Indian Institute of Technology, Ropar
Department of Mathematics
MA202: Probability and Statistics
2nd Semester of Academic Year 2025-26
Tutorial Sheet: 10
Joint MGF and Function of Random Variables
Xi , (i = 1, 2, . . . , k) be independent uniform RVs with Xi ∼ U (0, 1). Show that
1. LetP
−2 ki=1 log(Xi ) is χ2 (2k).
2. Let X1 , X2 , . . . , Xn be independent geometric RVs with parameters p1 , p2 , . . . , pn respecti-
vely. Show that mı́n(X1 , X2 , . . . , Xn ) is also a geometric RV with parameter
n
Y
p = 1 − (1 − pi ).
i=1
3. Let Y have probability density function
fY (y) = 2(1 − y), 0 ≤ y ≤ 1.
(a) Find the density of U1 = 2Y − 1.
(b) Find the density of U2 = 1 − 2Y .
(c) Find the density of U3 = Y 2 .
4. A discrete random variable X has probability mass function
2x + 5 , x = −2, −1, 0, 1, 2,
pX (x) = 25
0, otherwise.
Define a new random variable
Y = X 2 + X.
(a) Find the possible values of Y .
(b) Determine the probability mass function of Y .
5. Let X1 and X2 be i.i.d. N (0, 1) random variables. Define
Y = X1 + X2 , Z = X12 + X22 .
(i) Show that the joint moment generating function of (Y, Z) is
t21
1 1
MY,Z (t1 , t2 ) = exp , t2 < .
1 − 2t2 1 − 2t2 2
(ii) Using part (i), find Corr(Y, Z).
6. Let X = (X1 , X2 ) have the joint probability mass function
( x 1 x2
, x1 , x2 = 1, 2, 3,
fX1 ,X2 (x1 , x2 ) = 36
0, otherwise.
Define
Y1 = X1 X2 , Y2 = X2 .
(i) Find the joint p.m.f. of (Y1 , Y2 ).
(ii) Find the marginal p.m.f. of Y1 .
(iii) Find P (X1 + X2 = 4).
7. Let X be a normally distributed random variable with mean µ and variance σ 2 , i.e., X ∼
N (µ, σ 2 ). Define √
X = µ ± σ 2Y .
Find the probability density function of Y .
8. Let X be a continuous random variable following the normal distribution N (0, σ 2 ) with
probability density function
1 x2
fX (x) = √ e− 2σ2 , −∞ < x < ∞.
2πσ 2
Define a new random variable
Y = X + |X|.
Find the probability density function (pdf) of Y .
9. The joint probability density function of the continuous random variables (X, Y ) is given by
(
10e−2y , 0 < x < y < ∞,
fX,Y (x, y) =
0, otherwise.
Define the transformation
U = 2X, V = Y − X.
Find the joint probability density function of (U, V ).
10. Let X and Y be independent random variables such that X ∼ Gamma(α, λ) and Y ∼
Gamma(β, λ), where the probability density function of a Gamma(k, λ) distribution is given
by
λk k−1 −λx
f (x) = x e , x > 0.
Γ(k)
Define a new random variable
X
U= , V = X + Y.
X +Y
1. Find the joint probability density function of (U, V ).
2. Hence, derive the marginal probability density function of U .
3. Show that the density of U is given by
Γ(α + β) α−1
fU (u) = u (1 − u)β−1 , 0 < u < 1.
Γ(α)Γ(β)
11. Let (X, Y ) have joint CDF
F (x, y) = (1 − e−x )(1 − e−y ), x > 0, y > 0.
Find the joint pdf and check whether X and Y are independent.
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12. Let (X, Y ) be on the unit disk x2 +y 2 ≤ 1. Find the joint pdf of (R, Θ)
√ uniformly distributed−1
where R = X 2 + Y 2 and Θ = tan (Y /X).
13. Let (X, Y ) have joint pdf f (x, y) = e−(x+y) , x, y > 0. Define U = X
X+Y
, V = X + Y . Find
the joint pdf of (U, V ) and identify distributions of U and V .
14. Let (X, Y ) follow a bivariate normal distribution with parameters
2
µX = 0, µY = 0, σX = 1, σY2 = 1, ρ = 0.
Find the joint pdf and comment on independence.
15. Let (X, Y ) be bivariate normal. Show that
Var(Y |X = x) = (1 − ρ2 )σY2
and explain why it does not depend on x.
16. Let (X, Y ) be a two-dimensional random variable with joint pdf
(
8xy, 0 ≤ x < y ≤ 1,
fX,Y (x, y) =
0, otherwise.
X
Let U = and V = Y .
Y
(a) Are the variables X and Y independent? Explain.
(b) Calculate the covariance of X and Y .
(c) Obtain the joint pdf of (U, V ).
(d) Are the variables U and V independent? Explain.
(e) What is the covariance of U and V ?
17. Let (X, Y ) be a continuous random vector with joint pdf
(
c(x + y), 0 < x < 1, 0 < y < 1,
fX,Y (x, y) =
0, otherwise.
(a) Find the value of c.
(b) Compute the joint MGF MX,Y (t1 , t2 ).
(c) Find E[X], E[Y ], and Cov(X, Y ) using the MGF.
18. Suppose (X, Y ) has joint MGF
MX,Y (t1 , t2 ) = exp (2t1 + 3t2 + 4t1 t2 ) .
(a) Find E[X], E[Y ].
(b) Compute Var(X), Var(Y ).
(c) Find Cov(X, Y ).
(d) Are X and Y independent? Justify.
19. Let (X, Y ) have joint pdf
(
e−(x+y) , x > 0, y > 0,
fX,Y (x, y) =
0, otherwise.
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(a) Find the joint characteristic function ϕX,Y (t1 , t2 ).
(b) Are X and Y independent?
20. Let X and Y be independent with characteristic functions
1
ϕX (t) = e−|t| , ϕY (t) = .
1 + t2
(a) Find the joint CF ϕX,Y (t1 , t2 ).
(b) Find the CF of Z = X + Y .
Best Wishes
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