1.

Let us define a RV

1, ith person receive a present
Xi =
0 otherwise
by definition X = X1 + X2 + . . . + XM

also define RV’s

Hi := ith person’s outcome is head,

Ti := ith person’s outcome is tail,
E(Xi ) = P (xi = 1)
= P (Hi−1 Ti Hi+1 ) + P )Ti−1 Hi Ti+1 )
= 1/4

Hence E(X) = M/4.

M
X M X
X
V ar(X) = V ar(Xi ) + Cov(Xi Xj )
i=1 i=1 i6=j

V ar(xi ) = 3/16
Note that Xi , Xj are independent for 2 < |i − j| < M − 2.
Also Cov(X1 , x2 ) = Cov(X2 , x3 ) = . . . = Cov(XM , X1 ). and
Cov(X1 , x3 ) = Cov(X3 , x5 ) = . . . = Cov(XM , X2 ).

Cov(X1 , X2 ) = E(X1 X2 ) − E(X1 )E(X2 )

= P (X1 = 1, X2 = 1) − 1/16
= P (HM T1 H2 T3 ) + P (TM H1 T2 H3 ) − 1/16
= 1/16

Cov(X1 , X3 ) = E(X1 X3 ) − E(X1 )E(X3 )

= P (HM T1 H2 T3 H4 ) + P (TM H1 T2 H3 T4 ) −
= 0
∴ V ar(X) = 3M/16 + 2M.1/16 + 2M.0 = 5M/16

2. The MGF of the RV X is given by

1 9 3
E(etX ) = et + e3t + e7t
4 16 16
which is well defined for all t ∈ R.

1
3. The MGF of the RV X is given by
1
et − 1
Z
MX (t) = E(etX ) = 1.etx dx =
0 t

MX (0) = 1
∴ MX (t) is defined ∀x ∈ R

et − 1
MX (t) =
t
∞ k
1 X t
=
t k!
k=1
∞
1X tk
=
t (k + 1)k!
k=0
1
∴ E(X k ) = , k = 0, 1, 2, . . .
k+1
Now X ∼ Exp(λ)
Z ∞
MX (t) = E(etX ) = λ etx e−λx dx
0
λ
= , t<λ
λ−t
1
=
1 − λ/t
∞
X
= (t/λ)k , |t/λ| < 1
k=0
∞ k
X t k!
=
k! λk
k=0
k!
∴ E(X k ) = k , k = 0, 1, 2, . . .
λ

4. The required result can be proved by proving

√
lim nln(MX (t/ n)) = t2 /2
n→∞

√
ln(MX (t/ n)) ln(MX (zt)) 0 1
lim = lim 2
[ form] [Putting √ = z]
n→∞ 1/n z→0 z 0 n
t
M (zt) MX 0(zt) 0
= lim X [ form] [Applying L’Hospital rule]
z→0 2z 0
2
= t /2 [Again applying L’Hospital rule]

2
5. Given that Y = AX + b

∴ X = A−1 (Y − b) = H(Y)

The PDF of Y is given by

fY (y) = fX (H(y))|J|

where J = det(A−1 ) = 1/det(A)

1
∴ fY (y) = | |fX (A−1 (y − b))
det(A)

6. The join PDF of X, Y is given by

 R1 1 1 2 1
0 3 (x + 2y + 3z)dz = 3 x + 3 y + 2 , 0 ≤ x, y ≤ 1
fX,Y (x, y) =
0, otherwise

7. Xi ∼ P oisson(λi )
∞
X λki t
MXi (t) = e−λi etk = eλi (e −1)
k!
k=0

Since Xi ’s are independent

Pn
λi (et −1)
MY (t) = MX1 (t).MX2 (t). . . . .MXn (t) = e i=1

n
X
∴ Y ∼ P oisson( λi )
i=1

8. Let U = sX + tY ∼ N (sµ1 + tµ2 , s2 σ12 + t2 σ22 + 2stρσ1 σ2 )

1 2 2
The MGF of normal distributed RV is eµt+ 2 σ t

MX,Y (s, t) = E(esX+tY ) = E(eU )

1 2 σ 2 +t2 σ 2 +2stρσ σ ]
= e(sµ1 +tµ2 )+ 2 [s 1 2 1 2

which is well defined for all s, t ∈ R