ECE 534 RANDOM PROCESSES FALL 2011

PROBLEM SET 2 Due Tuesday, September 20

2. Convergence of a Sequence of Random Variables
Assigned Reading: Chapter 2 and Sections 11.1-11.2 of the course notes. Additional material
on limits for deterministic sequences can be found in Kenneth Ross, Elementary Analysis: The
Theory of Calculus, Sections 7-10 (pp. 24-48). This book is on reserve in the mathematics library
in Altgeld Hall, and it is required for Math 447: Introduction to Higher Analysis: Real Variables.
Reminders: A one hour quiz on probability will be given 7-8 p.m. Monday, September 12, in
Room 269 EL. No class Thursday, September 29, due to the Allerton Conference.
Problems to be handed in:
1 On the sum of a sequence of products
(a) Let a
n
=

n
k=1

1 +
c
k

1
for n 1, where c > 0. Determine lim
n
a
n
.
(b) Determine for which values of c > 0 the sum

n=1
a
n
is nite.
For either (a) or (b), you may use the following facts:
(i) 1 + exp() for all R, which implies the next fact.
(ii) e
u
(1 +u)
1
exp

u
1+u

exp(u(1 u)) for all u > 0.

(iii)

n=1
1
n
2
=

2
6
, which is a result in the theory of Fourier series.
(iv) ln(n)

n
k=1
1
k
1 + ln(n), which follows by comparison of the sum to

n
1
1
u
du = lnn.
2 Convergence of alternating series
Suppose b
0
b
1
and that b
k
0 as k . The purpose of this problem is to prove, using
the Cauchy criteria, that the innite sum

k=0
(1)
k
b
k
exists and is nite. By denition, the sum
is equal to the limit of the partial sums s
n
=

n
k=0
(1)
k
b
k
as n , so it is to be proved that the
sequence (s
n
) has a nite limit. Please work to make your proof as simple and clean as possible.
(a) Show if m n then s
m
is contained in the interval with endpoints s
n
and s
n+1
.
(b) Show that (s
n
) is a Cauchy sequence. In particular, given > 0, specify how N

can be selected
so that |s
n
s
m
| < whenever m N

and n N

.
3 A Gaussian sequence
Suppose W
1
, W
2
, are independent Gaussian random variables with mean zero and variance

2
> 0. Dene the sequence (X
n
: n 0) recursively by X
0
= 0 and X
k+1
=
X
k
+W
k
2
. Determine in
which one(s) of the four senses, a.s., m.s., p., and d., the sequence (X
n
) converges.
4 A cumulative lottery
(The variables (Y
k
: k 0) in this problem might model the payout of a daily lottery that doubles
from one day to the next whenever there is no winner.) Let B
1
, B
2
, . . . be a sequence of independent
Bernoulli(p) random variables for some parameter p with 0 < p < 1. Let Y
0
= 1 and for each n 1
let
Y
n
=

2Y
n1
if B
n
= 0
1 if B
n
= 1.
(a) Find the pmf of Y
n
for general n 0. (Hint: Begin by thinking about the possible values of Y
n
,
and what values of the B variables give rise to them.)
1
(b) Does Y
n
converge in distribution? Justify your answer, and if it does, identify the limit.
(d) Does Y
n
converge in probability? Justify your answer, and if it does, identify the limit.
5 Convergence and robustness of the sample median
Suppose F is a CDF such that there is a unique value c

such that F(c

) = 0.5. Let X
1
, X
2
, . . .
be independent random variables with CDF F. For n 1, let Y
n
denote the sample median
of X
1
, . . . , X
2n+1
. That is, for given , if the numbers X
1
(), . . . , X
2n+1
() are sorted in
nondecreasing order, then Y
n
() is the n + 1
st
number.
(a) Show that Y
n
converges almost surely (a.s.) as n , and identify the limit. (It follows that
Y
n
also converges in the p. and d. senses.)
(b) Show that P{|Y
n
| c} 2
2n+1
P{|X
1
| c}
n+1
for all c > 0. This shows the tails of the
distribution of Y
n
are smaller than the tales of the distribution represented by F. (Hint: The union
bound is sucient. Specically, the event {|Y
n
| c} is contained in the union of

2n+1
n+1

overlapping
events (what are they?), each having probability P{|X
1
| c}
n+1
, and

2n+1
n+1

2
2n+1
. )
(c) Show that if F is the CDF for the Cauchy distribution, with pdf f(u) =
1
(1+u
2
)
, then E[|Y
1
||] <
. So E[Y
1
] is well dened, and by symmetry, is equal to zero, even though E[X
1
] is not well
dened. (Hint: Try nding a simple upper bound for P{|Y
n
| c} and use the area rule for
expectation: E[|Y
1
|] =

0
P{|Y
1
| c}dc.)
6 Some tilted distributions associated with large deviations
Given a pdf f and R, the tilted version of f, denoted by f

, is dened in the proof of Cramers

theorem. It is f

(x) = f(x) exp(x)/M(), where M() is selected to make f

integrate to one.
The tilted version of a pmf is dened similarly. A signicant property is that, if X
1
, . . . , X
n
are
identically distributed with pdf f, then as n , the conditional distribution of X
1
given that
Sn
n
a converges to the tilted distribution of X
1
, where is selected so that the mean for pdf f

is a. Find the tilted pdf or pmf for each of the following distributions. If your answer corresponds
to a well known distribution for some paramter values, point that out. Also, identify the range of
values for which the distribution exists (Hint: In some cases you can recognize f

as the pdf of a
well known distribution without explicitly calculating M(). )
(a) The exponential density with parameter > 0.
(b) The normal density with mean and variance
2
.
(c) The geometric distribution with parameter p.
(d) The binomial distribution with parameters n and p.
2