Probability and Stochastic Processes: A Friendly Introduction for Electrical and Computer Engineers Roy D.

Yates and David J. Goodman

Problem Solutions : Yates and Goodman,4.4.2 4.5.1 4.6.2 4.7.3 and 4.4.10 Im including 4.4.10 because the solution to 4.7.3 references the solution to this problem. 4.4.10 was NOT assigned. Problem 4.4.2 Erlang random variable X with parameters > 0 and n has PDF fX (x) = n xn1 ex /(n 1)! x 0 0 otherwise

In addition, the mean and variance of X are E[X] = n Var [X] = n 2

(a) Since = 1/3 and E[X] = n/ = 15, we must have n = 5. (b) Substituting the parameters n = 5 and = 1/3 into the given PDF, we obtain fX (x) = (1/3)5 x4 ex/3 /24 x 0 0 otherwise

(c) From above, we know that Var [X] = n/2 = 45. Problem 4.5.1 Given that the peak temperature, T, is a Gaussian random variable with mean 85 and standard deviation 10 we can use the fact that FT (t) = ((t T )/T ) and Table 4.1 on page 142 to evaluate the following P[T > 100] = 1 P[T 100] = 1 FT (100) = 1 = 1 (1.5) = 1 0.933 = 0.066 60 85 P[T < 60] = = (2.5) 10 = 1 (2.5) = 1 .993 = 0.007 = (1.5) (1.5) = 2(1.5) 1 = .866 100 85 10

P[70 T 100] = FT (100) FT (70)

Problem 4.6.2 Similar to the previous problem we nd

(a) P[X < 1] = FX 1 = 0 P[X 1] = FX (1) = 1/4

Here we notice the discontinuity of value 1/4 at x = 1. (b) P[X < 0] = FX 0 = 1/2 P[X 0] = FX (0) = 1/2

Since there is no discontinuity at x = 0, FX (0 ) = FX (0+ ) = FX (0). (c) P[X > 1] = 1 P[X 1] = 1 FX (1) = 0

P[X 1] = 1 P[X < 1] = 1 FX 1 = 1 3/4 = 1/4

Again we notice a discontinuity of size 1/4, here occurring at x = 1, Problem 4.7.3 (a) Since X 0 we see that Y = X 2 0. We can conclude that FY (y) = 0 for y < 0. For y 0, FY (y) = P X 2 y = P[X From the exponential PDF of X, we see that for y 0, FY (y) = Hence, the CDF of Y is FY (y) = 0 y<0 9 y y 0 1e
y 0

y]

9e9x dx = 1 e9

By taking the derivative of the CDF, we obtain the PDF fY (y) =

(9/2)e9 y / y y 0 0 otherwise

(b) Finding the moments of Y is easiest using the moments of X. Specically, we know from Problem 4.4.10 that E[X n ] = n!/9n . Hence, E[Y] = E X 2 = 2/81. (c) The second moment is E Y 2 = E X 4 = 4!/94 . This implies Var [Y] = E Y 2 (E[Y])2 = 24/94 4/94 = 20/6561

Problem 4.4.10 For n = 1, we have the fact E[X] = 1/ that is given in the problem statement. Now we assume that E X n1 = (n 1)!/n1 . To complete the proof, we show that this implies that E[X n ] = n!/n . Specically, we write E[X n ] =
0

xn ex dx

Now we use the integration by parts formula u dv = uv v du with u = xn and dv = ex dx. This implies du = nxn1 dx and v = ex so that E[X n ] = xn ex = 0+ n = E X

+
0

0 n1

xn1 ex dx

By our induction hyothesis, E X n1 = (n 1)!/n1 which implies E[X n ] = n!/n

nxn1 ex dx