QUESTION 1.

Let W be the set of all nonnegative integers, and G the class of all
W
subsets of W ( 2 ). For A e G let P(A) = 1 if A has a finite number of
elements and P(A) = 0 otherwise. Does P define a probability measure on
(W,G) ? Provide a detailed answer with the defintion of a probability
measure.
Solution question 1
Let ( W,

defined on

) be a measurable space. A set function P(W) ( P:

G,

G - - -L

R )

is called a probability measure ( or simply

probability) if it satisfies the following conditions:

1) P(A) > 0 for all A e

G.

2) P(W) = 1.
3) For every { A , j e N}, A e G, j=1,2,3,..., a sequence of disjoint sets
j
j
( A nA =o if j $ k) we have
j k
8
&
8
*
P7 u A 8 = S P(A )
(= P(A )+P(A )+...).
k=1
k
1
2
k=1
In our case W = set of all nonegative integers, so it is infinite.
By definition of P P(W) = 0 which is contradictory to the condition 2)
above, so P given is not a probability measure.
QUESTION 2.
Let A ,A ,... be a infinite sequence of events such that
1 2
A C A C A C A C ... ( all A e G from fixed (W,G,P)).
1
2
3
4
i
Prove the following

8
P(

v A ) = lim P(A )
u k n[-- - L 8 n

k=1
Solution question 2.
Let us define
B

= A , B = A \A ,...,B = A \A
,...
1
1
2
2 1
n
n n-1
The sequence of events {B } is a sequence of disjoint events such that
n
8
8
n
n

v
u

v A ,
u k

v B = v A = A . n = 1,2,3,...
n
u k u k

k=1
k=1
k=1
k=1
By the 3) (countable additivity) from the definition of a probability
measure we can write:

k=1

k=1

k=1

n
v A ) = P( v B ) = 8S P(B ) = lim
v B ) =
P(
S P(B ) = lim P(
u k
u k k=1 k n[-- - L 8 k=1
k
u k
n[-- - L 8
n
=

lim P(
n[-- - L 8

v A ) = lim P(A )
u k
n
n[-- - L 8

which ends the proof.

k=1

QUESTION 3.
Formulate and prove the Bayes Rule.
Solution question 3.
Let (W,G,P) be a probability space.
Theorem (Bayes Rule). Let { H , n = 1,2,...} be a disjoint sequence
n
of events such that P(H ) > 0, n = 1,2,... and
n

v H = W. Let B e
u n

with

n
P(B) > 0 Then
(1)

P(H

P(H )WP(B/H )
k
k
/
B) = - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k

s P(H )WP(B/H )
t
k
k
k=1

Proof. From the definition of a conditional probability

P(BnH )
k
P(BnH ) = P(H )W- - - - - - - - - - - - - - - - - - = P(H )WP(B/H )
k
k
k
k
P(H )
k
and it imply that
P(H

P(H )WP(B/H )
k
k
/
B) = - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k
P(B)

v (BnH ) and sets (BnH ) are disjoint, the by 3) from

Note now that B =
u
n
n
n
the definition of a probability measure (countable additivity) we can write

nH )
v (BnH )) = s P(BnH )= s P(B
n
s
P(B) = P(
u
n
t
n
t P(H- - - - -)- - - - - P(Hn)= t P(Hn)P(B/Hn).
n
n
n=1
n=1
n=1
Hence, we get

P(H

P(H )WP(B/H )
k
k
/
B) = - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k

s P(H )WP(B/H )
t
k
k
k=1

which ends the proof.

QUESTION 4
Let W = [0,1], and

be the Borel s-field of subsets of W. Define X

on W as follows: X(w) =w if 0 < w < 1. Verify that X is a random

variable. Find the event { w; X(w) e (1/4,1/2)}.
Solution question 4.
The function X mapping W into R is a random variable if and only
if for each x e R
-1

X ( (-8,x]) = { w

a)

1 X(w) < x } = { X < x} e

G.

In our case
-1

X ( (-8,x]) = o if x < 1
-1

X ( (-8,x]) = [ 0,x] if 0 < x < 1

-1

X ( (-8,x]) = [0,1] if x > 1

- is a borel s field which contain all subintervals of [0,1]

and o therefore a) holds and X is a random variable.

{ w; X(w) e (1/4,1/2)} = (1/4,1/2)
QUESTION 5.
Suppose that the density function of a random variable X is as follows:
f(x) =

&
2
{{(9 - x )/36
7
0

for -3 < x < 3

otherwise
Find: a) P(X < 0)
b) The distribution function F(x)
c) Var(X).
Solution question 5.
Question 5.
f(x)

= 0

2
(9-x )/36

[---------------------------------------------------- - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -L
-3
0
3
0
-3
0
2
&
3
P(X < 0) = i f(x)dx = i 0dx + i (9-x )/36dx = 1/36 9x - x /3
7
-8
-8
-3
x
F(x) = P( X < x) = i f(t)dt
-8

10 *= 0.5
1-38

x
x
if x < -3 then F(x) = P( X < x) = i f(t)dt = i 0dt = 0
-8
-8
x
-3
x
2
if -3 < x < 3 then F(x) = P( X < x) = i f(t)dt = i 0dt + i (9-t )/36dt
8
-8
-3
&
3
1x * =-(9x
3
1/36 9t - t /3
- x /3+18)/36
7
1-38
8
x
-3
3
2
if x > 3 then (x) = P( X < x) = i f t)dt = i 0dt + i ( -t )/36dt+ i0dt=1
-8
-8
-3
3

& 0
2
3
so F(x) = { (9x - x /3+18)/36
7 1
2

if
if
if

x < -3
-3 < x < 3
x > 3

Var(X) = E(X-EX) = E(X ) - (EX) = 324/180

8
8
-3
3
2
E(X) = ixf(x)dx = i 0dx + i x(9-x )/36dx + i 0dx =
-8
-8
-3
3
3
3
2
4
3
) = 0
= 1/36i 9x - x dx = 1/36( 9x - x /4 1
/2
-3
-3
8
8
2
2
-3
3 2
2
E(X ) = ix f(x)dx = i 0dx + i x (9-x )/36dx + i 0dx =
-8
-8
-3
3
3
2
4
= 1/36i 9x - x dx =
-3

1/36( 3x

5
- x /5

3
324
324
1-3
) = ---------- = -------5W36

180

QUESTION 6.
The distribution of a random vector (X,Y) is given by
X \ Y
2
[----------i------------------------------- - - - - - - - - -0.1
- - 4- - - - - - - - - - - - -0.3
- - 5- - - - - - - - - - ]
1 p 0.1
p
2 p 0.1
0.09 0.01
p
3 p 0.15
0.05 0.1
Find: a) P( X = 2) b) P(Y > 1) c) P(X < 2, Y < 4.5)

d) P( 2X-Y2 < 2) e) F(x).

Solution question 6.
P(X = 2) = 0.1 + 0.09 + 0.01 = 0.2
P(Y > 1) = 1
P(X < 2, Y < 4.5) = 0.1 + 0.1 = 0.2

P(2X-Y2 < 2) = 0.1 + 0.1 + 0.15 + 0.05 = 0.4

F(x) = P( X < x) = 0 if x < 1
= 0.1 + 0.1 + 0.3 = 0.5 if 1 < x < 2
= 0.1 + 0.1 + 0.3 + 0.1 + 0.09 + 0.01 = 0.7 if 2 < x < 3
= 1 if x > 3

so
F(x) =

& 0
{ 0.5
2 0.7
7 1

if
if
if
if

x
1
2
x

<
<
<
>

1
x < 2
x < 3
3

QUESTION 7.
Suppose that the joint density function for a random vector (X,Y) is
given by:
2
& c(x + y)
for 0 < x <1, 0 < y < 1-x
f(x,y) = {
7 0
otherwise
Find: a) The constant c.
b) P( Y < X +1)
c) f(y)
Solution question 7.

& c(x + y)
f(x,y) = {
7 0

for 0 < x <1,

otherwise

2
D = { (x,y);0 < x < 1, 0 < y < 1-x }
A = { (x,y); y < x + 1}

D C A

Since f(x,y) is a density function then

8 8
i i f(x,y)dxdy = 1
-8 -8

8 8
i i f(x,y)dxdy =
-8 -8

0 < y < 1-x

i if(x,y)dxdy + i if(x,y)dxdy =
D
c
D
2
2
1 1-x
1
2 1-x
y 1
=c i ix+y dydx = c i(xy + - - - - )dx
10
0 0
0
2
1
3
2 4
= ci x-x +1/2-x +x /2 dx
0
2
4
3
5
11) = c31/60
= c( x /2 - x /4 +x/2 - x /3 +x /10
10

c31/60 = 1 therefore c = 60/31.

P(Y < X + 1 ) = P((X,Y) e A) > P((X,Y) e D) = 1
so P(Y < X + 1 ) = 1.

8
f(y) = yi f(x,y)dx = 0 if y < 0 or y > 1
-8
------8
r-1-y
2
f(y) = yi f(x,y)dx = 60/31i x+ydx = 60/30 (x /2 +xy
-8
0

-------1r1-y )
10

(
)
2
= - - - - - 21-y
2
- - - - - - - - + yr1-y2 if 0 < y < 1
312
9) 2
0
(
2
602
f(x) = ------ - -21-y
-1-y
- - - - - - -2
for 0 < y < 1
+
y
r
2
312
9 2
0
602

and f(x) = 0 otherwise

QUESTION 8
Suppose that the joint density function for a random vector (X,Y) is
given by:
& 2xe-y for 0 < x < 1 and 0 < y < 8
f(x,y) = {
0
otherwise

Using marginal densities of X and Y verify the independence of X and Y ?

Solution question 8

1
1
1p 2xe-y
1
-------------------------------------------------------- - - - - - - - - - ip- - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - ipp- - - - - - - - - - - - - - - - - - - - - - 0

8
8
f(x) = i f(x,y)dy = i 0dy if x < 0 or
-8
-8
8
8
-y
f(x) = i f(x,y)dy = i 2xe dy = 2x lim
-8
0
b[L8
-b
= 2xlim (-e +1) = 2x if 0 <
b[L8
so f(x) =

& 2x
{ 0
7

for 0 < x < 1

otherwise

x > 0
b
-y
-y b
ie dy = 2xlim ( -e 1 ) =
0
0
b[L8
x < 1

8
8
f(y) = i f(x,y)dx = i 0dx if y < 0
-8
-8
8
0
1
8
-y
-y 2 1
-y
f(y) = i f(x,y)dx = i 0dx + i2xe dx + i0dx = e (x 1 ) = e
0
-8
-8
0
1

& e-y
so f(y) = {
7 0

0 < y < 8

for

otherwise

f(x)Wf(y) = 2xe

Therefore

for y > 0

-y

= 0

for

0 < x < 1, 0 < y < 8

otherwise

and f(x)Wf(y) = f(x,y) so X and Y are independent.

QUESTION 9.
Let (W,G) be a measurable space and P the probability measure
defined on (W,G). Prove the following statements:

A
if A c B then P(B\A) = P(B) - P(A).
A,BeG
b)
A
P(AuB) < P(A) + P(B).
A,BeG
Solution question 9.
a)

a) A c B

+++++6 B = (B\A) u A and the sets on the right side are

disjoint, so

P(B) = P(B\A) + P(A). Solving we get

P(B\A) = P(B) - P(A).

b) AuB = (A\(AnB) u (B\(AnB) u (AnB) and the sets on the right side
are disjoint and A = (A\(AnB) u (AnB), B = (B\(AnB) u (AnB)
hence
P(AuB) = P(A\(AnB) + P(B\(AnB) + P(AnB) =
= [P(A\(AnB) + P(AnB)] + [P(B\(AnB) + P(AnB)] - P(AnB) =
= P(A) + P(B) - P(AnB) < P(A) + P(B)

since P(AnB) > 0.

QUESTION 10.
Prove the following theorem:
If the moments of order t exists for a random variable X of continuous
type with density function f(x), t > 0 then the moments of order s, 0 < s < t
exist.
Solution question 10
s
We have to show that E1X1 =

8
s
i 1x1 f(x)dx < 8
-8

t
We know that E1X1 =

8
t
i 1x1 f(x)dx < 8
-8

Therefore

8
1
1
8
s
s
s
s
i 1x1 f(x)dx = i1x1 f(x)dx + i1x1 f(x)dx + i1x1 f(x)dx <
-8
-8
-1
1
1
1
8
t
t
i1x1 f(x)dx + i 1Wf(x)dx + i1x1 f(x)dx <
-8
-1
1
1
1
8
1
t
t
t
t
i1x1 f(x)dx + i1x1 f(x)dx + i1x1 f(x)dx + i 1Wf(x)dx = E1X1 + P{1X1 < 1} < 8.
-8
-1
1
-1
t
s
We used that for 1x1 > 1 the following 1x1 > 1x1 and
s
for 1x1 < 1 the following 1x1 < 1.
s
E1X1 =

QUESTION 11.
Let W be the set of all natural numbers, and G the class of all
W
subsets of W ( 2 ).For A e G, let P(A) = 1 if A is a finite set

and P(A) = 0 otherwise. Does P define a probability measure on (W,G) ?

Solution question 11.
Definition: A set function P(W) ( P:

G L

R ) defined on

G,

is called a probability measure ( or simply

probability) if it satisfies the following conditions:
1) P(A) > 0 for all A e

G.

2) P(W) = 1.
3) For every {A , j e N }, A e G, j = 1,2,3,... , a sequence of disjoint
j
j
sets ( A n A = o if j $ k) we have
j
k
8
& u A * = 8S P(A ).
P
7 k=1 k8 k=1
k
In our case P(A) = 0 or 1 so P(A) > 0 and 1) holds.
Since our W = N - infinite set so by definition of P P(W) = 0
and it contradicts 2).
Since second condition for the probability meaure is not satisfied
therefore P is not a probability measure.
QUESTION 12.
Suppose that the random variable X has the following probability density
function

& c2x2
2
f(x)={{
2 0
7

for

-2 < x < 2

otherwise

Find a) the constant c

b) P{ -0.5 < X < 1.5 }
c) The distribution function
Solution question 12
Density function have to satisfy:
a) f(x) > 0 for all x
8
b) i f(x)dx = 1
-8
8
-2
0
2
8
from b) i f(x)dx = i 0dx + ic(-x)dx + icxdx + i0dx =
-8
-2
0
0
-8
= -c
If c = 1/4

2
- - - - - 22 0
2
-2
x

+ c

2
- - - - - 222 = 4c = 1 so c = 1/4
2
0

a) holds too.
1.5
0
1.5
2 0
2 1.5
x 2
x 2
i f(x)dx = i-x/4dx + ix/4dx = - - - - - - - + ----2-0.5 8 20 =
-0.5
-0.5
0
8
= 10/24

P{ -0.5 < X < 1.5 } =

f(x)

-x/4

x/4

-------------------------------------------------------- - - - - - - - - - - - - - - - - -k- - - - - - - - - - - - - - - k- - -- - - - - - - - - - - - -k- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -2

x
F(x) = if(t)dt
-8
x
x
if x < -2 then F(x) = if(t)dt = i0dt = 0
-8
-8
x
-2
if -2 < x < 0 then F(x) =

i2 f(t)dt =
j

-8
x

i2 f(t)dt =
j

if 0 < x < 2 then F(x) =

-8
=
if x > 2 then F(x) = 1

2 0
- - - -t- - - - 22 +
8
-2

i2 0dt +
j

2
i2 -t/4dt = - - - -t- - -2- - - - 1x = - - -1- - - - --- - --------------x
j
8
8
-2
-2

-8
-2

-8

-2

i2 0dt +
j
2
t

i2 -t/4dt + i2t/4dt =
j
j

x
2
- - - - - 22 = 1- - - + x- - - - 8
0
2
8

&
0
2
F(x) = {
2 - - -12- - - - - - - 2
2 1
2 - - -2- - - - - +
2
2
1
7

if x < -2
2

- - -x8- - - - -

if -2 < x < 0

- - -x8- - - - -

if 0 < x < 2
if x > 2

QUESTION 13.
Let (X,Y) be a random vector with the joint density function given

(
22 cx2y
f(x,y) = {
22 0
9

by:

for

< y < 1

otherwise

Find: a) The constant c, b) P( X < 0.5,Y < 0.2 ), c) f(y)

Solution question 13
y = x

y = 1
D

-1

1
D = {(x,y); x

x
2

< y < 1}

Since f(x,y) is a density function then

i2
j

-8

i2
j

i2 f(x,y)dxdy = 1
j

-8

i2 f(x,y)dxdy = i2 i2f(x,y)dxdy +
j
j j

-8

-8
1 1

i2
j

-1
= c/2

i2 cx2ydydx = c
j

2
x
1

i2 i2f(x,y)dxdy =
j j
D

i2 (x2y2/211 )dx =
j
2
x

-1

i2 x2 - x6dx = c/2 (x3/3 - x7/7)1 1

j
-1

-1

= c

- - -21
- 4- - - - - -

Therefore c = 21/4

y = x

y = 1

q== = = = =6

-e0.2

q== = = = =6
A = {(x,y);-e0.2
P(X < 0.5,Y < 0.2) =

D = {(x,y); x
q== = = = =6 2
< x < e0.2 ,x < y < 0.2}

i2
j

= 21/4

0.2

i2
j

< y < 1}

i20dxdy + i2 i2x2ydxdy 21/4 =

j
j j

q==========6
e0.2
i2
=
j
q==========6
-e0.2

2
x ydydx =

q== = = = =6
e0.2
i2 (x2y2/211 )dx =
j
2
q== = = = =6
x
-e0.2

q====== = =6
5- - -6
e0.2
i2 (0.02x2 - x4/2)dx = 21/4 ( 0.02x3/3 - x5/101 r0.2 )
j
5_ _ _6
q====== = =6
- - - r0.2
-e0.2

= 0.043826
8
f(y) =

i2 f(x,y)dx = 0 if y < 0 or y > 1

j

-8

q6= = =
ey
i
i
i
f(y) = 2 f(x,y)dx = 2 f(x,y)dx + 2 f(x,y)dx +
j
j
j
q6= = =
-8
-8
-ey
q6=====
ey
i 2
5/2
= 21/4 2 x ydx = 7y
/2
j
q6=====
-ey
f(y) = 7y

q6= = =

-ey

i2 f(x,y)dx =
j
q6= = =
ey

5/2
/2 if 0 < y <1

f(y) = 0 otherwise
QUESTION 14.
Let X be a random variable with density function given by

f(x) =

&
{
7

for 0 < x < 4

x/c

0
otherwise
and Y be a random variable independent of X with density function
given by
f(y) =

& y
{ 2-y
7 0

if y e (0,1)
if y e [1,2)
otherwise

Find a) c
b) f(x,y)
Solution question 14.
f(x) is a density if and only if
a) A f(x) > 0
xeR
8
b)

i2 f(x)dx = 1
j

-8
8

i2 f(x)dx =
j

-8

-8

i2 0dx + - - -1- - - - - 2i xdx +

j
c j

i2 0dx =
j

1
x
8
--------------(------------ - - - -1 ) = - - - - - - - - = 1
c
2
c
0
Hence c = 8 and a) holds too.
f(x) =

&
{
7

x/8

for 0 < x < 4

0
otherwise
Since X and Y are independent then
f(x,y) = f(x)f(y)

y
0

x(2-y)/8

A
0

2-y
y

f(x) = 0

xy/8
x/8

0
0

f(y)

(
22
22
f(x,y) = {
22
22
9

xy/8

if 0 <

x < 4, 0 < y

< 1

x(2-y)/8

if 0 <

x < 4, 1 < y

< 2

otherwise

QUESTION 15.
The distribution of a random vector (X,Y) is given by
X \ Y
2
[----------i------------------------------- - - - - - - - - -0.1
- - 4- - - - - - - - - - - - -0.2
- - 5- - - - - - - - - - ]
1 p 0.1
p
2 p 0.2
0.3
0.1

Find: a) P( X = 2), b) P(Y > 1), c) P(X < 2/ Y < 4.5)

Solution question 15.
a) P( X = 2) = P( (X,Y) e{(2,2),(2,4),(2,5)} = 0.2 + 0.3 + 0.1 = 0.6
b) P(Y > 1) = P((X,Y)e { (1,2),(1,4),(1,5),(2,2),(2,4),(2,5)}) = 1
c) P(X < 2/Y < 4.5) = P(X < 2, Y < 4.5)/ P( Y< 4.5) =
=

P((X,Y) e{(1,2),(1,4)})/P( (X,Y) e {(1,2),(1,4),(2,2),(2,4)})

0.2/0.7 = 2/7

QUESTION 16.
Let (W,G,P) be a probability space.
a) Prove the following statement:
A, B e

G,

P(AuB) = P(A) + P(B) - P(AnB).

- - -14- - - - -, P(D) = - - -12- - - - -.

b) Consider two events C and D such that P(C) =

c

Determine the value P(CnD ) for each of the following conditions

i) CnD = o

ii) C C D

iii) P(CnD) =

- - -18- - - - -

Solution question 16.

a) AuB = (A\(AnB) u (B\(AnB) u (AnB) and the sets on the right side
are disjoint and A = (A\(AnB) u (AnB), B = (B\(AnB) u (AnB)
hence
P(AuB) = P(A\(AnB) + P(B\(AnB) + P(AnB) =
= [P(A\(AnB) + P(AnB)] + [P(B\(AnB) + P(AnB)] - P(AnB) =
= P(A) + P(B) - P(AnB)
c

b) i) CnD = o 6 CnD
c

ii) CCD 6 CnD

= C so P(CnD ) = P(C) =

- - -14- - - - -

= o so P(CnD ) = P(o) = 0

iii) P((CnD ) = P(C) - P(CnD) =

- - -14- - - - - - - - -18- - - - - = - - -18- - - - -

QUESTION 17.
Let W = [0,1], and G be the Borel s-field of subsets of W. Define
X on W as follows X(w) = w for w e W. Verify that X is a random
variable. Find the event {w; X(w) e (1/4,1/2)}
Solution question 17.
The function X mapping W into R is a random variable if
and only if for each x e R
-1
1) X ((-8, x]) ={w; X(w) < x} = {X < x} e

G.

In our case
-1
X ((-8, x]) = o if x < 0
-1
X ((-8, x]) = [0,x] if 0 < x < 1
-1
X ((-8, x]) = [0,1] if x > 0

- is a Borel s-field which contain all subintervals

of [0,1] and o therefore 1) holds and X is a random variable

QUESTION 18.
Suppose that the random variable X has the following probability density
function

& c2x2
2
f(x)={{
2 0
7

for

-2 < x < 2

otherwise

Find a) the constant c

b) P{ -0.5 < X < 1.5 }
c) The distribution function
Solution question 18.
The function X mapping W into R is a random variable if
and only if for each x e R
-1
1) X ((-8, x]) ={w; X(w) < x} = {X < x} e

G.

In our case
-1
X ((-8, x]) = o if x < 0
-1
X ((-8, x]) = [0,x] if 0 < x < 1
-1
X ((-8, x]) = [0,1] if x > 0

- is a Borel s-field which contain all subintervals

of [0,1] and o therefore 1) holds and X is a random variable

QUESTION 19.
Suppose that the random variable X has the following probability density
function

& c2x2
2
f(x)={{
2 0
7

for

-2 < x < 2

otherwise

Find a) the constant c

b) P{ -0.5 < X < 1.5 }
c) The distribution function
Solution question 19.
Density function have to satisfy:
a) f(x) > 0 for all x
8
b) i f(x)dx = 1
-8
8
-2
0
2
8
from b) i f(x)dx = i 0dx + ic(-x)dx + icxdx + i0dx =
-8
-2
0
0
-8
= -c
If c = 1/4

2
- - - - - 22 0
2
-2
x

+ c

2
- - - - - 222 = 4cV= 1 so c = 1/4
2
0

a) holds too.
1.5
0
1.5
2 0
2 1.5
x 2
x 2
i f(x)dx = i-x/4dx + ix/4dx = - - - - - - - + ----2-0.5 8 20 =
-0.5
-0.5
0
8
= 10/24

P{ -0.5 < X < 1.5 } =

f(x)

-x/4

x/4

-------------------------------------------------------- - - - - - - - - - - - - - - - - -k- - - - - - - - - - - - - - - k- - -- - - - - - - - - - - - -k- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -2

F(x) = if(t)dt
-8
x
x
if x < -2 then F(x) = if(t)dt = i0dt = 0
-8
-8
x
-2
if -2 < x < 0 then F(x) =

i2 f(t)dt =
j

-8
x

i2 f(t)dt =
j

if 0 < x < 2 then F(x) =

-8
=
if x > 2 then F(x) = 1
&
0

2
F(x) = {
2 - - -12- - - - - - - 2
2 1
2 - - -2- - - - - +
2
2
1
7

- - -x8- - - - -

- - -x8- - - - -

i2 0dt +
j

2
i2 -t/4dt = - - - -t- - -2- - - - 1x = - - -1- - - - --- - --------------x
j
8
8
-2
-2

-8
-2

-8

-2

2 0
- - - -t- - - - 22 +
8
-2

i2 0dt +
j

i2 -t/4dt + i2t/4dt =
j
j

2
t

x
2
- - - - - 22 = 1- - - + x- - - - 8
0
2
8

if x < -2
if -2 < x < 0
if 0 < x < 2
if x > 2

QUESTION 20.
Suppose that a random variable X is of a discrete type with the following
distribution given by:
P(X = k) = ck

for k = 1,2,3,4,5

and P(X e {1,2,3,4,5} ) = 1.

Find : a) the value of c.

b) The distribution function F(x).
c) P( X < 3,5 / X > 0.5)
Solution question 20.
a) Since P(X e {1,2,3,4,5} ) = 1 then V = {1,2,3,4,5}is a set of all
values. Let us denote p

= P(X = k), k = 1,2,3,4,5.

k
an assignment of a probability if and only if

{P } constitute
k
1) each p > 0
k
2) S p = 1
k
By 2) we have S p = c + 2c + 3c + 4c + 5c = 15c = 1 so c = 1/15.
k

If c = 1/15 then a) also holds so indeed c = 1/15 gives a probability

distribution.
b) F(x) = P(X < x)
if x < 1 then F(x) = P(X < x) = P(o) = 0
if 1 < x < 2 then F(x) = P(X < x) = P(X = 1) = 1/15
if 2 < x < 3 then F(x) = P(X < x) = P(X e {1,2}) = 3/15
if 3 < x < 4 then F(x) = P(X < x) = P(X e {1,2,3}) = 6/15
if 4 < x < 5 then F(x) = P(X < x) = P(X e {1,2,3,4}) =10/15
if 5 < x then F(x) = P(X < x) = P(X e {1,2,3,4,5}) = 1
Then
& 0
if x < 1

2
2
F(x) = {
2
2
2
2
7

c) P(X < 3.5

1/15

if 1 < x < 2

3/15

if 2 < x < 3

6/15

if 3 < x < 4

10/15

if 4 < x < 5

if 5 < x then

/ X > 0.5) = - - -P(X

- - - - - - - - - -<- P(X
- - - -3.5,
- - - - - - >- - - - - 0.5)
- X- - - - - >- - - - - 0.5)
- - - - - - - - - - - - - = P(X
- - - - - - -P(X
- - - -e- - - - -{1,2,3,4,5})
-e- - - - -{1,2,3})
-------------------------- =

= (6/15)/(1) = 6/15
QUESTION 21.
The distribution of a random vector (X,Y) is given by
X \ Y
2
[----------i------------------------------- - - - - - - - - -0.1
- - 4- - - - - - - - - - - - -0.2
- - 5- - - - - - - - - - ]
1 p 0.1
p
2 p 0.2
0.3
0.1

Find: a) P( X = 2), b) P(Y > 1), c) P(X < 2/ Y < 4.5)

Solution question 21.
a) P( X = 2) = P( (X,Y) e{(2,2),(2,4),(2,5)} = 0.2 + 0.3 + 0.1 = 0.6
b) P(Y > 1) = P((X,Y)e { (1,2),(1,4),(1,5),(2,2),(2,4),(2,5)}) = 1
c) P(X < 2/Y < 4.5) = P(X < 2, Y < 4.5)/ P( Y< 4.5) =
=

P((X,Y) e{(1,2),(1,4)})/P( (X,Y) e {(1,2),(1,4),(2,2),(2,4)})

0.2/0.7 = 2/7

We use the following P((X,Y)eA) =

s
t

i,j;(x ,y )eA
i j

i,j

QUESTION 22.
Let W be the set of all natural numbers, and G the class of all
W
subsets of W ( 2 ).For A e G, let P(A) = 1 if A is a finite set

and P(A) = 0 otherwise. Does P define a probability measure on (W,G) ?

Solution question 22.

Definition: A set function P(W) ( P:

G L

R ) defined on

G,

is called a probability measure ( or simply

probability) if it satisfies the following conditions:
1) P(A) > 0 for all A e

G.

2) P(W) = 1.
3) For every {A , j e N }, A e G, j = 1,2,3,... , a sequence of disjoint
j
j
sets ( A n A = o if j $ k) we have
j
k
8
& u A * = 8S P(A ).
P
7 k=1 k8 k=1
k
In our case P(A) = 0 or 1 so P(A) > 0 and 1) holds.
Since our W = N - infinite set so by definition of P P(W) = 0
and it contradicts 2).
Since second condition for the probability meaure is not satisfied
therefore P is not a probability measure.
QUESTION 23.
Let W be the set of all nonnegative integers and
W
subsets of W ( G = 2 ). For A e G let

s p(1-p)k
t

P(A) =

the class of all

0 < p < 1.

keA
Does P define a probability measure on (W,G) ?
Give detail answer with all definition required.
n
s tk = - - -1- - - - --- - - - -t- - -n+1
Hint:
--------( t =
/ 1)
t
1 - t
k=0
Solution question 23.
Let ( W,
( P:

G L

) be a measurable space. A real set function P(W)

R ) defined on

G,

is called a probability measure ( or simply

probability) if it satisfies the following conditions:

1) P(A) > 0 for all A e

G.

2) P(W) = 1.
3) For every {A , j e N }, A e G, j = 1,2,3,... , a sequence of disjoint
j
j
sets ( A n A = o if j $ k) we have
j
k
8
& u A * = 8S P(A ).
P
7 k=1 k8 k=1
k

In our case

P(A) =

s p(1-p)k
t

0 < p < 1

keA
and each term in the sum is > 0 so P(A) > 0 and 1) holds.
8
n
s
k
s (1-p)k =
P(W) = P({0,1,2,3,...}) =
t p(1-P) = pnlim
t
- - -L8 k=0
k=0
n+1
1 - (1-p)
1
= p lim - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - = p - - - - - - - - - - - - - = 1
1 - (1-p)
1-1+p
n-----L8
so 2) holds.
Let {A , j e N } be as in 3).
j
(
)
22 8
22
v
s
k
P2
A 2 =
p(1-p) = { series converges absolutely can be rearranged} =
u
j
t
22j=1
22 k eUuA
j
9
0

s
k
t p(1-p) +

s
k
t p(1-p) + ... +

s p(1-p)k + ... = 8S P(A )

t
j
j=1
keA

keA
keA
1
2
2
so 3) holds. Since 1), 2) and 3) are satisfied therefore P is a probability
measure.
QUESTION 24.
Let (W,G) be a measurable space and P the probability measure
defined on (W,G). Prove the following statements:

A
if A c B then P(B\A) = P(B) - P(A).
A,BeG
b)
A
P(AuB) < P(A) + P(B).
A,BeG
Solution question 24.
a)

a) A c B

+++++6 B = (B\A) u A and the sets on the right side are

disjoint, so

P(B) = P(B\A) + P(A). Solving we get

P(B\A) = P(B) - P(A).

b) AuB = (A\(AnB) u (B\(AnB) u (AnB) and the sets on the right side
are disjoint and A = (A\(AnB) u (AnB), B = (B\(AnB) u (AnB)
hence
P(AuB) = P(A\(AnB) + P(B\(AnB) + P(AnB) =
= [P(A\(AnB) + P(AnB)] + [P(B\(AnB) + P(AnB)] - P(AnB) =
= P(A) + P(B) - P(AnB) < P(A) + P(B)
QUESTION 25.

since P(AnB) > 0.

Let (W,G,P) be a probability space.

Prove the following statements:
a) If A and B are independent events then A

and B

are independent events.

b) If A and B are independent events and P(B) > 0 then
P(A/B) = P(A)
Solution question 25.
a) A and B are independent if P(AnB) = P(A)P(B)
c
c
We have to show that P(BnA ) = P(B)P(A ).
c
B = (BnA) u (BnA ) and the sets on the right side are disjoint
hence
c
P(B) = P(BnA) + P(BnA ), solving we get
c
P(BnA ) = P(B) - P(BnA) = P(B) - P(B)P(A) =
c
= P(B)[1 - P(A)] = P(B)P(A )

- - -P(A
- - -P(B)
- - - - -n- -B)
- - - - - - - = - - -P(A)P(B)
- - - - -P(B)
- - - - - - - - - - - - - - - - - = P(A).

b) P(A/B) =
QUESTION 26.

Does the following function define distribution function

(
2
F(x) = {
22
9

0
1 - e

-x

if

x < 0

if

x > 0.

Solution question 26.

A real-valued function F defined on R ( (-8,8) ) that is
a) nondecreasing, b) right continuous and
c)

lim F(x) = 0 d) lim F(x) = 1

x-----L -8
x- - -L8
is called a distribution function.

y = F(x)

Our function is continuous so b) holds.

if x < y < 0 then F(x) = 0 = F(y)

-y

if x < 0 < y then 0 = F(x) and F(y) = 1 - e

> 0

so F(x) < F(y)

if 0 < x < y then e

-x

> e

-y

so

1 - e

-x

-y
< 1 - e

so F(x) < F(y)

Therefore if x < y

+ + +6 F(x) < F(y) so F(x) is nondecreasing

function and a) holds

lim F(x) = lim 0 = 0 so c) holds
xL -8
xL -8
-x
lim F(x) =
lim (1 - e ) = 1 so d) holds.
xL 8
xL 8
Since all conditions are satisfied therefore F(x) is
a distribution function.
QUESTION 27.
Suppose that a joint density function for a random vector (X,Y) is given by

(
2
f(x,y) = {
2
9

c(x+y)
0

for 0 < x < y < 1

otherwise

Find: a) The constant c.

b) F(y)
c) P( Y < X + 0.5)
Solution question 27.

8
f(x,y) - joint density function 46 a)

i2
j

i2 f(x,y)dxdy = 1
j

-8 -8
b) A f(x,y) > 0.
x,y

D = { (x,y); 0 < y < 1, 0 < x < y}

i2
j

i2 f(x,y)dxdy = i2 i2f(x,y)dxdy + i2
j
j j
j

-8 -8
1
y

i (2
= 2 {
j 9
0

i2 c(x,y)dx )}2dy = c
j
0

0
so c = 2.

i2f(x,y)dxdy =
j

i2 ({2 - - -x- - -2- - - - + xy 1y )}2 dy =

j 9 2
0
0
0

3 1
i y2
2
i 3y2
y
c
= c 2 -------------------- + y dy = c 2 - - - - - - - - - - - - - dy = c - - - - - - - - - - 1 = - - - - - - - - = 1
j 2
j 2
2
2
0
y
F(y) = P( Y < y) =

i2 f (t)dt
j 2

-8
where
f (y) =
2

i2 f(x,y)dx
j

-8

y e (0,1)

+++++6 f2(y) =

= 2 (

x
-------------------+ xy 1
2

-8

-8

i2 f(x,y)dx =
j

) = 3y

y e
/ (0,1)

i2 0 dx + i22(x+y)dx + i20 dx
j
j
j

+++++6 f2(y) =

(
2 3y2
f (y) = {
2
22 0
9

i2 0 dx = 0
j

-8

if 0 < y < 1
otherwise

i2 f (t)dt
j 2

F(y) =

-8

y
y < 0

+++++6

i2 0dt = 0
j

F(y) =

-8
0 < y < 1

y > 1

+++++6 F(y) =

+++++6 F(y) =

-8

i2 0dt + i23t2dt = t31y = y3

j
j
0

-8

i2 0dt + + i23t2dt + i20dt = t311 = 1

j
j
j
0

(
22 0
2 3
F(y) = { y
22
22 1
9

if y < 0
if 0 < y < 1
if y > 1

P(Y < X + 0.5) = P((X,Y) e C) + P((X,Y) e C ) =

1

i2 i2f(x,y)dxdy + i2
j j
j

i2f(x,y)dxdy =
j
1

C = {(x,y); 0 < y < 0.5,0 < x < y } u {(x,y); 0.5 < y < 1,y - 0.5 < x < y}

i2 i22(x+y)dxdy + i2
j j
j
C

0.5 y
=

i2
j

i22(x+y)dxdy +
j

0 0
0.5
=

i20dxdy =
j
1
1

i2
j

i2
j

2(x+y)dxdy =

0.5 y-0.5
1
i2 (x2+xy1y)dy + i2 (x2+xy1y
)dy =
j
j
0
y-0.5
0
0.5
0.5
1
i2 3y2dy + i2 3y2 - (y-0.5)2 - 2(y-0.5)ydy =

0
0.5

0.5
1

0.5

i2 3y2dy +
j

i2 2y -0.25dy = y310.5 + (y2 - 0.25y)11

= 0.75.
j
0
0.5

P(Y < X +0.25) = 0.75.

QUESTION 28.
Let X,Y be independent identically distributed random variables
with common density function

(
22
f(z) = {
22
2
9

-z

if z > 0
otherwise

Find the distribution function of M = max{X,Y}.

Solution question 28.
X and Y are independent so for all x,y P(X < x,Y< y) = P(X < x)P(Y < y)
and also F(x,y) = F(x)F(y)
Distribution function for X and Y is the same and is equal to
z
z
F(z) = P(X < z) = P( Y < z) =

i2 f(t)dt =
j

-8
0
=

i2 0dt = 0 if z < 0
j

-8

i2 0dt + i2e-tdt = - e-t1z = 1 - e-z

j
j
0

-8

if z > 0

(
22 0
if x < 0
F (x) = P( max{X,Y} < x) = P(X < x,Y < x) = F(x)F(x) ={
M
22
2 (1 - e-x)2 if x > 1
9
QUESTION 29.

Let (X,Y) be a random vector with joint density given by

(
22
2
3x
2xy + - - - - - - - - - - - - - - f(x,y) = {
2
22
0
2
9

if 0 < x < 1, 0 < y < 1

otherwise

Find the line of regression of Y on X

Solution question 29.
y - EY =

cov(X,Y)
- - -Var(X)
- - - - - - - - - - - - - - - - - (x - E)

1j------ - - - - - - - - - - - - - - - - - - - o

1
1
2 1
1
12xy+3x
-------- 1
D = {(x,y);0<x<1,0<y<1}
2
1
1
---------------------------------------------k------- - - - - - - - - - - - - - - - - - - -k- - - - - - - - - - - - - - - - - -- - - - - L
1
1

i2 f(x,y)dy = 0 if x
j

f(x) =

-8
8

i2 f(x,y)dy =
j

f(x) =

-8

= x +

2
3x
- - -2- - - - -

/ (0,1)
e

2
2
i2 0dy + i2 2xy+3x
i
2
3yx 1
dy + 20dy = xy + - - - - - - - - - - 1 =
j
j
2
j
2
0
-8
0
1

if x e (0,1)
0

2
i2 xf(x)dx = i2 0dx + i2x(x + 3x
- - )dx + i2j0dx =
j
j
j
2

EX =

-8
3
4
= x /3 + 3x /8

-8
0
1
1
17
1 = - - -24
- - - - - - - = 0.7083
0
8
0
1
8
2
i
2
i
i
2
3x
i
2
EX = 2 x f(x)dx = 2 0dx + 2x (x + - - - - - - - - )dx + 20dx =
j
j
j
2
j
-8
-8
0
1
4
5
1
11
= x /4 + 3x /10 1 = - - - - - - - - - 20
0
Var(X) = EX

- (EX)

- - -11
- - - - - - - - (- - -17
-- - - - - - -)2 = 0.048
20
24

8
f(y) =

i2 f(x,y)dx = 0 if y
j

-8
8
f(y) =

i2 f(x,y)dx =
j

-8
2
3
= x y + x /2

i2
j

EY =

-8
cov(X,Y)
8
EXY =

i2
j

-8
1
=

/ (0,1)
e
1

2
i2 0dx + i2 2xy+3x
- - -dx + i2j0dx =
j
j
2

-8
0
1
1
1 = y + 1/2 if y e (0,1)
0
0
1
8
i
i
2
y
i
3
2
1
7
yf(y)dy = 2 0dy + 2y + - - - dy + 20dy = y /3 + y /4 1 = - - - - - - - - - - = 0.5833
j
j
2
j
12
0
-8
0
1
= E(X - EX)(Y - EY) = EXY - EXEY
8
11
1
2
4
i2 xyf(x,y)dxdy = ii
3x
i 2 x3
3yx
1
22
xy(2xy+- - - - - - - -)dxdy = 2(2y - - - - - - - - - - + - - - - - - - - - - 1 )dy =
j
jj
2
j
3
8
0
-8
00
0

i2 2y2/3 + 3y/8 dy = 2y3/9 - 3y2/16 11 = 0.4097

j
0

0
cov(X,Y) = E(X - EX)(Y - EY) = EXY - EXEY = 0.4097 - 0.7083Q0.5833 = -0.0034
y - EY =

cov(X,Y)
- - -Var(X)
- - - - - - - - - - - - - - - - - (x - E)

y - 0.5833 = -0.0034/0.048(x - 0.7083)

y = -0.0708x +0.6334
QUESTION 30.
Let (W,G) be a measurable space and P the probability measure
defined on (W,G). Prove the following statements:

G,
G,

1) A, B e
2) A, B e

P(AuB) = P(A) + P(B) - P(AnB)

c
P(AnB ) = P(A) - P(AnB)

Solution question 30
1) AuB = (A\(AnB) u (B\(AnB) u (AnB) and the sets on the right side
are disjoint and A = (A\(AnB) u (AnB), B = (B\(AnB) u (AnB)
hence
P(AuB) = P(A\(AnB) + P(B\(AnB) + P(AnB) =
= [P(A\(AnB) + P(AnB)] + [P(B\(AnB) + P(AnB)] - P(AnB) =
= P(A) + P(B) - P(AnB) < P(A) + P(B)
c
2) A = (AnB)u(AnB ) and the sets on the right side are disjoint therefore
c
P(A) = P(AnB) + P(AnB ) solving we get
c
P(AnB ) = P(A) - P(AnB)
QUESTION 31.
Let X be an r.v. Is Z =1X1 a random variable ?
Solution question 31.
Let (W,G,P) be a probability space.

- - - - - - - - - - - - -L R is called a random variable (r.v.)

Definition: A real function X : W

if the inverse images under X of all Borel sets in R are events, that is,
-1

1) X (B) = { w; X(w) e B } e

for all B e

B(R)

This condition is equivalent to the following:

X is an r.v. if and only if for each x e R
2)

-1

X ((-8,x]) = { w; X(w) < x} = { X < x } e

We have to show that

-1
Z ((-8.x]) e G .
We have
-1
Z ((-8.x]) = { w;Z(w) < x} = { w;
-1
X ( [-x,x]) J-- - - - - - - - - - this set is in

1X(w)1 < x } = {w; -x < X(w) < x } =

since interval [-x,x]

is a borel set and 1) holds (because X is a random variable).

Therefore Z =

1X1 is a random variable.

QUESTION 32.
Suppose that the density function of a random variable X is

as follows:

(
22 (9 - x2)/36
f(x) = {
22
0
9

for -3 < x < 3

otherwise

Find: a) P(X < 0)

b) The distribution function F(x)
c) P( X > -0.5/ X < 2)
Solution question 32.
f(x)

2
(9-x )/36

= 0

[---------------------------------------------------- - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -L
-3

0
-3
0
2
&
3
P(X < 0) = i f(x)dx = i 0dx + i (9-x )/36dx = 1/36 9x - x /3
7
-8
-8
-3

1 0* = - - - - - -1- - - 1-38
2

x
F(x) = P( X < x) = i f(t)dt
-8
x
x
if x < -3 then F(x) = P( X < x) = i f(t)dt = i 0dt = 0
-8
-8
x
-3
x
2
-3 < x < 3 then F(x) = P( X < x) = i f(t)dt = i 0dt + i (9-t )/36dt
8
-8
-3
&
3
1x * =-(9x
3
1/36 9t - t /3
- x /3+18)/36
7
1-38
8
x
-3
3
2
if x > 3 then F(x) = P( X < x) = i f(t)dt = i 0dt + i (9-t )/36dt+ i0dt=1
-8
-8
-3
3
if

& 0
2
3
so F(x) = { (9x - x /3+18)/36
7 1
P( X > -0.5

if
if
if

x < -3
-3 < x < 3
x > 3

/ X < 2) = P(-0.5
- - - - - - - - - - - - - - - - - -<- - - - -X- - - - -<- - - - -2- - - - -)- - = 0.549
- - - - - - - - - - - - - = 0.593

P( X < 2 )
0.925
2
2
2
3
i (9 - x )/36 dx = 1/36 ( 9x - x /3)1
= 0.549
P(-0.5 < X < 2) =
-0.5
-0.5
P( X < 2) = P( X < 2) = F(2) = 0.925
QUESTION 33.
Suppose that a random variable X is of a discrete type with the following
distribution given by:
P(X = k) = ck

for k = 1,2,3,4,5

Find : a) the value of c.

and P(X e {1,2,3,4,5} ) = 1.

b) The distribution function F(x).

c) P( X < 3,5 / X > 0.5)
Solution question 33.
a) Since P(X e {1,2,3,4,5} ) = 1 then V = {1,2,3,4,5}is a set of all
values. Let us denote p

= P(X = k), k = 1,2,3,4,5.

k
an assignment of a probability if and only if

{P } constitute
k
1) each p > 0
k
2) S p = 1
k
By 2) we have S p = c + 2c + 3c + 4c + 5c = 15c = 1 so c = 1/15.
k
If c = 1/15 then a) also holds so indeed c = 1/15 gives a probability
distribution.
b) F(x) = P(X < x)
if x < 1 then F(x) = P(X < x) = P(o) = 0
if 1 < x < 2 then F(x) = P(X < x) = P(X = 1) = 1/15
if 2 < x < 3 then F(x) = P(X < x) = P(X e {1,2}) = 3/15
if 3 < x < 4 then F(x) = P(X < x) = P(X e {1,2,3}) = 6/15
if 4 < x < 5 then F(x) = P(X < x) = P(X e {1,2,3,4}) =10/15
if 5 < x then F(x) = P(X < x) = P(X e {1,2,3,4,5}) = 1
Then
& 0
if x < 1

2
2
F(x) = {
2
2
2
2
7

c) P(X < 3.5

1/15

if 1 < x < 2

3/15

if 2 < x < 3

6/15

if 3 < x < 4

10/15

if 4 < x < 5

if 5 < x then

/ X > 0.5) = - - -P(X

- - - - - - - - - -<- P(X
- - - -3.5,
- - - - - - >- - - - - 0.5)
- X- - - - - >- - - - - 0.5)
- - - - - - - - - - - - - = P(X
- - - - - - -P(X
- - - -e- - - - -{1,2,3,4,5})
-e- - - - -{1,2,3})
-------------------------- =
=

(6/15)/(1) = 6/15

QUESTION 34.
The distribution of a random vector (X,Y) is given by
X \ Y
2
[----------i------------------------------- - - - - - - - - -0.1
- - 4- - - - - - - - - - - - -0.2
- - 5- - - - - - - - - - ]
1 p 0.1
p
2 p 0.2
0.3
0.1

Find: a) P( X = 2)
b) P(Y > 1)
c) P(X < 2/ Y < 4.5)
Solution question 34.
a) P( X = 2) = P( (X,Y) e{(2,2),(2,4),(2,5)} = 0.2 + 0.3 + 0.1 = 0.6

b) P(Y > 1) = P((X,Y)e { (1,2),(1,4),(1,5),(2,2),(2,4),(2,5)}) = 1

c) P(X < 2/Y < 4.5) = P(X < 2, Y < 4.5)/ P( Y< 4.5) =
=

P((X,Y) e{(1,2),(1,4)})/P( (X,Y) e {(1,2),(1,4),(2,2),(2,4)})

0.2/0.7 = 2/7

QUESTION 35.
Let (W,G,P) be a probability space.
a) Prove the following statement:
A, B e

G,

P(AuB) = P(A) + P(B) - P(AnB).

- - -14- - - - -, P(D) = - - -12- - - - -.

b) Consider two events C and D such that P(C) =

c

Determine the value P(CnD ) for each of the following conditions

i) CnD = o

ii) C C D

- - -18- - - - -

iii) P(CnD) =

Solution question 35.

a) AuB = (A\(AnB) u (B\(AnB) u (AnB) and the sets on the right side
are disjoint and A = (A\(AnB) u (AnB), B = (B\(AnB) u (AnB)
hence
P(AuB) = P(A\(AnB) + P(B\(AnB) + P(AnB) =
= [P(A\(AnB) + P(AnB)] + [P(B\(AnB) + P(AnB)] - P(AnB) =
= P(A) + P(B) - P(AnB)
c

b) i) CnD = o 6 CnD
c

ii) CCD 6 CnD

= C so P(CnD ) = P(C) =

- - -14- - - - -

= o so P(CnD ) = P(o) = 0

iii) P((CnD ) = P(C) - P(CnD) =

- - -14- - - - - - - - -18- - - - - = - - -18- - - - -

QUESTION 36.
Let (W,G,P) be a probability space. A , B e

such that P(A) > 0,

P(B) > 0 and AnB = o. Define X(w) = -I (w) + 2I (w)

A
B
& 1 if w e A
& 1 if w e B
.
and I (w) = {
where I (w) = {
A
B
7 0 if w m A
7 0 if w m B
Verify that X is a random variable. Find the event { w; X(w) e (-2,1)}.
Solution question 36.
The function X mapping W into R is a random variable if and only
if for each x e R
a)

-1

X ( (-8,x]) = { w

X(w) = -I (w) + 2I (w)

A
B
I (w) = 0
!
0
B

1 X(w) < x } = { X < x} e

0

G.

!
1
! 0 !
0 !
0
-------------------------------------------------------- - - - - k- - - - - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - -k- - - - - - - - - - - - - - - - - -k- - - - - - - - - - - - - - - - - - - - - - - - - - - I (w) = 0
A

(A and B disjoint)

Therefore

(
22
X(w) = {
22
9

-1
0
2

if w e A
c
if w e (AuB)
if w e B

In our case
-1

X ( (-8,x]) = o if x < -1
-1

X ( (-8,x]) = A

if -1 < x < 0
c
X ( (-8,x]) = A u (AuB) if 0 < x < 2
-1
-1

X ( (-8,x]) = W

if x > 2

is a s-field so o e G and by our assumption A,B eG so

c
and (AuB) , therefore a) holds and X is a random variable.
AuB e
c
{ w; X(w) e (-2,1)} = {w: X(w) = -1 or 0} = A u (AuB)
Since

G
G

QUESTION 37.
Prove the following theorem:
Let X be a random variable on a probability space (W,G,P) of the
k
continuous type with the density function f(x). Let E1X1 < 8 for
some k > 0. Then
k
n P(1X1 >n) - - - - - L 0 as n

- - - - - L 8.

Solution question 37.

We have

8
n
k
k
8 > i 1x1 f(x)dx = lim
i 1x1 f(x)dx .
-8
n[-- - L 8 -n
It follows that
8
& -n
k
k
* = 0
lim
i 1x1 f(x)dx + i 1x1 f(x)dx
7
8
n[-----L 8 -8
n
But
-n
8
-n
8
k
k
k
k
i1x1 f(x)dx + i1x1 f(x)dx > i n f(x)dx + i n f(x)dx
-8
n
-8
n
-n
8
-n
8
k
k
k
k
>
i n f(x)dx + i n f(x)dx = n ( i f(x)dx + i f(x)dx) = n P{1X1 > n}
-8
n
-8
n
completing the proof.
QUESTION 38.
Does the following function define distribution function

(
2
F(x) = {
22
9

0
-x

1 - e

if

x < 0

if

x > 0.

If yes find: EX, P(-1 < X < 4)

Solution question 38.
A real-valued function F defined on R ( (-8,8) ) that is
a) nondecreasing, b) right continuous and
c)

lim F(x) = 0 d) lim F(x) = 1

x-----L -8
x- - -L8
is called a distribution function.

y = F(x)

Our function is continuous so b) holds.

if x < y < 0 then F(x) = 0 = F(y)
if x < 0 < y then 0 = F(x) and F(y) = 1 - e

-y

> 0

so F(x) < F(y)

if 0 < x < y then e

-x

> e

-y

so

1 - e

-x

-y
< 1 - e

so F(x) < F(y)

Therefore if x < y

+ + +6 F(x) < F(y) so F(x) is nondecreasing

function and a) holds

-x
or 0 so is > 0 therefore F(x) is nondecreasing
Or since F(x) = e
and a) holds.
lim F(x) = lim 0 = 0 so c) holds
xL -8
xL -8
-x
lim F(x) =
lim (1 - e ) = 1 so d) holds.
xL 8
xL 8
Since all conditions are satisfied therefore F(x) is
a distribution function.

i2 xf(x)dx
j

EX =

-8

(
2
f(x) = F(x) = {
22
9

0
-x

-8
b

-8

if

x < 0

if

x > 0.

i
i
i -x
EX = 2 xf(x)dx = 2 0dx + 2xe dx =
j
j
j
q== = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = e
b
22v = e-x
2
u = x 2
i
-x
-x b
= lim 2xe dx = 2
2 = lim [-xe 1 + i2je-xdx]
bL8 j
22v = -e-x
2 bL8
0
0
2
u= 0 2
2
0
z== = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = c
-b
-x b
-b
-b
= lim [-be
+ (-e 1 )] = lim [-be
-e
+ 1] = 1
bL8
bL8
0
P(-1 < X < 4) = F(4) - F(-1) = 1 - e

-4

QUESTION 39.
Suppose that the density function of a random variable X is
as follows:

(
2
f(x) = {
22
9

- - -xc- - - - -

if 0 < x < 4

otherwise

Find: a) c

b) distribution of Y = X

Solution question 39.

a) f(x) is a density function if and only if f(x) > 0 for all x
8
and

i2 f(x)dx = 1
j

-8

-8

-8

i2 f(x)dx = i2 0dx + i2-- - -x- - - - dx +

j
j
j c

8
--------------= 1 so c = 8.
c
(
2 - - -x- - - - if 0 < x < 4
8
f(x) = {
22 0
otherwise
9

i2 0dx = - - -1- - - - - [ - - -x- - -2- - - - 14] =

j
c
2
0
4

b) f(x) > 0 if x e (0,4) , so (0,4) - set of all values taken by X.

Y = g(X) = X

.g(x) = 2x > 0 for x e (0,4).

Therefore Y takes values from (g(0), g(4)) = (0,16)

q6= = =
q6= = =
2
-1
y = x
so x = ey for x e (0,4) so g (y) = ey.
Y is a continuous random variable with density function given by:

(
2
h(y) = {
2
9

-1

-1
dg (y)
f(g (y))1-- - - - - - - - - - - - - - - - -1
dy

if y e (0,16)
otherwise

-1
dg (y)
1
-----------------------------------------------= - - -q6
- - -= -= -=
dy
2ey

(
22
2
h(y) = {
22
2
9

(
22
Then h(y) = {
22
9

r6y
1
- - -8- - - - - - - - - - -6- - - 2ry

if y e (0,16)

otherwise

- - -1- - - - -

if 0 < y < 16

16
0

otherwise

QUESTION 40.

Formulate and prove the Chebychevs inequality.

Solution question 40.
2

Chebychevs inequality If EX = m, var(X) = s

< 8, then for

any e > 0
P(1X - m1 > e ) <

-----

e
Proof.
2

s = var(X) = E(X - m)

= E((X - m) I ) =
W
2
2
E((X - m) (I
+ I
)) > E((X-m) I
))
[w;1X-m1<e]
[w;1X-m1>e]
[w;1X-m1>e]
2
2
> Ee I
= e P(1X-m1 > e).
[w;1X-e1>e]
Hence
P(1X - m1 > e) <

- - -s- - -2- - - e

QUESTION 41.
Suppose that a joint density function for a random vector (X,Y)
is given by:

(
2
f(x,y) = {
2
9

c(x+y)

for 0 < x < y < 1

otherwise

Find: a) The constant c.

b) F(y)
c) P( Y < X + 0.5)
Solution question 41.

i2
j

f(x,y) - joint density function 46 a)

i2 f(x,y)dxdy = 1
j

-8 -8
b) A f(x,y) > 0.
x,y

D = { (x,y); 0 < y < 1, 0 < x < y}

i2
j

i2 f(x,y)dxdy = i2 i2f(x,y)dxdy + i2
j
j j
j

-8 -8
1
y

i (2
= 2 {
j 9
0

i2 c(x,y)dx )}2dy = c
j
0

0
so c = 2.

i2f(x,y)dxdy =
j

i2 ({2 - - -x- - -2- - - - + xy 1y )}2 dy =

j 9 2
0
0
0

3 1
i y2
2
i 3y2
y
c
= c 2 -------------------- + y dy = c 2 - - - - - - - - - - - - - dy = c - - - - - - - - - - 1 = - - - - - - - - = 1
j 2
j 2
2
2
0

y
F(y) = P( Y < y) =

i2 f (t)dt
j 2

-8

where

i2 f(x,y)dx
j

f (y) =
2

-8

y e (0,1)

+++++6 f2(y) =

= 2 (

x
-------------------+ xy 1
2

-8

-8

i2 f(x,y)dx =
j

) = 3y

y e
/ (0,1)

+++++6 f2(y) =

(
2 3y2
f (y) = {
2
22 0
9

i2 0 dx = 0
j

-8

if 0 < y < 1
otherwise

i2 f (t)dt
j 2

F(y) =

-8

y
y < 0

+++++6

F(y) =

i2 0dt = 0
j

-8

i2 0 dx + i22(x+y)dx + i20 dx
j
j
j

0 < y < 1

y > 1

-8

i2 0dt + i23t2dt = t31y = y3

j
j
0

+++++6 F(y) =

+++++6 F(y) =

(
22 0
2 3
F(y) = { y
22
22 1
9

-8

i2 0dt + + i23t2dt + i20dt = t311 = 1

j
j
j
0
if y < 0
if 0 < y < 1
if y > 1

P(Y < X + 0.5) = P((X,Y) e C) + P((X,Y) e C ) =

1

i2 i2f(x,y)dxdy + i2
j j
j

i2f(x,y)dxdy =
j
1

C = {(x,y); 0 < y < 0.5,0 < x < y } u {(x,y); 0.5 < y < 1,y - 0.5 < x < y}

i2 i22(x+y)dxdy + i2
j j
j
C

0.5 y
=

i2
j
0

i22(x+y)dxdy +
j

i20dxdy =
j
1
1

i2
j

i2
j

0.5 y-0.5

2(x+y)dxdy =

0.5

i2 (x2+xy1y)dy +
j
0

0
0.5

0
0.5

0.5
1

i2 3y2dy +
j

i2 3y2dy +
j

i2 (x2+xy1y
)dy =
j
y-0.5

0.5

i2 3y2 - (y-0.5)2 - 2(y-0.5)ydy =

j
i2 2y -0.25dy = y310.5 + (y2 - 0.25y)11
= 0.75.
j
0
0.5

0
0.5
P(Y < X +0.25) = 0.75.
QUESTION 42.

The distribution of a random vector (X,Y) is given by

X \ Y
2
[----------i------------------------------- - - - - - - - - -0.1
- - 4- - - - - - - - - - - - -0.2
- - 5- - - - - - - - - - ]
1 p 0.1
p
2 p 0.2
0.3
0.1

Find: a) P( X = 2), b) P(Y > 1), c) P(X < 2/ Y < 4.5)

Solution question 42.
a) P( X = 2) = P( (X,Y) e{(2,2),(2,4),(2,5)} = 0.2 + 0.3 + 0.1 = 0.6
b) P(Y > 1) = P((X,Y)e { (1,2),(1,4),(1,5),(2,2),(2,4),(2,5)}) = 1
c) P(X < 2/Y < 4.5) = P(X < 2, Y < 4.5)/ P( Y< 4.5) =
= P((X,Y) e{(1,2),(1,4)})/P( (X,Y) e {(1,2),(1,4),(2,2),(2,4)})
=

0.2/0.7 = 2/7

QUESTION 43.
Let X, Y be two independent identically distributed random variables with
common density function

(
2
f(t) = {
22
9

-t

if t > 0
otherwise

Find the distribution function of Z = max {X,Y}.

Solution question 43.
X and Y are identically distributed so thay have the same distribution function F

(
22
i
F(x) = P(X < x) = 2 f(t)dt = {
j
-8
22
9
x

0
if
x < 0
x -t
-t x
-x
i e dt = -e 1 = 1 - e
0
0

X and Y are independent so for all x,y

P( X < x,Y < y) = P(X < x)P(Y < y) = F (x)F (y) =F(x)F(y)
X
X
Therefore

if x > 0

F (z) = P(Z < z) = P( max{X,Y} < z) = P(X < z, Y < z) = P(X < z)P(Y < z) =
Z
(
2
0
if z < o
2
= F (z)F (z) = [F(z)] = {
X
Y
2 (1 - e-z)2 if z > 0

QUESTION 44.

A point (x,y) is to be selected from the square S containing all points

(x,y) such that 0 < x < 1 and 0 < y < 1. Suppose that each point has the
same chance to be selected. Find the probability that the selected point
will be from the area given by 1/2 < x + y < 3/2.
Solution question 44.

1
0.5

D
0.5 1

D = {(x,y);0.5 < x + y < 1.5}

x

Applying geometric probability we have

P(D) =

area of D
--------------------- - - - - - - - - - - - = - - -1- - - - --- - - - -2- - -W- -0.5
- - - -1- - - -W- -0.5
- - - - - - - -W- -0.5
- - - - - - - = - - -34- - - - area of W

QUESTION 45.
Let A and B be two independent events such that P(A) = 1/3, P(B) = 1/2.
Find P(AuB).
Solution question 45.
P(AuB) = P(A) + P(B) - P(AnB)
Since A and B are independent
P(AnB) = P(A)P(B)
Therefore
P(AuB) = P(A) + P(B) - P(A)P(B) =
=

1
1
1
1
--------------+ --------------- - - - - - - - - - - - - - - - - - =
3
2
3
2

- - -23- - - - -

QUESTION 46.
Suppose that the distribution function of a random variable X is given by:

&
2
F(x) = {
2
2
7

0
for x < -1
0.25 for -1 < x < 0
0.45 for 0 < x < 2
0.75 for 2 < x < 4
0.95 for 4 < x < 6
1
for x > 6
Find: a) The distribution of X
b) P( -1 < X < 3.5)
c) P( X > 1.5)
d) EX and Var(X)
Solution question 46.
Since F(x) has a jumps at certain points and is constant in between
therefore X is a random variable of discrete type with values equal
to the points where F has jumps and corresponding probabilities equal
to the size of jumps.
Hence distribution is given by
x 1-1 1 0 1 2 1 4 1 6
i
-------------------------k--------------------k- - - - - - - - - -k- - - - - - - - - - k- - - - - - - - - - k- - - - - - - - -- - - p 10.2510.2010.3010.2010.05
i
P(a < X < b) = F(a) - F(b)
P(-1 < X < 3.5) = P(Xe{-1,0,2}) = 0.75
P(X > 1.5) = 1 - P(X < 1.5) = 1 - F(1.5) = 1 - 0.45 = 0.55
EX = S x p = 1.45
i i
2
2
2
Var(X) = E(X - EX) = E(X ) - (EX)
2
2
E(X ) = S x p = 6.45
i i
QUESTION 47.

= 6.45 - (1.45)

= 4.39

Let (X,Y) be a random vector with a common density function given by:
& 1- - - - - +- - - - - xy
----if -1 < x < 1, -1 < y < 1
f(x,y) = {
4
7 0
otherwise
Find a) P( X < Y/ Y > 0.1 )
b) Var(X)
Solution question 47.
P( X < Y/ Y > 0.1 ) =

- - -P(
- - - - - - - X- - - - P(Y
- <- - - - - Y,
- - - - >- - - -Y- 0.1)
- - - ->- - - - -0.1
- - - - - - - - - -)- - - - -

C
y = x

y = 1

B
y = 0.1

1 +xy
1 +xy
P(X < Y, Y > 0.1) = Ii i - - - - - - - - - - - - - - - - - -dxdy + i i - - - - - - - - - - - - - - - - - -dxdy + i i0dxdy =
4
4
A
B
C
0.1 1
1 1
i i2 - - -1- - - - -+xy
= 2
- - - - - - - - - -dydx + i2j i2j - - -1- - - - -+xy
- - - - - - - - - -dydx =
j j
4
4
-1 0.1
0.1 x
0.1
1
1
1
i
2
i2 {y + xy2/211}dx] =
= ---------------[ 2 {y + xy /21
}dx +
4
j
j
x
0.1
-1
0.1
0.1
1
1
i
i
3
= --------------- [ 2 0.9 + 0.99 x/2 dx + 2 1 - x/2 - x /2dx] =
4
j
j
-1
0.1
0.1
1
1
2
2
4
) + ( x - x /4 - x /81
)]=
= ---------------[(0.9 x + 0.99 x /41
4
-1
0.1
= 0.3181

1
1 + xy
P(Y > 0.1 ) = Ii i- - - - - - - - - - - - - - - - - - - - dxdy + i i0dxdy =
4
D
C
1

i2 { y + xy2/21 1 }dx =
j
0.1

1
--------------4

- - -14- - - - -

-1

-1

0.3181
- - - - 0.45
- - - - - - - - - - - - - - = 0.7068
2
2
2
Var(x) = E(X - EX) = EX - (EX)
8

P( X < Y/ Y > 0.1 ) =

EX =

i2 xf(x)dx
j

-8
f(x) =

i2 f(x,y)dy
j

-8

-1

i2
j

- - -1- - - - -+- 4- - - -xy

- - - - - - - dydx =

0.1

2ij {0.9 + 0.99 x/2 }dx =

1
2
(0.9 x + 0.99 x /41
) = 0.45
-1

1
--------------4

i2
j

8
if -1 < x < 1

then f(x) =

i2 f(x,y)dy =
j

-8
-1
=

i2 0dy +
j

1
i2 - - -1- - - - -+- - - - -xy
i
1
2
dy + 20dy = - - - - - - - -( y + xy /21 ) =
j
4
j
4
-1

-8
-1
1
1
--------------( 1 + x/2 +1 -x/2) = 0.5
4
8

if x < -1 or x > 1 then f(x) =

i2 f(x,y)dy =
j

-8

i2 0dy = 0
j

-8

Hence

(
2
f(x) = {
2
9

EX

if -1 < x < 1
otherwise

-8
8

-1

i2 xf(x)dx =
j

EX =

0.5

i2 x2f(x)dx =
j

i2 0.5xdx = 0.5 (x2/21 1) = 0

j
-1
1

i2 0.5x2dx = 0.5 ( x3/31 1)= 0.33

j
-1

-8
-1
Hence Var(X) = 0.33 - 0 = 0.33

QUESTION 48.
Suppose that the density function of a random variable X is
as follows:

(
22 (9 - x2)/36
f(x) = {
22
0
9

for -3 < x < 3

otherwise

Find: a) P(X < 0)

b) The distribution function F(x)
c) P( X > -0.5/ X < 2)
Solution question 48.
f(x)

2
(9-x )/36

= 0

[---------------------------------------------------- - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - k- - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -L
-3

&
3
0
-3
0
2
P(X < 0) = i f(x)dx = i 0dx + i (9-x )/36dx = 1/36 9x - x /3
7
-8
-8
-3

1 0* = - - - - - -1- - - 1-38
2

x
F(x) = P( X < x) = i f(t)dt
-8
x
x
if x < -3 then F(x) = P( X < x) = i f(t)dt = i 0dt = 0
-8
-8
x
-3
x
2
-3 < x < 3 then F(x) = P( X < x) = i f(t)dt = i 0dt + i (9-t )/36dt
8
-8
-3
&
3
1x * =-(9x
3
1/36 9t - t /3
- x /3+18)/36
7
1-38
8
x
-3
3
2
if x > 3 then F(x) = P( X < x) = i f(t)dt = i 0dt + i (9-t )/36dt+ i0dt=1
-8
-8
-3
3
if

& 0
2
3
so F(x) = { (9x - x /3+18)/36
7 1
P( X > -0.5

if
if
if

x < -3
-3 < x < 3
x > 3

/ X < 2) = P(-0.5
- - - - - - - - - - - - - - - - - -<- - - - -X- - - - -<- - - - -2- - - - -)- - = 0.549
- - - - - - - - - - - - - = 0.593

P( X < 2 )
0.925
2
2
2
3
P(-0.5 < X < 2) =
i (9 - x )/36 dx = 1/36 ( 9x - x /3)1
= 0.549
-0.5
-0.5
P( X < 2) = P( X < 2) = F(2) = 0.925
QUESTION 49.
Let X be a random variable. Is Z =1X1 a random variable ?
Solution question 49.

Let (W,G,P) be a probability space.

- - - - - - - - - - - - -L R is called a random variable (r.v.)

Definition: A real function X : W

if the inverse images under X of all Borel sets in R are events, that is,
-1

1) X (B) = { w; X(w) e B } e

for all B e

B(R)

This condition is equivalent to the following:

X is an r.v. if and only if for each x e R
2)

-1

X ((-8,x]) = { w; X(w) < x} = { X < x } e

We have to show that

-1
Z ((-8.x]) e G .
We have
-1
Z ((-8.x]) = { w;Z(w) < x} = { w;
For x > 0 we have
-1
Z ((-8.x]) = { w;Z(w) < x} = { w;
-1
X ( [-x,x]) J-- - - - - - - - - - this set is in

1X(w)1 < x } = o if x < 0

1X(w)1 < x } = {w; -x < X(w) < x } =

since interval [-x,x]

is a borel set and 1) holds (because X is a random variable).

Therefore Z =

1X1 is a random variable.

QUESTION 50.
Let X, Y be two independent identically distributed random variables with
common density function

(
2
f(t) = {
22
9

-t

if t > 0
otherwise

Find the distribution function of Z = max {X,Y}.

Solution question 50.
X and Y are identically distributed so they have the same distribution function F

(
22
i
F(x) = P(X < x) = 2 f(t)dt = {
j
-8
22
9
x

0
if
x < 0
x -t
-t x
-x
i e dt = -e 1 = 1 - e
0
0

if x > 0

X and Y are independent so for all x,y

P( X < x,Y < y) = P(X < x)P(Y < y) = F (x)F (y) =F(x)F(y)
X
X
Therefore
F (z) = P(Z < z) = P( max{X,Y} < z) = P(X < z, Y < z) = P(X < z)P(Y < z) =
Z
(
0
if z < o
2
2
= F (z)F (z) = [F(z)] = {
X
Y
2 (1 - e-z)2 if z > 0

QUESTION 60.
Prove the following theorem:
Let X be a random variable on a probability space (W,G,P) of the
k
continuous type with the density function f(x). Let E1X1 < 8 for
some k > 0. Then
k
n P(1X1 >n) - - - - - L 0 as n

- - - - - L 8.

Solution question 60.

We have

8
n
k
k
8 > i 1x1 f(x)dx = lim
i 1x1 f(x)dx .
-8
n[-- - L 8 -n
It follows that
8
& -n
k
k
*
lim
i 1x1 f(x)dx + i 1x1 f(x)dx
7
8
n[-----L 8 -8
n

Let us notice that for x e (-8,-n) or x e (n,8)

1x1k > nk
Using it we get
-n
8
-n
8
k
k
k
k
i1x1 f(x)dx + i1x1 f(x)dx > i n f(x)dx + i n f(x)dx
-8
n
-8
n
-n
8
-n
8
k
k
k
k
>
i n f(x)dx + i n f(x)dx = n ( i f(x)dx + i f(x)dx) = n P{1X1 > n}
-8
n
-8
n
completing the proof.

QUESTION 61.
Let (X,Y) be the random vector with the joint density function given by:
f(x,y)=

& 1
{
7 0

for 0 < x < 1, 0 < y < 1

otherwise
Find the distribution of U(X,Y) = ( X + Y, X - Y).
Solution question 61.
Let U(X,Y) = ( X + Y, X - Y) ( u (x,y) = x + y, u (x,y) = x - y)
1
2
& u1 = x + y
u + u
u - u
1
2
1
2
we have x(u ,u ) = - - - - - - - - - - - - - - - - - - - - - - -, y(u ,u )= - - - - - - - - - - - - - - - - - - - - - - - .
{
Solving
1
2
2
1
2
2
7 u2 = x - y
Then the Jacobian of the inverse function is given by ( h = x(u ,u ),
1
1 2
h = y(u ,u ))
2
1 2

q
e
22dh dh 22
q
e
22------ - -1- - - - - - - 1- - - 22
22 1
1 2
2du1 du2 2
2- - -2- - - - - - - -2- - - - -22
J = det2
2 = det 2
2 = - - - -12- - - - d
h
d
h
1
1
222-------- -2- - - - - - - 2- - - 222
222 - - -2- - - - - -- - -2- - - - -222
22du1 du2 22
z
c
z
c
and the joint density of U = (U ,U ) is given by
1 2
f (u ,u ) = 1J1Wf (h (u ,u ),h (u ,u )) =
U 1 2
X 1 1 2 2 1 2
& 1/2
= {
7 0

u + u

if 0 <

u - u

- - - - - -1- -2- - - - - - - 2- - - - - < 1, 0 < - - - - - 1- - -2- - - - - - - 2- - - - - < 1

otherwise

QUESTION 62.
Let X be a random variable with the moment generating function
-n/2
given by M (t) = (1 - 2t)
X
3Find variance of X.
Solution question 62.
2
2
2
Var(X) = E(X - EX) = EX - (EX)
-n/2
n
-n/2 -1
) = (-- - -(1-2t)
(-2))1 = n
EX = (M (t)) = ((1 2t)
X
10
10
2
0
2
-n/2 -1
EX = (M (t))"
)
X
10 = (n(1-2t)
10 =
n
-n/2 - 2
2
= n(------ - 1)(1-2t)
(-2)
2
10 = n + 2n
2
2
Var(X) = n + 2n - n = 2n
QUESTION 63.
Let (X,Y) be a random vector with joint density given by

(
22
2
3x
2xy + - - - - - - - - - - - - - - f(x,y) = {
2
22
2
0
9

if 0 < x < 1, 0 < y < 1

otherwise

Find the line of regression of Y on X

Solution question 63.
cov(X,Y)
y - EY = - - - - - - - - - - - - - - - - - - - - (x - EX)
Var(X)

1j------ - - - - - - - - - - - - - - - - - - - o

1
1
2 1
1
12xy+3x
-------- 1
D = {(x,y);0<x<1,0<y<1}
2
1
1
---------------------------------------------k------- - - - - - - - - - - - - - - - - - - -k- - - - - - - - - - - - - - - - - -- - - - - L

i2 f(x,y)dy = 0 if x
j

f(x) =

-8
8

i2 f(x,y)dy =
j

f(x) =

-8

= x +

2
3x
- - -2- - - - -

/ (0,1)
e

2
2
i2 0dy + i2 2xy+3x
i
2
3yx 1
dy + 20dy = xy + - - - - - - - - - - 1 =
j
j
2
j
2
0
-8
0
1

if x e (0,1)
0

2
i2 xf(x)dx = i2 0dx + i2x(x + 3x
- - )dx + i2j0dx =
j
j
j
2

EX =

-8
3
4
= x /3 + 3x /8

-8
0
1
1
17
1 = - - -24
- - - - - - - = 0.7083
0
8
0
1
8
2
2
i
2
i
i
2
3x
i
EX = 2 x f(x)dx = 2 0dx + 2x (x + - - - - - - - - )dx + 20dx =
j
j
j
2
j
-8
-8
0
1
4
5
1
11
= x /4 + 3x /10 1 = - - - - - - - - - 20
0

Var(X) = EX

- (EX)

- - -11
- - - - - - - - (- - -17
-- - - - - - -)2 = 0.048
20
24

8
f(y) =

i2 f(x,y)dx = 0 if y
j

-8
8
f(y) =

i2 f(x,y)dx =
j

-8
2
3
= x y + x /2

i2
j

EY =

-8
cov(X,Y)
8
EXY =

i2
j

-8
1
=

/ (0,1)
e
1

2
i2 0dx + i2 2xy+3x
- - -dx + i2j0dx =
j
j
2

-8
0
1
1
1 = y + 1/2 if y e (0,1)
0
0
1
8
i
i
2
y
i
3
2
1
7
yf(y)dy = 2 0dy + 2y + - - - dy + 20dy = y /3 + y /4 1 = - - - - - - - - - - = 0.5833
j
12
j
j
2
0
0
1
-8
= E(X - EX)(Y - EY) = EXY - EXEY
8
11
1
2
4
i2 xyf(x,y)dxdy = ii
3x
i 2 x3
3yx
1
22
xy(2xy+- - - - - - - -)dxdy = 2(2y - - - - - - - - - - + - - - - - - - - - - 1 )dy =
j
3
8
j
jj
2
0
-8
00
0

i2 2y2/3 + 3y/8 dy = 2y3/9 - 3y2/16 11 = 0.4097

j
0

0
cov(X,Y) = E(X - EX)(Y - EY) = EXY - EXEY = 0.4097 - 0.7083Q0.5833 = -0.0034

y - EY =

cov(X,Y)
- - -Var(X)
- - - - - - - - - - - - - - - - - (x - E)

y - 0.5833 = -0.0034/0.048(x - 0.7083)

y = -0.0708x +0.6334
QUESTION 64.
Let X ,X ,...,X ,... be i.i.d. random variable with joint
1 2
n
density function given by

(
22 1
2- - -4- - - - f(x) = {
22
2 0
9

if 0 < x < 4
otherwise

P
= max {X ,X ,...,X ). Prove that M - - - - - - - - - - - - - - - L 4 as n
n
1 2
n
n
Solution question 64.
Let M

- - - - - - - - - - L 8.

We have to show that

A lim P(1M - 41 > e) = 0

n
e>0 nL8
Let e > 0 ( e < 4) be fixed
P(1M - 41 > e) = 1 - P(1M - 41 < e) = 1 - P(4-e < M < 4 + e) =
n
n
n
1 - P( 4 - e < M ) { since values taken by each X are in (0,4)
n
i
so values taken by M ) = P( M < 4 - e) =
n
n
P(max{X ,X ,...,X } < 4 - e) = P(X < 4-e,X < 4-e,...,X < 4 - e)
1 2
n
1
2
n
= P(X < 4-e)P(X < 4-e)...,P(X < 4 - e) ={since identical dist.)
1
2
n
4-e
0
4-e
n
i
n
i
i 1
n
= P(X < 4-e) = ( 2 f(x)dx) = ( 2 0dx + 2 - - - - - - - -dx) =
1
j
j
j 4
-8
-8
0
n
4 - e
4 - e
= (-------------------------) - - - - - - - - - - - - - - - L 0 as n - - - - - - - - - - L 8 since 1-- - - - - - - - - - - - 1 < 1.
4
4
P
Hence M ---------------- - - - - - - -L 4 as n - - - - - - - - - - L 8.
n
QUESTION 65.
Let X be a random variable with the density function f(x) given by
f(x) =

(
2
{
2
9

1/2
0

for -1 < x < 1

otherwise

Find the distribution of Z = X

Solution question 65.

Our random variables take values from (-1,1). Z has the values [0,1)
Our function can be restricted to two 1:1 functions

Let Y = X

= (-1,0), D = [0,1)
1
2
-1
-1
6
-1
-1
6
g (y) = g
1
1D1(y) = - ry, g2 (y) = g1D2(y) = ry , y e [0,1) (C = [0,1)).
& f(g -1(y))W1-- - d- - - - - g -1(y)1 + f(g -1(y))W1-- - d- - - - - g -1(y)1 if y e [0,1)
2
1
dy 1
2
dy 2
h(y) = {
7
0
otherwise

( g(x) = x ). D

& 1
22 ------ - - - 2
{
2
7

1-- - - -1-q6
- - -= -= -=1 + - - -12- - - - - 1-- - 1-q6
- -=-=-=1
-2ey
2ey
0

1
&------------------22q=====
ey= = =
= {
7 0

if y e (0,1]

otherwise

if y e (0,1]
otherwise

QUESTION 66.
Let X be a random variable with the moment generating function
(
)-1
2
t 2
given by M (t) = 21 - - - - - - - - -2
t < l.
X
l 2
2

Find variance of X.

Solution question 66.

2
2
2
Var(X) = E(X - EX) = EX - (EX)

(
22
EX = (M (t)) = 2
X
10 2
2
9

( (
(
)-1)2
22 2
2
t 2 2
21 - - - -l- - - - -2 2
= 2 21
2
2 22
22 2
9
0 010
9 9
( (
)
)-2
22 2
2
2
t 2
1 2
EX = (M (t))"
X
10 = 22 221 - - - -l- - - - -22 - - -l- - - - - 22 =
2 9
2
0
9
010
(
)2
2 1 2
2
1
Var(X) = ------ - - - - - - - - - - 2 - - - - - - - - 2 = - - - - - - - - - - - - 2
l 2
2
2
l
l
9
0

)
)-2
2
t 2
1 2
1
- - - - - - - - -2 - - - - - - - - 2 = - - - - - - - l 2
l 2
l
2
0
010
( (
)-3
22 2
t 2
2 221 - - - -l- - - - -2 - - - - - 1- - -2- - - - 22 2
2
l
0
9 9

QUESTION 67.

Let X ,X ,...,X ,... be i.i.d. random variable with joint

1 2
n
density function given by

)
22
2 = - - - - - 2- - -2- - - - 22
l
010

(
22 1
2- - -4- - - - f(x) = {
22
2 0
9

if 0 < x < 4
otherwise

P
= max {X ,X ,...,X ). Prove that M - - - - - - - - - - - - - - - L 4 as n
n
1 2
n
n
Solution question 67.
Let M

- - - - - - - - - - L 8.

We have to show that

A lim P(1M - 41 > e) = 0

n
e>0 nL8
Let e > 0 ( e < 4) be fixed
P(1M - 41 > e) = 1 - P(1M - 41 < e) = 1 - P(4-e < M < 4 + e) =
n
n
n
1 - P( 4 - e < M ) { since values taken by each X are in (0,4)
n
i
so values taken by M ) = P( M < 4 - e) =
n
n
P(max{X ,X ,...,X } < 4 - e) = P(X < 4-e,X < 4-e,...,X < 4 - e)
1 2
n
1
2
n
= P(X < 4-e)P(X < 4-e)...,P(X < 4 - e) ={since identical dist.)
1
2
n
4-e
0
4-e
n
i
n
i
i 1
n
= P(X < 4-e) = ( 2 f(x)dx) = ( 2 0dx + 2 - - - - - - - -dx) =
1
j
j
j 4
-8
-8
0
n
4 - e
4 - e
= (-------------------------) - - - - - - - - - - - - - - - L 0 as n - - - - - - - - - - L 8 since 1-- - - - - - - - - - - - 1 < 1.
4
4
QUESTION 68.
Prove the following theorem:
Let { X

} be a sequence of random variables. Then

P
-1
P
max 1X 1-- - - - - - - L 0 + + + + + 6 1n S 1-- - - - - - - L 0
n
1<k<n k
n

where S

= X + ...+ X
n
1
n
Solution question 68.
P
max 1X 1. Since Z - - - - - - - -L 0 then we have
n
1<k<n k
A P(1Z 1 > e) - - - - - - - - - - L 0 as n - - - - - - - -L 8
n
e>0
We have to show that
-1
A P(1n S 1 > e) - - - - - - - -L 0 as n - - - - - L 8
n
e>0
-1
Let us notice that if each 1X 1 < d then 1n S 1 < d
i
n
and als that P(AnB) < P(A)
Let Z

Let e,d such that 0 < d < e < 8 be fixed.

-1
-1
P(1n S 1 > e) = 1 - P(1n S 1 < e) =
n
n
-1
-1
= 1 - P(1n S 1 < e, max 1X 1 < d ) - P(1n S 1 < e, max 1X 1 < d )
n
k
n
1<k<n
1<k<n k

Let us notice
-1
P(1n S 1 < e, max 1X 1 < d ) = P( max 1X 1 < d ) - - - - - L 1 as n - - - - - L 8
n
1<k<n k
1<k<n k
and
-1
0 < P(1n S 1 < e, max 1X 1 > d ) < P( max 1X 1 > d ) - - - - - L 0 as n - - - - - L 8.
n
1<k<n k
1<k<n k
Therefore we get
-1
P(1n S 1 > e) - - - - - - - -L 0 as n - - - - - L 8 which end the proof.
n
QUESTION 69.
Let X , X , X , ... be a sequence of random variables defined on the
1
2
3
probability space (W,G,P) and F (x), F (x), F (x), ... be a sequence
1
2
3
of corresponding distribution functions.
D
P
Prove that X - - - - - - - - - - - - - - - - - -L a + + + + + 6 X - - - - - - - - - - - - - - - - - -L a, as n - - - - - - - - - - - - - - - - - -L 8, where
n
n
a is a constant.
Solution question 69.
The limit random variable X is a constant with the distribution function
F(x) = 0 if x < a and F(x) = 1 if x > a. F(x) is continuous for all
x $ a. By the definition of convergence in distribution we have
lim F (x) = F(x) for all x $ a.
n[L8 n
P
In order to prove the X - - - - - - - - - - - - - - - - - -L a we have to show that
n
A
lim P(1X - X1 > e) = 0
n[L8
n
e > 0
Let e > 0 be fixed. Let d > 0 be fixed such that 0 < d < e
P(1X - X1 > e) = 1 - P(1X - a1 < e) = 1 - P( -e < X - a < e)
n
n
n
= 1 - P( a - e < X < a + e) < 1 - P( a - e < X < a + e - d) =
n
= 1 - F (a + e - d) - F (a - e) [-- - - - - - - - - - - - - - -L 1 - 1 + 0 as n [-- - - - - - - - - -L 8 which
n
n
ends the proof.
QUESTION 70.
Let X be a r.v. with density
& 0
if x < 0
f(x) = {
if 0 < x < 1
2 1/2 2
7 1/(2x )
if 1 < x
Find the density of Y = U(X) = 1/X
Solution question 70.

U(x) is 1:1 for x > 0 and all values taken by X are greater than 0
(since f(x) > 0 for x > 0).
(0,1] is transferred into [1,8) by U and (1,8) is transferred into (0,1)
by U.
u = 1/x so x = 1/u therefore U

-1
(u) = 1/u

and (U

-1
(u)) =

- - - - -1- - -

u
In this case

&
2
h(u) = {
2
7

-1
-1
(u))1(U (u))1

f(U
0

if 0 < u < 8

otherwise

& 1/2

-1
(u) = f(1/u) = {{

f(U

Finally we get
& 0
f(u) = {
1/2

2
7 1/(2u2)

if u > 1
2
2
1/(2(1/u) ) = u /2

for 0 < u < 1

if u < 0
if 0 < u < 1
if 1 < u

QUESTION 71.
Suppose that the joint density function for a random vector (X,Y) is
given by:
& 2(x+y)
for 0 < x < y < 1
f(x,y) = {
0
otherwise

Find the distribution of U(X,Y) = ( X + Y, X - Y).

Solution question 71.
f(x,y) =

&
{
7

2(x+y)
0

for 0 < x < y < 1

otherwise

U(X,Y) = ( X + Y, X - Y) ( u (x,y) = x + y, u (x,y) = x - y)

1
2
(
22 u1 = x + y
u + u
u - u
1
2
1
2
solving {
we have x = - - - - - - - - - - - - - - - - - - - - - - -, y = - - - - - - - - - - - - - - - - - - - - - - 2
2
22 u = x - y
2 2

Then the Jacobian of the inverse function is given by ( h

q
e
22dh dh 22
q
e
22------ - -1- - - - - - - 1- - - 22
22 1
1 2
2du1 du2 2
2- - -2- - - - - - - -2- - - - -22
J = det2
2 = det 2
2 = - - - -12- - - - dh
dh
1
1
222-------- -2- - - - - - - 2- - - 222
222 - - -2- - - - - -- - -2- - - - -222
22du1 du2 22
z
c
z
c
and the joint density of U = (U ,U ) is given by
1 2
f (u ,u ) = 1J1Wf (h (u ,u ),h (u ,u )) =
U 1 2
X 1 1 2 2 1 2
=

0 <

&
{
7

x(u ,u ), h = y(u ,u ))
1 2
2
1 2

(u ,u ) e C
1 2

for

otherwise

u +u
1 2

u -u
------------------------- < - - -1- - - - - - - 2- - -

< 1
2
2
C = { (u ,u ): 0 < u + u < u - u < 2}
1 2
1
2
1
2
C = { (u ,u ): 0 < u < 1, -u < u < 0}u{(u ,u ): 1< u < 2,u -2 < u < 0}
1 2
1
1
2
1 2
1
1
2
u

= 0
2

C
u

2 = -u1

= u

u
1
1

- 2

QUESTION 72.
Let X be a random variable with the moment generating function
-n/2
given by M (t) = (1 - 2t)
.Find variance of X.
X
Solution question 72.
2
2
2
Var(X) = E(X - EX) = EX - (EX)

-n/2
n
-n/2 -1
EX = (M (t)) = ((1 2t)
) = (-- - -(1-2t)
(-2))1 = n
X
10
10
2
0
2
-n/2 -1
EX = (M (t))"
)
X
10 = (n(1-2t)
10 =
n n
-n/2 - 2
2
= ------(------ - 1)(1-2t)
(-2)
2 2
10 = n + 2n
2
2
Var(X) = n + 2n - n = 2n
QUESTION 73.
Let X be a random variable with the density function f(x) given by
f(x) =

(
2
{
2
9

1/2

for -1 < x < 1

otherwise

Find the distribution of Y = X

Solution question 73.

Our random variables take values from (-1,1). Y = X

in [0,1), Y = X

has the values

( g(x) = x )

Our function g(x) can be restricted to two 1:1 functions

by using the partition of R into D

= (-1,0), D = [0,1)
1
2
-1
-1
6
-1
-1
6
g (y) = g
(y) = - ry, g (y) = g
(y) = ry , y e [0,1) (C = [0,1)).
1
1D1
2
1D2
& f(g -1(y))W1-- - d- - - - - g -1(y)1 + f(g -1(y))W1-- - d- - - - - g -1(y)1 if y e [0,1)
2
1
dy 1
2
dy 2
h(y) = {
7
0
otherwise

& 1
22 ------ - - - 2
{
2
7

1
&------------------22q=====
ey= = =
= {
7 0

1-- - - -1-q6
- - -= -= -=1 + - - -12- - - - - 1-- - 1-q6
- -=-=-=1
-2ey
2ey
0

if y e (0,1]

otherwise

if y e (0,1]
otherwise

QUESTION 74.
Let X be a random variable with the moment generating function
-n/2
given by M (t) = (1 - 2t)
X
Find variance of X.
Solution question 74.
2
2
2
Var(X) = E(X - EX) = EX - (EX)
-n/2
n
-n/2 -1
) = (-- - -(1-2t)
(-2))1 = n
EX = (M (t)) = ((1 2t)
X
10
10
2
0
2
-n/2 -1
EX = (M (t))"
)
X
10 = (n(1-2t)
10 =

n
-n/2 - 2
2
= n(------ - 1)(1-2t)
(-2)
2
10 = n + 2n
2
2
Var(X) = n + 2n - n = 2n
QUESTION 75.
Let (X,Y) be the random vector with the joint density function given by:
f(x,y)=

& 1
{
7 0

for 0 < x < 1, 0 < y < 1

otherwise
Find the distribution of U(X,Y) = ( X + Y, X - Y).
Solution question 75.
Let U(X,Y) = ( X + Y, X - Y) ( u (x,y) = x + y, u (x,y) = x - y)
1
2
& u1 = x + y
u + u
u - u
1
2
1
2
Solving
{
we have x(u ,u ) = - - - - - - - - - - - - - - - - - - - - - - -, y(u ,u )= - - - - - - - - - - - - - - - - - - - - - - - .
1
2
2
1
2
2
7 u2 = x - y
Then the Jacobian of the inverse function is given by ( h = x(u ,u ),
1
1 2
h = y(u ,u ))
2
1 2

q
e
22dh dh 22
q
e
22------ - -1- - - - - - - 1- - - 22
22 1
1 2
2du1 du2 2
2- - -2- - - - - - - -2- - - - -22
J = det2
2 = det 2
2 = - - - -12- - - - dh
dh
1
1
222-------- -2- - - - - - - 2- - - 222
222 - - -2- - - - - -- - -2- - - - -222
22du1 du2 22
z
c
z
c
and the joint density of U = (U ,U ) is given by
1 2
f (u ,u ) = 1J1Wf (h (u ,u ),h (u ,u )) =
U 1 2
X 1 1 2 2 1 2
& 1/2
= {
7 0

u + u

if 0 <

u - u

- - - - - -1- -2- - - - - - - 2- - - - - < 1, 0 < - - - - - 1- - -2- - - - - - - 2- - - - - < 1

otherwise

QUESTION 76.
Let {X } be a sequence of independent identically distributed random
n
n
s X , n = 1,2,3,...
2
variables with EX = 0 and EX = 1. Let S =
t k
1
n
k=1
S
n
P
Prove that - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - L 0 as n - - - - - - - - - - - - - - - - - - - - L 8.
n
Solution question 76.
We have to show that

A
limP(1S /n - 01 > e) = 0
n
e>0 n-----L8
Let e > 0 be fixed but arbitrary. ES

= E(X +X +...+X ) = 0
1 2
n

Var(X ) = 1 so Var(S ) = Var(X +X +...+X ) = Var(X )+Var(X )+...+Var(X ) = n

i
n
1 2
n
1
2
n
We have to evaluate P(1S - 01 > ne) = P(1S - ES 1 > ne)
n
n
n
If in the Chebychevs inequality
P(1Z - m1 > e) <
we substitute S

- - -s- - -2- - - e

in place of Z we will get

P(1S - 01 > ne) = P(1S - ES 1 > ne) <

n
n
n
as n

Var(S )
- - - - - - - - - - - - -2n- - - - - = - - -2- n- - - -2- - = - - -1- - 2- - ne
(ne)
n e

---------------L 8 which completes the proof.

QUESTION 77.
Let (X,Y) be a random vector with distribution given by
Y \ X1 0
1 1

------------------------------------------------------1
- - - - - 1- - - - - - - - - - - - - - - - - 1 1
1 0.25 11 0.25
2 1 0
1 0.5

Find the line of regression of Y on X.

Solution question 77.
cov(X,Y)
y - EY = ------------ - - - - - - - - - - - - - - - - - - -W(x - EX)
var(X)
Y \ X1 0
1 1
p
qj
1
1

------------------------------------------------------- - - - - 1- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 1
1 1 0.25 1 0.25
0.5
2 1 0
1 0.5
0.5
p

0.25

iq

0.75

Cov(X,Y) = E(X - EX)(Y - EY) = EXY - EXEY

s x y p = 0*1*0.25 + 0*2*0 + 1*1*0.25 + 1*2*0.5 =

t i j ij

EXY =

i,j

= 0.25 + 1 = 1.25
EX =

s x p = 0*0.25 + 1*0.75 = 0.75

t i iq
i

EY =

s y p = 1*0.5 + 2*0.5 = 1.5

t j jq

j
Cov(X,y) = 1.25 - 0.75*1.5 = 0.125
2
2
2
Var(X) = E(X - EX) = EX - (EX)
2
EX =

sx2p = 02*0.25 + 12*0.75 = 0.75

t i iq
i

-----L 0

Var(X) = 0.75 - 0.75

y - 1.5 =

= 0.75 - 0.5625 = 0.1875

0.125
-----0.1875
- - - - - - - - - - - - -(x - 0.75)

y - 1.5 = 0.66(x - 0.75)