MA2040: Probability, Statistics and Stochastic Processes
Problem Set-IV
Sivaram Ambikasaran
March 20, 2019
(
6e−(2x+3y) x, y ≥ 0
1. Let X and Y have joint pdf fX,Y (x, y) =
0 otherwise
• Are X and Y independent?
• Find E (Y | X > 2)
• Find P (X > Y )
2. Let X ∼ Uniform(1, 2) and given X = x, Y follows an exponential distribution with Y ∼ EXP (λ = x).
Find the covariance of X and Y .
3. Let X and Y be independent standard normal random variables. Find covariance of Z and W , where
Z = 1 + X + XY 2 and W = 1 + X.
4. A fair die is rolled n times. Let X be the number of 1’s and Y be the number of 2’s. Find the
correlation coefficient ρ(X, Y ).
5. Let 32 people sit around a round table. Each person tosses a fair coin. Anyone whose outcome is
different from both his neighbors is taken out from the group. If X is the total number of such persons,
find variance of X.
6. The moment generating function of a random variable X is given by
2
MX (s) = , ∀s ∈ (−∞, 2)
2−s
Find the distribution of X.
7. Let X ∼ Binomial(n, p) and Y ∼ Binomial(m, p) be independent random variables. Show that X +Y ∼
Binomial(m + n, p).
8. Show that the function e−s is a moment generating function.
9. Show that if M (s) is a moment generating function, so is M (cs).
10. Show that if M (s) is a moment generating function, cM (s) cannot be a moment generating function
for c 6= 1.
11. Show that if M (s) is a moment generating function, then e−s M (s) is also a moment generating function.
12. The moment generating function of a random variable X is
e−2s e−s es e2s
MX (s) = + + +
6 3 4 4
7
Show that P (|X| ≤ 1) = .
12