MSO201a: Probability and Statistics

2019-20-II Semester
Assignment No. 6
Instructor: Neeraj Misra
1. Let X1 , X2 , . . . be a sequence of r.v.s, such that Xn , n = 1, 2, . . ., has the d.f.:
Fn (x) = 0, if x < −n, = x+n 2n
, if −n ≤ x < n, and = 1, if x ≥ n. Does Fn (·)
converge to a d.f., as n → ∞?

2. Let X1 , X2 , . . . be a sequence of i.i.d. r.v.s and let X1:n = min{X1 , . . . , Xn } and

Yn = nX1:n , n = 1, 2, . . .. Find the limiting distributions of X1:n and Yn (as n → ∞)
when (a) X1 ∼ U(0, θ), θ > 0; (b) X1 ∼ Exp(θ), θ > 0.
1
3. Let X1 , X2 , . . . be a sequence of independent r.v.s with P (Xn = x) = 2
, if x =
1 1 P
−n , n , and = 0, otherwise. Show that X n → 0, as n → ∞.
4 4

P P
4. (a) If Xn → a and Xn → b, then show that a = b.
(b) Let a and r > 0 be real numbers. If E(|Xn − a|r ) → 0, as n → ∞, then show
P
that Xn → a.
|X| r |X|r
tr 1+tr
5. (a) For r > 0 and t > 0, show that E( 1+|X| r) − 1+tr
≤ P (|X| ≥ t) ≤ tr
E( 1+|X| r ).
P |Xn | r
(b) Show that Xn → 0 ⇔ E( 1+|X n|
r ) → 0, for some r > 0.

P
6. (a) If {Xn }n≥1 are identically distributed and an → 0, then show that an Xn → 0.
P P P
(b) If Yn ≤ Xn ≤ Zn , n = 1, 2, . . ., Yn → a and Zn → a, then show that Xn → a.
P P
(c) If Xn → c and an → a, then show that, as n → ∞, Xn + an → c + a and
P
an Xn → ac.
(d) Let Xn = min(|Yn |, a), n = 1, 2, . . ., where a is a positive constant. Show that
P P
Xn → 0 ⇔ Yn → 0.

7. Let X1 , X2 , . . . be a sequence of i.i.d. r.v.s with mean µ and finite variance. Show
that:
2
Pn P
(a) n(n+1) i=1 iXi → µ;
6
Pn 2 P
(b) n(n+1)(2n+1) i=1 i Xi → µ.

8. Let Xn , n = 1, 2, . . ., have a negative binomial distribution with parameters n and

θ n+x−1 n


pn = 1 − n , i.e., Xn has the p.m.f. P (Xn = x) = x
pn (1 − pn )x , x = 0, 1, 2, . . .;
d
n = 1, 2, . . .. Show that Xn → X ∼ Poisson(θ).

1
 P
9. (a) Let Xn ∼ Gamma( n1 , n), n = 1, 2, . . .. Show that Xn → 1.
d
(b) Let Xn ∼ N ( n1 , 1 − n1 ), n = 1, 2, . . .. Show that Xn → Z ∼ N (0, 1).

10. (a) Let f (x) = x12 , if 1 ≤ x < ∞, and = 0, elsewhere, be the p.d.f. of a r.v. X.
Consider the random sample of size 72 from the distribution having p.d.f. f (·).
Compute, approximately, the possibility that more than 50 of the items of the
random sample are less than 3.
(b)
P100Let X1 , X2 , . . . be a random sample from Poisson(3) distribution and let Y =
i=1 Xi . Find, approximately, P (100 ≤ Y ≤ 200).
(c) Let X ∼ Bin(25, 0.6). Find, approximately, P (10 ≤ X ≤ 16). What is the exact
value of this probability?
k
11. (a) Show that limn→∞ e−n Pnk=0 nk!
= 21 .
P
(b) Show that limn→∞ 2−n rk=0 n n
k
= 12 , where rn is the largest integer ≤ n2 .
P P
12. (a) If Tn = max(|X1 |, . . . , |Xn |) → 0, as n → ∞, then show that X n → 0. Is the
P
conclusion true if only Sn = max(X1 , . . . , Xn ) → 0.
1
(b) If {Xn }n≥1 are i.i.d. U (0, 1) r.v.s. and Zn = ( ni=1 Xi ) n , n = 1, 2, . . .. Find a
Q
P
real α such that Zn → α.

13. Let {En }n≥1 be a sequence

Pn of i.i.d. Exp(1) r.v.s.
(a) Show that Tn ≡ i=1 Ei ∼ Gamma(n, 1), n = 1, 2, . . ..
R n+x√n e−t tn−1 Rx t2
(b) For any real number x, show that limn→∞ 0 Γ(n)
dt = √12π −∞ e− 2 dt.
(c) For large values of n, show that an approximation
√ (called the Stirling approxi-
−n n− 21
mation) to the gamma function is: Γn ≈ 2πe n .

14. Let X1 , X2 , . . . be a sequence of i.i.d. r.v.s having the common Cauchy p.d.f. f (x) =
1
· 1 , −∞ < x < ∞.
π 1+x2
(a) For any α ∈ (0, 1), show that Y = αX1 + (1 − α)X2 again has a Cauchy p.d.f.
f (·).
n 1
(b) Note that X n+1 = n+1 X n + n+1 Xn+1 and hence, using induction, conclude that
X n has the same distribution as X1 .
(c) Show that X n does not converge in probability to any constant. (Note that
E(X1 ) does not exist and hence the WLLN is not guaranteed).
Xn
15. Let Xn ∼ Poisson(4n), n = 1, 2, . . ., and let Yn = n
, n = 1, 2, . . ..
P √ P
(a) Show that Yn → 4; (b) Show that Yn2 + Yn → 18;
2 Y 2 +nY
n P
(c) Show that nnY n
n +n
2 → 16.

16. Let X n be the sample mean computed from a random sample of size n from a
distribution
√
with mean µ (−∞ < µ < ∞) and variance σ 2 (0 < σ < ∞). Let
Zn = n(Xσn −µ) .
P d 16Zn 2 d (4n+Yn )Zn d
4Zn
(a) If Yn → 4, show that: Yn
→ Z ∼ N (0, 1); Yn2
→ U ∼ χ21 ; and (nYn +Yn2 )
→

2
 Z ∼ N (0, 1).
√ d
(b) If σ = 1 and µ > 0, show that: n(ln X n − ln µ) → V ∼ N (0, µ12 );
δ P
(c) Show that n (Xσn −µ) → 0, for any δ < 0.5.
√ 2 2 2
√ Find the 2asymptotic distributions of: (i) n(X n − µ ); (ii) n(X n − µ) and (iii)
(d)
n(X n − µ) .

17. Let X1 , X2 , . . . be i.i.d. r.v.s having Exp(θ) (θ > 0) distribution and let X n =
Pn
i=1 Xi
√ d
n
, n = 1, 2, . . .. Show that: n( X1n − 1θ ) → N (0, θ12 ), as n → ∞.

18. Let X1 , X2 , . . . be a sequence of i.i.d. U (0, 1) r.v.s. For the sequence of geometric
1 √ d
means Gn = ( ni=1 Xi ) n , n = 1, 2, . . ., show that n(Gn − 1e ) → N (0, σ 2 ), for some
Q
σ 2 > 0. Find σ 2 .

19. Let (X1 , Y1 ), (X2 , Y2 ), . . . be a sequence of independent bivariate random vectors

having the same joint p.d.f. Let E(X1P ) = µ, E(Y1 ) = ν, Var(X1P) = σ 2 , Var(Y1 ) =
n n
(X −X )(Y −Y ) (Xi −X n )2
τ 2 and Corr(X1 , Y1 ) = ρ. Let Qn = i=1 i n−1n i n , Sn2 = i=1 n−1 , Tn2 =
Pn 2
i=1 (Yi −Y n ) Qn
n−1
and Rn = Sn Tn
.
P P
(a) Show that Qn → ρτ σ and Rn → ρ.
2 (Y −ν)2 ) √ d
(b) Let δ = E((X1 −µ)
σ2 τ 2
1
. Show that n(Qn − ρστ ) → N (0, (δ − ρ2 )σ 2 τ 2 ).