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Homework 4 Solution
Homework 4 Solution
Homework 4 Solution
b)
6 1
P (X = 2, Y = 3) = 6c = =
36 6
c)
d)
1 5
P (X ≥ 2) = 1 − P (X < 2) = 1 − P (X = 1) = 1 − 6 ∗ =
36 6
1
Or:
30 5
P (X ≥ 2) = P (X = 2) + P (X = 3) = 12c + 18c = 30c = =
36 6
e)
6 1
P (Y < 2) = P (Y = 1) = 6c = =
36 6
f)
6 1
P (X = 1) = 6c = =
36 6
g)
18 1
P (Y = 3) = 18c = =
36 2
P (X = x, Y = y) = P (X = x)P (Y = y)
⇒ f (x, y) = f1 (x)f2 (y)
We have:
1 xy
f (x, y) = cxy = ∗ xy =
36 36
x y xy
f1 (x)f2 (y) = ∗ =
6 6 36
xy
⇒ f (x, y) = = f1 (x)f2 (y)
36
Therefore:
X and Y are independent
2
Problem 3: [3, Exercise 2.56]
Let X and Y be continuous random variables having joint density function
c(x2 + y 2 ) 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (x, y) =
0, otherwise
1 1 1 3 1
Determine (a) the constant c, (b) P(X < , Y > ), (c) P( < X < ), (d) P(Y < ),
2 2 4 4 2
(e) whether X and Y are independent.
Solution:
a) Z +∞ Z +∞ Z 1 Z 1
F (x, y) = f (x, y)dxdy = 1 ⇒ c(x2 + y 2 )dxdy = 1
x=−∞ y=−∞ x=0 y=0
1 1 Z 1
x3
Z
2
1 2
=c + xy dy = c + y dy
y=0 3 x=0 y=0 3
1
y 3
1 1 1 2 3
=c y+ =c + = c=1⇒c=
3 3
0 3 3 3 2
b)
Z 1/2 Z 1
1 1 3 2
P X < ,Y > = (x + y 2 )dxdy
2 2 x=0 y=1/2 2
Z 1/2 1
y 3 3 1/2
Z
3 2 2 1 1 2 1
= x y+ dx = x + − x − dx
x=0 2 3 y=1/2 2 x=0 3 2 24
1/2
3 1/2 1 2
Z
7 3 1 3 7 1
= x + dx = x + x =
2 x=0 2 24 2 6 24 0 4
c)
Z 3/4 Z 1
1 3 3 2
P <X< = (x + y 2 )dxdy
4 4 x=1/4 y=0 2
Z 3/4 1 3/4
y 3 3 3/4 3 x3 1
Z
3 2 2 1 29
= x y+ dx = x + dx = + x =
2 x=1/4 3
y=0 2 x=1/4 3 2 3 3 1/4 64
d) 1
Z 1 Z 1/2
3 1/2 x3
Z
1 3 2 2
2
P Y < = (x + y )dxdy = +y x dy
2 x=0 y=0 2 2 y=0 3 x=0
1/2
3 1/2 1 y 3
Z
2 3 1 1 1 1 5
= + y dy = y+ = + =
2 y=0 3 2 3 3
0 2 2 8 16
P (X ≤ x, Y ≤ y) = P (X ≤ x)P (Y ≤ y)
3
⇒ F (x, y) = F1 (x)F2 (y)
We have: 1
x 1
3 x y 3
Z Z Z
3 2 2 2
F1 (x) = (x + y )dxdy = x y+ dx
0 0 2 2 0 3 0
3 x
Z
2 1 3 1 1
= x + dx = ∗ (x3 + x) = (x3 + x)
2 0 3 2 3 2
Z 1Z y 1
3 y x3
Z
3 2 2 2
F2 (y) = (x + y )dxdy = + y x dy
0 0 2 2 0 3 0
Z y
3 1 3 1 1
= + y 2 dy = ∗ (y 3 + y) = (y 3 + y)
2 0 3 2 3 2
Z xZ y Z x y
y 3 3 x y3
Z
3 2 2 3 2 2
F (x, y) = (x + y )dxdy = x y+ dx = x y+ dx
0 0 2 2 0 3 0 2 0 3
x
y 3 3 x3 y3
3 2 1
= x y+ = y + x = (x3 y + xy 3 )
2 3
0 2 3 3 2
1 1
⇒ F (x, y) = (x3 y + xy 3 ) 6= (x3 + x)(y 3 + y) = F1 (x)F2 (y)
2 4
Therefore:
X and Y are not independent
b)
0
y≤0
1 3
F2 (y) = (y + x) 0 ≤ y ≤ 1
2
1 y≥1
4
b)
f (x, y) xy/36 y
f (y|x) = = = = f2 (y)
f1 (x) x/6 6
a)
f (x, y) x+y
= 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (x|y) = f2 (y) y + 1/2
0 other x, 0 ≤ y ≤ 1
b)
f (x, y) x+y
= 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (y|x) = f1 (x) x + 1/2
0 0 ≤ x ≤ 1, other y
a)
f (x, y) 3/2(x2 + y 2 ) x2 + y 2
= = 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (x|y) = f2 (y) 1/2(3y 2 + 1) y 2 + 1/3
0 other x, 0 ≤ y ≤ 1
b)
f (x, y) 3/2(x2 + y 2 ) x2 + y 2
= = 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (y|x) = f1 (x) 1/2(3x2 + 1) x2 + 1/3
0 0 ≤ x ≤ 1, other y
5
Problem 8: [3, Exercise 2.61]
Let
e−(x+y) x ≥ 0, y ≥ 0
f (x, y) =
0, otherwise
be the joint density function of X and Y . Find the conditional density function of (a)
X given Y , (b) Y given X.
Solution: Z +∞ +∞
−(x+y) −x −y
f1 (x) = e dy = −e e
0 0
= −e−x −e−0 + lim e−y = e−x
y→+∞
Z +∞
+∞
−(x+y) −y −x
f2 (y) = e dx = −e e
0 0
= −e−y −e−0 + lim e−x = e−y
x→+∞
a)
f (x, y) e−(x+y)
f (x|y) = = = e−x = f1 (x)
f2 (y) e−y
−x
e x ≥ 0, y ≥ 0
f (x|y) =
0 x < 0, y ≥ 0
b)
f (x, y) e−(x+y)
f (y|x) = = = e−y = f2 (y)
f1 (x) e−x
−y
e x ≥ 0, y ≥ 0
f (y|x) =
0 x ≥ 0, y < 0
a) "
1 2 n #
1 1 1 2 1
f (x) = c + + ... + = 1 + ... + n−1
3 3 3 3 3
1
c 1 − n c 3
1
c
= ∗ 3 = ∗
1− n = =1⇒c=2
3 1 3 2 3 2
1−
3
6
b) "
1 2 y #
1 1 1 2 1
F (x) = 2 + + ... + = 1 + ... + y−1
3 3 3 3 3
1
2 1 − 3y 2 3
1 1
= ∗ = ∗ 1 − y = 1 − y = 1 − 3−y
3 1 3 2 3 3
1−
3
0 x<1
F (x) =
1 − 3−y y ≤ x < y + 1; y = 1, 2, 3...
d)
26
P (2 ≤ x < 5) = P (X = 4) − P (X = 2) = (1 − 3−4 ) − (1 − 3−2 ) = 3−2 − 3−4 =
81
e)
1
P (X ≥ 3) = 1 − P (X < 3) = 1 − P (X = 2) = 1 − (1 − 3−2 ) = 3−2 =
9
7
b) Z Z
−2x
F (x) = 4xe dx = 4 xe−2x dx
−xe−2x e−2x
Z
−2x 1 −2x
=4 + dx = 2 −xe − e +k
2 2 2
1 1 1
F (0) = 0 − e0 + 1 = − + k = 0 ⇒ k =
2 2 2
1 1
⇒ F (x) = 2 −xe−2x − e−2x + = 1 − e−2x (2x + 1)
2 2
1 − e−2x (2x + 1) x ≥ 0
F (x) =
0 x<0
d)
P (X ≥ 1) = 1 − P (X < 1) = 1 − (1 − e−2∗1 (2 ∗ 1 + 1)) = 3e−2
e)
P (2 ≤ X ≤ 3) = P (X < 3) − P (X < 2)
= [1 − e−6 (3 ∗ 2 + 1)] − [1 − e−4 (2 ∗ 2 + 1)] = 5e−4 − 7e−6
1
⇒ 2p + p + 4p = 1 ⇒ 7p = 1 ⇒ p =
7
a)
1 1 3
P (0 ≤ X < 3] = P (X = 0) + P (X = 1) + P (X = 2) = 0 + 2 ∗ + =
7 7 7
b)
1 5
P (X > 1) = 1 − P (X ≤ 1) = 1 − [P (X = 0) + P (X = 1)] = 1 − 0 + 2 ∗ =
7 7
8
Problem 12: [3, Exercise 2.84]
(a) Prove that for a suitable constant c,
0 x≥0
F (x) = −x 2
c(1 − e ) , x > 0
is the distribution function for a random variable X, and find this c. (b) Determine
P (1 < X < 2).
Solution:
a) +∞
Z +∞ Z 0 Z +∞
−x 2
F (x) = f (x)dx = 0dx + f (x)dx = c(1 − e ) = 1
−∞ −∞ 0 0
−x 2
=c lim (1 − e ) − 0 = c ⇒ c = 1
x→+∞
b)
c2 ye−3y y > 0
g(y) =
0 y≤0
Find (a)c1 and c2 ,(b) P (X + Y > 1),(c) P (1 < X < 2, Y ≥ 1),(d)P (1 < X <
2),(e)P (Y ≥ 1).
Solution:
a)
c1 = 2, c2 = 9
b)
P (X + Y > 1) = 9e−2 − 14e−3
c)
P (1 < X < 2, Y ≥ 1) = 4e−5 − 4e−7
d)
P (1 < X < 2) = e−2 − e−4
e)
P (Y ≥ 1) = 4e−3
9
Problem 14: [3, Exercise 2.88]
Let X and Y be random variables having joint density function
c(2x + y) 0 < x < 1, 0 < y < 2
f (x, y) =
0 otherwise
1 3
Find (a) the constant c, (b) P (X > , Y < ), (c) the (marginal) density function of
2 2
X, (d) the (marginal) density function of Y .
Solution:
a) 2
Z 1 Z 2 Z 1
y 2
F (x, y) = 1 = c(2x + y)dxdy = 2xy + dx
x=0 y=0 x=0 2 y=0
Z 1 1
3
1
=c (4x + 2)dx = c(2x + 2x) = 4c = 1 ⇒ c =
x=0 0 4
b)
3/2
1 1
Z 3/2
1 1 y 2
Z Z
1 3
P > ,Y < = (2x + y)dxdy = 2xy + dx
2 2 4 x=1/2 y=0 4 x=1/2 2 y=0
1 1
1 3x2 9x 1 3 9 3 ∗ 1/22 9 1
Z
1 9 27
= 3x + dx = + = + − − ∗ =
4 x=1/2 8 4 2 8
1/2 4 2 8 2 8 2 64
c)
2 2
y2
Z
1 1 1 4 1
f1 (x) = (2x + y)dy = 2xy + = 2x ∗ 2 + =x+
0 4 4 2
0 4 2 2
( 1
x+ 0<x<1
f1 (x) = 2
0 otherwise
d) 1
Z 1
1 1 2 1
f2 (y) = (2x + y)dx = (x + xy) = (y + 1)
0 4 4 0 4
( 1
(y + 1) 0 < y < 2
f2 (y) = 4
0 otherwise
b)
1 1
P X> = (1 − ln2)
2 2
c)
1 1 1 1
P X < ,Y > = + ln2
2 3 6 2
d)
1 1
P X +Y > = ln2
2 2
11
References
[1] Walpole, R. E., Myers, R. H., Myers, S. L. and Ye, K., Probability &
Statistics for Engineers & Scientists, 9th ed., MA, USA: Prentice-Hall, 2012.
[2] DeGroot, M. H. and Schervish, M. J., Probability and Statistics, 4th ed., MA,
USA: Pearson Education, Inc., 2012.
12