Applied Probability

Spring 2015
Take Home Final Exam
Due: Friday May 1, High Noon (in my mailbox)
Directions: Show all work to receive possible partial credit. Unsupported guesses will
meet a red pen.
This test is to be YOUR OWN WORK. You are allowed the use your textbook and course
notes only. You are not allowed to talk to other students about it, work together, or ask
previous applied probability students answers. I ask for your compliance on this matter!
1. Meteors strike the moon according to a Poisson process with arrival rate > 0. The
size of the individual meteors are independent and identically distributed with cumulative
distribution function G. Starting from time zero, how long does one wait, on the average,
for a meteor of size x or larger to strike the moon?
2. Suppose that X1 , . . . , X5 is an IID sample from a continuous distribution. What is the
chance that X1 is the smallest of the five draws? What is the chance that the five draws
are made in increasing order?
3. What is E[max(U1 , . . . , Un )] where U1 , . . . , Un are IID Unif[0, t] random variables? Now
suppose you have a Poisson process with arrival rate > 0. At time t, how long has it
been, on the average, since the last event occurred?
4. For a Markov chain {Xn }1
n=0 , show that
n
X
(k) (n k)

(n)

Pi,j =

fi,j Pj,j

k=0

5. Consider consecutive independent rolls of a fair six sided die. Let Xn be the number
of times the last roll has appeared consecutively. For example, if n = 5 and the five rolls
were 2, 4, 5, 4, 4, then (X1 , X2 , X3 , X4 , X5 ) = (1, 1, 1, 1, 2). Is {Xn } an irreducible aperiodic
Markov chain? If so, what is its limiting distribution?
6. For a Markov chain {Xn }, show that
P (Xn = in |Xn

\ Xn

= in

\ Xn+1 = in+1 \ Xn+2 = in+2 )

P (Xn = in |Xn

= in

\ Xn+1 = in+1 ).

= in

and

are one and the same.

In Chapter 5, work problems 12, 34, 42, 46, 50, 52,78