Poison Distribution

1. A point is chosen randomly in the interior of an ellipse: 1

2
2
2
2
= +
b
y
a
x
.Find the
marginal densities of the x and y coordinates of the point .
Sol:
} }

= =
a
a
a
a
ab dx x a
a
b
dx x a
a
b

2 2 2 2
2
2

ab
y x
f
XY

1
) , ( = , 1
2
2
2
2
< +
b
y
a
x
} }

= = > + + =
2 2
2 2
1
) ( ), 0 , sin
2 2
(
1
2
2 2 2 2
u a
a
b
u a
a
b X
dy
ab
x f a c
a
u a
u a
u
dx u a

2. Let X and Y have the joint density 1 0 , 1 0 , ) (

7
6
) , (
2
s s s s + = y x y x y x f
(a) By integrating over the appropriate regions , find (i)P(X>Y),(ii)P(X+Y s1),(iii)P(Xs).
Sol:
1 0 , 1 0 , ) (
7
6
) , (
2
s s s s + = y x y x y x f
(a)(i)
2
1
0
) (
7
2
) (
7
6
) (
1
0
3 2
1
0 0
=
=
=
+ = + = >
} } }
dx
y
x y
y x dydx y x Y X P
x
(ii)
} }

+ = s +
x
dydx y x Y X P
1
0
2
1
0
) (
7
6
) 1 (
(iii) dxdy y x X P
2
2
1
0
1
0
) (
7
6
)
2
1
( + = s
} }
3. (X,Y) is uniformly distributed over the region defined by 0 sys
2
1 x and
-1s x s1
(a) Find the marginal densities of X and Y .
(b) Find the two conditional density
Sol:
0sy s
2
1 x and -1 s x s1 ,
3
4
) 1 (
1
1
2
= +
}

dx x ,
4
3
) , ( = y x f
XY
(a)
1 0 , 1
2
3
1
4
3
1
4
3
4
3
) (
1 1 ,
4
3
4
3
) 1 (
4
3
4
3
) (
1
1
2
2
1
0
2
s s = + = =
s s +

= + = =
}
}

+
y y y y dx y f
x
x
x dy x f
y
y
Y
x
X
(b)
1 0 ,
1
1
4
3
4
3
4
3
) (
1 1 ,
1 2
1
2
1 3
4
3
) (
2
2
s s
+
=
+
=
s s

=
y
x
x
x y f
x
y y
y x f
X Y
Y X
4. Let
1
U ,
2
U and
3
U be independent random variables uniform on [0,1].Find the
probability that the roots of the quadratic
3 2
2
1
U x U x U + + are real .
Sol:
2 ln
6
1
36
5
) 4 (
3 1
1
4
1
4
1
0
1
2
2 3 1
4
1
0
1
0
1
2
2 3 1
2
2
3
3 1 3 1
+ = + = >
} } } } } }
du du du du du du U U U P
u
u u u u
2 ln
6
1
36
5
2 1
1
0
1
4
4
0
3 2 1
1
0
4
0
1
0
3
2
2
1
2
2
2
2
+ = +
} } } } } }
du du du du du du
u
u
u u
5. Let x y x x e y x c y x f
x
< s ~ < s

, 0 , ) ( ) , (
2 2
(a)Find c . (b)Find the marginal densities.
Solution
(a)
8
1
1
3
! 3 4
) 4 (
3
4
3
4
)
3
1
(
) ( ) (
, 0 , ) ( ) , (
0
3
0
3 2
0
2 2
0
2 2
2 2
=
=

=
I =
=
=
=
=
=
s s s s =
}
}
} } } }

c
c
c
dx x e
c
dx
x y
x y
y y x ce
dydx y x ce dydx e y x c
x y x x e y x c y x f
x
x
x
x
x
x
x
x
x
(b)

<
> +
=

<
>
=
> = =
}
}
}

0 ), 1 (
4
1
0 ), 1 (
4
1
) (
0 , ) , (
0 , ) , (
) (
0 ,
6
1
) (
8
1
) (
3 2 2
y y e
y y e
y f
y dx y x f
y dx y x f
y f
x e x dy e y x x f
y
y
Y
y
y
Y
x x
x
x
X
6. Suppose that X and Y have the joint density function
1 , 1 ) , (
2 2 2 2
s + y x y x c y x f
(d)Find the marginal densities of X and Y . Are X and Y independent
random variables?
Solution
(d)

2
3
1
3
2
3
1
0
1
) 1 (
3
1
1 1
2
0
2
0
2
3
2
2
0
1
0
2
1
2 2
2 2
=
=
=
=

=
=
}
}
} } }}
s +
c
c
d c
d r c
drd r r c dxdy y x c
y x
Y X
Y
X
a
a
x
x
X
f f y x f
y y y f Similarly
x x x f
x
a
a
a
y a
y a
y
dy y a
a x let dy y x x f
=
s s =
s s =
=

+ =
=
= =
}
}

) , (
1 1 ), 1 (
4
3
) ( ,
1 1 ), 1 (
4
3
) (
) 1 (
4
3
) sin
2 2
(
2
3
2
3
) 1 ( 1
2
3
) (
2
2
2
2
2 2
2
2 2
2 2
1
1
2 2
2
2

X and Y are not independent.

7. Let ) , ( Y X be a random point chosen uniformly on the region
( ) [ . 1 : , s + Y X Y X R
(b)Find the marginal densities X and Y using your sketch. Be careful of the
range of integration.
Solution
(b)
1 1 , 1 ) ( ,
1 1 , 1
2
1
) (
1
1
s s =
s s = =
}

y y y f Similarly
x x dy x f
Y
x
x
X
8. Let X andY have the joint densities function 1 0 ), ( ) , ( s s s x y y x k y x f
and 0 elsewhere.
(b)Find k . (c)Find the marginal densities of X and Y .
Solution
(b)
dx y x y f
dy y x x f
k
k
x k
dx kx kx
dx
y
x y
ky kxy
dydx y x k
x y y x k y x f
y
Y
x
X
x
}
}
}
}
} }
=
=
=
= =
=
=
=
=
=

s s s =
1
0
3
1
0
2 2
1
0
2
1
0 0
) ( 6 ) (
) ( 6 ) (
6
1
6
0
1
)
3
(
2
2
1
0
)
2
1
(
) (
1 0 , ) ( ) , (
9. Suppose that two components have independent exponentially distributed
lifetimes,
1
T and
2
T , with parameters and , respectively. Find
(a) ) (
2 1
T T P > and (b) ) 2 (
2 1
T T P > .
Solution
(a)

+
=

+

=
=
= >
< < < < =
+

}
} }
) 1 0 (
1
0
) (
0 , 0 , ) , (
2
2 2
2
2 1
2 1
2 1
) (
0
2
0
2 1 2 1
2 1 2 1 ,
t
t t
t
t t
t t
T T
e
dt e e
dt dt e e T T P
t t e e t t f
(b)

+
=

+
=
=
=
= >
}
}
} }

2
) 1 (
) 2 (
) 2 (
2
0
) 2 (
2
0
2
0
2 1
2
2 1
2
2 2
2
2 1
dt e
dt e e
dt dt e e T T P
t
t t
t
t t
10. Suppose that, conditional on N , X has a binomial distribution with N
trials and probability p of success, and that N is a binomial random
variable with m trials and probability r of success, Find the unconditional
distribution of X .
Solution
N X ) , ( p N Bin , N ) , ( r m Bin
) , ( ~
) 1 ( ) (
1
1
1
) 1 ( ) (
) 1 ( ) 1 (
) 1 ( ) 1 ( ) (
) (
) 1 ( ) 1 (
! )! (
!
) (
,
) 1 ( ) 1 (
)! ( )! (
)! (
) (
) 1 ( ) 1 ( ) (
)! ( )! ( ! )! ( !
)! ( ! !
) 1 ( ) 1 ( ) (
0
0
0
0
rp m Bin X
rp pr
x
m
rp
r
rp
rp r
t
k
rp pr
x
m
rp rp
rp r rp r
t
k
pr
x
m
r p r
t t k
k
pr
x
m
k x m t x n let
r p r
r n n m
x m
pr
x
m
p r r rp
x m x n x n m n
n m n m
p p
x
n
r r
n
m
x X P
x m x
k
t
t k t
x m x
k
t
t k t
k t k t
x
k
t
t k t t x
m
x n
n m x n x n x
x n
m
x n
n m x n x
m
n
x n x n m n

|
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=


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= =



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=



=

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|

\
|

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.
|

\
|
= =

=

=

11. Spherical particles whose radii have density function ) (r f

R
are dropped on a mesh
as in Problem 4. Find an expression for the density function of the particles that pass
through.
Solution
}
|
.
|

\
|
+

dr r f
w d
r w
R
) (
2
2
12. Let . 1 1 , ) 1 ( 6 ) (
2 2
s s x for x x x f
(a) Describe an algorithm to generate random variables form this density using the
rejection method. In what proportion of the trials with the acceptance step be taken?
Solution
1 1 ,
4
15
) (
1 1 , ) 1 ( 6
32
5
) (
2 2
s s s
s s =
x x f
x x x x f
(a)
Step1:Generate T~Uniform(-1,1)
Step2:Generate U~Uniform(0,1),independent of T
1 , .
,
4
15
) (
Step to go w o
T letX then
T f
U If = s
13. Let
1
N and
2
N be independent random variables following Poisson distribution
with parameters
1
and
2
. Show that the distribution of
2 1
N N N + is
Poisson with parameter
2 1
+ .
Solution
) ( ~
) ( ) ( ) (
) (
) (
) ( ~
) ( ~
2 1
) 1 )( (
) 1 (
) 1 (
2 1
2 2
1 1
2 1
2 1
2
2
1
1

+
=
=
=
=
+ =
+

Poisson N
e
t M t M t M
e t M
e t M
N N N
Poisson N
Poisson N
t
t
t
e
N N N
e
N
e
N
14. For a Poisson distribution, suppose that events are independently labeled A
and B with probabilities 1 +
B A
p p . If the parameter of the Poisson distribution
is , show that the number of events labeled A follows a Poisson distribution with
parameter
A
p .
Solution
, ) j
, ) j
, ) j
) , ( ~
!
) (
!
1
!
) (
!
1
!
) (
)! (
1
!
) (
!
) 1 (
) , ( ) (
) , ( ~
) ( ~
0
) 1 (
) 1 (
0
0
0

A
a
A
P
t
t
A
p
p
a
A
t
t
A
a
A
a n
a n
A
a
A
n
n
a n
A
a
A
n
A
p Poisson A
a
p e
t
p e
e a
e p
t
p
a
e p
a n t let
a n
p
a
e p
n
e
p p
a
n
n N a A p a A p
p N Bin N A
Poisson B A N
A
A
A

=
=

|
|
.
|

\
|
=
= = = =
+ =

15. Let X and Y be independent standard normal random variables. Find the density of
Z=X+Y, and show that Z is normally distributed as well. (Hint: Use the technique of
completing the square to help in evaluating the integral.)
Solution
XN(0,1)
YN(0,1)
X, Y independent
) ( ) (
2
2
t M e t M
Y
t
X
= =
2
) 2 (
2 2
2 2 2 2
) (
t t t
Y X
e e e t M = =
+
X+YN(0,2)
16. Let X and Y have the joint density function ) , ( y x f , and let Y X Z + .
Show that the density function of Z is
l
~
~
dy
y y
z
x f z f
Z
1
) , ( ) ( .
Solution
} }

= =
=

=
c
c
c
c
c
c
c
c
=

=
=

=
=
dy
y
y
y
z
f dw w z f z f
w
w w
z
z
y
w
y
z
x
w
x
J
W Y
W
Z
X
Y W
XY Z
XY ZW Z
1
) , ( ) , ( ) (
1
0 1
1
2
17. Consider forming a random rectangle in two ways. Let
1
U ,
2
U , and
3
U be
independent random variables uniform on [0,1]. One rectangle has sides
1
U and
2
U , and the other is a square with sides
3
U . Find the probability that the area of the
square is greater than the area of the other rectangle.
Solution
3 2 1
, , U U U
U(0,1) independent
P(
2 1
2
3
U U U > )=
} } }
1
0
1
0
1
1 2 3
2 1
u u
du du du
=
} }

1
0
1 2
1
0
2 1
1 du du u u
=
}

1
0
1
2
3
2 1
2
0
1
)
3
2
( du
u u
u
=
}

1
0
1 1
)
3
2
1 ( du u
=(
2
3
1 1
9
4
u u )
0
1
=1-
9
4
=
9
5
18. A point is generated on a unit disk in the following way: The radius, R , is uniform
on ] 1 , 0 [ , and the angle O is uniform on ] 2 , 0 [ and is independent of R .
(a) Find the joint density of X = O cos R and Y = O sin R .
(b) Find the marginal densities of X and Y .
Solution
(a)
R U ] 1 , 0 [
OU ] 2 , 0 [

= O
+ =

O =
O =

X
Y
Y X R
R Y
R X
1
2 2
tan
sin
cos
2 2
1
1
y x
y x
r
y
r
x
y x
y
r
x
r
J
+
=
c
c
c
c
c
c
c
c
=
c
c
c
c
c
c
c
c
=

1 ,
1
2
1
) tan , ( ) , (
2 2
2 2
1 2 2
s +
+
= + =

O
y x
y x
J
x
y
y x f y x f
R XY

(b)
|
|
.
|

\
|
> + + + =
+
s s
+
=

+ + =
+
=
=
}
}
}

0 , ) ln(
1
1 1 ),
1 1
ln(
1
0
1
)] [ln(
2
2
1
2
2
) , ( ) (
2 2
2 2
2
2
2 2
1
0 2 2
1
1
2
2
2
a c u a u du
u a
x
x
x
x
y x y
dy
y x
dy y x f x f
x
x
x
XY X

Similarly, 1 1 ),
1 1
ln(
1
) (
2
s s
+
= y
y
y
y f
Y

19. Let X and Y be jointly continuous random variables.

(b) Develop an expression for the joint density of XY and X Y .
Solution
(b)

=
=

=
=
ZW
W
Z
or
ZW
W
Z
or
ZW
W
Z
or
ZW Y
W
Z
X
X
Y
W
XY Z
T
1
T
2
T
3
T
4
T
5
T
6
T
a
T
c
T
b
w XY Z X Y W
Y
W
Y
Z
X
W
X
Z
W
Y
Z
Y
W
X
Z
X
J
1
2
,
1
=
= =
c
c
c
c
c
c
c
c
=
c
c
c
c
c
c
c
c
=
(
]
1

+ + + = ) , ( ) , ( ) , ( ) , (
1
2 ) , ( zw
w
z
f zw
w
z
f zw
w
z
f zw
w
z
f
w
w z f
XY XY XY XY ZW
20. Find the joint density of Y X + and Y X , where X and Y are
independent exponential random variables with parameter . Show that
Y X + and Y X are independent.
Solution
X exp()
Y exp()
X , Y independent
) ( 2
) , (
y x
XY
e y x f
+
=

Let

+
=
+
=

=
+ =
V
W
Y
V
WV
X
Y
X
V
Y X W
1
1
2
2
2
) 1 (
) 1 ( 1
) 1 ( 1
1
v
w
v
w
v
v
v
w
v
J
+
=
+ +
+

+
=
, )
2
2
2
2
) 1 (
1
) 1 (
) , (
v
w e
v
w
e v w f
w w
WV
+
=
+
=


Y X + , Y X are independent.
21. Each component of the following system (Figure 3.17) has an independent
exponentially distributed lifetime with parameter . Find the cdf and the density
of the systems lifetime.
Figure 3.17
Solution
i
T exp(), i=1,,6
P( t T
i
s )=1-
t
e

P( t T s )=P( t T
a
s )P( t T
b
s )P( t T
c
s )
=j ) ( ) ( 1
2 1
t T P t T P > > j ) ( ) ( 1
4 3
t T P t T P > > j ) ( ) ( 1
6 5
t T P t T P > >
=, ) 0 , 1
3
2
>

t e
t
, ) 0 , 1 ) (
3
2
> =

t e t F
t
T

, )
, ) 0 , 1 6
2 1 3 ) (
2
2 2
2
2
2
> =
=


t e e
e e t f
t t
t t
T

22. Let
n
X X X ,..., ,
2 1
be independent continuous random variables each with
cumulative distribution function F . Show that the joint cdf of
) 1 (
X and
) ( n
X
is j [ y x x F y F y F y x F
n n
s , ) ( ) ( ) ( ) , ( .
Solution
) , ( y x F = ) , (
) ( ) 1 (
y X x X P
n
s s = ) , ( ) (
) ( ) 1 ( ) (
y X x X P y X P
n n
s > s
) (
) (
y X P
n
s = ) ,..., , (
2 1
y X y X y X P
n
s s s =j
n
y F ) (
Let
) 1 (
X =V,
) (n
X =U, j
2
) ( ) ( ) ( ) ( ) 1 ( ) , (

=
n
UV
v F u F v f u f n n v u f
) , (
) ( ) 1 (
y X x X P
n
s > = ) ( y U V x P s s <
= j
} }

y
x
u
x
n
dvdu v F u F v f u f n n
2
) ( ) ( ) ( ) ( ) 1 (
= j
}


y
x
n
du
x
u
v F u F u nf
1
) ( ) ( ) (
= j
}

y
x
n
du x F u F u nf
1
) ( ) ( ) (
=j
x
y
x F u F
n
) ( ) ( =j
n
x F y F ) ( ) (
j j y x x F y F y F y x F
n n
s = , ) ( ) ( ) ( ) , (
1. If
n
X X ,...,
1
are independent random variables, each with the density function
f , show that the joint density of
) ( ) 1 (
,...,
n
X X is
n n
x x x x f x f x f n < < <
2 1 2 1
), ( ) ( ) ( !
Solution

< < < <

=
otherwise
x x x f x f n
x x f
n n X X
n X X
n
0
) ( ) ( !
) ,..., (
1 1
1 ,...,
) ( ) 1 (

The n! naturally comes into this formula because, for any set of values,
n
x x ,...,
1
, there
are n! equally likely assignments for those values to
n
X X ,...,
1
which all yield the
same values for the order statistics.
2. Find the density of
) 1 ( ) (

k k
U U if the n i U
i
,..., 1 , are independent uniform
random variables. This is the density of the spacing between adjacent points chosen
uniformly in the interval [0,1].
Solution
i
U Uniform(0,1)
k n
k
k
k k k U U
u u
k n k
n
u u f
k k




=

) 1 ( ) ( 1 1
)! ( )! 2 (
!
) , (
2
1 1
) 1 ( ) (
Let

=
=

=
=

X Y U
Y U
U Y
U U X
k
k
k
k k
) 1 (
) (
) (
) 1 ( ) (
0<
) 1 ( k
U <
) (k
U <1, 0< x y < y <1, 0< x < y <1
1
1 1
1 0
=

= J
, ) j , ), ) j , )
, ) , )
, ) , ) , )
, )
, ) , ) , )
, )
, ) 1 0 , 1
! 1
! ! 2
)! ( )! 2 (
1 !
1 1
)! ( )! 2 (
1 !
1 1
)! ( )! 2 (
!
1 1 1 1
)! ( )! 2 (
!
1 1
, ) 1 ( ) (
)! ( )! 2 (
!
) (
1
1
1
1
0
2 1
1
0
2
1
2
< < =

=
I
+ I I

=


=


=
=

}
}
}
x x n
n
k n k
k n k
x n
n
k n k
k n k
x n
dz z z x
k n k
n
dz x x z z x
k n k
n
dz
x
dy
z
x
x y
Let dy y x y
k n k
n
x f
n
n
n
k n k n
k n k
x
k n k
X
Note: XBeta ) , (
1 0 , ) 1 (
) ( ) (
) (
) (
1 1
< <
I I
+ I
=

x x x x f
X



3. If
1
T and
2
T are independent exponential random variables, find the
density function of
) 1 ( ) 2 (
T T R .
Solution
) exp( ~
i
T 2 , 1 = i
2 1
,T T . indep
t
T
e t f
i

= ) ( , 0 > t
Let
) 1 (
T V = ,
) 2 (
T U =
0 0 0
,
)) ( ( )) ( ) ( ( )) ( )( ( ) (
! 0 ! 0
! 2
) , ( v F v F u F u F e e v u f
v u
V U
=


) ( 2
2
v u
e
+
=

, u v < < 0

+ =
=

=
=
V R U
V V
V V
V U R
1
1 1
1 0
= = J v r v + < < 0
1 2 ) , (
) ( 2
,
=
+ + v v r
V R
e v r f

=
0
2 2
2 ) ( dv e e r f
r v
R

=
}

0
2
2 dv e e
v r

=
r
e

) exp( ~
) 1 ( ) 2 (
T T R =