Assignment 5

(Markov,Chebyshev,WLLN,MGF,Chernoff,CF,CLT,Convergence)

PRP 2017
October 22, 2017

Questions (These are apart from those done in class)

1. Let Xn , n = 1, .. and X be iid RVs. Let Sn denote the sample mean. Show that

E(|X|)
P (|Sn | a) .
a

2. Borel-Cantelli Lemma : Let Ei , i = 1, 2, .. be a sequence of events such that n=1 P (En ) < . Then
prove that the probability that infinitely many of them occur is 0. (Hints: Use Indicator function for
each
event I(En ) and use Markov Inequality. The probability that more than of the events occur is
P ( n=1 I(En ) )).

3. Let X U nif orm[1/2, 1/2]. Find its MGF and use it to verify its mean.
4. Let X and Y be independent Poisson RVs with means 2 and 3 respectively. Find PMF of Z = X + Y using
MGF or Characteristic functions.
5. A company makes ovens. Let the probability that a toaster oven is damaged (in the manufacturing process)
be p=0.05. Assume different ovens get damaged independently. In one week, the company makes 2000 of
such ovens. What is the approximate probability that in this week more than 109 ovens are damaged ?
6. Prove that fourier transform of Standard normal distribution is another Gaussian function (ie of the form
aeb(c) for constants a, b, c.
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7. (*) Consider a Gaussian distributed RV X with mean , variance 2 . The RV Y = eX is said to be distributed
log-normally. The log-normal distribution is found to be a good model for length user comments on social
networks, amongst other things.
What is the pdf of RV Y ?
Show that while all the moments of RV Y exist, the MGF itself does not exist.

2 ) , x R. Prove that all moments of this random variable

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8. (*) A Cauchy distribution is given as f (x) = (1+x
are undefined
cos(tx) or infinite. Show however the characteristic function exists and compute it. You can use
tb
0 b2 +x2 dx = 2b e , t 0.

9. Let the MGF MX (t) = (q + pet )n for some positive p, q with p + q = 1. Then prove that X has binomial
distribution with parameters n, p. Find the mean and variance using the MGF.
10. Do problems from Probability through Problems book : 11.22-24, 11.28-29, 11.3, 11.13-14.
11. Do problems from Prob through Problems : 12.5-12.6, 12.11, 12.15,12.20-22. (see next page)

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