Prof. H. K.

Hsieh

Stat 515 Final Exam Practice Problems + Solution

Students Name:

Section:

NOTE: Write main steps of your work clearly and circle your answers.
1. Suppose that the joint p.d.f. of X and Y is given by
f (x, y) = 8xy, 0 < x < y < 1
=0
elsewhere
(a) Verify that the f (x, y) given above is indeed a p.d.f.
Answer:
1

Z
0

8xydxdy =

Z
0

4yx2 ]y0 dy

4[y 3 ]dy = y 4 ]10 = 1.

So, f (x, y) is a pdf.

(b) Find the marginal probability density of X, f1 (x).
Answer:
Z 1
8xydy = 4xy 2 ]1x = 4x(1 x2 ), 0 < x < 1.
f1 (x) =
x

(c) Find the marginal probability density of Y , f2 (y).

Answer:
Z y
8xydy = 4yx2 ]y0 = 4y 3 , 0 < y < 1.
f2 (y) =
0

(d) Are X and Y independent?

Answer: X and Y are not independent as f (x, y) 6= f1 (x)f2 (y). We can also
argue that X and Y can not be independent as x and y in the support of f (x, y)
depend each other.
(e) Find the expected value of X and variance of X.
Answer:
E(X) =

Z
0

xf1 (x)dx =

Z
0

x4x(1x2 )dx = 4[x3 /3x5 /5]10 = 4(1/31/5) = 8/15.

V (X) = E(X 2 ) [E(X)]2 = (work out by yourself).

(f) Find the conditional density fY |x (y) of Y given X = x.
Answer:
f (y|x) = 8xy/[4x(1 x2 )] = 2x/(1 x2 ), 0 < x < y < 1
2. Suppose that X and Y are independent and each has p.d.f.
f (t) = 2t
1

0<t<1

(a) Write down the joint p.d.f. of X and Y , f (x, y) =?, including the support of the
function.
f (x, y) = (2x)(2y) = 4xy, 0 < x < 1, 0 < y < 1.
(b) Draw the line x + y = 21 , indicating the origin and coordinates x and y. Then
indicate the area of x + y < 12 in the support of f (x, y).
(Draw by yourself.)
(c) Find Pr{X + Y < 21 }.
Z 1 Z 1 y
Z 1
1
1
2
2
2
y
4xydxdy =
2y[x2 ]02 dy
Pr{X + Y < } =
2
0
0
0
Z 1
Z 1
1
2
2
=
2y[( y)2 ]dy =
2y[1/4 y + y 2 ]dy
2
0
0

y2 y3 y4
= 2

+
8
3
4
"

#1
2

=
0

1
96

3. Consider gains X1 , X2 (in dollars) of two investiments. Assume that the two gains are
independent and normally distributed with
X1 N (100, 25),

X2 N (50, 16)

noting that the second mean is a negative number. Denote the total gain by T =
X1 + X2 .
(a) What is the distribution of the total gain? That is, give the name, mean and
variance of the distribution of T .
Since T is the sum of two normal variables, T is also a normal variable with
E(T ) = 100 + (50) = 50; V (T ) = 25 + 16 = 41
(b) What is the chance that the total gain will be greater than $60?

P [T > 60] = P [Z > (60 50)/ 41] = P [Z > 1.56] = 0.0594

(c) What are the name, mean, variance, and standard deviation of the distribution
of Y = 2X1 3X2 , respectively?
Y has a normal distribution as it is a linear function of normal variavles. The
mean and variance of Y are
E(Y ) = E[2X1 3X2 ] = 2(100) 3(50) = 200 + 150 = 350
V (Y ) = V [2X1 3X2 ] = 22 (25) + (3)2 (16) = 244
4. Suppose X and Y are independent and each has a uniform distribution in the interval
(0, 1).
(Omit this problem)
(a) Write down the joint pdf of g(x, y) of X and Y .
2

(b) Find the m.g.f. m(t) of X.

(c) Compute the m.g.f. of U , where U = X 2Y .
5. Suppose X and Y are independent and each has a distribution with p.d.f.:
f (t) = 2e2t , for t > 0.
(a) Find the pdf of W = X 2 . (Noting that X has positive support.)
w = x2 which is one-to-one transformation as X is non-negative. The inverse is
1
x = w 2 , and
1 1
dx
= w 2
J=
dw
2
So the pdf of W is
g(w) = 2e2

w1

w 2 = w 2 e2

, for w > 0.

(b) Write down the joint pdf of g(x, y) of X and Y .

f (x, y) = 2e2x 2e2y = 4e2(x+y) , for x > 0, y > 0.
(c) Define U = X + 3Y , and V = Y , then find the joint p.d.f. of U and V .
u = x + 3y, v = y; x = u 3v, y = v, J = 1
u 3v > 0, v > 0 u > 3v > 0
h(u, v) = 4e2[(u3v)+v]] = 4e2(u2v) u > 3v > 0
(d) Find the p.d.f. of U .

h(u) = 4

1
u
3

e2(u2v) dv

0
2u

= 4e

1
u
3

e4v dv

0
1

= e2u [e4v ]03

= e2u [e 3 u 1],

u>0

6. Suppose X1 , X2 , X3 , X4 are independent and each has a distribution with p.d.f.:

f (x) = 2x, for 0 < x < 1.
Let Y1 , Y2 , Y3 , Y4 be their order statistics (Y1 Y2 Y3 Y4 ).
(a)

i. Pr[X1 < t] = 0 t2xdx = t2 , 0 < x < 1

ii. Pr[t1 < X1 < t2 ] = t22 t21 , 0 < t1 t2 < 1
iii. Pr[X1 > t] = 1 t2
R

(b) Find pdf of Y1 .

g1 (y1 ) =

4!
f (y1 )[P (X > y1 ]3 = 4(2y1 )[1 y12 ]3 = 8y1 [1 y12 ]3 , 0 < y1 < 1
1!3!

(c) Find pdf of Y4 .

g4 (y4 ) =

4!
[F (y4 )]3 f (y4 ) = 4[y42 ]3 (2y4 ) = 8y47 , 0 < y4 < 1
3!1!

(d) Find joint pdf of Y1 and Y3 .

g13 (y1 , y3 ) =

4!
(2y1 )[y32 y12 ](2y3 )[1 y32 ], 0 < y1 < y3 < 1
1!1!1!1!

7. Problems in HW#7. (See solution for HW#7)