Consider a random variable X with MGF: MX(t)=2exp(-3t)/(2-t). Find the CDF.

Case Estimate MSE

Note that the exp(-3t) is a time shift of t+3. No ^
Therefore, the MGF reduces to: MX(t)=2/(2-t), which is an Exponential MGF. Observation X = mX σ X2
We now know the pmf is fX(x)=2exp(-2(t-3))u(t-3).Integrate fX(x) to obtain FX(x). ^
x
One E(Var(X |Y ))
Ans: F (x) =
∫ 2e−2(y−3)dy = (1− e−2(x +3) )u(x + 3) Observation X (Y ) = E(X |Y )
X
One
3
^ σ
X (Y ) = X2,Y (Y − m€ σ X2 (1− ρ 2 )
Y ) + mX
Consider the following Matlab command: x=ceil(4*rand(1,1000)-0.6). Find pX(i). Observation
The ceil command rounds up a number to the closest integer. €
Linear σY
This command gives numbers from –0.6 to 3.4, giving rounded values from 0 to 4. €
€ We have a number line from 0 to 4 where 0.6/4 of the numbers will be zero, €
and 0.4/4 of the numbers will be 4. The probability for 1, 2, & 3 are the same.
Ans: pX(i)= 0.15δ(i) + 0.25δ(i-1) + 0.25δ(i-2) + 0.25δ(i-3) + 0.1δ(I-4)  P(Y =€i | X = j)P(X = i) 
P(X = i | Y = j) =  
Write a Matlab code to simulate 1000 draws of pdf: fX(x)=2(exp(-x) – exp(-2x))u(x) €  P(Y = j) 
First, find CDF by integrating fX(x) in terms of y, replacing x with y and from 0x.
Ans: FX(x) = 2 - 2e-x – 1 + e-2x = u  u = (1- e-x)2  e-x =1-sqrt(u)  x = -ln(1-sqrt(u))

Joint pdf of X and Y is given by: fX,Y(x,y) = exp(-x-y)u(x)u(y).

a) Find the pdf of Z=min(X,Y) € Continuous Probability Distribution
FZ(z) = P(Z≤z) = P(min(X,Y)≤z) = P((X≤z) U (Y≤z)) pmf  fX(x) MGF  MX(t) Mean Variance
Uniform 1 a+b
= P(X≤z) + P(Y≤z) – P(X≤z, Y≤z) OR 1 – P(X>z, Y>z)
 1 – exp(-z)exp(-z) = 1- exp(-2z). Differentiate FZ(z) to obtain fZ(z) over (a,b) e tb − e ta (b − a) 2
Ans: fZ(z) = 2exp(-2z)u(z) b−a t(b − a) 2 12
b) Find the pdf of W=X/(X+Y) Exponential
Transformation Method λe− λx λ 1 1
Since we just have one variable, we can create another one to use.
Set V= X+Y so that….
λ−t λ λ2
€ €
σ 2 t 2  € mx
Normal
Jacobian = =v
 (x−m )2 
 − €2x   σ2
Gaussian 1
 fW,V(w,v) =vexp(-v)u(v) for 0≤w≤1
€ e 2σ  exp mx + 2 
Integrate fW,V(w,v) to obtain Marginal of W
2πσ
Ans: fW(w) = 1 for 0≤w≤1 € € €
OR € €
CDF Method Discrete Probability Distribution
FW(w) = P(W≤w) = P(X/(X+Y)≤w) = P(X≤w(X+Y)) = P(X(1-w)≤Yw) pmf  p(x) MGF  M (t) Mean Variance
=P(X((1-w)/w)≤Y)  € € X
np
Binomial  n x n−x ( pe t
+ 1− p) n np(1− p)
  p (1− p)
∞ ∞ dFW (w)  x
∫ ∫ exp(− y)dydx = w & fW (w) = =1
Ans: FW (w) = for 0≤w≤1 Poisson
0 x (1−w)
dw
λx exp{λ(e t −1)} λ λ
w e− λ €
x! € €
€ Geometric x−1 t 1 1− p
€ p(1− p) pe
€
€ 1− (1−€p)e t
€p p2

 €
 (x − mX )2 (y − mY )2 2ρ (x − mX )(y − mY ) 
Joint Gaussian  1 1
exp  + − 
2πσ X σY 1− ρ 2
2
 2(1− ρ )  σ X
2
σY2 € σ X σY 
€ € €
Example: You have 1000 free minutes/month on your cell. Assume all calls are
Central Limit Theorem: iid with pmf pX (k) = (0.25)(0.75) k−1,k = 1,2.... What is the max number of
X − mX i calls you can make such that there is a probability of 0.99 that you won’t go over
Normalize
€ RVs: W i = i , E(W i ) = 0 & Var(W i ) = 1 your minutes. Use CLT.
σXi Ans: Note that this is a Geometric pmf. Therefore, m X = 4 and σ X = 12
€
n z x2  x − m 1000 − 4 n   1000 − 4 n 
1 1 −
Let Z n = ∑
n i=1
W i  P(Z n ≤ z) =
2 π
∫ e dx = Φ(z) as n ∞ P = P(X ≤ 1000) = 0.99 ⇒ P 2x ≤
2
€
 = Φ
 12n


€ € −∞  x σ 12n 
Example:
€
Number of students enrolled in a course with Poisson RV mean 100. If there are 120 students or more, the class will be split in two. If there are €
less than 120, the class won’t
split. What is the probability the class will split?
Ans:
P(X ≥ 120) = P(X ≥ 119.5) = P
 X −100 119.5 −100  € Example: A user plays a game Xi times. Xi is a Poisson RV with λ1 = 0.15 .
≥  ≈ 1− Φ(1.95) ≈ 0.256
€ €  100 100  € The game is played 200 times. Later, a user plays an upgraded game Yj times.
Yj is a Poisson RV with λ2 = 0.25 . The game is also played 200 times.
Example:
If 10 fair dice are rolled, find the probability that the sum obtained is between 30 and 40. Find P(Y>X) =???
€ €
Ans: Let Xi denote the value of the i-th die, i=1,2,….10.
We calculate: E(X i ) = 3.5 and Var(X i ) = E(X i2 ) − E(X i ) 2 = 35 /12 Ans: The mean€of a Poisson RV is λ .
  P(Y > X ) = P(Y − X > 0) = P( Z > 0)
Using the Central Limit Theorem:  
29.5 − 35 X − 35 40.5 − 35  m − 0
P(29.5 ≤ X ≤ 40.5) = P ≤ ≤  by Guassian Approximation 
 350 350 350  Φ Z 
€    σZ 
€  12 12 12 
where m Z = mY €
− m X = 20 and σ Z = σ Y + σ X = 80
≈ 2Φ(1.0184) −1 ≈ 0.629 €
€ €