ST2131 AY 15/16 Sem II Review

Here is a brief overview of the final paper, highlighting the common mistakes and what the
learning points were meant to be.

Question 1

For this question, recall that we were given that X and Y were independent exponential random
variables with parameters and . Z is defined to be the minimum of X and Y . The introduction
of Z does not mean there are 3 random variables at play though; any event involving it can still be
reduced to just X and Y .
For instance, for part (a),
P (X = Z) = P (X = min{X, Y })
= P (X < Y )
which can then be solved with a bivariate integration.
Similarly, for part (b), we can write
P (X < Y, Z > z) = P (X < Y, min{X, Y } > z)
= P (X < Y, X > z)
which can also be solved using a bivariate integration, because z is a fixed value.
For the final two parts, a new random variable was introducted, (X Y )+ . Note that
P ((X Y )+ > w) = P (X Y > w)
There is no conditioning needed here.

Question 2

The purpose of the question was to underline that expectations implicitly direct us to use a particular pmf or pdf. This question was also meant to highlight the use of the indicator function, which
affects the region of integration. It is because of these two reasons that
Z

P (X > 15) =

fX (x) dx
Z15

fX (x)
Z15

fY (x)
dx
fY (x)

210 ex fY (x) dx = E[I(Y > 15)210 eY ]

15

Note in the last step that although the variable of integration is still x, the random variable involved
is now Y .
The final part involved the use of an idea in the proof of Markovs inequality, that if f (x) g(x),
then E(f (X)) E(g(X)), where both expectations are with respect to the same pdf.

Questions 3 5

The remaining questions were generally well done. The main observation from the graders was in
relation to Question 3(c). It asked for an evaluation of P (|X| |Y |) where X and Y were standard
normal distributions.
A shortcut to solve this is to realise that since they are both identically distributed, we can take
advantage of the symmetry to conclude that
P (|X| |Y |) =

1
2

It must be noted though, that several students computed this directly - an impressive feat during
an exam situation.

Conclusion

On the whole, one of the most common mistakes was the inability to write down an expectation or
a probability as the appropriate integral. The actual solution of the integral was usually well done.
Apart from this, please try to keep the following ideas in mind as you build upon this class.
(The list is not exhaustive)
1. Law of Total Probability, which we have used many times in the class.
2. Formulas for variance, covariance, covariance of linear combinations of variables.
3. Computing probabilities via first-step analysis and by conditioning.