Stochastic Processes

ISYE / MATH 331

In class exercises – Probability Review Part 3

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 ISYE / MATH 331: Probability Review Problem 1

Problem 1
Consider the following joint distribution:
X
1 2 3 4
1 0.15 0.1 0.05 0.02
Y 2 0.01 0.03 0.2 0.02
3 0.02 0.1 0.05 0.25

(a) Calculate P(X ≤ 2, Y ≥ 2) and P(X > Y )

(b) Calculate P(X + Y ) ≤ 4

(c) Find E[X] and E[Y ]

 
(d) Calculate E X 2 Y .

Problem 2
(a) When are two variables X and Y independent (give the definition for discrete and continuous variables)

(b) Show that if X and Y independent variables, E[XY ] = E[X] E[Y ].

Problem 3
(a) Let X and Y be two independent variables. What is Cov (X, Y )?

(b) Show that the variables X, Y with the following joint pmf. have covariance 0, but are not independent.

Y = −1 0 1
X = −1 0 1/4 0
0 1/4 0 1/4
1 0 1/4 0

Problem 4
(a) Let X and Y be two negatively correlated random variables. Show that Var(X + Y ) ≤ Var(X)+Var(Y ).

(b) When is Var(X + Y ) ≥ Var(X) + Var(Y )?

Problem 5 continued on next page. . . Page 2 of 3

 ISYE / MATH 331: Probability Review Problem 5 (continued)

Problem 5
Assume that X, Y , and Z are random variables, with

E[X] = 2, Var(X) = 4,
E[Y ] = −1, Var(Y ) = 6,
E[Z] = 4, Var(Z) = 8,
Cov (X, Y ) = 1, Cov (X, Z) = −1, Cov (Y, Z) = 0

Find E[3X + 4Y − 6Z] and Var(3X + 4Y − 6Z) .

Problem 6
Let X be a binomial distributed variable with parameters n and p.
Show that E[X] = np and Var(X) = np(1 − p)

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