ST 5214

NATIONAL UNIVERSITY OF SINGAPORE

ST5214 Advanced Probability Theory

(Semester 1: AY 2016/2017)

Time Allowed: 2 Hours

INSTRUCTIONS TO CANDIDATES

1. Please write your matriculation number only. Do not write your name.

2. This assessment paper contains EIGHT (8) questions and comprises FOUR
(4) printed pages.

3. Candidate must answer ALL the questions. The total mark for this exami-
nation paper is 100.

4. This is a CLOSED book examination. You can bring in two handwritten

A4-sized help sheets. You can use both sides of each sheet.

5. Programmable calculators are not allowed.

 PAGE 2 ST5214

Section A There are five questions in this section. Each question carries 10
marks.

1. Let X and Y be positive, independent and identically distributed random

variables with finite mean. Show that E(X/Y ) > 1.

2. Consider events A1 , A2 , . . . from a probability space (Ω, F). In addition, we

suppose (a) limn→∞ P (An ) = 0 and (b) ∞ c
P
n=1 P (An An+1 ) < ∞. Show that

P (An i.o.) = 0.

3. Let X and Y be random variables defined on (Ω, F). Assume X and Y are
independent and identically distributed. Let g and h be increasing functions
on R.

Show that [g(X) − g(Y )][h(X) − h(Y )] ≥ 0 a.s., and so deduce that g(X) and
h(X) are positively correlated.

4. Let ψ and ϕ be nonnegative measurable functions on (0, 1) such that 0 ≤

ψ(x) < cϕ(x) for 0 < x < 1 for some constant c > 0. Assume further that
R1
0
ϕ(x)dx < ∞. Show that

1 1
R1
ψ(x1 ) + · · · + ψ(xn ) ψ(x)dx
Z Z
lim ··· dx1 · · · dxn = R01 .
n→∞ 0 0 ϕ(x1 ) + · · · + ϕ(xn ) ϕ(x)dx
0

5. Let (D1 , D2 , . . .) be a martingale difference sequence with respect to the fil-

tration (Fn )n≥1 . Let vn be Fn−1 -measurable. Here F0 is the trivial σ-algebra.
Suppose vn ’s are bounded by 1. Let Yn = nk=1 vk Dk for n ≥ 1. Show that
P

(Yn , Fn )n≥1 is a martingale.

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Section B There are three questions in this section. The mark given for each
question is indicated at the beginning of the question.

6. (15 Marks) Let X1 , X2 , . . . be identically distributed but not necessarily

independent random variables with E|X1 |p < ∞ for some p > 0.

(i) For a > 0, show that

Z ∞
ap
 
1 p
E max |Xk | ≤ +p y p−1 P (|X1 | > y)dy.
n 1≤k≤n n a

(ii) Hence, or otherwise, deduce that

 
1 p
lim E max |Xk | = 0.
n→∞ n 1≤k≤n

7. (15 Marks) Let X1 , X2 , . . . be independent Bernoulli random variables with

P (Xk = 1) = 1 − P (Xk = 0) = pk , k ≥ 1.

X1 +···+Xn −an
(i) Choose an , bn ∈ R with bn > 0 such that Sn = bn
has mean 0
and variance 1.

(ii) Suppose that ∞

P
k=1 pk (1 − pk ) = ∞. With your choice of an and bn in (i),

show that Sn converges in distribution to a standard normal as n → ∞.

(iii) Will the result in (ii) continue to hold if we assume ∞

P
k=1 pk (1−pk ) < ∞?

Justify your answer.

... -4-
 PAGE 4 ST5214

8. (20 Marks) Let X1 , X2 , . . . be independent random variables such that P (X1 =

1) = P (X1 = −1) = 1/2 and for n ≥ 2,
1 1
P (Xn = 1) = P (Xn = −1) = − 2,
2 2n
and
1
P (Xn = n) = P (Xn = −n) = .
2n2
For n ≥ 1, define Yn = 1 if Xn > 0 and Yn = −1 if Xn < 0; and Zn = Xn − Yn .

(i) For n ≥ 1, show that P (Yn = 1) = P (Yn = −1) = 12 , and for n ≥ 2,

1 1
P (Zn = n − 1) = P (Zn = −(n − 1)) = 2
and P (Zn = 0) = 1 − 2 .
2n n

(ii) Show that P (Zn 6= 0 i.o.) = 0.

(iii) Define Sn = X1 + · · · + Xn . Show that

S D
√n −→ N (0, 1)
n
as n → ∞.

(iv) For 1 ≤ k ≤ n, define the triangular array of random variables: Xn,k =

Xk
√
n
. Show that Lindeberg condition does not hold.

END OF PAPER