Mathstats Classes — Mob: 8810409392 — [Link].
in
Stochastic Processes – Practice Problems
30 MCQ — 10 MSQ — 20 NAT
Multiple Choice Questions (MCQ, only ONE correct)
1. For a Markov chain, the (i, j) entry of P 2 gives: (A) Probability of being in state i after 2
steps (B) Probability of moving from i to j in 2 steps) (C) Stationary probability
(D) Initial distribution
2. If a Markov chain has transition matrix P , then the stationary distribution π satisfies: (A)
π = P π (B) πP = π (C) πP = π) (D) P π = 0
0.7 0.3
3. A two-state Markov chain with P = , probability of being in state 2 after 2 steps
0.4 0.6
starting from state 1: (A) 0.18 (B) 0.36 (C) 0.39) (D) 0.45
4. Chapman-Kolmogorov equation is used to compute: (A) One-step transition probabilities
(B) Stationary distribution (C) Higher order transition probabilities) (D) Eigen-
values of P
5. A Markov chain is irreducible if: (A) All states communicate (B) Some states communicate
s
se
(C) All states communicate) (D) No state is recurrent
as
Cl
6. Limiting probabilities of a regular Markov chain are: (A) Equal to initial probabilities (B)
ts
Nonexistent (C) Given by stationary distribution) (D) Negative
ta
hs
7. In a Poisson process with rate λ, the probability of 2 arrivals in time t is: (A) (λt)2 /2!e−λt
at
(B) (λt)2 /2!e−λt ) (C) λte−λt (D) (λt)2 e−λt
M
8. Interarrival times in a Poisson process are: (A) Normal (B) Uniform (C) Exponentially
distributed) (D) Poisson distributed
9. For a Poisson process, waiting time until 3rd arrival is: (A) Gamma(3, λ) (B) Gamma(3,λ))
(C) Exponential(λ) (D) Poisson(3λ)
10. Stationary distribution exists if: (A) Chain is periodic (B) Chain is transient (C) Chain
is irreducible and aperiodic) (D) None
Multiple Select Questions (MSQ, ONE OR MORE correct)
1. Properties of Poisson process include: (A) Independent increments, B) Stationary in-
crements, C) Exponentially distributed interarrival times, D) Number of arrivals
follows Poisson distribution) Answer: A, B, C, D
2. For a finite Markov chain: (A) Stationary distribution always exists (B) Regular chain
implies limiting distribution exists (C) Irreducible aperiodic chain has unique sta-
tionary distribution) (D) Absorbing states prevent stationary distribution Answer: B,
C
Mathstats Classes — Mob: 8810409392 — [Link]
Mathstats Classes — Mob: 8810409392 — [Link]
Numerical Answer Type (NAT)
0.5 0.5
1. A Markov chain has P = . If starting from state 1, probability of being in state 2
0.3 0.7
after 3 steps?
0.6 0.4
2. Compute stationary distribution for P = .
0.2 0.8
3. For a Poisson process with rate λ = 2, find probability of exactly 5 arrivals in t=3.
4. Waiting time until 4th arrival in Poisson process with rate λ = 1.
0.8 0.2
5. Compute 2-step transition probability from state 1 to 1 for P = .
0.5 0.5
6. Higher-order transition probability P (3) from state 2 to 1, same chain.
7. A Poisson process λ = 0.5, probability that waiting time for first arrival ¿ 2?
0.7 0.3
8. Markov chain P = . Compute limiting probabilities.
0.2 0.8
s
se
9. Probability of no arrivals in Poisson process with λ = 4, t=1.
as
Cl
10. Compute mean and variance of waiting time for 5th arrival in Poisson process with λ = 3.
ts
ta
hs
Answer Key
at
M
MCQ: 1-B, 2-C, 3-C, 4-C, 5-C, 6-C, 7-B, 8-C, 9-B, 10-C,
MSQ: 1-A,B,C,D; 2-B,C;
NAT: 1-0.425, 2-[0.333,0.667], 3-0.180, 4-3.0, 5-0.68, 6-0.53, 7-0.368, 8-[0.4,0.6], 9-0.0183, 10-1.666,
Mathstats Classes — Mob: 8810409392 — [Link]