Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd Logo
Upload

Welcome to Scribd!

  • 7 views

    AI5030 Homework 08

    Uploaded by

    Aditya Shinde
    bbvhvv

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    AI5030 Homework 08

    Uploaded by

    Aditya Shinde
    7 views2 pages
    bbvhvv

    Original Title

    AI5030-homework-08

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    bbvhvv

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    7 views2 pages

    AI5030 Homework 08

    Uploaded by

    Aditya Shinde
    bbvhvv

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 2

    AI 5030: PROBABILITY AND STOCHASTIC PROCESSES

    INSTRUCTOR: DR. KARTHIK P. N.

    HOMEWORK 8
    TOPICS: EXPECTATIONS OF DISCRETE AND CONTINUOUS RANDOM भारतीय ूौ ो गक संस्थान हैदराबाद
    Indian Institute of Technology Hyderabad

    VARIABLES, VARIANCE, COVARIANCE


    Fix a probability space (Ω, F , P). All random variables appearing below are assumed to be defined with respect to F .
    1. For any x ∈ R, let ⌊x⌋ denote the largest integer lesser than or equal to x. Thus, for instance, ⌊3.5⌋ = 3, ⌊−8.9⌋ = −9,
    ⌊2⌋ = 2, and so on.
    Suppose that X ∼ Exponential(1). Determine the expected value of Y = ⌊X⌋.
    2. Let X be a non‑negative and continuous random variable with PDF fX and CDF FX . Show that
    ∫ ∞ ∫ ∞
    E[X] = P({X > x}) dx = (1 − FX (x)) dx,
    0 0

    where the above integrals are usual Riemann integrals.


    Hint: Write down the formula for expectation in terms of the PDF, and apply change of order of integration.
    3. Suppose that X and Y are jointly discrete random variables. The random variable X takes values in {−1, 0, 1} with
    uniform probabilities. Suppose that for each x ∈ {−1, 0, 1},
    1
    pY |X=x (y) = 1{|y−x|=1} , y ∈ R.
    2
    Compute E[Y ].
    i.i.d.
    4. Let X1 , X2 , . . . ∼ Exponential(λ), and let
    [∑ N ∼ Geometric(p)
    ] be independent of {X1 , X2 , . . .}. Here, λ > 0 and
    N
    p ∈ (0, 1) are fixed constants. Compute E i=1 Xi .

    5. (a) Let X and Y be jointly continuous with the joint PDF


    { xy
    cx2 + , 0 ≤ x ≤ 1, 0 ≤ y ≤ 2,
    fX,Y (x, y) = 3
    0, otherwise.
    i. Find the constant c.
    ii. Are X and Y independent?
    iii. Calculate Cov(X, Y ).
    (b) Let X and Y be independent random variables distributed uniformly on [0, 1].
    Let U = min{X, Y } and V = max{X, Y }. Calculate Cov(U, V ).
    6. Let X ∼ N (0, 1). Let W be a discrete random variable independent of X and having the PMF
    {
    1
    , w = ±1,
    P({W = w}) = 2
    0, otherwise.

    Define a new random variable Y as Y = W X.


    (a) Show that Y ∼ N (0, 1).
    (b) Show that X and Y are uncorrelated, but not independent.
    (c) A friend of yours comes to you and claims that Z = X +Y is Gaussian distributed. Is your friend’s claim correct?
    7. Fix n ∈ N, n ≥ 2.
    Let X1 , X2 , . . . , Xn be independent and identically distributed with finite mean µ and variance σ 2 .
    Define the sample mean Mn and sample variance Vn as the random variables
    1∑ 1 ∑
    n n
    Mn := Xi , Vn := (Xi − Mn )2 .
    n i=1 n − 1 i=1

    HOMEWORK 8 AI 5030: PROBABILITY AND STOCHASTIC PROCESSES Page 1


    (a) Show that E[Mn ] = µ.
    (b) Show that E[Vn ] = σ 2 (the factor (n − 1) in the denominator of Vn is precisely to ensure that the mean of Vn
    is equal to σ 2 ).
    σ2
    (c) Show that Var(Mn ) = n .

    8. Suppose that X, Y , and Z are three random variables defined with respect to F .
    Let the means of Y and Z be µY and µZ respectively. Show that
    ({ })
    [ ]
    E[max{X, µY } − max{X, µZ }] ≤ |µY − µZ | · P X ∈ min{µY , µZ }, max{µY , µZ } .

    Hint: Consider the cases µY < µZ and µY ≥ µZ separately.


    For each case, break down the sample space into events of the form {X < µY }, {µY ≤ X ≤ µZ }, {X > µZ }.
    On each of these events, upper bound the mean value of max{X, µY } − max{X, µZ }.

    HOMEWORK 8 AI 5030: PROBABILITY AND STOCHASTIC PROCESSES Page 2

    You might also like