BASIC PROBABILITY : HOMEWORK 2

Exercise 1: where does the Poisson distribution come from? (corrected) Fix > 0. We denote by Xn has the Binomial distribution with parameters n and /n. Then prove that for any k N we have P [Xn = k ] P [Y = k ],
n

where Y has a Poisson distribution of parameter .

Exercise 2 (corrected) Prove Theorem 2.2.

Exercise 3 (corrected) Let X and Y be independent Poisson variables with parameters and . Show that (1) X + Y is Poisson with parameter + , (2) the conditional distribution of X , given that X + Y = n, is binomial, and nd the parameters.

Exercise 4 (homework) Suppose we have n independent random variables X1 , . . . , Xn with common distribution function F . Find the distribution function of maxi[1,n] Xi .

Exercise 5 (homework) Show that if X takes only non-negative integer values, we have

E [X ] =
n=0

P [X > n].

An urn contains b blue and r red balls. Balls are removed at random until the rst blue ball is drawn. Show that the expected number drawn is (b + r + 1)/(b + 1).
1

Hint :

r n+b n=0 b

r+b+1 b+1

Exercise 6 (homework) Let X have a distribution function if x < 0 0 1 F (x) = 2 x if 0 x 2 1 if x > 2 and let Y = X 2 . Find (1) P ( 1 X 3 ), 2 2 (2) P (1 X < 2), (3) P (Y X ), (4) P (X 2Y ), ), (5) P (X + Y 3 4 (6) the distribution function of Z = X

Exercise 7: Chebyshevs inequality (homework) Let X be a random variable taking only non-negative values. Then show that for any a > 0, we have 1 P [X a] E [X ]. a Deduce that 1 P [|X E [X ]| a] 2 var(X ), a and explain why var(X ) is often referred to as the standard deviation.

Exercise 1 (solution) We have n k (1 )nk k n n n(n 1) . . . (n k + 1) k (1 )nk = k n k! n k e , k! nk ) e . since for any k > 0, we have that (1 n P [Xn = k ] = Exercise 2 (solution) The condition fX,Y (x, y ) = fX (x)fy (y ) for all x, y can be rewritten P (X = x and Y = y ) = P (X = x)P (Y = y ) for all x, y which is the very denition of X and Y being independent. Now for the second part of the theorem. Suppose that fX,Y (x, y ) = g (x)h(y ) for all x, y , we have f X ( x) =
y

fX,Y (x, y ) = f (x)

y

h(y ), g (x).
y

fY (y ) =
y

fX,Y (x, y ) = h(y )

Now 1=
x

fX (x) =
x

g ( x)
y

h(y ),

so that fX (x)fY (y ) = g (x)h(y )

x

g (x)
y

h(y ) = g (x)h(y ) = fX,Y (x, y ).

Exercise 3 (solution) Let us notice that for X and Y non-negative independent random variables then
n

P [X + Y = n] =
k=0

P [X = n k ]P [Y = k ],

so in our specic case of Poisson random variables

n

P [X + Y = n] =
k=0

e nk e k (n k )! k !

e n!

k=0

n nk k e ( + )n = . k n!

For the second part of the question P [X = k, X + Y = n] P [X = k | X + Y = n] = P [X + Y = n] P [X = k ]P [Y = n k ] n k nk = = . P [X + Y = n] k ( + )n Hence the conditional distribution is binomial with parameters n and /( + mu).