Problem Set 4

HANU - Faculty of Information and Technology

MAT204: Probability & Statistics
March 29, 2015

Problem 1: [3, Exercise 2.54]

The joint probability function of two discrete random variables X and Y is given by
f (x, y) = cxy for x = 1, 2, 3 and y = 1, 2, 3, and equals zero otherwise. Find (a) the
constant c, (b) P (X = 2, Y = 3), (c) P(1 ≤ X ≤ 2, Y ≤ 2), (d) P(X ≥ 2), (e)
P(Y < 2), (f) P(X = 1), (g) P(Y = 3).
Solution:
a)

From the table, we have:

XX 1
f (x, y) = 1 ⇒ 36c = 1 ⇒ c =
x y
36

b)
6 1
P (X = 2, Y = 3) = 6c = =
36 6

c)

P (1 ≤ X ≤ 2, Y ≤ 2) = P (X = 1, Y = 1)+P (X = 1, Y = 2)+P (X = 2, Y = 1)+P (X = 2, Y = 2)

9 1
= c + 2c + 2c + 4c = 9c = =
36 4

d)
1 5
P (X ≥ 2) = 1 − P (X < 2) = 1 − P (X = 1) = 1 − 6 ∗ =
36 6

1
Or:
30 5
P (X ≥ 2) = P (X = 2) + P (X = 3) = 12c + 18c = 30c = =
36 6

e)
6 1
P (Y < 2) = P (Y = 1) = 6c = =
36 6

f)
6 1
P (X = 1) = 6c = =
36 6

g)
18 1
P (Y = 3) = 18c = =
36 2

Problem 2: [3, Exercise 2.55]

Find the marginal probability functions of (a) X and (b) Y for the random variables
of Problem 1. (c) Determine whether X and Y are independent.
Solution:
a)Marginal probability function of X:

 6c = 1/6 x=1 
x/6 x = 1, 2, 3
P (X = x) = f (x) = 12c = 1/3 x = 2 ⇒ f1 (x) =
0 otherwise
18c = 1/2 x=3


b)Marginal probability function of Y:


 6c = 1/6 y = 1 
y/6 y = 1, 2, 3
P (Y = y) = f (y) = 12c = 1/3 y = 2 ⇒ f2 (y) =
0 otherwise
18c = 1/2 y = 3


c)If X and Y are independent:

P (X = x, Y = y) = P (X = x)P (Y = y)
⇒ f (x, y) = f1 (x)f2 (y)

We have:
1 xy
f (x, y) = cxy = ∗ xy =
36 36
x y xy
f1 (x)f2 (y) = ∗ =
6 6 36
xy
⇒ f (x, y) = = f1 (x)f2 (y)
36

Therefore:
X and Y are independent

2
Problem 3: [3, Exercise 2.56]
Let X and Y be continuous random variables having joint density function

c(x2 + y 2 ) 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (x, y) =
0, otherwise

1 1 1 3 1
Determine (a) the constant c, (b) P(X < , Y > ), (c) P( < X < ), (d) P(Y < ),
2 2 4 4 2
(e) whether X and Y are independent.
Solution:
a) Z +∞ Z +∞ Z 1 Z 1
F (x, y) = f (x, y)dxdy = 1 ⇒ c(x2 + y 2 )dxdy = 1
x=−∞ y=−∞ x=0 y=0
1  1 Z 1 
x3
Z  
2
 1 2
=c + xy   dy = c + y dy
y=0 3 x=0 y=0 3
 1
y 3 
  
1 1 1 2 3
=c y+ =c + = c=1⇒c=
3 3 
0 3 3 3 2

b)
  Z 1/2 Z 1
1 1 3 2
P X < ,Y > = (x + y 2 )dxdy
2 2 x=0 y=1/2 2
Z 1/2  1/2
y 3  3 1/2
  Z  
3 2 2 1 1 2 1
= x y+ dx = x + − x − dx
x=0 2 3 y=1 2 x=0 3 2 24
 1/2
3 1/2 1 2
Z   
7 3 1 3 7  1
= x + dx = x + x  =
2 x=0 2 24 2 6 24 0 4

c)
  Z 3/4 Z 1
1 3 3 2
P <X< = (x + y 2 )dxdy
4 4 x=1/4 y=0 2
Z 3/4  1  3/4
y 3  3 3/4 3 x3 1
  Z   
3 2 2 1  29
= x y+ dx = x + dx = + x  =
2 x=1/4 3 
y=0 2 x=1/4 3 2 3 3 1/4 64

d) 1
 Z 1 Z 1/2
3 1/2 x3
 Z
1 3 2 2

2 
P Y < = (x + y )dxdy = +y x dy
2 x=0 y=0 2 2 y=0 3 x=0
 1/2
3 1/2 1 y 3 
Z     
2 3 1 1 1 1 5
= + y dy = y+ = + =
2 y=0 3 2 3 3 
0 2 2 8 16

e)If X and Y are independent:

P (X ≤ x, Y ≤ y) = P (X ≤ x)P (Y ≤ y)

3
 ⇒ F (x, y) = F1 (x)F2 (y)

We have:  1
x 1
3 x y 3 
Z Z Z 
3 2 2 2
F1 (x) = (x + y )dxdy = x y+ dx
0 0 2 2 0 3 0
3 x
Z  
2 1 3 1 1
= x + dx = ∗ (x3 + x) = (x3 + x)
2 0 3 2 3 2
Z 1Z y 1
3 y x3
Z
3 2 2 2 

F2 (y) = (x + y )dxdy = + y x  dy
0 0 2 2 0 3 0
Z y 
3 1 3 1 1
= + y 2 dy = ∗ (y 3 + y) = (y 3 + y)
2 0 3 2 3 2
Z xZ y Z x y
y 3  3 x y3
 Z  
3 2 2 3 2 2
F (x, y) = (x + y )dxdy = x y+ dx = x y+ dx
0 0 2 2 0 3 0 2 0 3
 x
y 3  3 x3 y3
  
3 2 1
= x y+ = y + x = (x3 y + xy 3 )
2 3 
0 2 3 3 2
1 1
⇒ F (x, y) = (x3 y + xy 3 ) 6= (x3 + x)(y 3 + y) = F1 (x)F2 (y)
2 4

Therefore:
X and Y are not independent

Problem 4: [3, Exercise 2.57]

Find the marginal distribution functions (a) of X and (b) of Y for the density function
of Problem 3.
Solution:
a) 
 0 x≤0
1 3

F1 (x) = (x + x) 0 ≤ x ≤ 1
 2

1 x≥1

b) 
0
 y≤0
1 3

F2 (y) = (y + x) 0 ≤ y ≤ 1
 2

1 y≥1

Problem 5: [3, Exercise 2.58]

Find the conditional probability function (a) of X given Y , (b) of Y given X, for the
distribution of Problem 1.
Solution:
a)
f (x, y) xy/36 x
f (x|y) = = = = f1 (x)
f2 (y) y/6 6

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b)
f (x, y) xy/36 y
f (y|x) = = = = f2 (y)
f1 (x) x/6 6

Problem 6: [3, Exercise 2.59]

Let 
x + y 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (x, y) =
0, otherwise
Find the conditional density function of (a) X given Y , (b) Y given X.
Solution: Z 1 1
y 2  1
f1 (x) = (x + y)dy = xy + =x+
0 2 0  2
Z 1 1
x2  1
f2 (y) = (x + y)dx = xy + =y+
0 2 0  2

a) 
 f (x, y) x+y
= 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (x|y) = f2 (y) y + 1/2
0 other x, 0 ≤ y ≤ 1


b) 
 f (x, y) x+y
= 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (y|x) = f1 (x) x + 1/2
0 0 ≤ x ≤ 1, other y


Problem 7: [3, Exercise 2.60]

Find the conditional density function of (a) X given Y , (b) Y given X, for the distri-
bution of Problem 3.
Solution:
1 1
f1 (x) = F10 (x) = (x3 + x)0 = (3x2 + 1)
2 2
1 1
f2 (y) = F20 (y) = (y 3 + y)0 = (3y 2 + 1)
2 2

a) 
 f (x, y) 3/2(x2 + y 2 ) x2 + y 2
= = 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (x|y) = f2 (y) 1/2(3y 2 + 1) y 2 + 1/3
0 other x, 0 ≤ y ≤ 1


b) 
 f (x, y) 3/2(x2 + y 2 ) x2 + y 2
= = 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f (y|x) = f1 (x) 1/2(3x2 + 1) x2 + 1/3
0 0 ≤ x ≤ 1, other y


5
Problem 8: [3, Exercise 2.61]
Let
e−(x+y) x ≥ 0, y ≥ 0

f (x, y) =
0, otherwise
be the joint density function of X and Y . Find the conditional density function of (a)
X given Y , (b) Y given X.
Solution: Z +∞ +∞
−(x+y) −x −y 

f1 (x) = e dy = −e e 
0 0
 
= −e−x −e−0 + lim e−y = e−x
y→+∞
Z +∞
+∞
−(x+y) −y −x

f2 (y) = e dx = −e e 

0 0
 
= −e−y −e−0 + lim e−x = e−y
x→+∞

a)
f (x, y) e−(x+y)
f (x|y) = = = e−x = f1 (x)
f2 (y) e−y
 −x
e x ≥ 0, y ≥ 0
f (x|y) =
0 x < 0, y ≥ 0

b)
f (x, y) e−(x+y)
f (y|x) = = = e−y = f2 (y)
f1 (x) e−x
 −y
e x ≥ 0, y ≥ 0
f (y|x) =
0 x ≥ 0, y < 0

Problem 9: [3, Exercise 2.81]

Suppose that f (x) = c/3x , x = 1, 2, ..., is the probability function for a random vari-
able X. (a) Determine c. (b) Find the distribution function. (c) Graph the probability
function and the distribution function. (d) Find P (2 ≤ X < 5). (e) Find P (X ≥ 3).
Solution:  x
c 1
f (x) = x = c
3 3

a) " 
1  2  n #  
1 1 1 2 1
f (x) = c + + ... + = 1 + ... + n−1
3 3 3 3 3
1
 
c  1 − n c 3

1

c
= ∗ 3 = ∗

1− n = =1⇒c=2
3 1 3 2 3 2
1−
3

6
b) " 
1  2  y #  
1 1 1 2 1
F (x) = 2 + + ... + = 1 + ... + y−1
3 3 3 3 3
1
 
2  1 − 3y  2 3
 
1 1
= ∗ = ∗ 1 − y = 1 − y = 1 − 3−y
3 1 3 2 3 3
1−
3

0 x<1
F (x) =
1 − 3−y y ≤ x < y + 1; y = 1, 2, 3...

d)
26
P (2 ≤ x < 5) = P (X = 4) − P (X = 2) = (1 − 3−4 ) − (1 − 3−2 ) = 3−2 − 3−4 =
81

e)
1
P (X ≥ 3) = 1 − P (X < 3) = 1 − P (X = 2) = 1 − (1 − 3−2 ) = 3−2 =
9

Problem 10: [3, Exercise 2.82]

Suppose that
cxe−2x

x≥0
f (x) =
0, otherwise
is the density function for a random variable X. (a) Determine c. (b) Find the dis-
tribution function. (c) Graph the density function and the distribution function. (d)
Find P (X ≥ 1). (e) Find P (2 ≤ X < 3).
Solution:
a) Z +∞
F (x) = f (x)dx = 1
−∞
Z 0 Z +∞ Z +∞
−2x
= 0dx + cxe dx = c xe−2x dx
−∞ 0 0
 Z  +∞
1 −2x 1 −2x 
= c − xe + − e dx 
2 2 0
  +∞ +∞
c −2x 1 −2x  c −2x −2x 

= xe − e = (2xe −e )
2 2 
0 4 0
+∞  
c c 2x − 1
= e−2x (2x − 1)  =

lim −1
4 0 4 x→+∞ e2x
 
c 2
= lim − 1 (by L0 Hospital0 s Rule)
4 x→+∞ 2ex
 
c −2x c
= lim e −1 = =1⇒c=4
4 x→+∞ 4

7
b) Z Z
−2x
F (x) = 4xe dx = 4 xe−2x dx

−xe−2x e−2x
 Z   
−2x 1 −2x
=4 + dx = 2 −xe − e +k
2 2 2
1 1 1
F (0) = 0 − e0 + 1 = − + k = 0 ⇒ k =
2 2 2
 
1 1
⇒ F (x) = 2 −xe−2x − e−2x + = 1 − e−2x (2x + 1)
2 2
1 − e−2x (2x + 1) x ≥ 0

F (x) =
0 x<0

d)
P (X ≥ 1) = 1 − P (X < 1) = 1 − (1 − e−2∗1 (2 ∗ 1 + 1)) = 3e−2

e)
P (2 ≤ X ≤ 3) = P (X < 3) − P (X < 2)
= [1 − e−6 (3 ∗ 2 + 1)] − [1 − e−4 (2 ∗ 2 + 1)] = 5e−4 − 7e−6

Problem 11: [3, Exercise 2.83]

The probability function of a random variable X is given by


 2p x=1
p x=2

f (x) =

 4p x =3
0, otherwise


where p is a constant. Find (a) P (0 ≤ X < 3), (b) P (X > 1).

Solution: 

 2p x=1
p x=2

f (x) =

 4p x=3
0, otherwise


1
⇒ 2p + p + 4p = 1 ⇒ 7p = 1 ⇒ p =
7

a)
1 1 3
P (0 ≤ X < 3] = P (X = 0) + P (X = 1) + P (X = 2) = 0 + 2 ∗ + =
7 7 7

b)
 
1 5
P (X > 1) = 1 − P (X ≤ 1) = 1 − [P (X = 0) + P (X = 1)] = 1 − 0 + 2 ∗ =
7 7

8
Problem 12: [3, Exercise 2.84]
(a) Prove that for a suitable constant c,

0 x≥0
F (x) = −x 2
c(1 − e ) , x > 0

is the distribution function for a random variable X, and find this c. (b) Determine
P (1 < X < 2).
Solution:
a) +∞
Z +∞ Z 0 Z +∞
−x 2 

F (x) = f (x)dx = 0dx + f (x)dx = c(1 − e )  = 1
−∞ −∞ 0 0
 
−x 2
=c lim (1 − e ) − 0 = c ⇒ c = 1
x→+∞

b)

P (1 < X < 2) = F (2) − F (1) = (1 − e−2 )2 − (1 − e−1 )2 = e−4 − 3e−2 + 2e−1

Problem 13: [3, Exercise 2.86]

Two independent random variables, X and Y , have respective density functions
c1 e−2x x > 0

f (x) =
0 x≤0

c2 ye−3y y > 0

g(y) =
0 y≤0
Find (a)c1 and c2 ,(b) P (X + Y > 1),(c) P (1 < X < 2, Y ≥ 1),(d)P (1 < X <
2),(e)P (Y ≥ 1).
Solution:
a)
c1 = 2, c2 = 9

b)
P (X + Y > 1) = 9e−2 − 14e−3

c)
P (1 < X < 2, Y ≥ 1) = 4e−5 − 4e−7

d)
P (1 < X < 2) = e−2 − e−4

e)
P (Y ≥ 1) = 4e−3

9
Problem 14: [3, Exercise 2.88]
Let X and Y be random variables having joint density function

c(2x + y) 0 < x < 1, 0 < y < 2
f (x, y) =
0 otherwise

1 3
Find (a) the constant c, (b) P (X > , Y < ), (c) the (marginal) density function of
2 2
X, (d) the (marginal) density function of Y .
Solution:
a) 2
Z 1 Z 2 Z 1
y 2 
F (x, y) = 1 = c(2x + y)dxdy = 2xy + dx
x=0 y=0 x=0 2 y=0
Z 1 1
3
 1
=c (4x + 2)dx = c(2x + 2x)  = 4c = 1 ⇒ c =
x=0 0 4

b)
3/2
1 1
Z 3/2
1 1 y 2 
  Z Z
1 3
P > ,Y < = (2x + y)dxdy = 2xy + dx
2 2 4 x=1/2 y=0 4 x=1/2 2 y=0
1  1
1 3x2 9x  1 3 9 3 ∗ 1/22 9 1
Z     
1 9 27
= 3x + dx = + = + − − ∗ =
4 x=1/2 8 4 2 8 
1/2 4 2 8 2 8 2 64

c)
2  2
y2
Z   
1 1  1 4 1
f1 (x) = (2x + y)dy = 2xy + = 2x ∗ 2 + =x+
0 4 4 2 
0 4 2 2
( 1
x+ 0<x<1
f1 (x) = 2
0 otherwise

d) 1
Z 1
1 1 2  1
f2 (y) = (2x + y)dx = (x + xy)  = (y + 1)
0 4 4 0 4
( 1
(y + 1) 0 < y < 2
f2 (y) = 4
0 otherwise

Problem 15: [3, Exercise 2.91]


1/y 0 < x < y, 0 < y < 1
f (x, y) =
0 otherwise
1
(a) Determine whether X and Y are independent, (b) Find P (X > ). (c) Find
2
1 1 1
P (X < , Y > ). (d) Find P (X + Y > ).
2 3 2
10
Solution:
a)
X and Y are not independent

b)  
1 1
P X> = (1 − ln2)
2 2

c)  
1 1 1 1
P X < ,Y > = + ln2
2 3 6 2

d)  
1 1
P X +Y > = ln2
2 2

11
References
[1] Walpole, R. E., Myers, R. H., Myers, S. L. and Ye, K., Probability &
Statistics for Engineers & Scientists, 9th ed., MA, USA: Prentice-Hall, 2012.

[2] DeGroot, M. H. and Schervish, M. J., Probability and Statistics, 4th ed., MA,
USA: Pearson Education, Inc., 2012.

[3] Murray, R. S., John, J. S. and R, A. Srinivasan, Probability and Statistics,

3rd ed., USA: McGraw-Hill, 2009.

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