Tuesday 3/10 Assignment

Section 7 Problems (page 408-418)

Problem 30
If X and Y are independent and identically distributed with mean and variance
2
, nd E[(X
Y )]
2
.
E[(X Y )
2
] = E[X
2
2XY +Y
2
] = E[X
2
] 2E[XY ] +E[Y
2
]
= (Var(X) +E[X]
2
) 2(Cov(X, Y ) +E[X]E[Y ]) + (Var(Y ) +E[Y ]
2
)
= (
2
+
2
) 2(0 +
2
) + (
2
+
2
) = 2
2
.
Problem 34
If 10 married couples are randomly seated at a round table, compute
(a) the expected number of the number of wives who are seated next to their husbands.
Label the wives 1 through 10 and let X
i
= 1 if the i-th wife is seated next to her husband and
X
i
= 0 otherwise. Let X =

10
i=1
X
i
be the number of wives seated next to their husbands.
Then
E[X] =
10

i=1
E[X
i
] =
10

i=1
P{X
i
= 1}.
Given where the i-th wife sits, her husband may sit in one of the 19 remaining seats, two of
which are next to his wife, so P{X
i
= 1} = 2/19. Hence
E[X] = 10
2
19
=
20
19
.
(b) the variance of the number of wives who are seated next to their husbands.
We want to compute
Var(X) =
10

i=1
Var(X
i
) + 2

i<j
Cov(X
i
, X
j
).
Since X
i
only takes values 0 or 1, for i = 1, ..., 10 and j = i,
Var(X
i
) = E[X
2
i
] E[X
i
]
2
= P{X
2
i
= 1} P{X
i
= 1}
2
= P{X
i
= 1} P{X
i
= 1}
2
=
2
19

_
2
19
_
2
=
34
361
,
Cov(X
i
, X
j
) = E[X
i
X
j
] E[X
i
]E[X
j
] = P{X
i
= X
j
= 1} P{X
i
= 1}P{X
j
= 1}.
We know P{X
i
= X
j
= 1} = P({X
j
= 1}|{X
i
= 1}) = P{X
i
= 1}. Given where the i-th
wife and her husband sit and that they are sitting next to each other, the j-th wife can sit
in any of the 18 remaining seats. If the j-th wife sits next to the i-th wife and her husband,
the j-th wifes husband may sit in one of the remaining 17 seats, only one of which is next
to his wife. If the j-th wife does not sit next to the i-th wife and her husband, then the j-th
1
wifes husband may sit in one of the remaining 17 seats, two of which is next to his wife.
Thus
P({X
i
= 1}|{X
j
= 1}) = 2
1
18

1
17
+ 16
1
18

2
17
=
1
9
,
and P{X
i
= X
j
= 1} = 1/9 2/19 = 2/171. Hence
Cov(X
i
, X
j
) =
2
171

_
2
19
_
2
=
2
171

4
361
.
Hence
Var(X) = 10
_
34
361
_
+ 2
_
10
2
__
2
171

4
361
_
=
360
361
.
Problem 37
A die is rolled twice. Let X equal the sum of the outcomes, and let Y equal the rst out-come
minus the second. Compute Cov(X, Y ).
Let Z
i
denote the outcome of the i-th roll, i = 1, 2, so that X = Z
1
+ Z
2
and Y = Z
1
Z
2
.
Then
Cov(X, Y ) = Cov(Z
1
+Z
2
, Z
1
Z
2
) = Cov(Z
1
, Z
1
) Cov(Z
1
, Z
2
) + Cov(Z
2
, Z
1
) Cov(Z
2
, Z
2
)
= Var(Z
1
) Var(Z
2
).
Since Z
i
are identically distributed, Var(Z
1
) = Var(Z
2
), so Cov(X, Y ) = 0.
Problem 41
A pond contains 100 sh, of which 30 are carp. If 20 sh are caught, what are the mean and
variance of the number of carp among these 20? What assumptions are you making?
Let X denote the number of carp caught of the 20 sh caught. Assume each of the
_
100
20
_
ways to catch the 20 sh are equally likely. Then X satises a hypergeometric distribution with
parameters n = 20, N = 100, m = 30 (see Section 4.8.3 on page 178 in the text). Thus
E[X] =
nm
N
=
20 30
100
= 6,
V ar(X) =
nm
N
_
(n 1)(m1)
N 1
+ 1
nm
N
_
= 6
_
19 29
99
+ 1 6
_
=
112
33
(see page 180-182 in the text).
Problem 45
If X
1
, X
2
, X
3
, X
4
are pairwise uncorrelated random variables each having mean 0 and variance
1, compute the correlations of
(a) X
1
+X
2
and X
2
+X
3
.
We have
Cov(X
1
+X
2
, X
2
+X
3
) = Cov(X
1
, X
2
) + Cov(X
1
, X
3
) + Cov(X
2
, X
2
) + Cov(X
2
, X
3
)
= Var(X
2
) = 1,
Var(X
1
+X
2
) = Var(X
1
) + 2 Cov(X
1
, X
2
) + Var(X
2
) = Var(X
1
) + Var(X
2
) = 2,
2
and similarly Var(X
2
+X
3
), so the correlation between X
1
+X
2
and X
2
+X
3
is
Cov(X
1
+X
2
, X
2
+X
3
)
_
Var(X
1
+X
2
) Var(X
2
+X
3
)
=
1

2 2
=
1
2
.
(b) X
1
+X
2
and X
3
+X
4
.
Since
Cov(X
1
+X
2
, X
3
+X
4
) = Cov(X
1
, X
3
) + Cov(X
1
, X
4
) + Cov(X
2
, X
3
) + Cov(X
2
, X
4
) = 0,
the correlation between X
1
+X
2
and X
3
+X
4
is 0.
Problem 48
A fair die is successively rolled. Let X and Y denote, respectively, the number of rolls necessary
to obtain a 6 and a 5. Find
(a) E[X].
E[X] =

x=1
xP{X = x} =

x=1
x(5/6)
x1
(1/6) = (1/6)
1
(1 5/6)
2
= 6.
(b) E[X|Y = 1].
E[X|Y = 1] =

x=1
xP({X = x}|{Y = 1}) =

x=2
x(5/6)
x2
(1/6) = (1/6)
2 5/6
(1 5/6)
2
= 7.
(c) E[X|Y = 5].
We have
E[X|Y = 5] =

x=1
xP({X = x}|{Y = 5}) =

x=1
x
P{X = x, Y = 5}
P{Y = 5}
.
We know P{Y = 5} = (5/6)
4
(1/6). If x < 5, then
P{X = x, Y = 5} = (4/6)
x1
(1/6)(5/6)
4x
(1/6) = (1/6)
2
(5/6)
3
(4/5)
x1
.
If x = 5, then P{X = x, Y = 5} = 0. If x > 5, then
P{X = x, Y = 5} = (4/6)
4
(1/6)(5/6)
x6
(1/6).
Thus
E[X|Y = 5] =
1
(5/6)
4
(1/6)
_
4

x=1
x(1/6)
2
(5/6)
3
(4/5)
x1
+

x=6
x(1/6)
2
(4/6)
4
(5/6)
x6
_
= 5.8192.
3
Problem 59
There are n + 1 participants in a game. Each person, independently, is a winner with probability
p. The winners share a total prize of 1 unit. Let A denote a specied on of the players, and let X
denote the amount that is received by A.
(a) Compute the expected total prize shared by the players.
If there is no winner, the total prize of the winners is 0 units. If there is at least one winner,
the total prize of the winners is 1 unit. The probability that there is no winner is (1p)
n+1
.
Therefore the the expected total prize shared by the players is
0 (1 p)
n+1
+ 1 (1 (1 p)
n+1
) = 1 (1 p)
n+1
.
(b) Argue that E[X] = (1 (1 p)
n+1
)/(n + 1).
Label the players 1 through n + 1 and let Y
i
denote the prize of the i-th player. Let
Y =

n+1
i=1
Y
i
denote the total prize shared by the players. By part (b), E[Y ] = 1(1p)
n+1
.
Since the players win independently and with the same probability, E[Y
i
] is independent of
i. In particular, E[Y
i
] = E[X] is the expected prize of A. Therefore
1 (1 p)
n+1
= E[Y ] =
n+1

i=1
E[Y
i
] = (n + 1)E[X],
so E[X] = (1 (1 p)
n+1
)/(n + 1).
(c) Compute E[X] by conditioning on whether A is a winner, and conclude that
E[(1 +B)
1
] =
1 (1 p)
n+1
(n + 1)p
.
when B is a binomial random variable with parameters n and p.
Let I = 1 if A wins and I = 0 otherwise. Then E[X] = E[E[X|I]]. If I = 0, E[X|I] = 0
since A can only get a prize if A wins. If I = 1, then E[X|I] = (1 + B)
1
, where B
denotes the number of winners excluding I. Note that B is a binomial random variable with
parameters n and p. Therefore
E[X] = E[E[X|I]] = E[X|I = 0]P{I = 0} +E[X|I = 1]P{I = 1}
= 0 +E[(1 +B)
1
] p = E[(1 +B)
1
] p.
so
E[(1 +B)
1
] =
E[X]
(n + 1)p
=
1 (1 p)
n+1
)
(n + 1)p
using part (b).
4
Section 7 Theoretical Exercises (page 418-425)
Problem 33
A coin, which lands on heads with probability p, is continually ipped. Compute the expected num-
ber of ips that are made until a string of r heads in a row is obtained.
Let X denote the number of ips that are made until a string of r heads in a row is obtained.
Let Y denote the number of ips until the rst occurrence of tails. Then
E[X] = E[E[X|Y ]] =

i=1
E[X|Y = i]P{Y = i}.
P{Y = i} = p
i1
(1 p). If i r, then on the i + 1 ip we start over trying to get r consecutive
heads and thus E[X|Y = i] = i + E[X]. If i > r, then the rst r ips are heads and thus
E[X|Y = i] = r. Hence
E[X] = (1 p)
r

i=1
p
i1
(i +E[X]) + (1 p)

i=r+1
p
i1
r
=
1 p
r
r(1 p)p
r
1 p
+E[X](1 p
r
) +rp
r
=
1 p
r
1 p
+E[X](1 p
r
).
Thus
E[X] =
1 p
r
p
r
(1 p)
.
Problem 34
For another approach to Exercise 33, let T
r
denote the number of ips required to obtain a run of
r consecutive heads.
(a) Determine E[T
r
|T
r1
].
Let j be an integer with j r 1. Let I = 1 if the j + 1 ip is heads and I = 0 otherwise.
Then
E[T
r
|T
r1
= j] = E[T
r
|T
r1
= j, I = 0]P{I = 0} +E[T
r
|T
r1
= j, I = 1]P{I = 1}.
If I = 0, i.e. the next ip is tails, we start over trying to get r consecutive heads and thus
E[T
r
|T
r1
= j, I = 0] = j + 1 +E[T
r
]. If I = 1, then E[T
r
|T
r1
= j, I = 1] = j + 1. Hence
E[T
r
|T
r1
= j] = (j + 1 +E[T
r
])(1 p) + (j + 1)p = j + 1 + (1 p)E[T
r
].
In other words,
E[T
r
|T
r1
] = E[T
r1
] + 1 + (1 p)E[T
r
]. (1)
(b) Determine E[T
r
] in terms of E[T
r1
].
Taking the expectation of both sides of (1), we obtain
E[T
r
] = E[E[T
r
|T
r1
]] = E[T
r1
] + 1 + (1 p)E[T
r
].
Hence
E[T
r
] =
E[T
r1
] + 1
p
.
5
(c) What is E[T
1
]?
E[T
1
] =

i=1
iP{T
1
= i} =

i=1
i(1 p)
i1
p =
p
(1 (1 p))
2
=
1
p
.
(d) What is E[T
r
]?
E[T
r
] =
1
p
E[T
r1
] +
1
p
=
1
p
2
E[T
r2
] +
1
p
2
+
1
p
= ... =
1
p
r1
E[T
1
] +
r1

i=1
1
p
i
=
1
p
r
+
p
r
p
1
p
1
1
=
1 p
r
p
r
(1 p)
.
6