Problem set:

Chapter 2: Random Variables and Probability Distributions

By Joan Llull
Probability and Statistics.
QEM Erasmus Mundus Master. Fall 2015
Exercise 1 Prove the following:
1) A B if and only if A B c = .
2) A B if and only if B c Ac .
3) A B if and only if A B = A.
4) A B if and only if A B = B.
5) A = (A \ B) (A B).
Exercise 2 Let A, B, C be three sets such that A B A C and A B A C.
Prove that B C.
Exercise 3 Show that we can have A B = A C without B = C.
Exercise 4 Show that we can have A B = A B without B = C.
Exercise 5 Let {A : } denote the collection of sets indexed by the index
set . Prove that, for any set B, one has B ( A )

Exercise 6 Let
} be an infinite sequence
 {A
 of sets, indexed by = {1, 2, ...}.
Let B =
Aj and C =
Aj . Are the relations B = C, B C

and B C true?
Exercise 7 Let A = {a, b}. Give explicitly the sets B = 2A and C = 2B .
Exercise 8 (the symmetric difference) Let A and B be two sets.

The

symmetric difference of A and B, denoted by A B, is defined by A B

(A B)\(A B).
1) Prove that A B = (A \ B) (B \ A).
2) Let A = {1, 2, 3, 4, 5} and B = {4, 5, 6, 7}, find A B.

Departament dEconomia i Hist`oria Econ`omica. Universitat Aut`onoma de Barcelona.

Facultat dEconomia, Edifici B, Campus de Bellaterra, 08193, Cerdanyola del Vall`es, Barcelona
(Spain). E-mail: joan.llull[at]movebarcelona[dot]eu. URL: http://pareto.uab.cat/jllull.

3) For every A B, find C B such that A C = A.

Exercise 9 (the indicator function) For every subset A of a set , one defines
the mapping 1A : R by:
(
1
1A {x} =
0

if x A
.
if x
/A

1) Prove that A B if and only if 1A 1B .

2) Prove that 12A = 1A , that 1Ac = 1 1A , and that 1A B = 1A 1B .
3) Prove that 1A B = 1A + 1B 1A 1B and that 1A B = 1A + 1B 2 1A 1B .
Exercise 10 Let A and B be two sets. What is the set (A B) (B A)?
Exercise 11 Let A, B, and C be three sets. Prove that (A (B C)) = (A B)
(A C).
Exercise 12 Each toss of a coin will yield either a head or a tail. Let C =
{head, tail} denote the set of outcomes. Find C 3 (where the exponent indicates a
power, i.e. C 3 C C C), N (C 3 ), and explain what C 3 represents.
Exercise 13 Among 100 students, 30 learn Maths, 40 learn English, and 10 learn
both Maths and English. Find the number of students who:
1) Do not learn Maths.
2) Learn Maths and English.
3) Learn Maths but not English.
4) Learn English but not Maths.
5) Learn exactly one of the two subjects.
6) Learn neither English not Maths.
Exercise 14 Each student at some college has to take at least a math course and
a science course. A poll of 140 sophomore students show that 60 completed math,
45 completed science, and 20 completed both. Find the number of students who
had completed:
1) At least one of the two requirements.
2) Exactly one of the two requirements.
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3) neither requirement
Exercise 15 In a survey of 60 people, it was found that 25 read Newsweek
magazine, 26 read Time, and 23 read Fortune. Also, 9 read both Newsweek and
Fortune, 11 read both Newsweek and Time, 8 read both Time and Fortune, and
3 read all the three magazines. Find the number of people who read:
1) Only Newsweek.
2) Only Time.
3) Only Fortune.
4) Newsweek and Time but not Fortune.
5) Only one of the magazines.
6) None of the magazines.
Exercise 16 Suppose repetitions are not allowed.
1) Find the number n of three digit numbers that can be formed from the six
digits: 2,3,5,6,7,9.
2) How many of them are even?
3) How many of them exceed 400?
Exercise 17 A class contains 10 students with 6 men and 4 women. Find the
number of all possible different combinations that deliver:
1) A 4-member committee that can be selected from the students.
2) A 4-member committee that includes 2 men and 2 women.
3) The class can elect a president, a vice-president, a treasurer, and a secretary.
Exercise 18 Find the number of ways in which 9 toys may be divided among 4
childrens if the youngest is to receive 3 toys and each of the others 2 toys.
Exercise 19 A pair of dices is rolled and the two numbers appearing on the top
are recorded. Find the number of elements in each of the following events.
1) A = {two numbers are equal}.
2) B = {sum is more than 10}.
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3) C = {5 appears on the first dice}.

4) D = {5 appears on at least one dice}.
Exercise 20 Let Cnk denote

n
k

.

k
1) Prove that, for 1 k n, Cn+1
= Cnk1 + Cnk .
P
k k nk
2) Let (a, b) R2 . Show that, n N+ , N
= (a + b)n .
k=1 Cn a b

3) Deduce from the preceding question that Cn0 + Cn1 + ... + Cnn = 2n , and that
Cn0 Cn1 + Cn2 Cn3 ... + (1)n Cnn = 0.
Exercise 21 Compute, for every integer n, the following two expressions: 0 Cn0 +
1
1 Cn1 + ... + n Cnn and 11 Cn0 + 21 Cn1 + ... + n+1
Cnn .
Exercise 22 Let be a set with N elements. Compute N (2 ).
Exercise 23 Let A1 , A2 , and A3 be three finite sets. Show that:
N (A1 A2 A3 ) =

3
X

N (Ai )

i=1

N (Ai Aj ) + N (A1 A2 A3 ).

1i<j3

Exercise 24 A single card is drawn from an ordinary deck of 52 cards. For each
of the following, find the probability that the card is:
1) A king.
2) A face card.
3) A red card.
4) A red face card.
5) A red card or a face card.
Exercise 25 Suppose that in a deck of 52 cards, two are chosen at random. For
each of the following, find the probability that:
1) Both are spades.
2) The two cards have not the same color (spade, heard, club, diamond).
3) The first is a spade and the second a heart.
4) One is a spade and one is a heart.
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5) One is a spade and one is an ace.

Exercise 26 Each student in a group of n has to choose k exercises in a list of m
exercises. For each of the following, find the probability that:
1) All students choose a fixed combination of k exercises.
2) All students choose the same k exercises.
3) All students do not choose a fixed combination of k exercises.
4) At least one fixed combination of k exercises has been chosen.
Exercise 27 Let be a finite sample space, F be a -algebra on , and P be
a probability defined on . Let A F and B F, such that P (A) =
P (B) =

1
.
3

Show that

1
12

P (A B)

3
4

and

1
.
3

Exercise 28 A box has Nr red and Nb black balls. A ball is chosen at random
from the box (so that each ball is equally likely to be chosen), and then a second
ball is drawn at random from the remaining balls in the box. Find the probabilities
for the following events:
1) Both balls are red.
2) The first ball is red and the second ball is black.
Exercise 29 Two players flip a fair coin n times. What is the probability that
they obtain the same number of heads?
Exercise 30 Find the expectation and variance of a Bernoulli random variable.
Exercise 31 We flip a fair coin n times. Find the distribution of the random
variable X that is equal to the number of tails obtained. Find E[X] and Var(X).
Exercise 32 A urn contains N balls (balls have numbers 1, ..., N ). We choose n
balls (with replacement) at random. Let X be the greatest number obtained and
Y the smallest.
1) Find P (X x) for x {1, ..., N } and deduce the distribution of X.
2) Find P (Y x) for x {1, ..., N } and deduce the distribution of Y .

Exercise 33 Let X be a finite random variable. Prove that, for every a R:

E[(X a)2 ] = Var(X) + (E[X] a)2 .
Exercise 34 Suppose that X is distributed following a Poisson distribution with
parameter . Compute E[X] and Var(X).
Exercise 35 Suppose that X is distributed following a Poisson distribution with
parameter . Define a random variable Y such that:
(
0 if X is odd
Y =
.
n if X = 2n
Find the distribution of Y and compute E[Y ].
Exercise 36 Suppose that X is distributed following a Poisson distribution with
parameter . Show that P (X is even) > P (Xis odd).
Exercise 37 Suppose that X is distributed following a Poisson distribution with
parameter .
1) Find E

1
1+X


.

2) Let Y = (1)X . Find the distribution probability of Y . Find E[Y ] and

Var(Y ).
Exercise 38 (Poisson approximation to the binomial) Let P be a binomial
probability, with probability of success p and number of trials n. Let = pn.
Show that=
k
P (k successes) =
k!

1
n

n 

nn1 nk+1
...
n n
n


k

1
.
n

Let n , and let p change so that remains constant. Conclude that for a
small p and large n,
P (k successes)

k
e .
k!

Exercise 39 Let X be a random variable distributed following a Poisson distribution with parameter . Prove that
P (|X | )

Exercise 40 Consider a toll gate with M counters. Let N be the number of cars
arriving in an hour. Assume that N is distributed as a Poisson with parameter
. The drivers choose randomly (and independently) a counter. We denote by Xi
the number of cars which passed at counter i. Compute E[Xi ] and Var(Xi ).
Exercise 41 Let X : N.
1) Prove that:
n
X

P (X > k) =

k=0

2) Deduce that

n
X

kP (X = k) + (n + 1)P (X > n).

k=1

k=0

P (X > k) < implies E[|X|] <

3) Now suppose that E[|X|] < . Show that:

(n + 1)P (X > n)

kP (X = k).

k=n+1

4) Still with the assumption that E[|X|] < , show that

P
and that E[X] =
k=0 P (X > k).
Exercise 42 We define f by:
(
k(4x 2x2 )
f (x) =
0

k=0

P (X > k) <

if 0 x 2
.
if x
/ [0, 2]

1) Find k such that f is the density function of a random variable denoted

by X.
2) Find P (X > 1).
Exercise 43 Let X be a random variable with a distribution FX that is continuous
and strictly increasing.
1) Show that the random variable Y FX (X) is distributed U(0, 1).
2) Show that if U U(0, 1), the random variable Z FX1 (U ) has cdf FX .
Exercise 44 (the gamma distribution) Consider the following cdf:
Z
() =
y 1 ey dy.
0

1) (Optional ) If > 0, prove that () is a well defined integral.

2) Show that (1) = 1.
3) Prove that > 0, ( + 1) = (), and deduce that n N+ , (n) =
(n 1)!.
4) For > 0 and > 0, we define:
f (x) =

x1 ex
1{x (0, +)},
()

where 1{} is the indicator function, that gives a value of one if the argument
is true, and zero otherwise. Prove that f is a density function. If a random
variable X has the density f we say that X follows a (, ).


5) If X N (0, 1), prove that X 2 12 , 12 .
6) Show that E[X] =

and Var(X) =

.
2

Exercise 45 (the exponential distribution) Let X be a continuous random

variable with pdf equal to
f (x) = expx ,

0 < x < , > 0.

The f (x) function is the pdf of a distribution called the exponential distribution.
1) Check that f (x) is a pdf.
2) Compute E[X] and Var(X).
3) Define m(t) E[etX ], the moment-generating function associated with X.
Compute the moment-generating function for the exponential distribution
for t < , and check that its first and second derivatives evaluated at 0 coincide with the non-central moments of first and second order respectively.
R
(Hint: it can be useful to use the gamma function, (t) 0 xt1 exp(x)dx
for t > 0, and the fact that (t) = (t 1)(t 1) (as proved in Exercise 44).
Exercise 46 (normal mixture) Let X be a random variable defined by the
following cdf:
Fk (x) = (1 )(x) +

x

,
k
where () is the cdf of the N (0, 1), and = (k211) . Show that the distribution of
X is symmetric around the origin, with variance equal to 2, and that the excess
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kurtosis coefficient is K = 43 (k 2 + 2) 3, monotonically increasing towards infinity

as k , while Fk (x) (x). (Hint: check first that the pdf of X is the weighted
sum (with weights that sum to 1) of a N (0, 1) and a N (0, k 2 ) densities.
Exercise 47 Let the cdf of X be:

0
F (x) = x2

if x < 0
if 0 x 1 .
if x > 1

Obtain the cdf of Y = X 2 .

Exercise 48 Let X be a random variable with cdf FX (). Find the cdf of Y =
X
.
(1+X)
Exercise 49 Let X be a random variable with constant density in the interval
(1, 1) and density equal to zero out of that interval (i.e. U(1, 1)). Find the
cdf, pdf, and expectation of the following random variables:
1) |X|.
2) X 2 .
3)

(X + 1)
.
2

Exercise 50
1) Let Z N (0, 1). Obtain the pdf for the transformation Y = Z 3 .
2) Let X be a random variable with pdf exp(x) for x 0, with > 0.
Obtain pdf, cdf, and expectation of the transformation Y = exp(X).
Exercise 51 Let X be a continuous random variable with pdf:

if 0 < x < 3
mx
fX (x) = 1 2mx if 3 x < 5 .

0
if x
/ (0, 5)
Obtain the value of m, and plot FX (x).
Exercise 52 Let X N (0, 9). Compute P (4 < X < 4):
1) Exactly, using the tables for the normal distribution.
2) Approximately, giving a lower bound by means of the Chebyshev inequality.
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