DEPARTMENT OF MATHEMATICS

INDIAN INSTITUTE OF TECHNOLOGY GUWAHATI

MA225 Probability Theory and Random Processes July - November 2017
Problem Sheet 6 NS

1. Let X and Y be two independent Geometric(p) random variables. Find the PMF of Z = X − Y .

2. Let X and Y be two independent random variables with the DFs FX and FY , respectively. Find the
DFs of Z = max{X, Y }, W = min{X, Y }.

3. If X and Y are independent random variables such that X ∼ P oisson(λ1 ) and Y ∼ P oisson(λ2 ),
what is the distribution of X + Y (that is the p.m.f) and the conditional distribution of X given
X + Y = z (where z is some fixed nonnegative integer)? What is the conditional distribution of X + Y
given X = x?

4. Suppose that items with a probability 13 of being defective are subjected to inspection in such a way
that the probability of an item being inspected is 25 , or in other words 25 th of total number of items are
going to be inspected. Let N be the number of items which pass the inspection desk (both inspected
and uninspected) before the first defective item is found, or discovered. Let X be the number of
defective items (which were not inspected) among the N items.

(a) Find E(X|N ), hence find the value of E(X + N ).

(b) Find the value of Cov(X, N ).
(c) If Y gives the number of items which were not defective among the N items, then find the value
of Cov(X, Y ).

5. (X, Y ) is said to have a bivariate normal distribution with parameters µ1 , µ2 , σ12 , σ22 , ρ if the joint
probability density function is given by

2
2


1 x−µ1 y−µ2 x−µ1 y−µ2
1 − 2 σ1
+ σ2
−2ρ σ1 σ2
f (x, y) = p e 2(1−ρ ) , x, y ∈ R,
2πσ1 σ2 1 − ρ2

where σ1 , σ2 > 0 and −1 < ρ < 1.

(a) Find the marginal probability density functions of X and Y .

(b) Find the conditional probability density functions of Y given X = x as well as that of X given
Y = y. Determine E(Y |X = x) and E(X|Y = y). Also, determine V ar(Y |X = x).
(c) Show that X and Y are independent if ρ = 0.
(d) What is the probability density function of X + Y .
(e) Find ρX,Y .

6. Let X and Y be independent and identically distributed random variable each having exponential
distribution with parameter λ.

(a) Find the PDFs of the random variables X + Y, X − Y, min{X, Y } and max{X, Y }.

1
 (b) Let U = X + Y and V = X − Y . Find the conditional PDF of V given U = u, for some u > 0.
X
(c) Check whether U and Z = X+Y are independent or not.

7. In random sampling with replacement from a population with N distinct objects, let X be the number
of drawings required to get 2 distinct objects. Find E(X) and V ar(X). What do you think would be
the result if X is the number of drawings required to get n(n ≤ N ) distinct objects.

8. Let X and Y be two independent U (0, 1) random variables, and let Z = XY . Find the DF and PDF
of Z.

9. Let X and Y be two independent standard normal random variables. Find the joint PDF and marginal
PDFs of Z = 2X − Y and W = −X + Y . Are they independent?
(
2x, 0 ≤ x ≤ 1
10. Let X be a continuous random variable with PDF f (x) = We know that given
0, otherwise
X = x, the random variable Y is uniformly distributed on [−x, x]. Find the joint PDF of X and Y .
Find the marginal PDF of Y . Determine P {|Y | < X 3 }.

11. Suppose X ∼ U (1, 2), and given X = x, Y is exponential with λ = x. Find Cov(X, Y ).

12. Let X and Y be two independent N (0, 1) random variables. Find Cov(U, V ), where U = 1+X +XY 2
and V = 1 + X.