Department of Mathematics, IIT Madras

MA 2040 : Probability, Statistics and Stochastic Processes

January - May 2018

Problem Set - I
23.01.2018

PART I

Probability Law, Conditional Probability, Independence

1. A six-sided die is loaded/made in a way that each even face is twice as likely as each odd face. All
even faces are equally likely, as are all odd faces. Construct a probabilistic model for a single roll of
this die and find the probability that the outcome is less than 4.

2. Let S1 , S2 , . . . , Sn be a partition of the sample space Ω.

n
P
(a) Show that for any event A, P (A) = P (A ∩ Si ).
i=1
(b) Use part (a) to show that, for events A, B and C,

P (A) = P (A ∩ B) + P (A ∩ C) + P (A ∩ B c ∩ C c ) − P (A ∩ B ∩ C).

3. (a) Prove that, for any two events A and B, P (A ∩ B) ≥ P (A) + P (B) − 1.
(b) Using (a), establish the following generalization:

P (A1 ∩ A2 ∩ · · · ∩ An ) ≥ P (A1 ) + P (A2 ) + . . . + P (An ) − (n − 1).

4. Let A1 , A2 , . . . , An be events. If S1 = {i : 1 ≤ i ≤ n}, S2 = {(i1 , i2 ) : 1 ≤ i1 < i2 ≤ n} and more

generally, Sm is the set of all m-tuples (i1 , . . . , im ) of indices that satisfy 1 ≤ i1 < i2 < . . . < im ≤ n,
then prove that
X X X
P (∪nk=1 Ak ) = P (Ai )− P (Ai1 ∩Ai2 )+ P (Ai1 ∩Ai2 ∩Ai3 )−. . .+(−1)n−1 P (∩nk=1 Ak ).
i∈S1 (i1 ,i2 )∈S2 (i1 ,i2 ,i3 )∈S3

5. Two fair 6-sided dice are rolled.

(a) Given that the roll results in a sum of 4 or less, find the conditional probability that doubles are
rolled.
(b) Given that the two dice land on different numbers, find the conditional probability that at least
one die roll is a 6.

6. A batch of 100 items is inspected by testing 4 randomly selected items. If one of the four is defective,
the batch is rejected. What is the probability that the batch is accepted, if it contains exactly five
defectives?

7. A cellular phone system serves a population of n1 “voice users” (those who occasionally need a voice
connection ) and n2 “data users” (those who occasionally need a data connection ). We estimate that

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 at a given time, each user will need to be connected to the system with probability p1 (for voice users)
or p2 (for data users), independent of other users. The data rate for a voice user is r1 bits/sec and for a
data user is r2 bits/sec. The cellular system has a total capacity of c bits/sec. What is the probability
that more users want to use the system than the system can accommodate?

8. Consider a coin that comes up heads with probability p and tails with probability 1 − p. Let qn be the
probability of obtaining even number of heads in n independent tosses. Derive a recursion that relates
qn to qn−1 and establish the formula qn = (1 + (1 − 2p)n )/2.

9. Two players A and B alternately roll a pair of unbiased dice. A wins if on a throw he obtains exactly
six points before B gets seven points, B winning in the opposite event. If A begins the game, prove
that his probability of winning is 30/61.

10. In a certain community, it is found that 60% of all property owners oppose an increase in the property
tax while 80% of non-property owners favor it. If 65% of all registered voters are property owners,
what proportion of registered voters favor the tax increase?

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 PART II

Discrete Random Variables

1. An internet service provider uses 50 modems to serve the needs of 1000 customers. It is estimated that
at a given time, each customer will need a connection with probability 0.01, independent of the other
customers.

(a) What is the PMF of the number of modems in use at the given time?
(b) Repeat part (a) by approximating the PMF of the number of customers that need a connection
with a Poisson PMF.
(c) What is the probability that there are more customers needing a connection than there are
modems? Provide an exact, as well as an approximate formula based on the Poisson approximation
of part (b).

2. You go to a party with 500 guests (including yourself). What is the probability that exactly one
other guest has the same birthday as you? Calculate this exactly and also approximately by using the
Poisson PMF. (For simplicity, exclude birthdays on February 29).

3. You just rented a large house and the realtor gave you 5 keys, one for each of the 5 doors of the house.
Unfortunately, all keys look identical, so to open the front door, you try them at random.

(a) Find the PMF of the number of trials you will need to open the door, under the following
alternative assumptions:
(i) after an unsuccessful trial, you mark the corresponding key, so that you never try it again,
and
(ii) at each trial you are equally likely to choose any key.
(b) Repeat part (a) for the case where the realtor gave you an extra duplicate key for each of the 5
doors.

4. (a) A family has 5 natural children and has adopted 2 girls. Each natural child has equal probability
of being a girl or a boy, independent of the other children. Find the PMF of the number of girls
out of the 7 children.
(b) Let K be a random variable that takes, with equal probability 1/(2n + 1), the integer values in
the interval [−n, n]. Find the PMF of the random variable Y = ln X, where X = a|K| , and a is a
positive number.

5. (St. Petersburg paradox). You toss independently a fair coin and you count the number of tosses until
the first tail appears. If this number is n, you receive 2n dollars. What is the expected amount that
you will receive? How much would you be willing to pay to play this game?

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 6. A stock market trader buys 100 shares of stock A and 200 shares of stock B. Let X and Y be the price
changes of A and B, respectively, over a certain time period. and assume that the joint PMF of X and
Y is uniform over the set of integers x and y satisfying

−2 ≤ x ≤ 4, −1 ≤ y − x ≤ 1.

(a) Find the marginal PMFs and the means of X and Y .

(b) Find the mean of the trader’s profit.

7. A class of n students takes a test consisting of m questions. Suppose that student i submitted answers
to the first mi questions.

(a) The grader randomly picks one answer, call it (I, J), where I is the student ID number (taking
values 1, . . . , n) and J is the question number (taking values 1, . . . , m). Assume that all answers
are equally likely to be picked. Calculate the joint and the marginal PMFs of I and J.
(b) Assume that an answer to question j, if submitted by student i, is correct with probability pij .
Each answer gets a points if it is correct and gets b points otherwise. Calculate the expected value
of the score of student i.

8. Consider four independent rolls of a 6-sided die. Let X be the number of 1s and let Y be the number
of 2s obtained. What is the joint PMF of X and Y ?

9. A coin that has probability of heads equal to p is tossed successively and independently until a head
comes twice in a row or a tail comes twice in a row. Find the expected value of the number of tosses.

10. Suppose that X and Y are independent, identically distributed, geometric random variables with
parameter p. Show that

1
P (X = i|X + Y = n) = , i = 1, . . . , n − 1.
n−1

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 PART III

Continuous Random Variables

1. Let X be uniformly distributed in the unit interval [0, 1], Consider the random variable Y = g(X),
where (
1, if x ≤ 31
g(x) =
2, if x > 13 .
Find the expected value of Y by first deriving its PMF. Verify the result using expected value rule.

2. Let the PDF of X be given by

λ
fX (x) = exp (−λ|x|),
2
where λ > 0. Verify that fX satisfies normalization condition, and evaluate mean and variance of X.

3. Show that the expected value of a discrete or continuous random variable X satisfies
Z ∞ Z ∞
E[X] = P (X > x)dx − P (X < −x)dx
0 0

4. Consider a triangle and a point chosen within the triangle according to the uniform probability law.
Let X be the distance from the point to the base of the triangle. Given the height of the triangle, find
the CDF and the PDF of X.

5. Consider two continuous random variables Y and Z, and a random variable X that is equal to Y with
probability p and to Z with probability 1 − p.

(a) Show that the PDF of X is given by

fX (x) = pfY (x) + (1 − p)fZ (x).

(b) Calculate the CDF of the two-sided exponential random variable that has PDF given by
(
pλ exp (λx), if x < 0
g(x) =
(1 − p)λ exp (−λx), if x ≥ 0,

where λ > 0 and 0 < p < 1.

6. Let X be a normal random variable with zero mean and standard deviation σ. Use the normal tables
to compute the probabilities of the events {X ≥ kσ} and {|X| ≤ kσ} for k = 1, 2, 3.

7. A point is chosen at random ( according to a uniform PDF) within a semicircle of the form {(x, y) :
x2 + y 2 ≤ r2 , y ≥ 0}, for some given r > 0,

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 (a) find the joint PDF of the coordinates X and Y of the chosen point.
(b) find the marginal PDF of Y and use it to find E[Y ].
(c) Check your answer in (b) by computing E[Y ] directly without using the marginal PDF of Y .

8. Let X be a random variable with PDF

(
x
4, 1<x≤3
fX (x) =
0, otherwise,

and let A be the event {X ≥ 2}

(a) Find E[X], P (A), fX|A (x) and E[X | A].

(b) Let Y = X 2 . Find E[Y ] and var[Y ].

9. Let the random variables X and Y have a joint PDF which is uniform over the triangle with vertices
at (0, 0), (0, 1), and (1, 0).

(a) Find the joint PDF of X and Y .

(b) Find the marginal PDF of Y .
(c) Find the conditional PDF of X given Y .
(d) Find E[X|Y = y], and use the total expectation theorem to find E[X] in terms of E[Y ].
(e) Use the symmetry of the problem to find the value of E[X].

10. A defective coin minting machine produces coins whose probability of heads is a random variable Y
with PDF (
y exp (y), if y ∈ [0, 1]
fY (y) =
0, otherwise.
A coin produced by this machine is selected and tossed repeatedly, with successive tosses assumed
independent.

(a) Find the probability that a coin toss results in heads.

(b) Given that a coin toss resulted in heads, find the conditional PDF of Y .
(c) Given that the first coin toss resulted in heads, find the conditional probability of heads on the
next toss.