DEPARTMENT OF MATHEMATICS AND STATISTICS UMASS - AMHERST BASIC EXAM - PROBABILITY January 2013 Work all problems.

Show all work. Explain your answers. State the theorems used whenever possible. 60 points are needed to pass at the Masters Level and 75 to pass at the Ph.D. level. 1. Let Y1 and Y2 have the joint probability density function given by f (y1 , y2 ) = c(2 y1 ) for 0 y2 y1 2. For the following parts, you can leave your answers in terms of integrals with explicit limits. No need to give the nal numerical answers. (a) (6 points) Find c. (b) (6 points) Find the marginal density functions for Y1 and Y2 . (c) (6 points) Are Y1 and Y2 independent? Why or why not? (d) (6 points) Find the conditional density of Y1 given Y2 = y2 and P (Y1 1.5|Y2 = 0.9). 2. Let X N (, 2 ). (a) (6 points) Show that the moment generating function of X is MX (t) = exp(t + 2 t2 /2).
2 2 2 (b) (7 points) Show that if X1 N (1 , 1 ), X2 N (2 , 2 ), X3 N (3 , 3 ), and X1 , X2 , X3 are 2 2 2 independent, then X1 + X2 + X3 N (1 + 2 + 3 , 1 + 2 + 3 ).

(c) (7 points) Suppose i and i , i = 1, 2, 3 are known quantities. Based on X1 , X2 , X3 , construct a statistic that has a Chi squared distribution with 3 degrees of freedom, a statistics that has a t distribution with 2 degrees of freedom, and a statistic that has an F distribution with 1 and 2 degrees of freedom. P3 1 2 2 (d) (7 points) Suppose that i = and i = 2 for i = 1, 2, 3. Dene S 2 = 2 i=1 (Xi X ) with 2 2 X = (X1 + X2 + X3 )/3. Show that ES = and ES .

3. Suppose (X1 , X2 , X3 ) follows a multinomial distribution with m trials and cell probabilities p1 , p2 , , p3 . x1 x2 x3 ! Note that the Multinomial(m, p1 , p2 , p3 ) probability mass function is x1 !m x3 ! p1 p2 p3 , x1 + x2 + x3 = m, p1 + p2 + p3 = 1. (a) (7 points) Find the marginal distribution of X1 and the conditional distribution of X2 given X1 . Write down your reasoning. No mathematical proof is needed. (b) (7 points) Show that Cov (X1 , X2 ) = mp1 p2 . X11 X12 X 1n (c) (7 points) Let X21 , X22 , , X2n be iid random vectors from the above multinoX31 X32 X 3n Pn 1 1, X 2 ). mial distribution. Let Xj = n i=1 Xji , j = 1, 2. Find the limiting joint distribution of (X State the theorem used. 1 /X 2 . State the theorem used. (d) (7 points) Find the limiting distribution of Yn = X 4. Suppose we have three cards. The rst one is blank on both sides, the second has an X on one side and is blank on the other, and the third has an X on both sides. We run an experiment where we choose one card at random and then look at one side of the chosen card at random.

(a) (7 points) What is the probability that you see an X ? (b) (7 points) What is the probability that you see an X and the other side of the chosen card has an X too? (c) (7 points) Suppose we run the experiment above and we see an X . Given that outcome, what is the probability that the other side of the card has an X on it too?

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UNIVERSITY OF MASSACHUSETTS Department of Mathematics and Statistics Basic Exam - Statistics Wednesday, August 29, 2012 Work all problems. 60 points are needed to pass at the Masters Level and 75 to pass at the Ph.D. level. 1. (15 points) Jane is trapped in a mine containing 3 doors. The rst door leads to a tunnel that will take her to safety after 3 hours of travel. The second door leads to a tunnel that will return her to her starting point in the mine after 5 hours of travel. The third door leads to a tunnel that will return her to her starting point in the mine after 7 hours. If we assume that Jane is at all times equally likely to choose any one of the doors, what is the expected length of time until she reaches safety? 2. Suppose we are in a situation where the value of a random variable X is observed and then, based on the observed value, an attempt is made to predict the value of another random variable Y . Let g (X ) denote the predictor (i.e., if X is observed to be equal to x, then g (x) is our prediction for the value of Y ). We would like to choose g so that g (X ) tends to be close to Y . Suppose we decide to choose g to minimize E ((Y g (X ))2 ). (That denes best below.) Assume that the means and variances 2 2 of X and Y , denoted by X = E (X ), Y = E (Y ), X = V ar(X ) and Y = V ar(Y ), Cov (X,Y ) and the correlation of X and Y , denoted by XY = 2 2 , are known.
X Y

(a) (10 points) What is the best predictor of Y ? (show your calculation in detail) (b) (5 points) Consider linear predictors of Y , i.e., g (X ) = a + bX . In that case, what is the best linear predictor of Y with respect to X ? In other words, choose a and b in g (X ) = a + bX as functions of the means and variances of X and Y and the correlation of X and Y . 3. The number of defects per yard in a certain fabric, Y, is known to have a Poisson distribution with parameter . The probability mass function is: exp()y P r(Y = y |) = , > 0, y = 0, 1, 2, . . . y! Suppose that is also an exponential random variable with mean 1 (pdf: f () = exp(), 0 and 0 otherwise.) (a) (5 points) Write down and solve an integral expression for the unconditional probability mass function for Y. (b) (5 points) Without using your answer from part a above, what is the unconditional expectation of Y ? 1

(c) (5 points) Without using your answer from part a above, what is the unconditional variance of Y ? 4. Suppose Y is a random variable with pdf g (y ), X is a random variable with pdf f (x), and U has a U (0, 1) distribution. Further, let M > 1 be a constant where f (x) < M g (x) for all x. Consider the following algorithm. (i) Sample y from g (y ) and u from a U (0, 1). (ii) If u < f (y )/(M g (y )) then accept y and stop the algorithm. If not, go to (i). (a) (5 points) Show that P r(U < f (Y )/(M g (Y ))) = E (f (Y )/(M g (Y ))) where the expectation is with respect to Y. (b) (5 points) Show that the probability that the algorithm accepts y on the rst try is 1/M. (c) (5 points) What is the expected number of tries the algorithm will make until it accepts for the rst time? (d) (5 points) Derive the density of the accepted y. 5. Central Limit Theorem and related topics (a) (10 points) State carefully a Central Limit Theorem for a sequence of i.i.d. random variables. (b) (10 points) Suppose Xi , i = 1, . . . , 100 are i.i.d. P oisson(0.0001). What is the standard error of the sample mean? (c) (5 points) Let Y = 100 i=1 Xi . Use the Central Limit Theorem to write an expression to approximate P r(Y 1). (You do not need a number.) (e) (5 points) The P oisson() moment generating function is exp((exp(t) 1)). Use that result to derive an answer part c in another way. Does that support or disagree with your answer to part d?
P

(d) (5 points) Is the answer to part c close to zero or close to one? Why?

DEPARTMENT OF MATHEMATICS AND STATISTICS UMASS - AMHERST BASIC EXAM - PROBABILITY WINTER 2012 Work all problems. Show your work. Explain your answers. State the theorems used whenever possible. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level 1. (20 points) There is more information in the joint distribution of two random variables than can be discerned by looking only at their marginal distributions. Consider two random variables, X1 and X2 , each distributed binomial(1, ), where 0 < < 1. Let Qab = P {X1 = a, X2 = b}. (a) In general, show that 0 Q11 . In particular, evaluate Q11 in three cases: where X1 and X2 are independent, where X2 = X1 , and where X2 = 1 X1 . (c) If P {X2 = 1|X1 = 0} = and P {X2 = 0|X1 = 1} = , then express , Q00 , and Q11 in terms of and . (d) In part (c), nd the correlation between X1 and X2 in terms of and . 2. (20 points) Let Y1 and Y2 have the joint probability density function: f (y1 , y2 ) = k (1 y2 ), 0 y1 y2 1 = 0, otherwise. (a) Find k. (b) Find the marginal density functions for Y1 and Y2 . (c) Are Y1 and Y2 independent? Why or why not? (d) Find the conditional density function of Y2 given Y1 = y1 . (e) Find P r(Y2 3/4|Y1 = 1/2). 3. (20 points) Suppose that the random variable Y has a Poisson distribution with mean . The probability mass function is f (y |) = (a) Prove that ex =
P

(b) For each case in (a), evaluate Q00 .

e y , for > 0, y = 0, 1, 2, . . . y!

xk k=0 k! .

(b) Find the moment generating function of Y. (c) Suppose that Y1 and Y2 are independent Poisson random variables with means 1 and 2 respectively. 1

i. Derive the distribution of Z = Y1 + Y2 . ii. Derive the distribution of Y1 |Z = k. 4. (20 points) Suppose Xi , i = 1, . . . , n are independent and each has mean and variance 2 < . Let Zi = Xi . (b) Find f (n, ), a function of n and , so that Zn = f (n, )Sn converges in distribution to a standard normal distribution as n . (c) Approximately what is limn P r(|Zn | > 1.645)? 5. (20 points) Suppose we ip coins. Let the random variable Xi = 1 if the ith ip is a head and 0 otherwise. Assume that the Xi s are independent Bernoulli random variables with P r(Xi = 1) = . Let N be the number of ips required to get the rst head (N = 1, 2, . . .). (a) What is E (N |X1 = i), i = 0, 1? (a) Let Sn = Z1 + . . . + Zn . Prove that limn P r(|Sn /n| > 0) = 0.

(b) Use the result from part (a) and the law of iterated expectations to derive E (N ). (c) What is the the probability mass function of N ? (d) Let M = N k, where k > 0 is a constant integer. Derive P r(M > m|N > k ). (e) What is the probability mass function of M ?

UNIVERSITY OF MASSACHUSETTS Department of Mathematics and Statistics Basic Exam - Probability Friday, September 2, 2011 Work all problems. 60 points are needed to pass at the Masters Level and 75 to pass at the Ph.D. level. 1. (20 PTS) Suppose that Y is uniformly distributed on the interval (0,1). (a) Find the moment generating function for Y . (b) If a is a positive constant, derive the moment generating function for W = aY . What is the distribution of W ? Why? (c) If a is a positive constant and b is a xed constant, derive the moment generating function of V = aY + b. What is the distribution of V ? Why?

2. (20 PTS) Let X1 and X2 be independent variables each having an exponential distribution with mean 1. Let Y1 = X1 /X2 and Y2 = X2 . (a) Without any calculation, give the marginal distribution of Y2 . (b) Find the joint probability density function of Y1 and Y2 . (c) Find the conditional distribution of Y1 given Y2 = y2 . (d) Find the marginal probability density function of Y1 .

3. (20 PTS) A blood test is 99 percent eective in detecting a certain disease when the disease is present. However, the test also yields a false-positive result for 2 percent of healthy patients tested, who do not have the disease. Suppose 0.5 percent of the population has the disease. (a) Find the conditional probability that a randomly tested individual actually has the disease given that his or her test result is positive. (b) Suppose instead that an individual is tested only if he or she has symptoms. Among those with symptoms, 50% are known to have the disease. Find the conditional probability that a person with symptoms actually has the disease given that his or her test result is positive.

4. (25 PTS) (X1 , X2 ) is a bivariate random variable and dene = P (X1 > X2 ). Dene the function g (X1 , X2 ) as follows: ( 1 if X1 > X2 g (X1 , X2 ) = 0 otherwise (a) What is the expected value of g (X1 , X2 ), E (g (X1 , X2 ))? (b) Let the pairs (X1i , X2i ) be independent and identically distributed P samples with the same distribution as (X1 , X2 ) where i = 1, . . . , n. Dene Q = n i=1 g (X1i , X2i ). Find the distribution of Q. (c) Show Q/n converges in probability to as n goes to innity. (d) Obtain the asymptotic distribution of n1/2 (Q n). 5. (15 PTS) Consider a population consisting of 3 units with known sizes, s1 = 1, s2 = 2, s3 = 3, from which we will select n = 2 units using a procedure known as probability proportional to size without replacement (PPSWOR) sampling. The PPSWOR algorithm proceeds as follows: i. Select the rst unit with probability proportional to size. ii. Select the next unit with probability proportional to size from among the remaining un-sampled units. iii. Repeat step (ii) until a sample of size n is obtained. (a) What is the probability that the rst unit selected is the unit of size 2 (s2 = 2)? (b) What is the probability that the n=2 units selected are the units of sizes 1 and 2 (in any order)? (c) Give numerical expressions for the probabilities of sampling each possible pair of units (you need not simplify these expressions completely). (d) Give numerical expressions for the probabilities of sampling each unit in the population, that is, for 1 , 2 , and 3 , where i is the probability that unit i is selected (again you need not simplify these expressions completely). (e) This sampling scheme is sometimes used to approximate a probability proportional to size (PPS) sample. In a PPS sample, each unit is sampled with probability proportional to its size. That is: i si = . j sj Simplify the expressions in the previous part (d) as necessary to show that the PPSWOR sampling algorithm does not result in a PPS sample.

DEPARTMENT OF MATHEMATICS AND STATISTICS UMASS - AMHERST BASIC EXAM - PROBABILITY WINTER 2011 Work all problems. 60 points are needed to pass at the Masters Level and 75 to pass at the Ph.D. level. Each question is worth 20 points. 1. Let A be a bounded region in R2 and |A| be its area. The boundary of A is known and, for any (x, y ) R2 it is easy to determine whether (x, y ) A. However, |A| is not known and cannot be calculated analytically. The following method is proposed to estimate |A|: (a) Construct a rectangle B that contains A. (b) Generate N (a large integer) points at random, uniformly, in B . (c) Let X be the number of generated points that lie within A. (d) Use X/N as an estimate of |A|/|B | and |B | (X/N ) as an estimate of |A|. The user can choose B , as long as its big enough to contain A. If the goal is to estimate |A| as accurately as possible, what advice would you give the user for choosing the size of B ? Should |B | be large, small, or somewhere in between? Justify your answer. Hint: think about Binomial distributions.

2. You go to the bus stop to catch a bus. You know that buses arrive every 15 minutes, but you dont know when the next is due. Let T be the time elapsed, in hours, since the previous bus. Adopt the prior distribution T Unif(0, 1/4). (a) Find E[T ]. Passengers, apart from yourself, arrive at the bus stop according to a Poisson process with rate = 2 people per hour; i.e., in any interval of length `, the number of arrivals has a Poisson distribution with parameter 2` and, if two intervals are disjoint, then their numbers of arrivals are independent. Let X be the number of passengers, other than yourself, waiting at the bus stop when you arrive. (b) Suppose X = 1. Write an intuitive argument for whether that should increase or decrease your expected value for T . I.e., is E[T |X = 1] greater than, less than, or the same as E[T ]? (c) Find the density of T given X = 1, up to a constant of proportionality. It is a truncated version of a familiar density. What is the familiar density?

3. A discrete-time Markov chain is a series of indexed random variables, {X0 , X1 , X2 , . . .} which displays the Markov property, namely Pr(Xn+1 = j |X0 = x0 , X1 = x1 , X2 = x2 , . . . Xn = i) = Pr(Xn+1 = j |Xn = i). Consider such a Markov chain in which there are only nitely many possible xs and in which the so-called transition probabilities are given by the matrix p such that pij = Pr(Xn+1 = j |Xn = i), constant for all n 0. (a) Give an expression in terms of p for the probability that Xn+2 = j given Xn = i. (b) Give an expression in terms of p for the probability that Xn+m = j given Xn = i. For full credit, whenever possible, express your answer using matrix notation rather than functions of the matrix elements. (c) Prove that for any Markov chain, Pr(X3 = x3 |X0 = x0 , X1 = x1 ) = Pr(X3 = x3 |X1 = x1 ).

4. Suppose X1 and X2 are random variables with joint density function f (x1 , x2 ) = c when x1 + x2 1 and both x1 and x2 are non-negative. The density f (x1 , x2 ) = 0 otherwise. Except for part (a), purely graphical solutions will not get full credit. (a) Draw a picture to show the x1 and x2 values where the density is non-zero. (b) What is c? (c) What is the probability that X1 > X2 ? (d) Are X1 and X2 independent? Why or why not? (e) What is the density of Y = 1/X1 ?

5. Suppose X1 and X2 are independent and identically distributed random variables with density f (x) = exp(x), x 0, and f (x) = 0 otherwise. (a) The moment generating function of a random variable X is MX (t) = E[etX ]. Find the moment generating function of X1 . (b) Use the moment generating function to show that Y = X1 + X2 has density f (y ) = 2 y exp(y ), y 0, and f (y ) = 0 otherwise. (d) Suppose = 1. Let c > 0. Find the E (X1 |X1 > c). (c) Suppose = 1. Let c > 0. Show that the density of X1 |X1 > c is exp(x)/ {1 exp(c)} , x > c and 0 otherwise.

DEPARTMENT OF MATHEMATICS AND STATISTICS UMASS - AMHERST BASIC EXAM - PROBABILITY FALL 2010 Work all problems. 60 points are needed to pass at the Masters Level and 75 to pass at the Ph.D. level. Each question is worth 20 points. 1. Suppose you are told to toss a die until you have observed each of the six faces. (a) Let Y1 be the trial on which the rst face is tossed, Y2 be the number of additional tosses required to get a face dierent than the rst, Y3 be the number of additional tosses required to get a face dierent than the rst two distinct faces, . . ., and Y6 be the number of additional tosses required to get the last remaining face after all other faces have been observed. Find the distribution of each Yi, i = 1, , 6. (b) What is the expected number of tosses required in order to observe each of the six faces? 2. (a) Suppose X N (0, 1). Find the p.d.f. of Y = X 2 . (b) Let X1 and X2 be two independent random variables; X1 has an exponential distribution with mean 1, and X2 has an exponential distribution with mean 2. Find the p.d.f. of Y = 2X1 + X2 . (c) Let X1 and X2 be two independent exponentially distributed random variables, each with mean 1. Find P (X1 > X2 |X1 < 2X2 ). 3. Let Z be a standard normal random variable and let Y1 = Z and Y2 = Z 2 . (a) Find E (Y1 ), E (Y2 ), and E (Y1 Y2 ). (b) Find Cov (Y1 , Y2). Are Y1 and Y2 independent? 4. Suppose that X1 , , Xk are iid N (, 2 ), k 2. Denote:
k

U1 =
i=1

Xi , Uj = X1 Xj for j = 2, , k

(a) Show that U = (U1 , , Uk ) has a k -dimensional normal distribution; (b) Show that U1 and (U2 , , Uk ) are independent; (c) Express S 2 as a function of U2 , , Uk alone. and S 2 Hence, show that X k are independently distributed. (Hint: You may use the fact that S2 = 2 1 2 1i<j k 2 (Xi Xj ) ). 1

5. (a) Let {n , n 1} be a sequence of independently identically distributed random variables with E (1 ) = , V ar (1 ) = 2 < , and P (1 = 0) = 0. Prove that 1 + 2 + + n 2 , 2 2 2 1 + 2 + + n + 2 n ,

in probability. (Hint: you may use the theorem that says if Xn converges to X in probability and Yn converges to Y in probability, and if f is continuous, then f (Xn , Yn ) converges to f (X, Y ) in probability. If further X = a and Y = b are constants, then f only needs to be continuous at (a, b).). (b) Let Xn = n with probability 1/n 0 with probability 1 1/n.

Show that Xn converges in probability to zero, but E (Xn ) and V ar (Xn ) do not converge to zero.

Department of Mathematics and Statistics Basic Probability Exam January 2010 Work all problems. Show your work; explain your answers; state theorems used whenever possible. 1. A gene has two possible forms (alleles): A and a. Thus there are three possible genotypes: AA, aA, and aa. Number them 1, 2, and 3, respectively. Assume that their proportions in the population are p2 , 2pq , and q 2 , respectively (q = 1 p).

For a family with a father, a mother, and one child, let the random variables F , M , and C denote the genotypes of the father, mother, and child, respectively. For example, F is either 1, 2, or 3, according to the genotype of the father. Assume that F is independent of M , i.e. that the population mates randomly, and that the conditional distribution of C given (F, M ) is determined by the familiar rules of genetics. (Children inherit one gene from each parent; each parents gene has probability 0.5 of being chosen; the mothers contribution is independent of the fathers contribution.) Let pik = Pr[C = k | M = i], the conditional probability that the child is of type k given that the mother (or father) is of type i. Compute the nine probabilities pik in terms of p and q .

~ have a trivariate Gaussian distribution with mean vector 2. Let Y ~ and covariance matrix , where Y1 1 1 0 ~ = Y2 , Y ~ = 1 , = 1 . Y3 2 0 1 (b) What is the distribution of Y1 + Y2 + Y3 , including its name and associated parameters. 3. Suppose that X is a random variable with density (3x + 1)/8 on the interval (0, 2). Let Y be the area of a circle of radius X . Find the density of Y . R 4. (a) A continuous random variable Y takes values on the interval (0, ). Show E[Y ] = 0 Pr[Y y ] dy . Hint: Ry you may use the fact that y = 0 dz . P (b) A discrete random variable X takes values on the positive integers 1, 2, . . . . Show E [X ] = x=1 Pr[X x]. (a) For which values of are Y1 + Y2 + Y3 and Y1 Y2 Y3 statistically independent?

5. A family of densities is called a univariate natural exponential family if, for some function A(), the density of X given can be expressed as p(x | ) = h(x)exA() . Suppose that X has such a density. (b) Show that E[X ] = A0 (). (a) Show that the moment generating function MX | (t) = E[etX ] is e[A(+t)A()] .

Department of Mathematics and Statistics Basic Probability Exam August 2009 Work all problems. Show your work. Explain your answers. State the theorems used whenever possible. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level 1. An urn contains nine chips, ve red and four white. Three are drawn out at random without replacement. let X denote the number of red chips in the sample. Let Y denote the payment in dollars received by player, depending on X such that Y = (2)X . (a) (6 pt) Find the distribution of X . (b) (4 pt) Compute the expected payment of a player, i.e., that of Y .

2. Consider a random variable Y with probability density function (pdf) given by f (y ) = cey (a) (b) (c) (d)
2

/2

(5 pt) Find c. (5 pt) Derive the moment-generating-function of Y . (5 pt) Find the expected value and variance of Y . (10 pt) What is the pdf of Y 2 ?

<y <

3. Let X1 and X2 be independent standard normal random variables. Let U be independent of X1 and X2 , and assume that U is uniformly distributed over (0,1). Dene Z = U X1 + (1 U )X2 . (a) (5 pt) Find the conditional distribution of Z given U = u (b) (5 pt) Find the expected value of Z , E(Z) (c) (15 pt) Find the variance of Z , V(Z)

4. (15 pt) A blood test is 99 percent eective in detecting a certain disease when the disease is present. However, the test also yields a false-positive result for 2 percent of the healthy patients tested, who have no such disease. Suppose 0.5 percent of the population has the disease. Find the conditional probability that a randomly tested individual actually has the disease given that his or her test result is positive. 5. (a) (5 pt) State carefully the Central Limit Theorem for a sequence of i.i.d. random variables. (b) (5 pt) Suppose X1 , . . . , X100 i.i.d. Unif(0, 1). What is the standard , the mean of X1 , . . . , X100 ? deviation of X (c) (15 pt) Use the Central Limit Theorem to nd approximately the probability that the average of the 100 numbers chosen exceeds 0.56. You may use the approximation 1/ 12 0.3. 1

Department of Mathematics and Statistics Basic Probability Exam January 2009 Work all problems. Show your work. Explain your answers. State the theorems used whenever possible. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level 1. Ecologists are studying salamanders in a forest. There are two types of forest. Type A is conducive to salamanders while type B is not. They are studying one forest but dont know which type it is. Types A and B are equally likely. During the study, they randomly sample quadrats. (A quadrat is a squaremeter plot.) In each quadrat they count the number of salamanders. Some quadrats have poor salamander habitat. In those quadrats the number of salamanders is 0. Other quadrats have good salamander habitat. In those quadrats the number of salamanders is either 0, 1, 2, or 3, with probabilities 0.1, 0.3, 0.4, and 0.2, respectively. (Yes, there might be no salamanders in a quadrat with good habitat.) In a type A forest, the probability that a quadrat is good is 0.8 and the probability that it is poor is 0.2. In a type B forest the probability that a quadrat is good is 0.3 and the probability that it is poor is 0.7. (a) 4 pts On average, what is the probability that a quadrat is good? (b) 5 pts On average, what is the probability that a quadrat has 0 salamanders, 1 salamander, 2 salamanders, 3 salamanders? (c) 4 pts The ecologists sample the rst quadrat. It has 0 salamanders. What is the probability that the quadrat is good? (d) 4 pts Given that the quadrat had 0 salamanders, what is the probability that the forest is type A? (e) 4 pts Now the ecologists prepare to sample the second quadrat. Given the results from the rst quadrat, what is the probability that the second quadrat is good? (f) 4 pts Given the results from the rst quadrat, what is the probability that they nd no salamanders in the second quadrat?

2. A Poisson random variable with mean has the following p.d.f: f (x) = e x , for x = 0, 1, 2, . . . x!

(a) 11 pts Let X be Poisson with mean . Compute the moment generating function of X . It is known that: ey =
X yk

k=0

k!

(b) 7 pts If X1 , . . . , Xn are independent Poisson variables with means 1 , . . . , n , nd the moment generating function of Y =
n X

Xk .

k=1

(c) 7 pts What is the distribution of Y ?

3. Let X N(, 2 ). (a) 12 pts Show that the moment generating function of X is: MX (t) = exp(t + 2 t2 /2)
2 2 (b) 8 pts Show that if X1 N(1 , 1 ) and X2 N(2 , 2 ) and X1 and 2 2 X2 are independent, then X1 + X2 N(1 + 2 , 1 + 2 ).

2 2 4. (a) Let (X1 , X 2 ) be distributed uniformly on the disk where X1 + X2 1. p 2 2 Let R = X1 + X2 and = arctan(X1 /X2 ). Hint: it may help to draw a picture.

i. ii. iii. iv.

1 pt What is the joint density p(x1 , x2 )? 4 pts Are X1 and X2 independent? Explain. 15 pts Find the joint density p(r, ). 4 pts Are R and independent? Explain.

(b) Let (X1 , X2 ) be distributed uniformly on the square pwhose corners 2 + X 2 and are (1, 1), (1, 1), (1, 1), and (1, 1). Let R = X1 2 = arctan(X1 /X2 ). i. 1 pt What is the joint density p(x1 , x2 )? ii. 1 pt Are X1 and X2 independent? Explain. iii. 4 pts Are R and independent? Explain.

DEPARTMENT OF MATHEMATICS AND STATISTICS UMASS - AMHERST BASIC EXAM - PROBABILITY August 2008 Work all problems. Show all work. Explain your answers. State the theorems used whenever possible. 60 points are needed to pass at the Masters Level and 75 to pass at the Ph.D. level. exp(|x|) 1. Let X have the double exponential distribution with density f (x) = 1 2 for < x < . (a) (6pts) Find the moment generating function (MGF) of X . (b) (6pts) Compute the mean and variance of X using the MGF obtained in (a). (c) (6pts) Let X1 , , X100 be independent random variables, all of which 100 = 1 have the double exponential distribution. Let X i=1 Xi . Find 100 | < ) 0.95. such that P (|X

(d) (6pts) Find the distribution of Y = |X |.

2. Let X1 and X2 be independent, identically distributed random variables that have the common probability density function: f (x) = exp(x), x > 0. Let Y1 = X1 + X2 and Y2 = X1 X2 . (a) (6pts) Find the joint pdf of Y1 and Y2 . (b) (6pts) Find the marginal pdf of Y1 . (c) (6pts) Find the conditional pdf of Y2 , given that Y1 = y1 . 3. The hourly number of phone calls, X , received by a switchboard at a specic company is Poisson with parameter . varies independently from hour to hour according to the following exponential distribution: f () = exp(), > 0. Answers to the following questions may depend on . (a) (7pts) Find an integral expression for P (X = 4| 6). You do not need to evaluate the integral. (b) (7pts) Find E (X |) and its distribution. (c) (7pts) Use the preceding part to calculate E (X ).

(d) (7pts) Assuming that the number of phone calls to the switchboard is independent from hour to hour, how many hours would be expected to have exactly 3 phone calls during a 24-hour period? 1

4. Let X1 , , Xn be iid with density f (x) = (1 x) 1 , 0 < x < 1. Dene X(n) = max1in Xi . (a) (7pts) Find P (n (1 X(n) ) < x) for any xed and x (0, 1).

(b) (9pts) State the denition of convergence in distribution and nd a value of so that n (1 X(n) ) converges in distribution. n 1/(1 + )) converges n = n1 n Xi . Show that n(X (c) (7pts) Let X i=1 in distribution and say what it converges to. 2 n (d) (7pts) Let Tn = X . Find an approximate distribution of Tn as n goes to innity.

DEPARTMENT OF MATHEMATICS AND STATISTICS UMASS - AMHERST BASIC EXAM - PROBABILITY WINTER 2008 Work all problems. 60 points are needed to pass at the Masters Level and 75 to pass at the Ph.D. level. 1. Suppose an individual can be either diseased (D) or healthy (H). A medical diagnostic test can say that an individual is diseased (+) or healthy (-). In a particular population, the probability an individual is D and the test is + is 0.009, the probability an individual is D and the test is - is 0.001, the probability an individual is H and the test is + is 0.099,

and the probability an individual is H and test is - is 0.891. (a) (10 pts) Suppose an individual is randomly selected from that particular population. What is the probability that she is healthy? (b) (5 pts) Given that an individual is diseased, what the probability that the test is +? (c) (5 pts) Suppose an individual gets the test, and the test is positive. What is the probability that the individual is diseased? 2. Suppose X U (0, 1). Note that f (x) = 1 when 0 x 1 and f (x) = 0 otherwise. (a) (5 pts) What is the probability that X is less than 1/2? (b) (10 pts) What is the second moment of 1/X ? (c) (10 pts) Suppose that G(y ) is the cumulative distribution function (CDF) of a continuous random variableRwith probability distribution y function (PDF) g (y ). Note that G(y ) = g (t)dt. Let G1 (p) be the inverse of the CDF. Let Z = G1 (X ). Derive the PDF of Z. 3. Suppose Y has PDF f (y ) = c exp (y/2) when y > 0 and f (y ) = 0 otherwise. (a) (5 pts) What is c? (b) (5 pts) Derive the moment generating function of Y. (c) (5 pts) Use the moment generating function to nd E (Y k ) for k = 1, 2, 3. (d) (5 pts) Prove that E (Y k ) E (Y )k for k > 1. It is OK to cite a theorem. (e) (5 pts) What is the PDF of 3Y ? 1

(f) (5 pts) Let X = Y 1Y >3 3 where 1Y >3 = 1 if Y > 3 and 0 otherwise. Derive E (X ). 4. Suppose Xi , i = 1, . . . are independent and identically distributed with mean and variance 2 < . Let Zi = (Xi )/. Pn (a) (5 pts) Let Mn = n1 i=1 Zi . Prove that limn P r(|Mn | > 0) = 0. For partial credit, you may just state a theorem. (b) (10 pts) Let f (n) be a function of n. Find an f (n) so that the variance of f (n)Mn = 1. (c) (10 pts) Let A be a constant. State and apply a theorem that will allow you to determine limn P r(f (n)Mn < A).

DEPARTMENT OF MATHEMATICS AND STATISTICS UMASS - AMHERST BASIC EXAM - PROBABILITY FALL 2007 Work all problems. 60 points are needed to pass at the Masters Level and 75 to pass at the Ph.D. level. 1. Suppose Xi U (0, 10), i = 1, . . . , n. Note that f (x) = 1/10, 0 x 10, E (X ) = 5 and V ar(X ) = 100/12. (a) (5 pts) Write down an expression for the probability that all Xi s are greater than 1. Pn (b) (10 pts) Let X = n1 i=1 Xi . Find an expression that involves X and known constants that converges to a N(0,1) distribution as n gets large. What theorem is your result based on? (c) (10 pts) Find the mean of 1/Xi . 2. Let X and Y be random variables with pdf: fX,Y (x, y ) = 1, 0 x 1, x y x + 1, and fX,Y (x, y ) = 0 otherwise. (a) (5 pts) Show that f (x, y ) is a density. (b) (5 pts) Are X and Y independent? Why or why not? (c) (5 pts) Find fX (x). (d) (5 pts) Find E(Y |X = x).
ind. i.i.d.

(e) (5 pts) Find Pr(X + Y < 0.5)

ind.

3. Suppose X Bin(n, p) and Y Bin(m, p). Note that the Bin(k, q ) probk x ability mass function is x q (1 q )kx , x = 0, . . . , k, 0 q 1. (a) (15 pts) Find the conditional distribution of X given that X + Y = j. Give the probability mass function of this conditional distribution and identify it by its family name and parameters. (b) (5 pts) What is P r(X > Y )? (c) (5 pts) What is P r(X/Y = 1)? 4. Suppose X |Y = y Poisson(y ) and Y Unif(0, 1). (The P oisson() pmf is f (x) = exp()x /x! when > 0 and x = 0, 1, 2, . . . and zero otherwise.) (a) (5 pts) What is the mean of X ? (b) (10 pts) What is the marginal distribution of X ? (c) (10 pts) What are E(XY ) and Var(XY )?

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM PROBABILITY January, 2007 Work all problems. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level. 1. (25 points) Suppose that X has density function f (x) = b(1 x2 ), |x| < c, and f (x) is zero otherwise. (a) Find constants b and c so that f (x) is a density function. (Note that there is more than one right answer.) (b) Derive the rst and second moments of X. (c) Derive the conditional density of X given that X is greater than 0. 2. (15 points) Suppose we have three cards. The rst one is blank on both sides, the second has an X on one side and is blank on the other, and the third has an X on both sides. We run an experiment where we choose one card at random and then look at one side of the chosen card at random. (a) What is the probability that you see an X? (b) What is the probability that you see an X and the other side has an X too? (c) Suppose we run the experiment above and we see an X. Given that outcome, what is the probability that the other side of the card has an X on it too? 3. (20 points) Let X be a random variable with E (X ) = and Pr(X = ) < 1. (a) Is E {exp(X )} equal to, less than, or greater than exp(EX ) = exp() in general? Why? (b) Now, suppose X N (0, 1) with density
1 2

i. What is the moment generating function of X ? ii. Use the previous result (part i) to derive E {exp(X )} in this case.

exp(x2 /2).

4. (25 points) Let Y1 , . . . , Yn be a random sample from a Poisson distribution with rate P and P r(Yi = k ) = exp()k /k !, k = 0, 1, . . . . Let Y n = n1 n i=1 Yi .
b n = n 1 n (b) Let Zi = 1 if Yi > 0 and Zi = 0 otherwise. Let i=1 Zi . Find a and 1/ 2 b so that n (n )/ converges in distribution to a standard normal. P

1/2 (a) State the central limit theorem in general, and then use it to argue that n (Y n )/ converges in distribution to a standard normal.

(c) Given that Y n converges to in probability as n goes to innity, dene a function of Y1 , . . . , Yn that converges in probability to in the previous question as n goes to innity. Explain your answer, and name the results that you use to show convergence in probability.

5. (15 points) Let X have an exponential distribution with CDF 1 exp(x/), x 0, > 0.

(a) What is the pdf of X ? (b) Suppose that Y is independent of X and has the same distribution. Show that the 1 distribution of Z = X + Y is gamma(2, ) with density f (z ) = (2) z exp(z/). 2

DEPARTMENT OF MATHEMATICS AND STATISTICS UMASS - AMHERST BASIC EXAM - PROBABILITY FALL 2006 Work all problems. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level. 1. The logistic function is p = f (x) =
1 1+exp(x) ,

< x < , 0 < p < 1.

1 2

(a) (10 pts) Suppose X N (0, 2 ) with pdf the distribution of P = f (X )?

exp

x2 2 2

. What is

(b) (10 pts) Find a distribution for X so that P = f (X ) has a Unif(0,1) distribution. For full credit, you should prove that your choice works too. 2. Let Y1 , . . . , Yn be a random sample from some distribution with P r(Yi = bn = n1 Pn Yi . 1) = , 0 < < 1. Let i=1

(b) (15 pts) Dene a bn that converges in probability to as n goes to innity. Explain your answer, and name the results that you use to show convergence in probability.

(a) (15 pts) State the central limit theorem in general, and then use it bn )/ converges in distribution to a standard to argue that n1/2 ( normal. Dene as a function of .

3. Let X = 1 with probability p and X = 0 with probability 1 p. Let Y be another random variable that can also be either zero or one. Let P r(Y = 1|X = 1) = r and P r(Y = 1|X = 0) = s. (a) (10 pts) Find P r(Y = 1) and E (Y ). (b) (10 pts) Find V ar(Y ). (c) (5 pts) What is the distribution of Z = X/(Y + 1)? 4. Let X be a random variable with E (X ) = and P r(X = ) < 1. (a) (10 pts) Does E X 0.5 = (EX )0.5 = 0.5 ? Why or why not? If not, give an inequality.
x 1 (b) (15 pts) Suppose X Exp() with pdf f (x; ) = exp ,x > 1 .5 0, > 0. What is E X ? Hint: It may help to recall that the

gamma distribution is g (x, , ) =

x1 exp(x/ ) . ()

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM PROBABILITY August 31, 2005 Work all problems. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level. 1. (25 points) Suppose that X and Y have joint density function f (x, y ) = c(x+y )I(0,1) (x)I(0,1) (y ). (a) What must the constant c be in order for f (x, y ) to be a density function? (b) What are the mean and variance of X ? (c) Find the conditional distribution of Y given X = x. 2. (15 points) Suppose the number of customers Y entering a bank in a one hour period is distributed Poisson with mean 10 (pmf: e10 10y /y !). Suppose that given Y = y the total time T needed to service the y customers has an exponential distribution with mean 3y (pdf: et/(3y) /(3y )). Find the unconditional mean and variance of T . 3. (15 points) Let X1 and X2 be iid with Uniform(-1,1) distributions.
2 (a) Find the pdf of Y = X1 .

(b) Let Z = X1 X2 . Are Y and Z independent? Why or why not? 4. (20 points) Two players, A and B , are playing a game. The game consists of a series of trials, and the rst player to win two more trials than the other will win the game. Suppose that each trial is iid, and the probabilities that either player wins a trial are: P r(A wins a trial) = p P r(B wins a trial) = q = 1 p. (a) What is the probability that A wins in exactly 6 trials? (b) What is the probability that A wins in exactly 2n trials? (c) What is the probability that A wins? 5. (25 points) Let Xt be the number of sh that a particular shing boat catches on trip t. Suppose that the number of sh caught is independent from trip to trip, the mean number of sh caught on any particular trip is 49, and the variance is also 49. (a) Over the course of the season of 100 trips, what is the approximate probability that the mean number of sh that are actually caught is no less than 48? (You may leave your answer as a formula.) (b) Let Yt be the prot from trip t. Due to market forces suppose that Yt = log(Xt ). Is the mean of Yt greater than, less than, or equal to log(49) or do you need more information? (and why?) (c) Next, make the additional assumption that the number of sh caught on a particular trip has a Poisson distribution. What is the probability that no sh are caught on at least one out of 250 trips? (You may leave your answer as a formula.)

(d) A slightly more sophisticated model posits that on overcast days the expected number of sh caught are iid with mean o and standard deviation o . On sunny days the number caught are iid with mean and standard deviation s and s . Suppose that the probability of an overcast day is p. What are the marginal mean and variance of the number of sh caught under this model?

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM: PROBABILITY JANUARY 2005 Work all problems. Sixty points are needed to pass at the Masters level and seventy-ve at the Ph.D. level 1. (20 points) A Poisson random variable with mean has pmf: f (x) = exp()x , x = 0, 1, 2, . . . x!

(a) Let X be Poisson with mean . Compute the moment generating function of X. It may help to remember that: exp(y ) =
X yk

k=0

k!

(b) Let X1 , X2 be independent Poisson variables with means 1 , 2 , and let a1 , a2 be positive constants. What is the moment generating funcP2 tion of Y = i=1 ai Xi ? (c) What is the distribution of Y ? 2. (20 points) Let X and Y have the joint density function f (x, y ) = c, 0 x y 1. (a) Find c. (b) What is the marginal pdf of X ? (c) Are X and Y independant? Why or why not. 3. (20 points) A weed is exposed to a known dose of weed killer (X ). The weed either survives (Y = 1) or dies (Y = 0). Suppose the weed has an unobserved natural tolerance to the weed killer (denoted by Z ), and assume that this tolerance has a standard normal distribution. Further, suppose that the weed survives if an only if Z > X. Note that Z is random and X is xed. (a) What is the probability that the weed survives? (b) What is the distribution of Z given that the weed is not killed? (c) Derive the moment generating function for Z given that Y = 1. You may express your answer as an unsimplied integral that involves the standard normal pdf (()), cdf (()), and other functions. E (Z |Y = 1) = 1 (X ) (X ) = . 1 (X ) ( X )

(d) Use the result from the previous part to derive:

4. (20 points) A game is played with n coins. Coins 1 through n 1 are fair and land heads with probability 1/2. The nth coin has two heads; it always lands heads up. The game consists of drawing coins blindly from the bag, ipping them, and replacing them back into the bag. (a) Let T be the number of coins that must be drawn and ipped until one sees a total of 3 tails. What is the mean of T ? (b) What is the probability that T strictly exceeds 6? (c) Suppose one coin is drawn from the bag, ipped, and it lands heads. What is the probability that it is the unfair coin (the nth coin)? 5. (20 points) Joe walks to and from work each day. The commute to work, Ti , has mean T and variance T 2. The commute from work, Fi , has mean F and variance F 2. Further, suppose Ti and Fi are mutually independent. Let Di = Ti Fi . P100 (b) Let D100 be the mean difference over 100 days: D100 = i=1 Di /100. Write an approximation for the probability that D100 is negative. (a) What are the mean and variance of Di ?

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM - PROBABILITY FRIDAY, SEPTEMBER 3, 2004 Work all problems. Sixty points are needed to pass at the Masters level and seventy-ve at the Ph.D. level. 1. (20 points) Let X have a Poisson distribution. (a) Give the probability mass function for X . (b) Derive the moment generating function of X . (c) Derive the mean and variance of X . (You can do this using b) if you want, but you dont have to.) 2. (20 points) Suppose a plant is manufacturing a product using three dierent machines 1, 2 and 3 and large inventory has been built up which consists of 30% from 1, 20% from 2 and 50% from 3. Suppose 100 items are selected. With a large inventory we will treat the selections as independent where on each draw the probability is .3, .2 and .5 of getting an item from machine 1, 2 or 3, respectively. (a) Derive the joint distribution of X1 , X2 , X3 where Xj = the number of itemsselected from machine j . (b) Suppose that each item has a lifetime, and the distribution of lifetimes has mean 5 and standard deviation 1 for machine 1; mean 6 and standard deviation .5 for machine 2; and mean 7 and standard deviation .8 for machine 3. Let T denote the total lifetime of the 100 items selected (see part a). Find the expected value and variance of T . 3. (20 points) Let X = (X1 , X2 , . . . Xn ) be a vector valued random variable and let Ti = Ti (X ), i = 1, 2, . . . d. Suppose that the probability density function of X , parameterized by = (1 , . . . , d ) in an open interval in Rd , is given by g (x) = h(x) exp{ where it is assumed that
Z
Rd d X i=1

i Ti (x) K ( )},

h(x) exp{

d X i=1

i Ti (x)}dx < +.
d X i=1

(a) Show that K ( ) = log (b) Show that

h(x) exp{

i Ti (x)}dx

E [Ti ] = 1

K ( ), i

(c) Show that cov(Ti , Tj ) = 2 K ( ). i j

4. (25 points) Let X1 and X2 be independent exponential distributions with mean 1. Dene Y1 = X1 + X2 and Y2 = X1 . (a) Derive the joint distribution (giving the joint density suces) of (Y1 , Y2 ) (b) Find the conditional distribution of Y1 given Y2 = y2 . (c) Give an approximation to the variance of Y1 /Y2 . 5. (15 points) Let (X1 , . . . Xn ) and (Y1 , . . . , Yn ) be two dierent i.i.d. random sequences with E [Xi ] = X , E [Yi ] = Y , Var(Xi ) = X 2 > 0, Var(Yi ) = Y 2 > 0. We denote = n1 (X1 + . . . + Xn ), X = n1 (Y1 + . . . + Yn ). Y

Identify and justify the limiting distribution of X ) + Y n(X as (n +). You can appeal to well known results but state clearly what results you are using and how they apply here.

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM PROBABILITY August 27, 2003 Work all problems. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level. 1. (20 pts) Suppose 3 boys and 3 girls stand in a line in random order. (a) What is the probability that the subsequence of boys is ascending in height and the subsequence of girls is ascending in height. (b) What is the probability that the sequence alternates between boys and girls? (c) What is the probability that the three boys are not together? 2. (20 pts) Let X N (, 2 ). (a) Show the MGF of X is MX (t) = et+

2 t2 /2

2 2 (b) Show that if X1 N (1 , 1 ) and X2 N (2 , 2 ) with X1 and X2 independent then 2 2 X1 + X2 N (1 + 2 , 1 + 2 )

3. (20 points) Suppose each of 100 genes has probability 0.2 of mutating in a given time period, and the genes act independently. Let N = the number of the genes which mutate. (a) Derive the exact distribution of N . (b) State the CLT (central limit theorem) and use it to approximate P (N < 10). 4. (20 pts) The daily number of visits to a particular website, X , is Poisson with parameter . varies independently from day to day according to an exponential distribution: f () = 1(0,) ()cec (b) What is the distribution of the random variable E (X |) (a) Find an integral expression for P (X = 3, 5). Dont evaluate the integral.

(c) Use the preceding part to compute E (X ). (d) Assuming the number of visits to the website is independent from day to day, how many days would be expected to have exactly 2 visits over the course of a year? 5. (20 pts) Let X1 and X2 be independent random variables each having an exponential distribution with mean 1. Let Y1 = X1 /X2 Y2 = X2 (a) Without any calculation give the marginal distribution of Y2 and the conditional distribution of Y1 given Y2 = y2 . (b) Find the joint pdf of Y1 and Y2 . (c) Find the marginal pdf of Y1 .

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM PROBABILITY August 28, 2002 Work all problems. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level. 1. (20 pts) Choose a point P in the plane by letting the x and y coordinates, Px and Py , be independent N (0, 1) random variables. (a) What is the joint density function, f (x, y ), of Px and Py ? (b) Create the point Q by rotating P clockwise by radians around the origin. Express the coordinates of Q, Qx , Qy as a function of the coordinates of P and nd the joint density function for Qx and Qy . (c) Are Qx and Qy independent? 2. (20 pts) The number of eggs Y laid by an insect has a Poisson distribution with expected value E (Y ) = . Given the insect lays Y = y eggs, the number of those surviving, X , has a Binomial distribution with sample size y and probability p. (a) Compute the overall expected number of eggs that will survive. You must justify your answer. (b) Show that V (X ) = E (X ). (c) Suppose that the average number of eggs laid by an insect is a function of the age . In particular, assume that has an exponential distribution with parameter = E (). Compute the overall expected number of eggs that will survive as a function of . You must justify your answer. 3. (20 pts) A rat is exposed to a known dose of X units of poison and either survives (Y = 1) or dies (Y = 0). Suppose the rat also has an unobserved natural tolerance to the poison (Z ), and assume that this tolerance has a standard normal distribution. Further, suppose that the rat survives if and only if Z > X . Note that X is a xed quantity, and Z is random. (a) What is the probability that the rat survives? (b) What is the distribution of Z given that Y = 1? (c) Derive the moment generating function for Z given that Y = 1. You might want to express you answer in terms of or where () is the standard Gaussian PDF and () is the standard Gaussian CDF. (d) Again, assume that the rat survives. Use the moment generating function derived in part (c) to show that (X ) (X ) E (Z |Y = 1) = = 1 (X ) (X )

4. (25 pts) Suppose a person is at risk for two ways of dying, dying from cancer or dying from a heart attack. The time until a heart attack is modeled with an exponential distribution with mean 1 months, and the time until death from cancer is modeled with an exponential distribution with mean 1 months. Let the two times be independent. We will only observe the time until death (the minimum of the two exponential random variables) and the cause of death. The larger of the two random variables will not be observed. (a) What is the distribution of the observed time until death? (b) Find the probability that the person dies from cancer. (c) Show that the probability that the person dies of cancer within k months is ek(+) }.
{1 +

(d) Use parts (a), (b), and (c) to determine whether the time until death is independent of the cause of death. 5. (15 pts) Let X1 , X2 , . . . be a sequence of independent random variables, with E (Xi ) = i and 2 V (Xi ) = i , and dene Yn =
Pn Pn
i=1 (Xi

i ) . 2 1 /2 i=1 i )

It can be shown that, under suitable conditions,

n

lim P (Yn y ) = (y )

where (x) denotes the cumulative distribution function of the standard normal distribution. Suppose that a computer test can generate an innite number of questions arranged in a sequence from the easiest to the most dicult. Suppose also that the probability that a student will answer the ith question correctly is pi = 1 i+1

and that all questions will be answered independently. Approximate the probability that a student will answer correctly at least 10 out of 100 questions.

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM PROBABILITY January 25, 2002 Work all problems. 60 points are sucient to pass at the Masters level and 75 to pass at the Ph.D. level. 1. (24 pts) Let Q be the unit square in the xy-plane and A a region in Q. Let be the area of A. Choose n points independently and unifromly distributed over Q. Let Xi = for i = 1, . . . , n. (a) Find the expected value, E (Xi ), and the variance, V (Xi ) for 1 i n. = 1 Pn Xi . If n is large, X is, with high probability, a good approximation to (b) Let X i=1 n what number? Why? (c) Use the CLT to determine how large n should be so that | .01) = .99 P (|X when = .2. | > .01) Does your answer (d) Use Chebychevs inequality to give an upper bound for P (|X require that n be large? 2. (18 pts) Let X have pdf f (x) =
( (

1 if the ith point lies in A 0 otherwise

ex x > 0 0 otherwise

and let Y be the greatest integer less than or equal to X . (a) Find the probability distribution of Y . (b) Compute E (Y ). (c) Compute the variance of Y . 3. (18 pts) Let X1 and X2 be random variables with joint pdf f (x1 , x2 ) = Let Y1 = X1 /X2 Y2 = X1 X2 (a) Sketch the region S consisting of all points (y1 , y2 ) such that fY1 ,Y2 (y1 , y2 ) > 0. (b) Find the joint pdf of Y1 and Y2 . (c) Find the marginal pdf of Y1 .
(

4x1 x2 0

for 0 < x1 < 1 and 0 < x2 < 1 otherwise

4. (12 pts) A Poisson random variable with mean has pdf f (x) = for x = 0, 1, 2, . . . (a) Let X be Possion with mean . Compute the moment generating function of X . It may help to remember that X yk ey = k=0 k ! (b) If X1 , . . . , Xn are independent Poisson variables with means 1 , . . . , n , what is the moment P generating function of Y = n k=1 Xk ? (c) What is the distribution of Y ? 5. (18 pts) Let X be a standard normal random variable, and let Y be a random variable such that E (Y |X = x) = ax + b, for some known a and b, and V (Y |X = x) = 1. (a) Show that E (Y ) = b. (b) Show that V (Y ) = 1 + a2 . (c) Show that E (XY ) = a. 6. (12 pts) Three molecules of type A, three of type B, three of type C, and three of type D are to be linked together to form a chain molecule. One such chain molecule is ABCDABCDABCD. (a) How many such chain molecules are there? (b) Suppose all of the dierent molecule structures are equally likely. What is the probability that all three molecules of each type end up next to each other (as in BBBAAADDDCCC)? e x x!

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM PROBABILITY August 30, 2001 Work all problems. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level. 1. (17 points) In a childrens game a six-sided die is rolled until all six faces have come up. Let T be the number of rolls it takes for this to happen. For example, for the sequence: 11243665 . | {z . . }
T =8

(a) Compute the expectation of T . (b) Compute the variance of T .

2. (16 points) Let X have a Poisson distribution with parameter , P (X = x) = for x = 0, 1, . . .. (a) Derive the moment generating function of X . (b) Suppose X1 , . . . , XN are independentP random variables with Xi Poisson(i ) What is the moment generating function of Y = N i=1 Xi ? (c) What is the distribution of Y ? You must justify your answer. 3. (17 points) An advertising agency sends out periodic mailings to two clients, American Buzz Saw Inc., and Baileys Fine Fabrics. For each mailing, the president of the agency sends a letter by messenger to her secretary; however, the letter gets lost with probability 1/4. If the secretary receives the letter, he sends a copy to each of the two clients. The letter to ABS has probability 4/5 of being received while the one to BFF has probability 1/6 of being lost. The letters to the clients, if sent, are received or lost independently of each other. Let S be the event secretary receives letter, A be the event ABS receives letter, and B be the event BFF receives letter. Thus, for example P (A|S ) = 4/5. If both clients receive their letters, the mailing is deemed successful. (a) Find P (B |S c ). (b) Find P (Ac ) and P (S |Ac ). e x x!

(c) Determine whether or not the events A and B are independent.

(d) Suppose there are n mailings and that the behavior of the system is independent for each item. Find the mean and variance of the number of successful mailings.

4. (17 points) In this problem you may use any properties of the standard normal density that you need. Let 1 x2 2xy + y 2 f (x, y ) = exp { } 2(1 2 ) 2 1 2 for x, y < where 1 < < 1. (a) Verify that f (x, y ) is a probability density function in the xy -plane. (b) Let (X,Y) be the random vector whose joint density is f (x, y ). Compute E (X ). (show the computation) (c) Find the marginal distribution of Y . (d) Find the conditional density of X given Y = y . Which distribution is it? 5. (17 points) Let X1 and X2 be independent, identically distributed random variables having common pdf f (x) = Let Y1 = X1 + X2 Y2 = X1 X2 (a) Find the joint pdf of Y1 and Y2 . (b) Find the marginal pdf of Y1 . What is the distribution of Y1 ? (c) Find the conditional pdf of Y2 , given Y1 = y1 , for some xed y1 . 6. (16 points) Joe and Chris go the the Blue Wall every day and ip a coin to decide who will buy coee for the other at a price of $1. Joe says they neednt keep track of the history since things will average out and not matter in the long run. Let Tn be Joes debt to Chris after n trips to the BW (Tn could be negative). For all of the following questions you must justify your answers. Let c > 0. (b) Give a function s(n) so that = limn P (|Tn /s(n)| < c) satises 0 < < 1. What is ? (your answer neednt be a number, but should be computable from a table). (d) Do you agree with Joes assertion? (c) What is limn P (|Tn | < c)? (a) What is limn P (|Tn /n| < c)?
(

ex 0

if x 0 if x < 0

DEPARTMENT OF MATHEMATICS AND STATISTICS UNIVERSITY OF MASSACHUSETTS BASIC EXAM PROBABILITY January 22, 2001 Work all problems. 60 points are needed to pass at the Masters level and 75 to pass at the Ph.D. level. 1. (20 pts) Two cards are drawn without replacement from a standard deck. (a) Assuming that the order in which the cards are drawn is important, describe an appropriate sample space for this situation. (b) Let A1 be the event rst card is an ace, and A2 be the event second card is an ace. Use the denition of conditional probability to compute P (A2 |A1 ). (c) Consider now an arbitrary sample space and two events C and B in , with P (C ) > 0. Suppose that C1 , C2 , . . . , Ck are disjoint sets, P (Ci ) > 0, with C = k i=1 Ci . Further suppose that P (B |Ci ) = P (B |C1 ) for i = 2, . . . , k . Show that P (B |C ) = P (B |C1 ). (d) Returning to the card experiment, let B1 be the event rst card is ace of spaces. Compute P (A2 |B1 ). How would the answer change if the rst card were the ace of diamonds. 2. (20 pts) Consider the following problems involving independent ips of fair coins. (a) Flip a coin until the last two ips are HT and let N be the number of ips required. What is the pdf of N ? (b) Begin by ipping k coins simultaneously. After the rst simultaneous ip remove all the coins which showed heads and ip the remaining coins simultaneously. Continue this process until no coins are left and let T be the number of the last simultaneous ip. Compute the cdf and pdf of T . 3. (20 pts) Let X1 , X2 , and X3 be independent random variables such that Xi has a Gamma distribution with paramters i , i . That is, Xi has density fi (x) = 1(0,) (x) where i > 0 and i > 0. Let X1 X1 + X2 + X3 X2 Y2 = X1 + X2 + X3 Y3 = X1 + X2 + X3 Y1 = (a) Find the joint density of Y1 , Y2 , Y3 . (b) Find the marginal joint density of Y1 , Y2 . (c) Show that (Y1 , Y2 ) and Y3 are independent. 4. (15 pts) From an urn containing 10 balls numbered 0 through 9, n balls are drawn with replacement. Let Xi = 1 if the ith draw yields the ball numbered 0, and Xi = 0 otherwise, i = 1, . . . , n. (a) What does the weak law of large numbers tell you about the occurrence of 0s in the n i i 1 i x x e (i )

(b) Use the central limit theorem to nd an approximate probability that, among the n balls thus chosen, the ball numbered 0 will appear between (n 3 n)/10 and (n + 3 n)/10 if n = 100. 5. (25 pts) (a) A random variable has a 2 ( ) distribution if its pdf is f (x) = with MGF
(
1 x /21 ex/2 2 /2 ( /2)

x>0 otherwise

/2 1 MX (t) = 1 2t P 2 Let X1 , X2 , . . . be independent with Xi (i ) What is the pdf of Y = n i=1 Xi ? (b) A random variable X has moment generating function

1 1 1 MX (t) = et + e2t + e5t 2 4 4 What is the distribution of X ? Why?