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    Problem Set 1

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    Niranjan Herwadkar

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    Problem Set 1

    Uploaded by

    Niranjan Herwadkar
    2 views1 page

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    2 views1 page

    Problem Set 1

    Uploaded by

    Niranjan Herwadkar

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 1

    Problem Set 1

    October 28, 2024

    ˆ Suppose X and Y have joint pdf f (x, y) = c x2 + xy on [0, 1] × [0, 1].


    

    (a) Find c and the joint cdf F (x, y).


    (b) Find the marginal cumulative distribution functions FX and FY and
    the marginal pdf fX and fY .
    (c) Find E[X] and Var(X).
    (d) Find the covariance and correlation of X and Y .
    (e) Are X and Y independent?
    ˆ Suppose X and Y are random variables with the following joint pmf. Are
    X and Y independent?

    X\Y 1 2 3
    1 1/18 1/9 1/6
    2 1/9 1/6 1/18
    3 1/6 1/18 1/9

    ˆ Suppose X and Y are random variables with

    1 1
    P (X = 1) = P (X = −1) = ; P (Y = 1) = P (Y = −1) =
    2 2
    Let c = P (X = 1 and Y = 1).
    (a) Determine the joint distribution of X and Y, Cov(X, Y ), and Cor(X, Y ).
    (b) For what value(s) of c are X and Y independent? For what value(s)
    of c are X and Y 100% correlated?
    ˆ Alicia and Bernardo are trying to meet for lunch and both will arrive,
    independently of each other, uniformly and at random between noon and
    1pm. Let A and B be the number of minutes after noon at which Alicia and
    Bernardo arrive, respectively. Then, A and B are independent uniformly
    distributed random variables on [0, 60].
    (a) Find the joint pdf f (a, b) and joint cdf F (a, b).
    (b) Find the probability that Alicia arrives before 12 : 30.
    (c) Find the probability that Alicia arrives before 12:15 and Bernardo
    arrives between 12 : 30 and 12 : 45 in two ways:
    (i) By using the fact that A and B are independent.
    (ii) By shading the corresponding area of the square [0, 60] × [0, 60] and
    nding what proportion of the square is shaded.
    (d) Find the probability that Alicia arrives less than ve minutes after
    Bernardo. (Hint: use method (ii) from part (c).)
    (e) Now suppose that Alicia and Bernardo are both rather impatient and
    will leave if they have to wait more than 15 minutes for the other to arrive.
    What is the probability that Alicia and Bernardo will have lunch together?
    ˆ Suppose X1 , X2 , . . . are independent Exponential(2) random variables.
    Suppose also that X is the sum of the rst n and Y is the sum of Xn−7
    to X2n−8 . Compute Cov(X, Y ) and Cor(X, Y ).
    You should assume that n ≥ 8.

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