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Problem Sheet 3.1

The document contains a set of practice problems related to stochastic models, focusing on joint and marginal probability mass functions, conditional mass functions, and joint density functions. It includes various scenarios involving discrete and continuous random variables, requiring calculations of probabilities and verification of properties of distribution functions. The problems aim to deepen understanding of stochastic processes and their applications.

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anish choudhary
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30 views2 pages

Problem Sheet 3.1

The document contains a set of practice problems related to stochastic models, focusing on joint and marginal probability mass functions, conditional mass functions, and joint density functions. It includes various scenarios involving discrete and continuous random variables, requiring calculations of probabilities and verification of properties of distribution functions. The problems aim to deepen understanding of stochastic processes and their applications.

Uploaded by

anish choudhary
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

E1 222 Stochastic Models and Applications

Practice Problems: Set 3.1


(You need not submit the solutions)

1. Consider the random experiment of rolling two fair dice. Let X denote
the maximum of the two numbers and let Y denote the minimum of
the two numbers. Calculate the joint probability mass function of X, Y
and calculate the marginal mass function of X and Y from the joint
mass function. Find the conditional mass function of Y given X.

2. Let X, Y be discrete random variables taking values in {1, 2, · · · , N }


with joint probability mass function
1
fXY (x, y) = , 1≤y≤x≤N
Nx
Find the marginal mass function of X, and the conditional mass func-
tion fY |X .

3. Let (X, Y ) have joint density


1
fXY (x, y) = [1 + xy(x2 − y 2 )], |x| ≤ 1, |y| ≤ 1.
4
Find the marginal and conditional densities. Find P [X > 0 | Y = 0].

4. Let (X, Y ) have joint density

fXY (x, y) = x + y, 0 < x < 1, 0 < y < 1.

Find the marginal densities and the conditional densities. Find P [X >
2Y ]. Calculate P [X > 0.5 | Y = 0.5] and P [X > 0.5].

5. Let f (x, y) = e−x−y , x > 0, y > 0. Show that this a joint density
function. Find the marginals and the conditional densities.

6. Let FXY be a joint distribution function with FX and FY being the


corresponding marginal distribution functions. Show that

1 − (1 − FX (x) + 1 − FY (y)) ≤ FXY (x, y) ≤ min(FX (x), FY (y)), ∀x, y

1
7. Let

F (x, y) = 0, if x < 0, or y < 0, or x + y < 1


= 1, otherwise

Show that F satisfies the following: F (−∞, y) = F (x, −∞) = 0;


F (∞, ∞) = 1; F is non-decreasing and right continuous in each vari-
able. Is F (x, y) a distribution function?
(Hint: If it were the joint distribution of two random variables, X, Y ,
what would be P [1/3 < X ≤ 1, 1/3 < Y ≤ 1]).

8. Let F1 and F2 be two one dimensional continuous distribution functions


with f1 and f2 being the corresponding densities. Define a function
f : ℜ2 → ℜ by

f (x, y) = f1 (x)f2 (y) [1 + α(2F1 (x) − 1)(2F2 (y) − 1)]

where α is a real number. Show that f (x, y) is a two dimensional


density function for all α ∈ (−1, 1). Show that the two marginals of
f (x, y) are f1 and f2 (irrespective of the value of α).
(Hint: Note
R∞
that when F1 is a df with f1 being the corresponding pdf,
we have −∞ F1 (x)f1 (x) dx = 12 (F1 (x))2 |∞ 1
−∞ = 2 ).

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