ISyE 2027: Probability with Applications Handout 23

Sigrún Andradóttir April 2, 2020

Assignment 9
Due April 14, 2020, before class starts
Remember to attach a fully completed cover sheet to your homework

Problem 1 (15 points)

Consider discrete random variables X and Y whose joint probability mass function
(PMF) pX,Y (a, b) is provided in the following table:

pX,Y (a, b) b = 0 b = 5 b = 10
a=1 3/30 5/30 2/30
a=2 1/30 0 4/30
a=3 4/30 0 1/30
a=4 2/30 5/30 3/30

(pX,Y (a, b) = 0 if a 6∈ {1, 2, 3, 4} or b 6∈ {0, 5, 10}).

a. (2 points) Determine E[Y /X]. Explain.

b. (5 points) Determine the covariance Cov(X, Y ) and the correlation ρ(X, Y ). Ex-
plain.
c. (4 points) Determine Var(X + Y ) and E[5X + 10Y + 15]. Explain.
d. (2 points) Are X and Y independent? Explain.
e. (2 points) Are X and Y uncorrelated? If not, what information do the sign and
magnitude of the covariance and correlation provide? Explain.

Problem 2 (17 points)

Consider continuous random variables X and Y with joint probability density function
(PDF): (
1
(x + y) if 1 ≤ x ≤ 3 and 0 ≤ y ≤ 2,
fX,Y (x, y) = 12
0 otherwise.

a. (2 points) Determine E[Y /X]. Explain.

b. (7 points) Determine the covariance Cov(X, Y ) and the correlation ρ(X, Y ). Ex-
plain.
c. (4 points) Determine Var(X + Y ), Cov(5X + 10, 2Y + 4), ρ(5X + 10, 2Y + 4), and
ρ(3X − 5, 2 − 4Y ). Explain.
d. (2 points) Are X and Y independent? Explain.
e. (2 points) Are X and Y uncorrelated? If not, what information do the sign and
magnitude of the covariance and correlation provide? Explain.

1
Problem 3 (8 points)
a. (4 points) Do Problem 10.15, page 148 in the text. Explain.
b. (4 points) Do Problem 10.20, page 150 in the text. Explain.

Problem 4 (5 points)
a. (2 points) Suppose X ∼ Gam(2, 0.5). Compute the probability P(4 ≤ X ≤ 6).
Explain.
b. (3 points) Suppose X ∼ Gam(α, λ), where α > 0 and λ > 0. Determine E[X].
Use this result to compute the expected value of a Gam(2, 0.5) random vari-
able. Explain (you may want to use the probability density function (PDF) of a
Gam(α + 1, β) random variable to compute E[X]).

Problem 5 (4 points)
a. (1 point) Suppose that X and Y are independent Bernoulli random variables with
success probability p = 0.7. Determine the distribution of Z = X + Y . Explain.
b. (1 point) Suppose that X and Y are independent binomial random variables with
success probability p = 0.4, E[X] = 3.2, and E[Y ] = 1.2. Determine the distribu-
tion of Z = X + Y . Explain.
c. (1 point) Suppose that X and Y are independent normal random variables with
E[X] = 5, E[Y ] = 6, Var(X) = 4, and Var(Y ) = 8. Determine the distribution of
Z = X + Y . Explain.
d. (1 point) Suppose that X and Y are independent exponential random variables
with E[X] = E[Y ] = 7. Determine the distribution of Z = X + Y . Explain.

Reading Assignment
Read Chapter 10 of the text, the material on the binomial distribution in Section 11.1,
and the material on the gamma and normal distributions in Section 11.2.