2017-2018 : Semester - II : Probability Theory

Assignment : 12-03-2018
Note: Notation and terminology are understood to be as used in class.
State clearly the results you are using in your answers.
Each problem carries 10 marks.

1. (i) (X, Y ) is a two-dimensional discrete random variable with proba-

bility mass function f ; let S ⊂ R2 be the set of all possible values of
(X, Y ). Let ϕ : R2 → R be a continuous function. Put Z = ϕ(X, Y ).
Show that the one-dimensional
P discrete random variable Z has finite
expectation if and only if (x,y)∈S | ϕ(x, y) | f (x, y) < ∞. In such a
case show that X
E(Z) = ϕ(x, y)f (x, y).
(x,y)∈S

(ii) State the n−dimensional analogue.

2. Let X be a discrete random variable taking value Pin {0, 1, 2, · · · }. Then
X has finite expectation if and only if the series ∞ k=1 P (X ≥ k) con-
verges. In such a case show that
∞
X
E(X) = P (X ≥ k).
k=1

3. Let X be a discrete random variable having finite second moments.

Show that min{E[(X − a)2 ] : a ∈ R} = V ar(X).
4. A box has 5 black and 3 red balls. A random sample of size 2 is
chosen from the box without replacement. Let X denote the number
of black balls and Y denote the number of red balls selected. Find the
correlation coefficient ρ(X, Y ).
5. Suppose X1 , X2 , · · · are independent discrete random variables having
the same distribution, and having finite second moments.
P Let E(Xi ) =
µ, V ar(Xi ) = σ 2 > 0. For N = 1, 2, · · · set MN = N1 N
k=1 Xk . Find N,
as small as possible, so that

P (| MN − µ |> 0.1σ) ≤ 0.01.