Homework 7

SS-1. Let X and Y be independent exponential random variables, with parameters 1 and 2 ,
respectively. Find the density function of Z = |X Y |.
Answer:
fZ (z) =

1 1
(e1 z + e2 z ) u(z)
1 + 2

SS-2. Suppose X and Y are random variables with joint density function

2 0<x<y<1
fXY (x, y) =
0, otherwise
Find the distribution AND density functions for each of the following random variables.
Hint: The direct method does not require any integration because the areas in question are
very simple, but dont forget that the density over each area is not 1.
(a) A = X/Y
(b) B = max(X,Y )
1. You are given an electronic device which contains two identical components. The lifetimes
of the two components are independent exponential random variables X and Y , with common
parameter . The lifetime of the device depends on whether the components are wired in
series or parallel, and you are not able to observe how the components are wired. If they are
wired in series, the device will fail when either component fails, whereas if they are wired in
parallel, the device will fail when both components have failed. Based on the lifetime of the
device, you wish to make a decision about whether you think the device was wired in series
or parallel.
(a) First, determine the conditional density for the lifetime of the device given that the
internal components are wired in parallel.
(b) Next, determine the conditional density for the lifetime of the device given that the
internal components are wired in series.
(c) Let Z be the lifetime of the device, and let P0 denote the probability that the components
are wired in parallel. Find the MAP decision rule for deciding whether the device is
wired in series or parallel based on observing Z.
(d) Find the ML decision rule for deciding whether the device is wired in series or parallel
based on observing Z.
(e) Give an expression for the error probability of the MAP rule as a function of P0 . Show
that it does not depend on .

2.

(a) Find the joint density of the sample mean and variance given by
X1 + X2
2
(X1 M)2 + (X2 M)2
V =
2

M =

in terms of the pdf of X1 and X2 .

(b) Evaluate the joint pdf of (M,V ) if the Xi are i.i.d. exponential random variables with
parameter .
3. Stark and Woods problem 3.29
Consider the transformation
Z = aX + bY
W = cX + eY
Let
fXY (x, y) =
where
Q(x, y) =

1
p
eQ(x,y) ,
2
2
2
1

 2

1
2
x

2xy
+
y
.
2 2 (1 2 )

What combination of a, b, c, e will enable Z and W to be statistically independent Gaussian

random variables.
SS-3. Stark and Woods problem 3.30
Let
  2

1
x 2xy + y2
fXY (x, y) = p
exp
.
2 (1 2 )
2 1 2
Compute the joint pdf fVW (v, w) of
1 2
(X +Y 2 )
2
1 2
W =
(X Y 2 )
2
V =

Ans:
"
(
)
(
)#

exp
v2 w2
v2 w2

fVW (v, w) = p
exp
exp
, v w, v 0
1 2
1 2
1 2 v2 w2
n

v
1 2

SS-4. Stark and Woods problem 3.32

Consider the transformation
Z = X cos +Y sin
W = X sin Y cos .
Compute the joint pdf fZW (z, w) in terms of fXY (x, y) if
  2

1
x + y2
fXY (x, y) =
exp
.
2
2
SS-5. (Leon-Garcia, Problem 5.111) Let X and Y be jointly Gaussian random variables with pdf

 
exp 12 x2 + 4y2 3xy + 3y 2x + 1
for all x, y.
fXY (x, y) =
2
Find E[X], E[Y ], Var[X], Var[Y ],Cov(X,Y ).
Answers: E[X] = 1, E[Y ] = 0, Var[X] = 1, Var[Y ] = 14 ,Cov(X,Y ) = 38 .
4. Let X and Y be random variables with joint density
(
15x2 y, 0 x y 1
fXY (x, y) =
0,
otherwise
(a) Find E[X]
(b) Find E[Y ]
(c) Find E[X +Y ]
(d) Find Var[X]
(e) Find Var[Y ]
(f) Find Var[X +Y ]
5. Let X be a random variable with distribution function FX (x) = (1 x1 ) u(x 1), where u(x)
is the unit step function.
(a) Calculate E[X].
(b) Write a program to generate random variables with the distribution function FX (x)
given above. Calculate an experimental CDF (by performing a cumulative sum across
histogram bins) and make a plot that compares with the desired CDF.
(c) Calculate the average for 100 batches, each of which consists of 1 million independent
realizations of variables with the distribution function given. Make a plot that shows
the 100 different averages.