Homework 10

Section 4.2
Problems: 1, 4, 5, 7
4.2-1 The joint p.m.f. in tabular form is:

Therefore, the mean of X is:

2    
X 14 18 50 25
E(X) = xf (x) = 1 +2 = =
x=1
32 32 32 16

And, the mean of Y is:

4        
X 5 7 9 11 90 45
E(Y ) = yf (y) = 1 +2 +3 +4 = =
y=1
32 32 32 32 32 16

To calculate the variance of X, first calculate the expected value of X 2 :

2    
X 14 18 86 43
E(X 2 ) = x2 f (x) = 1 +4 = =
x=1
32 32 32 16

Therefore, the variance of X is:

 2
2 2 43 25 688 − 625 63
σX = E(X ) − µ2X = − = =
16 16 256 256

To calculate the variance of Y , first calculate the expected value of Y 2 :

4        
2
X
2 5 7 9 11 290 145
E(Y ) = y f (y) = 1 +4 +9 + 16 = =
y=1
32 32 32 32 32 16

Therefore, the variance of Y is:

 2
145 45 2320 − 2025 295
σY2 = E(Y ) −2
µ2Y = − = =
16 16 256 256
 To calculate the correlation between X and Y , first calculate the expected value of XY :
2 X 4        
X 2 3 5 6 140 70
E(XY ) = xyf (x, y) = (1)(1) + (1)(2) + ... + (2)(3) + (2)(4) = =
x=1 y=1
32 32 32 32 32 16

Therefore, the covariance between X and Y is:

  
70 25 45 1120 − 1125 −5
Cov(X, Y ) = E(XY ) − µX µY = − = =
16 16 16 256 256
And that makes the correlation between X and Y therefore:
Cov(X, Y ) −5/256 −5
ρ= =p p =√ √ = −0.0367
σX σY 63/256 295/256 63 295
The correlation coefficient indicates that X and Y are dependent, as we previously illustrated using different
methodology in problem 4.1-3g.
4.2-4 (a) The random variable X is a binomial random variable with n = 3 and p = 1/6. Therefore, the mean of X
is:
 
1 1
µX = np = 3 =
6 2
(b) The random variable Y is binomial random variable with n = 3 and p = 1/2. Therefore, the mean of Y
is:
 
1 3
µY = np = 3 =
2 2
(c) The random variable X is a binomial random variable with n = 3 and p = 1/6. Therefore, the variance
of X is:
  
2 1 1 15 5
σX = np(1 − p) = 3 1− = =
6 6 36 12
(d) The random variable Y is a binomial variable with n = 3 and p = 1/2. Therefore, the variance of Y is:
  
1 1 3
σY2 = np(1 − p) = 3 1− =
2 2 4
(e) In order to find the covariance between X and Y , we need to use the trinomial p.m.f. to find some
probabilities:
 1  1  1
3! 1 3 2 36
f (1, 1) = =
1!1!1! 6 6 6 216
 1  2  0
3! 1 3 2 27
f (1, 2) = =
1!2!0! 6 6 6 216
 2  1  0
3! 1 3 2 9
f (2, 1) = =
2!1!0! 6 6 6 216
 Now, to first find the expected value of XY :
36 54 18 108
E(XY ) = (1)(1)f (1, 1) + (2)(1)f (2, 1) + (1)(2)f (1, 2) = + + =
216 216 216 216
And, therefore, the covariance is:
  
108 1 3 108 − 162 54 1
Cov(X, Y ) = E(XY ) − µX µY = − = =− =−
216 2 2 216 216 4

(f) The correlation between X and Y is:

Cov(X, Y ) = 1/4
ρ= =p p = −0.45
σX σY 15/36 3/4

4.2-5 First, rewrite K(a, b) as:

K(a, b) = E (Y − (a + bX))2 = E(Y 2 ) − 2aE(Y ) − 2bE(Y ) + E((a + bX)2 )

Now, changing the notation a bit, and simplifying yet more, we get:

K(a, b) = (σY2 + µ2Y ) − 2aµY − 2b(µX µY + ρσX σY ) + E(a2 + 2abX + b2 X 2 )

And simplifying even a bit more:

K(a, b) = σY2 + µ2Y − 2aµY − 2bµX µY − 2bρσX σY + a2 + 2abµX + b2 (σX

2
+ µ2X )

Now, taking the partial derivative of K(a, b) first with respect to a, and setting it equal to 0, we get:
∂K(a, b)
= −2µY + 2a + 2bµX ≡ 0
∂a
And solving for a:

a = µY − bµX

Now, taking the partial derivative of K(a, b) first with respect to b:

∂K(a, b) 2
= −2µX µY − 2ρσX σY + 2aµX + 2bσX + 2bµ2X
∂b
Substituting in what we know about a now:
∂K(a, b) 2
= −2µX µY − 2ρσX σY + 2(−µY − bµX )µX + 2bσX + 2bµ2X
∂b
And simplifying, and setting to 0, we get:
∂K(a, b) 2
= −2ρσX σY + 2bσX ≡0
∂b
And solving for b, we get:
ρσX σY ρσY
b= 2 =
σX σX
4.2-7 (a) The joint p.m.f. in tabular form is:

Therefore, the random variables X and Y must be dependent, because the support is not rectangular.

(b) The expected value of XY is:

       
1 1 1 1
E(XY ) = (0)(0) + (1)(−1) + (1)(1) + (2)(0) =0
4 4 4 4

Therefore, the covariance between X and Y is:

  
2 2 1 1
Cov(X, Y ) = E(XY ) − µX µY = 0 − 0 + + − +0+ =0−0=0
4 4 4 4

And, therefore the correlation between X and Y is:

Cov(X, Y ) 0
ρ= = =0
σX σY σX σY
Section 4.3
Problems: 1, 2, 3

4.3-1 (a) We previously showed (in problem 4.2.1) that the joint PMF of X and Y in tabular form is:

f (x, y) 1 2 3 4 fx (x)
2 3 4 5 14
X 1 32 32 32 32 32
3 4 5 6 18
2 32 32 32 32 32
5 7 9 11
fY (y) 32 32 32 32 1
Although the above table presents the marginal PMFs of X and Y in tabular form, we also showed (in
problem 4.2.1) that the formula for the marginal PMF of X is:
4
X x+y 4x + 10
fX (x) = =
y=1
32 32

and the formula for the marginal PMF of Y is:

2
X x+y 2y + 3
fY (y) = =
x=1
32 32

(b) The conditional distribution of X given Y is:

f (x, y) x + y 2y + 3 x+y
g(x|y) = = ÷ =
fY (y) 32 32 2y3

for x = 1, 2 and y = 1, 2, 3, 4. Therefore, the conditional distribution of X given Y in tabular form is:

g(x|y) 1 2 3 4
2 3 4 5
X 1 5 7 9 11
3 4 5 6
2 5 7 9 11
1 1 1 1

(c) The conditional distribution of Y given X is:

f (x, y) x + y 4x + 10 x+y
h(y|x) = = ÷ =
fX (x) 32 32 4x + 10

for x = 1, 2 and y = 1, 2, 3, 4. Therefore, the conditional distribution of Y given X in tabular form is:

h(x|y) 1 2 3 4
2 3 4 5
X 1 14 14 14 14
3 4 5 6
2 18 18 18 18
1 1 1 1
 (d) The probability that Y is between 1 and 3 (inclusive) given that X is 1 is:
2 3 4 9
P (1 ≤ Y ≤ 3|X = 1) = + + =
14 14 14 14
The probability that Y is at most 2 given that X is 2 is:
3 4 7
P (Y ≤ 2|X = 2) = + =
18 18 18
The probability that X is 2 given that Y is 3 is:
5
P (X = 2|Y = 2) = g(2|3) =
9
(e) The conditional mean of Y given that X = 1 is:
       
X 2 3 4 5 40 20
yh(y|1) = 1 +2 +3 +4 = =
y
14 14 14 14 14 7

The conditional expectation of Y 2 given that X = 1 is:

       
X
2 2 2 2 3 2 4 2 5 130
y h(y|1) = 1 +2 +3 +4 =
y
14 14 14 14 14

Therefore, the conditional variance of Y given that X = 1 is:

 2
2 130 2 40 1820 − 1600 220
Var(Y |X = 1) = E(Y |X = 1) − (E(Y |X = 1)) = − = =
14 14 196 196

4.3-2 The joint p.m.f. of X and Y is:

h(x|y) 1 2 fX (x)
3 1 4
X 1 8 8 8
1 3 4
2 8 8 8
4 4 1
fY (y) 8 8 8

Using the following formula to find the conditional PMF of X given Y is:

f (x, y)
g(x|y) =
fY (y)
we get that the conditional PMF of X given Y is:

g(x|y) 1 2
3 1
X 1 4 4
1 3
2 4 4
1 1
 Then, the conditional expectation of X given Y = 1 is:

2    
X 3 1 5
E(X|Y = 1) = xg(x|1) = 1 +2 =
x=1
4 4 4

And, the conditional expectation of X given Y = 2 is:

2    
X 1 3 7
E(X|Y = 2) = xg(x|2) = 1 +2 =
x=1
4 4 4

Now, using the following formula to find the conditional PMF of Y given X is:

f (x, y)
h(y|x) =
fX (x)

we get that the conditional p.m.f. of Y given X is:

h(x|y) 1 2
3 1
X 1 4 4
1 3
2 4 4
1 1

Then, the conditional expectation of Y given X = 1 is:

2    
X 3 1 5
E(Y |X = 1) = xg(x|1) = 1 +2 =
x=1
4 4 4

Then, the conditional expectation of Y given X = 2 is:

2    
X 1 3 7
E(Y |X = 2) = xg(x|2) = 1 +2 =
x=1
4 4 4

4.3-3 (a) The joint p.m.f. of X and Y is the trinomial p.m.f. with n = 50 and p1 = 0.02 and p2 = 0.90. That is:

50!
f (x, y) = 0.02x 0.90y 0.0850−x−y
x!y!(50 − x − y)!

where x and y are nonnegative integers with x + y ≤ 50.

(b) The marginal p.m.f. of Y is the binomial p.m.f. with n = 50 and p = 0.90. (And, the marginal p.m.f. of
X is the binomial p.m.f. with n = 50 and p = 0.02).
(c) The conditional p.m.f. of Y given that X = x is:

f (x, y) 50! 50!

h(y|x) = = 0.02x 0.90y 0.0850−x−y ÷ 0.02x 0.9850−x
fX (x) x!y!(50 − x − y)! x!(50 − x)!
 Canceling out the things that we can, we get:

(50 − x)!
h(y|x) = 0.90y 0.0850−x−y ÷ 0.9850−x
y!(50 − x − y)!

Now, rearranging and then multiplying by 1, we get:

(50 − x)! 0.90y 0.0850−x−y 0.98−y

h(y|x) = ÷
y!(50 − x − y)! 0.9850−x 0.98−y

And, collecting like terms, we finally get:

 y  50−x−y
(50 − x)! 0.90 0.08
h(y|x) = ×
y!(50 − x − y)! 0.98 0.98

for y = 0, 1, 2, . . . , 50−x. That is, Y given X = 3 is binomial with n = 50−3 = 47 and p = 0.90/0.98 =
0.918.
(d) The conditional mean of Y given X = 3 is np = 47(0.918) = 43.16.
(e) Using the formula for the correlation coefficient between trinomial X and Yas derived in Example 4.3.3 on
p. 201, we get:
r s
p1 p2 0.02(0.90)
ρ=− =− = −0.429
(1 − p1 )(1 − p2 ) (0.98)(0.10)

It shouldnt be too much of a surprise that the correlation coefficient is negative, as youd expect that as one
of the variables, say X, goes up, the other one, say Y, goes down.