Ch.

3 Homework Solution
3-5
(Buffons Neddle Problem) A needle of length L is dropped randomly on a plane ruled
with parallel lines that are a distance D apart , where D L. Show that the probability that
the needle comes to rest crossing a line is 2L/D.Explain how this gives a mechanical
means of estimating the value of .
Sol:
Y : Y ~Uniform(0,D)
: X ~Uniform(0,2)

P( )

P()=

l
D s i n
2
l
s i n
2

1
2l
d y d 1
2D
D

2l
D

3-6

x2 y2
A point is chosen randomly in the interior of an ellipse: 2 2 1 .Find the marginal
a
b
densities of the x and y coordinates of the point .
Sol:
b
2b a 2
a 2 x 2 dx
a x 2 dx ab

a a

a
a

1
x2 y2
( x, y )
, 2 2 1
XY
ab
a
b

( a 2 u 2 dx

u
a2
u
a 2 u 2 sin 1 c, a 0), f X ( x) ab

2
2
a
a

a 2 u 2
a 2 u 2

3-8

6
( x y) 2 ,0 x 1,0 y 1
7
(a) By integrating over the appropriate regions , find
(i)P(X>Y),(ii)P(X+Y 1),(iii)P(X ).
Let X and Y have the joint density f ( x, y)

Sol:

1
dy
ab

f ( x, y)

6
( x y) 2 ,0 x 1,0 y 1
7
1

(a)(i) P( X Y )

0 0

12
yx
6
1
( x y ) 2 dydx ( x y) 3
dx
0
y0
7
7
2

(ii) P( X Y 1)

1
1
(iii) P( X )
0
2

1 x

1
2
0

6
( x y) 2 dydx
7

6
( x y) 2 dxdy
7

3-9
Suppose that (X,Y) is uniformly distributed over the region defined by 0 y 1 x 2 and
-1 x 1
(a) Find the marginal densities of X and Y .
(b) Find the two conditional density
Sol:
1

0 y 1 x 2 and -1 x 1 ,

( x 2 1)dx

3
4
, f XY ( x, y )
4
3

(a)

3
3
3x 2 3
2
f X ( x)
dy ( x 1)
,1 x 1
0
4
4
4
4
1 y 3
3
3
3
f Y ( y)
dx
1 y
1 y 1 y ,0 y 1
1 y 4
4
4
2
x 2 1

(b)

f X Y ( x y)

4
3 1 y

1
2 1 y

,1 x 1

2
f Y X ( y x)

3
3
x2
4
4

1
x2 1

,0 y 1

3-11
Let U 1 , U 2 and U 3 be independent random variables uniform on [0,1].Find the
probability that the roots of the quadratic U1 x 2 U 2 x U 3 are real .
Sol:

1
1 1
4
0 0 2 u1u3

P(U 4U 1U 3 )
2
2

u 22
1
4
0 0
0

1
1
4 u3
1
0
2 u1u3
4
1

du 2 du1 du 3

1 1

u 22
4 u1
0

du du du
3

u 22
4

du 2 du1 du 3

du 3 du1 du 2

3-12Question
Let f ( x, y ) c( x 2 y 2 )e x , 0 x , x y x
(a)Find c . (b)Find the marginal densities.
Solution
(a)

f ( x , y ) c ( x 2 y 2 ) e x , 0 x , x y x
x

c( x

0 x

y )e dydx ce x ( x 2 y 2 )dydx
x

0 x

ce x ( x 2 y
0

1 3 yx
y )
dx
y x
3

4c x 3
e x dx
3 0

4c
( 4)
3
4c 3!

1
c

1
8
x

f X ( x)

8 (x

y 2 )e x dy

1 3 x
x e , x0
6

f ( x, y )dx, y 0
y
(b) f Y ( y )
f ( x, y )dx, y 0

y
1 y
4 e (1 y ), y 0
f Y ( y)
1 e y (1 y ), y 0
4

5 1
ln 2
36 6

5 1
ln 2
36 6

3-15Question
Suppose that X and Y have the joint density function

f ( x, y ) c 1 x 2 y 2 , x 2 y 2 1
(d)Find the marginal densities of X and Y . Are X and Y independent random
variables?
Solution
(d)
2 1

2
2
2
c 1 x y dxdy c 1 r r drd

x 2 y 2 1

0 0
2

c
0

1
1
(1 r 2 ) 2 d
0
3

1
c
3

2c
3

1
c

3
2

f X ( x)

1 x 2

1 x

3
1 x 2 y 2 dy
2

(let 1 x 2 a 2 )

a 2 y 2 dy

3 y2
(
2 2

a2 y2

a2
y a
sin )
2
a a

3
(1 x 2 )
4
3
f X ( x) (1 x 2 ), 1 x 1
4
3
Similarly , f Y ( y ) (1 y 2 ), 1 y 1
4
f ( x, y ) f X f Y

X and Y are not independent.

3-17Question
Let ( X , Y ) be a random point chosen uniformly on the region

R X , Y : X Y 1.
(b)Find the marginal densities X and Y using your sketch. Be careful of the range
of integration.
Solution
(b)
1 x

f X ( x)

1
dy 1 x , 1 x 1
2
x 1

Similarly , f Y ( y ) 1 y , 1 y 1

3-18Question
Let X and Y have the joint densities function f ( x , y ) k ( x y ), 0 y x 1 and
0 elsewhere.
(b)Find k . (c)Find the marginal densities of X and Y .
Solution
(b)

f ( x, y ) k ( x y ) , 0 y x 1
1 x

k ( x y)dydx
0 0
1
yx
1
(kxy ky 2 )
dx
y

0
2
0
1

1
kx 2 kx 2 dx
2
0
k x3 1
( )
2 3 0
k
1
6
k 6

f X ( x) 6( x y )dy
0
1

f Y ( y ) 6( x y )dx
y

3-19Question
Suppose that two components have independent exponentially distributed lifetimes,
T1 and T2 , with parameters and , respectively. Find (a) P (T1 T2 ) and
(b) P (T1 2T2 ) .
Solution
(a)

f T1 ,T2 (t1 , t 2 ) e t1 e t 2 , 0 t1 , 0 t 2

P(T1 T2 ) e t1 e t 2 dt1 dt 2
0 t2

e t 2 e t 2 dt 2
0

( )t 2
e
0

1
(0 1)

(b)

P(T1 2T2 ) e t1 e t2 dt1 dt 2

0 2t2

e t2 e 2t2 dt 2
0

e t2 ( 2 ) dt 2
0

( 2 )

(1)

3-23Question
Suppose that, conditional on N , X has a binomial distribution with N trials
and probability p of success, and that N is a binomial random variable with
m trials and probability r of success, Find the unconditional distribution of X .
Solution

X N Bin ( N , p) , N Bin (m, r )

m
m
n
P( X x) r n (1 r ) m n p x (1 p ) n x
n 0 n
x
m
m!n!(m n)!

(rp) x r n x (1 r ) m n (1 p ) n x
n x n!( m n)! x!( n x )!( m x )!
m
m
(m x)!
( pr ) x
r n x (1 p ) n x (1 r ) m n
n x ( m n)!( n r )!
x

let n x t , m x k
k
m
k!
( pr ) x
r t (1 p ) t (1 r ) k t
t 0 ( k t )!t!
x
k
m
k (r rp) t (1 r ) k t (1 rp) k
( pr ) x
(1 rp) t (1 rp) k t
t 0 t
x
k
m
k r rp

( pr ) x (1 rp) m x
t 0 t 1 rp
x
m
( pr ) x (1 rp) m x
x

1 r

1 rp

k t

X ~ Bin (m, rp)

3-26Question
Spherical particles whose radii have density function f R (r ) are dropped on a mesh
as in Problem 4. Find an expression for the density function of the particles that pass
through.
Solution

w 2r
d w f R (r )dr
2

3-29Question
Let f ( x ) 6 x 2 (1 x ) 2 , for 1 x 1.
(a) Describe an algorithm to generate random variables form this density using
the rejection method. In what proportion of the trials with the acceptance step
be taken?
Solution

5
6 x 2 (1 x) 2 , 1 x 1
32
15
f ( x) , 1 x 1
4
f ( x)

(a)
Step1:Generate T~Uniform(-1,1)
Step2:Generate U~Uniform(0,1),independent of T
f (T )
If U
, then letX T
15
4

o.w , go to Step1

3-34Question
Let N 1 and N 2 be independent random variables following Poisson distribution with
parameters 1 and 2 . Show that the distribution of N N 1 N 2 is Poisson with
parameter 1 2 .
Solution

N 1 ~ Poisson(1 )
N 2 ~ Poisson( 2 )
N N1 N 2
M N1 (t ) e 1 ( e 1)
t

M N 2 (t ) e 2 ( e 1)
t

M N (t ) M N1 (t ) M N 2 (t )
e ( 1 2 )( e 1)
t

N ~ Poisson(1 2 )

3-35Question
For a Poisson distribution, suppose that events are independently labeled A and B with
probabilities p A pB 1 . If the parameter of the Poisson distribution is , show that
the number of events labeled A follows a Poisson distribution with parameter p A .
Solution

N A B ~ Poisson( )
A N ~ Bin ( N , p A )

p ( A a ) p ( A a, N n)
n 0

n a
e n
p A (1 p A ) n a
n!
n 0 a

(p A ) a e

a!

na

1 p A na
(n a )!

let t n a
(p A ) a e

a!

1 p A t

t 0

t!

(p A ) a e e (1 p A ) 1 p A

t!
a!e (1 p A ) t 0

e PA ( p A ) a
a!
A ~ Poisson( p A , )

3-37Question
Let X and Y be independent standard normal random variables. Find the density of
Z=X+Y, and show that Z is normally distributed as well. (Hint: Use the technique of
completing the square to help in evaluating the integral.)
Solution
XN(0,1)
YN(0,1)
X, Y independent

M X (t ) e

t2
2

M Y (t )
t2
2

M X Y (t ) e e

t2
2

X+YN(0,2)

3-41Question

t 2 ( 2 )2
2

Let X and Y have the joint density function f ( x, y ) , and let Z X Y . Show

z 1
that the density function of Z is f Z ( z ) f ( x , ) dy .

y y
Solution
Z

Z XY
X

W Y
Y W
x x
z 1
1

z
J
w2 w
y y
w
1
0
w z

z
1
f Z ( z ) f ZW ( z , w)dw f XY ( , y ) dy

y
y

3-43Question
Consider forming a random rectangle in two ways. Let U 1 , U 2 , and U 3 be
independent random variables uniform on [0,1]. One rectangle has sides U 1 and U 2 ,
and the other is a square with sides U 3 . Find the probability that the area of the
square is greater than the area of the other rectangle.
Solution
U 1 ,U 2 ,U 3 U(0,1) independent
1 1 1

P( U 32 U 1U 2 )=

0 0

u1u 2

1 1

0 0

= (u 2
0

= (1
0

du3 du 2 du1

u1 u 2 du 2 du1
2 u1 u
3

3
2
2

1
) du1
0

2
u1 )du1
3

3
1
4
=( u1 u12 )
0
9

=1-

4 5
=
9 9

3-45Question
A point is generated on a unit disk in the following way: The radius, R , is uniform
on [0,1] , and the angle is uniform on [0,2 ] and is independent of R .
(a) Find the joint density of X = R cos and Y = R sin .
(b) Find the marginal densities of X and Y .
Solution
(a)
R U [0,1]
U [0,2 ]
2
2

X R cos R X Y

1 Y
Y R sin
tan
X

r
x
J

r
x
y
r

x
y

y
r
y

1
x2 y2

y
1
1
f XY ( x, y) f R ( x 2 y 2 , tan 1 ) J

, x2 y2 1
2
2
x
2
x y
(b)

f X ( x)

1 x 2

1 x 2

f XY ( x, y )dy
1 x 2

2
2

2
1 x2
[ln( y x 2 y 2 )]
2
0

x2 y2

ln(

dy

1 x2 1
), 1 x 1
x

1
2
2

du

ln(
u

u
)

c
,
a

2
2
a

1 y2 1
Similarly, f Y ( y ) ln(
), 1 y 1

y
1

3-53Question
Let X and Y be jointly continuous random variables.
(b) Develop an expression for the joint density of XY and Y X .
Solution
(b)

Z
Z
Z
Z XY

or W
W or W or W

Y
W

ZW
X

Y ZW
ZW
ZW

X
J Z
Y
Z

X
1
1
W
2
Y
Z W W Y X , Z XY
w
W
X X
Z W
Y Y

f ZW ( z, w) 2

1
w

z
z
z
z
, zw ) f XY (
, zw ) f XY (
, zw ) f XY (
, zw )
f XY (
w
w
w
w

3-54Question
Find the joint density of X Y and X Y , where X and Y are independent
exponential random variables with parameter . Show that X Y and X Y
are independent.
Solution

X exp()
Y exp()
X , Y independent
f XY ( x, y) 2 e ( x y )
WV

X
W X Y

1V
Let

X
V Y
Y W

1V
1
1 v
J
v
1 v

w
w
(1 v) 2

w
(1 v) 2
(1 v) 2

f WV ( w, v) 2 e w

w
1
2 e w w
2
(1 v)
(1 v) 2

X Y , X Y are independent.

3-56Question
Each component of the following system (Figure 3.17) has an independent
exponentially distributed lifetime with parameter . Find the cdf and the density
of the systems lifetime.
Figure 3.17

T
1

T
2

T
a
b

Solution
Ti exp(), i=1,,6

T
3

T
4

P( Ti t )=1- e t

T
c

P( T t )=P( Ta t )P( Tb t )P( Tc t )

= 1 P(T1 t ) P(T2 t ) 1 P(T3 t ) P(T4 t ) 1 P(T5 t ) P(T6 t )

= 1 e 2t , t 0
3

FT (t ) 1 e 2t , t 0
3

f T (t ) 3 1 e 2t

2 e 2t

6e 2t 1 e 2t , t 0
2

3-62Question
Let X 1 , X 2 ,..., X n be independent continuous random variables each with
cumulative distribution function F . Show that the joint cdf of X (1) and X (n ) is

F ( x, y ) F n ( y ) F ( y ) F ( x ) , x y .
n

Solution

F ( x, y) = P( X (1) x, X ( n) y) = P( X ( n) y) P( X (1) x, X ( n) y)
P( X ( n ) y) = P( X 1 y, X 2 y,..., X n y) = F ( y)

Let X (1) =V, X (n ) =U, fUV (u, v) n(n 1) f (u) f (v)F (u) F (v)

n2

P( X (1) x, X ( n) y) = P( x V U y)
=

n(n 1) f (u) f (v)F (u)F (v)

u

n2

= nf (u )F (u ) F (v)
y

n 1

dvdu

u
du
x

= nf (u )F (u ) F ( x) du
y

n 1

= F (u ) F ( x)

y
n
= F ( y) F ( x)
x

F ( x, y) F ( y) F ( y) F ( x) , x y
n

3-63Question
If X 1 ,..., X n are independent random variables, each with the density function f ,
show that the joint density of X (1) ,..., X ( n ) is
n! f ( x1 ) f ( x 2 ) f ( x n ), x1 x 2 x n

Solution

n! f ( x ) f X ( xn )
f X (1) ,...,X ( n ) ( x1 ,..., xn ) X 1
otherwise
0

x1 xn

The n! naturally comes into this formula because, for any set of values, x1 ,..., xn ,
there are n! equally likely assignments for those values to X 1 ,..., X n which all
yield the same values for the order statistics.

3-67Question
Find the density of U ( k ) U ( k 1) if the U i , i 1,..., n are independent uniform
random variables. This is the density of the spacing between adjacent points chosen
uniformly in the interval [0,1].
Solution
U i Uniform(0,1)

f U ( k )U ( k 1) (u k , u k 1 )

n!
1 1 (u k 1 ) k 2 (1 u k ) nk
(k 2)!(n k )!

X U ( k ) U ( k 1)
Let

Y U ( k )

U ( k ) Y

U ( k 1) Y X

0< U ( k 1) < U (k ) <1, 0< y x < y <1, 0< x < y <1

0 1
1
1 1
1

f X ( x)

n!
yx
dy
( y x) k 2 (1 y ) n k dy, Let
z
dz
(k 2)!(n k )!
1 x
1 x

n!
k 2
nk

1 x z 1 z 1 x 1 x dz
0 ( k 2)!( n k )!
1

1
n!
1 x n1 0 z k 2 1 z nk dz
(k 2)!(n k )!

n!1 x
k 1n k 1

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

k 2!n k! n1 x n1 , 0 x 1
n!1 x

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

Note: XBeta ( , )

f X ( x)

( ) 1
x (1 x) 1 , 0 x 1
( )( )

3-69Question
If T1 and T2 are independent exponential random variables, find the
density function of R T( 2) T(1) .
Solution
Ti ~ exp( ) i 1,2

T1 ,T2 indep.

f Ti (t ) e t , t 0

Let V T(1) , U T( 2)
f U ,V (u, v)

2!
(e u )(e v )( F (u )) 0 ( F (u ) F (v)) 0 ( F (v)) 0
0!0!

22 e (u v ) , 0 v u
0 1
R U V
V V
J

1 1
V V
U R V

f R,V (r , v) 22 e ( r vv ) 1

f R (r ) 22 e 2v e r dv
0

= e r 2e 2v dv
0

= e r

R T( 2) T(1) ~ exp( )

0v r v