University of London 2013

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~~ST3133 ZA d0

This paper is not to be removed from the Examination Halls



UNIVERSITY OF LONDON ST3133 ZA


BSc degrees and Diplomas for Graduates in Economics, Management, Finance and the
Social Sciences, the Diplomas in Economics and Social Sciences and Access Route


Advanced Statistics: Distribution Theory


Friday, 10 May 2013 : 10.00am to 12.00pm


Candidates should answer all FOUR questions: QUESTION 1 of Section A (40 marks) and all
THREE questions from Section B (60 marks in total). Candidates are strongly advised to
divide their time accordingly.

Statistical tables are provided after the final question on this paper.

A calculator may be used when answering questions on this paper and it must comply in all
respects with the specification given with your Admission Notice. The make and type of
machine must be clearly stated on the front cover of the answer book.



PLEASE TURN OVER
Section A
Answer all three parts of question 1 (40 marks in total)
1. (a) The joint probability density function of (X, Y ) is (note that x < 2y in the range)
f
X,Y
(x, y) =

kxy
2
, 0 < x < 2y < 1;
0, otherwise.
i. Show that k = 80. [4 marks]
ii. Find P(X > Y ). [5 marks]
iii. Find E(X). [5 marks]
(b) A product is faulty with probability 0.1, and is intact with probability 0.9. In
an inspection 10 products are randomly selected. If at least 2 are found faulty,
an alert is raised.
i. Find the probability that an alert is raised in an inspection. [4 marks]
ii. Find the probability that in 5 independent inspections, there is at least one
alert raised. [3 marks]
iii. Given an alert is raised, what is the probability that there are 2 faulty
products exactly? [4 marks]
(c) Let Y be a positive random variable with an absolutely continuous probability
density f
Y
(y) and nite mean .
i. Prove the Markov inequality
P(Y > a)

a
,
where a > 0. [4 marks]
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Question continues on next page
ii. Let X Exp(1). Show that the moment generating function of X is
M
X
(t) =
1
1 t
,
stating clearly the range of t where this is valid. [5 marks]
iii. Using i. and ii. by putting Y = e
tX
, show that
P

X >
log a
t

1
a(1 t)
,
where the range of t should be stated again.
By putting a = e
t
and calculating P(X > 1), show that
xe
x
1
for any x > 0. [6 marks]
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Section B
Answer all three questions in this section (60 marks in total)
2. Let X and Y be Exp() random variables with X independent of Y . That is,
f
X
(x) = e
x
, x > 0.
Dene V = X/Y , U = Y .
(a) Find the joint density function f
U,V
(u, v) of (U, V ). State clearly the range
of (u, v) where the density function is non-zero. [5 marks]
(b) Hence show that the density function f
V
(v) of V is
f
V
(v) =
1
(v + 1)
2
, v > 0.
. [5 marks]
(c) For k > 0, nd P(kY < X < 2kY ). [5 marks]
(d) Find k to maximize the probability in part (c). You are not required to
perform the second derivative test. [5 marks]
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3. Let N Pois() be the number of vehicles passing through a particular street
on a weekday, while M Pois() the same number on a weekend. N and M are
independent of each other.
(a) Show that the moment generating function of N is
M
N
(t) = exp((e
t
1)), t R.
. [4 marks]
(b) A vehicle is either a public transport or a private car, with probability p
and q = 1 p respectively. Let X
i
, Y
i
Bernoulli(p) be independent of
each other and N and M for all i. Write
G =
N

i=1
X
i
, H =
M

i=1
Y
i
.
What do G and H represent? Write down the meaning for N G and
M H as well. [4 marks]
(c) Find the joint moment generating function of G and H, stating clearly the
range of validity. What are the distributions of G and H? [7 marks]
(d) Find Var(G|N = 100). You can use the formula for the mean of a Bernoulli(p)
random variable without proof. If the variance of a Bernoulli(p) random
variable is needed, you need to derive it explicitly. [5 marks]
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4. In a game, two players alternately pick a ball from an urn at random, which
contains 2 red balls and 8 blue balls. If a blue ball is picked, it is put back into
the urn and the other player then picks a ball. If a red ball is picked, then the
player has won the set. The red ball is then put back into the urn, and the player
who lost the set picks the rst ball of the next set. The winner is the rst player
to win 3 sets, so the game has a maximum of 5 sets.
At the beginning of the rst set you are the rst to pick a ball. Let N be the
total number of sets played, and Y
i
, i = 1, . . . , N be the total number of balls
drawn at set i.
(a) Write down P(Y
i
= y), y = 1, 2, . . .. Show that the probability you win the
rst set is
5
9
. (Hint: you winning the rst set means Y
1
is odd) [5 marks]
(b) What is the probability that you win 3 sets in a row? Show that
P(N = 3) =
16
81
.
[5 marks]
(c) Show that P(N = 4) =
280
729
. Hence nd P(N = 5). [10 marks]
END OF PAPER
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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Dennis V. Lindley, William F. Scott, New Cambridge Statistical Tables, (1995) Cambridge University Press, reproduced with permission.
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