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Marginal Densities and Joint Distributions

This document contains a tutorial sheet with various problems related to probability theory and stochastic processes, focusing on random vectors and their distributions. It includes exercises on independent random variables, joint probability mass functions, and specific distributions such as Poisson and exponential. The problems require calculations of probabilities, marginal and conditional distributions, and properties of random variables.

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Aman Sharma
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53 views3 pages

Marginal Densities and Joint Distributions

This document contains a tutorial sheet with various problems related to probability theory and stochastic processes, focusing on random vectors and their distributions. It includes exercises on independent random variables, joint probability mass functions, and specific distributions such as Poisson and exponential. The problems require calculations of probabilities, marginal and conditional distributions, and properties of random variables.

Uploaded by

Aman Sharma
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

MTL 106 (Introduction to Probability Theory and Stochastic Processes)

Tutorial Sheet No. 4 (Random Vector)


1. Let X and Y be independent random variables. The range of X is {1, 3, 4} and the range of Y is {1, 2}. Partial
information on the probability mass function is as follows: pX (3) = 0.50; pY (2) = 0.60; pX,Y (4, 2) = 0.18 .
(a) Determine pX , pY and pX,Y completely. (b) Determine P (|X − Y | ≥ 2).

2. Let (X, Y ) be a two-dimensional discrete type random variables with joint pmf p(x, y) = cxy for x = 1, 2, 3
and y = 1, 2, 3 and equals zero otherwise. (a) Find c. (b) Find P (1 ≤ X ≤ 2, Y ≤ 2). (c) P (Y = 3).

0, x < 0, y < 0 or x + y < 1
3. Show that F (x, y) = is not a distribution function.
1, otherwise

kx(x − y), 0 < x < 2, −x < y < x
4. Suppose that (X, Y ) has joint pdf fXY (x, y) = . Find k. Evaluate
0, otherwise
1 3
P (X < 1/Y = 2 ) and P (Y < 2 /X = 1).

Kx1 x2 , 0 < x1 < 1, 0 < x2 < 1
5. Let (X1 , X2 ) be a random vector with the joint pdf f (x1 , x2 ) =
0, otherwise

20
(a) Find the value of K? (b) Define Y1 = X12 and Y2 = X1 X2 . Find the joint pdf of (Y1 , Y2 )

9-
6. Consider a transmitter sends out either a 0 with probability p, or a 1 with probability (1 − p), independently
of earlier transmissions. Assume that the number of transmissions within a given time interval is Poisson

01
distributed with parameter λ. Find the distribution of number of 1’s transmitted in that same time interval?
7. Let X1 , X2 , . . . , X5 be iid random variables each having uniform distributions in the interval (0, 1).
2
(a) Find the probability that min(X1 , X2 , . . . , X5 ) lies between (1/4, 3/4).
er
(b) Find the probability that X1 is the minimum and X5 is the maximum among these random variables?

8. Let X1 , X2 and X3 be iid random variables each having the probability density function
t
es

 −x
e , 0<x<∞
f (x) =
0, otherwise
em

X1 +X2 X1
Find the joint distribution of (Y1 , Y2 , Y3 ) where Y1 = X1 + X2 + X3 , Y2 = X1 +X2 +X3 and Y3 = X1 +X2 . Are
Y1 and Y2 independent random variables? Justify your answer.
IS

9. Let X, Y, Z be independent exponential distributed random variables with parameters λ, µ, ν respectively.


Find P (X < Y < Z).
10. Amit and Supriya work independently on a problem in Tutorial Sheet 5 of Probability and Stochastic Pro-
cesses course. The time for Amit to complete the problem is exponential distributed with mean 5 minutes.
The time for Supriya to complete the problem is exponential distributed with mean 4 minutes. Given that
Amit requires more than 1 minutes, what is the probability that he finishes the problem before Supriya?
11. Let X and Y be independent random variables with X ∼ B(2, 13 ) and Y ∼ B(3, 12 ). Find P (X = Y ).
12. Evaluate all possible marginal and conditional distributions if (X, Y ) has the following joint probability mass
function
(a) P (X = j, Y = k) = q k−j pj , j = 1, 2, . . . and k = j + 1, j + 2, . . . q = 1 − p
15!
(b) P (X = j, Y = k) = j!k!(15−j−k)! ( 12 )j ( 13 )k ( 61 )15−j−k
for all admissible non negative integral values of j and k.
ke−3x1 −4x2 , x1 > 0, x2 > 0

13. Find k, if the joint probability density of (X1 , X2 ) is fX1 X2 (x1 , x2 ) = . Also
0, otherwise
find the probability that the value of X1 falls between 0 and 1 while X2 falls between 0 and 2.

1

1, 0 < x, y < 1
14. Suppose that (X, Y ) has joint pdf f (x, y) = . Find the pdf of X + Y .
0, otherwise
15. Romeo and Juliet have a date at a given time, and each, independently, will be late by an amount of time,
denoted by X and Y respectively, that is exponentially distributed with parameter λ. Find the pdf of, X −Y ,
the difference between their times of arrival?
16. Let X, Y and Z be independent and identically distributed random variables each having a uniform distri-
bution over the interval [0, 1]. Find the joint density function of (V, W ) where V = XY and W = Z 2 .
17. The random variable X represents the amplitude of cosine wave; Y represents the amplitude of a sine wave.
Both are independent and uniformly distributed over the interval (0,1). Let R represent the amplitude of
their resultant, i.e., R2 = X 2 + Y 2 and θ represent the phase angle of the resultant, i.e., θ = tan−1 (Y/X).
Find the joint and marginal pdfs of θ and R.
18. Let X and Y be continuous random variables having joint distribution which is uniform over the square
which has corners at (2, 2), (−2, 2), (−2, −2) and (2, −2). Determine P (|Y | > |X| + 1).
19. Suppose that, we choose a point (X, Y ) uniformly at random in E where E = {(x, y) | |x| + |y| ≤ 1}. Find

20
the joint pdf of (X, Y ).
20. Let X and Y be independent rvs with X follows Exp(1) and Y follows U [0, 1]. Let Z = max{X, Y }. Find

9-
P (Z ≤ z).
21. Mr. Ram and Mr. Ramesh agree to meet between 5:00 PM and 6:00 PM, with the understanding that each

other. What is the probability that they will meet?


2 01
will wait no longer than 20 minutes for the other (and if other does not show up they will leave). Suppose
that each of them arrive at a time distributed uniformly at random in this time interval, independent of the

 −u
e , 0<x<y<z<u<∞
22. Let (X, Y, Z, U ) be a 4-dim rv with joint pdf fX,Y,Z,U (x, y, z, u) = . Find
er
0, otherwise
the marginal pdf of X.
t

23. Let A, B and C be independent random variables each with uniform distributed on interval (0, 1). What is
es

the probability that Ax2 + Bx + C = 0 has real roots?


24. Aditya and Aayush work independently on a problem in Tutorial Sheet 4 of Probability and Stochastic
em

Processes course. The time for Aditya to complete the problem is exponential distributed with mean 5
minutes. The time for Aayush to complete the problem is exponential distributed with mean 3 minutes.
IS

(a) What is the probability that Aditya finishes the problem before Aayush?
(b) Given that Aditya requires more than 1 minutes, what is the probability that he finishes the problem
before Aayush?
(c) What is the probability that one of them finishes the problem a minute or more before the other one?

25. Let A, B and C be independent random variables. Suppose that A and C are uniformly distributed on [0, 1].
Further, B is uniformly distributed on [0, 2]. What is the probability that Ax2 + Bx + C = 0 has real roots?
26. Prove that the correlation coefficient between any two random variables X and Y lies in the interval [−1, 1].
27. For each fixed λ > 0, let X be a Poisson distributed random variable with parameter λ. Suppose λ itself is
a random variable following a gamma distribution with pdf
 1 n−1 −λ
f (λ) = Γ(n) λ e , λ>0
0, otherwise
where n is a fixed positive constant. Find the pmf of the random variable X.

2
28. The number of pages N in a fax transmission has geometric distribution with mean 4. The number of bits
k in a fax page also has geometric distribution with mean 105 bits independent of any other page and the
number of pages. Find the probability distribution of total number of bits in fax transmission.
29. It is known that a IIT bus will arrive at random at Nilgiri hostel bus stop sometime between 8:30 A.M. and
8:45 A.M. Rahul decides that he will go at random to this location between these two times and will wait at
most 5 minutes for the bus. If he misses it, he will take the cycle rickshaw. What is the probability that he
will take the cycle rickshaw?
30. Let (X, Y ) be a two-dimensional continuous type random variables with joint pdf

f (x, y) = xe−x(y+1) for x, y > 0 and f (x, y) = 0 otherwise.

Define Z = XY . Then, find P (Z ≤ z)?


31. Let (X, Y ) ba a two-dimensional random variable with joint pdf
1 1
f (x, y) = p e− 2 Q(x,y) , − ∞ < x, y < ∞
2πσ1 σ2 1 − ρ 2

20
where σ1 , σ2 > 0, | ρ |< 1 and

9-
" 2    2 #
1 x − µ1 (x − µ1 )(y − µ2 ) y − µ2
Q(x, y) = − 2ρ +
(1 − ρ2 )

Find the conditional pdf fY /X (y/x).


σ1
2 01 σ1 σ2

32. Let X0 be an integer-valued random variable, P (X0 = 0) = 1, that is independent of the i.i.d. sequence
σ2

Z1 , Z2 , . . . , where Zn can take values in the set {−1, 1} such that P (Zn = −1) = 25 , P (Zn = 1) = 35 . Let
er
Xn = Xn−1 + Zn , n = 1, 2, . . ..
t

(a) Find P (X3 = 1)?


es

(b) Find the value of P (X5 = −1 | X2 = 0)?


em
IS

Common questions

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For independent exponential random variables X, Y, Z with parameters λ, μ, ν respectively, the probability P(X < Y < Z) can be calculated considering the cumulative distribution functions and memoryless property of exponential distributions. Specific arrangement of parameters affects probabilities because it aligns with rate comparisons of the underlying processes .

Given Amit requires more than 1 minute to finish an exponentially distributed task with a mean of 5, the conditional probability he finishes before Supriya (mean 4) is calculated using exponential conditional properties and computations based on cumulative distribution functions for difference and expectations .

Since X and Y are independent, we have pX,Y(x, y) = pX(x)pY(y). Given pX(3) = 0.50, pY(2) = 0.60, and pX,Y(4, 2) = 0.18, we first derive pX, pY such that \(\sum_{x} pX(x) = 1\) and \(\sum_{y} pY(y) = 1\). For pX,Y(4, 2) = pX(4)pY(2), and given pY(2) = 0.60, pX(4) must be 0.30. We use similar reasoning to complete other probabilities: \(pX(1) = 1 - pX(3) - pX(4)\) and assumed value of missing pY values to ensure \(\sum {pY(y) = 1}\).

The joint distribution of (Y1, Y2) with Y1 = X1 + X2 + X3 and Y2 = (X1 + X2)/(X1 + X2 + X3) uses convolution for Y1 over three independent exponential distributions. For Y2, dependency in its ratio form requires integrating against constraints implied by Y2's bounds. Independence doesn't hold due to X3's influence on Y1 and Y2 collectively .

The constant c ensures that the joint probability mass function sums to 1 over its entire range. Given p(x, y) = cxy for x = 1, 2, 3 and y = 1, 2, 3, the total sum \(\sum_{x,y} cxy = 1\) provides the equation to solve for c. By calculating \(\sum_{x=1}^{3}\sum_{y=1}^{3} cxy = c(1+2+3)(1+2+3) = c(6)(6) = 36c\), c is found to be \(\frac{1}{36}\).

For polynomial coefficients A, B, C distributed uniformly over their respective intervals, the discrimant condition B² - 4AC ≥ 0 determines real roots. Evaluating probability involves integrating feasible (A,B,C) range over allowable geometric regions of constants satisfying equation coefficients constraints .

The number of '1's transmitted follows a Poisson distribution with parameter \(\lambda (1-p)\), where \(\lambda\) is the rate of the Poisson process, and \(p\) is the probability of transmitting '0'. Since each transmission is independent, the distribution of the number of '1's is influenced by the underlying Poisson process governing overall transmissions .

For random variable intervals like finding P(|Y| > |X| + 1) where (X,Y) are uniformly distributed over a defined region, the solution involves delineating constraint boundaries and assessing total integral over feasible regions through geometric considerations .

F(x, y) = 0 for x < 0, y < 0 or x + y < 1 is not a valid distribution function because it does not satisfy the non-decreasing property in both x and y, nor does it approach 1 as x,y approach infinity. A valid distribution function F(x, y) must be non-decreasing with respect to each variable, should have limits 0 as either variable approaches negative infinity, and limit 1 as both approach positive infinity .

For independent random variables \(X_1, X_2, ... , X_5\) uniformly distributed over (0, 1), P(min(X_1, ..., X_5) between 1/4 and 3/4) is \([F(3/4)^5 - F(1/4)^5]\) where F is the cdf. The event that \(X_1\) is the minimum and \(X_5\) is the maximum implies \(X_1 < X_2, ..., X_5\) and \(X_5 > X_1, ..., X_4\), with a probability setup using permutations across a uniform distribution .

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