HW 2

EE 761 Due on February 25, 2024 Spring 2024

1. Let Xi s be independent Bernoulli random variables with mean 0.25.

X n 
(i) Compute three upper bounds for P Xi ≥ 0.5n using Markov’s, Chebyshev’s and Hoeffding’s
i=1
inequalities.
(ii) On a single plot, vary n from 1 to 100 and plot the three bounds.
X n 
(iii) Compute and plot P Xi ≥ 0.5n on the same plot. Verify that the three bounds are indeed
i=1
upper bounds.
2. Prove that ∀u ≥ 0,
u2
(1 + u) log(1 + u) − u ≥ .
2 + 2u
3

(This completes the proof of Bernstein’s inequality.)

3. Let X0 = 0 and for j ≥ 0 let Xj+1 be chosen uniformly over the real interval [Xj , 1]. Show that, for
k ≥ 0, the sequence
Yk = 2k (1 − Xk )
is a martingale.
4. Use the martingale stopping theorem to prove the following:
Theorem 1 (Wald’s Equation). Let X1 , X2 ,.. be non-negative, independent, identically distributed
random variables. Let T be a stopping time for this sequence. If T and Xi s have bounded expectations,
then,
T
X 
E Xi = E[T ]E[X1 ].
i=1

5. Consider an i.i.d. sequence X1 , X2 , .. with a discrete distribution, uniform over the integers {1, 2, ..., 10};
Xτ 
P(X = i) = 1/10, 1 ≤ i ≤ 10. Let τ be the first instance when Xτ = 6. Compute E Xi .
i=1