STT220A/MTH257A

Multivariate Distributions
Distributions of Functions of Random Variables

1. Let 𝑋 and 𝑌 be random variables with joint pdf given by

𝑒 −(𝑥+𝑦) 𝑥 > 0, 𝑦 > 0

𝑓𝑋,𝑌 (𝑥, 𝑦) = {
0, otherwise
Find the following:

a. 𝐹𝑋,𝑌 (𝑥, 𝑦)
b. 𝑓𝑋 (𝑥)
c. 𝑓𝑌 (𝑦)
2. Let the three-dimensional random variable (𝑋, 𝑌, 𝑍) have the joint pdf

𝑓𝑋,𝑌,𝑍 (𝑥, 𝑦, 𝑧) = 8𝑥𝑦𝑧𝐼(0,1) (𝑥)𝐼(0,1) (𝑦)𝐼(0,1)

Find the following:

a. 𝐸[3𝑋 + 2𝑌 + 6𝑍]
b. 𝐸[𝑋𝑌𝑍]
3. Consider a sample of size 2 drawn without replacement from an urn containing three balls, numbered 1, 2, and 3. Let 𝑋
be the number of the first ball drawn, and 𝑌 be the larger of the two numbers drawn.

a. Find the joint pmf of 𝑋 and 𝑌

b. Find 𝑃[𝑋 = 1|𝑌 = 3]
c. Find 𝑐𝑜𝑣[𝑋, 𝑌]

4. Suppose 𝑋~Uniform(0,1). Find the CDF and PDF of 𝑌 = ln 𝑋.

5. Prove that given 𝑋1 , 𝑋2 , … , 𝑋𝑛 𝑖𝑖𝑑

~
𝑃𝑜𝑖(𝜆), 𝑌 = ∑𝑛𝑖=1 𝑋𝑖 ~𝑃𝑜𝑖(𝑛𝜆).