ECE 316 – Probability Theory and Random Processes

Chapter 6 Solutions (Part 3)

Xinxin Fan

Problems
42. The joint density function of X and Y is given by

f (x, y) = xe−x(y+1) x > 0, y > 0

(a) Find the conditional density of X, given Y = y, and that of Y , given X = x.

(b) Find the density function of Z = XY .
Solution. (a) Using the definition of the conditional PDF, we have

xe−x(y+1)
fX|Y (x|y) = R∞
−x(y+1) dx
= (y + 1)2 xe−x(y+1) , x > 0
0 xe
xe−x(y+1)
fY |X (y|x) = R∞
−x(y+1) dy
= xe−xy , y>0
0 xe

(b) We first compute the CDF as follows:

Z ∞ Z a/x Z ∞
−x(y+1)
P {XY < a} = xe dydx = (1 − e−a )e−x dx = 1 − e−a .
0 0 0

Differentiation yields
fXY (a) = e−a , a > 0.

43. The joint density of X and Y is

f (x, y) = c(x2 − y 2 )e−x 0 ≤ x < ∞, −x ≤ y ≤ x

Find the conditional distribution of Y , given X = x.

Solution. We first find the conditional PDF as follows:
(x2 − y 2 )e−x 3
fY |X (y|x) = R x 2 2 −x
= 3 (x2 − y 2 ), −x < y < x.
−x (x − y )e dy
4x

With the conditional PDF, we can compute the conditional CDF from the definition:
Z y µ ¶
3 3 y 3 2x3
FY |X (y|x) = 3 (x2 − y 2 )dy = 3 x2 y − + , −x < y < x.
4x −x 4x 3 3

1
Theoretical Exercises
14. Suppose that X and Y are independent geometric random variables with the same parameter
p.
(a) Without any computations, what do you think is the value of

P {X = i | X + Y = n}?

(b) Verify your conjecture in part (a).

Solution. (a) Imagine that we continually flip a coin having probability p of coming up
heads. Let X be the time that the first head occurs and Y be the number of times that we
continue flipping the coin until the second head occurs. Given the condition that X + Y = n,
we know that the second head occurs on the nth flip. Note that X and Y are independent.
Therefore, the first head can occur at any step of the first n − 1 flips and the value of
1
P {X = i | X + Y = n} should be n−1 .
(b) We can verify our conjecture by the following computations:

P {X = i | X + Y = n} = P {X = i, Y = n − i}/P {X + Y = n}
p(1 − p)i−1 p(1 − p)n−i−1 1
= ¡n−1¢ = .
2
1 p (1 − p)
n−2 n−1

18. Let U denote a random variable uniformly distributed over (0, 1). Compute the conditional
distribution of U given that
(a) U > a;
(b) U < a;
where 0 < a < 1.
Solution. We can compute the conditional CDF as follows:

P {U > s|U > a} = P {U > s}/P {U > a}

1−s
= , a<s<1
1−a
P {U < s|U < a} = P {U < s}/P {U < a}
= s/a, 0 < s < a.

Hence, U |U > a is uniform on (a, 1), whereas U |U < a is uniform over (0, a).