2301-MTL106: ASSIGNMENT-5

Q1. Let g : [0, ∞) 7→ (0, ∞) be a function such that g(x) ≥ b > 0 for x ≥ a. Let X be a non-negative
random variable such that E[g(X)] exists. Show that
E[g(X)]
P(X ≥ a) ≤ .
b

Q2. Let X be a Binomial B(n, p) random variable defined on a given probability space (Ω, F, P).
Then show the followings:
 
a) For λ > 0 and b > 0, P(X − np > nb) ≤ E exp(λ(X − np − nb)) .
p 1
b) For any  > 0, P(X ≥ np +  np(1 − p)) ≤ 1+ 2.

c) For all  > 0, P(|X − np| ≤ n) tends to 1.

P

Q3. Show that Xn → X if and only if limn→∞ E 1 ∧ |Xn − X| = 0.

Q4. Let {Xn } be a sequence of random variables defined on a given probability space (Ω, F, P), given
by √
Xn := n1(0, n1 ) (U ), U ∼ U(0, 1).
P 2
Show that Xn → 0 but Xn 9 0.

P
Q5. Prove or disprove: Xn → 0 =⇒ E(Xn ) → 0 and Var(Xn ) → 0.

Q6. Let {Xn } be a sequence of random variables that is monotonically increasing, i.e., Xn (ω) ≤
P a.s
Xn+1 (ω) for all ω ∈ Ω, n ∈ N. If Xn → X, then show that Xn → X.

d P
Q7. Let Xn → X with X = a a.e. Then show that Xn → a.

Q8. Prove or disprove:

d P d d
Xn → X, Yn → c, c ∈ R, =⇒ Xn + Yn → X + c, Xn Yn → cX.

d
Q9. Let Y, {Xn } be random variables such that for each fixed τ > 0, Xn + τ Y → X + τ Y . Show that
d
Xn → X.

Q10. Let {Xj } be a sequence of i.i.d. random variables with Xj in L1 . Let Yj = eXj . Show that
Q  n1
n
Y
i=1 i converges to a constant α = eE[X1 ] .

Q11. Let {Xj } be a sequence of i.i.d. non-negative random variables with E[X1 ] = 1 and Var(X1 ) =
σ 2 ∈ (0, ∞). Show that
2 p √ d
( Sn − n) → Y, Y ∼ N (0, 1).
σ

Q12. Use CLT to show that

n
X nk 1
lim e−n = .
n→∞ k! 2
k=0

1
2

3
Q13. Let {Xi } be a sequence of i.i.d.
 Prandom variables
 with P(Xi = 1) = 4 and P(Xi = 0) = 41 . Let
2 80
Yi = Xi + Xi . Use CLT to evaluate P i=1 Yi > 100 .

Q14. Let {Xi } be a sequence of i.i.d non-negative random variables with mean 4 and variance 16.
Calculate: h p √
i
lim E cos Sn − 2 n ,
n→∞
Pn
where Sn := i=1 Xi .

Q15. Let {Xn } be a sequence of i.i.d random variables, defined on a given probability space (Ω, F, P),
with uniform distribution on (−1, 1). Let
Pn
Xi
Yn = Pn i=12 3.
i=1 Xi + Xi
√ √
Show that nYn converges in distribution as n → ∞. Let φn (t) be the characteristic function of nYn .
Calculate lim φn (2).
n→∞

P
Q16. Let Xn → X. Show that the characteristic function φXn converges pointwise to φX .