Department of Mathematics

MAL 250 (Probability and Stochastic Process)

Tutorial Sheet No.6
Conditional Probability and Bayes Theorem

1. Suppose that the two-dimensional random variable (X, Y ) has joint pdf
f
XY
(x, y) = kx(x y), 0 < x < 2, x < y < x
Find k. Evaluate P(X <1 | Y =1/2) ) and P(Y <3/2 | X =1).

2. If X and Y are independent Poisson random variables, show that the conditional distribution of X
given X +Y, is binomial.

3. Find k, if the joint probability density of (X,Y ) is
f
XY
(x, y) = ke
3x 4y
, x > 0, y > 0
Find the probability that the value of X falls between 0 and 1 given Y falls between 0 and 2.

4. The joint density of X and Y is given by

X,
(x, y) =
c
-
y
, u < x < y, u < y <
Compute E(X |Y =y) and E(X
2
|Y =y)

5. a) Show that cov ( X, Y ) = cov ( X, E(Y | X)).
b) Suppose that, for constants a and b, E(Y | X) =a +bX. Show that b =cov(X, Y ) = var (X ).

6. Show that
(a) E(XY | Y =y) =y E(X | Y =y).
(b) E(XY ) =E(Y E(X Y )).

7. Suppose f
XY
(x, y) = e
(x +y)
x >0, y >0, X and Y are independent.
Find (i) P ( X <Y | X <2Y) (ii) P ( 1 < X+Y <2).

8. Joint pdf of X and Y f
XY
(x, y) = 4xy
2 2
( ) x y
e
+
, x >0, y >0. Find f
X
(x | y).

9. Three urns of the same appearance have the following proportion of balls:
U1 : 2 Black 1 Red U2: 1 Black 2 Red U3: 2 Black 2 Red.
The experiment is to select one of the urns at random and to draw1 ball from it at random.
If the first outcome turns out to be Red. What is the probability that the next outcome is Red
if the first ball is not returned to its Urn?

10. Suppose A has a sheet of paper that he marks either + or with probabilities 1/3 and 2/3,
respectively. A then passes it B, B passes it to C, and C passes it to D. D passes the sheet to you.
Each of B, C, D may change the sign on the paper with probability 2/3, or may leave it
unchanged with probability 1/3. Given that when you receive the sheet you find a +sign on it,
find the probability that A has marked the sheet with a +sign.