Probability and Statistics (SPAS230C)

Problem Set V

Note: Let X be a random variable of discrete type with support EX and the p.m.f. pX .
Let h : R R be a function. Then Z = h(X) is a random variable of discrete type with
support EZ = {h(x) : x EX } and p.m.f.
X
pX (x) if z EZ
p(z) = xAz
0 otherwise

where AZ = {x EX : h(x) = z}.

1. Let X be a random variable with p.m.f.

1
7 if x {2, 1, 0, 1}
3
p(x) = if x {2, 3}
14
0 otherwise
(a) Find the m.g.f. of X.
(b) Find the p.m.f. of Z = X 2 and its distribution function.
Answer: (a) The m.g.f. of X is X (t) = 71 (e2t + et + et + 1) + 3
14
(e2t + e3t ) (b) The
p.m.f. of Z is
1

7
if z = 0
2
7 if z = 1


5
pZ (z) = 14
if z = 4
3
if z = 9


14


0 otherwise
and the distribution function of Z is


0 if z < 0
17 if 0 z < 1


3
FZ (z) = 7
if 1 z < 4
11
if 4 z < 9



14
1 z9

2. Let X be a random variable with p.m.f.

 1 2 x
( ) if x {0, 1, 2, }
3 3
p(x) =
0 otherwise
X
Find the distribution function of Z = X+1 and hence find p.m.f. of Z.
Answer: The distribution function of Z is

0 if z < 0
FZ (z) = 2 i+1 i
1 (3) if i+1 z < i+1
i+2
, i {0, 1, 2, }
and p.m.f. of Z is
 z
1 2 1z
( ) if z {0, 12 , 13 , }
fZ (z) = 3 3
0 otherwise
3. Let S be a sample space and P be a probability function defined for all events. Let A
and B be two events. Define the following random variables
 
1 if w A 1 if w B
X(w) = and Y (w) = .
0 otherwise 0 otherwise

Then show that X and Y are independent if and only if A and B are independent.

4. Let X1 and X2 be i.i.d. random variables with common p.m.f. P (X = 1) = 21 . Show

that X1 , X2 , X3 are pairwise independent but not independent, where X3 = X1 X2 .

5. Let X be a random variable with p.d.f.

 x
e if x > 0
f (x) =
0 otherwise

Find the distribution function Z = X 2 and hence find its p.d.f.

Answer: The distribution function of Z is

0
if z < 0
FZ (z) = z
1e if z 0

and p.d.f. of Z is
(
e z
2 z
if z > 0
fZ (z) =
0 otherwise

6. Let X and Y be two random variables with joint p.d.f.

 1+xy
4
if |x| < 1, |y| < 1
f (x, y) =
0 otherwise

Then show that X and Y are not independent but X 2 and Y 2 are independent.

7. Let X be a random variable with p.d.f.


6x(1 x) if 0 < x < 1
f (x) =
0 otherwise

Find the distribution function Z = X 2 (3 2X) and hence find its p.d.f.
Answer: The distribution function of Z is

0 if z < 0
FZ (z) = z if 0 z < 1
1 if z 1

and p.d.f. of Z is

1 if 0 < z < 1
fZ (z) =
0 otherwise

et e2t
8. If m.g.f. of a random variable X is X (t) = 3t
, for t 6= 0, then find a p.d.f. of X.

2
 9. Let X be a random variable with p.d.f.
x
if 0 < x 1
12


2
if 1 < x 2
f (x) = 3x
if 2 < x 3
2


0 otherwise
Find the expected value of Y = X 2 5X + 3.
Answer: 116

10. Let X N(, 2 ) be a normal random variable. Then show that the random variable
Y = (X )2 / 2 is distributed as gamma distribution G(1/2, 1/2). Let us now consider
n independent Normal random variables Xi N(i , i2 ), i = 1, 2, ..., n, and define the
new variable n
2
X (X i )2
n = .
i=1
i2
Show that 2n , will be distributed as G(1/2, n/2), which have a p.d.f.
1 1 2
f (2n ) = (2n )n/21 e( 2 n ) .
2n/2 (n/2)
This is known as the chi-squared distribution of order n and has numerous applications
in statistics.
Note: Normal Approximation to Binomial Bin(n, p) is good if np(1 p) 10 .
Similarly Normal Approximation to Poisson P () is good if 10.
Table of continuity correction:
Discrete Continuous
P (X = a) P (a 0.5 < X < a + 0.5)
P (X > a) P (X > a + 0.5)
P (X a) P (X < a + 0.5)
P (X < a) P (X < a 0.5)
P (X a) P (X > a 0.5)
11. The ideal size of a first-year class at a particular college is 150 students. The college,
knowing from past experience that, on the average, only 30 percent of those accepted
for admission will actually attend, uses a policy of approving the applications of 450
students. Compute the probability that more than 150 first-year students attend this
college.
Answer: 0.06
12. Suppose cars arrive at a parking lot at a rate of 50 per hour. Lets assume that the
process is a Poisson random variable with = 50. Compute the probability that in
the next hour the number of cars that arrive at this parking lot will be between 54 and
62.
Answer: 0.2718
13. An insurance company has 25, 000 automobile policy holders. If the yearly claim
of a policy holder is a random variable with mean 320 and standard deviation 540,
approximate the probability that the total yearly claim exceeds 8.3 million.
Answer: 0.00023.

3
14. In a Municipal election to select the post of the Chairman, suppose 50% of the popu-
lation supports Arjun, 20% supports Sarika, and the rest are split between Nisar, John
and Rohini. A poll asks 400 random people who they support. Use the central limit
theorem to estimate the probability that less than 25% of those polled prefer Nisar,
John and Rohini?
Answer: 0.0145.

15. If the mean and standard deviation of serum iron values for healthy men are 120 and
15 micrograms per 100 ml, respectively, what is the probability that a random sample
of 50 normal men will yield a mean between 115 and 125 micrograms per 100 ml?
Answer: 0.9818.