PROBABILITY THEORY AND STOCHASTIC PROCESS

UNIT-II

1 A Discrete Random Variable X has possible value x i=i 2 . i=1 , 2 ,3 , 4 ,∧5

which occur with probabilities 0.4, 0.25, 0.15, 0.1, and 0.1, respectively.

Find the Mean Value X

SOLUTION: Mean Value of A Discrete Random Variables

∞
X =E [ X ] = ∑ xP { X =x }
x=−∞

2
x i=i . i=1 , 2 ,3 , 4 ,∧5

5
X =E [ X ] = ∑ x i P { X =x }
xi =1

5
X =E [ X ] =∑ i 2 P { X =x }
i=1

X =E [ X ] =( 12∗0.4 ) + ( 22∗0.25 ) + ( 32∗0.15 ) + ( 4 2∗0.1 ) + ( 52∗0.1 )

X =E [ X ] =( 1∗0.4 ) + ( 4∗0.25 ) + ( 9∗0.15 )+ (16∗0.1 )+ ( 25∗0.1 )

X =E [ X ] =( 0.4 ) + ( 1 ) + ( 1.35 ) + ( 1.6 )+ ( 2.5 )

X =E [ X ] =0.4 +1+1.35+1.6+2.5=6.85
2 The Natural Numbers are the possible value of a random variables X: that is

()
n
X n=n ; n=1,2,............ these numbers occur with probabilities P( X n)= 1 Find the
2
Expected Value of X

SOLUTION:
∞
X =E [ X ] = ∑ xP { X =x }
x=−∞

∞
X =E [ X ] =∑ xP { X=x }
x=1

()
n
1
P( X n=x )=
2
∞
X =E [ X ] =∑ nP { X=x }
x=1

()
∞ n
1
X =E [ X ] =∑ n
x=1 2

( ) ( ( ) ) ( ( ) ) ( ( ) )+… … … … … ..+ ∞
2 3 4
1∗1 1 1 1
X =E [ X ] = + 2∗ + 3∗ + 2∗
2 2 2 2

1 2 3 4 5
X =E [ X ] = + 2 + 3 + 4 + 5 + … … … … … ..+ ∞
2 2 2 2 2

1 2 3 4 5
+ + + + +… … … … … ..+ ∞=∑ ¿
2 22 23 24 25

1 ( 1+1 ) ( 1+2 ) ( 1+3 ) ( 1+ 4 )

+ 2 + 3 + 4 + 5 +… … … … …..+ ∞=∑ ¿
2 2 2 2 2
1 1 1 1 2 1 3 1 4
+ + + + + + + + +… … … … …..+ ∞=∑ ¿
2 22 22 23 23 2 4 24 25 25

1 1 1 1 2 1 3 1 4
+ + + + + + + + +… … … … …..+ ∞=∑ ¿
2 22 22 23 23 2 4 24 25 25

[ 1 1 1 1 1
2 22 23 24 25
1 2 3 4 5
]
+ + + + +… … … + + 2 + 3 + 4 + 5 +… … … … … ..+∞ =∑ ¿
2 2 2 2 2

[1 1 1 1 1
]
+ 2 + 3 + 4 + 5 +… … … IS INFINITE G . P SERIES∧∑ of G . P is
2 2 2 2 2
a
1−r
,
 1 1
a is first term∧r isration second term∧first term , so a= ∧r =
2 2
1 1
2 2
= =1
1 1
1−
2 2

[ 1 1 1 1 1
2 2 2 2 2 ]
1 2 3 4 5
+ 2 + 3 + 4 + 5 +… … … + + 2 + 3 + 4 + 5 +… … … … … ..+∞ =∑ ¿
2 2 2 2 2

1 2 3 4 5
1+ + 2 + 3 + 4 + 5 +… … … … …..+ ∞=∑ ¿
2 2 2 2 2

1
1+ ¿
2

∑ −1 ¿
2
1
2
∑ ¿1
∑ ¿2=X =E [ X ]
3 Find the expected value of the function g ( X )= X 3 Where X is a random Variable
−x
defined by the Probability Density Function f ( x )= e
1 2
u( x)
2

SOLUTION
∞
E [ g ( x ) ] =∫ g ( x ) f ( x ) dx
−∞

−x
1
f ( x )= e 2 u ( x )∧g ( x )=x 3
2
∞ −x
1
E [ g ( x ) ] =∫ x e 2 u ( x ) dx
3

−∞ 2
∞ −x
1
E [ g ( x ) ] =∫ x
3 2
e dx
0 2
 ∞ −x
1
E [ g ( x ) ]= ∫ x e
3 2
dx
2 0

[ ]
−x −x −x −x ∞
2 2 2 2
1 3e e e e
E [ g ( x ) ]=
2
x −3 x +6 x −6

( ) ( ) ( )
2 −1 −1 −1 −1
∗−1 ∗−1 ∗−1
2 2 2 2
∗−1 ∗−1
2 2 2
∗−1
2 2
2 0

[ ]
−x −x −x ∞
−x 2 2 2
1 2 e e e
E [ g ( x ) ]=
3 2
−2 x e −3 x +6 x −6
2 1
4
−1
8
1
16 () ( ) ( ) 0

[ ]
−x −x −x −x ∞
1
E [ g ( x ) ] = −2 x 3 e 2 −3 ¿ 4 x2 e 2 −6∗8 x e 2 −6∗16 e 2
0
2

[ ]
−x −x −x −x ∞
1
E [ g ( x ) ] = −2 x e 2 −12 x e 2 −24 x e 2 −96 e
3 2 2
0
2

E [ g ( x ) ]=
1
2
[[ 3
−2 x e
−∞
2
−12 x e
2
−∞
2
−24 x e
−∞
2
−96 e
−∞
2 ]−[−20 e −12∗0∗e −24∗0 e −96 e ] ]
0
2
0
2
0
2
0
2

1
E [ g ( x ) ]= [ [ 0 ] −[ −96 ] ]
2

1
E [ g ( x ) ] = [ 96 ] =48
2

4 The Arcsine Probability Density Function is defined by

f ( x )=
rect ( 2xa ) for any
π ( √ a −x )
2 2

2
a
real constant a≥0. Show that X =0 , X 2= for this Probability Density Function
2

SOLUTION:
∞
X =E [ X ] = ∫ xf ( x ) dx
−∞
 X =E [ X ] = ∫ x
∞ rect ( ) dx
x
2a
π ( √ a −x )
2 2
−∞

f ( x )=rect ( 2xa ) is defined as

{
1
0 ;| x|>
2
1 1
f ( x )=rect ( x )= ;|x| =
2 2
1
1;|x|<
2

{
|2xa|> 12 0;

rect ( )= 1 ; x =
2 |2 a | 2
x 1
2a

1 ;| |<
x 1
2a 2

rect ( 2xa )=1 ;− 12 <( 2xa )< 12

rect ( 2xa )=1 ;− 22a <( 22axa )< 22a
rect ( 2xa )=1 ;−a< x <a
X =E [ X ] =∫ x
1
2 rect ( 2xa ) dx
π (√ a − x )
2 2
−1
2

a
1
X =E [ X ] =∫ x dx
−a π ( √ a2−x 2 )
a
x
X =E [ X ] =∫ dx
−a π ( √ a2 −x2 )
 1
2
x is odd function hHence its integration is zero
π ( √ a −x )
2 2

X =E [ X ] =0
∞
X =E [ X ] = ∫ x f ( x ) dx
2 2 2

−∞

f ( x )=rect ( 2xa ) is defined as

{
1
0 ;| x|>
2
1 1
f ( x )=rect ( x )= ;|x| =
2 2
1
1;|x|<
2

{
|2xa|> 12 0;

rect ( )= 1 ; x =
x
2a |
2 2a | 1
2

1 ;| |<
x 1
2a 2

rect ( 2xa )=1 ;− 12 <( 2xa )< 12

rect ( 2xa )=1 ;− 22a <( 22axa )< 22a
rect ( 2xa )=1 ;−a< x <a
X =E [ X ] = ∫ x
2 2
∞
2
rect ( 2xa ) dx
π ( √ a −x )
2 2
−∞

a 2
x
X =E [ X ] =∫
2 2
dx
−a π ( √ a2 −x2 )
 2 a 2 a 2
x x x
is a even function so ∫ dx=2∫ dx
π ( √ a2−x 2 ) −a π ( √ a2−x 2 ) 0 π ( √ a2−x 2 )
a 2
x
X =E [ X ] =2∫
2 2
dx
0 π ( √ a 2−x 2)

[[ ] [ ( )] ]
q
2 −x √ a −x
2 2 2 a
a −1 x
X =E [ X ] =
2 2
+ sin
π 2 0 2 a 0

[[
2 −a √ a −a 0 √ a −0
][ () ( )]]
2 2 2
−1 a −1 0
X =E [ X ] =
2 2
+ ∓ sin −sin
π 2 2 a a

X 2 =E [ X 2 ] =
2
π [
[ 0+0 ] + a [ sin−1 ( 1 )−sin−1 ( 0 ) ]
2 ]
X 2 =E [ X 2 ] =
2π
a
[ [ ]]
2 2 π
2
−0

2 a2
[[ ]]
2
π a
X 2 =E [ X 2 ] = =
2π 2 2

{
1 −π π
cos ( x ) ; ≤x ≤
5. A Random Variable has Probability Density Function f ( x )= 2 2 2
0 ; elsewhere∈ x

Find the Mean Value of the function g ( x )=4 x2

SOLUTION:
∞
E [ g ( x ) ] =∫ g ( x ) f ( x ) dx
−∞

{
1 −π π
cos ( x ) ; ≤x≤
g ( x )=4 x ; f2( x ) = 2 2 2
0 ; elsew h ere∈x
π
2
1
E [ 4 x2 ] =∫ 4 x 2 cos ( x ) dx
−π 2
2
 π
2

E [ 4 x2 ] =2 ∫ x 2 cos ( x ) dx
−π
2

π
2

E [ 4 x2 ] =2 ∫ x 2 cos ( x ) dx
−π
2

E [ 4 x2 ] =2¿ ¿
π
E [ 4 x ] =2 [ x sin ( x ) +2 x ( cos ( x ) )−2 ( sin ( x ) ) ]
2 2 2
−π
2

[[( ) () () () ( )] [( ) ( ) ( ) ( ) ( )]]
2 2
π π π π π −π −π −π −π −π
E [ 4 x ] =2
2
sin +2 cos −2sin − sin +2 cos −2sin
2 2 2 2 2 2 2 2 2 2

[[( ) () ] [( ) ( ) ]]
2 2
π π −π −π
E [ 4 x ] =2
2
∗1+2 ∗0−2∗1 − (−1 ) +2 ∗0−2 (−1 )
2 2 2 2

[[( ) ] [( ) ]]
2 2
π −π
E [ 4 x ] =2
2
+0−2 − (−1 )+ 0+2
2 2

] [[( ) ] [ ( ) ]]
2 2
π −π
E [ 4 x =2
2
−2 − − +2
2 2

[ ] [( ) () ]
2 2
2 π π
E 4 x =2 −2+ −2
2 2

[ ] [ ( ) ]
2
2 π
E 4 x =2 2 −4
2

[ ] [
E 4x = 4 ]
( π )2
−82
4

E [ 4 x2 ] =[ ( π )2−8 ]

6 An Information Source can emit any one of 128 levels where each is equally
probable and independent of all others. What average information does the
source represent?

SOLUTION:
 ∞
X =E [ X ] = ∑ xP { X =x }
x=−∞

1
According to given data P { X=x } =
128
128
1
X =E [ X ] =∑ x
x=0 128
128
1
X =E [ X ] = ∑x
128 x=0

1
X =E [ X ] = [ 1+2+3+ 4+5+6 +7 … … … ..128 ]
128

X =E [ X ] =
128 (
1 128∗129 129
2
=
2 )

7 Show that the Mean Value and Variance of the Uniform Random Variables X is

E [ X ]= ( )
a+b
2
and σ 2x =
( b−a )2
12

SOLUTION:
∞
E [ x ] =∫ xf ( x ) dx
−∞

{
1
; a< x <b
f ( x )= b−a
0 ; Otherwise
b b
1 1
E [ x ] =∫ x dx E [ x ] = ∫ xdx
a b−a b−a a
 [ ]
b
1 x2
E [ X ]=
b−a 2 a

[ ]
2 2
1 b a
E [ X ]= −
b−a 2 2

[ ]
2 2
1 b −a
E [ X ]=
b−a 2

E [ X ]=
b−a 2 [ ]
1 ( b−a ) ( b+a )

] [ ]( b+ a )
E[X =
2
∞
E [ x ]=∫ x f ( x ) dx
2 2

−∞

b
1
E [ x ]=∫ x
2 2
dx
a b−a
b
1
E [ x ]=
2
∫ x 2 dx
b−a a

[ ]
b
1 x3
E [ x ]=
2
b−a 3 a

[ ]
3 3
1 b a
E [ x ]=
2
−
b−a 3 3

[ ]
3 3
1 b −a
E [ x ]=
2
b−a 3

( b 3−a 3 )=( b−a ) ( b 2+ a2 +ab )

[
1 ( b−a ) ( b + a +ab )
]
2 2
E [ x ]=
2
b−a 3

] [ ]
( b2 + a2+ ab )
E[x =
2
3
 [[ ] [ ]] [ ]
2
( b 2+ a2 +ab ) ( b+a ) 2 2 2
b +a + ab b +a +2 ab
2
Variance σ 2x =E [ X 2 ] −[ E [ X ] ] =
2
− = −
3 2 3 4

[ ][ ]
2
b +a −2ab [ b−a ]
2 2 2 2 2 2
4 b +4 a +4 ab−3 b −3 a −6 ab
¿ = =
12 12 12

8 Show that the Mean Value and Variance of the Binomial Random Variables X is

E [ X ] =np∧σ x =npq
2

SOLUTION:
∞
X =E [ X ] = ∑ xP { X =x }
x=−∞

x n− x
P { X=x } =nc ( p ) ( q )
x

n
X =E [ X ] =∑ x nc ( p ) ( q )
x n−x
x
x=0

n
n!
X =E [ X ] =∑ x
x n− x
( p ) ( q)
x=1 x ! ( n−x ) !
n
np ( n−1 ) !
X =E [ X ] =∑ x
x−1 (n−1)−(x−1 )
( p) ( q )
x=1 ( x−1 ) ! ( ( n−1 )−(x−1) ) !
n
np ( n−1 ) !
X =E [ X ] =∑
x−1 (n −1 )−(x−1)
( p ) ( q)
x=1 ( x−1 ) ! ( ( n−1 )−(x −1) ) !
n
( n−1 ) !
X =E [ X ] =np ∑
x−1 (n−1)−(x−1)
( p ) (q)
x=1 ( x−1 ) ! ( ( n−1 )−(x−1) ) !

n
X =E [ X ] =np ∑ n−1c ( p )
x−1 (n−1)−(x−1)
x−1
(q )
x=1

n
X =E [ X ] =np ∑ ( ( p +q ))
n−1

x=1

X =E [ X ] =np
 ∞
X 2
=E [ X 2 ] = ∑ x 2 P { X =x }
x=−∞

x n− x
P { X=x } =nc ( p ) ( q ) x

n
X 2 =E [ X 2 ] =∑ x2 nc ( p ) ( q )
x n−x
x
x=0

Let x 2=x + x ( x−1 )

n
X 2 =E [ X 2 ] =∑ [ x+ x ( x−1 ) ] nc ( p ) ( q )
x n− x
x
x=0

n n
X 2 =E [ X 2 ] =∑ [ x ] nc ( p ) ( q ) + ∑ [ x ( x−1 ) ] n c ( p ) ( q )
x n− x x n−x
x x
x=0 x=0

n
n!
X 2 =E [ X 2 ] =np+ ∑ [ x ( x −1 ) ]
x n−x
( p) ( q )
x=0 x ! ( n−x ) !
n
[ x ( x−1 ) ] n p 2 ( n−1 ) ( n−2 ) !
=E [ X ] =np+ ∑ ( p )x−2 ( q )(n−2 )−(x−2)
2 2
X
x=2 x ( x−1 ) ( x−2 ) ! ( ( n−2 )−(x −2) ) !
n
[ x ( x−1 ) ] n p 2 ( n−1 ) ( n−2 ) !
X =E [ X ] =np+ ∑ ( p )x−2 ( q )(n−2 )−(x−2)
2 2

x=2 x ( x−1 ) ( x−2 ) ! ( ( n−2 )−(x −2) ) !

n
( n−2 ) !
X =E [ X ] =np+ n p ( n−1 ) ∑
2 2 2 x−2 (n−2)−(x−2)
( p) (q )
x=2 ( x−2 ) ! ( ( n−2 ) −(x−2) ) !
n
X 2 =E [ X 2 ] =np+ n p 2 ( n−1 ) ∑ n−2c ( p )
x−2 (n−2)−( x−2 )
x−2
( q)
x=2

n
X 2 =E [ X 2 ] =np+ n p 2 ( n−1 ) ∑ ( ( p+q ) )
n−2

x=2

X 2 =E [ X 2 ] =np+ n p 2 ( n−1 )=np [ 1+ p ( n−1 ) ] =np ( 1+np− p )=np ( q+ np )

2 2
¿ npq+ n p
2
Variance μ2=m2−m1
2 2 2 2
μ2=npq+n p −n p =npq
9 Show that the Mean Value and Variance of the Poisson Random Variables X are
equal.

SOLUTION:
∞
X =E [ X ] = ∑ xP { X =x }
x=−∞

x
−λ λ
{ }
P X=x =e
x!
∞
λx
X =E [ X ] =∑ x e− λ
x=0 x!
∞
λ λ x−1
X =E [ X ] =∑ x e− λ
x=0 x ( x−1 ) !
∞
λ λ x−1
X =E [ X ] =∑ e−λ
x=0 ( x−1 ) !
∞
λx−1
X =E [ X ] =e λ ∑ −λ

x=0 ( x−1 ) !

[ ]
0 1 2 3
−λ λ λ λ λ
X =E [ X ] =e λ + + + + … … … … … ..+∞
0 ! 1 ! 2! 3 !

[ ]
1 2 3
−λ λ λ λ
X =E [ X ] =e λ 1+ + + +… … … … …..+ ∞
1! 2 ! 3 !

[ ]
1 2 3
λ λ λ λ
We know that 1+ + + + … … … … … ..+∞ = e
1 ! 2 ! 3!
−λ
X =E [ X ] =e λ e =λ
λ

∞
X 2 =E [ X 2 ] =∑ x2 P { X=x }
x=0

x
λ
P { X=x } =e
−λ
x!
∞
λx
X =E [ X ] =∑ x2 e− λ
2 2

x=0 x!

Let x 2=x + x ( x−1 )

 ∞ x
λ
X 2
=E [ X 2 ] =∑ [ x+ x ( x−1 ) ] e−λ
x=0 x!
∞ x ∞ x
λ λ
X 2
=E [ X 2 ] =∑ [ x ] e−λ + ∑ [ ( x−1 ) ] e−λ
x! x=0 x! x=2

∞
λ 2 λ x−2
X =E [ X ] =λ +∑ [ x ( x−1 ) ] e− λ
2 2

x=2 x ( x−1 ) ( x−2 ) !

∞
λ 2 λ x−2
X =E [ X ] =λ +∑ e− λ
2 2

x=2 ( x−2 ) !
∞
λ x−2
X 2 =E [ X 2 ] =λ +e−λ λ2 ∑
x=2 ( x−2 ) !

[ ]
0 1 2 3 4
λ λ λ λ λ
X =E [ X ] =λ +e λ
2 2 −λ 2
+ + + + + … … .+ ∞
0 ! 1! 2 ! 3 ! 4 !

[ ]
1 2 3 4
λ λ λ λ
X =E [ X ] =λ +e λ 1+
2 2 −λ 2
+ + + +… … .+∞
1 ! 2! 3 ! 4 !

[ ]
1 2 3
λ λ λ λ
We know that 1+ + + + … … … … … ..+∞ = e
1 ! 2 ! 3!

X 2 =E [ X 2 ] =λ +e−λ λ2 e λ =λ+ λ 2

2 2
μ2= λ+ λ −λ = λ

10. Show that the Mean Value and Variance of the Gaussian Random Variables X
2
is m x & σ x

SOLUTION: The Gaussian Density Function is

2
− ( x−mx )
1 2σ
2

f ( x )= e x

√2 π σ 2
x

∞
Mean E [ x ] =∫ xf ( x ) dx
−∞
 2
∞ − ( x−mx )
1
Mean=E [ x ] =∫ x
2
2σ
e x
dx
−∞ √2 π σ 2
x

( x−mx )
Let t=
√2 σ x
√ 2 σ x t=x−mx
x=m x + √ 2 σ x t

dx=0+ √ 2 σ x dt

dx= √ 2 σ x dt

Limits: Upper Limit x=∞ ; t=∞

Lower Limit x=−∞ ; t=−∞

∞
1
∫ ( m x +√ 2 σ x t ) e−t √2 σ x d t
2

Mean=E [ x ] =
√2 π σ 2
x −∞

[ ]
∞ ∞
1
∫ ( m x ) e √ 2 σ x dt +∫ ( √ 2 σ x t ) e−t √2 σ x dt
2 2
−t
Mean=E [ x ] =
√2 π σ 2
x −∞ −∞

[ ]√ [ ]
∞ ∞
1 1
∫ (m x) e ∫ ( √ 2 σ x t ) e−t √2 σ x dt
2 2

Mean=E [ x ] =
−t
√ 2 σ x dt +
√2 π σ 2
x −∞ 2π σx
2
−∞

[ ] √ [ ∫ (√ ]
∞ ∞
1
∫ ( m x ) e dt + 1π
2 2

Mean=E [ x ] =
−t
2 σx t ) e
−t
√2 σ x dt
√π −∞ −∞

[ ]√ [ ]
∞ ∞
1 2 σx
∫ ( m x ) e dt + ∫ t e−t dt
2 2
−t
Mean=E [ x ] =
√π −∞ π −∞

−t 2 integration
t e is odd function so its ¿ minus infinite is zero, then
infinite

[ ]
∞
1
∫ ( m x ) e−t dt
2

Mean=E [ x ] =
√π −∞
 ∞
mx
∫
2
−t
Mean=E [ x ] = e dt
√π −∞

∞
2 mx
∫
2
−t
Mean=E [ x ] = e dt
√ 0
π

Let u=t 2

t=√ u

1
dt= du
2 √u

Limits: Upper Limit t=∞ , u=∞

Lower Limit t=0 , u=o

∞
2 mx −u 1
Mean=E [ x ] = ∫ e
√π 0 2 √u
du

∞
mx −u 1
Mean=E [ x ] =
√π
∫ e
√u
du
0

We Know That
∞

∫ e−u √1u du=√ π As Per The Gamma Function

0

mx
Mean=E [ x ] = √ π=m x
√π
2
∞ − ( x−m x )
1
Mean Square Value E [ x ]= ∫ x
2
2 2 2σ
e x
dx
−∞ √2 π σ 2
x

( x−mx )
Let t=
√2 σ x
√ 2 σ x t=x−mx
x=m x + √ 2 σ x t

dx=0+ √ 2 σ x dt

dx= √ 2 σ x dt
 Limits: Upper Limit x=∞ ; t=∞

Lower Limit x=−∞ ; t=−∞

∞
1
∫ ( ( m x + √ 2 σ x t ) ) e−t √ 2 σ x dt
2
Mean Square Value E [ x ]=
2
2

√2 π σ 2
x −∞

∞
1
∫
2
Mean Square Value E [ x ]= ( ( mx + √ 2 σ x t ) ) e−t dt
2
2

√ π −∞
∞
1
Mean Square Value E [ x ]= ∫ ( m2x +2t 2 σ 2x +2 √ 2 mx t ) e−t dt
2
2

√ π −∞

[ ]
∞
1
Mean Square Value E [ x ]= ∫ ( m2x +2 t2 σ 2x + 2 √ 2 mx t ) e−t dt
2
2

√π −∞

[ ]
∞ ∞ ∞
1
Mean Square Value E [ x ]= ∫ mx e dt+ ∫ 2t σ x e dt + ∫ 2 √ 2 mx t e dt
2 2 2
2 2 −t 2 2 −t −t

√π −∞ −∞ −∞

√ [ ]
∞ ∞ ∞
1
Mean Square Value E [ x ]= ∫ dt+ ∫ 2t σ e dt + ∫ 2 √ 2 mx t e dt
2 2 2
2 2 −t 2 2 −t −t
m e
x x
π −∞ −∞ −∞

t e−t is odd function so its integration is zero

[ ]
∞ ∞
1
Mean Square Value E [ x ]= ∫m e dt + ∫ 2t σ x e dt
2 2
2 2 −t 2 2 −t

√π −∞
x
−∞

Let u=t 2

t=√ u

1
dt = du
2 √u

Limits: Upper Limit t=∞ , u=∞

Lower Limit t=0 , u=o

[∫ ]
2 ∞ 2 ∞
2 mx 1 4 σx 1
Mean Square Value E [ x ]=
2

√π
∫e −u

2 √u
du+
√π
ue
−u

2 √u
du
0 0
 [∫ √ ]
2 ∞ 2 ∞
mx 1 2σx
Mean Square Value E [ x ]=
2

√π
∫e −u

√u
du+
√π
−u
u e du
0 0

According to Gamma Functions

∞

∫ e−u √1u du=√ π

0

And
∞

∫ √u e−u du= √2π

0

2 2

√π + x √
mx 2σ π
Mean Square Value E [ x ]=
2

√π √π 2
E [ x 2 ]=m 2x +σ 2x

Hence Variance

σ 2x =E [ x 2 ]−m2x

11. A Random Variable X has A Probability Density Function

f ( x )= ( 323 ) (−x + 8 x−12 ); 2 ≤ X ≤6

2

Find m 0 , m1 , m 2∧μ2

SOLUTION:
∞
m 0=E [ x ] = ∫ x f ( x ) dx
0 0

−∞
 ∞
m 0=E [ 1 ] = ∫ f ( x ) dx=1
−∞

∞
m1=E [ x ] =∫ x f ( x ) dx
1 1

−∞

6
m 1=E [ x ] =∫ x
2
( 323 )(−x +8 x−12) dx 2

6
3
m1=E [ x ] = ∫ x (−x 2 +8 x−12 ) dx
32 2
6
3
m 1=E [ x ] = ∫ (−x + 8 x −12 x ) dx
3 2
32 2

[ ]
6
3 −x 4 x3 x2
m1=E [ x ] = +8 −12
32 4 3 2 2

[ ] [ ]
4 3 2 4 3 2
3 −6 8 ¿ 6 12∗6 2 8∗2 2 3 −1296 1728 432 16 64 48
m1=E [ x ] = + − + − + 12 = + − + − +
32 4 3 2 4 3 2 32 4 3 2 4 3 2

m1=E [ x ] =
3
32 [ 64
−324+576−216+ 4− +24
3 ]
m1=E [ x ] =
3
32 [
64−
64 3 192−64
=
3 32 3
=
32 3 ] [
3 128
=4
] [ ]
∞
m 2=E [ x ] = ∫ x f ( x ) dx
2 2

−∞

6
m2=E [ x ] =∫ x
2

2
2
( 323 )(−x +8 x−12) dx 2

6
m 2=E [ x ] =
3
32
2
( )∫ x (−x +8 x−12) dx
2
2 2

6
m2=E [ x ] =
2
( )∫ (−x + 8 x −12 x ) dx
3
32 2
4 3 2
 6
m 2=E [ x ] =
2 3
32 ( )∫ (−x + 8 x −12 x ) dx
2
4 3 2

( )[ ]
6
3 −x 5 8∗x 4 12∗x 3
m2=E [ x ] =
2
+ −
32 5 4 3 2

( )[ ]
5 4 3 5 4 3
3 −( 6 ) 8∗( 6 ) 12∗( 6 ) ( 2 ) 8∗( 2 ) 12∗( 2 )
m2=E [ x 2 ] = + − + − +
32 5 4 3 5 4 3

( 323 ) [ −7776
m 2=E [ x 2 ] =
5
+
4
−
3
+ −
5 4
+
3 ]
10368 2592 32 128 96

m2=E [ x 2 ] = ( 323 ) [ −7776

5
32
+2592−864+ −32+ 32
5 ]
m 2=E [ x 2 ] = ( 323 ) [ −7776
5
+1728+
5]
32

m2=E [ x 2 ] = ( 323 ) [ −7744

5
+1728
]
m 2=E [ x ] =
2
( 323 ) [ −7744+5 8640 ]
m 2=E [ x 2 ] = ( 323 ) [ 8965 ]=( 31 )[ 285 ]= 845
m2=E [ x 2 ] =¿
2
μ2=¿ m2−m1

84 84−80 4
μ2=¿ −16= =
5 5 5

12. .A Random Variable X has A Probability Density Function

{
f ( x )= 4 )
( 5
( 1−x ) ; 0 ≤ X ≤ 1
4
2
Find E[X],E[4X+2] and E[X ]
0 ; Other Wise

SOLUTION:
∞
E [ X ] = ∫ xf ( x ) dx
−∞
 1
E [ X ] =∫ x
0
( 54 ) (1−x ) dx 4

1
E [ X ]= ( )∫ x (1−x ) dx
5
4 0
4

1
E [ X ]=
5
4 ( )∫ ( x −x ) dx0
5

( )[ ] ( )[ ]
1
5 x2 x6 5 12 16 0 2 06
E [ X ]= − = − − +
4 2 6 0 4 2 6 2 6

E [ X ]= ( 54 )[ 12 − 16 ]=( 54 )[ 3−1
6 ] ( 4 )[ 6 ] 12
=
5 2
=
5

4∗5 5 5+6 11
E[4X+2]=4E[ X ] +2=¿E[4X+2]= +2= +2= =
12 3 3 3
∞
E [ X ]= ∫ x f ( x ) dx
2 2

−∞

1 1 1
E [ X ]=∫ x
2

0
2
()
5
4
( 1−x 4 ) dx= 5
4 () ∫ x 2 ( 1−x 4 ) dx=
0
( )∫ ( x −x ) dx
5
4 0
2 6

( )[ ]
1
5 x 3 x7
E [ X ]=
2
−
4 3 7 0

( )[ ]
3 7 3 7
5 1 1 0 0
E [ X ]= − − +
4 3 7 3 7

E [ X 2 ]= ( 54 )[ 31 − 17 ]=( 54 )[ 7−3
21 ] =( )
5 4
[ ]
4 21 21
=
5

13.A Random Variable X is uniformly distributed on (0,6).If X is transformed to

a new random variables

Y =2 ( X −3 ) −4 Find m0 , m1 , m2∧μ2 of y
2

SOLUTION: A Random Variable X is uniformly distributed on (0,6).The Probability

Density Function
 {
1
; a< x <b
f ( x )= b−a
0 ; Otherwise

{
1
; 0< x <6
f ( x )= 6−0
0; Otherwise

{
1
; 0< x <6
f ( x )= 6
0 ; Otherwise

E [ Y ] =E [ 2 ( X−3 ) −4 ]=E [ 2 ( X + 9−6 X )−4 ]=E [ 2 X +18−12 X −4 ]

2 2 2

E [ Y ] =E [ 2 X 2 +14−12 X ]=E [ 2 X 2 ] + E [ 14 ]−E [ 12 X ]

E [ Y ] =2 E [ X 2 ] +14−12 E [ X ]
∞ ∞
E [ Y ] =2 ∫ x f ( x ) dx+14−12 ∫ xf ( x ) dx
2

−∞ −∞

6 ∞
1 1
E [ Y ] =2∫ x dx +14−12 ∫ x dx
2

0 6 −∞ 6
6 ∞
2 12
E [ Y ] = ∫ x dx+ 14− ∫ x dx
2
60 6 −∞

[ ] [ ]
6 6
1 x3 x2
E [ Y ] =14+ −2
3 3 0 2 0

[ ] [ ]
3 2
1 6 6
E [ Y ] =14+ −0 −2 −0
3 3 2

E [ Y ] =14+
[ ] [ ]
1 216
3 3
−2
36
2

E [ Y ] =14+ 36−36

E [ Y ] =14

14. Show that the Mean Value and Variance of the Rayleigh Random Variables X
is
 E [ X ] =a+
√ πb
4
∧σ 2x =b
( 4−π )
4

SOLUTION: The Rayleigh Random Variables X has Probability Density Function is

2
− ( x−a )
2
f ( x )= ( x−a ) e b
; x≥a
b
∞
E [ X ] = ∫ xf ( x ) dx
−∞

2
∞ −( x−a )
2
E [ X ] =∫ x ( x−a ) e b
dx
a b
2
∞ −( x−a )
2
E [ X ] = ∫ x ( x−a ) e b
dx
b a

( x−a )2
Let t=
b
2
tb=( x−a )

x−a=√ bt

x=a + √ bt

dx=da+d ¿

dx=
1 b
2 t √
dt

Limits: Upper Limit x=∞ ; t=∞

Lower Limit x=a ; t=0

√
∞
2 −t 1 b
E [ X ] = ∫ ( a+ √ bt ) √ bt e dt
b 0 2 t
∞
E [ X ] =∫ ( a+ √ bt ) e dt
−t

∞
E [ X ] =∫ ( a+ √ bt ) e dt
−t

0
 ∞ ∞
E [ X ] =∫ a e dt+∫ √bt e dt
−t −t

0 0

[ ]
∞ ∞
e−t
+ √ b ∫ √ t e dt
−t
E [ X ] =a
−1 0 0

We Know that as per Gamma Functions

∞

∫ √t e−t dt = √2π
0

[ √b √π
]
−∞ −0
e e
E [ X ] =a − +
−1 −1 2

E [ X ] =a 0+
[ ] 1 √ πb
1
+
2

E [ X ] =a+
√ πb =a+ πb
2 √ 4

Mean Square Value

2
∞ ∞ − ( x−a )
2
E [ x ] =∫ x f ( x ) dx Mean Square Value E [ x ]= ∫ x ( x−a ) e
2 2 2 2 b
dx
−∞ −∞ b
2
∞ − ( x−a)
2
E [ x ]= ∫ x ( x−a ) e
2 2 b
dx
ba

( x−a )2
Let t=
b
2
tb=( x−a )

x−a=√ bt

x=a + √ bt

dx=da+d ¿

dx=
1 b
2 t √
dt

Limits: Upper Limit x=∞ ; t=∞

Lower Limit x=a ; t=0

 √
∞
2 −t 1 b
E [ x ]= ∫ ( ( a+ √ bt ) ) √ bt e
2 2
dt
b0 2 t
∞
E [ x ]=∫ ( ( a+ √ bt ) ) e dt
2 2 −t

∞
E [ x ]=∫ ( a + bt+2 a √ bt ) e dt
2 2 −t

∞ ∞ ∞
E [ x ]=∫ a e dt +∫ bt e dt+∫ 2 a √ bt e dt
2 2 −t −t −t

0 0 0

∞ ∞ ∞
E [ x ]=a
2 2
∫e −t
dt +b ∫ t e dt+2 a √ b∫ √ t e dt
−t −t

0 0 0

We Know that as per Gamma Functions

∞

∫ √t e−t dt = √2π
0

[ ] [ ]
∞ ∞

E [ x ]=a
2 e−t
+b
2t e−t
−
e−t
+2 a √ b
√π
−1 0 −1 −1∗−1 0 2

[ ] [ ]
−∞ −0 −∞ −∞ −0 0
e e ∞e e 0e e
E [ x ]=a − + a √ πb
2 2
− +b − −
−1 −1 −1 1 −1 1

E [ x 2 ]=a 2 [ 0+1 ] +b [ 0−0−0+ 1 ] + a √ πb

E [ x 2 ]=a 2 [ 1 ] + b [ 1 ] + a √ πb

E [ x 2 ]=a 2+b +a √ πb
2 2
Variance σ x =m2−( m1 )

( √ )
2
πb
Variance σ =a + b+a √ πb− a+2
x
2
4

Variance σ x =a + b+a √ πb−a −

2 2 2 πb
−2 a
√ πb
4 2

πb
Variance σ x =a + b+a √ πb−a − −a √ πb
2 2 2
4
 2 πb
Variance σ x =b−
4

Variance σ 2x =b ( 4−π
4 )

15. Find the Mean Value and Variance of the Exponential Random Variables X ?

SOLUTION:
∞
E [ X ] = ∫ xf ( x ) dx
−∞

Probability Density Function of the Exponential Random Variables X are

{
− ( x−a )
1 b
f ( x )= b e ; x >a
0 ; x< a
∞ − ( x−a)
1
E [ X ] =∫ x e b
dx
a
b
∞ − ( x−a)
1
E [ X ]= ∫ xe
b a
b
dx

x−a
Let t =
b

tb=x−a

tb+a=x

bdt=dx

Limits: Upper Limit x=∞ ; t=∞

Lower Limit x=a ; t=0

∞
1
E [ X ] = ∫ ( tb+ a ) e bdt
−t
b 0
 ∞
E [ X ] =∫ ( tb +a ) e dt
−t

∞ ∞
E [ X ] =∫ tb e dt+∫ a e dt
−t −t

0 0

∞ ∞
E [ X ] =b ∫ t e dt+ a∫ e dt
−t −t

0 0

[ ] [ ]
∞ ∞
e−t −t e−t
E [ X ] =b t −e + a
−1 0 −1 0

∞ ∞
E [ X ] =b [− t e−t −e−t ]0 + a [−e−t ]0

E [ X ] =b [− ∞ e −e ]+ a [−e−∞ +e−0 ]
−∞ −∞ −0 −0
+0 e + e

E [ X ] =b [ 1 ] +a [ 1 ]

E [ X ] =b +a
∞
E [ x ]=∫ x f ( x ) dx
2 2

−∞

∞ − ( x−a )
1
E [ x ]=∫ x e
2 2 b
dx
a
b
∞ − ( x−a )
1
E [ x ]= ∫ x2 e
2 b
dx
ba
∞ − ( x−a )
1
E [ x ]= ∫ x 2 e
2 b
dx
ba

x−a
Let t =
b

tb=x−a tb+a=x bdt=dx

Limits: Upper Limit x=∞ ; t=∞

Lower Limit x=a ; t=0

∞
1
E [ x ]=
2
b0
∫ ( tb +a )2 e−t bdt
 ∞
E [ x ]=∫ ( tb+ a ) e dt
2 2 −t

∞
E [ x ]=∫ ( ( tb ) +a +2 abt ) e dt
2 2 2 −t

∞ ∞ ∞
E [ x ]=b
2 2
∫t 2 −t
e dt +a
2
∫e −t
dt +2 ab∫ t e dt
−t

0 0 0

[ )] [ ] [ ]
∞

(
−t −t −t −t ∞ −t ∞
e e e e e
E [ x ]=b t
2 2 2 2 −t
−t − +a +2 ab t −e
−1 −1∗−1 −1∗−1∗−1 0 −1 0 −1 0

∞
E [ x ]=b [−e t −( 2 t e + 2 e ) ]0 + a [− e ]0 +2 ab [ −t e −e ]0
2 2 −t 2 −t −t 2 −t −t −t ∞ ∞

∞ ∞ ∞
E [ x 2 ]=b2 [−e−t t 2−2 t e−t −2 e−t ] 0 +a 2 [−e−t ] 0 +2 ab [−t e−t −e−t ]0

E [ x 2 ]=b2 [−e−∞ ∞ 2−2 ∞ e−∞−2 e−∞ + e−0 0+20 e−0 +2 e−0 ] +a 2 [ −e−∞ + e−0 ]+ 2 ab [ −∞ e−∞−e−∞ +0 e−0 + e−0 ]

E [ x ]=b [ 0−0−0+ 0+0+2 ] +a [ 0+1 ] +2 ab [ 0−0+0+1 ]

2 2 2

E [ x 2 ]=b2 [ 2 ] + a2 [ 1 ] +2 ab [ 1 ]

E [ x 2 ]=2 b2 +a 2+2 ab
2 2
Variance σ x =m2−( m1 )
2 2 2 2
Variance σ x =2 b +a + 2ab−( a+b )
2 2 2 2 2
Variance σ x =2 b +a + 2ab−2 b −a −2 ab
2 2
Variance σ x =b

16. A Random Variable X has A Probability Density Function

{( ) ( )
π πx
cos ;−4 ≤ X ≤ 4
f ( x )= 16 8
0 ;Other Wise

Find Mean, Mean Square Value and Variance.

SOLUTION:
∞
E [ X ] = ∫ xf ( x ) dx
−∞
 4
E [ X ] =∫ x
−4
( 16π ) cos ( πx8 ) dx
4
E [ X ]= ( )∫ x cos ( πx8 ) dx
π
16 −4

[ ]
4

sin
πx
cos ( ) ( ) πx

E [ X ]=
π
x( ) 8
+
8
16 π
8
π
8 ( )( ) π
8 −4

E [ X ]=
[
( 16π ) 4
sin ( 48π ) + cos ( 48π ) −(−4 ) sin ( −48 π ) − cos( −48 π )
π
8 ( )(
π π
8 8 ) π
8 ( 8 )( 8 )
π π
]
E [ X ]= ( 16π ) 4[ sin ( π2 ) + cos ( π2 ) −(−4) −sin ( π2 ) − cos( π2 )
π
8 ( π8 )( π8 ) π
8 ( π8 )( π8 ) ]
E [ X ]=
[
( 16π ) 4 π1 + π 0 π −(−4 ) −1π − π 0 π
8 ( 8 )( 8 ) 8 ( 8 )( 8 ) ]
E [ X ]=
[
( 16π ) 4 π1 −( 4) 1π
8 8 ]
E [ X ]= ( 16π )[ 32π − 32π ]
E [ X ]= ( 16π ) [ 0]=0
∞
E [ x ]=∫ x f ( x ) dx
2 2

−∞

4
E [ x ]=∫ x
2

−4
2
( 16π ) cos( πx8 ) dx
 4
E [ x ]=∫ x
2

−4
2
( 16π ) cos( πx8 ) dx
4
E [ x ]=
2
( )∫ x cos( πx8 ) dx
π
16 −4
2

[ ]
4
2
x sin
πx
( ) ( ( )) ( ( ))
2 x −cos
πx
8
2 −sin
πx
8
E [ x ]=
2
( )
π
16 π
8
−
π
2
−
π
3

8 64 512 −4

[ ]
4
2
8 x sin ( )
πx 128 x cos πx
8
1024 sin
πx
8 ( ( )) ( ( ))
E [ x ]=
2
( )
π
16 π
8
+
π
2
−
π
3
−4

E [ x 2 ]= [
( 16π )
8∗16 sin

π π2 π3
][
( 48π ) + 128∗4 (−cos( 48π )) − 1024 (sin ( 48π )) − 8∗16 sin (−48 π ) + 128∗−4(−cos( −48 π
π π2

( )[ ][
E [ x ]=
2 π
128 sin ( ) ( ( ))
4π
8
+
512 cos
4π
8
−
1024 sin
( ( )) 4π
8
−
128 sin ( −4 π
8 )− ( ( ))
512 cos
−4 π
8
−
(
1024 sin
2 3 2
16 π π π π π π

( )[ ][ ]
E [ x 2 ]=
π
128 sin ( π2 ) + 512(cos ( π2 )) − 1024( sin ( π2 )) − −128 sin ( π2 ) − 512( cos( π2 )) − 1024 (−sin ( π2 ))
16 π π2 π3 π π2 π3

[ ( )+ ( 2 )− ( 2 ) + ( 2 )+ ( 2 )− ( 2 )
( ) 1024 sin ( ) 128 sin π 512 cos ( ) 1024 sin ( )
]
π π π π π
128 sin 512 cos
( )
E [ x 2 ]=
π
16 π
2
π2 π3 π π2 π3

E [ x 2 ]= ( 16π )[ 128∗1
π
+
512 ( 0 ) 1024 ( 1 ) 128∗1 512 ( 0 ) 1024 ( 1 )
π
−
π
+2
π
+
π
−
π 3 ] 2 3

E [ x 2 ]= ( 16π )[ 128π − 1024

π
+
π
−
π ]
128 1024
3 3
 E [ x 2 ]= ( 16π )¿
( 16π )( 16π )[ 16− 128π ]
E [ x 2 ]= 2

[
E [ x 2 ]= 16−
128
π
2 ]
Variance σ 2X =E [ X 2 ] −[ E [ X ] ]
2

2 128
Variance σ X =16− 2
−0
π

2 128
Variance σ X =16− 2
π

17. Find the Moments Generating Function and Characteristic Function of

Uniform Random Variables

Moments Generating Function

∞
M V ( X )=E [ e ]=∫ e f ( x ) dx
vx vx

−∞

Probability Density Function of Uniform Random Variables

1
f ( x )= ;a≤ x ≤ b
b−a
b
1
M V ( X )=E [ e ]=∫ e
vx vx
dx
a b−a
 b
1
M V ( X )=E [ e ]= ∫
vx
b−a a
vx
e dx

[ ]
b
1 e vx
M V ( X )=E [ e ]=
vx
b−a v a

[ ]
vb va
1 e e
M V ( X )=E [ e ]=
vx
−
b−a v v

Moments Generating Function An Uniform Random Variables

[ ]
vb va
1 e −e
M V ( X )=E [ e ]=
vx
b−a v

Φ ( ω )=E [ e ]
jωx
Characteristic Function

∞
Φ ( ω )=E [ e
jωx
]=∫ e jωx f ( x ) dx
−∞

∞
1
Φ ( ω )=E [ e
jωx
]=∫ e jωx dx
−∞ b−a
∞
Φ ( ω )=E [ e
jωx
]= 1 ∫ e jωx dx
b−a −∞

[ ]
b
1 e jωx
Φ ( ω )=E [ e ]=
jωx
b−a jω a

[ ]
jωb jωa
1 e e
Φ ( ω )=E [ e ]=
jωx
−
b−a jω jω

Characteristic Function of An Uniform Random Variables

[ ]
jωb jωa
1 e −e
Φ ( ω )=E [ e ]=
jωx
b−a jω

18. Find the Moments Generating Function and Characteristic Function of

Exponential Random Variables,

Probability Density Function of Exponential Random Variables

 {
− ( x−a )
1 b
f ( x )= b e ; x >a
0 ; x< a

Moments Generating Function

∞
M V ( X )=E [ e ]=∫ e f ( x ) dx
vx vx

−∞

∞ − ( x−a)
1
M V ( X )=E [ e vx ]=∫ e vx e b
dx
a
b
∞ − ( x−a)
1
M V ( X )=E [ e ]= ∫ e e
vx vx b
dx
ba
a ∞ −x
1
M V ( X )=E [ e ]= e b ∫ e e b dx
vx vx
b a

−( −v ) x
a ∞ 1
1
M V ( X )=E [ e ]= e b ∫ e
vx b
dx
b a

[ ( )]
∞
a
− (1b − v )x
1 e
M V ( X )=E [ e ]= e
vx b
b 1
− −v
b a

[( ]
1
a
−e b
− ( 1 −v ) ∞ e
− (1b −v )0
M V ( X )=E [ e ]= e b
vx
+
b 1
b
−v ) ( ) 1
b
−v

[( ]
a
1 0 1
M V ( X )=E [ e vx ]= e b +
b 1
b
−v ) ( 1b −v)

[( )]
a
1 1
M V ( X )=E [ e vx ]= e b
b 1
−v
b

[ ]
a
1 b
M V ( X )=E [ e vx ]= e b
b 1−bv
Moments Generating Function of the Exponential Random Variables

[ ]
a
1
M V ( X )=E [ e ]=e
vx b
1−bv

Characteristic Function Φ ( ω )=E [ e jωx ]

Probability Density Function of Exponential Random Variables

{
− ( x−a )
1 b
f ( x )= b e ; x >a
0 ; x< a
∞
Φ ( ω )=E [ e
jωx
]=∫ e jωx f ( x ) dx
−∞

∞ − ( x−a )
1
Φ ( ω )=E [ e jωx
]=∫ e jωx
e b
dx
a
b
∞ − ( x−a )
Φ ( ω )=E [ e
jωx
]= 1 ∫ e jωx e b
dx
b a

a ∞ −x
Φ ( ω )=E [ e
jωx
]= 1 e b ∫ e jωx e b
dx
b a
a ∞ −x
]= 1 e b ∫ e b
+ jωx
Φ ( ω )=E [ e
jωx
dx
b a

]= 1 e b ∫ e ( b ) dx
a ∞ − 1 + jω x
Φ ( ω )=E [ e
jωx
b a

[ ( )]
∞
a ( 1b + jω)x
−

Φ ( ω )=E [ e
jωx
]= 1 e b e
b 1
− + jω
b a

[( ]
a
−e
−( 1b + jω)∞ − ( 1b + jω)0
Φ ( ω )=E [ e
jωx
]= 1 e b
+
e
b 1
b
+ jω
1
b
+ jω ) ( )
 [( ]
a
Φ ( ω )=E [ e jωx
]= 1 e b 0
+
1
b 1
b
+ jω ) ( 1b + jω)

[ ( )]
a
1 1
Φ ( ω )=E [ e jωx ]= e b
b 1
+ jω
b

[ ]
a
Φ ( ω )=E [ e
jωx
]= 1 e b 1
b 1+ jωb
b

[ ]
a
1 b
Φ ( ω )=E [ e jωx ]= e b
b 1+ jωb

Characteristic Function Of The Exponential Random Variables

[ ]
a
Φ ( ω )=E [ e
jωx
]= 1 e b b
b 1+ jωb

19. Find the Moments Generating Function and Characteristic Function of

Binomial Random Variables

Probability of Binomial Random Variables

x n− x
P { X=x } =nc ( p ) ( q ) x

Moments Generating Function

∞
M V ( X )=E [ e ]= ∑ e vx P { X =x }
vx

x=−∞

∞
M V ( X )=E [ e vx ]= ∑ e vx nc ( p ) ( q )
x n− x
x
x=−∞

∞
M V ( X )=E [ e vx ]= ∑ nc ( p e v ) ( q )
x n− x
x
x=−∞

Moments Generating Function of the Binomial Random Variables

∞
M V ( X )=E [ e vx ]= ∑ ( p e v + q )
n

x=−∞

Characteristic Function
 ∞
Φ ( ω )=E [ e jωx ]= ∑ e jωx P { X=x }
x=−∞

∞
Φ ( ω )=E [ e jωx ]= ∑
x n−x
e jωx nc ( p ) ( q )
x
x=−∞

∞
Φ ( ω )=E [ e ]= ∑ x
nc ( p e jω ) ( q )
jωx n− x
x
x=−∞

Characteristic Function of the Binomial Random Variables

∞
Φ ( ω )=E [ e jωx ]= ∑ ( p e jω + q )
n

x=−∞

20 Find the Moments Generating Function and Characteristic Function of

Poisson Random Variables

Probability of Poisson Random Variables

x
λ
P { X=x } =e
−λ
x!

Moments Generating Function

∞
M V ( X )=E [ e vx ]= ∑ e vx P { X =x }
x=−∞

∞
λx
M V ( X )=E [ e vx ]=∑ e vx e− λ
x=0 x!
x
∞
( λ ev )
M V ( X )=E [ e ]=e ∑
vx −λ

x=0 x!
x
∞
( λ ev )
M V ( X )=E [ e ]=e ∑
vx −λ

x=0 x!

[ ]
0 v 2
( λ ev )
λ e ( λe )
v
M V ( X )=E [ e ]=e
vx −λ
+ + + … … … … .+ ∞
0! 1! 2!

[ ]
v 2
λe (λe )
v
M V ( X )=E [ e ]=e
vx −λ
1+ + + … … … … .+∞
1! 2!

M V ( X )=E [ e vx ]=e− λ e λ e
v
 M V ( X )=E [ e vx ]=e− λ+λ e
v

Moments Generating Function of The Poisson Random Variables

M V ( X )=E [ e vx ]=e λ (e −1)

v

Characteristic Function
∞
Φ ( ω )=E [ e jωx
]= ∑ e jωx P { X=x }
x=−∞

∞
λx
Φ ( ω )=E [ e jωx ]=∑ e jωx e−λ
x=0 x!
x
∞
( λ e jω )
Φ ( ω )=E [ e ]=e ∑
jωx −λ

x=0 x!
x
∞
( λ e jω )
Φ ( ω )=E [ e ]=e ∑
jωx −λ

x=0 x!

[ ]
0 jω 2
( λ e jω )λe
jω
(λ e )
Φ ( ω )=E [ e ]=e
jωx −λ
+ + +… … … … .+ ∞
0! 1! 2!

[ ]
jω 2
λe
jω
(λe )
Φ ( ω )=E [ e ]=e
jωx −λ
1+ + + … … … … .+∞
1! 2!

Φ ( ω )=E [ e jωx ]=e− λ e λ e

jω

Φ ( ω )=E [ e jωx ]=e− λ+λ e

jω

Characteristic Function of the Poisson Random Variables

Φ ( ω )=E [ e ]=e λ (e −1 )
jω
jωx

( )
N
a
21. The Characteristic Function of Random Variables X is Φ ( ω )=
a− jω

N 2 N ( N +1 ) 2 N
Where a>0,N=1,2,3...... Show that X = ,X = and σ x = 2
A a
2
a

SOLUTION: nth Oder Moment using Characteristic Function

 d (Φ ( ω ) )
n
n
m n= ( − j ) n
Where ω=0
dω

( )
N
a
Φ ( ω )=
a− jω

d (Φ ( ω ) )
m 1= ( − j )
dω

( ) [ ]
N −1
a ( a− jω ) 0−a (− j )
m 1= ( − j ) N
a− jω ( a− jω )2

( [ ] )
N −1
a ja
m 1= ( − j ) N
a− jω ( a− jω )2

( ) [ ]
N −1
a ja
m 1= ( − j ) N
a− j0 ( a− j 0 )2

() [ ]
N −1
a ja
m 1= ( − j ) N
a ( a )2

N
m 1=
a

( ) [ ]
N −1
a ja
m 1= ( − j ) N
a− jω ( a− jω )2

( )
N +1
N a
m 1=
a a− jω

[ ( ) ]
N +1
d N a
m2=− j
dω a a− jω

[[( ) ]]
N +1
− j∗N d a
m 2=
a dω a− jω

( )[ ]
N
− j∗N ( N + 1 ) a 0 ( a− jω )−a (− j )
m 2=
a a− jω ( a− jω )2
 ( ) [ −a
( a− jω ) ]
N
− j∗N ( N + 1 ) a (− j )
m 2=
a a− jω 2

( ) [ ( a−a ( jωj ) ) ]
N
− j∗N ( N + 1 ) a
m 2=
a a− jω 2

N (N + 1)
( ) [ ( a−ajω ) ]
N
a
m 2= 2
a a− jω

N (N + 1)
( ) [ ( a−aj 0) ]
N
a
m 2= 2
a a− j 0

N (N + 1)
m 2=
( a )2

Variance σ 2X =E [ X 2 ] −[ E [ X ] ]
2

[ ]
2
2 N ( N +1 ) N
Variance σ = X −
( a )2 a

N
Variance σ X =
2
2
[ N +1−N ]
a

2 N
Variance σ X = 2
a

2 N
Variance σ X = 2
a

22 The Characteristic Function of Random Variables X is Φ ( ω )=|ω|, Show that

1 1
Probability Density Function f ( x )=
π ( 1+ x 2 )

SOLUTION:
∞
1
f ( x )= ∫
2 π −∞
− jω
Φ ( ω ) e dω

Φ ( ω )=|ω|
 ∞
1
f ( x )= ∫
2 π −∞
Φ ( ω) e
− jωx
dω

∞
1
f ( x )= ∫ |ω|e− jωx dω
2 π −∞
0 ∞0
1 1
f ( x )= ∫
2 π −∞
−ω e
− jωx
dω + ∫
2π 0
ωe
− jωx
dω

[ ] [ ]
0 ∞
1 −ω e− jω −e− jω 1 ω e− jω e− jω
f ( x )= − + −
2 π − jx (− jx )(− jx ) −∞ 2 π − jx (− jx ) (− jx ) 0

23.The Joint Probability Distribution Function for two Random Variables X and Y is
F ( X , Y ) =u ( x ) u ( y ) [ 1−e−ax −e−ay + e−a ( x+ y )]

Find P { X ≤1 , Y ≤2 } P { 0.5< X ≤ 1.5 } and P {−1.5< X ≤ 1 ,1<Y ≤ 2 } for a=0.5

SOLUTION:

P { x 1< X ≤ x 2 , y 1 <Y ≤ y 2 }=F ( x 1 , y 1) + F ( x 2 , y 2 )−F ( x 1 , y 2 )−F ( x2 , y 1 )

P { 0< X ≤ 1 ,0< Y ≤ 2 }=F ( 0 , 0 ) + F ( 1 , 2 )−F ( 0 , 2 )−F ( 1 ,0 )

¿ u ( 0 ) u ( 0 ) [ 1−e−a 0−e−a 0+ e−a (0 +0) ] +u ( 1 ) u ( 2 ) [ 1−e−a−e−2 a +e−a (1 +2) ]−u ( 0 ) u ( 2 ) [ 1−e−a 0−e−a 2+ e−a (0+2 ) ]−u ( 1 ) u ( 0 ) [ 1−

¿ [ 1−1−1+1 ] + [ 1−e−a−e−2 a +e−a ( 3) ]−[ 1−1−e−a 2 +e−a (2 ) ]−[ 1−e−a1−1+ e−a (1) ]

¿ [ 0 ] + [ 1−e−a−e−2 a +e−a (3 ) ] −[ 0 ] −[ 0 ]

1−e−a−e−2 a +e−a (3 )

P { X ≤1 , Y ≤2 }=1−e −e
−a −2 a −a ( 3 )
+e

a=0.5
P { X ≤1 , Y ≤2 }=1−e
−0.5 −1 −1.5
−e + e

F ( X )=F ( X , ∞ )=u ( x ) u ( ∞ ) [ 1−e−ax −e−a ∞ +e−a ( x+ ∞) ]

F ( X )=F ( X , ∞ )=u ( x ) [ 1−e−ax −0+ 0 ]

F ( X )=F ( X , ∞ )=u ( x ) [ 1−e−ax ]

 P { 0.5< X ≤ 1.5 }=F ( X 2 )−F ( X 1 )= F ( 1.5 )−F ( 0.5 1)

P { 0.5< X ≤ 1.5 }=F ( 1.5 )−F ( 0.51 )=u ( 1.5 ) [ 1−e−a1.5 ]−u ( 0.5 ) [ 1−e−a 0.5 ]

P { 0.5< X ≤ 1.5 }=F ( 1.5 )−F ( 0.51 )=[ 1−e−a 1.5 ]−[ 1−e−a 0.5 ]

P { 0.5< X ≤ 1.5 }=F ( 1.5 )−F ( 0.51 )=1−e

−a 1.5 −a 0.5
−1+e

P { 0.5< X ≤ 1.5 }=F ( 1.5 )−F ( 0.51 )=e

−a 0.5 −a 1.5
−e

a=0.5
P { 0.5< X ≤ 1.5 }=F ( 1.5 )−F ( 0.51 )=e
−0.5∗0.5 −0.5∗1.5
−e

P { 0.5< X ≤ 1.5 }=F ( 1.5 )−F ( 0.51 )=e

−0.25 −0.75
−e

P { x 1< X ≤ x 2 , y 1 <Y ≤ y 2 }=F ( x 1 , y 1) + F ( x 2 , y 2 )−F ( x 1 , y 2 )−F ( x2 , y 1 )

P {−1.5< X ≤ 1 ,1<Y ≤ 2 }=F (−1.5 , 1 ) + F ( 1 , 2 )−F (−1.5 , 2 )−F ( 1 ,1 )

¿ u (−1.5 ) u ( 1 ) [ 1−e−a∗−1.5 −e−a 1+ e−a (−1.5 +1) ] +u ( 1 ) u (2 ) [ 1−e−a−e−2 a +e−a (1 +2) ]−u ( 1.5 ) u ( 2 ) [1−e−a∗−1.5−e−a 2 +e−a (−1.5

−u ( 1 ) u ( 1 ) [ 1−e−a−e−a +e−a ( 1+1) ]

¿ 0∗1 [1−e−a∗−1.5−e−a 1 +e−a (−1.5+1 ) ]+1∗1 [1−e−a−e−2a + e−a (1+2 ) ]−0∗1 [ 1−e−a∗−1.5 −e−a 2+ e−a (−1.5 +2 y ) ] – 1∗1 [ 1−e−a−

¿ [ 1−e −e ] – [ 1−e−a−e−a +e−2 a ]

−a −2 a −3 a
+e
−a −2 a −3 a −a −a −2 a
1−e −e +e −1+ e + e −e
−2 a −3 a −a −2 a
¿−e +e +e −e
−3 a −a −2 a
¿e +e −2 e

a=0.5 P {−1.5< X ≤ 1 ,1<Y ≤ 2 }=e−3∗0.5 + e−0.5−2 e−2∗0.5

P {−1.5< X ≤ 1 ,1<Y ≤ 2 }=e

−1.5 −0.5 −1
+e −2 e

24. The Joint Probability Density Function for two Random Variables X and Y is

{
− ( x+ y )
f ( x , y )= be ; 0< x< ∞∧0< y< ∞Find Constant b
0 ; Otherwise
SOLUTION:
∞ ∞

∫ ∫ f ( x , y ) dxdy =1
−∞ −∞

∞ ∞

∫∫ b e−(x + y ) dxdy=1
0 0

∞ ∞
b ∫∫ e
− ( x+ y )
dxdy=1
0 0

∞ ∞
b ∫ e dx ∫ e dy=1
−x −y

0 0

[ ][ ]
∞ ∞
e− x e− y
b =1
−1 0 −1 0

b [−e−∞+ e−0 ][−e−∞+ e−0 ]=1

b [ 0+1 ][ 0+1 ] =1

b=1

25. Determine a constant ‘’b” such that is valid Joint Probability Functions

{
a . f ( x , y )= 3 xy ; 0< x <1∧0< y <b
0 ; Otherwise

SOLUTION:
∞ ∞

∫ ∫ f ( x , y ) dxdy =1
−∞ −∞

1 b

∫∫ 3 xydxdy =1
0 0

1 b
3∫ xdx ∫ ydy =1
0 0
 [ ][ ]
1 b
x2 y2
=1
2 0 2 0

[ ][ ]
2
1 0 b 0
− − =1
2 2 2 2
2
1b
=1
2 2
2
b
=¿1
4
2
b =4

b=2

26..Determine a constant ‘’b” such that is valid Joint Probability Functions

{
b . f ( x , y )= bx (1− y ); 0 < x< 0.5∧0 < y <1
0 ; Otherwise
∞ ∞

∫ ∫ f ( x , y ) dxdy =1
−∞ −∞

0.5 1

∫ ∫ bx ¿ ¿ ¿
0 0

0.5 1
b ∫ xdx ∫ ¿ ¿ ¿
0 0

[ ][ ]
0.5 1
x2 2 y− y 2
b =1
2 0 2 0

b [ 2 2][
( 0.5 )2 0 2∗1−12 2∗0−02
−
2
−
2
=1 ]
b
[ ][ ]
0.25
2
2−1
2
=1

b ( 0.25 )=4
 4 400
b= = =16
0.25 25

c . f ( x , y )=b ( x3 + 4 y 2 ) ; 0 ≤ x ≤1 , 0 ≤ x ≤ 2
∞ ∞

∫ ∫ f ( x , y ) dxdy =1
−∞ −∞

∞ ∞

∫ ∫ b ( x 3 +4 y 2) dxdy=1
−∞ −∞

1 2
b ∫ ∫ ( x +4 y ) dydx=1
3 2

0 0

[ ]
1 2
4 y3
b∫
3
x y+ dx=1
0
3 0

[ ]
1 3
4 ( 2) 4 ¿ 03
b∫ 2 x3 + −x 3∗0− dx=1
0 3 3

[ ]
1
4∗8
b∫ 2 x +
3
dx=1
0 3

[ ]
1
32
b∫ 2 x +
3
dx=1
0 3

[ ]
1
x 4 32 x
b 2 + =1
4 3 0

[ ]
4 4
2∗1 32∗1 0 3∗0 x
b + −2 − =1
4 3 4 3

[ ]
4
2∗1 32∗1
b + =1
4 3

b
[ 1 32
+
2 3
=1
]
b
[ 3+64
6
=1
]
b
[ ] 67
6
=1
 6
b=
67

{
( x2 + y2 )
27. Given The Function f ( x , y )= 8π ; ( x 2 + y 2 ) <b Find a constant b so that
0 ; elsewhere
this is valid Joint Probability Density Function and P {0.5 b<(x 2 + y 2)≤ 0.8 b }

Solution:
∞ ∞

∫ ∫ f ( x , y ) dxdy =1
−∞ −∞

x=r cosθ

y=r sinθ

dxdy =rdrdθ

Limits r ; 0<r < 1∧0<θ< 2 π

( ( r cosθ )2 + ( r sin θ )2 ) <b

r 2 ( ( cosθ )2 + ( sin θ )2 ) <b
2
r <b

r < √ b ; so 0< r< √ b

2π √b
( x2 + y 2 )
∫∫ 8π
rdrdθ=1
0 0

2π √b
( ( r cosθ )2+ ( r sin θ )2)
∫∫ 8π
rdrdθ=1
0 0

2π
r 2 ( ( cosθ )2 + ( sin θ )2)
√b
∫∫ 8π
rdrdθ=1
0 0

2π √b 2
∫ ∫ 8rπ rdrdθ=1
0 0

2π √b
1
∫ ∫
8π 0 0
3
r drdθ=1
 2π √b
1
∫
8π 0
dθ ∫ r 3 dr=1
0

[ ]
4 √b
1 2π r
[θ ] =1
8π 0 4 0

[ ]
4 4
1 (√ b ) (√ 0)
[ 2 π−0 ] − =1
8π 4 4

[ ]
4
1 ( √b )
[2π] =1
8π 4
2
2π b
=1
32 π
2
b
=1
16
2
b =16 ; b=4

P {0.5∗4 < ( ( r cosθ )2 + ( r sin θ )2 ) ≤ 0.8∗4 }

P {2< ( r 2) ≤ 3.2 }

P {√ 2<r ≤ √ 3.2 },
2 π √ 3.2
( x2 + y2 )
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }=∫ ∫ rdrdθ
0 √2 8π

2 π √ 3.2
( ( r cosθ )2 + ( r sin θ )2 )
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }=∫ ∫ rdrdθ
0 √2 8π
2 π √ 3.2
r2
P √ 2< r ≤ √ 3.2 , 0<θ ≤2 π =∫ ∫
{ } rdrdθ
0 √2 8π
2 π √ 3.2
r3
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }=∫ ∫ drdθ
0 √2 8π
2π √3.2
r3
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }=∫ dθ ∫ dr
0 √2 8π
 2π √3.2
r3
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }=∫ dθ ∫ dr
0 √2 8π
2π √ 3.2
r2
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }= ∫
8π 0
dθ ∫ r 3 dr
√2

[ ]
√3.2
r2 2 π r 4
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }= [θ]
8π 0 4 √2

[ ]
4 4
1 ( √3.2 ) ( √ 2 )
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }= [ 2 π −0 ] −
8π 4 4

P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }=

1
8π
∗2 π∗
10.24−4
4 [ ]
P { √ 2< r ≤ √ 3.2 , 0<θ ≤2 π }=
[ ]
1 6.24 6.24
4 4
=
16
=0.39

{
2
b ( x+ y ) ;−2< x <2 ,−3< y< 3
28. Given the Function f ( x , y )= find a constant ‘b’ and
0 ; elsewhere
Marginal Probability Density Functions

Solution:
∞ ∞

∫ ∫ f ( x , y ) dxdy =1
−∞ −∞

2 3

∫ ∫ b ( x + y )2 dxdy=1
−2 −3

2 3
b ∫ ∫ ( x+ y ) dxdy =1
2

−2 −3

2 3
b ∫ ∫ ( x + y +2 xy ) dydx=1
2 2

−2 −3

[ ]
2 3
y3 2 x y2
b∫
2
yx + + dx=1
−2
3 2 −3
 [ ]
2
( 3 )3 (−3 )3
b ∫ x2 3+ + x ( 3 )2 +3 x2 − −x (−3 )2 dx=1
−2 3 3

[ ]
2
27 2 27
b∫ 3 x +
2
+ 9 x+3 x + −9 x dx=1
−2 3 3
2
b ∫ [ 6 x +18 ] dx=1
2

−2

[ ]
2
6 x3
b +18 x =1
3 −2

[ ]
3 3
6 ( 2) 6 (−2 )
b + 18 (2 )− −18 (−2 ) =1
3 3

b
[ 6∗8
3
+18 ( 2 ) +
6∗8
3
+18 ( 2 ) =1
]
1
b [ 16+36+ 16+36 ]=1 ; b 104=1 b=
104

Marginal Probability Density Function of x

∞
f ( x )= ∫ f ( x , y ) dy
−∞

{
2
f ( x , y )= b ( x+ y ) ;−2< x <2 ,−3< y< 3
0 ; elsewhere
∞
f ( x )= ∫ b ( x + y ) dy
2

−∞

3
1
f ( x )= ∫
104 −3
2
( x + y ) dy

3
1
f ( x )= ∫
104 −3
( x 2 + y 2 +2 xy ) dy

[ ]
3 3
1 2 y 2 x y2
f ( x )= yx + +
104 3 2 −3

f ( x )=
1
104 3[
27 2 x∗9
3 x 2+ +
2
27 2 x∗9
+ 3 x2 + −
3 2 ]
 f ( x )=
1
104 [ 27
3 x 2+ +3 x 2+
3
27
3 ]
1
f ( x )= [ 6 x 2+18 ]
104

Marginal Probability Density Function of y

∞
f ( y )=∫ f ( x , y ) dx
−∞

2
1
f ( y )= ∫ ( x + y )2 dy
104 −2
2
1
f ( y )= ∫
104 −2
( x2 + y 2 +2 xy ) dy

[ ]
3 2
1 2 x 2 y x2
f ( y )= xy+ +
104 3 2 −2

f ( y )=
1
104 [ 8 2 y∗4
2 y2+ +
3 2
8 2 y∗4
+2 y 2+ −
3 2 ]
f ( y )=
1
104
8
[
2 y2+ + 2 y2+
3
8
3 ]
f ( y )=
1
104
24 +
16
3 [ ]

29. Find a value of the constant b so that the Joint Probability Density
Function
2 −2 xy
f ( x , y )=bx y e u ( x−2 ) u ( y−1 ) is valid Joint Probability Density Function
 SOLUTION:
∞ ∞

∫ ∫ f ( x , y ) dxdy =1
−∞ −∞

∞ ∞

∫∫ bx y 2 e−2 xy u ( x−2 ) u ( y−1 ) dxdy =1

0 0

∞ ∞
b ∫∫ x y e
2 −2 xy
dxdy =1
2 1

∞ ∞
b∫ y ∫ x e−2 xy dxdy =1
2

1 2

[ ]
∞ −2 xy −2 xy ∞
e e
b∫ y x
2
− dy =1
1 −2 y (−2 y ) (−2 y ) 2

[ ]
∞ ∞
e−2 xy e−2 xy
b ∫ y −x − 2
dy =1
1 2y 4 y2 2

[ ]
∞ ∞
y 2 e−2 xy y 2 e−2 xy
b∫ −x − 2
dy=1
1 2y 4y 2

[ ]
∞ 2 −2 ∞ y 2 −2∞ y 2 −2∗2 y 2 −2∗2 y
y e y e y e y e
b∫ −∞ − 2
+2 + 2
dy=1
1 2y 4y 2y 4y

[ ]
∞ −2∗2 y −2∗2 y
ye e
b ∫ 0−0+2 + dy=1
1 2 4

[ ]
∞ −4 y
e
b∫ y e
−4 y
+ dy=1
1 4

[ ]
−4 y −4 y −4 y ∞
ye e e
b − + =1
−4 (−4 ) (−4 ) 4∗−4 1

[ ]
∞
− y e−4 y e−4 y e−4 y
b − − =1
4 16 16 1

[ ]
−4 ∞ −4 ∞ −4∞ −4∗1 −4∗1 −4∗1
−ye e e ye e e
b − − + + + =1
4 16 16 4 16 16
 [ ]
−4 −4 −4
e e e
b − 0−0−0+ + + =1
4 16 16

[ ]
−4 −4 −4
e e e
b + + =1
4 16 16

[ ]
−4 −4 −4
4 e +e + e
b =1
16

[ ]
−4
6e
b =1
16

16
b= −4
6e

30. Two Random Variables X and Y have Joint Probability Density

Function

10
[ u ( x )−u ( x−4 ) ] u ( y ) y e−( x+1) y
2
3
f ( x , y )=
4

Find Marginal Probability Density Functions and Marginal Probability

Distribution Functions

SOLUTION:

10
[ u ( x )−u ( x−4 ) ] u ( y ) y 3 e−( x+1) y
2

f ( x , y )=
4

Marginal Probability Density Function of x

∞
f ( x )= ∫ f ( x , y ) dy
−∞

∞
10
f ( x )= ∫ [ u ( x )−u ( x−4 ) ] u ( y ) y 3 e−( x+1) y dy
2

−∞ 4

∞
10
∫ [ u ( x )−u ( x−4 ) ] u ( y ) y 3 e−( x+1) y dy
2

f ( x )=
4 −∞
∞
10
f ( x )= ∫ [ u ( x )−u ( x−4 ) ] y e
3 − ( x+1) y 2

dy
4 0
 ∞
10
f ( x )= ∫ [ u ( x )−u ( x−4 ) ] y e
3 − ( x+1) y 2

dy
4 0
∞
10
[u ( x )−u ( x−4 ) ]∫ y 3 e−( x+1) y dy
2

f ( x )=
4 0

∞
10
f ( x )= [ u ( x )−u ( x−4 ) ] ∫ y e
2 − ( x +1) y 2

ydy
4 0

2
y =t

2 ydy=dt

Limits Lower Limit x=0 t=0 ; Upper Limit x=∞ t=∞

∞
10
f ( x )= [ u ( x )−u ( x−4 ) ] ∫ t e
−( x+1 ) t
dt
4 0

[ ]
− ( x+1 ) t − ( x+1) t ∞
10 te e
f ( x )= [ u ( x )−u ( x−4 ) ] −
4 −( x +1 ) − ( x +1 ) −( x+1 ) 0

[ ]
− ( x+1 ) t − ( x+1) t ∞
10 −t e e
f ( x )= [ u ( x )−u ( x−4 ) ] −
4 ( x +1 ) ( ( x+1 ))
2
0

[ ]
− ( x+1) ∞ − ( x+1 ) ∞ − ( x+1) 0 − ( x+1) 0
10
f ( x )=
4
[u ( x )−u ( x−4 ) ] ∞ e −
e
2
+
0e
+
e
2
( x +1 ) ( ( x+ 1 ) ) ( x +1 ) ( ( x +1 ) )

[ ]
− ( x+1) 0
10 e
f ( x )= [ u ( x )−u ( x−4 ) ] 0−0+ 0+ 2
4 ( ( x +1 ) )

f ( x )=
10
4
[u ( x )−u ( x−4 ) ] 1 2
( ( x +1 ) )[ ]
Marginal Probability Density Function of y
∞
f ( y )=∫ f ( x , y ) dx
−∞

∞
10
f ( y )= ∫ [ u ( x )−u ( x−4 ) ] u ( y ) y e
3 − ( x+1 ) y 2

dx
4 −∞
 ∞ ∞
10 10
f ( y )= ∫ [ u ( x ) ] u ( y ) y e dx - ∫ [ u ( x −4 ) ] u ( y ) y e
3 − ( x+1) y 2
3 − ( x+ 1) y 2

dx
4 −∞ 4 −∞
∞ ∞
10 u ( y ) y 3 10u ( y ) y 3
∫ − ( x+1) y
∫ e−( x+1 ) y dx
2 2

f ( y )= e dx -
4 0 4 4

2 2
∞ ∞
10 u ( y ) y 3 e− y 10u ( y ) y 3 e− y
∫ ∫
2 2

f ( y )= e−x y dx- e−x y dx

4 0 4 4

2 2
∞ ∞
10 u ( y ) y 3 e− y 10u ( y ) y 3 e− y
∫ ∫
2 2
−x y
f ( y )= e dx- e−x y dx
4 0 4 4

[ ] [ ]
2 2 ∞ 2 2 ∞
10 u ( y ) y 3 e− y e−x y 10u ( y ) y 3 e− y e−x y
f ( y )= -
4 − y2 0 4 y2 4

[ ] [ ]
2 2 2 2 2 2
3 −y 3 −y
10 u ( y ) y e −e−∞ y e−0 y 10u ( y ) y e −e−∞ y e−4 y
f ( y )= + 2 - + 2
4 y2 y 4 y2 y

[ ] [ ]
2 2 2

10 u ( y ) y 3 e− y 3 −y
1 10u ( y ) y e e−4 y
f ( y )= −0+ 2 - −0+ 2
4 y 4 y

[ ]
2 2
3 −y
10 u ( y ) y e 1 e−4 y
f ( y )= + 2
4 y2 y

31.. Find Marginal Probability Density Functions of X and Y of the Joint

Probability Density Function

f ( x , y )=2 u ( x ) u ( y ) e
[ ( )] −
x
2
+4 y

Solution:Marginal Probability Density Function of x

∞
f ( x )= ∫ f ( x , y ) dy
−∞

f ( x , y )=2 u ( x ) u ( y ) e
[ ( )] −
x
2
+4 y
 ∞
f ( x )= ∫ 2 u ( x ) u ( y ) e
[ ( )] dy −
x
2
+4 y

−∞

∞
f ( x )=∫ 2 u ( x ) e
[( −
x
2
+4 y )]
dy
0

∞
f ( x )=2u ( x )∫ e
[( −
x
2
+4 y )]
dy
0

f ( x )=2u ( x ) e
[ ( )]∫ e [
−
x
2
∞
−( 4 y ) ]
dy
0

[ ( )]
[ ]
x −4 y ∞
−
2 e
f ( x )=2u ( x ) e
−4 0

[ ( )] −e
[ ]
x −4 ∞
−
2 e−4∗0
f ( x )=2u ( x ) e +
4 4

[ ( )] −0+ 1
[ ]
x
−
2
f ( x )=2u ( x ) e
4

[ ( )]
[]
x
−
2 1
f ( x )=2u ( x ) e
4

1
f ( x )= u ( x ) e
−( )
2 [ ] x

Marginal Probability Density Function of y

∞
f ( y )=∫ f ( x , y ) dx
−∞

∞
f ( y )=∫ 2u ( y ) e
[ ( )] dx −
x
2
+4 y

f ( y )=2u ( y ) ∫ e
[ ( )] dx
∞ −
x
2
+4 y

f ( y )=2u ( y ) e
[ −( 4 y ) ]
∞
[ ( )]
∫ e dx
−
x
2

0
 []
−x ∞
2
[ −( 4 y ) ] e
f ( y )=2u ( y ) e
−1
2 0

[ ]
−∞ −0
2 2
e e
f ( y )=2u ( y ) e [ −( 4 y )] +
−1 1
2 2

[ ]
0 1
f ( y )=2u ( y ) e [
−( 4 y ) ]
+
−1 1
2 2

f ( y )=2u ( y ) e [ −( 4 y )] [ 0+ 2 ]

f ( y )=4 u ( y ) e [ −( 4 y )]

32. the Joint Probability Density Function of random variables X and Y is

{ ( ) [ ( ) ( ) ] ;−b< x <b ,0< y< b

4 3
25 y x y
f ( x , y )= 23 ab b 1− b a Find Marginal Probability
0 ; elsewhere
Density Functions of X and Y

Solution: Marginal Probability Density Function of x

∞
f ( x )= ∫ f ( x , y ) dy
−∞
 { ( ) [ ( ) ( ) ] ;−b< x <b ,0< y< b
4 3
25 y x y
f ( x , y )= 23 ab b 1− b a
0 ; elsewhere

( )[ ( ) ( ) ] dy
b 4 3
25 y x y
f ( x )=∫ 1−
0 23 ab b b a

( )[ ( ) ( ) ] dy
b 4 3
25 y x y
f ( x )= ∫
23 ab 0 b
1−
b a

[( ) ( ) ( ) ]
b 4 4
25 y x y a
f ( x )= ∫
23 ab 0 b
−
b a b
dy

[ () ]
b
25 y 2 x 4
y5
f ( x )= − 3
23 ab 2b b 5ba 0

[ () ]
b
25 y 2 x 4
y5
f ( x )= −
23 ab 2b b 5 b a3 0

[ () () ]
2 4 5 2 4 5
25 b x b 0 x 0
f ( x )= − 3
− + 3
23 ab 2b b 5ba 2b b 5ba

[ ()
25 b 2
]
4
x b5
f ( x )= − −0+0
23 ab 2b b 5 b a3

[ () ]
2 4 5
25 b x b
f ( x )= 2
−
23 2 a b b 5 b2a4

[ ]
f ( x )=
25 1 x4
− 4
23 2 a 5 a

Marginal Probability Density Function of y

∞
f ( y )=∫ f ( x , y ) dx
−∞

{ ( ) [ ( ) ( ) ] ;−b< x <b ,0< y< b

4 3
25 y x y
f ( x , y )= 23 ab b 1− b a
0 ; elsewhere
 ( )[ ( ) ( ) ] dx
b 4 3
25 y x y
f ( y )=∫ 1−
−b 23 ab b b a

( )[ ( ) ( ) ] dx
b 4 3
25 y x y
f ( y )= ∫
23 ab −b b
1−
b a

[ ( ) ( )]
b 4 3
25 y x y y
f ( y )= ∫
23 −b a b 2
−
b 2
ab a
dx

∫[ ( ) ( )]
b 4 4
25 y x 1 y
f ( y )= 2
− 2
dx
23 −b a b b b a

[ ( ) ( )]
4 b
25 xy x 5 1 y
f ( y )= −
23 a b2 b 5 b 2 a −b

[ () ()b 5 1 y 4 by −b 5 1 y
( ) ( )]
4
25 by
f ( y )= − + 2+
23 a b2 b 5 b 2 a ab b 5 b2 a

[ ( ) ( )]
4 4
25 by 1 y by 1 y
f ( y )= 2
− 2 + 2− 2
23 a b 5 b a ab 5b a

50 y
f ( y )=
23 ab

33. Two Random Variables X and Y have Joint Probability Density

Function

{
5 2
x y ; 0< y < x <2
f ( x , y )= 16 Find Marginal Probability Density Functions of X
0
and Y and are X and Y statistically independent?

Solution: Marginal Probability Density Function of x

∞
f ( x )= ∫ f ( x , y ) dy
−∞
 {
5 2
x y ; 0< y < x <2
f ( x , y )= 16
0
2
5 2
f ( x )=∫ x y dy
0 16
2
5 2
f ( x )= x ∫ y dy
16 0

[ ]
2
5 2 y2
f ( x )= x
16 2 0

f ( x )=
16
x −
[ ]
5 2 4 0
2 2

f ( x )=
16 []
5 2 4
x
2

5 2
f ( x )= x
8

Marginal Probability Density Function of y

∞
f ( y )=∫ f ( x , y ) dx
−∞

2
5 2
f ( y )=∫ x y dx
0 16

2
5
y ∫ x dx
2
f ( y )=
16 0

[ ]
2
5 x3
f ( y )= y
16 3 0

f ( y )=
5
y −
16 3 3[ ]
8 0
 f ( y )=
5
y
16 3
8
[]
5
f ( y )= y
6

If f ( x , y )=f ( x ) f ( y ) Then X and Y are statistically independent

5 2 5 25 25 2
x y= x y= x y
16 8 6 48

Then above Given Random Variables are not statistically independent

34. Two Random Variables X and Y have Joint Probability Density

Function

1 [ x y

f ( x , y )= u ( x ) u ( y ) e
]
−( + )
4 3
Find P{2<x≤4,-1<y≤5} and P{0<x≤∞,-∞<y≤-2}
12

SOLUTION:
x2 y2

P { x 1< X ≤ x 2 , y 1 <Y ≤ y 2 }=∫ ∫ f ( x , y ) dxdy

x1 y1

1
4 5
P { 2< x ≤ 4 ,−1< y ≤ 5 }=∫ ∫ u ( x ) u ( y ) e
−( + )
4 3
dxdy
[ x y
]
2 −1 12

1
P { 2< x ≤ 4 ,−1< y ≤ 5 }= ∫ u ( x ) e
−( )
4
4 [ ]
x

dx ∫ u ( y ) e
−( )
3
dy
5
[ ]
y

12 2 −1

1
P { 2< x ≤ 4 ,−1< y ≤ 5 }= ∫ e
−( )
4
4
dx ∫ e
−( )
3 [ ]
x

dy
5
[ ]
y

12 2 0

[ ][ ]
−x 4 −y 5
4 3
1 e e
P { 2< x ≤ 4 ,−1< y ≤ 5 }=
12 −1 −1
4 2 3 0
 [ ] [−3 e ]
−x 4 −y 5
1
P { 2< x ≤ 4 ,−1< y ≤ 5 }= −4 e 4
2
3
0
12

[ ][ −3 e +3 e ]
−4 −2 5 0
1
P { 2< x ≤ 4 ,−1< y ≤ 5 }= −4 e 4 +4 e 4 3 3
12

[ ][−3 e + 3 ]
−1 5
1
P { 2< x ≤ 4 ,−1< y ≤ 5 }= −4 e−1+ 4 e 2 3
12

35.Two Statistically Independent Random Variables X and Y have

respective density Functions

1
f ( x )=
a
[ u ( x )−u ( x−a ) ] ∧f ( y )=b e u ( y )
−by

Find the Density function of W=X+Y

SOLUTION: Sum of Two Statistically Independent Random Variables X

and Y resultant density Function is
∞ ∞
f ( w )= ∫ f ( x ) f ( w−x ) dx∨f ( w ) =∫ f ( y ) f ( w− y ) dy
−∞ −∞

1
f ( w− y )=
a
[ u ( w− y ) −u ( w− y−a ) ] ∧f ( y ) =b e u ( y )
−by

∞
1
f ( w )= ∫ [ u ( w− y )−u ( w− y−a ) ] b e u ( y ) dy
−by

−∞ a
∞
b
f ( w )= ∫ [u ( w− y )−u ( w− y−a ) ] e−by u ( y ) dy
a −∞

[ ]
∞ ∞
b
f ( w )=
a
∫ [ u ( y ) u ( w− y −a ) ] e −by
dy + ∫ [ u ( y ) u ( w− y−a ) ] e
−by
d
−∞ −∞
 [ ]
∞ ∞
b
f ( w )=
a
∫ [ u ( w− y−a ) ] e−by dy +∫ [ u ( w− y−a ) ] e−by dy
0 0

[∫ ]
∞
2b −by
f ( w )= e dy
a a−w

[ ]
∞
2 b e−bx
f ( w )=
a −b a−w

[ ]
−b ∞ −b ( a −w )
2b e e
f ( w )= +
a −b b

[ ]
−b ( a−w )
2b 0 e
f ( w )= +
a −b b

[ ] [ ] [ ]
−b ( a−w ) −b ( a−w ) −b ( a−w )
2b e 2b e e
f ( w )= 0+ = =2
a b a b a

36. Two Statistically Independent Random Variables X and Y have

respective density Functions

f ( x )=5 e
−5 x
[ u ( x ) ]∧f ( y )=2 e−2 y u ( y )
Find the Density function of W=X+Y

SOLUTION:

Sum of Two Statistically Independent Random Variables X and Y resultant

density Function is
∞ ∞
f ( w )= ∫ f ( x ) f ( w−x ) dx∨f ( w ) =∫ f ( y ) f ( w− y ) dy
−∞ −∞

f ( x )=5 e
−5 x
[ u ( x ) ]∧f ( w−x ) =2 e−2 (w−x) u ( w−x )
∞
f ( w )= ∫ 5 e [ u ( x ) ] 2 e−2(w−x) u ( w−x ) dx
−5 x

−∞

∞
f ( w )= ∫ 5 e
−5 x −2(w−x)
2e u ( x ) u ( w−x ) dx
−∞
 ∞
f ( w )=10 ∫ e
−5 x −2(w− x)
e u ( x ) u ( w−x ) dx
−∞

{
u ( x )= 1; x >0
0 ; x< 0
∞
f ( w )=10 ∫ e
−5 x −2 (w− x)
e u ( w−x ) dx
0

u ( w−x )= 1 ; w−x> 0
0 ; w−x< 0 {
u ( w−x )= 1 ; w> x
0 ; w< x {
u ( w−x )= 1 ; x< w
0 ; x> w {
w w
f ( w )=10 ∫ e f ( w )=10 ∫ e
−5 x −5 x+2 x −2 w
e dx
0 0

w
f ( w )=10 e
−2 w
∫ e−3 x dx
0

[ ]
w
−2 w e−3 x
f ( w )=10 e
−3 0

[ ]
−3 w −3∗0
−2 w −e e
f ( w )=10 e +
3 3

[ ]
−3 w
−2 w e 1
f ( w )=10 e +
3 3

[ ]
−3 w
−2 w 1−e
f ( w )=10 e
3

37. Two Statistically Independent Random Variables X and Y have

respective density Functions
 1 −( ) −( )
x−1 y−3

f ( x )= e
2
[ u ( x−1 ) ]∧f ( y )= 1 e 4
u ( y−3 )
2 4

Find the Density function of W=X+Y

SOLUTION:

Sum of Two Statistically Independent Random Variables X and Y resultant

density Function is
∞ ∞
f ( w )= ∫ f ( x ) f ( w−x ) dx∨f ( w ) =∫ f ( y ) f ( w− y ) dy
−∞ −∞

1 −( ) −( )
x−1 w− x−3

f ( x )= e
2
[ u ( x−1 ) ]∧f ( w−x ) = 1 e 4
u ( w−x−3 )
2 4

1 −( ) −( )
∞ x−1 w− x−3

f ( w )= ∫ e
2
[u ( x−1 ) ] 1 e 4
u ( w−x−3 ) dx
−∞ 2 4

−( ) ( w−x−3 )
∞ x−1
1 −
f ( w )= ∫
8 −∞
e
2
[ u ( x −1 ) ] e 4
u ( w−x−3 ) dx

u ( x−1 )= 1 ; x−1>0
0 ; x−1<0 {
u ( x−1 )= 1 ; x> 1
0 ; x <1 {
−( ) −( w−x−3 )
∞ x−1
1
f ( w )= ∫
8 1
e
2
e
4
u ( w− x−3 ) dx

u ( w−x−3 ) = 1; w−x−3> 0
0; w−x −3<0 {
u ( w−x−3 ) = 1; w−3> x
0; w−3 < x {
u ( w−x−3 ) = 1; x <w−3
0; x > w−3 {
1
w−3
− ( x−12 ) −( w−x−3 )
f ( w )=
8
∫e e
4
dx
1
 − ( w4 ) w−3 −( x−1 ) ( x+ 3 )
e
f ( w )=
8
∫e 2 4
e dx
1

− ( w4 ) w−3 (−x+1 + x+3 )

e
f ( w )=
8
∫e 2 4
dx
1

− ( w4 ) w−3 (−2 x+2+ x+3 )

e
f ( w )=
8
∫e 4
dx
1

− ( w4 ) w−3 (−x+5 )
e
f ( w )=
8
∫e
4
dx
1

[ ]
w−3
− ( w4 ) (− x+5
4 )
e e
f ( w )=
8 −1
4 1

( w4 )
[−4 e ]
− w−3
e (− x+5
4 )
f ( w )= 1
8

( w4 )
[−4 e( ]
−
e
−w−3 +5
4 ) (−1+5
4 )
f ( w )= +4 e
8

( w4 )
[−e( ]
−
4e
−w +2
4 ) ( 44 )
f ( w )= +e
8

( w4 )
[−e( ]
−
e
−w+2
)
f ( w )= 4
+ e(1 )
2

( w4 )
[e ]
−
e (1 ) (−w+2
4 )
f ( w )= −e
2

38. Two Statistically Independent Random Variables X and Y have

respective density Functions
 f ( x )=
3
2a
3 ()
[u ( x +a )−u ( x−a ) ] x 2∧f ( y )= 12 rect πy cos ( y )

Find the Density function of W=X+Y

SOLUTION:

Sum of Two Statistically Independent Random Variables X and Y resultant

density Function is
∞ ∞
f ( w )= ∫ f ( x ) f ( w−x ) dx∨f ( w ) =∫ f ( y ) f ( w− y ) dy
−∞ −∞

39.Two Statistically Independent Random Variables X and Y have

respective density Functions

1 3
f ( y )=
2
[ u ( y+1 )−u ( y−1 ) ] ∧f ( x )= ( 4−x ) ;−2 ≤ x ≤ 2
32
2

Find the Density function of W=X+Y

SOLUTION:

Sum of Two Statistically Independent Random Variables X and Y resultant

density Function is
∞ ∞
f ( w )= ∫ f ( x ) f ( w−x ) dx∨f ( w ) =∫ f ( y ) f ( w− y ) dy
−∞ −∞

1 3
f ( w−x ) =
2
[ u ( w−x +1 )−u ( w−x −1 ) ] ∧f ( x )= ( 4−x ) ;−2 ≤ x ≤2
32
2

∞
3
f ( w )= ∫ ( 4−x 2 ) 1 [ u ( w−x+1 )−u ( w−x−1 ) ] dx
−∞ 32 2
 ∞
3
f ( w )= ∫ ( 4−x ) [ u ( w−x +1 ) −u ( w−x−1 ) ] dx
2
64 −∞
∞ ∞
3 3
f ( w )= ∫ ( 4−x 2 ) [ u ( w−x +1 ) ] dx− 64
64 −∞
∫ ( 4−x 2 ) [u ( w−x−1 ) ] dx
−∞

{
u ( w−x +1 )= 1 ; w−x+1> 0
0 ; w−x+ 1< 0

{
u ( w−x +1 )= 1 ; w+1> x
0 ; w+1< x

{
u ( w−x +1 )= 1 ; x < w+1
0 ; x> w+1

{
u ( w−x 11 )= 1 ; w−x−1>0
0 ; w−x−1<0

{
u ( w−x +1 )= 1 ; w−1> x
0 ; w−1< x

{
u ( w−x +1 )= 1 ; x < w−1
0 ; x> w−1

w+1 w−1
3
f ( w )=
64
∫ ( 4−x 2 ) dx− 3 64
∫ ( 4−x 2 ) dx
0 0

[ ] [ ]
w +1 w−1
3 x3 3 x3
f ( w )= 4 x− − 4 x−
64 3 0 64 3 0
 [ ] [ ]
3 3 3 3
3 ( w+1 ) 0 3 ( w−1 ) 0
f ( w )= 4 ( w+ 1 )− −4∗0+ − 4 ( w−1 )− −4∗0+
64 3 3 64 3 3

[ ] [ ]
3 3
3 ( w+1 ) 3 ( w−1 )
f ( w )= 4 ( w+ 1 )− − 4 ( w−1 )−
64 3 64 3

[ ]
3 3
3 ( w+1 ) ( w−1 )
f ( w )= 4 ( w+ 1 )− −4 ( w−1 ) +
64 3 3

[ ]
3 3
3 ( w+1 ) ( w−1 )
f ( w )= 4 w+ 4− −4 w+ 4+
64 3 3

[ ]
3 3
3 ( w+1 ) ( w−1 )
f ( w )= 8− +
64 3 3

[ ]
3 2
3 24−w −1−2 w −2 w
f ( w )=
64 3

40. Two Random Variables X and Y have Joint Probability Density Function

{
1
; 0< x <6 ,0< y <4
f ( x , y )= 24
0 ; elsewhere

What is the expected value of the function g(x,y)=(xy) 2?

Solution:
∞ ∞
E [ g ( x , y ) ] = ∫ ∫ g ( x , y ) f ( x , y ) dxdy
−∞ −∞

6 4
1
E [ g ( x , y ) ] =∫ ∫ xy dxdy
0 0 24
6 4
1
E [ g ( x , y ) ]= ∫∫ xy dxdy
24 0 0

[ ][ ]
6 4
1 x2 y2
E [ g ( x , y ) ]=
24 2 0 2 0
 [ ][ ]
2 2
1 (6) 0 ( 4) 0
E [ g ( x , y ) ]= − −
24 2 2 2 2

E [ g ( x , y ) ]=
[ ][ ]
1 36 16
24 2 2

36∗16
E [ g ( x , y ) ]=
24∗4

E [ g ( x , y ) ] =6

41.. Three Statistically Independent Random Variables X 1 X2 and X3 have mean

values X 1 =3 , X 2=6 , X 3=−2 Find the mean value of the following functions
a)g(X1,X2,X3)= X1+3X2+4X3 b) g(X1,X2,X3)= X1X2X3 c) g(X1,X2,X3)= -2X1X2- 3X1X3+
4X2X3 d) g(X1,X2,X3)= X1+X2+X3

Solution:

a.g(X1,X2,X3)= X1+3X2+4X3

b) g(X1,X2,X3)= X1X2X3

c) g(X1,X2,X3)= -2X1X2- 3X1X3+ 4X2X3

d) g(X1,X2,X3)= X1+X2+X3

42. Two Statistically Independent Random Variables X and Y have Mean Value
X =E [ X ] =2 and Y =E [ Y ]=4 . They have Second Moment X 2 =E [ X 2 ] =8 and
Y 2=E [ Y 2 ] =25 Find the Mean Value , Second Moment and Variance of W =3X –Y

Solution: Given

X =E [ X ] =2 and Y =E [ Y ]=4 . Second Moment X 2 =E [ X 2 ] =8 and Y 2=E [ Y 2 ] =25

If X and Y are Statistically Independent Random Variables

R XY =E [ XY ] =E [ X ] E [ Y ] =2∗4=8

E [ W ] =[ 3 X – Y ] =E [ 3 X ] −E [ Y ] =3 E [ X ] −E [ Y ] =3∗2−4=6−4=2

E [ W ] =E [ ( 3 X – Y ) ]=E [ 9 X +Y −6 XY ]=9 E [ X ] + E [Y ] −6 E [ XY ]
2 2 2 2 2 2
 E [ W 2 ] =9∗8+25−6∗2∗4=72+25−48=49

σ 2W =E [ W 2 ] −( E [ W ]) =49−( 2 )2=49−4=45
2

43. Two Random Variables X and Y have Mean Value X =E [ X ] =1 and Y =E [ Y ]=2.
2 2
They have Variance of X σ x =4 Variance of Y σ y =1 and correlation coefficient
ρ xy =0.4 .New Random Variables W =X +3Y and V=-X+2Y. Find the Mean Value ,
Second Moment ,Variance , Correlation ,Correlation Coefficient of W and V

SOLUTION:

E [ W ] =[ X +3 Y ] =E [ X ] + E [ 3 Y ] =E [ X ] +3 E [ Y ] =1+3∗2=1+6=7

σ 2X =E [ X 2 ] −( E [ X ])
2

4=E [ X ]−( 1 )
2 2

E [ X 2 ]=4+ 1=5

σ 2Y =E [Y 2 ] −( E [ Y ])
2

4=E [ Y 2 ] −( 1 )
2

E [ Y 2 ]=4+1=5

μ11
ρ XY =
√ μ20 μ02
R XY =μ11 =ρ XY √ μ 20 μ02=0.4∗√ 4∗1=0.4∗2=0.8

E [ V ] =[ −X +2 Y ] =E [ −X ] + E [ 2 Y ] =−E [ X ] +2 E [ Y ] =−1+2∗2=−1+4=3

E [ W 2 ] =E [ ( X +3 Y )2 ]=E [ X 2+ 9Y 2−6 XY ]=E [ X 2 ]+ 9 E [Y 2 ] −6 E [ XY ]

E [ X 2 ] +9 E [ Y 2 ]−6 E [ XY ] =5+9∗5−6∗0.8=5+ 45−4.8=45.2

E [ W 2 ] =45.2

E [ V 2 ]=E [ (− X +2Y )2 ]=E [ X 2 + 4 Y 2−4 XY ]=E [ X 2 ] + 4 E [ Y 2 ]−4 E [ XY ]

E [ X 2 ] + 4 E [ Y 2 ]−4 E [ XY ]=5+5∗4−4∗0.8=5+20−3.2=21.8
 σ 2W =E [ W 2 ] −( E [ W ])
2

2 2
σ W =45.2−( 7 ) =45.2−49=−3.8

σ 2V =E [ V 2 ]−( E [ V ])
2

2 2
σ V =21.8−( 3 ) =21.8−9=11.8

RWV =E [ WV ] =E [ ( X +3 Y )(−X + 2Y ) ] =E [ −X 2 +2 XY −3 XY +6 Y 2 ]

¿ E [−X 2 ] + E [ 2 XY ] −E [ 3 XY ] + E [ 6 Y 2 ]

¿−E [ X 2 ] +2 E [ XY ] −3 E [ XY ] +6 E [ Y 2 ]

¿−E [ X 2 ] +2 E [ XY ] −3 E [ XY ] +6 E [ Y 2 ]

¿−E [ X 2 ]−E [ XY ] +6 E [ Y 2 ]

¿−5−0.8+ 6∗5=−5.8+30=34.2

μWV
ρWV =
√σ 2
W
2
σV

μ 11
ρ XY =
√ μ20 μ0 2
34.2
ρ XY =
√❑

45. Random Variables X and Y have Joint Probability Density Function

( x+ y )2
f ( x , y )= ;−1< x <1∧−3< y <3
40

Find A) all second order moments of X and Y B) what is variance of X and Y C)

What Correlation Coefficient

46. Random Variables X and Y have Joint Probability Density Function

 {
xy
; 0< x <2 ,0< y <3
f ( x , y )= 9
0 ; elsewhere

Show that X and Y are Uncorrelated and Statistically Independent

47. Three Uncorrelated Random Variables X 1 X2 and X3 have Mean

X 1 ¿ 1 , X 2 ,=−3 , X 3=1.5 and Second Moment E [ X ]=2.5 , E [ X ]=11∧E [ X 23 ]=3.5 Let
2
1
2
2

Y=X1-2X2+3X3. Be a new random variables and Find Mean Value and Variance of Y

48.In a control systems a random voltage X is known to have a mean value -

2V,and Second Moments is 9v2.If the voltage X is amplified by an amplifier that
2 2
gives an output Y=-1.5X+2 Find σ x ,Y ,Y 2,σ y and Rxy

49. A Joint Probability Density Function is given as

{
f ( x , y )= x ( y +1.5 ) ; 0< x <1 , 0< y <1 .Find all the joint moments
0 ; elsewhere

1
50. Let X and Y Statistically Independent Random Variables X =E [ X ] = and
4
Y =E [ Y ]=1. X 2 =E [ X 2 ] =4 and Y 2=E [ Y 2 ] =5,For a random variables W = X-2Y+1.Find
R xy R xw R yw ∧C xy,Are X and Y are uncorrelated?

51. Two Random Variables X and Y are defined by

2 2
X =0 , Y =−1 , X =2 , Y =4∧R xy =−2, Two Random Variables W and U are W=2X+Y,U=-
2 2 2 2
X-3Y, Find W , U , W ,U , Rwu σ x , σ y

52. Statistically Independent Random Variables X and Y have Moments

m10=2 , m20=14 , m02=12∧m11=−6 . Find Moment μ11

2 2 −2
53. For Random Variables X and Y are defined by X =1 ,Y =2 , σ x =6 , σ y =9∧ρ=
3

Find a)the covariance of X and Y b) the correlation X and Y c) the moments

m20,m02

54. Statistically Independent Random Variables X and Y have respective mean

−1 2 11
X =1 and Y = and their second moments are X 2 =4 Y = Another Random
2 4
2 2
Variables is defined as W = 3X2+2Y+1.Find σ x , σ y , R XY ,C XY , W ∧R XY

1 2 5 2 2 19 −1
55. X = , X = Y = ,Y = ∧C XY = For Random Variables X and Y Find
2 2 5 2 2 √3
2 2
σ x , σ y , R XY ∧ρ . What is the mean value of the random variable? W =( X +3 Y )2 +2 X +3 ?