SC222: Tutorial Sheet 4

SC222: Tutorial Sheet 4
Problems based on Jointly Distributed Random Variables, Expectation, Vari-

ance, Covariance and the Weak Law of Large Numbers.
Pb 1) The joint PMF of a discrete random vector (X1 , X2 ) is given by the following table
x2 \ x1 −1 0 1
0 1/9 2/9 1/9
1 1/9 2/9 1/9
2 0 1/9 0
a) Determine the covariance of X1 and X2 .

b) Calculate the correlation coefficient ρX1 ,X2 = √ Cov(X1 ,X2 ) of X1 and X2 .
Var(X1 )Var(X2 )
c) Are X1 and X2 independent random variables? Justify your answer.
Pb 2) The moment generating function of a random variable X is a function MX (t) of a free

parameter t, defined by MX (t) = E[etX ] (if it exists).
(i) Compute the moment generating functions for the following distributions.
a) Geometric distribution with parameter p.
b) Uniform distribution over the interval [a, b].
(ii) If the moment generating function exists for a random variable X, then show
that the nth moment about the origin (or E[X n ]) can be found by evaluating the
nth derivative of the moment generating function at t = 0.
Pb 3) Suppose that we have a resistance R. We know that the value of R follows a uniform
law between 900 and 1100 Ω. What is the density of the corresponding conductance
G = 1/R ?
Pb 4) (Universality of the uniform distribution) Let X be a real valued random vari-

able and let U ∼ U ([0, 1]). Since FX : R → [0, 1] is not always one-to-one, therefore,
we define FX−1 as
FX−1 (u) = sup{x ∈ R : FX (x) ≤ u}.
Show that FX−1 (U ) and X has the same distribution.
Pb 5) If X and Y are two independent random variables, then so are g(X) and h(Y ).
Pb 6) Two random variables X and Y are said to be uncorrelated if their covariance is 0.

Suppose X and Y are independent uniformly distributed random variables over the
common interval [0, 1]. Define Z = X + Y and W = X − Y . Show that Z and W are
not independent, but uncorrelated random variables.
Pb 7) Let the joint PDF of random variables X and Y be defined as
π π
fX,Y (x, y) = kcos(x + y) for 0 ≤ x ≤ ,0 ≤ y ≤ .
4 4
Determine the constant k and the marginal probability density functions (fX (x) and fY (y))
of X and Y . Are the random variables X and Y are orthogonal? Justify. (The ran-
dom variables X and Y are said to be orthogonal if the mathematical expectation
E[XY ] = 0.)
Pb 8) Let X and Y be linearly dependent real valued random variables. Show that X and
Y are not independent (in the probability sense.)
Pb 9) (Multinomial Distribution) Let Ω be a sample space associated with a random

experiment E, and let B1 , B2 , .., Bn be a partition of Ω. Assume that we perform m
independent repetitions of the experiment E and that the probability pk = P [Bk ] is
constant from one repetition to another. If Xk denotes the number of times that the
event Bk has occurred among the m repetitions, for k = 1, 2, .., n, then, determine the
joint PMF of the random vector (X1 , X2 , ..., Xn ) and Cov(Xi , Xj ). Also, calculate the
Xn
expectation and variance of the random variable X = n1 Xn .
k=1
√ √
Pb 10) Show that if X ≥ 0 and E(X) = µ then P (X ≥ µ) ≤ µ.
2
Pb 11) Let X have variance σX and Y have variance σY2 . Show that −1 ≤ ρX,Y ≤ 1. Further,
argue that, if ρX,Y = 1 or −1, then X and Y are related by Y = a + bX, where b > 0
if ρX,Y = 1 and b < 0 if ρX,Y = −1.
Pb 12) Consider n independent trials, each of which results in any of the outcomes i, i =
3
X
1, 2, 3, with respective probabilities p1 , p2 , p3 , pi = 1. Let Ni denote the number of
i=1
trials that result in outcome i, and show that Cov(N1 , N2 ) = −np1 p2 . Also explain
why it is intuitive that this covariance is negative.
Pb 13) Suppose that X is a random variable with mean and variance both equal to 20. What
can be said about P [0 ≤ X ≤ 40]?.
Pb 14) From past experience, a professor knows that the test score of a student taking her
final examination is a random variable with mean 75.
(a) Give an upper bound to the probability that a student’s test score will exceed
85.
(b) Suppose in addition the professor knows that the variance of a student’s test
score is equal to 25. What can be said about the probability that a student will
score between 65 and 85?

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SC222: Tutorial Sheet 4

Problems based on Jointly Distributed Random Variables, Expectation, Vari-

a) Determine the covariance of X1 and X2 .

c) Are X1 and X2 independent random variables? Justify your answer.

Pb 2) The moment generating function of a random variable X is a function MX (t) of a free

Pb 4) (Universality of the uniform distribution) Let X be a real valued random vari-

Pb 6) Two random variables X and Y are said to be uncorrelated if their covariance is 0.

Pb 9) (Multinomial Distribution) Let Ω be a sample space associated with a random

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