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Solution:: Probability Assignment - I Name: Soumya Dasgupta (BMC202042)

This document contains 7 solutions to probability problems: 1. It finds the probability distribution function for a strictly decreasing function. 2. It calculates the Gamma function value of 1/2. 3. It derives an inequality relating the standard normal cumulative distribution function and probability density function. 4. It finds the joint distribution, marginal distributions, and covariance of two random variables. 5. It shows the memoryless property of the exponential distribution. 6. It proves by mathematical induction that the sum of independent exponential random variables has a Gamma distribution. 7. It calculates the expected values and covariance of the areas of two randomly placed squares in the unit square.

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92 views2 pages

Solution:: Probability Assignment - I Name: Soumya Dasgupta (BMC202042)

This document contains 7 solutions to probability problems: 1. It finds the probability distribution function for a strictly decreasing function. 2. It calculates the Gamma function value of 1/2. 3. It derives an inequality relating the standard normal cumulative distribution function and probability density function. 4. It finds the joint distribution, marginal distributions, and covariance of two random variables. 5. It shows the memoryless property of the exponential distribution. 6. It proves by mathematical induction that the sum of independent exponential random variables has a Gamma distribution. 7. It calculates the expected values and covariance of the areas of two randomly placed squares in the unit square.

Uploaded by

Soumya Das gupta
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
Download as pdf or txt
Download as pdf or txt
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Probability

Assignment - I
Name: Soumya Dasgupta(BMC202042) Due Date: 27 June 2021,8 P.M.

Solution:
(1) Suppose that g is strictly decreasing,so that we have P(g(X)<y)=P(X>g −1 (y))=
1 − g −1 (y)
Hence P(g(X)≤y)= 1 − e−1 (y),y≥ 0 iff g −1 (y) = e−y ,
that is for 0 < x < 1, g(x)= −logx.

Solution:
(2)We know that Γ(t) = 0∞ xt−1 e−x dx
R

So to find Γ( 12 ),we simple plug t = 12 in the above expression getting


−1
Γ( 21R) = ( 0∞ x 2 e−x dx)2 [Substituting y 2 = x]
R

= ( 0∞ 2e− y 2 dy)2
R ∞ R π2
= 4 0∞ e− y 2 dy√ 0∞ 2e− z 2 dz = 4 r=0 −r2
R R
θ=0 e rdrdθ = π
1
Thus Γ( 2 ) = π

Solution:
−x2
(3)Clearly for the standard normal variate,the density function φ(x) = √12π e 2 ,simply
differentiating with respect to x ,we get φ0 (x) + xφ(x) = 0
0
Now,1 − φ(x) = x∞ φ(u)du = − x∞ φ u(u) du,integrating by parts,
R R
R ∞ 3φ0 (u) R ∞ 15φ(u)
= φ(x)
x
− φ(x)
x 3 − x u 5 du = φ(x)
x
− φ(x)
x 3 + 3φ(x)
x 5 − x u6
Since φ(x) cannot be 0,dividing throughout by φ(x) and noting that ( 3φ(x) − x∞ 15φ(u)
R
x5 u6
)>
0 we have
1/x − 1/x3 < (1 − φ(x))/φ(x) < 1/x − 1/x3 + 3/x5 ,as required.

Solution:
f (x) = ∞ 2e−x−y dy = 2e−2x and
R
(4)Clearly
R y X −x−y x
fY (y) = 0 2e R dx R= 2e−y (1 − e−y )where x,y ≥ 0.
∞ ∞ −x−y
Next,E(XY ) = x=0 y=x 2xye dxdy = 1
R∞ R∞ −2x
Again E(X)=R 0 xfX (x) = 0 2xe dx = 0.5
∞ ∞
And E(Y)= 0 yfY (y) = 0 2ye (1 − e−y )dy = 1.5
−y
R

Thus cov(X,Y)= E(XY ) − E(X)E(Y ) = 0.25


Finally see that P(Y < 1,X > 1)= 0,but P(Y < 1) > 0 and P(X > 1) > 0,thus we
can conclude that X and Y are not independent.

Solution:
(5)Given X is exponentially distributed random variable.
(
P(X > s+x | X > s)= P ((X>s+x)∩(X>s)
P (X>s)
= PP(X>s+x)
(X>s)
= e −λ(x+s)/2)
e−λs/2
= e−λs = P (X >
s),which was desired for.

1
Solution:
(6)Claim:”∀n ∈ N , Sn = X1 + . . . Xn has Gamma distribution Γ(λ, n)"
Since Γ(λ, 1) is the exponential distribution,the claim is true for n = 1
Suppose the claim holds for n = 1, 2, . . . k
For n = k + 1
writing fn for the density function of Sn ,by the convolution formula,we have,
R λk k−1 −λy λ(y−x) k+1 e−λx R x
fk+1 (x) = 0∞ fk (y)f1 (x−y)dy = 0x Γ(k) dy = λ Γ(K) k−1
R
y e λe 0 y dywhich
is easily seen to be the Γ(λ, m) density function. Hence by the principle of mathemat-
ical induction,the claim is proved.

Solution:
(7)See the figure below.
Let the region [0, 1] × [0, 1] be the one shown by the orange 6 × 6 grid and U > z be the
region that is shaded ,thus clearly,appealing to geometry,we have P(U>z)= (1 − z)2
where obviously 0 ≤ z ≤ 1
Since X and Y are identically distributed,fX (z) = fy (z)
Clearly FU (z) = P (U ≤ Z) = 1 − (1 − z)2 = 2z − z 2
Taking derivative
R1
with respect to z,we get the density function is 2(1-z).
So E(U)= 0 2z(1 − z) = 13
So E(V) must be 23 .
Now cov(U,V)= E(U V ) − E(U )E(V ) = E(XY ) − E(U )E(V ) = E(X)E(Y ) −
E(U )E(V ) = 41 − 29 = 36 1

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