APPM/MATH 4/5520 Solutions to Problem Set One 1.

Recall the nite geometric sum

N n n=0 r

= (1 r N +1 )/(1 r ).

F (x) = P (X x) = P (X = 0) + P (X = 1) + + P (X = x) = = p = p
x u=0 P (X x u=0 (1

= u) =

x u=0 (1

p)u p

(1p) p)u = p 1 1(1p)

x+1

1(1p)x+1 p

= 1 (1 p)x+1

Ill accept the above as your solution, but for completeness, note that F (x) = P (X x) = 0 for x < 0 and that, for example, F (3.7) = P (X 3.7) = P (X 3). We can write the case of positive non-integer x using the greatest integer or oor function x := the greatest integer that is x. In summary, the cdf is F (x) = 1 (1 p)x+1 , x 0 0 , x<0

2. (a) We must choose c so that

c
x=0 y =0

2x+y = 1. x!y !

1 = c

2x+y x!y ! x=0 y =0 2x x! x=0

= c

2y y! y =0

There are at least two ways to do that sum. (i) Recall the Taylor series expansion for ex : ex = xk k! k =0

Matching things up, we can then see that 2y = e2 y ! y =0

(ii) Alternatively, we can note that this sum looks like the sum of the Poisson pdf with = 2. However, it is not quite the Poisson pdf because it is missing an e2 . Putting this in and compensating for it gives:
2 y e 2 2y = e2 = e2 1 = e2 . y ! y ! y =0 y =0

Back to the problem... 1=c 2x x! x=0

x 2y 2 2x 2 =c e = ce2 = ce2 e2 = ce4 y ! x ! x ! y =0 x=0 x=0

This implies that c = e4 . (b) You can actually do this by inspection because the x and y parts of the joint pdf completely separate, including the indicators, and, given the discussion in part (a) above, it might be clear to you that the constant e4 needs to separate into e2 times e2 . However, if you dont notice this, then start summing! fX (x) =
y

f (x, y ) =
x

e4 2x!y! I{0,1,2,...} (x) I{0,1,2,...} (y )

2y y y ! I{0,1,2,...} (y ) 2y y =0 y !

x+ y

= e4 2 x! I{0,1,2,...} (x) 2x 4 = e x! I{0,1,2,...} (x)

x

2 = e4 2 x! I{0,1,2,...} (x) e

= Similarly,

e2 2x x! I{0,1,2,...} (x)

fY (y ) =

e2 2y I (y ). y ! {0,1,2,...}

(Incidentally, X and Y each have a Poisson distribution with = 2.) (c) Yes, X and Y are independent since f (x, y ) = fX (x) fY (y ).

3.

fX1 (x1 ) = =

fX1 ,X2 (x1 , x2 ) dx2 x 1 x 2 x1 2e

dx2

= 2e2x1 x1 was below x2 , but when marginalizing out x2 , we ran it over all values from 0 to and so there was no upper bound on x1 . The nal answer for the marginal pdf of X1 is fX1 (x) = 2e2x I(0,) (x). That is, X1 exp(rate = 2).

Alternatively you might have kept the indicators all the way through and automatically had the correct indicator in the nal answer! Note that (Sketch the region in the x1 x2 plane!) I(0,x2 ) (x1) I(0,) (x2 ) = I(0,) (x1 ) I(x1 ,) (x2 ) When integrating out x2 , it is convenient to use the second expression for the product of indicators since I(0,) (x1 ) is constant with respect to x2 and can be factored out of the integral: fX1 ,X2 (x1 , x2 ) dx2 fX1 (x1 ) = =
x1x2 I (0,) (x1 ) I(x1 ,) (x2 ) dx2 2e x 2 I (x1 ,) (x2 ) dx2 e x 2 x1 e

= 2ex1 I(0,) (x1 ) = 2ex1 I(0,) (x1 )

1 dx2

= 2ex1 I(0,) (x1 ) ex1 = 2e2x1 I(0,) (x1 ) As for the other marginal... fX2 (x2 ) = =
fX1 ,X2 (x1 , x2 ) dx1 x2 0

2ex1 x2 dx1

= 2ex2 2e2x2 x2 was above x1 , but since there was no lower bound (other than 0) on x1 when marginalizing out x1 , x2 ends up going all the way from 0 to . The nal answer for the marginal pdf of X2 is fX2 (x) = 2ex2 (1 ex2 ) I(0,) (x). This distribution does not have a name. (So sad!) To relieve your sadness, you might try to go through it again with indicators!

4. (a) FZ (z ) = P (Z z ) = P (min(X, Y ) z ) Note that the minimum of X and Y is less than or equal to z if and only if each of X and Y is less than or equal to z . So, FZ (z ) = =
indep

P (Z z ) = P (min(X, Y ) z ) P (X z, Y z ) P (X z ) P (Y z ) FX (z ) FY (z )

(b) FZ (z ) = P (Z z ) = P (max(X, Y ) z ) This one is a little trickier. The maximum of X and Y being less than or equal to z means that either both X and Y are less than or equal to z , or X is less than or equal to z and Y is greater than z , or Y is less than or equal to z and X is greater than z . Ug! Too many cases to consider! However, if we turn things around: P (max(X, Y ) z ) = 1 P (max(X, Y ) > z ) we can use the fact that the maximum of X and Y is greater than z if and only if each of X and Y greater than z . Thus, FZ (z ) = P (Z z ) = P (max(X, Y ) z ) =
indep

1 P (X > z ) P (Y > z ) 1 [1 P (X z )] [1 P (Y z )] 1 [1 FX (z )] [1 FY (z )]

1 P (max(X, Y ) > z )

= =

5. (a) E[X ] = = = = = =
xx

P (X = x)
e x x! e x x!

x=0 x x=1 x

e x x=1 (x1)! e x1 x=1 (x1)!

x=0

e x x! the pdf of the P oisson() sums to 1!

= 1=

(b) E[X ] = = =

x 0 x

f (x) dx
1 1 ex () x

dx dx

1 0 ()

x ex like the pdf of ( + 1, )

(+1) 1 ()

1 +1 x1 ex dx ( + 1) this is the pdf of the ( + 1, ) and so it integrates to 1!

(+1) 1 ()

() 1 ()