Assignment #1 solution

1. Solution: Let In = 1 if an record occurs at step n, otherwise 0, n = 2, 3, 4, . . . . (a) Note that P ([a record at time n]) = P (Xn = max{X1 , . . . , Xn }). Since X1 , . . . , Xn are iid continuous r.v.s, then each one will have the same probability to be the largest one. That is, P (X1 = max{X1 , . . . , Xn }) = = P (Xn = max{X1 , . . . , Xn }) = 1/n. This also tells us P (In = 1) = E (In ) = 1/n. (b) Note that number of records by the end of step n =
k =1 n

Ik ,
n

so E [number of records by the end of step n] = E (

Ik ) =
k =1 k =1

1/k.

(c) First, let us argue that I1 , . . . , In are independent. For simplicity, consider I2 and I3 . Note that I3 = 1 tell you X3 is the largest one in the rst three iid rvs. However this does not tell you anything about which one is the largest on in the rst two iid rvs. Both X1 and X2 can be the largest one, each of them still has the same probability to be the largest. This tells the value of I3 does not aect the value of I2 , so they are independent. The same idea can be used to argue that I1 , . . . , In are independent. So
n k

V ar (number of records by the end of step n) =

k =1

V ar (Ik ) =
k =1

E (Ik )(1E (Ik )) =

k1 . k2

(d) To nish Parts (i) and (ii), we need to nd f (n) = P (N = n) for n = 2, 3, . . . rst. Note that f (n) = P (N = n) = P (I2 = 0, I3 = 0, . . . , In1 = 0, In = 1) = P (I2 = 0)P (I3 = 0) P (In1 = 0)P (In = 1) 1 1 1 1 )( ) (Since I1 , . . . , In are independent) = (1 )(1 ) (1 2 3 n1 n 1 1 1 = = . n(n 1) n1 n i. Note that proper. ii. E (N ) =
n=2 f (n) n=2 nf (n)

= =

n=2

1 n 1

1 n

= 1 1/2 + 1/2 1/3 + = 1. So N is

1 n=2 n1

= N is null proper.

2. Solution: The conditions we have are T1 Geo(p) and given that T1 = k, T2 Gep(p/k), for k = 0, 1, 2, . . . . (Note that the distribution of T2 is complicated because it depends on that of T1 ) 1

(a) Note that E (T ) = E (T1 ) + E (T2 ) = 1/p + E (T2 ) (T1 Geo(p)) (Double-average Theorem) = 1/p + E [E (T2 |T1 )].

Next step is to nd E (T2 |T1 ). Given that T1 = k, we have E (T2 |T1 = k) = 1/(p/k) = k/p So E (T2 |T1 ) = T1 /p (Replace k by T1 ) and E (T2 ) = E [E (T2 |T1 )] = E (T1 /p) = 1/p2 . Hence E (T ) = 1/p + 1/p2 < . If T is improper or null proper, then E (T ) = . (See the discussion in the lecture notes) So E (T ) < can tell us T is a short proper r.v.. (b) For n = 2, 3, 4, . . . , f (n) = P (T = n) = P (T1 + T2 = n)
n 1

(T2 |T1 = k Geo(p/k)) .

=
k =1 n 1

P (T1 = k, T2 = n k) P (T1 = k)P (T2 = n k|T1 = k)

k =1 n 1

=
k =1

(1 p)k1 p(1 p/k)nk1 p/k. (T1 Geo(p) and T2 |T1 = k Geo(p/k))

3. Solution: (a) let Y = additional distance traveled to get out after returning to the centre given that the mouse initially selected one of doors 1 or 2. Basically, X and Y have the same distribution due to the renewal property. For this problem, we are going to use doubleaverage theorem E (X ) = E {E (X |D )}, where D is door rst chosen by the mouse. Note that

X |D = 1 = 5 + Y X |D = 2 = 4 + Y X |D = 3 = 6 + 1 (prob=1/2) and X |D = 3 = 6 + 3 (prob=1/2).

So E (X |D = 1) = 5 + E (Y ) = 5 + E (X ) E (X |D = 2) = 4 + E (Y ) = 4 + E (X ) E (X |D = 3) = 7 1/2 + 9 1/2 = 8. Then E (X ) = 1/3{5 + E (X )} + 1/3{4 + E (X )} + 1/3 8 E (X ) = 17. To nd V ar (X ), using the formula V ar (X ) = E (X 2 ) E 2 (X ), we need to nd E (X 2 ) rst. The idea is same as above. Note that E (X 2 |D = 1) = E (5 + Y )2 = 25 + 10E (X ) + E (X 2 ) = 195 + E (X 2 ) E (X 2 |D = 2) = E (4 + Y )2 = 16 + 8E (X ) + E (X 2 ) = 152 + E (X 2 ) E (X 2 |D = 3) = (1/2)72 + (1/2)92 = 65. So E (X 2 ) = 1/3{195 + E (X 2 )} + 1/3{152 + E (X 2 )} + 1/3 65 E (X 2 ) = 412. Hence V ar (X ) = E (X 2 ) E 2 (X ) = 412 172 = 123. (b) The graph enumerates all the possibilities.

X Prob

7 1/6

9 1/6

11 1/12

12 1/12

13 1/12

14 1/12

16 1/6

18 1/6

Since the mouse will not choose the door previously chosen, then we can enumerate all the situations as in the following graph. So X has the following discrete distribution. Hence E (X ) = 1/6(7)+1/6(9)+1/12(11)+1/12(12)+1/12(13)+1/12(14)+1/6(16)+1/6(18) = 12.5 and E (X 2 ) = 1/6(7)2 + 1/6(9)2 + 1/12(11)2 + 1/12(12)2 +1/12(13)2 + 1/12(14)2 + 1/6(16)2 + 1/6(18)2 = 170.833. So V ar (X ) = 14.583. 4. Solution: From the question, we have that N Geo(0.1) and Xi U nif orm(0, 100), i = 1, 2, . . . . (a) It is easy to see that X =
N i=1 Xi .

(b) Note that X is a random sum of iid rvs. So we can directly use the formulas for that. E (X ) = E (N )E (X1 ) = 1/(0.1) 100/2 = 500 and V ar (X ) = E (N )V ar (X1 ) + V ar (N )[E (X1 )]2 = 1/(0.1) 1002 /12 + (1 0.1)/0.12 (100/2)2 = 233333.3. 5. Solution: Let U be the probability of a randomly chosen coin showing head. Note that from the question, X |U = u Bin(10, u) and U U nif orm(0, 1). So E (X |U = u) = 10u and V ar (X |U = u) = 10u(1 u). then E (X |U ) = 10U and V ar (X |U ) = 10U (1 U ). Using the double average formula, we have E (X ) = E [E (X |U )] = E (10U ) = 10 1/2 = 5. Using the conditional variance formula, we have V ar (X ) = E (V ar (X |U )) + V ar (E (X |U )) = E (10U (1 U )) + V ar (10U ) = 10.

6. Solutions: (a) Note that E (Z ) = E [E (Z |N )], which is a direct result by applying the double average theorem. Now given that N = n,
N

E (Z |N = n) = E (
j =1 n

Xj |N = n) Xj |N = n) ( By substitution) Xj ) ( X1 , . . . Xn and N are independent) E (Xj ) ( X1 , . . . Xn are independent)

= E(
j =1 n

= E(
j =1 n

=
j =1

= 0 (Since E (Xj ) = 0.) So E (Z |N ) = 0 and E (Z ) = 0. (b) Note that V ar (Z ) = E (Z 2 ) since E (Z ) = 0. Using the double-average theorem for E (Z 2 ). We have E (Z 2 ) = E [E (Z 2 |N )]. Now given that N = n,
N

E (Z 2 |N = n) = E (
j =1 n

2 Xj |N = n)

= E(
j =1 n

2 Xj |N = n) ( By substitution)

= E(
j =1 n

2 Xj ) ( X1 , . . . Xn and N are independent)

=
j =1

2 E (Xj ) ( X1 , . . . Xn are independent)

2 n = [E (X1 )] (X1 , . . . Xn are iid.)

= [ 2 ]n Since E (X1 ) = 0. So E (Z 2 |N ) = [ 2 ]N and E (Z 2 ) = E {[ 2 ]N } = GN ( 2 ).

7. Solution I: Conditioning on the value of X , we have that P (X < Y ) = E (IX<Y )

1

=
0 1

E (IX<Y |X = x)fX (x)dx E (Ix<Y |X = x)fX (x)dx By Substitution

0 1

= =
0

P (x < Y |X = x)fX (x)dx.

Before we calculate the above integral, we need to nd two things: fX (x) and P (x < Y |X = x). First, note that given that X = x, the range of Y is [0, 2(1 x)], then
2(1x) 2(1x)

fX (x) =
0

f (x, y )dy =
0

dy = 2(1 x).

Next step, the conditional probability density function of Y given X = x is given by fY |X (y |x) = f (x, y ) 1 = for 0 y 2(1 x). fX (x) 2(1 x)

Note that given X = x, the upper bound for Y is 2(1 x). Now if x 2(1 x) ( or x 2/3), (x is larger than the upper bound for Y , given X = x), then P (x < Y |X = x) = 0; if x 2(1 x) (or x 2/3),
2(1x) 2(1x)

P (x < Y |X = x) =
x

fX |Y (x|y )dy =

2 3x 1 dy = . 2(1 x) 2(1 x)

So
1

P (X < Y ) =
0 1

P (x < Y |X = x)fX (x)dx P (x < Y |X = x)2(1 x)dx

0 2/3

= =
0

2 3x dx 2(1 x) (2 3x)dx = 2/3.

2/3

=
0

Solution II: (Graph method) Note that the region that X < Y is a triangle determined by (0,0), (0,2) and (2/3,2/3). The area for this region is 2/3. Note that (X, Y ) is uniformly distributed over 3 the triangle determined by (0,), (0,2) and (1,0). The whole area is 1. So P (X < Y ) = 2/ 1 = 2/3. 6