Department of Mathematics, Indian Institute of Technology, Kharagpur

Assignment 3, Probability and Stochastic Processes (MA20106), March 2016.

1.

Find the probability density function of the random variable Y = X 2 when the random
variable X has the uniform density on the interval [-1,1].

2.

If X is a random variable with a distribution function F (x) which is continuous and strictly
increasing, show that Y = F (X) has a uniform distribution on the interval [0,1].

3.

If a random variable X has standard normal distribution, find (a)P (0 X 0.87), (b)P (2.64
X 0), (c)P (2.13 X 0.56), (d)P (|X| > 1.39).

4.

If the m.g.f of a random variable X is MX (t) = e6t+32t , find P (4 X < 16).

5.

Show that if a random variable X has a normal distribution with mean zero and variance 2 ,
so does -X.

6.

If X has N (, 2 ) as its distribution,

determine the probability density function of Y = |X|.
q

Further prove that E[Y ] =

7.

If X has N (, 2 ) as its distribution, determine the probability density function of Y =

(X)2
.
2

8.

If X has N (5, 10) as its distribution, find P (0.04 < (X 5)2 < 38.4).

9.

A random variable X is said to have the log-normal distribution if logX has the normal
2
distribution. Suppose logX has N (, 2 ) as its distribution. Show that E[X] = exp( + 2 )
and V ar(X) = {exp( 2 ) 1} exp(2 + 2 ).

10. Suppose X is a random variable with Gamma probability density function with parameters
and and E(X) = 2 and V ar(X) = 7. Find the parameters and .
11. Let X1 , X2 , X3 , X4 be i.i.d. N (100, 25). What is the distribution of Y = X1 2X2 +X3 3X4 ?
12. Find the value of K such that

f (x) =

Kx(1 x) if 0 < x < 1

0
otherwise

is a probability density function and compute P (X > 12 ).

if x = 1
0.5
1 x
e
if 0 < x <
f (x) =
2
0
otherwise
Determine the m.g.f of X