E2 202 Homework-04 Sep 15, 2022

1. Let X : Ω → {0, 1}n be an i.i.d. Bernoulli random vector such that EX1 = p, and Sn ≜ ∑in=1 Xi .
(a) Compute the moment generating function for any Xi for i ∈ [n].
(b) Compute the moment generating function of Sn .
(c) Compute the mean and the variance of Sn .
2. Let X : Ω → R be a random variable defined on the probability space (Ω, F, P).
(a) If X (ω1 ) = X (ω2 ) for some ω1 , ω2 ∈ Ω, then show that there is no set A ∈ σ ( X ) such that ω1 ∈ A
and ω2 ∈ / A.
(b) If Y : Ω → R is another random variable on (Ω, F, P) which is measurable with respect to σ ( X ),
then show that Y is a function of X.
3. Consider a random variable X : Ω → R defined on a probability space (Ω, F, P). Let g : R → R
be a Borel measurable function such thatR E | g( X )| < ∞ and G ⊆ F be a sub-event space. Then, the
conditional expectation E[ g( X ) | G] = x∈R g( x )dFX |G ( x ).

4. Consider two discrete random variables X, Y defined on the same probability space (Ω, F, P). If Y
is a Binomial random variable with parameters ( M, p2 ) and PX |Y −1 {y} is also a Binomial random
variable with parameters (y, p1 ). Show that X is also a Binomial random variable and find its
parameters.

5. Consider two continuous random variable X and Y defined on the same probability space (Ω, F, P).
We assume that the conditional density of X given Y is f X |Y is Gaussian N (Y, 1), and the density of
Y is Gaussian N (µ, σ2 ). Find the conditional density of Y given X.

6. Consider a rod of unit length, which is broken at a point chosen uniformly at random. The piece
containing the left end is once again broken at a point chosen uniformly at random. Let L be the
length of the final piece containing the left end, then compute E[ L].
7. Consider a department store with the number of people entering it on a given day to be a random
variable with mean 100. Suppose that the amount of money spent by these customers are random
variables having a common mean of |8, and the amount of money spent by any customer is inde-
pendent of the total number of customers who enter the store. Compute the total expected money
spent in the store on a given day.
8. Let X : Ω → R and Y : Ω → R be two random variables defined on the same probability space
(Ω, F, P) with EX 2 < ∞ and EY2 < ∞, and G be a sub-event space. We define the conditional
variance of X given G as
Var[ X | G] ≜ E[( X − E[ X | G])2 | G].
(a) Show that Var[ X ] = E[Var[ X | G]] + Var[E[ X | G]].
(b) Let the covariance coefficient between X and Y be denoted by ρ X,Y . Show that

E Var[Y | σ ( X )] ⩽ (1 − ρ2X,Y ) Var[Y ].