Department of Mathematics MAL 250 (Probability and Stochastic Process) Tutorial Sheet No.

5 Bivariate Random Variables - Covariance 1. Determine the constant h for which the following gives joint pmf for (X, Y) pX Y (x, y) = (x + 1)(y + 1) h, x = 0, 1, 2; y = 0, 1, 2, 3 Also evaluate the following probabilities (a) P (X 1, Y 1) (b) P (X + Y 1) (c) P (XY > 0) 2. Suppose that two cards are drawn at random from a deck of cards. Let X be the number of aces and Y be the number of queens obtained. Find the joint probability mass function of (X,Y). Also, find their joint distribution function. 3. Consider an experiment of placing 3 balls into three cells. Describe the sample space of the experiment. Define the random variables N = number of occupied cells Xk = number of balls in cell number k (k = 1,2,3). (a) Find the joint probability distribution of (i) (N, X1 ) (ii) (X1 , X2 ). (b) Find (i) E(N ) (ii) E(X1 ) (iii) E(X2 ) (c) Find (i) Var(N ) (ii) Var(X1 ) (iii) V a r (X2 ) (iv) C ov(N, X1 ) (vi) C ov(X1 , X2 ). 4. Given the joint probability density fXY (x, y) = 2, for 0 < x < 1, 0 < y < x find the marginal densities of X and Y and check whether the two random variables are independent. 5. Suppose that the two dimensional random variable (X,Y) is uniformly distributed over R, where R is defined by {(x, y)|x2 + y 2 1, y 0}. Evaluate X Y , the correlation coefficient. 6. Suppose that the two-dimensional random variable (X,Y) has pdf given by f (x, y) = e y , 0 < x < y < Find the correlation coefficient X Y . 7. Suppose that A and B are two events associated with an experiment, and P (A) > 0 and P (B) > 0. Let the random variables X and Y be defined as follows: X = 1 if A occurs and 0 otherwise Y = 1 if B occurs and 0 otherwise Show that X Y = 0 implies that X and Y are independent. 8. Given independent random variable X, Y, Z, whose means are 2,1 and 4 and whose variance are 9, 20 and 12, find (a) the mean and the variance of X 2Y + 5Z (b) the covariance between X + 5Y and 2Y Z + 5. 9. Let (X, Y) have joint pdf

f ( x, y ) =

xy y 2 4 8 x 2 31 71 exp[ ( + x + + y + ) ] for < x, y < 7 16 32 8 9 3 16 6 7 1

(a) Find the mean and variance of X and Y. Find the covariance between them. (b) Find the conditional pdf of Y given X = x, and also E (Y | X = x) and Var (Y | X = x).