Homework 1

EE 601: Statistical Signal Analysis Prof. Animesh Kumar Autumn 2010

Note: Not to be submitted. Solutions will not be provided. If you have queries, then meet the instructor or the TA during oce hours. 1. Let {Ai } be sequence of (not necessarily independent) events with probability measure i=1 dened on them. (a) Show that,
n n

P
i=1

Ai

i=1

P(Ai ).

(1)

This inequality is called as the union bound. (b) Extend this inequality to countable events, i.e., show that,

P
i=1

Ai

i=1

P(Ai ).

(2)

(c) Let {Ai } be a sequence of events each with probability zero. Find, i=1

P
i=1

Ai .

(3)

2. Let {Ai } be a sequence of disjoint events and assume that P(An ) = 2n1 for each i=1 n 1. Assume that = Ai . i=1 (a) Show that these assumptions violate the axioms of probability. (b) Show that if the countable additivity in Axiom 3 of probability measure is replaced by nite additivity, then the above assumptions satisfy the probability axioms. 3. A man has four coins in his pocket. One is double-headed, one is double-tailed, and two are normal. They can only be distinguished by looking at them. (a) The man shuts his eyes, chooses a coin at random, and tosses it. What is the probability that the lower face of the coin is a head? (b) He opens his eyes and sees that the upper face is a head. What is the probability that the lower face is a head?

4. Let {Xi }n be a sequence of IID random variables with distribution function F (x). Let i=1 X(n) and X(1) be the largest and the smallest random variable in the sequence {Xi }n . i=1 Find the marginal (cumulative) distribution functions of X(n) and X(1) . 5. Let {Xi } be a sequence of continuous IID random variables. Xn for a given n > 1 is i=1 called as a local minimum if Xn Xn+1 and Xn Xn1 . Find the probability that Xn is a local minimum. 6. Let {Xi }n be a sequence of independent random variables. Show that {Xi }n1 are also i=1 i=1 independent. 7. Let {Xi }n be a sequence of IID continuous random variables with probability density i=1 function f (x). (a) Find P(X1 X2 ). (b) Find P(X1 X2 , X1 X3 ). (c) Let N be a new integer-valued random variable dened as follows. N is the index of the rst random variable that is less than X1 , that is, P(N = n) = P(X1 X2 , X1 X3 , . . . , X1 Xn1 , X1 > Xn ). Find P(N > n) as a function of n. (d) Show that E(N ) = 8. Let X, Y be a continuous random variables having a cumulative distribution function F (x, y). Let their marginal (cumulative) distributions be G(x) and H(y). (a) Show that G(X) is uniformly distributed in (0, 1). (b) Suppose that you have access to a random variable U uniformly distributed in (0, 1) (for example, in MATLAB or C, you will have access to a uniform random variable). How would you use it to simulate a continuous random variable X having a distribution function G? Justify rigorously. (c) Suppose now you have two IID random variables U1 and U2 distributed uniformly in (0, 1). How would you use them to simulate random variable pair (X, Y ) having a joint distribution F (x, y)? (4)