Ch2 Homework Solution

2-8 Show that the binomial probabilities sum to 1.

X ~ B (n, p)
n n

p k (1 p) n k ( p (1 p ))n 1

k
k 0

2-11 Consider the binomial distribution with n trails and probability

p of success on each trial. For what value of k is P(X=k)
maximized? This value is called the mode of the distribution.
(Hint: Consider the ratio of successive terms.)
P( X k )
1 &
P( X k 1)

P( X k )
1
P ( X k 1)

n k
p (1 p ) n k
n!(k 1)!(n k 1)! p (n k 1) p
k

1 (1)
n k 1
k!( n k )!n!(1 p )
k (1 p )
n k 1
p
(1 p )
k 1

n k
p (1 p ) n k
n!(k 1)!( n k 1)! p k (1 p ) n k
(k 1)(1 p )
k

1
k

!
n

1
n k 1
(n k ) p
k
!
(
n

k
)!
n
!
p
(
1

p
)
n k 1
p
(1 p )
k 1

(2)

(1) (n k 1) p k kp
k p( n 1)

(2) (k 1)(1 p) np kp

k p (n 1) 1

p(n 1) 1 k p(n 1)
if p(n 1) , k = p(n+1)-1 or p(n+1)
if p(n 1) , k = [ p(n+1) ]

2-15 Two terms, A and B, play a series of games. If team A has

probability 0.4 of winning each game, is it to its advantage to
play the best three out of five games or the best four out of
seven? Assume the outcomes of successive games are
independent.
(1) Three out of five games :
P (A wins ) 0.43

3!
4!
0.43 0.6
0.43 0.62 0.43 (1 3 x0.6 6 x0.36)
2!
2!2!

= 4.96 x 0.43
(2) Four out of seven games :
P ( A wins ) 0.44

4!
5!
6!
0.4 4 0.6
0.44 0.6 2
0.4 4 0.63
3!
3!2!
3!3!

0.4 4 (1 4 x0.6 10 x0.36 20 x 0.216) 4.528 x 0.43

Three out of five games is better!

2-25 The probability of being dealt a royal straight flush (ace, king,
queen, jack, and ten of the same suit) in poker is about 1.3x10-8.
Suppose that an avid poker player sees 100 hands a week, 52
weeks a year, for 20 years.
a. What is the probability that she never sees a royal straight
flush dealt?
b. What is the probability that she sees two royal straight flushes
dealt?
100 x 52 x 20 = 104000
(a) ( 1.3 x 10-8 )104000 = 0.9987

103998
104000
1 1.3 x10 8
(1.3 x10 8 ) 2 9 x10 7
2

(b)

2-28 Let p0, p1, , pn denote the probability mass function of the

binomial distribution with parameters n and p. Let q = 1-p.

Show that the binomial probabilities can be computed
recursively by p0 = qn and
Pk

Pk

Pk 1

Pk

(n k 1) p
Pk 1
kq

k = 1, 2, , n

n k nk
p q
( n k 1) p
k

n k 1 n k 1
kq
p q
k 1

( n k 1) p
Pk 1
kq

k = 1, 2, , n

2-29 Show that the Poisson probabilities p0, p1, , pn can be

computed recursively by p0 = exp(-) and
Pk

P( X x)

Pk 1
k

k = 1, 2, , n

x e
x!

Pk
k e
(k 1)!

Pk 1
k!
k 1 e k

Pk

Pk 1
k

2-32 For what value of k is the Poisson frequency function with

parameter maximized? (Hint: Consider the ratio of
consecutive terms.)
Pk
1 &
Pk 1

1 &
k

Pk
1
Pk 1
k !

1 k
if , k = or -1
if , k = []

2-39 The Cauchy cumulative distribution function is

F ( x)

1 1
tan 1 ( x)
2

- x

a Show that this is a cdf.

b Find the density function.
c Find x such that P (X x) = .1.
F ( x)

1 1
tan 1 ( x)
2

- x

1 1
tan 1 x 0
x 2

(a) (1) lim

1 1
tan 1 x 1
x 2
lim

(2) F ( x)

1
1

0, x. F(x)
1 x2

1 1 1
lim tan x F ( x0 )
(3)
x x0 2

F(x)

By (1)(2)(3) F(x) is a c.d.f

1

(b) f ( x) F ( x)
1

1
1 x2

dx 0.1
(c) a
1 x2
1

1
0 .1
tan ( x )

1
( tan 1 a ) 0.1
2
1 1
tan 1 a ( )
2 10

a 3.078

,- x

2-49 The gamma function is a generalized factorial function.

a Show that (1) = 1.
b. Show that (x+1) = x(x). (Hint: Use integration by parts)
c. Conclude that (n) = (n-1)! for n = 1, 2, 3,
d. Use the fact that

1
( )
2

to show that, if n is an odd integer,

n
( n 1)!
( )
n 1
2
2n 1 (
)!
2

Gamma function

(t )

e y y t 1dy

y
e dy e y 0 1

(a)

(1)

(b)

( x 1)

e y y x dy

y x 0 ( e y ) xy x 1dy
0

e y y x 1dy

= x (x)
(c) ( n) ( n 1)( n 1)
= ( n 1)(n 2)( n 2)
=
= (n 1)(n 2)3 2 1 (1)
= ( n 1)!
1
2

(d) ( ) , n is an odd integer.

n
( n 1)!
( )
Claim:
n 1
2
2n 1 (
)!
2
1
2

Pf: (1) n = 1, ( ) .
(2) n = k (k is an odd integer.)
k
(k 1)!
( )
k 1 .
2
2 k 1 (
)!
2

(3) n = k + 2.

k 1
by (b ) k
k2
k
k
k (k 1)!
(
) ( 1)
( )
x 2
k 1
2
2
2 2
k 1 k 1
22
(
)!
2
2
( k 1)!
k 1
2k 1 (
)!
2

By (1)(2)(3) ,.

2-51 Show that the normal density integrates to 1. (Hint: First

make a change of variables to reduce the integral to that for
the standard normal.) The problem is then to show that

x2
e 2 dx

. Square both sides and reexpress the problem

as
that of showing

x2

2 dx

y2

2 dy

= 2

Finally, write the product of integrals as a double integral and

change to the polar coordinates.
claim:

x2

1
e 2 dx 1
2

i.e. claim:

x2
e 2 dx

Sol :
Let

x2
e 2 dx

x2
2

x2

e 2 dx

dx

y2

2 dy

( x y )
2
dxdy

Let X r cos
Y r sin

dxdy rdrd

0 0

r 2
e 2 rd dr

= 2 r e
0
=

r 2

2 e 2

r 2
2 dr

= 2

x2
e 2 dx

x2

1
e 2 dx 1
2

2-57
X ~ N ( , 2 ) and Y aX b , where a<0 , show that Y ~ N (a b, a 2 2 )

Sol:
X ~ N ( , 2 )
Y aX b, a 0

f X ( x)

f Y ( y)

1
2

1
2

X=

Y b
,
a

1
a

( x ) 2

2 2

y b
)
a
2 2

1
a

( y ( b a )) 2

1
2 a

2 a 2 2

Y ~ N ( a b, a 2 2 )

2-58
If U is uniform on [0,1] , find the density of
Sol:
U ~uniform[0,1]
f U (u ) 1 , Y= U

P (Y y ) P ( U ) y ) P (U y 2 ) y 2

f Y ( y ) (y)=2y

, 0 y 1

2-60
Find the density function of Y= e Z , where Z ~ N ( , 2 ) .This is called the
lognormal density, since log Y is normally distributed.
Sol:
Z~N(,)

Let Y= e Z , Z= ln Y ,

1
f Y ( y ) f Z (ln y ) y (y)=

1
y

1
2

(ln y ) 2

2 2

1
y

ln x

2
= 2 y exp(( 2 2 ) )

0 x , , 0

2-63
Suppose that follows a uniform distribution on the interval
[

, ].Find the cdf and
2 2

density of tan .
Sol:
~U[
f ( ) =

, ]
2 2
1

, ]
2 2

Y= tan , P(Y y)=P(tan y)=P(

tan 1 y 1
1
1
tan 1 y )
d tan 1 y
,

2
2

x
2-67
The Weibull cumulative distribution function is F ( x) 1 e

( x )

x 0,>0,>0
(a) Find the density function
(b) Show that is W follows a Weibull distribution , then
X= (W

) follows an exponential distribution .

(c) How could Weibull random variable be generated from a

uniform random number generator ?
Sol:
X ~ Weibull , x 0,>0,>0
(a) F (x ) =, x 0,>0,>0

f ( x ) e

x
( )

(b) X= (W
W (x)

( )
x
1

( ) 1 x 1e , x 0,>0,>0

, X ~ Weibull ( , )
1

1
x

f X ( x) (x ) 1 e

(c)

x
(
)

?
F Z ( z ) z F W (w) 1 e

let z= 1 e ( )

1
x
e x ~ exp(1)

w
( )

1-Z= e ( )

ln(1 z ) ( ) w

( ln(1 z ))

if Z~ uniform[0,1] then 1-Z~uniform[0,1]

we can firstly generate U ~uniform(0,1)

let W=
then X ~ Weibull ( , )

( ln U )