Stat 317/253 Winter 2013 HW #10 February 1

Due Friday, February 8, in class (at the beginning of the lecture period)

Readings: [IPS10e] Section 5.3-5.4 (Skip Section 5.3.6) in particular

• Proof of Proposition 5.3 on p.333-334

• Proof of Proposition 5.4 on p.340-341

Problems to Turn In:

1. [IPS10e] Exercise 5.55 on p.362

2. [IPS10e] Exercise 5.66 on p.364 (Hint: Use Theorem 5.2)

3. [IPS10e] Exercise 5.72 on p.365-366

Recommended Problems for Self Study (Do Not Turn In):

1. [IPS10e] Example 5.18, 5.19, 5.20 on p.327-333

2. [IPS10e] Example 5.24, 5.25 on p.327-333

3. [IPS10e] Exercise 5.60, 5.64 (Solution on p.753. Hint: Use Theorem 5.2)

4. [IPS10e] Exercise 5.78, 5.80, 5.86 (See solutions below)

Solutions to Self-Study Problems

[IPM10e] Exercise 5.78

A store opens at 8 A.M. From 8 until 10 customers arrive at a Poisson rate of four an hour. Between
10 and 12 they arrive at a Poisson rate of eight an hour. From 12 to 2 the arrival rate increases
steadily from eight per hour at 12 to ten per hour at 2; and from 2 to 5 the arrival rate drops
steadily from ten per hour at 2 to four per hour at 5. Determine the probability distribution of the
number of customers that enter the store on a given day.

Solution: For a day, the arrival rate can be written as



 0, 0≤t<8



 4, 8 ≤ t < 10
8, 10 ≤ t < 12

λ(t) =

 t − 4, 12 ≤ t < 14
38 − 2t, 14 ≤ t < 17




17 ≤ t < 24.

0,

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On a one day scale, we have Z 24
λ(t)dt = 63.
0
Therefore, the probability distribution of the number of customers that enter the store on a given
day is a Poisson with rate 63.

[IPM10e] Exercise 5.80

Let T1 , T2 , . . . denote the interarrival times of events of a nonhomogeneous Poisson process having
intensity function λ(t).

(a) Are the Ti independent?

(b) Are the Ti identically distributed?
(c) Find the distribution of T1 .

Rt
Solution: Let m(t) = 0 λ(s)ds. We know that for all t, s > 0, N (t + s) − N (s) ∼ P oi(m(t + s) −
m(s)). That is,
[m(t + s) − m(s)]n
P(N (t + s) − N (s) = n) = exp(−[m(t + s) − m(s)])
n!

(a) No, Ti ’s are not independent. For example, the conditional probability of T2 > t given T1 = s
is

P(T2 > t|T1 = s) = P(0 events in (s, s + t]|T1 = s)

= P(0 events in (s, s + t])
= exp(−[m(t + s) − m(s)]),

which depends on s. So T2 depends on T1 .

(b) No. Since the rate are non-homogeneous, the Ti will not be identically distributed
(c) Since T1 > t means no event occurs before time t, i.e., N (t) = 0, we can derive the distribution
function of T1 , FT1 (t) as follows

FT1 (t) = P(T1 ≤ t) = 1 − P(T1 > t) = 1 − P(N (t) = 0) = 1 − exp(−m(t)).

The density function of T1 is

d
fT1 (t) = FT (t) = λ(t) exp(−m(t)).
dt 1

Remark: The distribution of T2 can be derived using (c)

Z ∞
P(T2 > t) = P(T2 > t|T1 = s)fT1 (s)ds
Z0 ∞
= e−[m(t+s)−m(s)] λ(s)e−m(s) ds
0
Z ∞
= λ(s)e−m(t+s) ds
0

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Thus the density of T2 is
Z ∞
d
fT2 (t) = − P(T2 > t) = λ(s)λ(t + s)e−m(t+s) ds
dt 0
We can see that the densities of T1 and T2 are clearly different. They are NOT identically dis-
tributed.

[IPM10e] Exercise 5.86

In good years, storms occur according to a Poisson process with rate 3 per unit time, while in other
years they occur according to a Poisson process with rate 5 per unit time. Suppose next year will
be a good year with probability 0.3. Let N (t) denote the number of storms during the first t time
units of next year.

(a) Find P(N (t) = n).

(b) Is {N (t)} a Poisson process?
(c) Does {N (t)} have stationary increments? Why or why not?
(d) Does it have independent increments? Why or why not?
(e) If next year starts off with three storms by time t = 1, what is the conditional probability it
is a good year?

Solution: The occurrence of storms is a conditional Poisson process. For simplicity, let G be the
event that next year is a good year, and B the event that next year is not good.

(a) P (N (t) = n) = P (N (t) = n|G)P (G) + P (N (t) = n|B)P (B)

(3t)n −3t (5t)n −5t
= e × 0.3 + e × 0.7
n! n!
(b) From (a), it is obvious that P (N (t) = n) is not of the form of the pmf of a Poisson distribution.
So N (t) is not a Poisson process.
(c) For any s > 0, we have
P (N (t + s) − N (s) = n)
= P (N (t + s) − N (s) = n|G)P (G) + P (N (t + s) − N (s) = n|B)P (B)
(3t)n −3t (5t)n −5t
= e × 0.3 + e × 0.7.
n! n!
Since this doesn’t change with s, {N (t)} has stationary increments.
(d) No! Knowing how many storms occurs in an interval changes the probability that it is a good
year and this affects the probability distribution of the number of storms in other intervals.
(e)
P (G ∩ {N (1) = 3})
P (G|N (1) = 3) =
P (N (1) = 3)
P (N (1) = 3|G)P (G)
=
P (N (1) = 3|G)P (G) + P (N (1) = 3|B)P (B)
e−3 33 /3! × 0.3
= −3 3
e 3 /3! × 0.3 + e−5 53 /3! × 0.7
= 0.406.

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