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Problems for Module 7
ELEC-326 Probability and Random Processes
Instructor: S. GAZOR
D EPARTMENT OF E LECTRICAL AND C OMPUTER E NGINEERING
Faculty of Engineering and Applied Science, Queen’s University,
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also constitute a breach of academic integrity under the University Senate’s Academic Integrity Policy
Statement.
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Question 1: Two random variables x and y are independent and have identical Gaussian distributions
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with fx (x) = √12π exp( −x2 ) for x ∈ R.
1.a) Find the joint pdf of these random variables, P [x > y] and the conditional pdf fx|y (x|y).
1.b) Find the mean, the variances and the covariance of these random variables. Are they correlated?
yes: no: why?
1.c) Find the distribution of z = x2 + y2 .
1.c) Determine E[z] and E[xz].
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Question 2: Let x and y be jointly continuous random variables with a joint probability density function
Cxy, if 0 < x < 1, 0 < y < 1,
fx,y (x, y) =
0, otherwise.
2.1) Determine the value of C.
2.2) Are x and y independent? yes: no: Explain why:
2.3) Find fx (x), the marginal density function of x.
2.4) Use fx (x) from the previous part to calculate E[x].
2.5) Find fy|x (y|x), the conditional density function of y given x = x.
2.6) Use fy|x (y|x) from the previous part to calculate E[y|x = x].
2.7) Find the pdf or cdf of w = max(x, y).
2.8) Find E[xy] and cov(x, y).
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Question 3: Let x and y be independent RVs both uniformly distributed over the interval (−1, 1).
1) Write the jpdf and marginal pdfs of x and y.
Solution: We have 1
1 x 2
, −1 < x < 1,
fx (x) = rect( ) =
2 2 0, otherwise,
1
1 y 2
, −1 < y < 1,
fy (y) = rect( ) =
2 2 0, otherwise,
And because of independence
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,−1 < x < 1, −1 < y < 1,
fx,y (x, y) = fx (x)fy (y) =
0, otherwise.
2) Find the distribution of z = (x + y)2 .
Solution: We will find first the distribution of w = x + y which can be calculated using a previous
problem solved for sum of RVs by
Z +∞
fw (w) = fx,y (τ, w − τ )dτ.
τ :−∞
Using previous part and above expression, we have
1 +∞ w−τ
Z
τ 1
fw (w) = rect( )rect( ) = (2 − |w|), for |w| < 2.
4 τ :−∞ 2 2 4
√ √
Now we use z = w2 . Solving z = w2 , we obtain two solutions w1 = z and w2 = − z for z > 0
and no solutions for z < 0. Thus
fw (w1 ) fw (w2 )
fz (z) = + ,
|J1 | |J2 |
d √
where |J1 | = | dw w2 |w1 = 2w1 = 2 z = |J2 |. Thus
(
1 √2
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− 1 , 0 < z < 4,
fz (z) = z .
0, otherwise.
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Question 4: The random variables x and y have the following joint density function
C(y − x)e−x , −y ≤ x ≤ y, 0 ≤ y < ∞,
fx,y (x, y) = .
0, otherwise.
4.a) What type of random variable is x and why?
4.b) Find C. Are they independent? yes: no: why?
4.c) Find the joint pdf of w = y − x and z = x + y. Are they independent? yes: no: why?
fw,z (w, z) =
4.d) Find the conditional pdf of fx|y (x|y)