MATH 447

MARC-ANDRE ROUSSEAU 260089646

Question 1. Let X1 , ..., Xn be iid random variables with expectation E[X] and variance V ar[X]. Let N be
a random variable independent of the Xi ’s. Assuming all r.v.0 s take non-negative integer values, show that:

V ar(SN ) = E(N )V ar(X) + E(X)2 V ar(N )

Proof. We use conditioning.

V ar(SN ) = EN [V arSN [SN |N = n]] + V arN [ESN [SN |N = n]]

" n # " n
#
X X
= EN [V arX Xi |N = n ] + V arN EX [ Xi |N = n]
i=1 i=1
= EN [N · V arX [X]] + V arN [N · EX [X]]
= EN [N ]V arX [X] + V arN [N ]EX [X]2

Question 2. An unbiased die is successively rolled. Let X and Y denote respectively the number of rolls
necessary to obtain a six and a five.

(a). Find E[X]

∞  x−1
1X 5
E[X] = x
6 x=1 6
"∞   ∞  x ∞  x
#
x
1 X 5 X 5 X 5
= + + + ···
6 x=0 6 x=1
6 x=2
6
5 ∞ 5 ∞ 5 ∞
"
0
5 1 5 2
#
5






1 6 − 6
− −
= + 6 6

+ 6 6

+ ···
6 1 − 56 1 − 65 1 − 56
"∞   #
X 5 k
=
6
k=0
=6

(b). Find E[X|Y = 1] Since the first roll is a 5 with probability 1. We have that the problem is shifted over
by one.
∞  x−2  
X 5 1
E[X|Y = 1] = x
x=2
6 6
∞   x 
X 5 1
= (x + 1)
x=1
6 6
= E[X + 1] = 7
1
2 MARC-ANDRE ROUSSEAU 260089646

(c). Find E[X|Y = 5]

∞
 x−1 ∞  5−1  x−(5+1)
1X 4 1X 4 5
E[X|Y = 5] = 1(x < 5) + 1(x > 5)
5 x=1 5 6 x=1 5 6
4  x−1  4 ∞  x−6
1X 4 1 4 X 5
= x + x
5 x=1 5 6 5 x=6 6
" 4   4  x−1
#
x−1
1 X 4 X 4
= + ··· +
5 i=1 5 i=4
5
 4 " X ∞  x−6 ∞ ∞  x−6
#
1 4 5 X  5 x−6 X 5
+ 6 + + + ···
6 5 x=6
6 x=7
6 x=8
6
" 3   3  x
#
x
1 X 4 X 4
= + ··· +
5 i=0 5 i=3
5
 4 " X ∞ ∞  x ∞  x
#
  x
1 4 5 X 5 X 5
+ 6 + + + ···
6 5 x=0
6 x=1
6 x=2
6
"
0
4 4 3
4

4 #
− 54 − 45


1 5 5
=
+ ··· +
1 − 45 1 − 45


5
 4 " 5 0 5 0 5 1 5 2




#
1 4 6 6 6 6
+ 5
+
+
+
+ ···
6 5 1 − 65 1 − 65 1 − 65 1 − 56
∞  x
" 3    4 #  4 " #
X 4 x 4 4
 0 X
5 5
= −4 + 5+
x=0
5 5 5 6 x=0 6
4
"  4 #  4
1 − 54


4 4
= 4

− 4 + 11
1− 5 5 5
 4  4
4 4
=5−9 + 11
5 5
 4
4
=5+2
5
3637
= ≈ 5.82
625
Question 3. Let X and Y be discrete random variables. Show that:
(a). E(XY ) = E[Y E[X|Y ]]
Proof.
∞
X ∞
X
E(XY ) = xyP (X = x ∩ Y = y)
y=−∞ x=−∞
X∞ X∞
= xyP [X|Y = y]P [Y = y]
y=−∞ x=−∞
∞ ∞
" #
X X
= yP [Y = y] xP [X|Y = y]
y=−∞ x=−∞
X∞
= yE[X|Y = y]P [Y = y]
y=−∞
= E[Y E[X|Y ]]
 MATH 447 3


(b). Cov(X, E(Y |X)) = Cov(X, Y )
Proof. By previous results,
Cov(X, E(X|Y )) = E[XE(Y |X)] − E[X]E[E[Y |X]]
= E[XY ] − E[X]E[Y ]

Question 4. Let N be the number of flips required to get 2 Heads in 3 successive flips. Find E[N ]
Proof.
E[N ] = (1 − p)(E[N ] + 1) + 2 · p · p + 3 · p · p(1 − p) + (E[N ] + 3)p · (1 − p)2

Solving for E[X] yields:

−1 − 2 p + p2
E[X] =
p2 (−2 + p)

Question 5. Indiana Jones wants to get out of a burial vault. There are two doors leading out. One of
the doors leads to freedom in two hours while the other leads to another burial vault. In the second vault,
there are two more doors, one which leads back to the first one in four hours while the second one leads to
freedom after 3 hours. Let T1 be the time to reach freedom if he starts in the first vault and T2 be the time
if he starts in the second vault. Find equations for E[T1 ] and E[T2 ], under the assumption that all doors are
chosen with equal probability:
Proof.
1
E[T1 ] = 1 + E[T2 ]
2
1 1
E[T2 ] = · 3 + (4 + E[T1 ])
2 2

Solving yields:
 
1 1 1
E[T2 ] = · 3 + 5 + E[T2 ]
2 2 2
 
4 3 5 16
E[T2 ] = + =
3 2 2 3
1 16 11
E[T1 ] = 1 + · =
2 3 3

Question 6. Theseus is at the center of a labyrinth. There are three paths leading away from the center.
One path leads him back to the center after 3 hours, another leads him back after 4 hours and the last path
leads him out of the labyrinth after one hour’s walk. Under the assumption that all paths are always chosen
with equal probability, find the variance for the amount of time it will take Theseus to exit the labyrinth.
Proof. We begin by finding the first moment E[T ]:
1 1 1
E[T ] = (3 + E[T ]) + (4 + E[T ]) +
3 3 3
1 4 3
= 3( + + )
3 3 3
=8
4 MARC-ANDRE ROUSSEAU 260089646

We now proceed on to the second moment:

1 1 1
E[T 2 ] =+ E[(3 + T )2 ] + E[(4 + T )2 ]
3 3 3
1 1 1
= + (E[T 2 ] + 6E[T ] + 9) + (E[T 2 ] + 8E[T ] + 16)
3 3 3

We now use our value of E[T ] = 8, and move all the instances of E[T 2 ] to the LHS:

E[T 2 ] 1
= (1 + 6 · 8 + 9 + 8 · 8 + 16)
3 3
2
E[T ] = 138

V ar[T ] = E[T 2 ] − E[T ]2

= 138 − 64
= 74

Question 7. A random variable X has pgf:

s5s
P (s) =
6−s

i. Find P [X = 1],P [X = 2]:

Proof.
 s 
d s5
P [X = 1] = P 0 (0) =
ds 6 − s t=0
 s
s5s ln(5) s5s

5
= + +
6−s 6−s (6 − s)2 t=0
 
1
= +0+0
6
1
=
6 
5s s5s ln(5) s5s

00 d
P [X = 2] = P (0) = + +
ds 6 − s 6−s (6 − s)2 t=0
2 · 5s ln(5) 2 · 5s s5s ln(5)2 2s5s ln(5) 2s5s
 
= + + + +
6−s (6 − s)2 6−s (6 − s)2 (6 − s)3 t=0
 
2 ln(5) 2
= + +0+0+0
6 36
2 ln(5) 2
= +
6 36

ii. Find V ar[X],E[X]:

 MATH 447 5

Proof.
5s s5s ln(5) s5s
 
0
E[X] = P (1) = + +
6−s 6−s (6 − s)2 t=1
 1 1
51

5 5 ln(5)
= + +
6−1 6−1 (6 − 1)2
1
= 1 + ln(5) +
5
V ar[X] = P 00 (1) + P 0 (1) − (P 0 (1))2
2 · 5s ln(5) 2 · 5s s5s ln(5)2 2s5s ln(5) 2s5s
 
= + + + + + E[X] − E[X]2
6−s (6 − s)2 6−s (6 − s)2 (6 − s)3 t=1
2 · 51 ln(5) 2 · 51 51 ln(5)2 2 · 51 ln(5) 2 · 51
 
= + + + + + E[X] − E[X]2
6−1 (6 − 1)2 6−1 (6 − 1)2 (6 − 1)3
     2
2 2 2 ln(5) 2 1 1
= 2 ln(5) + + ln(5) + + 2 + 1 + ln(5) + − 1 + ln(5) +
5 5 5 5 5
6
= ln(5) +
25