University of Helsinki / Department of mathematics and statistics

Stochastic methods for physics and biology, spring 2016

Exercise 3
12.2.2016

Questions, comments and corrections to joonas.am.turunen@helsinki.fi.

1. Let X ∼ Poisson(λ), λ > 0. Define Y = χ(X > 0), where χ is the indicator
function. Calculate the conditional expectation E(X|σ(Y )).

2. (Pavliotis, Chapter 1: 1.(a), 2.)

(a) Let Y0 , Y1 , . . . be a sequence of independent identically distributed random vari-
ables and consider the stochastic process Y := (Yn )∞ n=0 . Show that Y is a strictly
stationary process.
(b) Let Z be a random variable and define the stochastic process X = (Xn )∞ n=0 by
Xn = Z , n = 0, 1, 2, . . . . Show that Xn is a strictly stationary process.

3. (Pavliotis, Chapter 1: 3.) Let A0 , A1 , . . . , Am and B0 , B1 , . . . , Bm be uncorrelated

random variables with mean zero and variances E(A2i ) = σi2 , E(Bi2 ) = σi2 , i =
1, . . . , m. Let ω0 , ω1 , . . . , ωm ∈ [0, π] be distinct frequencies and define, for n =
0, ±1, ±2, . . . , the stochastic process
m
X
Xn = (Ak cos(nωk ) + Bk sin(nωk )) .
k=0

Calculate the mean and the covariance of Xn . Show that it is a weakly stationary
process.

4. (Pavliotis, Chapter 1: 4.) Let {ξn : n = 0, ±1, ±2, . . . } be uncorrelated random

variables with E(ξn ) = µ, E(ξn − µ)2 = σ 2 , n = 0, ±1, ±2, . . . . Let a1 , a2 , . . . be
arbitrary real numbers and consider the stochastic process

Xn = a1 ξn + a2 ξn−1 + · · · + am ξn−m+1 .

(a) Calculate the mean, variance, and the covariance function of Xn . Show that it
is a weakly stationary process.
√
(b) Set ak = 1/ m for k = 1, . . . , m. Calculate the covariance function and study
the cases m = 1 and m → ∞.

5. Prove the following weak law of large numbers: Let {ξi }ni=1 be a sequence of i.i.d.
random variables defined over the same probability space. Let Xn := ni=1 ξi /n.
P

Then if E(ξ1 ) = µ < ∞ and E(ξ12 ) = C < ∞ we have

lim P(|Xn − µ| ≥ ε) = 0
n→∞

for all ε > 0. That is, Xn converges in probability to µ. You might want to exploit
the Chebychev’s inequality

E(X − µ)2
P(|X − µ| ≥ ε) ≤ .
ε2
6. Assume in the previous exercise that instead of independence the random variables
{ξi }ni=1 are weakly dependent, in the sense of exponential decay of the correlations:

hξi , ξj i := E(ξi − µ)(ξj − µ) = Kλ|i−j|

where K, λ ∈ R with 0 < K < ∞ and 0 < λ < 1. Prove the weak law of large
numbers in this setting.