18
ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: [email protected] Exercises: 3

ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: [email protected] Exercises: 3

Embed Size (px)

Citation preview

Page 1: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

ST3236: Stochastic ProcessTutorial 2

TA: Mar Choong Hock

Email: [email protected]

Exercises: 3

Page 2: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 1

Four nickels and six dimes are tossed, and

the total number N of heads is observed.

If N = 4, what is the conditional probability

that exactly two of the nickels were heads?

Page 3: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 1A is the event that N = 4.

B is the event that exactly two of the nickels

were heads.

B

A

Page 4: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 1Let X1 be the number of heads of the nickels and X2 thenumber of heads of the dimes. Then, N = X1 + X2

P(X1 = 2 | N = 4) = P(X1 = 2,X1 + X2 = 4) / P(X1 + X2 = 4)= P(X1 = 2, X2 = 2) / P(X1 + X2 = 4)= P(X1 = 2)P(X2 = 2) / P(X1 + X2 = 4)

(assuming the probabilities of heads are 0.5)

64410

4226

2224 5.05.05.05.05.05.0 CCC

Page 5: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 2

A dice is rolled and the number N on the uppermost face is recorded. From a jar containing 10 tags numbered 1, 2, ..., 10 we then select N tags at random without replacement.

Let X be the smallest number on the drawn tags.

Determine P(X = 2).

Page 6: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 2

90

102

10

18

11 nn

C

CCnNXP

n

n

10 to1 from tags#

10 to3 from tags1-n and 2 is tag1#

10 to1 from tags#

2number smallest with 10 to1 from tags#2

that,Note

226

1

n

n

nnNXP

nNXPnNPXPn

Page 7: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 2

2204.090

10

6

1

2

22

6

1

6

1

6

1

n

n

n

nn

nNXPnNP

nNXPnNPXP

Page 8: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 3

Let X be a Poisson random variable with

parameter, .

Find the conditional mean of X, given that X

is odd.

Page 9: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 3(define that 0 is even) Let pk = P(X = k).

0k

oddXkXkPoddXXE

4321

4321

34

2321X

2

4321

4321

432sG

p.g.f.,by Similarly

212111

,p.g.f.by that Note

ppppG

ppppG

spspspp

eGevenXPoddXP

X

X

X

Page 10: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 3

21

!

,,0,1,2,i 1,2ik is that odd, isk if

0

,0,1,2,i 2i,k is that even, isk if

212113

have, We.sG that Note

2

231

1X

e

ke

oddXP

kXPoddXkXP

oddXkXP

eGGpp

e

k

XX

s

Page 11: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 3

coth21

21

321

1

121221

1

21

!1212

1212

Thus,

2

2

312

02

02

12

0

e

e

ppe

iXPie

e

iei

oddXiXPioddXXE

i

i

i

i

Note: coth (.) denotes hyperbolic cotangent.

Page 12: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 3 - OptionalAn alternative solution without using p.g.f.:

!6!4!21

1

.2

!7

7

!5

5

!3

31

1

.2

!7.7

!5.5

!3.3.

1

2

21

!1212

1212

642

2

642

2

753

2

02

12

0

e

e

e

e

eeeee

e

iei

oddXiXPioddXXE

i

i

i

Page 13: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 3 - Optional

Note: cosh (.) denotes hyperbolic cosine.

coth1

1

!6!4!21cosh2

!4!3!21

!4!3!21

,!6!4!2

1cosh,

2

2

642

432

432

642

e

eoddXxXE

ee

e

e

Or

But

Page 14: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 4

Suppose that N has density function:

P(N =n) = (1-p) n-1p for n = 1, 2,…

where p in (0, 1) is a parameter.

This defines the geometric distribution with

parameter p.

Page 15: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 4a

Show that: G(s) = sp/[1 - s(1 - p)] for s < 1/(1 - p).

Proved11

111

1

1

1

0

ps

sp

pssppps

rNPssEsG

r

r

r

rr

r

rN

Page 16: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 4bShow that: E(N) = 1/p

Proved

1

11

11

11

11

111

111

1

2

1

2

1

2

1

pps

p

ps

spppspp

ps

spppsp

ps

sp

ds

dGNE

s

s

s

s

Page 17: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 4cShow that: var(N) = (1 - p)/p2

Proved

11121112

1var

12

11

12

111

2

1111

2222

2

2

1

3

1

3

1

2

p

p

p

pp

ppp

p

NENENNEN

p

p

ps

pp

pps

p

ps

p

ds

dGNNE

s

s

s

Page 18: ST3236: Stochastic Process Tutorial 2 TA: Mar Choong Hock Email: g0301492@nus.edu.sg Exercises: 3

Question 4dShow that: P(N is even) = (1 - p)/(2 - p).

Proved2

1

2

12

2

1

2

2

2

1

111

2

111

2

1

p

p

p

p

p

pp

p

pGevenNP