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NATIONAL UNIVERSITY OF SINGAPORE (Semester 1 : AY2013/2014) MA2216/ST2131 Probability

Name of Examiner : Dr. Lou Jiann-Hua Time allowed : 2 hours

INSTRUCTIONS TO CANDIDATES 1. Please write your matriculation/student number only. Do not write your name. 2. This examination paper consists of FOUR (4) questions and comprises FOUR (4) printed pages. 3. Answer ALL questions. 4. Please start each question on a new page. 5. This is a CLOSED BOOK (with helpsheet) examination. 6. Candidates may bring in ONE (1) handwritten A4-size help sheet. 7. Candidates may use calculators. However, they should lay out systematically the various steps in the calculations. 8. A table for the areas in upper tail of the normal distribution is attached at the end of this examination paper as an appendix.

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MA2216/ST2131

1.

[15 marks] The joint density function of X and Y is given by f (x, y ) = K x e y y , y 0 < y < x < ,

and 0 elsewhere, where K is the normalizing constant. (i) [3 marks] Determine the value of K , and then nd fY (y ), the marginal probability density function of Y . (ii) [3 marks] Evaluate E [Y ] and Var(Y ). (iii) [4 marks] Find the conditional density function fX |Y (x|y ) for 0 < y < x, and then evaluate E [X | Y ]. (iv) [2 marks] Evaluate E [X ]. (v) [3 marks] Evaluate Cov(X, Y ). 2. [15 marks] (a) [9 marks] Let X1 and X2 have a bivariate normal distribution with parameters 1 1 = 2 = 0, 1 = 2 = 1, and = 2 . Find the probability that all of the roots of the following equation are real: X1 x2 + 2 X2 x + X1 = 0. [HINT:] Answer the following two questions rst: Are X1 + X2 and X1 X2 bivariate normally distributed? Are they mutually independent? (b) [6 marks] Waiting times (measured in minutes) at a cashier counter in a su1 permarket are exponentially distributed with parameter 10 . If 100 customers come to the counter in a day, approximate the probability that at least half of them must wait for more than 10 minutes.

[For easy calculation, no continuity correction is required.]

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MA2216/ST2131

3.

[15 marks] The joint density function of X and Y is given by f(X,Y ) (x, y ) = K y exy , 1 x, 0 < y < 1,

and 0 elsewhere, where K is the normalizing constant. (i) [3 marks] Determine the value of K , and then, derive the marginal densities fX (x) and fY (y ), respectively. (ii) [6 marks] Find the joint density function of U = X Y and V = Y /X . (iii) [6 marks] What are the marginal densities of U and V , respectively?

4.

[15 marks] Roll a fair die n times independently. Denote by X the number of the occurrence of the event A, and Y the number of the occurrence of the event B , where A denotes the event that an even number is shown on the up-turned face, and B the event that either 3 or 6 is shown on the up-turned face. Introduce the following indicator random variables: for k = 1, 2, . . . , n, {
A Ik

= {

1, if A occurs on the k th roll, 0, otherwise, 1, if B occurs on the k th roll, 0, otherwise.


n k=1 B Ik .

and
B Ik n k=1

Observe that X =

A Ik

and Y =

(i) [2 marks] Find IP (A) and IP (B ). (ii) [6 mark] Determine the distributions of X and Y , respectively. Find their means as well.
A B (iii) [2 marks] For 1 k n, evaluate the probability IP {Ik = 1 , Ik = 1}.

(iv) [5 marks] Calculate Cov (X, Y ), the covariance of X and Y .

END OF PAPER . . . 4

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