stop on exactly the same number toss? 6. In the above question, consider X = Y1 Y2 the difference in the number of tosses required by the two people. (a) Find the mean and the variance of X. 1

(b) Give an interval that will contain X with probability at least 8/9. 7. Let X1 , X2 be two independent random variables with CDF F1 , F2 , respectively. Let U be an independent Bernoulli random variable with P(U = 1) = p and P(U = 0) = 1 p = q. Now dene Y = UX1 + (1 U)X2 . Show that the CDF of Y is given by pF1 ( y) + qF2 ( y) for all y R. (Hint: argue that P(Y y|U = 1) = P(X1 y).) 8. Let X, Y be jointly distributed random variables. Further assume that their marginal CDFs are the same. Then, show that Cov(X1 X2 , X1 + X2 ) = 0. Note that they are not necessarily independent. 9. Let X, Y have respective CDFs FX and FY . Suppose further that ( ) xa FX (x) = FY b for some constants a, b > 0. (a) Determine E[X] in terms of E[Y]. (b) Determine Var[X] in terms of Var[Y]. 10. Answer the following questions. (a) Find a constant a that minimizes Var(Y aX) in terms of X (standard deviation of X), Y (standard deviation of Y), and (correlation coefcient of X and Y), that is, solve min Var(Y aX).
a R Y (b) If = 1, then show that Y = E[Y] (X E[X]). (Hint: consider the variance of (X E[X] + X X Y (Y

E[Y]).)

(c) In part (b), how is the result changed if = 1? Due date: May 15 by 5pm. submission between 5pm-9pm: 10% off. submission 9pm-9am on the following day: 50% off. no acceptance after 9am. Note: Write as clearly as possible, including your reasoning as well as answers. If there is an answer only, then no point is given. If a student is found to have done misconduct such as obvious outright copying, then no point will be given to the homework (both parties involved).