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DEPARTMENT OF STATISTICS & ACTUARIAL SCIENCE

STAT 331: PROBABILITY DISTRIBUTIONS (3 CREDITS)
TAKE HOME EXERCISE
INSTRUCTION: Attempt all questions for 50 Marks

A1. Suppose that a random variable X has a Poisson distribution with parameter λ. The parameter λ
itself is a random variable with the exponential distribution with mean 1c , where c > 0 is a constant.
Show that
c
P (X = k) = , k = 0, 1, 2, . . .
(c + 1)k+1
and identify the probability distribution of X.

A2. Suppose that the continuous random variable x has the probability density function

1 −|x|
f (x) = e , −∞ < x < ∞
2
find the m.g.f of x and use it to find E(x) and V ar(x).

A3. Suppose that the life span in months of a lead bulb is a random variable and let Y1 and Y2 denote
the life span of two different types of lead bulbs produced by different companies. If Y1 and Y2 are
Y1
independent exponentially distributed random variables, both with mean β and let X1 = and
Y1 + Y2
X2 = Y1 + Y2 . Find and identify the marginal distributions of X1 and X2 .

A4. Suppose the number of automobile accidents a driver will be involved in during a one-year period is a
random variable X having a Poisson distribution with parameter θ ,where θ is a measure of accidents
proneness that varies from driver to driver in accordance with Gamma distribution given by
 α α−1  
p θ p
f (θ) = exp − θ , θ>0
q Γ(α) q

where α is a positive integer, p, q are positive constants and p + q = 1.

(a) show that he factorial moment generating function of x is
 α
p
g(s) = .
1 − qs

(b) Using the uniqueness property of probability generating functions, identify completely the
distribution of X.
2
(c) If p = 3 and α = 12, find
E{x(x − 1) · · · (α − k + 1)},
where k is a positive integer.

–Examiners: G.Kallah-Dagadu & E. Sakyi-Yeboah Page 1 of 2

A5. (a) A bivariate continuous random variable (U, V ) has join density function g(u, v), where −∞ <
u, v < ∞. If X = U − V and Y = V + U , show that the joint density function of X and Y is
given by
 
1 x−y x+y
f (x, y) = g , ,
2 2 2
and state a form of this result when U and V are independent.

(b) Suppose U and V are independent random variables with common uniform distribution over the
interval [θ − 41 , θ + 14 ]. Let X = U − V and Y = U + V . Find the joint density function of (X, Y ).
Hence find the marginal of X and Y .

1
A6. (a) Let X, Y and Z be three independent exponential random variables with respectively means λ1 ,
1 1
λ2 and λ3 . Find the P (X < Y < Z).

(b) Given that a random variable X has a Poisson distribution with parameter λ. Find E[cos(πx)],
if E(x) = ln 2.
A7. Suppose that the continuous random variable has a Gamma distribution with shape parameter α and
scale parameter β, that is X ∼ Γ(α, β) .
(a) Show that the moment generating function of the random variable X is
 −α
t
Mx (t) = 1− ,
β

where t < β and use the result to derive the expectation and variance of X.

(b) Hence show that if (x1 , · · · , xn ) are independent random variable such that each has a Gamma
distribution
Pn with parameter αi and β where i = 1, 2, P3,n · · · , n , then the random variable Y =
X
i=1 i , has a Gamma distribution with parameter i=1 αi and β.

(c) Deduce from your results in (ii) that if (x1 , x2 , · · · , xn ) are iid exponential distributed with
parameter β, then X
Sn = Xi ∼ Γ(n, β).

–Examiners: G.Kallah-Dagadu & E. Sakyi-Yeboah Page 2 of 2