Twelfth Problem Assignment

Transcription

1 EECS 401 Not Graded PROBLEM 1 Let X 1, X 2,... be a sequence of independent random variables that are uniformly distributed between 0 and 1. Consider a sequence defined by (a) Y n = max(x 1, X 2,..., X n ) (b) Y n is the median of the values of X 1, X 2,..., X 2n+1. Determine whether or not the sequence {Y n } converges in probability in each case. (a) Y n 1 in probability. P( Y n 1 > ε) = P(Y n < 1 ε) = (b) Y n 1 2 in probability. n P(X i < 1 ε) = (1 ε) n 0(as n ). P( Y n 0.5 > ε) P(Y n > ε) + P(Y n < 0.5 ε) Each of these terms converges to zero. Consider P(Y n > ε). For the event {Y n > 0.5+ε} to occur, we must have at least n+1 of the random variables X 1, X 2,... X 2n+1 to have a value of ε or larger. Let Z i be a Bernoulli random variable which is equal to 1 if and only if X i 0.5+ε. Then, the event {Y n 0.5+ε} is the same as the event (Z 1 + Z 2n+1 )/(2n + 1) 0.5. Note that P(Z i = 1) = 0.5 ε. By the weak law of large numbers, the sequence (Z 1 + Z 2n+1 )/(2n + 1) converges to 0.5 ε. Therefore (Z1 + Z 2n+1 ) P ε (2n + 1) converges to zero, which implies P(Y n ε) also converges to zero. By a similar argument it can be shown that P Yn 0.5 ε converges to zero, and therefore Y n converges to Not Graded

2 s PROBLEM 2 (a) Show the one sided Chebyshev s inequality: If X is a random variable with mean 0 and finite variance σ 2, the for any a > 0 For any b 0, P(X a) σ2 σ 2 + a 2 P(X a) = P(X + b a + b) E[(X + b)2 ] (a + b) 2 Treat the RHS as a function of b and minimize with respect to b. The minimum is attained at b = E[X2 ] = Var(X). Substituting back, we get a a 2 Var(X) Var(X) + a P(X a) 2 = a + Var(X) a (b) Generalize to the case when E[X] = µ. In particular, show that P(X µ + a) P(X µ a) σ2 σ 2 + a 2 σ2 σ 2 + a 2 Var(X) a 2 + Var(X) Take X to be X µ in part (a), and the first result follows. Take X to be µ X and the second result follows. PROBLEM 3 Many people believe that the daily change of price of a company s stock on the stock market is a random variable with mean 0 and variance σ 2. That is, if Y n represents the price of the stock on the nth day, then Y n = Y n 1 + X n n 1 where X 1, X 2,... are independent and identically distributed random variables with mean 0 and variance σ 2. Suppose that the stock s price today is 100. If σ 2 = 1, what can you say about the probability that the stock s price will exceed 105 after 10 days? Given that Y 0 = 100, we want to find P(Y 10 > 105). Note that Y 10 = Y 0 + X 1 + X X 10. Therefore, E[Y 10 ] = E[Y 0 ] = 100 and Var(Y 10 ) = Var(X 1 ) + 2 Not Graded

3 s Var(X 2 ) + + Var(X 10 ) = 10. Now, using the Chebyshev s inequality P(Y 10 > 105) = P(Y > 5) < P( Y > 5) Var(Y 10) 5 2 = = 0.4 We can get a tighter bound using the one sided Chebyshev s inequality, P(Y 10 > 105) = P(Y 10 > ) Var(Y 10) Var(Y 10 ) = = PROBLEM 4 Consider a Gaussian random variable X, with mean m and variance σ 2 = (m/2) 2. (a) Determine the probability that an experimental value of X is negative. Pr(X < 0) = Pr X m m/2 < 2 = Pr (Z < 2) = Φ ( 2) = 1 Φ (2) = (b) Determine the probability that the sum of four independent experimental values of X is negative. Let Y = X 1 + X 2 + X 3 + X 4. Then, E[Y] = 4m and Var(Y) = m 2. Thus Y 4m Pr(Y < 0) = Pr m < 4 = Φ( 4) = 1 Φ(4) 0 (c) Two independent experimental values of X (X 1, X 2 ) are obtained. Determine the PDF and mean and variance for: (i) ax 1 + bx 2 (ii) ax 1 bx 2 (iii) X 1 X 2 a, b > 0 (i) ax 1 + bx 2. Sum of two Gaussian r.v.s is also a Gaussian r.v. with mean (a + b)m and variance (a 2 + b 2 )m 2 /4. (ii) ax 1 bx 2. Sum of two Gaussian r.v.s is also a Gaussian r.v. with mean (a b)m and variance (a 2 + b 2 )m 2 /4. (iii) X 1 X 2. Let Y = X 1 X 2, then Y is a Gaussian r.v. with mean 0 and variance m 2 /2. Thus the density of Z = Y is Thus, 4 f Z (z) = m /m2 e z2, z > 0 2π 3 Not Graded

4 s and E[Z] = Var(Z) = 0 0 4z m 2π 4z 2 m 2π /m2 2 e z2 dz = m π /m2 2m e z2 dz = m π Γ 1 2 (d) Determine the probability that the product of four independent experimental values of X is negative. Let Y = X 1 X 2 X 3 X 4. Let p be the probability that X i < 0. X m p = Pr(X i < 0) = Pr m/2 < 2 = Φ( 2) = 1 Φ(2) = Y will be negative if either one of X i s is negative or three X i s are negative, that is 4 4 Pr(Y < 0) = p(1 p) 3 + p 3 (1 p) = PROBLEM 5 Consider a Poisson process with mean arrival rate λ = 1 and let X n be the number of arrivals between 0 and n. Does X n /n converge in probability? We know that X n is a Poisson random variable with parameter λn = n. Therefore, E[X n ] = n = var(x n ), which means that E[X n /n] = 1 and var(x n /n) = 1/n. By using the Chebyshev inequality, we have the following for any ɛ > 0: ( ) X n P n 1 ɛ var(x n) ɛ 2 = 1/n ɛ 2 Therefore, taking the limit as n : ( ) lim P X n n n 1 ɛ 1/n lim n ɛ 2 = 0 Since a probability is always greater than or equal to 0, then the above inequality implies that: ( ) lim P X n n n 1 ɛ = 0 Thus, we have shown that X n /n converges in probability to 1. 4 Not Graded

5 s PROBLEM 6 Suppose that the number of units produced daily at factory A is a random variable with mean 20 and standard deviation 3 and the number produced at factory B is a random variable with mean 18 and standard deviation 6. Assuming independence, derive an upper bound for the probability that more units are produced today at factory B than factory A. Let X be the number of units produced by factory A and let Y be the number of units produced by factory B. Then, we have that E[Y X] = E[Y] E[X] = = 2. Also, since Y and X are independent, then: var(y X) = var(y) + var( X) = var(y) + var(x) = = 45. We can use this information to apply the one-sided Chebyshev s inequality and obtain the following upperbound: P (Y X 0) = P (Y X ( 2) 2) var(y X)var(Y x) = Thus,an upperbound for the probability that factory B produces at least as many units as factory B is given by 45/49. PROBLEM 7 Consider the number of 3s which result from 600 tosses of a fair six-sided die. (a) Determine the probability that there are exactly 100 3s, using a form of Stirling s approximation for n! which is very accurate for these values, Pr( 100 3s) = n! 2πe n n n+0.5 ( ) ( 1 6 ) = 600! 100! 500! πe πe πe = 1 2π = Not Graded

6 s (b) Use the Poisson approximation to the binomial PMF to obtain the probability that there are exactly 100 3s. Using the Poisson approximation Pr(100 3s) = ( ) 100 e(600 1/6) 6 100! e ! = = π = e 100 2πe (c) Repeat part (b), using the central limit theorem intelligently. Let X i denote the indicator function of the event that the outcome of the ith toss is a 3. Then X i is a Bernoulli random variable with parameter 1/6. Let K = 100 X i. Then E[K] = 100/6 and Var(K) = 500/36 = 125/9. Thus, Pr(99 K 101) Φ Φ = 2Φ(0.268) 1 = /125 9/125 (d) Use the Chebyshev inequality to find a lower bound on the probability that the number of 3s is between 97 and 103 inclusive, between 90 and 110 inclusive, and between 60 and 140 inclusive. From Chebyshev s inequality, Pr( K 100 a) 1 Var(K) a 2 a Pr (e) Repeat part (d), using the central limit theorem and employing the DeMoivre-Laplace result when it appears relevant. Compare your answers with those obtained above, and comment. 6 Not Graded

7 s Using DeMoivre-Laplace transform, Pr(100 a < K < a) = 2Φ ( (a +.5) 9/125 ) 1 a Pr When we are close to the mean of the sum, central limit theorem gives a better approximation. When we are away from the mean, Chebyshev s inequality gives a better approximation. PROBLEM 8 Student scores on exams are given by a certain instructor have mean 74 and standard deviation 14. This instructor is about to give two exams, one to a class of size 25 and the other to a class of size 64. n Let X i denote the score of student i. LetM n = 1 n X i. Then E[M n ] = 74 and Var(M n ) = 196/n. (a) Approximate the probability that the average test score in the class of size 25 exceeds 80. Pr(M ) 196/25 196/ = (b) Repeat part (a) for the class size of 64. Pr(M ) 196/64 196/ = (c) Approximate the probability that the average test score in the larger class exceeds that of the other class by over 2.2 points. Let M = M 64 M 25. Then E[M] = 0 and Var(M) = Var(M 64 ) + Var(M 25 ) = 196(1/25 + 1/64) Thus 7 Not Graded

8 s Pr(M 2.2) Var(M) Var(M) = (d) Approximate the probability that the average test score in the smaller class exceeds that of the other class by over 2.2 points. Pr(M 2.2) Var(M) Var(M) = PROBLEM 9 The energy of any individual particle in a certain system is an independent random variable with probability density function { f E (e) = 2e 2e e 0 0 e < 0 The total energy in the system is the sum of the energies of the individual particles. Energy of each particle is an exponential random variable with mean 1 2 and variance 1 4. If there are n particles in the system, the total energy K has mean n/2 and variance n/4 (a) If there are 1,600 particles in the system, determine the probability that there are between 780 and 840 energy units in the system. In this case E[K] = 800 and Var(K) = 400. Using the central limit theorem Pr(780 K 840) Φ Φ = Φ(2) Φ( 1) = (b) What is the largest number of particles the system may contain if the probability that its total energy is less than 440 units must be at least Suppose the number of particles in the system is n. Using Markov inequality Pr(K < 440) = 1 Pr(K 440) 1 n Solving for n we get n Hence the largest number of particles that the system may contain is 855. (c) Each particle will escape from the system if its energy exceeds (ln 3)/2 units. If the system originally contained 4,800 particles, what is the probability that at least 1,700 particles will escape? 8 Not Graded

9 s Let Y i be the indicator of the event that particle i escapes. Then Pr(Y i = 1) = ln 3/2 2e 2x dx = 1 3 Let L = 4800 Y i, then L denotes the number of particles that have escaped. E[L] = 4800/3 = 1600 and Var(L) = 4800(1/3)(2/3) = 3200/3 = Using the one sided Chebyshev s inequality, we have Pr(L ) = 8 83 = (d) If there are 10 particles in the system, determine an exact expression for the PDF for the total energy in the system. The total energy of all particles in the system is the sum of 10 exponential random variables. Thus, the PDF is an Erlang distribution. If T denotes the total energy, then 2 10 x 9 e 2x x 0 f T (x) = 9! 0 x < 0 PROBLEM 10 A set of 200 people, consisting of 100 men and 100 women, randomly divided into 100 pairs of 2 each. Give an upper bound to the probability that at most 30 of these pairs will consist of a man and a woman. Number the 100 men from 1 to 100. Let X i be the indicator of the event that man i is paired with a woman, that is { 1 if man i is paired with a woman X i = 0 otherwise Let X denote the number of man-woman pairs. Then X = 100 Also Therefore, E[X i ] = Pr(X i = 1) = X i. Then, E[X i X i ] = Pr(X i = 1, X j = 1) = Pr(X i = 1) Pr(X j = 1 X i = 1) = Not Graded

10 s and 100 E[X] = E[X i ] = Var(X) = Var(X i ) + 2 Cov(X i, X j ) = (a) Use Chebyshev s inequality i<j ( ) [ ] Pr(X 30) Pr( X ) (20.25) (b) Use one sided Chebyshev s inequality Pr(X 30) = Pr(X ) (20.25) (c) Use the Central Limit Theorem Pr(X 30) Φ( = Φ( 4.04) Notice that we are away from the mean of the process, so central limit theorem gives a bad approximation. PROBLEM 11 The number of rabbits in the generation i is N i. Variable N i+1, the number of rabbits in generation i + 1, depends on the random effects of light, heat, water, food, and predator population, as well as on the number N i. The relation is 0.2 j = 1 P Ni+1 (jn i ) = 0.3 j = j = 3 10 Not Graded

11 s This states, for instance, that with probability 0.5 there will be three times as many rabbits in the generation i + 1 as there were in generation i. The rabbit population in generation 1 was 2. Find an approximation to the number of rabbits in generation 12. (Hint: To use the central limit theorem, you must find an expression involving the sum of random variables. Let N 12 denote the population after 12 generations. Then By weak law of large numbers N 12 = 2J 2 J 3 J 12 log N 12 = log 2 + log J 2 + log J 12 E[log N 12 ] = log E[log J] log N 12 log E[log J] = N 12 = 8290 (in probability) (in probability) Therefore there are approximately 8290 rabbits in generation 12 (assuming that rabbits do not die) 11 Not Graded