(c)2017 UM Math Dept

licensed under a Creative Commons

By-NC-SA 4.0 International License.

Homework 6 Solutions
Math 425: Summer 2017
due Friday, August 11
All solutions to written homework problems must be clearly written, with explanations.
A number or sequence of equations without explanation will not get credit. You are
encouraged to work with other students on the homework, but solutions must be written
independently. Homework is due at the start of class (1 pm) on the due date.

1. Let X and Y be independent unif orm[0, 1] random variables.

(a) Find pdf of |X Y |.
(b) Compute E[|X Y |], the expected difference between the two.
Hint: the answer is not 21 .
Solution: Youve probably noticed that youve done several problems like this by now.
But its worth practicing thetwo-step process of finding a cdf and differentiating
shows up all over the place, and absolute values can make things complicated!
(a) Let W = |X Y | and note that the joint density fX,Y (x, y) = 1 for x, y [0, 1]
is the product of the marginal densities by independence. We dont have any sort of
shortcut formula that will help us find the pdf of W , so we need to work out the cdf
by hand. Note that W [0, 1], so for a in this interval,
FW (a) = P (W a) = P (|X Y | a) = P (a x y a).
By plotting the two lines a = x y and x y = a, we see that the region in which
both inequalities hold is the following.

It is easier to use the complementary regions here, since integrating over this region
directly will take three separate integrals. So we see that
Z 1 Z xa Z 1 Z ya
P (a x y a) = 1 1dydx 1dxdy
a 0 a 0
Z 1 Z ya
=12 1dxdy (integrals are the same with x  y)
a 0
a2

1
=12 a+ .
2 2
 Thus the cdf is FW (a) = 2a a2 for 0 a 1, and so the pdf is fW (a) = 2 2a for
0 a 1.
(b) We could use the formula for E[g(X, Y )] here, but since we did all that work in
part (a) its easier to just go from there:
Z Z 1
1
E[|X Y |] = E[W ] = wfW (w)dw = w(2 2w)dw = .
0 3

2. The SAT college admissions test consists of three sections: writing, mathematics and
critical reading. Each is scored between 200 and 800 points, and the scores are normally
distributed. For the writing section the mean is = 484 and standard deviation
= 115; for mathematics, = 511 and = 120; and for reading, = 495 and
= 116.1 An overall score between 600 and 2400, which is the sum of these scores, is
also reported. For this problem we will assume that the scores on the three sections
are independent.

(a) Find the distribution of the overall score, and the overall score giving the 25th
percentile of all scores.
(b) Find the distribution for the average of the writing and reading sections of the
test. What is the probability that this will be over 600?
(c) Find the probability that the score on the mathematics section of the test will
exceed the average of the writing and reading sections.

Solution: (a) This is the sum of three normal distributions, so we know that it is
also normal with a mean equal to the sum of the means of the three distributions
and a variance to the sum of the variances. Thus, with X1 N (497, 1092 ), X2
N (518, 1152 ) and X3 N (503, 1132 ), we have T = X1 + X2 + X3 N (1518, 194.62 ).
Then the score at the 25th percentile is the score t0 with P {T t0 } = 0.25, or
1518
P {Z t0194.6 } = 0.25. From a table of values for the standard normal Z, we have
t0 1518
194.6
0.675, so that t0 = 1387. Note that this is not the same as finding the 25th
percentile of X1 , X2 and X3 and summing them.
(b) The average is the random variable A = 21 (X1 + X3 ). We know that X1 + X3
N (1 + 3 , 12 + 32 ), and that aN (, 2 ) N (a, a2 2 ), so
1 1
A N ( (1 + 3 , (12 + 32 )) = N (500, (1092 + 1132 )/4).
2 4
The probability we want is then
600 500
P {A > 600} = P {Z > p } = 1 P {Z 1.274} 0.102.
(1092 + 1132 )/4
1
Data from 2014 test takers: https://secure-media.collegeboard.org/digitalServices/pdf/sat/sat-
percentile-ranks-crit-reading-math-writing-2014.pdf, retrieved 3/8/2016. Note that the test changed in 2016,
so these results arent representative of the current test.
 (c) We now want P {X2 > A} = P {X2 A > 0}. But X2 A N (518 500, 1152 +
(1092 + 1132 )/4) N (18, 19388), so this is
18
1 P {X2 A < 0} = 1 P {Z < } = 1 P {Z < 0.129} 0.448.
19388

3. Let X and Y be independent U (0, 1) random variables. Let U = X and V = X + Y .

(a) Find the joint density function fU,V (u, v). Dont forget to specify its domain in
terms of u and/or v.
(b) Using your result from (a), find the marginal density function fV (v).

Solution: (a) We have

fX,Y (x, y) 1
fU,V (u, v) = =   = 1,
J(x, y)  1 0


 1 1 

but we have to be careful with the domain. Clearly U = X must have 0 U 1.

Then V = X + Y = U + Y , so u V u + 1. (Note that the domain 0 V 2 cant
be right the joint density integrates to 2, not 1, over u [0, 1], v [0, 2].)
(b) Noting the domain that we found in (a), we calculate
 Rv
1 du = v, 0v<1
fV (v) = R01
v1
1 du = 2 v, 1 v 2

with 0 V 2. Note that this gives a third way to compute the density of V ! We
could also have used the convolution formula, or written out the cdf for V by hand and
then differentiated.

4. Suppose that X and Y are independent geometric random variables with the same
parameter p.

(a) What is the probability P {X = i | X + Y = n}? You may find one or both of
these formulas, for the sums of a geometric sequence and series, helpful:
n
X
k 1 rn+1 X 1
r = and rk = .
k=0
1r k=0
1r

(b) Explain your result intuitively.

Hint: think about how many ways the result youre conditioning on can occur.

Solution: (a) We may approach this in a number of ways. One is to use the definition,
and find a useful way to rewrite the events involved:
P {X = i, X + Y = n} P {X = i, Y = n i}
P {X = i | X + Y = n} = = .
P {X + Y = n} P {X + Y = n}
 The probabilities P {X = i} and P {Y = n i} are easy to calculate from the mass
function for both X and Y , f (k) = p(1 p)k1 ; we have P {X = i} = p(1 p)i1 and
P {Y = n i} = p(1 p)ni1 , so by independence the numerator of the conditional
expression is just
P {X = i}P {Y = n i} = p2 (1 p)n2 .
The denominator can be similarly calculated as
n1
X n1
X
p(1 p)j1 p(1 p)nj1



P {X + Y = n} = P {X = j}P {Y = n j} =
j=1 j=1
n1
X
= p2 (1 p)n2 = (n 1)p2 (1 p)n2 .
j=1

Thus
p2 (1 p)n2 1
P {X = i | X + Y = n} = 2 n2
= .
(n 1)p (1 p) n1
Note that we can also find the probability P {X+Y = n} by conditioning on the value of
X (or Y ): P {X + Y = n} = P {X + Y = n | X = 1} + + P {X + Y = n | X = n 1},
which reduces the same calculation as above. (Neither of these strategies uses the
geometric formulas given, but these formulas are useful to keep in mind, particularly
for geometric random variables theres a reason they are both geometric.)
(b) This result says that if we know the sum X + Y = n (which can occur in n 1
1
ways), then the probability that X = i is n1 . That is, X = i and Y = n i is one of
the n 1 ways that X + Y can equal n, which must all be equally likely.

5. Suppose that two runners, urging each other on, each run until they are exhausted,
and then stop to rest. Suppose the distances (in miles) that they travel are X and Y ,
with joint density function f (x, y) = cexy (c is a constant, 4.558).
(a) Are X and Y independent? Justify.
(b) What is the probability P {X > k | Y = k}? Assume that X, Y [1, ).
Solution: (a) No. The joint pdf is not the product of the marginals; or just note that
there is no way to factor exy into x and y factors (exy 6= ex ey = ex+y ).
(b) The conditional probability fX|Y (x|y) = f (x, y)/fY (y), so we first find
Z x
c xy  c
fY (y) = f (x, y) dx = e  = ey .
1 y x=1 y
Thus
cexy
fX|Y (x|y) = = yeyxy ,
cey /y
and
Z Z
x
k(1x) k(1x) 

P {X > k | Y = k} = fX|Y (x|k) dx = ke dx = e  = ek(1k) .
k k x=k
6. Let X and Y be independent random variables.
(a) Prove that E[X|Y ] = E[X], just as one would hope, in the case that X and Y
are discrete. Hint: this is not long; just use the definition.
(b) Repeat (a) in the continuous case.
(c) Prove that E[XY ] = E[X]E[Y ] in the case that X and Y are discrete.
(d) Repeat (c) in the continuous case.
(e) Suppose X and Y have means and variances x and y , x2 and y2 , respectively.
Find a value (in terms of x , y , x2 and y2 ) for E[X(X + Y )Y ].

Solution: (a) Since X and Y are independent, pX|Y (x|y) = pX (x), so

X X
E[X|Y ] = xpX|Y (x|y) = xpX (x) = E[X].
x x

(b) Since X and Y are independent, fX|Y (x|y) = fX (x), so

Z Z
E[X|Y ] = xfX|Y (x|y) = xfX (x) = E[X].

(c) Since X and Y are independent, p(x, y) = pX (x)pY (y). Using the formula for
E[g(X, Y )] with g(x, y) = xy, we have
XX XX
E[XY ] = xyp(x, y) = xypX (x)pY (y).
x y x y

Now x and pX (x) dont depend on y, so we can factor them out of the inner sum:
X X X X
= xpX (x) ypY (y) = xpX (x)E[Y ] = E[Y ] xpX (x) = E[X]E[Y ].
x y x x

(d) Since X and Y are independent, f (x, y) = fX (x)fY (y). Using the formula for
E[g(X, Y )] with g(x, y) = xy, we have
Z Z Z Z
E[XY ] = xyf (x, y)dxdy = xyfX (x)fY (y)dxdy.

Now y and fY (y) dont depend on x, so we can factor them out of the inner
integral:
Z Z Z Z
= yfY (y) xfX (x)dxdy = yfY (y)E[X]dy = E[X] yfY (y)dy,

which equals E[X]E[Y ].

(e) We have E[X(X + Y )Y ] = E[X 2 Y + XY 2 ] = E[X 2 Y ] + E[XY 2 ]. Then,

because X and Y are independent, so are X 2 and Y , and X and Y 2 . So E[X 2 Y ]+
E[XY 2 ] = E[X 2 ]E[Y ] + E[X]E[Y 2 ] = (x2 + 2x )y + x (y2 + 2y ).
7. On a typical day of class, there are 34 people in our classroom. Assuming that each
person has an equal probability of having their birthday fall on any day of the year,
find the expected number of distinct birthdays among those present.
Solution: Let Xj be an indicator variable that is 0 if no one has a birthday on day
j of the year, and 1 otherwise (1 j 365). Then the probability that no one has
a birthday on a given day is p = ( 364
365
)34 , and the probability that at least one person
does is 1 p. The expected number of days X with birthdays is therefore
365 365  34 !
X X 364
E[X] = E[Xj ] = 1(1 p) = 365(1 p) = 365 1 32.5.
j=1 j=1
365

So we expect 32 or 33 distinct birthdays (which also implies we expect at least one

shared birthday).