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Original Title: Midterm One 6711 f 10

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Justify your answers; show your work. 1. Exponential Random Variables (23 points) Let X1 and X2 be independent exponential random variables with means E [X1 ] 1/1 and E [X2 ] 1/2 . Let M1 min {X1 , X2 } and M2 max {X1 , X2 }. Compute and derive the following quantities: (a) P (M1 > t, M1 = X1 ), (b) P (M1 > t|M1 = X1 ), (c) V ar(M1 + M2 ), (d) P (M1 > t1 , M2 > t2 ). (e) Now suppose that 1 = 2 = . Compute the probability density function (pdf) of X1 X2 . 2. Characteristic Functions and Cauchy Random Variables. (24 points) For a random variable Y with pdf fY (x), let Y () be its characteristic function (cf), dened by Y () E eiY =

+

where i 1. We review two properties of cfs: (i) When the cf Y is an integrable function, the pdf fY can be recovered from the cf by the inversion formula fY (x) = 1 2

+

eix fY (x) dx ,

eix Y () d .

(1)

(k) +

(a) In the setting of Problem 1 (e), compute the cf of X1 X2 . (b) Suppose that Y is a Cauchy random variable (centered at 0) with positive scale parameter ; i.e., suppose that Y has pdf fY (x) ( 2 , + x2 ) < x < + . (2)

Show that Y has cf Y () = e|| . (Hint: Use parts 1 (e) and 2 (a) with (1).) (c) What does Property (ii) above and part (b) imply about E [|Y |]? (d) Suppose that Y1 , Y2 , . . . are i.i.d. random variables with the Cauchy pdf in (2) and let n (Y1 + + Yn )/n for n 1. Use part (b) to describe the asymptotic behavior of Y n and Y nYn as n .

3. More exponential random variables. (28 points) Let {Yn : n 1} be a sequence of i.i.d. (independent and identically distributed) exponential random variables, each having mean 1. For n 4, let Xn = 1 if Yn = max {Yn , Yn1 , Yn2 , Yn3 }; otherwise, let Xn = 0. Also let X1 = X2 = X3 = 0. For n 1, let Zn = n2 if Yn2 = max {Y1 , Y2 , . . . , Yn2 1 , Yn2 }. (a) (2 points) Determine the mean and variance of Xn , and the covariance cov (Xn , Xn+1 ) for n 4. (b) (2 points) Determine the mean and variance of Zn , and the covariance cov (Zn , Zn+1 ). n = (X1 + + Xn )/n. Prove or disprove: X n converges (c) (6 points) For n 1, Let X w.p.1 (with probability one) to a nite limit c. If the limit exists, then identify the constant c. (d) (6 points) In the setting of part (c), Prove or disprove: There exists a nite constant c n c)2 0 as n . If the limit exists, then identify the constant c. such that E (X n = (Z1 + + Zn )/n. Prove or disprove: Z n converge w.p.1 (e) (6 points) For n 1, Let Z to a nite limit c. If the limit exists, then identify the constant c. (f) (6 points) In the setting of part (e), Prove or disprove: There exists a nite constant c n c)2 0 as n . If the limit exists, then identify the constant c. such that E (Z 4. The Columbia Space Company (25 points) Columbia University has decided to start the Columbia Space Company, which will launch satellites from its planned Manhattanville launch site beginning in 2013, referred to henceforth as time 0. Allowing for steady growth, the Columbia Space Company plans to launch satellites at an increasing rate, beginning at time t = 0. Specically, they anticipate that they will launch satellites according to a nonhomogeneous Poisson process with rate (t) = 2t satellites per year for t 0. Suppose that the successive times satellites stay up in space are independent random variables, each exponentially distributed with mean 2 years. (a) What is the probability (according to this model) that no satellites will actually be launched during the rst three years (between times t = 0 and t = 3)? (b) What is the probability that precisely 7 satellites will be launched during the second year (between times t = 1 and t = 2)? (c) Let S (t) be the number of satellites in space at time t. Give an expression for the probability distribution of S (6)? (d) Let R(t) be the number of satellites that have been launched and have returned to earth in [0, t]. Give an expression for the joint probability P (S (6) = 7, R(6) = 8). (e) Give an expression for the covariance Cov (S (6), S (8)).

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