DEPARTMENT OF MATHEMATICS

INDIAN INSTITUTE OF TECHNOLOGY GUWAHATI

MA225 Probability Theory and Random Processes July - November 2017
Problem Sheet 4 NS

1. A telephone exchange receives calls from 1000 different lines. The probability that there will be a call
1
from any line is 800 in any particular minute. We can assume calls coming from different lines are
made independently. If the exchange can handle 24 calls per minute then what is the probability that
a call coming during a particular minute has to wait?
(
c
x3
, x>1
2. Let f (x) = . Find the value of c such that f is a density function. Obtain E(X)
0, otherwise
and V ar(X), if exists. Using this example construct the density function of a continuous random
variable for which E(X) does not exist.

3. Given a (Ω, F, P ) and an A ∈ F define a random variable X in this probability space such that
E(X) = P (A). What is the value of V ar(X)?

4. Let X be a continuous random variable with PDF

(
4x3 , 0 < x ≤ 1
fX (x) =
0, otherwise

and let Y = 1/X. Find fY (y), FY (y). Determine E(Y ), V ar(X), if exists.

5. Recall the result: Suppose that X is a continuous random variable on I and g : R → R is a strictly
monotonic differentiable function on I. Then the PDF of Y = g(X) is given (on g(I)) by
(  
fX (x1 )  dx −1
dy  , where g(x1 ) = y (or x1 = g (y))
 1
fY (y) =
0, if g(x) = y does not have a solution.
This can be extended as follows: If g is not monotonic on I, but suppose that we can partition I
into a finite number (say, m) of intervals such that g is strictly monotone and differentiable on each
partition. Then the PDF of Y is given by
( P  
m  dxi 
i=1 fX (xi )  dy  , where x1 , x2 , · · · , xm are real solutions of g(x) = y
fY (y) =
0, if g(x) = y does not have a solution.
x 2
Apply this to the case when fX (x) = √1 e− 2 , x ∈ R and let Y = X 2 . Verify the result by computing
2π
it from basic principles.

6. Let X ∼ U (− π2 , π) and Y = sin(X). Find fY (y).

R∞
7. If X is a positive continuous random variable, then show that E(X) = 0 P {X ≥ x}dx.

8. If X ∼ N (0, 1), then find (raw) moments E(X 2n ) and E(X 2n+1 ) for n ∈ N.

9. The CDF of the standard normal distribution is denoted by the Φ function: Φ(x) = P {Z ≤ x}, where
Z ∼ N (0, 1). If X ∼ N (−5, 4), then find P {X < 0}, P {−7 < X < −3} and P {X > −3|X > −5},
in terms of Φ(u) for some u ≥ 0.

1
10. Find the mean and variance of a Gamma distributed random variable.

11. Let X be a continuous random variable with PDF

(
2x, 0 ≤ x ≤ 1
fX (x) =
0, otherwise

and let Y = min{X, 1/2}. Find FY (y). Also, determine P { 14 ≤ Y ≤ 38 }, P {Y ≥ 41 } and E(Y ) (if it
exists).

12. (Markov’s inequality) Let X be a random variable such that P {X ≥ 0} = 1 and E(X) exists, then
show that for any a > 0, we have P {X ≥ a} ≤ E(X)
a .

13. (Chebyshev’s inequality) Let X be a random variable such that both mean (µ = E(X)) and variance
(σ 2 = E(X − µ)2 ) exists, then show that for any t > 0, we have P {|X − µ| ≥ σt} ≤ t12 .

14. Give an example of a random variable to show that the bound in Chebyshev’s inequality cannot be
improved in general.