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Homework 8
Q. 1 A fair coin is thrown 100 times. Let X be the number of heads obtained.
(a) Using Markovs inequality find an upper bound on P(X > 70).
(b) Using Chebyshevs inequality find a lower bound on P(30 X 70).
(c) Using your answer to Part (b) and the symmetry of the distribution of X, obtain a better upper bound on P(X > 70).
Q. 2 Let U and V be independent standard normal random variables, i.e., N(0, 1), and let X = U + V and Y = U 2V . Find
fX|Y (x | y), E[X | Y = y], Cov(X,Y ), and the joint probability density function of X and Y .
Q. 3 Recall that the sum of a fixed number of independent Gaussian random variables is Gaussian. Recall also that X is a Gaussian
2 s2
random variable having zero mean if and only if its MGF has the form MX (s) = e 2 , where 2 is the variance of X. This exercise
investigates whether a random sum of independent Gaussian random variables may also be Gaussian. Suppose that N is a random
variable taking values 1 and 3, each with probability 12 , and Xi , i = 1, 2, . . . , are independent and identically distributed Gaussian
random variables with mean 0 and variance 1, and also independent from N. Let WN = Ni=1 Xi . Is WN a Gaussian random variable?
Try to find a discrete random variable N taking positive integer values such that WN is Gaussian. Note then that we must have
Ns2
2
E e 2 = eas
for some positive constant a. If this equation holds, what should the value of the constant a be? What kind of random variables N
can match this?
Q. 4 Suppose that the continuous random variable X has PDF given by
1
fX (x) = e|x| ,
2
< x < .
Q. 6 Suppose that Xi , i = 1, . . . , 100, are random variables measuring the annual rainfall (in inches) in a part of the Sahara dessert,
over 100 consecutive years. Assume that these are independent and identically distributed, each having a mean of 1 inch and a
standard deviation also of 1 inch.
(a) First assume that the random variables Xi are Gaussian (ignoring the fact that rainfall cannot be negative). Find the probability
that the total rainfall over the 100 year period exceeds 120 inches.
(b) Suppose you do not know the underlying distributions of the random variables. Using Chebyshevs inequality, determine a
bound on the probability that the total rainfall exceeds 120 inches.
Q. 7 Every student applicant at a certain university is declined with probability 0.3. In other words, each decision to admit can be
modeled as a Bernoulli random variable. Assume that these decisions are independent. If the number of applicants in 2016 has the
Poisson distribution, with parameter 900, use the MGF to find the probability distribution of the number of admitted students. If the
probability that a student who starts his/her studies in 2016 manages to graduate is 0.9 (assume independence), what is the expected
s
number of students that graduate? (Hint: if N is Poisson with parameter , then MN (s) = e(e 1) .)