Middle East Technical University Department of Electrical and Electronics Engineering EE230: Probability and Random Variables Homework

4 PDF, CDF and Normal random variable Due: April 16, 2012 1. Let X have the following PDF fX (x) =
2

e|x| , where is a positive scalar.

(a) Verify that fX (x) satises the normalization condition. (b) Find the mean and variance of X. (c) Let Y = g(X) where 1, g(x) = 0, 1, if x < , if x , if x > .

i. What kind of random variable is Y ? Why ? ii. Find the the PMF of Y if it is a discrete random variable. iii. Determine E[X|Y ]. 2. Consider the continuous random variable X with the following Probability Density Function (PDF): 1 < x 0 ax + a, a, 0<x1 fX (x) = 0, otherwise. (a) Plot the PDF of X and determine a. (b) Find the mean and variance of X. (c) Determine and plot the Cumulative Distribution Function (CDF) of X. (d) Determine the constant c so that P (X c) = P (X > c). 3. Calamity Jane goes to the bank to make a withdrawal, and is equally likely to nd 0 or 1 customers ahead of her. The service time of the customer ahead, if present, is exponentially distributed with parameter . Let Janes waiting time be denoted with the random variable X. What type of random variable is X ? Determine the CDF of X. 4. Alvin throws a dart at a circular target of radius r and is equally likely to hit any point in the target. Let X be the distance of Alvins hit from the center. (a) Find the PDF, mean and variance of X ? (Hint : Use the CDF of X) (b) The target has an inner circle of radius t. If X t, Alvin gets a score of S = score is S = 0. Find the CDF of S. Is S a continous random variable ? 5. Let X be a normal random variable with mean and variance 2 . (a) Let Y =
Xa b . 1 X.

Otherwise his

Determine the mean, variance and PDF of Y .

(b) Use normal tables to compute the probabilities of the events |X | k for k = 1, 2, 3. (c) Let Z be another normal random variable independent of X and have mean u and variance v 2 . Let W = 2X + 3Z. Is W a normal random variable ? Determine the mean, variance and PDF of W .

6. You play a game with your friend where you try to estimate the number your friend will tell you. Assume that the number your friend will tell you is a Gaussian random variable (r.v.) with mean and variance 2 . Denote your friends number with the r.v. X, your estimate with the deterministic number a, and the error of your estimate with R = X a. (a) Is R a random variable? If so, determine its mean, variance and PDF. (b) If you want to choose your estimate a so that the expected value of the square of the error of your estimate (i.e. E[R2 ] = E[(X a)2 ]) is minimized, determine a and the minimum value of the expected value of the square of the error of your estimate.