NPTEL-Probability and Distributions

MODULE 6
RANDOM VECTOR AND ITS JOINT DISTRIBUTION
PROBLEMS

1. (i) Let 𝐹: ℝ2 → ℝ be given by

1, if 𝑥 + 2𝑦 ≥ 1
𝐹 𝑥, 𝑦 = .
0, if 𝑥 + 2𝑦 < 1

Does 𝐹 ⋅,⋅ define a distribution function?

(ii) Let 𝐹: ℝ2 → ℝ be given by

0, if 𝑥 < 0 or 𝑥 + 𝑦 < 1 or 𝑦 < 0

𝐹 𝑥, 𝑦 = .
1, otherwise

Does 𝐹 ⋅,⋅ define a distribution function?

(iii) Let 𝐹𝑋,𝑌 ⋅,⋅ be the distribution function of some two-dimensional random vector
𝑋, 𝑌 , and let 𝐹𝑋 (⋅) and 𝐹𝑌 ⋅ , respectively, be the marginal distribution functions of
𝑋 and 𝑌. Define 𝐻 𝑥, 𝑦 = min 𝐹𝑋 𝑥 , 𝐹𝑌 𝑦 , 𝑥, 𝑦 ∈ ℝ2 and 𝐺 𝑥, 𝑦 =
max 𝐹𝑋 𝑥 + 𝐹𝑌 𝑦 − 1, 0 , 𝑥, 𝑦 ∈ ℝ2 . Prove that:

(a) 𝐺 ⋅,⋅ and 𝐻 ⋅,⋅ are each distribution functions and that their marginal distribution
functions are the same as those of 𝐹𝑋,𝑌 ⋅,⋅ ;

(b) 𝐺 𝑥, 𝑦 ≤ 𝐹𝑋,𝑌 𝑥, 𝑦 ≤ 𝐻 𝑥, 𝑦 , ∀ 𝑥, 𝑦 ∈ ℝ2 .

(Note: Let the random variable 𝑋 have distribution function 𝐹𝑋 ⋅ and let 𝑌 = 𝑔(𝑋)
have distribution function 𝐹𝑌 ⋅ , where 𝑔 ⋅ is some Borel function. If 𝑔 ⋅ is strictly
increasing (decreasing), then 𝐹𝑋,𝑌 𝑥, 𝑦 = 𝑈 𝑥, 𝑦 𝐹𝑋,𝑌 𝑥, 𝑦 = 𝐿(𝑥, 𝑦) .

2. Let the random vector 𝑋 = 𝑋1 , 𝑋2 have the joint distribution function

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NPTEL-Probability and Distributions

0, if 𝑥1 < 0 or 𝑥2 < 0
𝑥1 𝑥2
, if 0 ≤ 𝑥1 < 1, 0 ≤ 𝑥2 < 2 or 1 ≤ 𝑥1 < 2, 0 ≤ 𝑥2 < 1
8
𝑥1
, if 0 ≤ 𝑥1 < 1, 𝑥2 ≥ 2
4
1 𝑥1 𝑥2
+ , if 1 ≤ 𝑥1 < 2, 1 ≤ 𝑥2 < 2
2 8
𝐹𝑋1 ,𝑋2 𝑥1 , 𝑥2 = 1 𝑥 .
1
+ , if 1 ≤ 𝑥1 < 2, 𝑥2 ≥ 2
2 4
𝑥2
, if 𝑥1 ≥ 2, 0 ≤ 𝑥2 < 1
4
1 𝑥2
+ , if 𝑥1 ≥ 2, 1 ≤ 𝑥2 < 2
2 4
1 if 𝑥1 ≥ 2, 𝑥2 ≥ 2

Find 𝑃 𝑋1 , 𝑋2 = 0,0 and 𝑃 𝑋1 , 𝑋2 = 1,1 . Is 𝑋 = 𝑋1 , 𝑋2 of absolutely

continuous type?

3. Let the random vector (𝑋, 𝑌) have the p.m.f.

(𝑥 + 𝑦 + 𝑘 − 1)! 𝑥 𝑦
𝜃 𝜃 (1 − 𝜃1 − 𝜃2 )𝑘 , if 𝑥, 𝑦 ∈ ℤ+ × ℤ+
𝑓𝑋,𝑌 𝑥, 𝑦 = 𝑥! 𝑦! (𝑘 − 1)! 1 2 ,
0, otherwise
where 𝑘 ≥ 1 is an integer, 0 < 𝜃𝑖 < 1, 𝑖 = 1, 2, 𝜃1 + 𝜃2 < 1 and ℤ+ = {0, 1, 2, … } .
Find the marginal p.m.f.s of 𝑋 and 𝑌 and the conditional distributions. (Note: A
distribution with above p.m.f. is called a bivariate negative binomial distribution).

4. Three balls are randomly placed in three empty boxes 𝐵1 , 𝐵2 and 𝐵3 . Let 𝑁 denote the
total number boxes which are occupied and let 𝑋𝑖 denote the number of balls in the box
𝐵𝑖 , 𝑖 = 1, 2, 3.
(i) Find the joint p.m.f. of 𝑁, 𝑋1 ;
(ii) Find the joint p.m.f. of 𝑋1 , 𝑋2 ;
(iii) Find the marginal p.m.f.s of 𝑁 and 𝑋2 ;
(iv) Find the marginal p.m.f. of 𝑋1 from the joint p.m.f. of (𝑋1 , 𝑋2 ).

5. Let 𝑋1 and 𝑋2 have the joint p.m.f.

2 𝑥 1 +𝑥 2 1 2−𝑥 1 −𝑥 2
𝑓𝑋 𝑥1 , 𝑥2 = , if 𝑥1 , 𝑥2 = 0,0 , 0,1 , 1,0 , 1,1 .
3 3
0, otherwise
(i) Find the joint p.m.f. of 𝑌1 = 𝑋1 − 𝑋2 and 𝑌2 = 𝑋1 + 𝑋2 ;
(ii) Find the marginal p.m.f.s of 𝑌1 and 𝑌2 ;

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NPTEL-Probability and Distributions

(iii) Find 𝐸 𝑌12 𝑌2 .

6. Let 𝑋 = (𝑋1 , 𝑋2 ) have the joint p.m.f.

𝑥1 𝑥2
, if 𝑥1 = 1,2,3
𝑓𝑋 𝑥1 , 𝑥2 = 36 ,
0, otherwise
and let 𝑌1 = 𝑋1 𝑋2 and 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. Suppose that 𝑋1 , … , 𝑋𝑛 are i.i.d. random variables and that 𝑃 𝑋1 = 0 = 1 − 𝑝 = 1 −

𝑃 𝑋1 = 1 , for some 𝑝 ∈ 0, 1 . Let 𝑋 denote the number of 𝑋1 , … , 𝑋𝑛 that are as large
as 𝑋1 . Find the p.m.f. of 𝑋.

8. Suppose that the number, 𝑋, of eggs laid by a bird has the 𝑃(𝜆) distribution (the
Poisson distribution with mean 𝜆 ), and the probability that an egg would finally
develop is 𝑝 ∈ 0,1 ; here 𝜆 > 0. Further suppose that eggs develop independently of
each other. Show that the number, 𝑌, of eggs surviving has the 𝑃(𝜆𝑝) distribution.
Also, find the conditional distribution of 𝑋 given 𝑌 = 𝑦, where 𝑦 ∈ {0, 1, 2, … }.

9. Let the random vector (𝑋, 𝑌) have the joint p.d.f.

Γ(𝜃1 + 𝜃2 + 𝜃3 ) 𝜃 −1 𝜃 −1
𝑥 1 𝑦 2 (1 − 𝑥 − 𝑦)𝜃3 −1 , if 𝑥 > 0, 𝑦 > 0, 𝑥 + 𝑦 < 1
𝑓𝑋,𝑌 𝑥, 𝑦 = Γ 𝜃1 Γ 𝜃2 Γ 𝜃3 ,
0, otherwise

where 𝜃𝑖 > 0, 𝑖 = 1, 2, 3. Find the marginal p.d.f.s of 𝑋 and 𝑌 and the conditional
p.d.f.s. (Note: A distribution with above p.d.f. is called a bivariate beta distribution).

10. Let the random variable 𝑋 = (𝑋1 , 𝑋2 ) have the joint p.m.f.

𝑥1 + 2𝑥2
𝑓𝑋 𝑥1 , 𝑥2 = , if 𝑥1 , 𝑥2 ∈ 1, 2 × {1, 2}.
18
0, otherwise

Determine the conditional mean and conditional variance of 𝑋2 given 𝑋1 = 𝑥1 , 𝑥1 ∈

{1, 2}.

11. Let 𝑋 = 𝑋1 , 𝑋2 , 𝑋3 be a random vector with joint p.m.f.

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NPTEL-Probability and Distributions

1
𝑓𝑋1 ,𝑋2 ,𝑋3 (𝑥1 , 𝑥2 , 𝑥3 ) = 4 , if 𝑥1 , 𝑥2 , 𝑥3 ∈ 𝐴 ,
0, otherwise

where 𝐴 = 1,0,0 , 0,1,0 , 0,0,1 , 1,1,1 .

(i) Are 𝑋1 , 𝑋2 , 𝑋3 independent?

(ii) Are 𝑋1 , 𝑋2 , 𝑋3 pairwise independent?
(iii) Are 𝑋1 + 𝑋2 and 𝑋3 independent?

12. Let 𝑋 and 𝑌 be two random variables such that ( 𝑋 ∈ 0,1 } = 𝑃 𝑌 ∈ 0,1 = 1.
If 𝑃 {𝑋 = 1, 𝑌 = 1} = 𝑃 {𝑋 = 1} 𝑃 {𝑌 = 1} , show that 𝑋 and 𝑌 are independent
random variables.

13. Five cards are drawn at random without replacement from a deck of 52 cards. Let the
random variables 𝑋1 , 𝑋2 and 𝑋3 , respectively, denote the number of spades, the
number of hearts and the number of diamonds among the five drawn cards.
(i) Find the joint p.m.f. of (𝑋1 , 𝑋2 , 𝑋3 );
(ii) Are random variables 𝑋1 , 𝑋2 and 𝑋3 independent?

14. Consider a sample of size 3 drawn with replacement from an urn containing 3 white, 2
black and 3 red balls. Let the random variables 𝑋1 and 𝑋2 , respectively, denote the
number of white balls and the number of black balls in the sample. Determine whether
or not 𝑋1 and 𝑋2 are independent.

15. The joint p.d.f. of (𝑋, 𝑌) is given by

4𝑥𝑦, if 0 < 𝑥 < 1, 0 < 𝑦 < 1
𝑓𝑋,𝑌 𝑥, 𝑦 = .
0, otherwise
(i) Verify whether 𝑋 and 𝑌 are independent;
(ii) Find the marginal p.d.f.s. of 𝑋 and 𝑌;
1 1
(iii) Find 𝑃 0 < 𝑋 < 2, <𝑌<1 and 𝑃 𝑋 + 𝑌 < 1 .
4

16. The joint p.d.f. of (𝑋, 𝑌) is given by

𝑐𝑒 −(2𝑥+3𝑦) , if 0 < 𝑥 < 𝑦 < ∞

𝑓𝑋,𝑌 𝑥, 𝑦 = ,
0, otherwise

where 𝑐 is a real constant.

(i) Find the value of the constant 𝑐;

(ii) Verify whether 𝑋 and 𝑌 are independent;
(iii) Find the marginal p.d.f.s of 𝑋 and 𝑌;

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NPTEL-Probability and Distributions

𝑌
(iv) Find 𝑃 𝑋<2 .

17. Let 𝑓 and 𝑔 be two p.d.f.s with respective distribution functions 𝐹 and 𝐺. Define
𝑕: ℝ2 → [0, ∞) as
𝑕 𝑥, 𝑦 = 1 + 𝛼 2𝐹 𝑥 − 1 2𝐺 𝑦 − 1 𝑓 𝑥 𝑔 𝑦 ,

where 𝛼 ∈ −1,1 .

(i) Show that 𝑕 is a p.d.f. of some random vector (𝑋, 𝑌);

(ii) Show that the marginal p.d.f.s of 𝑋 and 𝑌 are 𝑓 and 𝑔, respectively;
(iii) Does there exist a value of 𝛼 ∈ [−1,1] such that 𝑋 and 𝑌 are independent?

18. Let 𝑋 = (𝑋1 , 𝑋2 , 𝑋3 ) be a random vector with joint p.d.f.

𝑥2 2 2 𝑥2 2 2
1 −
1 +𝑥 2 +𝑥 3
−
1 +𝑥 2 +𝑥 3
𝑓𝑋 𝑥1 , 𝑥2 , 𝑥3 = 3 𝑒 2 1 + 𝑥1 𝑥2 𝑥3 𝑒 2 , 𝑥𝑖 ∈ ℝ, 𝑖 = 1,2,3.
2𝜋 2

(i) Are 𝑋1 , 𝑋2 , 𝑋3 independent?

(ii) Are 𝑋1 , 𝑋2 , 𝑋3 pairwise independent?
(iii) Find the marginal p.d.f.s of (𝑋1 , 𝑋2 ), (𝑋1 , 𝑋3 ), and (𝑋2 , 𝑋3 ).

19. A point 𝑋1 is chosen at random from the interval 0,1 and then a point 𝑋2 is chosen at
random from the interval 0, 𝑋1 . Compute 𝑃 {𝑋1 + 𝑋2 ≥ 1} and find the conditional
mean 𝐸 𝑋1 𝑋2 = 𝑥2 , 𝑥2 ∈ 0,1 .

20. With the help of a counter example, show that if the random variables 𝑋1 and 𝑋2 are
uncorrelated, then this does not, in general, imply that 𝑋1 and 𝑋2 are independent.

21. Let 𝑋 = (𝑋1 , 𝑋2 ) be a random vector having the p.d.f.

1 1
2 , if 1 < 𝑥1 < ∞, < 𝑥2 < 𝑥1
𝑓 𝑥1 , 𝑥2 = 2𝑥1 𝑥2 𝑥1 .
0, otherwise
(i) Find the marginal p.d.f.s of 𝑋1 and 𝑋2 ;
(ii) Find the conditional means and variances of 𝑋1 given 𝑋2 = 𝑥2 (𝑥2 ∈ (0, ∞)) and
𝑋2 given 𝑋1 = 𝑥1 (𝑥1 ∈ (1, ∞));
(iii) Are 𝑋1 and 𝑋2 independent random variables?
(iv) Find Corr 𝑋1 , 𝑋2 ;
1
(v) Find 𝑃({𝑋2 < 2} {𝑋1 = 2});
1
(vi) Find 𝑃({𝑋2 < 2} {𝑋1 > 3}).

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NPTEL-Probability and Distributions

22. Let (𝑋, 𝑌) be a random vector such that the p.d.f. of 𝑋 is

4𝑥 1 − 𝑥 2 , if 0 < 𝑥 < 1
𝑓𝑋 𝑥 = ,
0, otherwise
and, for fixed 𝑥 ∈ 0,1 , the conditional p.d.f. of 𝑌 given 𝑋 = 𝑥 is

2𝑦
𝑓𝑌 𝑋 𝑦 𝑥 = 1 − 𝑥 2 , if 𝑥 < 𝑦 < 1.
0, otherwise
(i) For 𝑦 ∈ 0,1 , find conditional p.d.f. of 𝑋 given 𝑌 = 𝑦;
1 1
(ii) Find 𝐸(𝑋 𝑌 = ) and Var 𝑋 𝑌 = ;
2 2
1 1 2 1
(iii) Find 𝑃 0<𝑌< and 𝑃 <𝑌< 𝑋= .
3 3 3 2

23. Let (𝑋, 𝑌) be a random vector with joint p.m.f. given by:

𝑓𝑋,𝑌 (𝑥, 𝑦)
𝑦↓𝑥→ 1 2 3 4
4 .08 .11 .09 .03
5 .04 .12 .21 .05
6 .09 .06 .08 .04

(i) Find the conditional p.m.f. of 𝑋, given 𝑌 = 5;

(ii) Find the probabilities 𝑃 {𝑋 + 𝑌 ≤ 8} , 𝑃 {𝑋 + 𝑌 > 7} , 𝑃 {𝑋𝑌 ≤ 14} ,
𝑃 {𝑋𝑌 > 18} , 𝑃( 𝑋 = 3 {𝑌 = 5}) and 𝑃 {𝑌 = 5} {𝑋 = 3} ;
(iii) Find Corr 𝑋, 𝑌 .

24. Let 𝑋1 , … , 𝑋𝑛 be 𝑛 random variables with 𝐸 𝑋𝑖 = 𝜇𝑖 , Var 𝑋𝑖 = 𝜍𝑖2 and 𝜌𝑖𝑗 =

Corr 𝑋𝑖 , 𝑋𝑗 , 𝑖, 𝑗 = 1, … , 𝑛, 𝑖 ≠ 𝑗. For real numbers 𝑎𝑖 , 𝑏𝑖 , 𝑖 = 1, … , 𝑛, define 𝑌 =
𝑛 𝑛
𝑖=1 𝑎𝑖 𝑋𝑖 and 𝑍 = 𝑖=1 𝑏𝑖 𝑋𝑖 . Find Cov 𝑌, 𝑍 .

25. Let 𝑋1 , 𝑋2 and 𝑋3 be three independent random variables each with a variance 𝜍 2 .
Define the random variables
3−1 3− 3
𝑊1 = 𝑋1 , 𝑊2 = 𝑋1 + 𝑋2 , and 𝑊3 = ( 2 − 1)𝑋2 + 2 − 2 𝑋3 .
2 2
Find Corr 𝑊1 , 𝑊2 , Corr 𝑊1 , 𝑊3 and Corr 𝑊2 , 𝑊3 .

26. Let 𝑋 and 𝑌 be jointly distributed random variables with 𝐸 𝑋 = 𝐸 𝑌 = 0, 𝐸 𝑋 2 =

𝑋 2𝑌 2𝑋 𝑌
𝐸 𝑌 2 = 2 and Corr 𝑋, 𝑌 = 1 3. Find Corr + , +3 .
3 3 3

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NPTEL-Probability and Distributions

27. Let 𝑋, 𝑌 have the joint p.m.f. given by:

(𝑥, 𝑦) (1,1) (1,2) (1,3) (2,1) (2,2) (2,3)

𝑓𝑋,𝑌 𝑥, 𝑦 2 4 3 1 1 4
15 15 15 15 15 15

and 𝑓𝑋,𝑌 𝑥, 𝑦 = 0, elsewhere. Find 𝜌 = Corr 𝑋, 𝑌 .

28. Let 𝑋1 , 𝑋2 and 𝑋3 be three random variables with means, variances and correlation
coefficients denoted by 𝜇1 , 𝜇2 , 𝜇3 ; 𝜍12 , 𝜍22 , 𝜍32 and 𝜌12 , 𝜌13 , 𝜌23 , respectively. If
𝐸 𝑋1 − 𝜇1 𝑋2 = 𝑥2 , 𝑋3 = 𝑥3 = 𝑏2 (𝑥2 − 𝜇2 ) + 𝑏3 (𝑥3 − 𝜇3 ), for some constants
𝑏2 and 𝑏3 , determine 𝑏2 and 𝑏3 in terms of the variances and correlation coefficients.

29. Let 𝑋1 , … , 𝑋𝑛 denote a random sample, where 𝑋1 , … , 𝑋𝑛 are positive with probability
one. Show that
𝑋1 + 𝑋2 + ⋯ + 𝑋𝑘 𝑘
𝐸 = , 𝑘 = 1,2, … , 𝑛.
𝑋1 + 𝑋2 + ⋯ +𝑋𝑛 𝑛

30. Let 𝑋1 , … , 𝑋𝑛 be a random sample of absolutely continuous type random variables. If

the expectation of 𝑋1 is finite and the distribution of 𝑋1 is symmetric about 𝜇 ∈
(−∞, ∞) then show that
𝑑
(i) 𝑋𝑟:𝑛 − 𝜇 = 𝜇 − 𝑋𝑛−𝑟+1:𝑛 , 𝑟 = 1, … , 𝑛;
(ii) 𝐸 𝑋𝑟:𝑛 + 𝑋𝑛−𝑟+1:𝑛 = 2𝜇, 𝑟 = 1, … , 𝑛;
(iii) 𝐸 𝑋𝑛 +1:𝑛 = 𝜇, if 𝑛 is odd;
2
1
(iv) 𝑃 𝑋𝑛 +1:𝑛 > 𝜇 = 2, if 𝑛 is odd.
2

31. Let 𝑋1 , … , 𝑋𝑛 be a random sample and let 𝐸 𝑋1 be finite.

(i) Find the conditional expectation 𝐸 𝑋1 𝑋1 + ⋯ + 𝑋𝑛 = 𝑡 , where 𝑡 ∈ ℝ is such that
the conditional expectation is defined.
(ii) If 𝑋1 is of absolutely continuous type and 𝜋1 , … , 𝜋𝑛 is a permutation of 1, … , 𝑛 ,
find 𝑃 𝑋𝜋 1 < ⋯ < 𝑋𝜋 𝑛 .

32. Let 𝑋1 and 𝑋2 be i.i.d. 𝑁(0,1) random variables and let 𝑌 = 𝑋1 + 𝑋2 , 𝑍 = 𝑋12 + 𝑋22 .
𝑡2
1
𝑒 1−2𝑡 2 1
(i) Show that the m.g.f. of (𝑌, 𝑍) is 𝑀𝑌,𝑍 𝑡1 , 𝑡2 = 1−2𝑡 2
, 𝑡2 < 2 ;
(ii) Using (a), find Corr 𝑌, 𝑍 .

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NPTEL-Probability and Distributions

33. Suppose that the lifetimes of electric bulbs manufactured by a manufacturer follows
exponential distribution with mean of 50 hours. Eight such bulbs are chosen at
random.
(i) Find the probability that, among eight chosen bulbs, 2 will last less than 40 hours,
3 will last anywhere between 40 and 60 hours, 2 will last anywhere between 60
and 80 hours and 1 will last for more than 80 hours;
(ii) Find the expected number of bulbs in the lot of 8 chosen bulbs with lifetime
between 60 and 80 hours;
(iii) Find the expected number of bulbs in the lot of 8 chosen bulbs with lifetime
between 60 and 80 hours, given that the number of bulbs in the lot with lifetime
anywhere between 40 and 60 hours is 2.

34. Suppose that 𝑋~ Mult 30, 𝜃1 , 𝜃2 , 𝜃3 , 𝜃4 . Find the conditional probability mass
function of (𝑋1 , 𝑋2 , 𝑋3 , 𝑋4 ) given that 𝑋1 + 𝑋2 +𝑋3 + 𝑋4 = 28.

35. Let 𝑋 = (𝑋1 , 𝑋2 ) have the joint p.d.f.

𝑓𝑋 𝑥1 , 𝑥2 = 𝜙(𝑥1 )𝜙(𝑥2 )[1 + 𝛼 2Φ 𝑥1 − 1 2Φ 𝑥2 − 1 ], 𝑥𝑖 ∈ ℝ, 𝑖 = 1, 2,

where 𝛼 ≤ 1.
(i) Verify that 𝑓𝑋 𝑥1 , 𝑥2 is a p.d.f.;
(ii) Find the marginal p.d.f.s of 𝑋1 and 𝑋2 ;
(iii) Is (𝑋1 , 𝑋2 ) jointly normal?

36. Let 𝑋 = 𝑋1 , 𝑋2 ~𝑁2 (𝜇1 , 𝜇2 , 𝜍12 , 𝜍22 , 𝜌) and, for real constants 𝑎1 , 𝑎2 , 𝑎3 , and
𝑎4 𝑎𝑖 ≠ 0, 𝑖 = 1, 2, 3, 4, 𝑎1 𝑎4 ≠ 𝑎2 𝑎3 , let 𝑌 = 𝑎1 𝑋1 + 𝑎2 𝑋2 and 𝑍 = 𝑎3 𝑋1 + 𝑎4 𝑋2 .
(i) Find the joint p.d.f. of (𝑌, 𝑍) ;
(ii) Find the marginal p.d.f.s. of 𝑌 and 𝑍.

37. Let 𝑋 and 𝑌 be i.i.d. 𝑁 0, 𝜍 2 random variables.

(i) Find the joint p.d.f. of 𝑈, 𝑉 , where 𝑈 = 𝑎𝑋 + 𝑏𝑌 and 𝑉 = 𝑏𝑋 − 𝑎𝑌 𝑎 ≠ 0, 𝑏 ≠
0 ;
(ii) Show that 𝑈 and 𝑉 are independent;
𝑋+𝑌 𝑋−𝑌
(iii) Show that and are i.i.d. 𝑁(0, 𝜍 2 ) random variables.
2 2

38. Let 𝑋 = 𝑋1 , 𝑋2 ~𝑁2 0, 0, 1,1, 𝜌 .

(i) Find the m.g.f. of 𝑌 = 𝑋1 𝑋2 ;
(ii) Using (i), find 𝐸 𝑋12 𝑋22 ;
(iii) Using conditional distribution of 𝑋1 given 𝑋2 , find 𝐸 𝑋12 𝑋22 .

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NPTEL-Probability and Distributions

39. Let 𝑋 = (𝑋1 , 𝑋2 ) have the joint p.d.f.

1 −1 𝑥 2 +𝑦 2
𝑓 𝑥, 𝑦 = 𝜋 𝑒 , if 𝑥𝑦 > 0 .
2

0, otherwise
Show that 𝑋𝑖 ∼ 𝑁 0, 1 , 𝑖 = 1, 2, but 𝑋 = (𝑋1 , 𝑋2 ) does not have a bivariate normal
distribution.

40. For a fixed 𝜌 ∈ −1,1 and 𝛼 ∈ (0, 1), let the random variable (𝑋, 𝑌) have the joint
p.d.f.

𝑔𝜌 𝑥, 𝑦 = 𝛼𝑓𝜌 𝑥, 𝑦 + (1 − 𝛼)𝑓−𝜌 𝑥, 𝑦 ,

where 𝑓𝑟 ⋅,⋅ , −1 < 𝑟 < 1, denotes the pdf of 𝑁2 0,0,1,1, 𝑟 . Show that 𝑋 and 𝑌 are
normally distributed but the distribution of (𝑋, 𝑌) is not bivariate normal.

41. Consider the random vector (𝑋, 𝑌) as defined in Problem 39.

(i) Find Corr 𝑋, 𝑌 ;
(ii) Are 𝑋 and 𝑌 independent?

42. Suppose that 𝑋 ~ 𝑁2 0, 0, 1, 1, 0 . Find 𝑐1 such that 𝑃 −𝑐1 ≤ 𝑋1 ≤ 𝑐1 , −𝑐1 ≤ 𝑋2 ≤

𝑐1 = 0.95.

43. (i) Let 𝑋, 𝑌 ~𝑁2 5, 8,16, 9, 0.6 . Find 𝑃( 5 < 𝑌 < 11 ) {𝑋 = 2}), 𝑃 4 < 𝑋 < 6
and 𝑃 7 < 𝑌 < 9 ;
(ii) Let 𝑋, 𝑌 ~𝑁2 5, 10, 1, 25, 𝜌 , where 𝜌 > 0. If 𝑃 4 < 𝑌 < 16 {𝑋 = 5}) =
0.954, determine 𝜌.

44. (i) Let 𝑋 ~ Bin 𝑛1 , 𝑝 and 𝑌 ~ Bin 𝑛2 , 𝑝 be independent random variables. For
𝑡 ∈ 0, 1, … , min 𝑛1 , 𝑛2 , find the conditional distribution and conditional mean of
𝑋 given 𝑋 + 𝑌 = 𝑡.

(ii) Let 𝑋 ~ P 𝜆1 and 𝑌 ~ P 𝜆2 be independent random variables. For 𝑡 ∈ 0,1, … ,

find the conditional distribution and conditional mean of 𝑋 given 𝑋 + 𝑌 = 𝑡

45. Let 𝑋 and 𝑌 be independent random variables with respective p.d.f.s.

1
𝑓𝑋 𝑥 = 3 , if 1 ≤ 𝑥 ≤ 4
0, otherwise

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NPTEL-Probability and Distributions

and

𝑒 −(𝑦−2) , if 𝑦 ≥ 2
𝑓𝑌 𝑦 = .
0, otherwise
𝑋
Find the distribution function of 𝑇 = 𝑌 and hence find the p.d.f. of 𝑇.

46. Let 𝑋 and 𝑌 be i.i.d. 𝑈(0,1) random variables. Find the marginal p.d.f.s. of
𝑋+𝑌
(i) 𝑋 + 𝑌, 𝑋 − 𝑌, , 𝑋−𝑌 ;
𝑋−𝑌
min 𝑋,𝑌
(ii) min 𝑋, 𝑌 , max 𝑋, 𝑌 , ;
max 𝑋,𝑌
(iii) 𝑋2 + 𝑌2 .

47. Let 𝑊 ~ 𝐵𝑒 𝛼1 , 𝛼2 and 𝑇 ~ 𝐺(𝛼1 + 𝛼2 , 𝜃) be independent random variables. Using

Example 10.2.11, show that 𝑊𝑇 ~ 𝐺(𝛼1 , 𝜃).

𝑐
48. Let 𝑋 and 𝑌 be i.i.d. random variables with common p.d.f. 𝑓 𝑥 = , −∞ < 𝑥 <
1+𝑥 4
𝑋
∞, where 𝑐 is the normalizing constant. Find the p.d.f. of 𝑍 = 𝑌 .

49. Let 𝑋 and 𝑌 be i.i.d. 𝑁(0,1) random variables. Define the random variables 𝑅 and Θ
by 𝑋 = 𝑅 cos Θ , 𝑌 = 𝑅 sin Θ.
𝑅2
(i) Show that 𝑅 and Θ are independent with ~ Exp 1 and Θ~ 𝑈 0, 2𝜋 ;
2
𝑋
(ii) Show that 𝑋 2 + 𝑌 2 and are independently distributed;
𝑌
(iii) Show that sin Θ and sin 2Θ are identically distributed and hence find the p.d.f.
𝑋𝑌
of 𝑇 = ;
𝑋 2 +𝑌 2
3𝑋 2 𝑌−𝑌 3
(iv) Find the distribution of 𝑈 = .
𝑋 2 +𝑌 2

50. Let 𝑈1 and 𝑈2 be i.i.d. 𝑈 0, 1 random variables. Show that

𝑋1 = −2 ln𝑈1 cos(2𝜋𝑈2 ) and 𝑋2 = −2 ln𝑈1 sin 2𝜋𝑈2 are i.i.d. 𝑁 0, 1 random
variables. (This is known as the Box-Muller transformation).

51. Let 𝑋, 𝑌 ~ 𝑁2 0, 0, 1, 1, 𝜌 .
1 arc sin 𝜌
(i) Show that 𝑃 {𝑋 > 0, 𝑌 > 0} = + . Also find 𝑃 {𝑋 < 0, 𝑌 <
4 2𝜋
0} , 𝑃 {𝑋 > 0, 𝑌 < 0} and 𝑃 {𝑋 < 0, 𝑌 > 0} ;
1 arc sin 𝜌 1 arc sin 𝜌
(ii) Show that 𝑃 {𝑋𝑌 > 0} = 2 + and 𝑃 {𝑋𝑌 < 0} = 2 − .
𝜋 𝜋

52. Let 𝑋1 , … , 𝑋𝑛 be a random sample from the Exp(1) distribution.

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NPTEL-Probability and Distributions

(i) Find the marginal distributions of 𝑌1 , … , 𝑌𝑛 , where

𝑖
𝑗 =1 𝑋𝑗
𝑌𝑖 = 𝑖+1 , 𝑖 = 1, … , 𝑛 − 1, 𝑌𝑛 = 𝑋1 + ⋯ + 𝑋𝑛 ;
𝑗 =1 𝑋𝑗
(ii) Are 𝑌1 , … , 𝑌𝑛 independent?

53. Let 𝑋1 , 𝑋2 , 𝑋3 be i.i.d. 𝐺(𝑚, 1) random variables. Let 𝑍1 = 𝑋1 + 𝑋2 + 𝑋3 , 𝑍2 =

𝑋2 𝑋3
and 𝑍3 = 𝑋 .
𝑋1 +𝑋2 +𝑋3 1 +𝑋2 +𝑋3
(i) Show that 𝑍1 and (𝑍2 , 𝑍3 ) are independent and find marginal p.d.f.s. of 𝑍1 , 𝑍2
and 𝑍3 ;
(ii) Find 𝐸 𝑍12 𝑍2 𝑍3 .

1
54. Let 𝑋1 and 𝑋2 be independent random variables with 𝑋𝑖 ~ Bin 𝑛𝑖 , 2 , 𝑖 = 1, 2. Using
the m.g.f. technique, find the distribution of 𝑌 = 𝑋1 − 𝑋2 + 𝑛2 .

55. Let 𝑋1:𝑛 ≤ 𝑋2:𝑛 ≤ ⋯ , ≤ 𝑋𝑛:𝑛 be the set of order statistics associated with a random
sample of size 𝑛 (≥ 2) from the Exp(1) distribution.
(i) Let 𝑍1 = 𝑛𝑋1:𝑛 , 𝑍𝑖 = 𝑛 − 𝑖 + 1 𝑋𝑖:𝑛 − 𝑋𝑖−1:𝑛 , 𝑖 = 2, … , 𝑛 . Show that
𝑍1 , … , 𝑍𝑛 are i.i.d. Exp 1 random variables;
(ii) Using (i), or otherwise, find 𝐸 𝑋𝑟:𝑛 , Var 𝑋𝑟:𝑛 and Cov 𝑋𝑟:𝑛 , 𝑋𝑠:𝑛 , 1 ≤ 𝑟 <
𝑠 ≤ 𝑛;
(iii) Show that 𝑋𝑟:𝑛 and 𝑋𝑠:𝑛 − 𝑋𝑟:𝑛 are independent for any 𝑠 > 𝑟;
(iv) Find the p.d.f. of 𝑋𝑟+1:𝑛 − 𝑋𝑟:𝑛 , 𝑟 = 1, 2, … , 𝑛.

56. Let 𝑋1 , … , 𝑋𝑛 be i.i.d. non-negative random variables ( 𝑃 𝑋1 ≥ 0 = 1 ) of the

absolutely continuous type. If 𝐸 𝑋1 < ∞ and 𝑀𝑛 = max 𝑋1 , … , 𝑋𝑛 , show that
∞
𝑛−1
𝐸 𝑀𝑛 = 𝐸 𝑀𝑛−1 + 𝐹 𝑥 1 − 𝐹 𝑥 𝑑𝑥.
0

57. Let 𝑋1:𝑛 ≤ 𝑋2:𝑛 ≤ ⋯ ≤ 𝑋𝑛:𝑛 be the order statistics associated with a random sample of
𝑋 𝑖:𝑛
size 𝑛 ≥ 2 from the 𝑈 0,1 distribution. Let 𝑌𝑖 = 𝑋 , 𝑖 = 1, … , 𝑛 − 1 , and
𝑖+1:𝑛
𝑌𝑛 = 𝑋𝑛:𝑛 . Show that 𝑌1 , … , 𝑌𝑛 are independent and find the p.d.f of 𝑌𝑖 , 𝑖 = 1, … , 𝑛.

Dept. of Mathematics and Statistics Indian Institute of Technology, Kanpur 11