UMA401 – Probability and Statistics
Assignment 4 – Expectation of Random Variables | Complete Solutions
Thapar Institute of Engineering & Technology, Patiala
Q1. E(X), E[(X+2)³], E[6X − 2(X+2)³]
Given: f(x) = (x+2)/18, −2 < x < 4
Use: E[g(X)] = ∫ g(x)·f(x) dx
Finding E(X)
E(X) = ∫₋ ₂ ⁴ x·(x+2)/18 dx
= (1/18) ∫₋ ₂ ⁴ (x² + 2x) dx
= (1/18) [x³/3 + x²]₋ ₂ ⁴
= (1/18) [(64/3 + 16) − (−8/3 + 4)]
= (1/18) [(64/3 + 48/3) − (−8/3 + 12/3)]
= (1/18) [112/3 − 4/3]
= (1/18)(108/3) = (1/18)(36) = 2
E(X) = 2
Finding E[(X+2)³]
E[(X+2)³] = ∫₋ ₂ ⁴ (x+2)³·(x+2)/18 dx = (1/18)∫₋ ₂ ⁴ (x+2)⁴ dx
Let u = x+2, du=dx. When x=−2,u=0; x=4,u=6
= (1/18) ∫₀ ⁶ u⁴ du = (1/18)[u⁵ /5]₀ ⁶
= (1/18)(6⁵ /5) = (1/18)(7776/5) = 7776/90 = 432/5
E[(X+2)³] = 432/5 = 86.4
Finding E[6X − 2(X+2)³]
Use linearity of expectation:
E[6X − 2(X+2)³] = 6E(X) − 2E[(X+2)³]
= 6(2) − 2(432/5)
= 12 − 864/5 = 60/5 − 864/5 = −804/5
E[6X − 2(X+2)³] = −804/5 = −160.8
Q2. E(X), E(X²), E[(X+2)²] for discrete uniform
Given: f(x)=1/5, x=1,2,3,4,5
E(X) = Σ x·(1/5) = (1/5)(1+2+3+4+5) = 15/5 = 3
E(X²) = Σ x²·(1/5) = (1/5)(1+4+9+16+25) = 55/5 = 11
E[(X+2)²] = E[X²+4X+4] = E(X²)+4E(X)+4 = 11+12+4 = 27
E(X) = 3, E(X²) = 11, E[(X+2)²] = 27
Q3. Expected Area of Random Rectangle
Given: f(x)=3x², 0<x<1. Sides: X and (1−X)
Area A = X(1−X). Find E(A).
E[X(1−X)] = ∫₀ ¹ x(1−x)·3x² dx = 3∫₀ ¹ (x³ − x⁴ ) dx
= 3[x⁴ /4 − x⁵ /5]₀ ¹ = 3(1/4 − 1/5) = 3(1/20) = 3/20
E[Area] = 3/20 = 0.15
Q4. Median and 20th Percentile of Discrete X
PMF: P(X=−2)=1/4, P(X=0)=1/4, P(X=1)=1/3, P(X=2)=1/6
CDF (cumulative):
F(−2) = 1/4 = 0.25
F(0) = 1/4+1/4 = 1/2 = 0.50
F(1) = 1/2+1/3 = 5/6 ≈ 0.833
F(2) = 1
Median (50th percentile)
Median = smallest x such that F(x) ≥ 0.5
F(−2)=0.25 < 0.5, F(0)=0.50 ≥ 0.5 → Median = 0
Median = 0
20th Percentile
20th percentile = smallest x such that F(x) ≥ 0.20
F(−2) = 0.25 ≥ 0.20 → P₂ ₀ = −2
20th Percentile = −2
Q5. Quantile Function for Exponential pdf
Given: f(x) = θe^(−θx), x>0 (Exponential distribution)
Quantile function Q(p): solve F(Q(p)) = p for Q(p)
Step 1 – Find CDF F(x):
F(x) = ∫₀ ˣ θe^(−θt) dt = 1 − e^(−θx)
Step 2 – Invert: set F(Q) = p
1 − e^(−θQ) = p → e^(−θQ) = 1−p → Q = −ln(1−p)/θ
Q(p) = −ln(1−p)/θ
Q1 (p=0.25): Q1 = −ln(0.75)/θ = ln(4/3)/θ ≈ 0.2877/θ
Median (p=0.50): m = −ln(0.5)/θ = ln2/θ ≈ 0.6931/θ
Q3 (p=0.75): Q3 = −ln(0.25)/θ = ln4/θ ≈ 1.3863/θ
Q6. Mean and Variance of Y = (X³+1)/9
Given: f(x) = x²/3, −1<x<2. Y=(X³+1)/9
Strategy: E(Y) = E[(X³+1)/9] = (E(X³)+1)/9. Need E(X³) and Var(Y).
E(X) = ∫₋₁² x·(x²/3) dx = (1/3)∫₋₁² x³ dx = (1/3)[x⁴/4]₋₁² = (1/3)(16/4−1/4) = (1/3)(15/4) = 5/4
E(X²) = ∫₋₁² x²·(x²/3) dx = (1/3)∫₋₁² x⁴ dx = (1/3)[x⁵/5]₋₁² = (1/3)(32/5+1/5) = (1/3)(33/5) = 11/5
E(X³) = ∫₋₁² x³·(x²/3) dx = (1/3)∫₋₁² x⁵ dx = (1/3)[x⁶/6]₋₁² = (1/3)(64/6−1/6) = (1/3)(63/6) = 7/2
E(X⁶) = ∫₋₁² x⁶·(x²/3) dx = (1/3)[x⁸/8]₋₁² = (1/3)(256/8−1/8) = (1/3)(255/8) = 85/8
E(Y) = (E(X³)+1)/9 = (7/2+1)/9 = (9/2)/9 = 1/2
E(Y²) = E[(X³+1)²/81] = E[X⁶+2X³+1]/81 = (E(X⁶)+2E(X³)+1)/81
= (85/8 + 2(7/2) + 1)/81 = (85/8 + 7 + 1)/81 = (85/8 + 64/8)/81 =
(149/8)/81 = 149/648
Var(Y) = E(Y²)−(E(Y))² = 149/648 − 1/4 = 149/648 − 162/648 = −13/648
Note: Since variance cannot be negative, let us recheck. E(Y²)=149/648≈0.2299 and (E(Y))²=(1/2)²=0.25. This
gives negative variance, suggesting a recheck of E(X⁶).
E(X⁸ /3... wait, Y=(X³+1)/9 → Y²=(X³+1)²/81
E(X⁶ )=(1/3)∫₋ ₁ ² x⁶ dx=(1/3)[x⁷ /7]₋ ₁ ²=(1/3)(128/7+1/7)=(1/3)(129/7)=43/7
E(Y²)=(43/7+7+1)/81=(43/7+56/7)/81=(99/7)/81=99/567=11/63
Var(Y)=11/63−1/4=44/252−63/252=−19/252 → still negative
Recheck E(X³) carefully:
E(X³)=∫₋ ₁ ²x³·(x²/3)dx=(1/3)∫₋ ₁ ²x⁵ dx=(1/3)[x⁶ /6]₋ ₁ ²=(1/3)(64/6−1/6)=63/18=7
/2 ✓
Recheck E(X⁶):
E(X⁶ )=(1/3)∫₋ ₁ ²x⁶ dx=(1/3)[x⁷ /7]₋ ₁ ²=(1/3)[(128−(−1))/7]=(1/3)(129/7)=43/7≈6
.143
E(Y)=(7/2+1)/9=9/2/9=1/2 ✓
E(Y²)=(E(X⁶)+2E(X³)+1)/81=(43/7+7+1)/81=(43/7+8)/81=(43/7+56/7)/81=99/(7×81)=99/567=11/63≈0.1746
Var(Y)=11/63−(1/2)²=11/63−1/4=44/252−63/252 → still negative
Check if E(Y) calculation is correct: E(Y)=E[(X³+1)/9]=(E(X³)+1)/9=(7/2+1)/9=(9/2)/9=1/2
Something is off with E(X³). Let us redo carefully:
∫₋ ₁ ² x⁵ dx = [x⁶ /6]₋ ₁ ² = (64/6)−(1/6) = 63/6 = 21/2
E(X³) = (1/3)(21/2) = 7/2 ✓
∫₋ ₁ ² x⁷ dx = [x⁸ /8]₋ ₁ ² = 256/8 − 1/8 = 255/8
E(X⁶ ) = (1/3)(255/8) = 255/24 = 85/8
WAIT: for E(X⁶), integral is ∫x⁶·f(x)dx = ∫x⁶·(x²/3)dx = (1/3)∫x⁸dx NOT x⁶!
E(X⁶ ) = ∫₋ ₁ ² x⁶ ·(x²/3) dx = (1/3)∫₋ ₁ ² x⁸ dx = (1/3)[x⁹ /9]₋ ₁ ² =
(1/3)(512/9+1/9) = (1/3)(513/9) = 513/27 = 19
NOW: Var(Y) = (19+7+1)/81 − 1/4 = 27/81 − 1/4 = 1/3 − 1/4 = 4/12−3/12 = 1/12
E(Y) = 1/2
Var(Y) = E(Y²)−[E(Y)]² = 27/81 − 1/4 = 1/3 − 1/4 = 1/12
Q7. Mean and Variance from MGF
Key: E(X) = M'(0), Var(X) = M''(0) − [M'(0)]²
Part (a): M(t) = (1−t)^(−3), t < 1
M'(t) = 3(1−t)^(−4)·(1) = 3(1−t)^(−4)
E(X) = M'(0) = 3(1)^(−4) = 3
M''(t) = 12(1−t)^(−5)
E(X²) = M''(0) = 12
Var(X) = E(X²)−[E(X)]² = 12−9 = 3
Mean = 3, Variance = 3
Part (b): M(t) = (eᵗ − e⁻ᵗ)/(2t), t ≠ 0
This is the MGF of Uniform(−1,1). Use L'Hopital or Taylor series.
Taylor expansion: eᵗ = 1+t+t²/2!+t³/3!+t⁴/4!+...
eᵗ − e⁻ ᵗ = 2t + 2t³/3! + 2t⁵ /5! + ...
(eᵗ−e⁻ ᵗ)/(2t) = 1 + t²/6 + t⁴ /120 + ...
M'(t) = 2t/6 + 4t³/120 + ... = t/3 + t³/30 + ...
E(X) = M'(0) = 0
M''(t) = 1/3 + 3t²/30 + ...
E(X²) = M''(0) = 1/3
Var(X) = 1/3 − 0 = 1/3
Mean = 0, Variance = 1/3 (consistent with Uniform(−1,1))
Q8. Laplace Distribution: MGF and Four Moments
Given: f(x) = (1/2)e^(−|x|), −∞ < x < ∞
Part (a): Show M(t) = (1−t²)^(−1)
M(t) = E[e^(tX)] = ∫₋ ∞^∞ e^(tx)·(1/2)e^(−|x|) dx
Split at 0:
= (1/2)∫₋ ∞⁰ e^(tx)·e^x dx + (1/2)∫₀ ^∞ e^(tx)·e^(−x) dx
= (1/2)∫₋ ∞⁰ e^((t+1)x) dx + (1/2)∫₀ ^∞ e^((t−1)x) dx
First integral converges if t+1>0 (i.e. t>−1). Second if t−1<0 (i.e. t<1). So |t|<1.
= (1/2)[e^((t+1)x)/(t+1)]₋ ∞⁰ + (1/2)[e^((t−1)x)/(t−1)]₀ ^∞
= (1/2)(1/(t+1)) + (1/2)(−1/(t−1))
= (1/2)(1/(t+1)) + (1/2)(1/(1−t))
= (1/2)·[(1−t)+(1+t)] / [(1+t)(1−t)]
= (1/2)·2/(1−t²) = 1/(1−t²) = (1−t²)^(−1) ✓
M(t) = (1−t²)^(−1), |t| < 1 — Proved
Part (b): First Four Moments using MGF derivatives
Moments: μ'ₙ = M^(n)(0). Easier via series expansion:
M(t) = (1−t²)^(−1) = 1 + t² + t⁴ + t⁶ + ... (geometric series)
Compare with MGF series: M(t) = Σ μ'ₙ tⁿ/n!
1 + t² + t⁴ = 1 + (μ'₂ /2!)t² + (μ'₄ /4!)t⁴ + ...
Coefficient of t⁰: μ'₀ = 1 ✓
Coefficient of t¹: 0 = μ'₁/1! → μ'₁ = E(X) = 0
Coefficient of t²: 1 = μ'₂/2! → μ'₂ = E(X²) = 2
Coefficient of t³: 0 = μ'₃/3! → μ'₃ = E(X³) = 0
Coefficient of t⁴: 1 = μ'₄/4! → μ'₄ = E(X⁴) = 24
μ'₁ = E(X) = 0
μ'₂ = E(X²) = 2
μ'₃ = E(X³) = 0
μ'₄ = E(X⁴) = 24
(Odd moments are 0 by symmetry of Laplace distribution)
Q9. Chebyshev's Inequality — Finding c
Given: μ=20, σ²=36 (σ=6). Find c s.t. P(10 < X < 30) ≥ c
Chebyshev's Inequality: P(|X−μ| < kσ) ≥ 1 − 1/k²
Rewrite the interval (10,30) in terms of |X−μ|:
|X−20| < 10 ↔ −10 < X−20 < 10 ↔ 10 < X < 30 ✓
So k·σ = 10 → k·6 = 10 → k = 5/3
P(|X−20| < 10) ≥ 1 − 1/k² = 1 − 1/(25/9) = 1 − 9/25 = 16/25
c = 16/25 = 0.64 → P(10 < X < 30) ≥ 0.64
Q10. Prove P(X ≥ 2μ) ≤ 1/2 using Markov's Inequality
Markov's Inequality: For X ≥ 0 and a > 0: P(X ≥ a) ≤ E(X)/a
Given: P(X≤0)=0 (so X≥0 a.s.) and E(X)=μ exists.
Apply Markov with a = 2μ:
P(X ≥ 2μ) ≤ E(X)/(2μ) = μ/(2μ) = 1/2
P(X ≥ 2μ) ≤ 1/2 — Proved via Markov's Inequality
Q11. Chernoff Bound: P(X≥a) ≤ e^(−at)·M(t)
Proof using Markov's Inequality and MGF:
For 0 < t < h (proving P(X ≥ a) ≤ e^(−at)M(t)):
Since t > 0: X ≥ a ⟺ tX ≥ ta ⟺ e^(tX) ≥ e^(ta)
(exponential is increasing, so inequality direction preserved)
P(X ≥ a) = P(e^(tX) ≥ e^(ta))
Apply Markov to the non-negative r.v. e^(tX) with threshold e^(ta):
P(e^(tX) ≥ e^(ta)) ≤ E[e^(tX)] / e^(ta) = M(t)/e^(at) =
e^(−at)·M(t) ✓
For −h < t < 0 (proving P(X ≤ a) ≤ e^(−at)M(t)):
Since t < 0: X ≤ a ⟺ tX ≥ ta ⟺ e^(tX) ≥ e^(ta)
(multiplying by negative t flips inequality; then exp preserves
it)
Same Markov argument gives:
P(X ≤ a) = P(e^(tX) ≥ e^(ta)) ≤ E[e^(tX)]/e^(ta) = e^(−at)·M(t) ✓
Both bounds proved using Markov's Inequality applied to e^(tX)
Q12. Lower Bound for P(−2 < X < 8) using Chebyshev
Given: E(X)=3, E(X²)=13
Var(X) = E(X²)−[E(X)]² = 13−9 = 4 → σ=2
Rewrite interval (−2, 8) in terms of |X−μ|:
|X−3| < 5 ↔ −5 < X−3 < 5 ↔ −2 < X < 8 ✓
kσ = 5 → k·2 = 5 → k = 5/2
P(|X−3| < 5) ≥ 1 − 1/k² = 1 − 4/25 = 21/25
P(−2 < X < 8) ≥ 21/25 = 0.84
Q13. Chebyshev Upper Bound vs Exact — Laplace Distribution
Given: Laplace: f(x)=(1/2)e^(−|x|)
From Q8: E(X)=0, E(X²)=2, so σ²=2, σ=√2
Need: P(|X| ≥ 5)
Chebyshev Upper Bound
P(|X−μ| ≥ kσ) ≤ 1/k². Here μ=0, so P(|X| ≥ 5) = P(|X−0| ≥ 5)
kσ = 5 → k·√2 = 5 → k = 5/√2
Chebyshev bound: P(|X| ≥ 5) ≤ 1/k² = 2/25 = 0.08
Chebyshev upper bound: P(|X| ≥ 5) ≤ 2/25 = 0.08
Exact Probability
P(|X| ≥ 5) = 2∫₅ ^∞ (1/2)e^(−x) dx = ∫₅ ^∞ e^(−x) dx = [−e^(−x)]₅ ^∞
= e^(−5)
e^(−5) ≈ 0.0067
Exact probability = e^(−5) ≈ 0.0067
Chebyshev bound = 0.08 vs Exact = 0.0067
Chebyshev gives a loose (conservative) upper bound — exact is ~12× smaller.
— End of Assignment 4 Solutions —