PROBABILITY THEORY AND STOCHASTIC PROCESS

UNIT-II

1 A Discrete Random Variable X has possible value 𝒙𝒊 = 𝒊𝟐 . 𝒊 = 𝟏, 𝟐, 𝟑, 𝟒, &5

which occur with probabilities 0.4, 0.25, 0.15, 0.1,and 0.1, respectively.

Find the Mean Value 𝑿

SOLUTION: Mean Value of A Discrete Random Variables

𝑋̅ = 𝐸 [𝑋] = ∑ 𝑥𝑃{𝑋 = 𝑥 }
𝑥=−∞

𝑥𝑖 = 𝑖 2 . 𝑖 = 1,2,3,4, &5

𝑋̅ = 𝐸 [𝑋] = ∑ 𝑥𝑖 𝑃{𝑋 = 𝑥 }
𝑥𝑖 =1

𝑋̅ = 𝐸 [𝑋] = ∑ 𝑖 2 𝑃{𝑋 = 𝑥 }
𝑖=1

𝑋̅ = 𝐸 [𝑋] = (12 ∗ 0.4) + (22 ∗ 0.25) + (32 ∗ 0.15) + (42 ∗ 0.1) + (52 ∗ 0.1)

𝑋̅ = 𝐸 [𝑋] = (1 ∗ 0.4) + (4 ∗ 0.25) + (9 ∗ 0.15) + (16 ∗ 0.1) + (25 ∗ 0.1)

𝑋̅ = 𝐸 [𝑋] = (0.4) + (1) + (1.35) + (1.6) + (2.5)

𝑋̅ = 𝐸 [𝑋] = 0.4 + 1 + 1.35 + 1.6 + 2.5 = 6.85

2 The Natural Numbers are the possible value of a random variables X: that is
𝟏 𝒏
𝑿𝒏 = 𝒏 ; n=1,2,............ these numbers occur with probabilities P(𝑿𝒏 )=(𝟐) Find the
Expected Value of X

SOLUTION:
∞

𝑋̅ = 𝐸[𝑋] = ∑ 𝑥𝑃{𝑋 = 𝑥}
𝑥=−∞
∞

𝑋̅ = 𝐸[𝑋] = ∑ 𝑥𝑃{𝑋 = 𝑥}
𝑥=1

1 𝑛
P(𝑋𝑛 = 𝑥)=(2)
∞

𝑋̅ = 𝐸[𝑋] = ∑ 𝑛𝑃{𝑋 = 𝑥}
𝑥=1
∞
1 𝑛
̅
𝑋 = 𝐸[𝑋] = ∑ 𝑛 ( )
2
𝑥=1

1 1 2 1 3 1 4
̅
𝑋 = 𝐸[𝑋] = (1 ∗ ) + (2 ∗ ( ) ) + (3 ∗ ( ) ) + (2 ∗ ( ) ) + ⋯ … … … … . . +∞
2 2 2 2

1 2 3 4 5
𝑋̅ = 𝐸[𝑋] = + 2 + 3 + 4 + 5 + ⋯ … … … … . . +∞
2 2 2 2 2
1 2 3 4 5
+ 2 + 3 + 4 + 5 + ⋯ … … … … . . +∞ = 𝑆𝑈𝑀
2 2 2 2 2
1 (1 + 1) (1 + 2) (1 + 3) (1 + 4)
+ + + + + ⋯ … … … … . . +∞ = 𝑆𝑈𝑀
2 22 23 24 25
1 1 1 1 2 1 3 1 4
+ 2 + 2 + 3 + 3 + 4 + 4 + 5 + 5 + ⋯ … … … … . . +∞ = 𝑆𝑈𝑀
2 2 2 2 2 2 2 2 2
1 1 1 1 2 1 3 1 4
+ 2 + 2 + 3 + 3 + 4 + 4 + 5 + 5 + ⋯ … … … … . . +∞ = 𝑆𝑈𝑀
2 2 2 2 2 2 2 2 2
1 1 1 1 1 2 3 4 5
[ + 2 + 3 + 4 + 5 + 2 + 3 + 4 + 5 + ⋯ … … … … . . +∞ = 𝑆𝑈𝑀]
2 2 2 2 2 2 2 2 2
1 1 1 1 1 1 2 3 4 5
[ + 2 + 3 + 4 + 5 + ⋯ … … ] + + 2 + 3 + 4 + 5 + ⋯ … … … … . . +∞ = 𝑆𝑈𝑀
2 2 2 2 2 2 2 2 2 2
1 1 1 1 1 𝑎
[ + 2 + 3 + 4 + 5 + ⋯ … … ] 𝐼𝑆 𝐼𝑁𝐹𝐼𝑁𝐼𝑇𝐸 𝐺. 𝑃 𝑆𝐸𝑅𝐼𝐸𝑆 𝑎𝑛𝑑 𝑆𝑢𝑚 𝑜𝑓 𝐺. 𝑃 𝑖𝑠 ,
2 2 2 2 2 1−𝑟
1 1
𝑎 𝑖𝑠 𝑓𝑖𝑟𝑠𝑡 𝑡𝑒𝑟𝑚 𝑎𝑛𝑑 𝑟 𝑖𝑠 𝑟𝑎𝑡𝑖𝑜𝑛 𝑠𝑒𝑐𝑜𝑛𝑑 𝑡𝑒𝑟𝑚 𝑎𝑛𝑑 𝑓𝑖𝑟𝑠𝑡 𝑡𝑒𝑟𝑚 , 𝑠𝑜 𝑎 = 𝑎𝑛𝑑 𝑟 =
2 2
 1 1
2 = 2 =1
1 1
1−2 2

1 1 1 1 1 1 2 3 4 5
[ + 2 + 3 + 4 + 5 + ⋯ … … ] + + 2 + 3 + 4 + 5 + ⋯ … … … … . . +∞ = 𝑆𝑈𝑀
2 2 2 2 2 2 2 2 2 2

1 2 3 4 5
1 + + 2 + 3 + 4 + 5 + ⋯ … … … … . . +∞ = 𝑆𝑈𝑀
2 2 2 2 2
1
1 + [𝑆𝑈𝑀] = 𝑆𝑈𝑀
2
1
𝑆𝑈𝑀 − [𝑆𝑈𝑀] = 1
2
1
𝑆𝑈𝑀 = 1
2
̅ = 𝑬[𝑿]
𝑺𝑼𝑴 = 𝟐 = 𝑿

3 Find the expected value of the function 𝒈(𝑿) = 𝑿𝟑 Where X is a random Variable
−𝒙
𝟏
defined by the Probability Density Function 𝒇(𝒙) = 𝟐 𝒆 𝟐 𝒖(𝒙)

SOLUTION
∞

𝐸[𝑔(𝑥)] = ∫ 𝑔(𝑥)𝑓 (𝑥)𝑑𝑥

−∞

1 −𝑥
𝑓(𝑥) = 𝑒 2 𝑢(𝑥) 𝑎𝑛𝑑 𝑔(𝑥) = 𝑥 3
2
∞
1 −𝑥
𝐸[𝑔(𝑥)] = ∫ 𝑥 3 𝑒 2 𝑢(𝑥)𝑑𝑥
2
−∞

∞
1 −𝑥
𝐸[𝑔(𝑥)] = ∫ 𝑥 3 𝑒 2 𝑑𝑥
2
0

∞
1 −𝑥
𝐸[𝑔(𝑥)] = ∫ 𝑥 3 𝑒 2 𝑑𝑥
2
0

−𝑥 −𝑥 −𝑥 −𝑥 ∞
1 𝑒2 𝑒2 𝑒2 𝑒2
𝐸[𝑔(𝑥)] = [𝑥 3 − 3𝑥 2 + 6𝑥 −6 ]
2 −1 −1 −1 −1 −1 −1 −1 −1 −1 −1
( ) ( ) ( )
2 2 ∗ 2 2 ∗ 2 ∗ 2 2 ∗ 2 ∗ 2 ∗ 2 0
 −𝑥 −𝑥 −𝑥 ∞
1 −𝑥 𝑒2 𝑒2 𝑒2
𝐸[𝑔(𝑥)] = [−2𝑥 3 𝑒 2 − 3𝑥 2 + 6𝑥 −6 ]
2 1 −1 1
( ) ( ) ( )
4 8 16 0

1 −𝑥 −𝑥 −𝑥 −𝑥 ∞
𝐸[𝑔(𝑥)] = [−2𝑥 3 𝑒 2 − 3 ∗ 4𝑥 2 𝑒 2 − 6 ∗ 8𝑥𝑒 2 − 6 ∗ 16𝑒 2 ]
2 0

1 −𝑥 −𝑥 −𝑥 −𝑥 ∞
𝐸[𝑔(𝑥)] = [−2𝑥 3 𝑒 2 − 12𝑥 2 𝑒 2 − 24𝑥𝑒 2 − 96𝑒 2 ]
2 0

1 −∞ −∞ −∞ −∞
𝐸[𝑔(𝑥)] = [[−2𝑥 3 𝑒 2 − 12𝑥 2 𝑒 2 − 24𝑥𝑒 2 − 96𝑒 2 ]
2
0 0 0 0
− [−20𝑒 2 − 12 ∗ 0 ∗ 𝑒 2 − 24 ∗ 0𝑒 2 − 96𝑒 2 ]]

1
𝐸[𝑔(𝑥)] = [[0] − [−96]]
2
1
𝐸[𝑔(𝑥)] = [96] = 48
2
𝒙
𝒓𝒆𝒄𝒕( )
4 The Arcsine Probability Density Function is defined by 𝒇(𝒙) = 𝟐𝒂
for any
𝝅(√𝒂𝟐−𝒙𝟐 )
𝟐 𝒂𝟐
real constant a≥0. Show that 𝑿 = 𝟎, 𝑿 = 𝟐
for this Probability Density Function

SOLUTION:
∞

𝑋̅ = 𝐸[𝑋] = ∫ 𝑥𝑓 (𝑥)𝑑𝑥
−∞

∞ 𝑥
𝑟𝑒𝑐𝑡 (2𝑎 )
𝑋̅ = 𝐸[𝑋] = ∫ 𝑥 𝑑𝑥
𝜋(√𝑎2 − 𝑥 2 )
−∞

𝑥
𝑓 (𝑥) = 𝑟𝑒𝑐𝑡 ( ) 𝑖𝑠 𝑑𝑒𝑓𝑖𝑛𝑒𝑑 𝑎𝑠
2𝑎
1
0; |𝑥| >
2
1 1
𝑓 (𝑥) = 𝑟𝑒𝑐𝑡(𝑥) = ; |𝑥| =
2 2
1
| |
{1; 𝑥 < 2
 𝑥 1
|> 0; |
2𝑎 2
𝑥 1 𝑥 1
𝑟𝑒𝑐𝑡 ( ) = ;| | =
2𝑎 2 2𝑎 2
𝑥 1
{1; |2𝑎| < 2

𝑥 1 𝑥 1
𝑟𝑒𝑐𝑡 ( ) = 1; − < ( ) <
2𝑎 2 2𝑎 2
𝑥 2𝑎 2𝑎𝑥 2𝑎
𝑟𝑒𝑐𝑡 ( ) = 1; − <( )<
2𝑎 2 2𝑎 2
𝑥
𝑟𝑒𝑐𝑡 ( ) = 1; −𝑎 < 𝑥 < 𝑎
2𝑎
1
2 𝑥
𝑟𝑒𝑐𝑡 (2𝑎 )
𝑋̅ = 𝐸[𝑋] = ∫ 𝑥 𝑑𝑥
1
𝜋(√𝑎2 − 𝑥 2 )
−
2

𝑎
1
𝑋̅ = 𝐸[𝑋] = ∫ 𝑥 𝑑𝑥
𝜋(√𝑎2 − 𝑥2 )
−𝑎

𝑎
𝑥
𝑋̅ = 𝐸[𝑋] = ∫ 𝑑𝑥
𝜋(√𝑎2 − 𝑥2 )
−𝑎

𝑥 2
𝑖𝑠 𝑜𝑑𝑑 𝑓𝑢𝑛𝑐𝑡𝑖𝑜𝑛 ℎ Hence its integration is zero
𝜋(√𝑎 2−𝑥 2)

𝑋̅ = 𝐸[𝑋] = 0
∞
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = ∫ 𝑥 2 𝑓 (𝑥)𝑑𝑥
−∞

𝑥
𝑓 (𝑥) = 𝑟𝑒𝑐𝑡 ( ) 𝑖𝑠 𝑑𝑒𝑓𝑖𝑛𝑒𝑑 𝑎𝑠
2𝑎
1
0; |𝑥| >
2
1 1
𝑓 (𝑥) = 𝑟𝑒𝑐𝑡(𝑥) = ; |𝑥| =
2 2
1
| |
{1; 𝑥 < 2
 𝑥 1
0; |
|>
2𝑎 2
𝑥 1 𝑥 1
𝑟𝑒𝑐𝑡 ( ) = ;| | =
2𝑎 2 2𝑎 2
𝑥 1
{1; |2𝑎| < 2

𝑥 1 𝑥 1
𝑟𝑒𝑐𝑡 ( ) = 1; − < ( ) <
2𝑎 2 2𝑎 2
𝑥 2𝑎 2𝑎𝑥 2𝑎
𝑟𝑒𝑐𝑡 ( ) = 1; − <( )<
2𝑎 2 2𝑎 2
𝑥
𝑟𝑒𝑐𝑡 ( ) = 1; −𝑎 < 𝑥 < 𝑎
2𝑎
∞ 𝑥
𝑟𝑒𝑐𝑡 ( )
̅̅̅̅ 2𝑎
𝑋 2 = 𝐸[𝑋 2 ] = ∫ 𝑥 2 𝑑𝑥
𝜋(√𝑎2 − 𝑥 2 )
−∞

𝑎
̅̅̅̅ 𝑥2
𝑋 2 = 𝐸[𝑋 2 ] = ∫ 𝑑𝑥
𝜋(√𝑎2 − 𝑥 2 )
−𝑎

𝑎 𝑎
𝑥2 𝑥2 𝑥2
𝑖𝑠 𝑎 𝑒𝑣𝑒𝑛 𝑓𝑢𝑛𝑐𝑡𝑖𝑜𝑛 𝑠𝑜 ∫ 𝑑𝑥 = 2 ∫ 𝑑𝑥
𝜋(√𝑎2 − 𝑥 2 ) 𝜋(√𝑎2 − 𝑥 2 ) 𝜋(√𝑎2 − 𝑥 2 )
−𝑎 0

𝑎
̅̅̅̅ 𝑥2
𝑋 2 = 𝐸[𝑋 2 ] = 2 ∫ 𝑑𝑥
𝜋(√𝑎2 − 𝑥 2 )
0

𝑞
̅̅̅̅
2 2]
2 −𝑥√𝑎2 − 𝑥 2 𝑎2 −1
𝑥 𝑎
𝑋 = 𝐸[𝑋 = [[ ] + [sin ( )] ]
𝜋 2 0
2 𝑎 0

̅̅̅̅ 2 −𝑎√𝑎2 − 𝑎2 0√𝑎2 − 0 𝑎 0

𝑋 2 = 𝐸[𝑋 2 ] = [[ + ] ∓ [sin−1 ( ) − sin−1 ( )]]
𝜋 2 2 𝑎 𝑎

̅̅̅̅ 2 𝑎
𝑋 2 = 𝐸[𝑋 2 ] = [[0 + 0] + [sin−1(1) − sin−1 (0)]]
𝜋 2

̅̅̅̅ 2 2 𝜋
𝑋 2 = 𝐸[𝑋 2 ] = [𝑎 [ − 0]]
2𝜋 2

2𝑎 𝜋 2 𝑎2
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = 2𝜋 [[ 2 ]]= 2
 𝟏 −𝝅 𝝅
𝐜𝐨𝐬(𝒙); 𝟐 ≤ 𝒙 ≤ 𝟐
5. A Random Variable has Probability Density Function 𝒇(𝒙) = {𝟐
𝟎 ; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆 𝒊𝒏 𝒙

Find the Mean Value of the function 𝒈(𝒙) = 𝟒𝒙𝟐

SOLUTION:
∞

𝐸[𝑔(𝑥)] = ∫ 𝑔(𝑥)𝑓(𝑥)𝑑𝑥
−∞

1 −𝜋 𝜋
cos(𝑥); 2 ≤ 𝑥 ≤ 2
𝑔(𝑥) = 4𝑥 2 ; 𝑓 (𝑥) = {2
0 ; 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒 𝑖𝑛 𝑥
𝜋
2
1
𝐸[4𝑥 2 ] = ∫ 4𝑥 2 cos(𝑥) 𝑑𝑥
2
𝜋
−
2

𝜋
2

𝐸[4𝑥 2 ] = 2 ∫ 𝑥 2 cos(𝑥) 𝑑𝑥
𝜋
−
2

𝜋
2

𝐸[4𝑥 2 ] = 2 ∫ 𝑥 2 cos(𝑥) 𝑑𝑥
𝜋
−
2

𝜋
2
𝐸[4𝑥 2 ] = 2[𝑥 2 𝑠𝑖𝑛(𝑥) − [2𝑥(−𝑐𝑜𝑠(𝑥)) − 2(−𝑠𝑖𝑛(𝑥))]−𝜋
2

𝜋
2
𝐸[4𝑥 2 ] = 2[𝑥 2 𝑠𝑖𝑛(𝑥) + 2𝑥(𝑐𝑜𝑠(𝑥)) − 2(𝑠𝑖𝑛(𝑥))]−𝜋
2

𝜋 2 𝜋 𝜋 𝜋 𝜋
𝐸[4𝑥 2 ] = 2 [[( ) 𝑠𝑖𝑛 ( ) + 2 ( ) 𝑐𝑜𝑠 ( ) − 2𝑠𝑖𝑛 ( )]
2 2 2 2 2
−𝜋 2 −𝜋 −𝜋 −𝜋 −𝜋
− [( ) 𝑠𝑖𝑛 ( ) + 2 ( ) 𝑐𝑜𝑠 ( ) − 2𝑠𝑖𝑛 ( )]]
2 2 2 2 2

𝜋 2 𝜋 −𝜋 2 −𝜋
𝐸[4𝑥 2 ] = 2 [[( ) ∗ 1 + 2 ( ) ∗ 0 − 2 ∗ 1] − [( ) (−1) + 2 ( ) ∗ 0 − 2(−1)]]
2 2 2 2

𝜋 2 −𝜋 2
𝐸[4𝑥 2 ] = 2 [[( ) + 0 − 2] − [( ) (−1) + 0 + 2]]
2 2
 𝜋 2 −𝜋 2
𝐸[4𝑥 2 ] = 2 [[( ) − 2] − [− ( ) + 2]]
2 2

𝜋 2 𝜋 2
𝐸[4𝑥 2 ] = 2 [( ) − 2 + ( ) − 2]
2 2
𝜋 2
𝐸[4𝑥 2 ] = 2 [2 ( ) − 4]
2

(𝜋)2
𝐸[4𝑥 2 ] = [4 − 8]
4

𝐸[4𝑥 2 ] = [(𝜋)2 − 8]

6 An Information Source can emit any one of 128 levels where each is equally
probable and independent of all others. What average information does the
source represent?

SOLUTION:
∞

𝑋̅ = 𝐸[𝑋] = ∑ 𝑥𝑃{𝑋 = 𝑥}
𝑥=−∞

1
According to given data 𝑃{𝑋 = 𝑥} =
128

128
1
𝑋̅ = 𝐸[𝑋] = ∑ 𝑥
128
𝑥=0

128
1
𝑋̅ = 𝐸[𝑋] = ∑𝑥
128
𝑥=0

1
𝑋̅ = 𝐸[𝑋] = [1 + 2 + 3 + 4 + 5 + 6 + 7 … … … . .128]
128
1 128 ∗ 129 129
𝑋̅ = 𝐸[𝑋] = ( )=
128 2 2
7 Show that the Mean Value and Variance of the Uniform Random Variables X is

𝒂+𝒃 (𝒃−𝒂)𝟐
𝑬[𝑿] = ( ) and 𝝈𝟐𝒙 =
𝟐 𝟏𝟐

SOLUTION:
∞

𝐸[𝑥] = ∫ 𝑥𝑓 (𝑥)𝑑𝑥
−∞

1
𝑓(𝑥) = {𝑏 − 𝑎 ; 𝑎 < 𝑥 < 𝑏
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
𝑏 𝑏
1 1
𝐸[𝑥] = ∫ 𝑥 𝑑𝑥 𝐸[𝑥] = ∫ 𝑥𝑑𝑥
𝑏−𝑎 𝑏−𝑎
𝑎 𝑎

𝑏
1 𝑥2
𝐸[𝑋] = [ ]
𝑏−𝑎 2 𝑎

1 𝑏2 𝑎2
𝐸[𝑋] = [ − ]
𝑏−𝑎 2 2

1 𝑏2 − 𝑎2
𝐸[𝑋] = [ ]
𝑏−𝑎 2

1 (𝑏 − 𝑎)(𝑏 + 𝑎)
𝐸[𝑋] = [ ]
𝑏−𝑎 2

(𝑏 + 𝑎)
𝐸[𝑋] = [ ]
2
∞
2]
𝐸[𝑥 = ∫ 𝑥 2 𝑓(𝑥)𝑑𝑥
−∞

𝑏
2]
1
𝐸[𝑥 = ∫ 𝑥2 𝑑𝑥
𝑏−𝑎
𝑎

𝑏
2]
1
𝐸[𝑥 = ∫ 𝑥 2 𝑑𝑥
𝑏−𝑎
𝑎
 𝑏
2]
1 𝑥3
𝐸[𝑥 = [ ]
𝑏−𝑎 3 𝑎

1 𝑏3 𝑎3
𝐸[𝑥 2 ] = [ − ]
𝑏−𝑎 3 3

1 𝑏3 − 𝑎3
𝐸[𝑥 2 ] = [ ]
𝑏−𝑎 3

(𝑏3 − 𝑎3 ) = (𝑏 − 𝑎)(𝑏2 + 𝑎2 + 𝑎𝑏)

1 (𝑏 − 𝑎)(𝑏2 + 𝑎 2 + 𝑎𝑏)
𝐸[𝑥 2 ] = [ ]
𝑏−𝑎 3

(𝑏2 + 𝑎2 + 𝑎𝑏)
𝐸[𝑥 2 ] = [ ]
3

2 (𝑏 2+𝑎 2+𝑎𝑏) (𝑏+𝑎) 2 𝑏 2+𝑎 2+𝑎𝑏 𝑏 2+𝑎 2+2𝑎𝑏

Variance 𝜎𝑥2 = 𝐸[𝑋 2 ] − [𝐸[𝑋]] = [[ ]−[ ] ]=[ − ]
3 2 3 4

4𝑏2 + 4𝑎2 + 4𝑎𝑏 − 3𝑏2 − 3𝑎 2 − 6𝑎𝑏 𝑏2 + 𝑎2 − 2𝑎𝑏 [𝑏 − 𝑎]2

=[ ]=[ ]=
12 12 12

8 Show that the Mean Value and Variance of the Binomial Random Variables X is

𝑬[𝑿] = 𝒏𝒑 & 𝝈𝟐𝒙 = 𝒏𝒑𝒒

SOLUTION:
∞

𝑋̅ = 𝐸[𝑋] = ∑ 𝑥𝑃{𝑋 = 𝑥}
𝑥=−∞

𝑃{𝑋 = 𝑥} = 𝑛𝑐𝑥 (𝑝)𝑥 (𝑞)𝑛−𝑥

𝑛

𝑋̅ = 𝐸[𝑋] = ∑ 𝑥𝑛𝑐𝑥 (𝑝)𝑥 (𝑞)𝑛−𝑥

𝑥=0

𝑛
𝑛!
𝑋̅ = 𝐸[𝑋] = ∑ 𝑥 (𝑝 )𝑥 (𝑞)𝑛−𝑥
𝑥! 𝑛 − 𝑥)!
(
𝑥=1

𝑛
𝑛𝑝(𝑛 − 1)!
𝑋̅ = 𝐸[𝑋] = ∑ 𝑥 (𝑝)𝑥−1 (𝑞)(𝑛−1)−(𝑥−1)
(𝑥 − 1)! ((𝑛 − 1) − (𝑥 − 1))!
𝑥=1
 𝑛
𝑛𝑝(𝑛 − 1)!
𝑋̅ = 𝐸[𝑋] = ∑ (𝑝)𝑥−1 (𝑞)(𝑛−1)−(𝑥−1)
(𝑥 − 1)! ((𝑛 − 1) − (𝑥 − 1))!
𝑥=1

𝑛
(𝑛 − 1)!
𝑋̅ = 𝐸[𝑋] = 𝑛𝑝 ∑ (𝑝)𝑥−1 (𝑞)(𝑛−1)−(𝑥−1)
(𝑥 − 1)! ((𝑛 − 1) − (𝑥 − 1))!
𝑥=1

𝑋̅ = 𝐸[𝑋] = 𝑛𝑝 ∑ 𝑛 − 1𝑐𝑥−1 (𝑝)𝑥−1 (𝑞)(𝑛−1)−(𝑥−1)

𝑥=1

𝑛
𝑛−1
𝑋̅ = 𝐸[𝑋] = 𝑛𝑝 ∑((𝑝 + 𝑞))
𝑥=1

𝑋̅ = 𝐸[𝑋] = 𝑛𝑝
∞
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2]
= ∑ 𝑥 2 𝑃{𝑋 = 𝑥}
𝑥=−∞

𝑃{𝑋 = 𝑥} = 𝑛𝑐𝑥 (𝑝)𝑥 (𝑞)𝑛−𝑥

𝑛
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = ∑ 𝑥 2 𝑛𝑐𝑥 (𝑝)𝑥 (𝑞)𝑛−𝑥
𝑥=0

Let 𝑥 2 = 𝑥 + 𝑥(𝑥 − 1)
𝑛
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2]
= ∑[𝑥 + 𝑥(𝑥 − 1)]𝑛𝑐𝑥 (𝑝)𝑥 (𝑞)𝑛−𝑥
𝑥=0

𝑛 𝑛
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2]
= ∑[𝑥]𝑛𝑐𝑥 (𝑝 )𝑥 ( 𝑞 )𝑛−𝑥 + ∑[𝑥(𝑥 − 1)]𝑛𝑐𝑥 (𝑝 )𝑥 (𝑞)𝑛−𝑥
𝑥=0 𝑥=0

𝑛
̅̅̅̅ 2]
𝑛!
𝑋 2 = 𝐸[𝑋 = 𝑛𝑝 + ∑[𝑥(𝑥 − 1)] (𝑝)𝑥 (𝑞)𝑛−𝑥
𝑥! (𝑛 − 𝑥)!
𝑥=0

𝑛
[𝑥(𝑥 − 1)]𝑛𝑝2 (𝑛 − 1)(𝑛 − 2)!
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2]
= 𝑛𝑝 + ∑ (𝑝)𝑥−2 (𝑞)(𝑛−2)−(𝑥−2)
𝑥=2
𝑥 (𝑥 − 1)(𝑥 − 2)! ((𝑛 − 2) − (𝑥 − 2))!

𝑛
[𝑥(𝑥 − 1)]𝑛𝑝2 (𝑛 − 1)(𝑛 − 2)!
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2]
= 𝑛𝑝 + ∑ (𝑝)𝑥−2 (𝑞)(𝑛−2)−(𝑥−2)
𝑥=2
𝑥 (𝑥 − 1)(𝑥 − 2)! ((𝑛 − 2) − (𝑥 − 2))!
 𝑛
(𝑛 − 2)!
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = 𝑛𝑝 + 𝑛𝑝2 (𝑛 − 1) ∑ (𝑝 )𝑥−2 (𝑞)(𝑛−2)−(𝑥−2)
(𝑥 − 2)! ((𝑛 − 2) − (𝑥 − 2))!
𝑥=2

𝑛
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = 𝑛𝑝 + 𝑛𝑝2 (𝑛 − 1) ∑ 𝑛 − 2𝑐𝑥−2 (𝑝)𝑥−2 (𝑞)(𝑛−2)−(𝑥−2)
𝑥=2

𝑛
𝑛−2
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = 𝑛𝑝 + 𝑛𝑝2 (𝑛 − 1) ∑((𝑝 + 𝑞))
𝑥=2

̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = 𝑛𝑝 + 𝑛𝑝2 (𝑛 − 1) = 𝑛𝑝[1 + 𝑝(𝑛 − 1)] = 𝑛𝑝(1 + 𝑛𝑝 − 𝑝) = 𝑛𝑝(𝑞 + 𝑛𝑝)

= 𝑛𝑝𝑞 + 𝑛2 𝑝2

𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜇2 = 𝑚2 − 𝑚12

𝜇2 = 𝑛𝑝𝑞 + 𝑛2 𝑝2 − 𝑛2 𝑝2 = 𝑛𝑝𝑞

9 Show that the Mean Value and Variance of the Poisson Random Variables X are
equal.

SOLUTION:
∞

𝑋̅ = 𝐸[𝑋] = ∑ 𝑥𝑃{𝑋 = 𝑥}
𝑥=−∞

𝜆𝑥
𝑃{𝑋 = 𝑥} = 𝑒 −𝜆
𝑥!
∞
𝜆𝑥
𝑋̅ = 𝐸[𝑋] = ∑ 𝑥𝑒 −𝜆
𝑥!
𝑥=0

∞
𝜆𝜆𝑥−1
𝑋̅ = 𝐸[𝑋] = ∑ 𝑥𝑒 −𝜆
𝑥(𝑥 − 1)!
𝑥=0

∞
𝜆𝜆𝑥−1
𝑋̅ = 𝐸[𝑋] = ∑ 𝑒 −𝜆
(𝑥 − 1)!
𝑥=0

∞
𝜆𝑥−1
𝑋̅ = 𝐸[𝑋] = 𝑒 −𝜆 𝜆 ∑
(𝑥 − 1)!
𝑥=0

𝜆0 𝜆1 𝜆2 𝜆3
𝑋̅ = 𝐸[𝑋] = 𝑒 −𝜆 𝜆 [ + + + + ⋯ … … … … . . +∞]
0! 1! 2! 3!
 𝜆1 𝜆2 𝜆3
𝑋̅ = 𝐸[𝑋] = 𝑒 −𝜆 𝜆 [1 + + + + ⋯ … … … … . . +∞]
1! 2! 3!

𝜆1 𝜆2 𝜆3
We know that [1 + 1! + 2!
+ 3! + ⋯ … … … … . . +∞] = 𝑒 𝜆

𝑋̅ = 𝐸[𝑋] = 𝑒 −𝜆 𝜆𝑒 𝜆 = 𝜆
∞
̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = ∑ 𝑥 2 𝑃{𝑋 = 𝑥}
𝑥=0

𝜆𝑥
𝑃{𝑋 = 𝑥} = 𝑒 −𝜆
𝑥!
∞
̅̅̅̅ 2]
𝜆𝑥
𝑋 2 = 𝐸[𝑋 = ∑ 𝑥 2 𝑒 −𝜆
𝑥!
𝑥=0

Let 𝑥 2 = 𝑥 + 𝑥(𝑥 − 1)
∞
𝑥
̅̅̅̅ 𝜆
𝑋 2 = 𝐸[𝑋 2 ] = ∑[𝑥 + 𝑥(𝑥 − 1)]𝑒 −𝜆
𝑥!
𝑥=0

∞ ∞
̅̅̅̅
2 2] −𝜆
𝜆𝑥 −𝜆
𝜆𝑥
𝑋 = 𝐸[𝑋 = ∑[𝑥]𝑒 )]
+ ∑[(𝑥 − 1 𝑒
𝑥! 𝑥!
𝑥=0 𝑥=2

∞
̅̅̅̅ 𝜆2 𝜆𝑥−2
𝑋 2 = 𝐸[𝑋 2 ] = 𝜆 + ∑[𝑥(𝑥 − 1)]𝑒 −𝜆
𝑥(𝑥 − 1)(𝑥 − 2)!
𝑥=2

∞
̅̅̅̅
2 2] −𝜆
𝜆2 𝜆𝑥−2
𝑋 = 𝐸[𝑋 = 𝜆 + ∑ 𝑒
(𝑥 − 2)!
𝑥=2

∞
̅̅̅̅
2 2] −𝜆 2 ∑
𝜆𝑥−2
𝑋 = 𝐸[𝑋 = 𝜆 + 𝑒 𝜆
(𝑥 − 2)!
𝑥=2

̅̅̅̅ 𝜆0 𝜆1 𝜆2 𝜆3 𝜆4
𝑋 2 = 𝐸[𝑋 2 ] = 𝜆 + 𝑒 −𝜆 𝜆2 [ + + + + + ⋯ … . +∞]
0! 1! 2! 3! 4!

̅̅̅̅ 𝜆1 𝜆2 𝜆3 𝜆4
𝑋 2 = 𝐸[𝑋 2 ] = 𝜆 + 𝑒 −𝜆 𝜆2 [1 + + + + + ⋯ … . +∞]
1! 2! 3! 4!

𝜆1 𝜆2 𝜆3
We know that [1 + 1! + 2!
+ 3! + ⋯ … … … … . . +∞] = 𝑒 𝜆

̅̅̅̅
𝑋 2 = 𝐸[𝑋 2 ] = 𝜆 + 𝑒 −𝜆 𝜆2 𝑒 𝜆 = 𝜆 + 𝜆2
 𝜇2 = 𝜆 + 𝜆2 − 𝜆2 = 𝜆

10. Show that the Mean Value and Variance of the Gaussian Random Variables X
is 𝒎𝒙 & 𝝈𝟐𝒙

SOLUTION: The Gaussian Density Function is

(𝑥−𝑚𝑥)2
1 − 2
𝑓 (𝑥) = 𝑒 2𝜎𝑥
√2𝜋𝜎𝑥2
∞

𝑀𝑒𝑎𝑛 𝐸[𝑥] = ∫ 𝑥𝑓 (𝑥)𝑑𝑥

−∞

∞ (𝑥−𝑚𝑥 )2
1 −
2𝜎𝑥2 𝑑𝑥
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = ∫ 𝑥 𝑒
−∞
√2𝜋𝜎𝑥2

(𝑥−𝑚𝑥)
Let 𝑡 =
√2 𝜎𝑥

√2 𝜎𝑥 𝑡 = 𝑥 − 𝑚𝑥

𝑥 = 𝑚𝑥 + √2 𝜎𝑥 𝑡

𝑑𝑥 = 0 + √2 𝜎𝑥 𝑑𝑡

𝑑𝑥 = √2 𝜎𝑥 𝑑𝑡

Limits: Upper Limit 𝑥 = ∞; 𝑡 = ∞

Lower Limit 𝑥 = −∞; 𝑡 = −∞

∞
1 2
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = ∫ (𝑚𝑥 + √2 𝜎𝑥 𝑡)𝑒 −𝑡 √2 𝜎𝑥 𝑑𝑡
√2𝜋𝜎𝑥2 −∞

∞ ∞
1 −𝑡 2 2
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = [ ∫ (𝑚𝑥 )𝑒 √2 𝜎𝑥 𝑑𝑡 + ∫ (√2 𝜎𝑥 𝑡)𝑒−𝑡 √2 𝜎𝑥 𝑑𝑡]
√2𝜋𝜎𝑥2 −∞ −∞

∞ ∞
1 −𝑡 2
1 2
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = [ ∫ (𝑚𝑥 )𝑒 √2 𝜎𝑥 𝑑𝑡] + [ ∫ (√2 𝜎𝑥 𝑡)𝑒 −𝑡 √2 𝜎𝑥 𝑑𝑡]
√2𝜋𝜎𝑥2 −∞
√2𝜋𝜎𝑥2 −∞
 ∞ ∞
1 −𝑡 2
1 2
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = [ ∫ (𝑚𝑥 )𝑒 𝑑𝑡] + [ ∫ (√2 𝜎𝑥 𝑡)𝑒 −𝑡 √2 𝜎𝑥 𝑑𝑡]
√𝜋 √𝜋
−∞ −∞

∞ ∞
1 −𝑡 2
2 𝜎𝑥 2
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = [ ∫ (𝑚𝑥 )𝑒 𝑑𝑡] + √ [ ∫ 𝑡𝑒 −𝑡 𝑑𝑡]
√𝜋 𝜋
−∞ −∞

2
𝑡𝑒 −𝑡 𝑖𝑠 𝑜𝑑𝑑 𝑓𝑢𝑛𝑐𝑡𝑖𝑜𝑛 𝑠𝑜 𝑖𝑡𝑠 𝑖𝑛𝑡𝑒𝑔𝑟𝑎𝑡𝑖𝑜𝑛 𝑜𝑣𝑒𝑟 𝑖𝑛𝑓𝑖𝑛𝑖𝑡𝑒 𝑡𝑜 𝑚𝑖𝑛𝑢𝑠 𝑖𝑛𝑓𝑖𝑛𝑖𝑡𝑒 𝑖𝑠 𝑧𝑒𝑟𝑜, then

1 ∞ 2
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = [∫−∞(𝑚𝑥 )𝑒 −𝑡 𝑑𝑡]
√𝜋

∞
𝑚𝑥 2
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = ∫ 𝑒 −𝑡 𝑑𝑡
√𝜋
−∞

∞
2𝑚𝑥 2
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = ∫ 𝑒 −𝑡 𝑑𝑡
√𝜋
0

Let 𝑢 = 𝑡 2

𝑡 = √𝑢

1
𝑑𝑡 = 𝑑𝑢
2√𝑢

Limits: Upper Limit 𝑡 = ∞, 𝑢 = ∞

Lower Limit 𝑡 = 0, 𝑢 = 𝑜
∞
2𝑚𝑥 1
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = ∫ 𝑒 −𝑢 𝑑𝑢
√𝜋 2√𝑢
0

∞
𝑚𝑥 1
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = ∫ 𝑒 −𝑢 𝑑𝑢
√𝜋 √𝑢
0

We Know That
∞ 1
∫0 𝑒 −𝑢 √𝑢 𝑑𝑢 = √𝜋 As Per The Gamma Function

𝑚𝑥
𝑀𝑒𝑎𝑛 = 𝐸[𝑥] = √𝜋 = 𝑚𝑥
√𝜋
 ∞ (𝑥−𝑚𝑥 )2
2] 2
1 − 2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 = ∫𝑥 𝑒 2𝜎𝑥 𝑑𝑥
−∞
√2𝜋𝜎𝑥2

(𝑥−𝑚𝑥)
Let 𝑡 =
√2 𝜎𝑥

√2 𝜎𝑥 𝑡 = 𝑥 − 𝑚𝑥

𝑥 = 𝑚𝑥 + √2 𝜎𝑥 𝑡

𝑑𝑥 = 0 + √2 𝜎𝑥 𝑑𝑡

𝑑𝑥 = √2 𝜎𝑥 𝑑𝑡

Limits: Upper Limit 𝑥 = ∞; 𝑡 = ∞

Lower Limit 𝑥 = −∞; 𝑡 = −∞

∞
2]
1 2 2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 = ∫ ((𝑚𝑥 + √2 𝜎𝑥 𝑡)) 𝑒 −𝑡 √2 𝜎𝑥 𝑑𝑡
√2𝜋𝜎𝑥2 −∞

∞
2]
1 2 2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 = ∫ ((𝑚𝑥 + √2 𝜎𝑥 𝑡)) 𝑒 −𝑡 𝑑𝑡
√𝜋
−∞

∞
1 2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 2 ] = ∫ (𝑚𝑥2 + 2𝑡 2 𝜎𝑥2 + 2√2𝑚𝑥 𝑡)𝑒 −𝑡 𝑑𝑡
√𝜋
−∞

∞
2]
1 2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 = [ ∫ (𝑚𝑥2 + 2𝑡 2 𝜎𝑥2 + 2√2𝑚𝑥 𝑡)𝑒 −𝑡 𝑑𝑡]
√𝜋
−∞

∞ ∞ ∞
1 −𝑡 2 −𝑡 2 2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 2 ] = [ ∫ 𝑚𝑥2 𝑒 𝑑𝑡 + ∫ 2𝑡 2 𝜎𝑥2 𝑒 𝑑𝑡 + ∫ 2√2𝑚𝑥 𝑡 𝑒 −𝑡 𝑑𝑡]
√𝜋
−∞ −∞ −∞

∞ ∞ ∞
2]
1 2 2 2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 = [∫ 𝑚𝑥2 𝑒 −𝑡 𝑑𝑡 + ∫ 2𝑡 2 𝜎𝑥2 𝑒 −𝑡 𝑑𝑡 + ∫ 2√2𝑚𝑥 𝑡 𝑒 −𝑡 𝑑𝑡]
√𝜋
−∞ −∞ −∞

2
𝑡𝑒 −𝑡 𝑖𝑠 𝑜𝑑𝑑 𝑓𝑢𝑛𝑐𝑡𝑖𝑜𝑛 𝑠𝑜 𝑖𝑡𝑠 𝑖𝑛𝑡𝑒𝑔𝑟𝑎𝑡𝑖𝑜𝑛 𝑖𝑠 𝑧𝑒𝑟𝑜
∞ ∞
1 −𝑡 2 2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 2 ] = [ ∫ 𝑚𝑥2 𝑒 𝑑𝑡 + ∫ 2𝑡 2 𝜎𝑥2 𝑒 −𝑡 𝑑𝑡]
√𝜋
−∞ −∞

Let 𝑢 = 𝑡 2
 𝑡 = √𝑢

1
𝑑𝑡 = 𝑑𝑢
2√𝑢

Limits: Upper Limit 𝑡 = ∞, 𝑢 = ∞

Lower Limit 𝑡 = 0, 𝑢 = 𝑜

∞ ∞
2]
2𝑚𝑥2 −𝑢
1 4𝜎𝑥2 1
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 = ∫𝑒 𝑑𝑢 + [∫ 𝑢 𝑒 −𝑢 𝑑𝑢]
√𝜋 2√𝑢 √𝜋 2√𝑢
0 0

∞ ∞
2]
𝑚𝑥2 −𝑢
1 2𝜎𝑥2
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 = ∫𝑒 𝑑𝑢 + [∫ √𝑢 𝑒 −𝑢 𝑑𝑢]
√𝜋 √𝑢 √𝜋
0 0

According to Gamma Functions

∞
1
∫ 𝑒 −𝑢 𝑑𝑢 = √𝜋
√𝑢
0

And
∞
√𝜋
∫ √𝑢 𝑒 −𝑢 𝑑𝑢 =
2
0

𝑚𝑥2 2𝜎𝑥2 √𝜋
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 2 ] = √𝜋 +
√𝜋 √𝜋 2

𝐸[𝑥 2 ] = 𝑚𝑥2 + 𝜎𝑥2

Hence Variance

𝜎𝑥2 = 𝐸[𝑥 2 ] − 𝑚𝑥2

11. A Random Variable X has A Probability Density Function

𝟑
𝒇(𝒙) = ( ) (−𝒙𝟐 + 𝟖𝒙 − 𝟏𝟐); 𝟐 ≤ 𝑿 ≤ 𝟔
𝟑𝟐

Find 𝒎𝟎 , 𝒎𝟏 , 𝒎𝟐 &𝝁𝟐

SOLUTION:
∞
0]
𝑚0 = 𝐸[𝑥 = ∫ 𝑥 0 𝑓 (𝑥)𝑑𝑥
−∞

𝑚0 = 𝐸[1] = ∫ 𝑓 (𝑥)𝑑𝑥 = 1
−∞

𝑚1 = 𝐸[𝑥1 ] = ∫ 𝑥1 𝑓(𝑥)𝑑𝑥
−∞

6
3
𝑚1 = 𝐸[𝑥] = ∫ 𝑥 ( ) (−𝑥 2 + 8𝑥 − 12)𝑑𝑥
32
2

6
3
𝑚1 = 𝐸[𝑥] = ∫ 𝑥 (−𝑥 2 + 8𝑥 − 12)𝑑𝑥
32
2

6
3
𝑚1 = 𝐸[𝑥] = ∫(−𝑥 3 + 8𝑥 2 − 12𝑥)𝑑𝑥
32
2

6
3 𝑥4 𝑥3 𝑥2
𝑚1 = 𝐸[𝑥] = [− + 8 − 12 ]
32 4 3 2 2

3 64 8 ∗ 63 12 ∗ 62 24 8 ∗ 23 22
𝑚1 = 𝐸[𝑥] = [− + − + − + 12 ]
32 4 3 2 4 3 2
3 −1296 1728 432 16 64 48
= [ + − + − + ]
32 4 3 2 4 3 2
3 64
𝑚1 = 𝐸[𝑥] = [−324 + 576 − 216 + 4 − + 24]
32 3
3 64 3 192−64 3 128
𝑚1 = 𝐸[𝑥] = [64 − ]= [ ]= [ ]=4
32 3 32 3 32 3
 ∞
2]
𝑚2 = 𝐸[𝑥 = ∫ 𝑥 2 𝑓 (𝑥)𝑑𝑥
−∞

6
2]
3
𝑚2 = 𝐸[𝑥 = ∫ 𝑥2 ( ) (−𝑥 2 + 8𝑥 − 12)𝑑𝑥
32
2

6
2]
3
𝑚2 = 𝐸[𝑥 = ( ) ∫ 𝑥 2 (−𝑥 2 + 8𝑥 − 12)𝑑𝑥
32
2

6
2]
3
𝑚2 = 𝐸[𝑥 = ( ) ∫(−𝑥 4 + 8𝑥 3 − 12𝑥 2 )𝑑𝑥
32
2

6
2]
3
𝑚2 = 𝐸[𝑥 = ( ) ∫(−𝑥 4 + 8𝑥 3 − 12𝑥 2 )𝑑𝑥
32
2

6
2]
3 𝑥 5 8 ∗ 𝑥 4 12 ∗ 𝑥 3
𝑚2 = 𝐸[𝑥 = ( ) [− + − ]
32 5 4 3 2

3 (6)5 8 ∗ (6)4 12 ∗ (6)3 (2)5 8 ∗ (2)4 12 ∗ (2)3

𝑚2 = 𝐸[𝑥 2 ] = ( ) [− + − + − + ]
32 5 4 3 5 4 3

3 −7776 10368 2592 32 128 96

𝑚2 = 𝐸[𝑥 2 ] = ( )[ + − + − + ]
32 5 4 3 5 4 3
3 −7776 32
𝑚2 = 𝐸[𝑥 2 ] = ( )[ + 2592 − 864 + − 32 + 32]
32 5 5
3 −7776 32
𝑚2 = 𝐸[𝑥 2 ] = ( )[ + 1728 + ]
32 5 5
3 −7744
𝑚2 = 𝐸[𝑥 2 ] = ( )[ + 1728]
32 5
3 −7744 + 8640
𝑚2 = 𝐸[𝑥 2 ] = ( )[ ]
32 5
3 896 3 28 84
𝑚2 = 𝐸[𝑥 2 ] = (32) [ 5
]=( ) [ ] =
1 5 5

𝑚2 = 𝐸[𝑥 2 ] =

𝜇2 == 𝑚2 − 𝑚12

𝟖𝟒 𝟖𝟒 − 𝟖𝟎 𝟒
𝛍𝟐 == − 𝟏𝟔 = =
𝟓 𝟓 𝟓
12. .A Random Variable X has A Probability Density Function
𝟓
( ) (𝟏 − 𝒙𝟒 ); 𝟎 ≤ 𝑿 ≤ 𝟏
𝒇(𝒙) = { 𝟒 Find E[X],E[4X+2] and E[X2]
𝟎; 𝑶𝒕𝒉𝒆𝒓 𝑾𝒊𝒔𝒆

SOLUTION:
∞

𝐸[𝑋] = ∫ 𝑥𝑓 (𝑥) 𝑑𝑥
−∞

1
5
𝐸[𝑋] = ∫ 𝑥 ( ) (1 − 𝑥 4 ) 𝑑𝑥
4
0

1
5
𝐸[𝑋] = ( ) ∫ 𝑥 (1 − 𝑥 4 ) 𝑑𝑥
4
0

1
5
𝐸[𝑋] = ( ) ∫(𝑥 − 𝑥 5 ) 𝑑𝑥
4
0

1
5 𝑥2 𝑥6 5 12 16 02 06
𝐸[𝑋] = ( ) [ − ] = ( ) [ − − + ]
4 2 6 0 4 2 6 2 6

5 1 1 5 3−1 5 2 5
𝐸[𝑋] = ( ) [ − ] = ( ) [ ] = ( )[ ] =
4 2 6 4 6 4 6 12
5 5 5+6 11
E[4X+2]=4E[𝑋] + 2 =E[4X+2]=4 ∗ 12 + 2 = 3 + 2 = 3
= 3

𝐸[𝑋 2 ] = ∫ 𝑥 2 𝑓 (𝑥) 𝑑𝑥
−∞

1 1 1
5 5 5
𝐸[𝑋 2 ] = ∫ 𝑥 2 ( ) (1 − 𝑥 4 ) 𝑑𝑥 = ( ) ∫ 𝑥 2 (1 − 𝑥 4 ) 𝑑𝑥 = ( ) ∫(𝑥 2 − 𝑥 6 ) 𝑑𝑥
4 4 4
0 0 0

1
2]
5 𝑥3 𝑥7
𝐸[𝑋 = ( )[ − ]
4 3 7 0

5 13 17 03 07
𝐸[𝑋] = ( ) [ − − + ]
4 3 7 3 7

5 1 1 5 7−3 5 4 5
𝐸[𝑋 2 ] = ( ) [ − ] = ( ) [ ] = ( )[ ] =
4 3 7 4 21 4 21 21
13.A Random Variable X is uniformly distributed on (0,6).If X is transformed to
a new random variables

𝒀 = 𝟐(𝑿 − 𝟑)𝟐 − 𝟒 Find 𝒎𝟎 , 𝒎𝟏 , 𝒎𝟐 &𝝁𝟐 of y

SOLUTION: A Random Variable X is uniformly distributed on (0,6).The Probability

Density Function

1
𝑓(𝑥) = {𝑏 − 𝑎 ; 𝑎 < 𝑥 < 𝑏
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
1
;0 < 𝑥 < 6
𝑓 (𝑥) = {6−0
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
1
𝑓 (𝑥) = { 6 ; 0 < 𝑥 < 6
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

𝐸[𝑌] = 𝐸[2(𝑋 − 3)2 − 4] = 𝐸[2(𝑋 2 + 9 − 6𝑋) − 4] = 𝐸[2𝑋 2 + 18 − 12𝑋 − 4]

𝐸[𝑌] = 𝐸[2𝑋 2 + 14 − 12𝑋] = 𝐸[2𝑋 2 ] + 𝐸[14] − 𝐸[12𝑋]

𝐸[𝑌] = 2𝐸[𝑋 2 ] + 14 − 12𝐸[𝑋]

∞ ∞
2
𝐸[𝑌] = 2 ∫ 𝑥 𝑓 (𝑥) 𝑑𝑥 + 14 − 12 ∫ 𝑥𝑓 (𝑥) 𝑑𝑥
−∞ −∞

6 ∞
1 2
1
𝐸[𝑌] = 2 ∫ 𝑥 𝑑𝑥 + 14 − 12 ∫ 𝑥 𝑑𝑥
6 6
0 −∞

6 ∞
2 12
𝐸[𝑌] = ∫ 𝑥 2 𝑑𝑥 + 14 − ∫ 𝑥 𝑑𝑥
6 6
0 −∞

6 6
1 𝑥3 𝑥2
𝐸[𝑌] = 14 + [ ] − 2 [ ]
3 3 0 2 0

1 63 62
𝐸[𝑌] = 14 + [ − 0] − 2 [ − 0]
3 3 2

1 216 36
𝐸[𝑌] = 14 + [ ] −2[ ]
3 3 2

𝐸[𝑌] = 14 + 36 − 36

𝐸[𝑌] = 14
14. Show that the Mean Value and Variance of the Rayleigh Random Variables X
is

𝝅𝒃 (𝟒 − 𝝅)
𝑬[𝑿] = 𝒂 + √ & 𝝈𝟐𝒙 = 𝒃
𝟒 𝟒

SOLUTION: The Rayleigh Random Variables X has Probability Density Function is

2 −(𝑥−𝑎)2
𝑓 (𝑥) = (𝑥 − 𝑎)𝑒 𝑏 ; 𝑥 ≥ 𝑎
𝑏
∞

𝐸[𝑋] = ∫ 𝑥𝑓 (𝑥) 𝑑𝑥
−∞

∞
2 −(𝑥−𝑎)2
𝐸[𝑋] = ∫ 𝑥 (𝑥 − 𝑎)𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
2 −(𝑥−𝑎)2
𝐸[𝑋] = ∫ 𝑥(𝑥 − 𝑎)𝑒 𝑏 𝑑𝑥
𝑏
𝑎

(𝑥−𝑎)2
Let 𝑡 = 𝑏

𝑡𝑏 = (𝑥 − 𝑎)2

𝑥 − 𝑎 = √𝑏𝑡

𝑥 = 𝑎 + √𝑏𝑡

𝑑𝑥 = 𝑑𝑎 + 𝑑(√𝑏𝑡)

1 𝑏
𝑑𝑥 = √ 𝑑𝑡
2 𝑡

Limits: Upper Limit 𝑥 = ∞; 𝑡 = ∞

Lower Limit 𝑥 = 𝑎; 𝑡 = 0

∞
2 1 𝑏
𝐸[𝑋] = ∫ (𝑎 + √𝑏𝑡) √𝑏𝑡𝑒 −𝑡 √ 𝑑𝑡
𝑏 2 𝑡
0
 ∞

𝐸[𝑋] = ∫ (𝑎 + √𝑏𝑡) 𝑒 −𝑡 𝑑𝑡
0

𝐸[𝑋] = ∫ (𝑎 + √𝑏𝑡) 𝑒 −𝑡 𝑑𝑡
0

∞ ∞

𝐸[𝑋] = ∫ 𝑎𝑒 −𝑡 𝑑𝑡 + ∫ √𝑏𝑡𝑒 −𝑡 𝑑𝑡
0 0

∞ ∞
𝑒 −𝑡
𝐸[𝑋] = 𝑎 [ ] + √𝑏 ∫ √𝑡𝑒 −𝑡 𝑑𝑡
−1 0
0

We Know that as per Gamma Functions

∞
√𝜋
∫ √𝑡 𝑒 −𝑡 𝑑𝑡 =
2
0

𝑒 −∞ 𝑒 −0 √𝑏√𝜋
𝐸[𝑋] = 𝑎 [ − ]+
−1 −1 2

1 √𝜋𝑏
𝐸[𝑋] = 𝑎 [0 + ] +
1 2

√𝜋𝑏 𝜋𝑏
𝐸[𝑋] = 𝑎 + = 𝑎+√
2 4

Mean Square Value

∞
𝐸 [𝑥 2 ] = ∫−∞ 𝑥 2 𝑓 (𝑥 )𝑑𝑥
∞
2 −(𝑥−𝑎)2
2]
𝑀𝑒𝑎𝑛 𝑆𝑞𝑢𝑎𝑟𝑒 𝑉𝑎𝑙𝑢𝑒 𝐸[𝑥 = ∫ 𝑥 2 (𝑥 − 𝑎)𝑒 𝑏 𝑑𝑥
𝑏
−∞

∞
2 −(𝑥−𝑎)2
2]
𝐸[𝑥 = ∫ 𝑥 2 (𝑥 − 𝑎)𝑒 𝑏 𝑑𝑥
𝑏
𝑎

(𝑥−𝑎)2
Let 𝑡 = 𝑏

𝑡𝑏 = (𝑥 − 𝑎)2

𝑥 − 𝑎 = √𝑏𝑡
 𝑥 = 𝑎 + √𝑏𝑡

𝑑𝑥 = 𝑑𝑎 + 𝑑(√𝑏𝑡)

1 𝑏
𝑑𝑥 = √ 𝑑𝑡
2 𝑡

Limits: Upper Limit 𝑥 = ∞; 𝑡 = ∞

Lower Limit 𝑥 = 𝑎; 𝑡 = 0

∞
2 2 1 𝑏
𝐸[𝑥2 ] = ∫ ((𝑎 + √𝑏𝑡)) √𝑏𝑡𝑒 −𝑡 √ 𝑑𝑡
𝑏 2 𝑡
0

∞
2
𝐸[𝑥2 ] = ∫ ((𝑎 + √𝑏𝑡)) 𝑒 −𝑡 𝑑𝑡
0

𝐸[𝑥2 ] = ∫ (𝑎2 + 𝑏𝑡 + 2𝑎√𝑏𝑡)𝑒 −𝑡 𝑑𝑡

0

∞ ∞ ∞

𝐸[𝑥2 ] = ∫ 𝑎2 𝑒 −𝑡 𝑑𝑡 + ∫ 𝑏𝑡𝑒 −𝑡 𝑑𝑡 + ∫ 2𝑎√𝑏𝑡𝑒 −𝑡 𝑑𝑡

0 0 0

∞ ∞ ∞

𝐸[𝑥2 ] 2
=𝑎 ∫𝑒 −𝑡
𝑑𝑡 + 𝑏 ∫ 𝑡𝑒 −𝑡
𝑑𝑡 + 2𝑎√𝑏 ∫ √𝑡𝑒 −𝑡 𝑑𝑡
0 0 0

We Know that as per Gamma Functions

∞
√𝜋
∫ √𝑡 𝑒 −𝑡 𝑑𝑡 =
2
0

∞ ∞
𝑒 −𝑡 𝑡𝑒 −𝑡 𝑒 −𝑡 √𝜋
𝐸[𝑥2 ] =𝑎 2[ ] +𝑏[ − ] + 2𝑎√𝑏
−1 0 −1 −1 ∗ −1 0 2

𝑒 −∞ 𝑒 −0 ∞𝑒 −∞ 𝑒 −∞ 0𝑒 −0 𝑒 0
𝐸[𝑥2 ] = 𝑎2 [ − ]+𝑏[ − − − ] + 𝑎√𝜋𝑏
−1 −1 −1 1 −1 1

𝐸[𝑥2 ] = 𝑎2 [0 + 1] + 𝑏[0 − 0 − 0 + 1] + 𝑎√𝜋𝑏

𝐸[𝑥2 ] = 𝑎2 [1] + 𝑏[1] + 𝑎√𝜋𝑏

𝐸[𝑥2 ] = 𝑎2 + 𝑏 + 𝑎√𝜋𝑏
 𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 𝑚2 − (𝑚1 )2
2
𝜋𝑏
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 𝑎2 + 𝑏 + 𝑎√𝜋𝑏 − (𝑎 + √ )
4

𝜋𝑏 √𝜋𝑏
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 𝑎2 + 𝑏 + 𝑎√𝜋𝑏 − 𝑎2 − − 2𝑎
4 2
𝜋𝑏
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 𝑎2 + 𝑏 + 𝑎√𝜋𝑏 − 𝑎2 − − 𝑎√𝜋𝑏
4
𝜋𝑏
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 𝑏 −
4
4−𝜋
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 𝑏 ( )
4

15. Find the Mean Value and Variance of the Exponential Random Variables X ?

SOLUTION:
∞

𝐸[𝑋] = ∫ 𝑥𝑓 (𝑥) 𝑑𝑥
−∞

Probability Density Function of the Exponential Random Variables X are

1 −(𝑥−𝑎)
𝑓 (𝑥) = {𝑏 𝑒 ;𝑥 > 𝑎
𝑏

0; 𝑥 < 𝑎
∞
1 −(𝑥−𝑎)
𝐸[𝑋] = ∫ 𝑥 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
1 −(𝑥−𝑎)
𝐸[𝑋] = ∫ 𝑥𝑒 𝑏 𝑑𝑥
𝑏
𝑎

𝑥−𝑎
Let t =
𝑏

𝑡𝑏 = 𝑥 − 𝑎

𝑡𝑏 + 𝑎 = 𝑥

bdt=dx
 Type equation here.

Limits: Upper Limit 𝑥 = ∞; 𝑡 = ∞

Lower Limit 𝑥 = 𝑎; 𝑡 = 0
∞
1
𝐸[𝑋] = ∫ (𝑡𝑏 + 𝑎)𝑒 −𝑡 𝑏𝑑𝑡
𝑏
0

𝐸[𝑋] = ∫ (𝑡𝑏 + 𝑎)𝑒 −𝑡 𝑑𝑡

0

∞ ∞
−𝑡
𝐸[𝑋] = ∫ 𝑡𝑏𝑒 𝑑𝑡 + ∫ 𝑎𝑒 −𝑡 𝑑𝑡
0 0

∞ ∞

𝐸[𝑋] = 𝑏 ∫ 𝑡𝑒 −𝑡 𝑑𝑡 + 𝑎 ∫ 𝑒 −𝑡 𝑑𝑡
0 0

∞ ∞
𝑒 −𝑡 𝑒 −𝑡
𝐸[𝑋] = 𝑏 [𝑡 − 𝑒 −𝑡 ] + 𝑎 [ ]
−1 0
−1 0

𝐸 [𝑋] = 𝑏[−𝑡𝑒 −𝑡 − 𝑒 −𝑡 ]∞ −𝑡 ∞
0 + 𝑎[−𝑒 ]0

𝐸 [𝑋] = 𝑏[−∞𝑒 −∞ − 𝑒 −∞ + 0𝑒 −0 + 𝑒 −0] + 𝑎[−𝑒 −∞ + 𝑒 −0]

𝐸 [𝑋] = 𝑏[1] + 𝑎[1]

𝐸 [𝑋] = 𝑏 + 𝑎
∞

𝐸 [𝑥 2 ] = ∫ 𝑥 2 𝑓(𝑥 )𝑑𝑥
−∞

∞
1 −(𝑥−𝑎)
𝐸 [𝑥 2 ] = ∫ 𝑥 2 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
1 −(𝑥−𝑎)
𝐸 [𝑥 2 ] = ∫ 𝑥 2 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
1 −(𝑥−𝑎)
𝐸 [𝑥 2 ] = ∫ 𝑥 2 𝑒 𝑏 𝑑𝑥
𝑏
𝑎
 𝑥−𝑎
Let t = 𝑏

𝑡𝑏 = 𝑥 − 𝑎 𝑡𝑏 + 𝑎 = 𝑥 bdt=dx

Limits: Upper Limit 𝑥 = ∞; 𝑡 = ∞

Lower Limit 𝑥 = 𝑎; 𝑡 = 0
∞
1
𝐸 [𝑥 2 ] = ∫ (𝑡𝑏 + 𝑎)2 𝑒−𝑡 𝑏𝑑𝑡
𝑏
0

∞
2]
𝐸 [𝑥 = ∫ (𝑡𝑏 + 𝑎)2 𝑒−𝑡 𝑑𝑡
0

𝐸 [𝑥 2 ] = ∫ ((𝑡𝑏)2 + 𝑎2 + 2𝑎𝑏𝑡)𝑒−𝑡 𝑑𝑡
0

∞ ∞ ∞
2] 2 2 −𝑡 2
𝐸 [𝑥 = 𝑏 ∫ 𝑡 𝑒 𝑑𝑡 + 𝑎 ∫ 𝑒 𝑑𝑡 + 2𝑎𝑏 ∫ 𝑡𝑒−𝑡 𝑑𝑡 −𝑡

0 0 0

∞ ∞ ∞
2] 2
𝑒−𝑡 𝑒−𝑡 𝑒−𝑡 𝑒−𝑡 𝑒−𝑡
𝐸 [𝑥 =𝑏 [𝑡 2 − (𝑡 − )] + 𝑎 [ 2 ] + 2𝑎𝑏 [𝑡 −𝑡
−𝑒 ]
−1 −1 ∗ −1 −1 ∗ −1 ∗ −1 −1 −1
0 0 0

𝐸 [𝑥 2 ] = 𝑏2 [−𝑒 −𝑡 𝑡 2 − (2𝑡𝑒 −𝑡 + 2𝑒 −𝑡 )]∞ 2 −𝑡 ∞

0 + 𝑎 [−𝑒 ]0 + 2𝑎𝑏 [−𝑡𝑒
−𝑡
− 𝑒 −𝑡 ]∞
0

𝐸 [𝑥 2 ] = 𝑏2[−𝑒 −𝑡 𝑡 2 − 2𝑡𝑒 −𝑡 − 2𝑒 −𝑡 ]∞ 2 −𝑡 ∞
0 + 𝑎 [−𝑒 ]0 + 2𝑎𝑏 [−𝑡𝑒
−𝑡
− 𝑒 −𝑡 ]∞
0

𝑬[𝒙𝟐 ] = 𝒃𝟐 [−𝒆−∞∞𝟐 − 𝟐∞𝒆−∞ − 𝟐𝒆−∞ + 𝒆−𝟎 𝟎 + 𝟐𝟎𝒆−𝟎 + 𝟐𝒆−𝟎 ]

+ 𝒂𝟐 [−𝒆−∞ + 𝒆−𝟎 ] + 𝟐𝒂𝒃[−∞𝒆−∞ − 𝒆−∞ + 𝟎𝒆−𝟎 + 𝒆−𝟎 ]

E[x 2 ] = b2 [0 − 0 − 0 + 0 + 0 + 2] + a2 [0 + 1] + 2ab[0 − 0 + 0 + 1]

E[x 2 ] = b2 [2] + a2 [1] + 2ab[1]

E[x 2 ] = 2b2 + a2 + 2ab

𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 𝑚2 − (𝑚1 )2
2
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 2b + a2 + 2ab − (𝑎 + 𝑏)2
2 2
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = 2b + a2 + 2ab − 2b − a2 − 2ab
 2
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝜎𝑥2 = b

16. A Random Variable X has A Probability Density Function

𝝅 𝝅𝒙
( ) 𝒄𝒐𝒔 ( ) ; −𝟒 ≤ 𝑿 ≤ 𝟒
𝒇(𝒙) = { 𝟏𝟔 𝟖
𝟎; 𝑶𝒕𝒉𝒆𝒓 𝑾𝒊𝒔𝒆

Find Mean, Mean Square Value and Variance.

SOLUTION:
∞

𝐸[𝑋] = ∫ 𝑥𝑓 (𝑥) 𝑑𝑥
−∞

4
𝜋 𝜋𝑥
𝐸[𝑋] = ∫ 𝑥 ( ) 𝑐𝑜𝑠 ( ) 𝑑𝑥
16 8
−4

4
𝜋 𝜋𝑥
𝐸[𝑋] = ( ) ∫ 𝑥 𝑐𝑜𝑠 ( ) 𝑑𝑥
16 8
−4

𝜋𝑥 𝜋𝑥 4
𝜋 𝑠𝑖𝑛 ( 8 ) 𝑐𝑜𝑠 ( 8 )
𝐸[𝑋] = ( ) [𝑥 𝜋 + 𝜋 𝜋 ]
16 ( )( )
8 8 8 −4

4𝜋 4𝜋 −4𝜋 −4𝜋
𝜋 𝑠𝑖𝑛 ( 8 ) 𝑐𝑜𝑠 ( 8 ) 𝑠𝑖𝑛 ( 8 ) 𝑐𝑜𝑠 ( 8 )
𝐸[𝑋] = ( ) [4 𝜋 + 𝜋 𝜋 − (−4) 𝜋 − 𝜋 𝜋 ]
16 ( )( ) ( )( )
8 8 8 8 8 8
𝜋 𝜋 𝜋 𝜋
𝜋 𝑠𝑖𝑛 ( ) 𝑐𝑜𝑠 ( ) −𝑠𝑖𝑛 ( ) 𝑐𝑜𝑠 ( )
𝐸[𝑋] = ( ) [4 2 2
+ 𝜋 𝜋 − (−4) 2 − 𝜋 2
16 𝜋 𝜋 𝜋 ]
8 ( ) ( ) 8 ( ) ( )
8 8 8 8

𝜋 1 0 −1 0
𝐸[𝑋] = ( ) [4 𝜋 + 𝜋 𝜋 − (−4) 𝜋 − 𝜋 𝜋 ]
16
8 (8) (8) 8 ( )( )
8 8

𝜋 1 1
𝐸[𝑋] = ( ) [4 𝜋 − (4) 𝜋 ]
16
8 8

𝜋 32 32
𝐸[𝑋] = ( )[ − ]
16 𝜋 𝜋
𝜋
𝐸[𝑋] = ( ) [0] = 0
16
 ∞

𝐸 [𝑥 2 ] = ∫ 𝑥 2 𝑓(𝑥 )𝑑𝑥 Type equation here.

−∞

4
2]
𝜋 𝜋𝑥
𝐸 [𝑥 = ∫ 𝑥2 ( ) 𝑐𝑜𝑠 ( ) 𝑑𝑥
16 8
−4

4
𝜋 𝜋𝑥
𝐸 [𝑥 2 ] = ∫ 𝑥 2 ( ) 𝑐𝑜𝑠 ( ) 𝑑𝑥
16 8
−4

4
𝜋 𝜋𝑥
𝐸 [𝑥 2 ] = ( ) ∫ 𝑥 2 𝑐𝑜𝑠 ( ) 𝑑𝑥
16 8
−4

4
𝜋𝑥 𝜋𝑥 𝜋𝑥
𝜋 𝑥 𝑠𝑖𝑛 ( 8 ) 2𝑥 (−𝑐𝑜𝑠 ( 8 )) 2 (−𝑠𝑖𝑛 ( 8 ))
2
𝐸 [𝑥 2 ] = ( ) [ 𝜋 − − ]
16 𝜋2 𝜋3
8 64 512 −4

4
𝜋𝑥 𝜋𝑥 𝜋𝑥
𝜋 8𝑥 2 𝑠𝑖𝑛 ( ) 128𝑥 (𝑐𝑜𝑠 ( )) 1024 (𝑠𝑖𝑛 ( ))
8 8 8
𝐸 [𝑥 2 ] = ( )[ + − ]
16 𝜋 𝜋2 𝜋3
−4

𝟒𝝅 𝟒𝝅 𝟒𝝅 −𝟒𝝅 −𝟒𝝅 −𝟒𝝅

𝟖 ∗ 𝟏𝟔 𝒔𝒊𝒏 ( ) 𝟏𝟐𝟖 ∗ 𝟒 (−𝒄𝒐𝒔 ( 𝟖 )) 𝟏𝟎𝟐𝟒 (𝒔𝒊𝒏 ( 𝟖 )) 𝟖 ∗ 𝟏𝟔 𝒔𝒊𝒏 ( 𝟏𝟐𝟖 ∗ −𝟒 (−𝒄𝒐𝒔 (
𝟖 ))
𝟏𝟎𝟐𝟒 (𝒔𝒊𝒏 (
𝟖 ))
𝝅
𝑬[𝒙𝟐 ] = ( ) 𝟖 + − − 𝟖 )+ −
𝟏𝟔 𝝅 𝝅𝟐 𝝅𝟑 𝝅 𝝅𝟐 𝝅𝟑
[[ ] [ ]]

𝟒𝝅 𝟒𝝅 𝟒𝝅 −𝟒𝝅 −𝟒𝝅 −𝟒𝝅

𝟏𝟐𝟖 𝒔𝒊𝒏 ( ) 𝟓𝟏𝟐 (𝒄𝒐𝒔 ( 𝟖 )) 𝟏𝟎𝟐𝟒 (𝒔𝒊𝒏 ( 𝟖 )) 𝟏𝟐𝟖 𝒔𝒊𝒏 ( 𝟓𝟏𝟐 (𝒄𝒐𝒔 (
𝟖 ))
𝟏𝟎𝟐𝟒 (𝒔𝒊𝒏 (
𝟖 ))
𝑬[𝒙𝟐 ] = (
𝝅
) 𝟖 + − − 𝟖 )− −
𝟏𝟔 𝝅 𝝅𝟐 𝝅𝟑 𝝅 𝝅𝟐 𝝅𝟑
[[ ] [ ]]

𝝅 𝝅 𝝅
𝝅 𝟏𝟐𝟖 𝒔𝒊𝒏 ( 𝟐 ) 𝟓𝟏𝟐 (𝒄𝒐𝒔 ( 𝟐 )) 𝟏𝟎𝟐𝟒 (𝒔𝒊𝒏 ( 𝟐 ))
𝑬 [ 𝒙𝟐 ] = ( ) [ + − ]
𝟏𝟔 𝝅 𝝅𝟐 𝝅𝟑
[
𝝅 𝝅 𝝅
−𝟏𝟐𝟖 𝒔𝒊𝒏 ( 𝟐 ) 𝟓𝟏𝟐 (𝒄𝒐𝒔 ( 𝟐 )) 𝟏𝟎𝟐𝟒 (−𝒔𝒊𝒏 ( 𝟐 ))
−[ − − ]
𝝅 𝝅𝟐 𝝅𝟑
]
 𝝅 𝝅 𝝅 𝝅
𝝅 𝟏𝟐𝟖 𝒔𝒊𝒏 ( 𝟐 ) 𝟓𝟏𝟐 (𝒄𝒐𝒔 ( 𝟐 )) 𝟏𝟎𝟐𝟒 (𝒔𝒊𝒏 ( 𝟐 )) 𝟏𝟐𝟖 𝒔𝒊𝒏 ( 𝟐 )
𝟐
𝑬[ 𝒙 ] = ( ) [ + − +
𝟏𝟔 𝝅 𝝅𝟐 𝝅𝟑 𝝅

𝝅 𝝅
𝟓𝟏𝟐 (𝒄𝒐𝒔 ( 𝟐 )) 𝟏𝟎𝟐𝟒 (𝒔𝒊𝒏 ( 𝟐 ))
+ − ]
𝝅𝟐 𝝅𝟑

𝝅 𝟏𝟐𝟖 ∗ 𝟏 𝟓𝟏𝟐(𝟎) 𝟏𝟎𝟐𝟒(𝟏) 𝟏𝟐𝟖 ∗ 𝟏 𝟓𝟏𝟐(𝟎) 𝟏𝟎𝟐𝟒(𝟏)

𝑬 [ 𝒙𝟐 ] = ( )[ + − + + − ]
𝟏𝟔 𝝅 𝝅𝟐 𝝅𝟑 𝝅 𝝅𝟐 𝝅𝟑

𝝅 𝟏𝟐𝟖 𝟏𝟎𝟐𝟒 𝟏𝟐𝟖 𝟏𝟎𝟐𝟒

𝑬 [ 𝒙𝟐 ] = ( )[ − + − ]
𝟏𝟔 𝝅 𝝅𝟑 𝝅 𝝅𝟑
𝝅 𝟐𝟓𝟔 𝟐𝟎𝟒𝟖
𝑬 [ 𝒙𝟐 ] = ( )[ − +]
𝟏𝟔 𝝅 𝝅𝟑
𝝅 𝟏𝟔 𝟏𝟐𝟖
𝑬 [ 𝒙𝟐 ] = ( ) ( ) [𝟏𝟔 − 𝟐 ]
𝟏𝟔 𝝅 𝝅

𝟏𝟐𝟖
𝑬[𝒙𝟐 ] = [𝟏𝟔 − ]
𝝅𝟐
𝟐
Variance 𝝈𝟐𝑿 = 𝑬[𝑿𝟐 ] − [𝑬[𝑿]]
𝟏𝟐𝟖
Variance 𝝈𝟐𝑿 = 𝟏𝟔 − −𝟎
𝝅𝟐

𝟏𝟐𝟖
Variance 𝝈𝟐𝑿 = 𝟏𝟔 − 𝝅𝟐
 17. Find the Moments Generating Function and Characteristic Function of
Uniform Random Variables

Moments Generating Function

∞
𝑣𝑥 ]
𝑀𝑉 (𝑋) = 𝐸[𝑒 = ∫ 𝑒 𝑣𝑥 𝑓(𝑥) 𝑑𝑥
−∞

Probability Density Function of Uniform Random Variables

1
𝑓(𝑥) = ;𝑎 ≤ 𝑥 ≤ 𝑏
𝑏−𝑎
𝑏
1
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = ∫ 𝑒 𝑣𝑥 𝑑𝑥
𝑏−𝑎
𝑎

𝑏
1
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = ∫ 𝑒 𝑣𝑥 𝑑𝑥
𝑏−𝑎
𝑎

𝑣𝑥 ]
1 𝑒 𝑣𝑥 𝑏
𝑀𝑉 (𝑋) = 𝐸[𝑒 = [ ]
𝑏−𝑎 𝑣 𝑎

1 𝑒 𝑣𝑏 𝑒 𝑣𝑎
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = [ − ]
𝑏−𝑎 𝑣 𝑣

Moments Generating Function An Uniform Random Variables

1 𝑒 𝑣𝑏 − 𝑒 𝑣𝑎
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = [ ]
𝑏−𝑎 𝑣

Characteristic Function 𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ]

∞
𝑗𝜔𝑥 ]
𝛷 (𝜔) = 𝐸[𝑒 = ∫ 𝑒 𝑗𝜔𝑥 𝑓 (𝑥) 𝑑𝑥
−∞

∞
1
𝛷 (𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = ∫ 𝑒 𝑗𝜔𝑥 𝑑𝑥
𝑏−𝑎
−∞

∞
𝑗𝜔𝑥 ]
1
𝛷 (𝜔) = 𝐸[𝑒 = ∫ 𝑒 𝑗𝜔𝑥 𝑑𝑥
𝑏−𝑎
−∞

𝑏
1 𝑒 𝑗𝜔𝑥
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = [ ]
𝑏 − 𝑎 𝑗𝜔 𝑎
 1 𝑒 𝑗𝜔𝑏 𝑒 𝑗𝜔𝑎
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = [ − ]
𝑏 − 𝑎 𝑗𝜔 𝑗𝜔

Characteristic Function of An Uniform Random Variables

1 𝑒 𝑗𝜔𝑏 −𝑒 𝑗𝜔𝑎
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = [ ]
𝑏−𝑎 𝑗𝜔

18. Find the Moments Generating Function and Characteristic Function of

Exponential Random Variables,

Probability Density Function of Exponential Random Variables

1 −(𝑥−𝑎)
𝑓 𝑥 = {𝑏 𝑒 ;𝑥 > 𝑎
𝑏
( )
0; 𝑥 < 𝑎

Moments Generating Function

∞
𝑣𝑥 ]
𝑀𝑉 (𝑋) = 𝐸[𝑒 = ∫ 𝑒 𝑣𝑥 𝑓(𝑥) 𝑑𝑥
−∞

∞
1 −(𝑥−𝑎)
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = ∫ 𝑒 𝑣𝑥 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
1 −(𝑥−𝑎)
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = ∫ 𝑒 𝑣𝑥 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
𝑣𝑥 ]
1 𝑎 −𝑥
𝑀𝑉 (𝑋) = 𝐸[𝑒 = 𝑒 𝑏 ∫ 𝑒 𝑣𝑥 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
1 𝑎 1
−( −𝑣)𝑥
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 𝑏 ∫ 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

1 ∞
1 𝑎 𝑒 −(𝑏−𝑣)𝑥
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 𝑏 [ ]
𝑏 1
− (𝑏 − 𝑣)
𝑎

1 1
𝑣𝑥
1 𝑎 −𝑒 −(𝑏−𝑣)∞ 𝑒 −(𝑏−𝑣)0
𝑀𝑉 (𝑋) = 𝐸[𝑒 ] = 𝑒 𝑏 [ + ]
𝑏 1 1
( − 𝑣) ( − 𝑣)
𝑏 𝑏
 1 𝑎 0 1
𝑀𝑉 (𝑋 ) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 𝑏 [ + ]
𝑏 1 1
( − 𝑣) ( − 𝑣)
𝑏 𝑏

1 𝑎 1
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 𝑏 [ ]
𝑏 1
( − 𝑣)
𝑏
1 𝑎 𝑏
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒𝑏 [ ]
𝑏 1 − 𝑏𝑣

Moments Generating Function of the Exponential Random Variables

𝑎 1
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 𝑏 [ ]
1 − 𝑏𝑣

Characteristic Function 𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ]

Probability Density Function of Exponential Random Variables

1 −(𝑥−𝑎)
𝑓 (𝑥) = {𝑏 𝑒 ;𝑥 > 𝑎
𝑏

0; 𝑥 < 𝑎
∞
𝑗𝜔𝑥 ]
𝛷 (𝜔) = 𝐸[𝑒 = ∫ 𝑒 𝑗𝜔𝑥 𝑓 (𝑥) 𝑑𝑥
−∞

∞
1 −(𝑥−𝑎)
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = ∫ 𝑒 𝑗𝜔𝑥 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
𝑗𝜔𝑥 ]
1 −(𝑥−𝑎)
𝛷(𝜔) = 𝐸[𝑒 = ∫ 𝑒 𝑗𝜔𝑥 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
𝑗𝜔𝑥 ]
1 𝑎 −𝑥
𝛷 (𝜔) = 𝐸[𝑒 = 𝑒 𝑏 ∫ 𝑒 𝑗𝜔𝑥 𝑒 𝑏 𝑑𝑥
𝑏
𝑎

∞
1 𝑎 −𝑥
𝛷 (𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 𝑏 ∫ 𝑒 𝑏 +𝑗𝜔𝑥 𝑑𝑥
𝑏
𝑎

∞
1 𝑎 1
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ]
= 𝑒 𝑏 ∫ 𝑒 −(𝑏+𝑗𝜔)𝑥 𝑑𝑥
𝑏
𝑎
 1 ∞
1 𝑎 𝑒 −(𝑏+𝑗𝜔)𝑥
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 𝑏 [ ]
𝑏 1
− (𝑏 + 𝑗𝜔)
𝑎

1 1
−( +𝑗𝜔)∞ −( +𝑗𝜔)0
𝑗𝜔𝑥 ]
1 𝑎 −𝑒 𝑏 𝑒 𝑏
𝛷(𝜔) = 𝐸[𝑒 = 𝑒𝑏 [ + ]
𝑏 1 1
( + 𝑗𝜔) ( + 𝑗𝜔)
𝑏 𝑏

1 𝑎 0 1
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 𝑏 [ + ]
𝑏 1 1
( + 𝑗𝜔) ( + 𝑗𝜔)
𝑏 𝑏

1 𝑎 1
𝛷 (𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒𝑏 [ ]
𝑏 1
( + 𝑗𝜔)
𝑏

1 𝑎 1
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 𝑏 [ ]
𝑏 1 + 𝑗𝜔𝑏
𝑏
1 𝑎 𝑏
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 𝑏 [ ]
𝑏 1 + 𝑗𝜔𝑏

Characteristic Function Of The Exponential Random Variables

1 𝑎 𝑏
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 𝑏 [ ]
𝑏 1 + 𝑗𝜔𝑏

19. Find the Moments Generating Function and Characteristic Function of

Binomial Random Variables

Probability of Binomial Random Variables

𝑃{𝑋 = 𝑥} = 𝑛𝑐𝑥 (𝑝)𝑥 (𝑞)𝑛−𝑥

Moments Generating Function

∞
𝑣𝑥 ]
𝑀𝑉 (𝑋) = 𝐸[𝑒 = ∑ 𝑒 𝑣𝑥 𝑃{𝑋 = 𝑥}
𝑥=−∞

∞
𝑣𝑥 ]
𝑀𝑉 (𝑋) = 𝐸[𝑒 = ∑ 𝑒 𝑣𝑥 𝑛𝑐𝑥 (𝑝)𝑥 (𝑞)𝑛−𝑥
𝑥=−∞

∞
𝑣𝑥 ]
𝑀𝑉 (𝑋) = 𝐸[𝑒 = ∑ 𝑛𝑐𝑥 (𝑝𝑒 𝑣 )𝑥 (𝑞)𝑛−𝑥
𝑥=−∞
Moments Generating Function of the Binomial Random Variables
∞
𝑣𝑥 ]
𝑀𝑉 (𝑋) = 𝐸[𝑒 = ∑ (𝑝𝑒 𝑣 + 𝑞)𝑛
𝑥=−∞

Characteristic Function
∞
𝑗𝜔𝑥 ]
𝛷(𝜔) = 𝐸[𝑒 = ∑ 𝑒 𝑗𝜔𝑥 𝑃{𝑋 = 𝑥}
𝑥=−∞

∞
𝑗𝜔𝑥 ]
𝛷(𝜔) = 𝐸[𝑒 = ∑ 𝑒 𝑗𝜔𝑥 𝑛𝑐𝑥 (𝑝)𝑥 (𝑞)𝑛−𝑥
𝑥=−∞

∞
𝑗𝜔𝑥 ] 𝑥
𝛷(𝜔) = 𝐸[𝑒 = ∑ 𝑛𝑐𝑥 (𝑝𝑒 𝑗𝜔 ) (𝑞)𝑛−𝑥
𝑥=−∞

Characteristic Function of the Binomial Random Variables

∞
𝑛
𝛷 (𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = ∑ (𝑝𝑒 𝑗𝜔 + 𝑞)
𝑥=−∞

20 Find the Moments Generating Function and Characteristic Function of

Poisson Random Variables

Probability of Poisson Random Variables

𝜆𝑥
𝑃{𝑋 = 𝑥} = 𝑒 −𝜆
𝑥!

Moments Generating Function

∞
𝑣𝑥 ]
𝑀𝑉 (𝑋) = 𝐸[𝑒 = ∑ 𝑒 𝑣𝑥 𝑃{𝑋 = 𝑥}
𝑥=−∞

∞
𝑣𝑥 ]
𝜆𝑥
𝑀𝑉 (𝑋) = 𝐸[𝑒 = ∑ 𝑒 𝑣𝑥 𝑒 −𝜆
𝑥!
𝑥=0

∞
𝑣𝑥 ] −𝜆
(𝜆𝑒 𝑣 )𝑥
𝑀𝑉 (𝑋) = 𝐸[𝑒 =𝑒 ∑
𝑥!
𝑥=0

∞
𝑣𝑥 ] −𝜆
(𝜆𝑒 𝑣 )𝑥
𝑀𝑉 (𝑋) = 𝐸[𝑒 =𝑒 ∑
𝑥!
𝑥=0
 (𝜆𝑒 𝑣 )0 𝜆𝑒 𝑣 (𝜆𝑒 𝑣 )2
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 −𝜆 [ + + + ⋯ … … … . +∞]
0! 1! 2!

𝜆𝑒 𝑣 (𝜆𝑒 𝑣 )2
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 −𝜆 [1 + + + ⋯ … … … . +∞]
1! 2!
𝑣
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 −𝜆 𝑒 𝜆𝑒
𝑣
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 −𝜆+𝜆𝑒

Moments Generating Function of The Poisson Random Variables

𝑣 −1)
𝑀𝑉 (𝑋) = 𝐸[𝑒 𝑣𝑥 ] = 𝑒 𝜆(𝑒

Characteristic Function
∞
𝑗𝜔𝑥 ]
𝛷(𝜔) = 𝐸[𝑒 = ∑ 𝑒 𝑗𝜔𝑥 𝑃{𝑋 = 𝑥}
𝑥=−∞

∞
𝑗𝜔𝑥 ]
𝜆𝑥
𝛷(𝜔) = 𝐸[𝑒 = ∑ 𝑒 𝑗𝜔𝑥 𝑒 −𝜆
𝑥!
𝑥=0

∞ 𝑥
𝑗𝜔𝑥 ] −𝜆
(𝜆𝑒 𝑗𝜔 )
𝛷 (𝜔) = 𝐸[𝑒 =𝑒 ∑
𝑥!
𝑥=0

∞ 𝑥
𝑗𝜔𝑥 ] −𝜆
(𝜆𝑒 𝑗𝜔 )
𝛷 (𝜔) = 𝐸[𝑒 =𝑒 ∑
𝑥!
𝑥=0

0 2
𝑗𝜔𝑥 ] −𝜆 [
(𝜆𝑒 𝑗𝜔 ) 𝜆𝑒 𝑗𝜔 (𝜆𝑒 𝑗𝜔 )
𝛷(𝜔) = 𝐸[𝑒 =𝑒 + + + ⋯ … … … . +∞]
0! 1! 2!

2
𝑗𝜔𝑥 ] −𝜆
𝜆𝑒 𝑗𝜔 (𝜆𝑒 𝑗𝜔 )
𝛷(𝜔) = 𝐸[𝑒 =𝑒 [1 + + + ⋯ … … … . +∞]
1! 2!

𝑗𝜔
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 −𝜆 𝑒 𝜆𝑒
𝑗𝜔
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 −𝜆+𝜆𝑒

Characteristic Function of the Poisson Random Variables

𝑗𝜔 −1)
𝛷(𝜔) = 𝐸[𝑒 𝑗𝜔𝑥 ] = 𝑒 𝜆(𝑒
 𝒂 𝑵
21. The Characteristic Function of Random Variables X is 𝜱(𝝎) = (𝒂−𝒋𝝎)

̅ = 𝑵,̅̅̅̅̅
Where a>0,N=1,2,3...... Show that 𝑿
𝑵(𝑵+𝟏)
𝑿𝟐= 𝟐 and 𝝈𝟐𝒙 =
𝑵
𝑨 𝒂 𝒂𝟐

SOLUTION: nth Oder Moment using Characteristic Function

𝑑𝑛 (𝛷(𝜔))
𝑚𝑛 = (−𝑗 )𝑛 𝑊ℎ𝑒𝑟𝑒 𝜔 = 0
𝑑𝜔 𝑛
𝑎 𝑁
𝛷(𝜔) = ( )
𝑎 − 𝑗𝜔

𝑑(𝛷(𝜔))
𝑚1 = (−𝑗 )
𝑑𝜔

𝑎 𝑁−1 (𝑎 − 𝑗𝜔)0 − 𝑎 (−𝑗 )

𝑚1 = (−𝑗 )𝑁 ( ) [ ]
𝑎 − 𝑗𝜔 (𝑎 − 𝑗𝜔)2

𝑎 𝑁−1 𝑗𝑎
𝑚1 = (−𝑗 )𝑁 ( ) [ ]
𝑎 − 𝑗𝜔 (𝑎 − 𝑗𝜔)2

𝑎 𝑁−1 𝑗𝑎
𝑚1 = (−𝑗 )𝑁 ( ) [ ]
𝑎 − 𝑗0 (𝑎 − 𝑗0)2

𝑎 𝑁−1 𝑗𝑎
𝑚1 = (−𝑗 )𝑁 ( ) [ 2]
𝑎 (𝑎 )

𝑁
𝑚1 =
𝑎
𝑎 𝑁−1 𝑗𝑎
𝑚1 = (−𝑗 )𝑁 ( ) [ ]
𝑎 − 𝑗𝜔 (𝑎 − 𝑗𝜔)2

𝑁 𝑎 𝑁+1
𝑚1 = ( )
𝑎 𝑎 − 𝑗𝜔

𝑑 𝑁 𝑎 𝑁+1
𝑚2 = −𝑗 [ ( ) ]
𝑑𝜔 𝑎 𝑎 − 𝑗𝜔

𝑁 𝑑 𝑎 𝑁+1
𝑚2 = −𝑗 ∗ [[( ) ]]
𝑎 𝑑𝜔 𝑎 − 𝑗𝜔

𝑁(𝑁 + 1) 𝑎 𝑁 0(𝑎 − 𝑗𝜔) − 𝑎(−𝑗 )

𝑚2 = −𝑗 ∗ ( ) [ ]
𝑎 𝑎 − 𝑗𝜔 (𝑎 − 𝑗𝜔)2
 𝑁(𝑁 + 1) 𝑎 𝑁 −𝑎(−𝑗 )
𝑚2 = −𝑗 ∗ ( ) [ ]
𝑎 𝑎 − 𝑗𝜔 (𝑎 − 𝑗𝜔)2

𝑁(𝑁 + 1) 𝑎 𝑁 𝑎(𝑗 )
𝑚2 = −𝑗 ∗ ( ) [ ]
𝑎 𝑎 − 𝑗𝜔 (𝑎 − 𝑗𝜔)2

𝑁(𝑁 + 1) 𝑎 𝑁 𝑎
𝑚2 = ( ) [ ]
𝑎 𝑎 − 𝑗𝜔 (𝑎 − 𝑗𝜔)2

𝑁(𝑁 + 1) 𝑎 𝑁 𝑎
𝑚2 = ( ) [ ]
𝑎 𝑎 − 𝑗0 (𝑎 − 𝑗0)2

𝑁(𝑁 + 1)
𝑚2 =
(𝑎)2
𝟐
Variance 𝝈𝟐𝑿 = 𝑬[𝑿𝟐 ] − [𝑬[𝑿]]

𝑁(𝑁+1) 𝑁 𝟐
Variance 𝝈𝟐𝑿 = (𝑎)2
− [𝑎 ]

𝑵
Variance 𝝈𝟐𝑿 = 𝒂𝟐 [𝑵 + 𝟏 − 𝑵]

𝑵
Variance 𝝈𝟐𝑿 = 𝒂𝟐

𝑵
Variance 𝝈𝟐𝑿 = 𝒂𝟐

22 The Characteristic Function of Random Variables X is 𝜱(𝝎) = |𝝎|, Show that

𝟏 𝟏
Probability Density Function 𝒇(𝒙) = 𝝅 (𝟏+𝒙𝟐 )

SOLUTION:
∞
1
𝑓 (𝑥) = ∫ 𝛷(𝜔) 𝑒 −𝑗𝜔 𝑑𝜔
2𝜋
−∞

𝛷(𝜔) = |𝜔|
∞
1
𝑓(𝑥) = ∫ 𝛷(𝜔) 𝑒 −𝑗𝜔𝑥 𝑑𝜔
2𝜋
−∞

∞
1
𝑓 (𝑥) = ∫ |𝜔| 𝑒 −𝑗𝜔𝑥 𝑑𝜔
2𝜋
−∞
 0 ∞0
1 1
𝑓(𝑥) = ∫ −𝜔 𝑒 −𝑗𝜔𝑥 𝑑𝜔 + ∫ 𝜔 𝑒 −𝑗𝜔𝑥 𝑑𝜔
2𝜋 2𝜋
−∞ 0

0 ∞
1 −𝜔𝑒 −𝑗𝜔 −𝑒 −𝑗𝜔 1 𝜔𝑒 −𝑗𝜔 𝑒 −𝑗𝜔
𝑓(𝑥) = [ − ] + [ − ]
2𝜋 −𝑗𝑥 (−𝑗𝑥)(−𝑗𝑥) −∞ 2𝜋 −𝑗𝑥 (−𝑗𝑥)(−𝑗𝑥) 0
23.The Joint Probability Distribution Function for two Random Variables X and Y is
𝐹 (𝑋, 𝑌) = 𝑢 (𝑥)𝑢(𝑦)[1 − 𝑒 −𝑎𝑥 − 𝑒 −𝑎𝑦 + 𝑒 −𝑎(𝑥+𝑦) ]

Find 𝑷{𝑿 ≤ 𝟏, 𝒀 ≤ 𝟐} 𝑷{𝟎. 𝟓 < 𝑿 ≤ 𝟏. 𝟓} and 𝑷{−𝟏. 𝟓 < 𝑿 ≤ 𝟏, 𝟏 < 𝒀 ≤ 𝟐} for a=0.5

SOLUTION:

𝑃{𝑥1 < 𝑋 ≤ 𝑥2 , 𝑦1 < 𝑌 ≤ 𝑦2 } = 𝐹 (𝑥1 , 𝑦1 ) + 𝐹 (𝑥2 , 𝑦2 ) − 𝐹 (𝑥1 , 𝑦2 ) − 𝐹 (𝑥2 , 𝑦1 )

𝑃{0 < 𝑋 ≤ 1,0 < 𝑌 ≤ 2} = 𝐹 (0,0) + 𝐹 (1,2) − 𝐹 (0,2) − 𝐹 (1,0)

= 𝑢 (0)𝑢 (0)[1 − 𝑒 −𝑎0 − 𝑒 −𝑎0 + 𝑒 −𝑎(0+0) ] + 𝑢 (1)𝑢(2)[1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −𝑎(1+2) ]

− 𝑢(0)𝑢(2)[1 − 𝑒 −𝑎0 − 𝑒 −𝑎2 + 𝑒 −𝑎(0+2) ] − 𝑢(1)𝑢 (0)[1 − 𝑒 −𝑎1 − 𝑒 −𝑎0 + 𝑒 −𝑎(1+0) ]

= [1 − 1 − 1 + 1] + [1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −𝑎(3) ] − [1 − 1 − 𝑒 −𝑎2 + 𝑒 −𝑎(2) ] − [1 − 𝑒 −𝑎1 − 1 + 𝑒 −𝑎(1) ]

= [0] + [1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −𝑎(3) ] − [0] − [0]

1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −𝑎(3)

𝑃{𝑋 ≤ 1, 𝑌 ≤ 2} = 1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −𝑎(3)

a=0.5
𝑃{𝑋 ≤ 1, 𝑌 ≤ 2} = 1 − 𝑒 −0.5 − 𝑒 −1 + 𝑒 −1.5

𝐹 (𝑋) = 𝐹 (𝑋, ∞) = 𝑢 (𝑥)𝑢(∞)[1 − 𝑒 −𝑎𝑥 − 𝑒 −𝑎∞ + 𝑒 −𝑎(𝑥+∞) ]

𝐹(𝑋) = 𝐹 (𝑋, ∞) = 𝑢 (𝑥)[1 − 𝑒 −𝑎𝑥 − 0 + 0]

𝐹(𝑋) = 𝐹 (𝑋, ∞) = 𝑢 (𝑥)[1 − 𝑒 −𝑎𝑥 ]

𝑃{0.5 < 𝑋 ≤ 1.5} = 𝐹 (𝑋2 ) − 𝐹(𝑋1 )= 𝐹(1.5) − 𝐹 (0.51 )

𝑃{0.5 < 𝑋 ≤ 1.5} = 𝐹 (1.5) − 𝐹 (0.51 ) = 𝑢 (1.5)[1 − 𝑒 −𝑎1.5 ] − 𝑢 (0.5)[1 − 𝑒 −𝑎0.5 ]

𝑃 {0.5 < 𝑋 ≤ 1.5} = 𝐹 (1.5) − 𝐹 (0.51 ) = [1 − 𝑒 −𝑎1.5 ] − [1 − 𝑒 −𝑎0.5 ]

𝑃{0.5 < 𝑋 ≤ 1.5} = 𝐹(1.5) − 𝐹 (0.51 ) = 1 − 𝑒 −𝑎1.5 − 1 + 𝑒 −𝑎0.5

𝑃{0.5 < 𝑋 ≤ 1.5} = 𝐹(1.5) − 𝐹 (0.51 ) = 𝑒 −𝑎0.5 − 𝑒 −𝑎1.5

a=0.5
𝑃{0.5 < 𝑋 ≤ 1.5} = 𝐹 (1.5) − 𝐹 (0.51 ) = 𝑒 −0.5∗0.5 − 𝑒 −0.5∗1.5

𝑃{0.5 < 𝑋 ≤ 1.5} = 𝐹 (1.5) − 𝐹(0.51 ) = 𝑒 −0.25 − 𝑒 −0.75

 𝑃{𝑥1 < 𝑋 ≤ 𝑥2 , 𝑦1 < 𝑌 ≤ 𝑦2 } = 𝐹 (𝑥1 , 𝑦1 ) + 𝐹 (𝑥2 , 𝑦2 ) − 𝐹 (𝑥1 , 𝑦2 ) − 𝐹 (𝑥2 , 𝑦1 )

𝑃{−1.5 < 𝑋 ≤ 1,1 < 𝑌 ≤ 2} = 𝐹 (−1.5,1) + 𝐹 (1,2) − 𝐹 (−1.5,2) − 𝐹(1,1)

= 𝑢(−1.5)𝑢(1)[1 − 𝑒 −𝑎∗−1.5 − 𝑒 −𝑎1 + 𝑒 −𝑎(−1.5+1)]

+ 𝑢(1)𝑢(2)[1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −𝑎(1+2)]
− 𝑢(1.5)𝑢(2)[1 − 𝑒 −𝑎∗−1.5 − 𝑒 −𝑎2 + 𝑒 −𝑎(−1.5+2𝑦)]

−𝑢(1)𝑢(1)[1 − 𝑒 −𝑎 − 𝑒 −𝑎 + 𝑒 −𝑎(1+1)]

= 0 ∗ 1[1 − 𝑒 −𝑎∗−1.5 − 𝑒 −𝑎1 + 𝑒 −𝑎(−1.5+1) ] + 1 ∗ 1[1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −𝑎(1+2) ] − 0

∗ 1[1 − 𝑒 −𝑎∗−1.5 − 𝑒 −𝑎2 + 𝑒 −𝑎(−1.5+2𝑦) ]– 1 ∗ 1[1 − 𝑒 −𝑎 − 𝑒 −𝑎 + 𝑒 −𝑎(1+1) ]

= [1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −3𝑎 ]– [1 − 𝑒 −𝑎 − 𝑒 −𝑎 + 𝑒 −2𝑎 ]

1 − 𝑒 −𝑎 − 𝑒 −2𝑎 + 𝑒 −3𝑎 − 1 + 𝑒 −𝑎 + 𝑒 −𝑎 − 𝑒 −2𝑎

= −𝑒 −2𝑎 + 𝑒 −3𝑎 + 𝑒 −𝑎 − 𝑒 −2𝑎

= 𝑒 −3𝑎 + 𝑒 −𝑎 − 2𝑒 −2𝑎

a=0.5 𝑃{−1.5 < 𝑋 ≤ 1,1 < 𝑌 ≤ 2} = 𝑒 −3∗0.5 + 𝑒 −0.5 − 2𝑒 −2∗0.5

𝑃{−1.5 < 𝑋 ≤ 1,1 < 𝑌 ≤ 2} = 𝑒 −1.5 + 𝑒 −0.5 − 2𝑒 −1

24. The Joint Probability Density Function for two Random Variables X and Y is
−(𝒙+𝒚)
𝒇(𝒙, 𝒚) = { 𝒃𝒆 ; 𝟎 < 𝒙 < ∞ 𝒂𝒏𝒅 𝟎 < 𝒚 < ∞ Find Constant b
𝟎; 𝑶𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆

SOLUTION:
∞ ∞

∫ ∫ 𝑓 (𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
−∞ −∞

∞ ∞

∫ ∫ 𝑏𝑒 −(𝑥+𝑦) 𝑑𝑥𝑑𝑦 = 1
0 0

∞ ∞

𝑏 ∫ ∫ 𝑒 −(𝑥+𝑦) 𝑑𝑥𝑑𝑦 = 1
0 0

∞ ∞

𝑏 ∫ 𝑒 −𝑥 𝑑𝑥 ∫ 𝑒 −𝑦 𝑑𝑦 = 1
0 0

∞ ∞
𝑒 −𝑥 𝑒 −𝑦
𝑏[ ] [ ] =1
−1 0 −1 0

𝑏[−𝑒 −∞ + 𝑒 −0 ][−𝑒 −∞ + 𝑒 −0 ] = 1

𝑏[0 + 1][0 + 1] = 1

𝑏=1
25. Determine a constant ‘’b” such that is valid Joint Probability Functions

𝟑𝒙𝒚; 𝟎 < 𝒙 < 1 𝒂𝒏𝒅 𝟎 < 𝒚 < 𝒃

𝒂. 𝒇(𝒙, 𝒚) = {
𝟎; 𝑶𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆

SOLUTION:
∞ ∞

∫ ∫ 𝑓 (𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
−∞ −∞

1 𝑏

∫ ∫ 3𝑥𝑦𝑑𝑥𝑑𝑦 = 1
0 0

1 𝑏

3 ∫ 𝑥𝑑𝑥 ∫ 𝑦𝑑𝑦 = 1
0 0

1 𝑏
𝑥2 𝑦 2
[ ] [ ] =1
2 0 2 0

1 0 𝑏2 0
[ − ][ − ] = 1
2 2 2 2

1 𝑏2
=1
2 2
𝑏2
=1
4

𝑏2 = 4

𝑏=2
26..Determine a constant ‘’b” such that is valid Joint Probability Functions

𝒃𝒙(𝟏 − 𝒚); 𝟎 < 𝒙 < 0.5 𝒂𝒏𝒅 𝟎 < 𝒚 < 1

𝒃. 𝒇(𝒙, 𝒚) = {
𝟎; 𝑶𝒕𝒉𝒆𝒓𝒘𝒊𝒔𝒆
∞ ∞

∫ ∫ 𝑓 (𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
−∞ −∞

0.5 1

∫ ∫ 𝑏𝑥(1 − 𝑦𝑑𝑥𝑑𝑦 = 1
0 0

0.5 1

𝑏 ∫ 𝑥𝑑𝑥 ∫(1 − 𝑦𝑑𝑦 = 1

0 0

0.5 1
𝑥2 2𝑦 − 𝑦 2
𝑏[ ] [ ] =1
2 0 2 0

(0.5)2 0 2 ∗ 1 − 12 2 ∗ 0 − 02
𝑏[ − ][ − ]=1
2 2 2 2

0.25 2 − 1
𝑏[ ][ ]=1
2 2

𝑏(0.25) = 4

4 400
𝑏= = = 16
0.25 25

𝑐. 𝑓(𝑥, 𝑦) = 𝑏(𝑥 3 + 4𝑦 2 ); 0 ≤ 𝑥 ≤ 1,0 ≤ 𝑥 ≤ 2

∞ ∞

∫ ∫ 𝑓 (𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
−∞ −∞

∞ ∞

∫ ∫ 𝑏(𝑥 3 + 4𝑦 2 )𝑑𝑥𝑑𝑦 = 1
−∞ −∞

1 2

𝑏 ∫ ∫(𝑥 3 + 4𝑦 2 )𝑑𝑦𝑑𝑥 = 1
0 0

1 2
4𝑦 3
𝑏 ∫ [𝑥 3 𝑦+ ] 𝑑𝑥 = 1
3 0
0
 1
4(2)3 4 ∗ 03
𝑏 ∫ [2𝑥 3 + 3
−𝑥 ∗0− ] 𝑑𝑥 = 1
3 3
0

1
4∗8
𝑏 ∫ [2𝑥 3 + ] 𝑑𝑥 = 1
3
0

1
32
𝑏 ∫ [2𝑥 3 + ] 𝑑𝑥 = 1
3
0

𝑥 4 32𝑥 1
𝑏 [2 + ] =1
4 3 0

2 ∗ 14 32 ∗ 1 04 3 ∗ 0𝑥
𝑏[ + −2 − ]=1
4 3 4 3

2 ∗ 14 32 ∗ 1
𝑏[ + ]=1
4 3

1 32
𝑏[ + ] = 1
2 3
3 + 64
𝑏[ ]=1
6
67
𝑏[ ]=1
6
6
𝑏=
67
(𝒙𝟐 +𝒚𝟐)
27. Given The Function 𝒇(𝒙, 𝒚) = { 𝟖𝝅 ; (𝒙𝟐 + 𝒚𝟐 ) < 𝒃 Find a constant b so
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆
that this is valid Joint Probability Density Function and 𝑷{𝟎. 𝟓𝒃 < (𝒙𝟐 + 𝒚𝟐 ) ≤ 𝟎. 𝟖𝒃}

Solution:
∞ ∞

∫ ∫ 𝑓 (𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
−∞ −∞

𝑥 = 𝑟 𝑐𝑜𝑠𝜃

𝑦 = 𝑟 𝑠𝑖𝑛𝜃

𝑑𝑥𝑑𝑦 = 𝑟𝑑𝑟𝑑𝜃
 Limits 𝑟; 0 < 𝑟 < 1 𝑎𝑛𝑑 0 < 𝜃 < 2𝜋

((𝑟 𝑐𝑜𝑠𝜃)2 + (𝑟 sin 𝜃 )2 ) < 𝑏

𝑟 2 (( 𝑐𝑜𝑠𝜃)2 + (sin 𝜃 )2 ) < 𝑏

𝑟2 < 𝑏

𝑟 < √𝑏; 𝑠𝑜 0 < 𝑟 < √𝑏

2𝜋 √𝑏
(𝑥 2 + 𝑦 2 )
∫ ∫ 𝑟𝑑𝑟𝑑𝜃 = 1
8𝜋
0 0

2𝜋 √𝑏
((𝑟 𝑐𝑜𝑠𝜃)2 + (𝑟 sin 𝜃)2 )
∫ ∫ 𝑟𝑑𝑟𝑑𝜃 = 1
8𝜋
0 0

2𝜋 √𝑏
𝑟 2 (( 𝑐𝑜𝑠𝜃)2 + (sin 𝜃)2 )
∫ ∫ 𝑟𝑑𝑟𝑑𝜃 = 1
8𝜋
0 0

2𝜋 √𝑏
𝑟2
∫ ∫ 𝑟𝑑𝑟𝑑𝜃 = 1
8𝜋
0 0

2𝜋 √𝑏
1
∫ ∫ 𝑟 3 𝑑𝑟𝑑𝜃 = 1
8𝜋
0 0

2𝜋 √𝑏
1
∫ 𝑑𝜃 ∫ 𝑟 3 𝑑𝑟 = 1
8𝜋
0 0

√𝑏
1 𝑟4
[𝜃]2𝜋
0 [ ] =1
8𝜋 4 0

4 4
1 (√𝑏) (√0)
[2𝜋 − 0] [ − ]=1
8𝜋 4 4

4
1 (√𝑏)
[2𝜋] [ ]=1
8𝜋 4

2𝜋𝑏2
=1
32𝜋
 𝑏2
=1
16

𝑏2 = 16; 𝑏 = 4

𝑃{0.5 ∗ 4 < ((𝑟 𝑐𝑜𝑠𝜃)2 + (𝑟 sin 𝜃)2 ) ≤ 0.8 ∗ 4}

𝑃{2 < (𝑟 2 ) ≤ 3.2}

𝑃{√2 < 𝑟 ≤ √3.2},

2𝜋 √3.2
(𝑥 2 + 𝑦 2 )
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = ∫ ∫ 𝑟𝑑𝑟𝑑𝜃
8𝜋
0 √2

2𝜋 √3.2
((𝑟 𝑐𝑜𝑠𝜃)2 + (𝑟 sin 𝜃)2 )
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = ∫ ∫ 𝑟𝑑𝑟𝑑𝜃
8𝜋
0 √2

2𝜋 √3.2
𝑟2
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = ∫ ∫ 𝑟𝑑𝑟𝑑𝜃
8𝜋
0 √2

2𝜋 √3.2
𝑟3
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = ∫ ∫ 𝑑𝑟𝑑𝜃
8𝜋
0 √2

2𝜋 √3.2
𝑟3
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = ∫ 𝑑𝜃 ∫ 𝑑𝑟
8𝜋
0 √2

2𝜋 √3.2
𝑟3
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = ∫ 𝑑𝜃 ∫ 𝑑𝑟
8𝜋
0 √2

2𝜋 √3.2
𝑟2
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = ∫ 𝑑𝜃 ∫ 𝑟 3 𝑑𝑟
8𝜋
0 √2

√3.2
𝑟2 𝑟4
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = [𝜃]2𝜋 [ ]
8𝜋 0 4 √2

4 4
1 (√3.2) (√2)
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = [2𝜋 − 0] [ − ]
8𝜋 4 4
 1 10.24 − 4
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = ∗ 2𝜋 ∗ [ ]
8𝜋 4
1 6.24 6.24
𝑃{√2 < 𝑟 ≤ √3.2, 0 < 𝜃 ≤ 2𝜋} = [ ]= = 0.39
4 4 16

𝒃(𝒙 + 𝒚)𝟐 ; −𝟐 < 𝒙 < 2, −𝟑 < 𝒚 < 3

28. Given the Function 𝒇(𝒙, 𝒚) = { find a constant ‘b’
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆
and Marginal Probability Density Functions

Solution:
∞ ∞

∫ ∫ 𝑓 (𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
−∞ −∞

2 3

∫ ∫ 𝑏(𝑥 + 𝑦)2 𝑑𝑥𝑑𝑦 = 1

−2 −3

2 3

𝑏 ∫ ∫(𝑥 + 𝑦)2 𝑑𝑥𝑑𝑦 = 1

−2 −3

2 3

𝑏 ∫ ∫(𝑥 2 + 𝑦 2 + 2𝑥𝑦)𝑑𝑦𝑑𝑥 = 1
−2 −3

2 3
𝑦 3 2𝑥𝑦 2
𝑏 ∫ [𝑦𝑥 2 + + ] 𝑑𝑥 = 1
3 2 −3
−2

2
(3)3 (−3)3
𝑏 ∫ [𝑥 2 3 + + 𝑥 (3)2 + 3𝑥 2 − − 𝑥 (−3)2 ] 𝑑𝑥 = 1
3 3
−2

2
27 27
𝑏 ∫ [3𝑥 2 + + 9𝑥 + 3𝑥 2 + − 9𝑥] 𝑑𝑥 = 1
3 3
−2

𝑏 ∫[6𝑥 2 + 18] 𝑑𝑥 = 1
−2

2
6𝑥 3
𝑏[ + 18𝑥] = 1
3 −2
 6(2)3 6(−2)3
𝑏[ + 18(2) − − 18(−2)] = 1
3 3

6∗8 6∗8
𝑏[ + 18(2) + + 18(2)] = 1
3 3
1
𝑏[16 + 36 + 16 + 36] = 1; 𝑏104 = 1 𝑏 =
104

Marginal Probability Density Function of x

∞

𝑓 (𝑥) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑦
−∞

𝒃(𝒙 + 𝒚)𝟐 ; −𝟐 < 𝒙 < 2, −𝟑 < 𝒚 < 3

𝒇(𝒙, 𝒚) = {
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆
∞

𝑓(𝑥) = ∫ 𝒃(𝒙 + 𝒚)𝟐 𝑑𝑦

−∞

3
1
𝑓 (𝑥) = ∫(𝒙 + 𝒚)𝟐 𝑑𝑦
104
−3

3
1
𝑓 (𝑥) = ∫(𝑥 2 + 𝑦 2 + 2𝑥𝑦) 𝑑𝑦
104
−3

3
1 2
𝑦 3 2𝑥𝑦 2
𝑓 (𝑥) = [𝑦𝑥 + + ]
104 3 2 −3

1 27 2𝑥 ∗ 9 27 2𝑥 ∗ 9
𝑓(𝑥) = [3𝑥 2 + + + 3𝑥 2 + − ]
104 3 2 3 2
1 27 27
𝑓(𝑥) = [3𝑥 2 + + 3𝑥 2 + ]
104 3 3
1
𝑓(𝑥) = [6𝑥 2 + 18]
104

Marginal Probability Density Function of y

∞

𝑓 (𝑦) = ∫ 𝑓 (𝑥, 𝑦) 𝑑𝑥
−∞
 2
1
𝑓(𝑦) = ∫(𝒙 + 𝒚)𝟐 𝑑𝑦
104
−2

2
1
𝑓(𝑦) = ∫(𝑥 2 + 𝑦 2 + 2𝑥𝑦) 𝑑𝑦
104
−2

2
1 𝑥 3 2𝑦𝑥 2
𝑓 (𝑦) = [𝑥𝑦 2 + + ]
104 3 2 −2

1 8 2𝑦 ∗ 4 8 2𝑦 ∗ 4
𝑓 (𝑦) = [2𝑦 2 + + + 2𝑦 2 + − ]
104 3 2 3 2
1 8 8
𝑓(𝑦) = [2𝑦 2 + + 2𝑦 2 + ]
104 3 3
1 16
𝑓 (𝑦) = [24 + ]
104 3

29. Find a value of the constant b so that the Joint Probability Density
Function

𝒇(𝒙, 𝒚) = 𝒃𝒙𝒚𝟐 𝒆−𝟐𝒙𝒚 𝒖(𝒙 − 𝟐)𝒖(𝒚 − 𝟏) 𝒊𝒔 𝒗𝒂𝒍𝒊𝒅 𝐉𝐨𝐢𝐧𝐭 𝐏𝐫𝐨𝐛𝐚𝐛𝐢𝐥𝐢𝐭𝐲 𝐃𝐞𝐧𝐬𝐢𝐭𝐲 𝐅𝐮𝐧𝐜𝐭𝐢𝐨𝐧

SOLUTION:
∞ ∞

∫ ∫ 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
−∞ −∞

∞ ∞

∫ ∫ 𝑏𝑥𝑦 2 𝑒 −2𝑥𝑦 𝑢(𝑥 − 2)𝑢(𝑦 − 1)𝑑𝑥𝑑𝑦 = 1

0 0

∞ ∞

𝑏 ∫ ∫ 𝑥𝑦 2 𝑒 −2𝑥𝑦 𝑑𝑥𝑑𝑦 = 1
2 1

∞ ∞

𝑏 ∫ 𝑦 2 ∫ 𝑥𝑒 −2𝑥𝑦 𝑑𝑥𝑑𝑦 = 1
1 2

∞ ∞
2 [𝑥
𝑒 −2𝑥𝑦 𝑒 −2𝑥𝑦
𝑏∫𝑦 − ] 𝑑𝑦 = 1
−2𝑦 (−2𝑦)(−2𝑦) 2
1
 ∞ ∞
2 [−𝑥
𝑒 −2𝑥𝑦 𝑒 −2𝑥𝑦
𝑏∫𝑦 − ] 𝑑𝑦 = 1
2𝑦 4𝑦 2 2
1

∞ ∞
𝑦 2 𝑒 −2𝑥𝑦 𝑦 2 𝑒 −2𝑥𝑦
𝑏 ∫ [−𝑥 − ] 𝑑𝑦 = 1
2𝑦 4𝑦 2 2
1

∞
𝑦 2 𝑒 −2∞𝑦 𝑦 2 𝑒 −2∞𝑦 𝑦 2 𝑒 −2∗2𝑦 𝑦 2 𝑒 −2∗2𝑦
𝑏 ∫ [−∞ − +2 + ] 𝑑𝑦 = 1
2𝑦 4𝑦 2 2𝑦 4𝑦 2
1

∞
𝑦𝑒 −2∗2𝑦 𝑒 −2∗2𝑦
𝑏 ∫ [0 − 0 + 2 + ] 𝑑𝑦 = 1
2 4
1

∞
𝑒 −4𝑦
𝑏 ∫ [𝑦𝑒 −4𝑦 + ] 𝑑𝑦 = 1
4
1

∞
𝑦𝑒 −4𝑦 𝑒 −4𝑦 𝑒 −4𝑦
𝑏[ − + ] =1
−4 (−4)(−4) 4 ∗ −4
1

∞
𝑦𝑒 −4𝑦 𝑒 −4𝑦 𝑒 −4𝑦
𝑏 [− − − ] =1
4 16 16 1

𝑦𝑒 −4∞ 𝑒 −4∞ 𝑒 −4∞ 𝑦𝑒 −4∗1 𝑒 −4∗1 𝑒 −4∗1

𝑏 [− − − + + + ]=1
4 16 16 4 16 16

𝑒 −4 𝑒 −4 𝑒 −4
𝑏 [−0 − 0 − 0 + + + ]=1
4 16 16

𝑒 −4 𝑒 −4 𝑒 −4
𝑏[ + + ]=1
4 16 16

4𝑒 −4 + 𝑒 −4 + 𝑒 −4
𝑏[ ]=1
16

6𝑒 −4
𝑏 [ ]=1
16

16
𝑏=
6𝑒 −4
30. Two Random Variables X and Y have Joint Probability Density
Function

𝟏𝟎 𝟐
𝒇(𝒙, 𝒚) = [𝒖(𝒙) − 𝒖(𝒙 − 𝟒)]𝒖(𝒚)𝒚𝟑 𝒆−(𝒙+𝟏)𝒚
𝟒
Find Marginal Probability Density Functions and Marginal Probability
Distribution Functions

SOLUTION:

𝟏𝟎 𝟐
𝐟(𝐱, 𝐲) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)]𝐮(𝐲)𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲
𝟒
Marginal Probability Density Function of x
∞

𝑓(𝑥) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑦
−∞

∞
𝟏𝟎 𝟐
𝑓 (𝑥 ) = ∫ [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)]𝐮(𝐲)𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲 𝑑𝑦
𝟒
−∞

∞
𝟏𝟎 𝟐
𝑓 (𝑥 ) = ∫[𝐮(𝐱) − 𝐮(𝐱 − 𝟒)]𝐮(𝐲)𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲 𝑑𝑦
𝟒
−∞

∞
𝟏𝟎 𝟐
𝑓 (𝑥 ) = ∫[𝐮(𝐱) − 𝐮(𝐱 − 𝟒)]𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲 𝑑𝑦
𝟒
0

∞
𝟏𝟎 𝟐
𝑓 (𝑥 ) = ∫[𝐮(𝐱) − 𝐮(𝐱 − 𝟒)]𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲 𝑑𝑦
𝟒
0

∞
𝟏𝟎 𝟐
𝑓 (𝑥 ) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)] ∫ 𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲 𝑑𝑦
𝟒
0

∞
𝟏𝟎 𝟐
𝑓 (𝑥 ) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)] ∫ 𝐲 𝟐 𝐞−(𝐱+𝟏)𝐲 𝑦𝑑𝑦
𝟒
0

𝐲𝟐 = 𝐭
 2𝑦𝑑𝑦 = 𝑑𝑡

Limits Lower Limit x=0 t=0 ; Upper Limit x=∞ t=∞

∞
𝟏𝟎
𝑓 (𝑥 ) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)] ∫ 𝐭𝐞−(𝐱+𝟏)𝐭 𝑑𝑡
𝟒
0

∞
𝟏𝟎 𝐭𝐞−(𝐱+𝟏)𝐭 𝐞−(𝐱+𝟏)𝐭
𝑓 (𝑥 ) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)] [ − ]
𝟒 −(𝐱 + 𝟏) −(𝐱 + 𝟏) − (𝐱 + 𝟏) 𝟎
∞
𝟏𝟎 −𝐭𝐞−(𝐱+𝟏)𝐭 𝐞−(𝐱+𝟏)𝐭
𝑓 (𝑥 ) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)] [ − 𝟐
]
𝟒 ( 𝐱 + 𝟏) ((𝐱 + 𝟏)) 𝟎

𝟏𝟎 ∞𝐞−(𝐱+𝟏)∞ 𝐞−(𝐱+𝟏)∞ 𝟎𝐞−(𝐱+𝟏)𝟎 𝐞−(𝐱+𝟏)𝟎

𝑓 (𝑥 ) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)] [ − 𝟐 + + 𝟐
]
𝟒 ( 𝐱 + 𝟏) ((𝐱 + 𝟏)) ( 𝐱 + 𝟏) ((𝐱 + 𝟏))

𝟏𝟎 𝐞−(𝐱+𝟏)𝟎
𝑓 (𝑥 ) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)] [𝟎 − 𝟎 + 𝟎 + 𝟐
]
𝟒 ((𝐱 + 𝟏))

𝟏𝟎 𝟏
𝑓 (𝑥 ) = [𝐮(𝐱) − 𝐮(𝐱 − 𝟒)] [ 𝟐
]
𝟒 ((𝐱 + 𝟏))

Marginal Probability Density Function of y

∞

𝑓(𝑦) = ∫ 𝑓 (𝑥, 𝑦) 𝑑𝑥
−∞

∞
𝟏𝟎 𝟐
𝑓 (𝑦 ) = ∫[𝐮(𝐱) − 𝐮(𝐱 − 𝟒)]𝐮(𝐲)𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲 𝑑𝑥
𝟒
−∞

𝟏𝟎 ∞ 𝟐 𝟏𝟎 ∞ 𝟐
𝑓 (𝑦 ) = 𝟒
∫−∞[𝐮(𝐱)]𝐮(𝐲)𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲 𝑑𝑥- 𝟒 ∫−∞[𝐮(𝐱 − 𝟒)]𝐮(𝐲)𝐲 𝟑 𝐞−(𝐱+𝟏)𝐲 𝑑𝑥

𝟏𝟎𝐮(𝐲)𝐲 𝟑 ∞ 𝟐 𝟏𝟎𝐮(𝐲)𝐲 𝟑 ∞ 𝟐
𝑓 (𝑦 ) = 𝟒
∫0 𝐞−(𝐱+𝟏)𝐲 𝑑𝑥- 𝟒
∫4 𝐞−(𝐱+𝟏)𝐲 𝑑𝑥

𝟐 𝟐
𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 ∞ 𝟐 𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 ∞ 𝟐
𝑓 (𝑦 ) =
𝟒
∫0 𝐞−𝐱𝐲 𝑑𝑥- 𝟒
∫4 𝐞−𝐱𝐲 𝑑𝑥
 𝟐 𝟐
𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 ∞ 𝟐 𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 ∞ 𝟐
𝑓 (𝑦 ) = 𝟒
∫0 𝐞−𝐱𝐲 𝑑𝑥- 𝟒
∫4 𝐞−𝐱𝐲 𝑑𝑥

𝟐 𝟐 ∞ 𝟐 𝟐 ∞
𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 𝐞−𝐱𝐲 𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 𝐞−𝐱𝐲
𝑓 (𝑦 ) = [ −𝑦 2 ] - [ ]
𝟒 𝟒 𝑦2
0 4

𝟐 𝟐 𝟐 𝟐 𝟐 𝟐
𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 𝐞−∞𝐲 𝐞−𝟎𝐲 𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 𝐞−∞𝐲 𝐞−𝟒𝐲
𝑓 (𝑦 ) = [− + ]- [− + ]
𝟒 𝑦2 𝑦2 𝟒 𝑦2 𝑦2

𝟐 𝟐 𝟐
𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 𝟏 𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 𝐞−𝟒𝐲
𝑓 (𝑦 ) = [−0 + 2
]- [−0 + ]
𝟒 𝑦 𝟒 𝑦2

𝟐 𝟐
𝟏𝟎𝐮(𝐲)𝐲 𝟑 𝐞−𝐲 𝟏 𝐞−𝟒𝐲
𝑓 (𝑦 ) = [ 2+ 2 ]
𝟒 𝑦 𝑦

31.. Find Marginal Probability Density Functions of X and Y of the Joint

Probability Density Function
𝒙
𝒇(𝒙, 𝒚) = 𝟐𝒖(𝒙)𝒖(𝒚)𝒆[−(𝟐+𝟒𝒚)]

Solution:

Marginal Probability Density Function of x

∞

𝑓(𝑥) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑦
−∞

𝒙
𝒇(𝒙, 𝒚) = 𝟐𝒖(𝒙)𝒖(𝒚)𝒆[−(𝟐+𝟒𝒚)]

∞
𝒙
𝑓 (𝑥 ) = ∫ 𝟐𝒖(𝒙)𝒖(𝒚)𝒆[−(𝟐+𝟒𝒚)] 𝑑𝑦
−∞

∞
𝒙
𝑓 (𝑥 ) = ∫ 𝟐𝒖(𝒙)𝒆[−(𝟐+𝟒𝒚)] 𝑑𝑦
0
 ∞
𝒙
𝑓(𝑥 ) = 𝟐𝒖(𝒙) ∫ 𝒆[−(𝟐+𝟒𝒚)] 𝑑𝑦
0

∞
𝒙
𝑓 (𝑥 ) = 𝟐𝒖(𝒙)𝒆[−(𝟐)] ∫ 𝒆[−(𝟒𝒚)] 𝑑𝑦
0

−𝟒𝒚 ∞
[−( )] 𝒆
𝒙
𝑓 (𝑥 ) = 𝟐𝒖(𝒙)𝒆 𝟐 [ ]
−𝟒 𝟎

𝒙 𝒆−𝟒∞ 𝒆−𝟒∗𝟎
𝑓(𝑥 ) = 𝟐𝒖(𝒙)𝒆[−(𝟐)] [− + ]
𝟒 𝟒
𝒙
[−( )] 𝟏
𝑓(𝑥 ) = 𝟐𝒖(𝒙)𝒆 𝟐 [−𝟎 + ]
𝟒
𝒙 𝟏
𝑓 (𝑥 ) = 𝟐𝒖(𝒙)𝒆[−(𝟐)] [ ]
𝟒
𝟏 𝒙
𝑓 (𝑥 ) = 𝒖(𝒙)𝒆[−(𝟐)]
𝟐

Marginal Probability Density Function of y

∞

𝑓(𝑦) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑥
−∞

∞
𝒙
[−( +𝟒𝒚)]
𝑓(𝑦) = ∫ 𝟐𝒖(𝒚)𝒆 𝟐 𝑑𝑥
0

∞
𝒙
𝑓 (𝑦) = 𝟐𝒖(𝒚) ∫ 𝒆[−(𝟐+𝟒𝒚)] 𝑑𝑥
0
 ∞
𝒙
𝑓 (𝑦) = 𝟐𝒖(𝒚)𝒆 [−(𝟒𝒚)]
∫ 𝒆[−(𝟐)] 𝑑𝑥
0

−𝒙 ∞
𝒆𝟐
𝑓 (𝑦) = 𝟐𝒖(𝒚)𝒆[−(𝟒𝒚)] [ ]
−𝟏
𝟐 𝟎

−∞ −𝟎
𝒆𝟐 𝒆𝟐
𝑓 (𝑦) = 𝟐𝒖(𝒚)𝒆[−(𝟒𝒚)] [ + ]
−𝟏 𝟏
𝟐 𝟐

𝟎 𝟏
𝑓(𝑦) = 𝟐𝒖(𝒚)𝒆[−(𝟒𝒚)] [ + ]
−𝟏 𝟏
𝟐 𝟐

𝑓 (𝑦) = 𝟐𝒖(𝒚)𝒆[−(𝟒𝒚)] [𝟎 + 𝟐]

𝑓 (𝑦) = 𝟒𝒖(𝒚)𝒆[−(𝟒𝒚)]

32. the Joint Probability Density Function of random variables X and Y is

𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝟑
( ) [𝟏 − (𝒃) (𝒂) ]
𝒇(𝒙, 𝒚) = { 𝟐𝟑𝒂𝒃 𝒃 ; −𝒃 < 𝑥 < 𝑏, 0 < 𝒚 < 𝑏 Find Marginal
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆
Probability Density Functions of X and Y

Solution: Marginal Probability Density Function of x

 ∞

𝑓(𝑥 ) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑦
−∞

𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝟑
( ) [𝟏 − ( ) ( ) ]
𝒇(𝒙, 𝒚) = {𝟐𝟑𝒂𝒃 𝒃 𝒃 𝒂 ; −𝒃 < 𝑥 < 𝑏, 0 < 𝒚 < 𝑏
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆
𝑏
𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝟑
𝑓 (𝑥 ) = ∫ ( ) [𝟏 − ( ) ( ) ] 𝑑𝑦
𝟐𝟑𝒂𝒃 𝒃 𝒃 𝒂
0

𝑏
𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝟑
𝑓 (𝑥 ) = ∫ ( ) [𝟏 − ( ) ( ) ] 𝑑𝑦
𝟐𝟑𝒂𝒃 𝒃 𝒃 𝒂
0

𝑏
𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝟒𝒂
𝑓 (𝑥 ) = ∫ [( ) − ( ) ( ) ] 𝑑𝑦
𝟐𝟑𝒂𝒃 𝒃 𝒃 𝒂 𝒃
0

𝑏
𝟐𝟓 𝑦 2 𝒙 𝟒 𝒚𝟓
𝑓 (𝑥 ) = [ −( ) ]
𝟐𝟑𝒂𝒃 2𝑏 𝒃 𝟓𝒃𝒂𝟑 0

𝑏
𝟐𝟓 𝑦 2 𝒙 𝟒 𝒚𝟓
𝑓 (𝑥 ) = [ −( ) ]
𝟐𝟑𝒂𝒃 2𝑏 𝒃 𝟓𝒃𝒂𝟑 0

𝟐𝟓 𝑏2 𝒙 𝟒 𝒃𝟓 02 𝒙 𝟒 𝟎𝟓
𝑓 (𝑥 ) = [ −( ) − + ( ) ]
𝟐𝟑𝒂𝒃 2𝑏 𝒃 𝟓𝒃𝒂𝟑 2𝑏 𝒃 𝟓𝒃𝒂𝟑

𝟐𝟓 𝑏2 𝒙 𝟒 𝒃𝟓
𝑓 (𝑥 ) = [ −( ) − 0 + 𝟎]
𝟐𝟑𝒂𝒃 2𝑏 𝒃 𝟓𝒃𝒂𝟑

𝟐𝟓 𝑏2 𝒙 𝟒 𝒃𝟓
𝑓 (𝑥 ) = [ − ( ) ]
𝟐𝟑 2𝒂𝑏2 𝒃 𝟓𝑏2 𝒂𝟒

𝟐𝟓 1 𝒙𝟒
𝑓 (𝑥 ) = [ − 𝟒]
𝟐𝟑 2𝒂 𝟓𝒂

Marginal Probability Density Function of y

 ∞

𝑓(𝑦) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑥
−∞

𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝟑
( ) [𝟏 − ( ) ( ) ]
𝒇(𝒙, 𝒚) = {𝟐𝟑𝒂𝒃 𝒃 𝒃 𝒂 ; −𝒃 < 𝑥 < 𝑏, 0 < 𝒚 < 𝑏
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆
𝑏
𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝟑
𝑓 (𝑦 ) = ∫ ( ) [𝟏 − ( ) ( ) ] 𝑑𝑥
𝟐𝟑𝒂𝒃 𝒃 𝒃 𝒂
−𝑏

𝑏
𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝟑
𝑓 (𝑦 ) = ∫ ( ) [𝟏 − ( ) ( ) ] 𝑑𝑥
𝟐𝟑𝒂𝒃 𝒃 𝒃 𝒂
−𝑏

𝑏
𝟐𝟓 𝒚 𝒙 𝟒 𝒚 𝒚 𝟑
𝑓 (𝑦 ) = ∫[ 𝟐 − ( ) ( ) ] 𝑑𝑥
𝟐𝟑 𝒂𝒃 𝒃 𝒂𝒃𝟐 𝒂
−𝑏

𝑏
𝟐𝟓 𝒚 𝒙 𝟒 𝟏 𝒚 𝟒
𝑓 (𝑦 ) = ∫ [ 𝟐 − ( ) 𝟐 ( ) ] 𝑑𝑥
𝟐𝟑 𝒂𝒃 𝒃 𝒃 𝒂
−𝑏

𝑏
𝟐𝟓 𝒙𝒚 𝒙 𝟓 𝟏 𝒚 𝟒
𝑓 (𝑦 ) = [ 𝟐 −( ) ( ) ]
𝟐𝟑 𝒂𝒃 𝒃 𝟓𝒃𝟐 𝒂 −𝑏

𝟐𝟓 𝒃𝒚 𝒃 𝟓 𝟏 𝒚 𝟒 𝒃𝒚 −𝒃 𝟓 𝟏 𝒚 𝟒
𝑓 (𝑦 ) = [ −( ) ( ) + 𝟐+( ) ( ) ]
𝟐𝟑 𝒂𝒃𝟐 𝒃 𝟓𝒃𝟐 𝒂 𝒂𝒃 𝒃 𝟓𝒃𝟐 𝒂

𝟐𝟓 𝒃𝒚 𝟏 𝒚 𝟒 𝒃𝒚 𝟏 𝒚 𝟒
𝑓 (𝑦 ) = [ 𝟐− 𝟐( ) + 𝟐− 𝟐( ) ]
𝟐𝟑 𝒂𝒃 𝟓𝒃 𝒂 𝒂𝒃 𝟓𝒃 𝒂

𝟓𝟎 𝒚
𝑓 (𝑦 ) =
𝟐𝟑 𝒂𝒃
33. Two Random Variables X and Y have Joint Probability Density
Function
𝟓 𝟐
𝒇(𝒙, 𝒚) = {𝟏𝟔 𝒙 𝒚; 𝟎 < 𝒚 < 𝑥 < 2 Find Marginal Probability Density Functions of
𝟎
X and Y and are X and Y statistically independent?

Solution: Marginal Probability Density Function of x

∞

𝑓(𝑥 ) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑦
−∞

𝟓 𝟐
𝒇(𝒙, 𝒚) = {𝟏𝟔 𝒙 𝒚; 𝟎 < 𝒚 < 𝑥 < 2
𝟎
2
𝟓 𝟐
𝑓 (𝑥 ) = ∫ 𝒙 𝒚 𝑑𝑦
𝟏𝟔
0

2
𝟓 𝟐
𝑓 (𝑥 ) = 𝒙 ∫ 𝒚 𝑑𝑦
𝟏𝟔
0

𝟐
𝟓 𝟐 𝒚𝟐
𝑓 (𝑥 ) = 𝒙 [ ]
𝟏𝟔 𝟐 𝟎

𝟓 𝟐 𝟒 𝟎
𝑓 (𝑥 ) = 𝒙 [ − ]
𝟏𝟔 𝟐 𝟐
𝟓 𝟐 𝟒
𝑓 (𝑥 ) = 𝒙 [ ]
𝟏𝟔 𝟐
𝟓 𝟐
𝑓 (𝑥 ) = 𝒙
𝟖
Marginal Probability Density Function of y
∞

𝑓(𝑦) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑥
−∞

2
𝟓 𝟐
𝑓 (𝑦 ) = ∫ 𝒙 𝒚 𝑑𝑥
𝟏𝟔
0

2
𝟓
𝑓 (𝑦 ) = 𝒚 ∫ 𝒙𝟐 𝑑𝑥
𝟏𝟔
0

𝟐
𝟓 𝒙𝟑
𝑓 (𝑦 ) = 𝒚[ ]
𝟏𝟔 𝟑 𝟎

𝟓 𝟖 𝟎
𝑓 (𝑦 ) = 𝒚[ − ]
𝟏𝟔 𝟑 𝟑
𝟓 𝟖
𝑓 (𝑦 ) = 𝒚[ ]
𝟏𝟔 𝟑
𝟓
𝑓 (𝑦 ) = 𝒚
𝟔

If 𝒇(𝒙, 𝒚) = 𝒇(𝒙)𝒇(𝒚) Then X and Y are statistically independent

𝟓 𝟐 𝟓 𝟓 𝟐𝟓 𝟐
𝒙 𝒚 = 𝒙𝟐 𝒚 = 𝒙 𝒚
𝟏𝟔 𝟖 𝟔 𝟒𝟖
Then above Given Random Variables are not statistically independent
34. Two Random Variables X and Y have Joint Probability Density
Function
𝒙 𝒚
𝟏
𝒇(𝒙, 𝒚) = 𝟏𝟐 𝒖(𝒙)𝒖(𝒚)𝒆−[(𝟒+𝟑)] Find P{2<x≤4,-1<y≤5} and P{0<x≤∞,-∞<y≤-2}

SOLUTION:
𝒙𝟐 𝒚𝟐

𝑷{𝒙𝟏 < 𝑋 ≤ 𝒙𝟐 , 𝒚𝟏 < 𝑌 ≤ 𝒚𝟐 } = ∫ ∫ 𝒇(𝒙, 𝒚) 𝒅𝒙𝒅𝒚

𝒙𝟏 𝒚𝟏

𝟒 𝟓
𝟏 𝒙 𝒚
𝑷{𝟐 < 𝑥 ≤ 𝟒, −𝟏 < 𝑦 ≤ 𝟓} = ∫ ∫ 𝒖(𝒙)𝒖(𝒚)𝒆−[(𝟒+𝟑)] 𝒅𝒙𝒅𝒚
𝟏𝟐
𝟐 −𝟏

𝟒 𝟓
𝟏 𝒙 𝒚
𝑷{𝟐 < 𝑥 ≤ 𝟒, −𝟏 < 𝑦 ≤ 𝟓} = ∫ 𝒖(𝒙)𝒆−[(𝟒)] 𝒅𝒙 ∫ 𝒖(𝒚)𝒆−[(𝟑)] 𝒅𝒚
𝟏𝟐
𝟐 −𝟏

𝟒 𝟓
𝟏 𝒙 𝒚
𝑷{𝟐 < 𝑥 ≤ 𝟒, −𝟏 < 𝑦 ≤ 𝟓} = ∫ 𝒆−[(𝟒)] 𝒅𝒙 ∫ 𝒆−[(𝟑)] 𝒅𝒚
𝟏𝟐
𝟐 𝟎

−𝒙 𝟒 −𝒚 𝟓
𝟏 𝒆𝟒 𝒆𝟑
𝑷{𝟐 < 𝑥 ≤ 𝟒, −𝟏 < 𝑦 ≤ 𝟓} = [ ] [ ]
𝟏𝟐 −𝟏 −𝟏
𝟒 𝟐 𝟑 𝟎

𝟏 −𝒙 𝟒 −𝒚 𝟓
𝑷{𝟐 < 𝑥 ≤ 𝟒, −𝟏 < 𝑦 ≤ 𝟓} = [−𝟒𝒆 𝟒 ] [−𝟑𝒆 𝟑 ]
𝟏𝟐 𝟐 𝟎

𝟏 −𝟒 −𝟐 𝟓 𝟎
𝑷{𝟐 < 𝑥 ≤ 𝟒, −𝟏 < 𝑦 ≤ 𝟓} = [−𝟒𝒆 𝟒 + 𝟒𝒆 𝟒 ] [−𝟑𝒆𝟑 + 𝟑𝒆𝟑 ]
𝟏𝟐
 𝟏 −𝟏 𝟓
𝑷{𝟐 < 𝑥 ≤ 𝟒, −𝟏 < 𝑦 ≤ 𝟓} = [−𝟒𝒆−𝟏 + 𝟒𝒆 𝟐 ] [−𝟑𝒆𝟑 + 𝟑]
𝟏𝟐

6.Two Statistically Independent Random Variables X and Y have

respective density Functions

𝟏
𝒇(𝒙) = [𝒖(𝒙) − 𝒖(𝒙 − 𝒂)] 𝒂𝒏𝒅 𝒇(𝒚) = 𝒃𝒆−𝒃𝒚 𝒖(𝒚)
𝒂
Find the Density function of W=X+Y

SOLUTION: Sum of Two Statistically Independent Random Variables X

and Y resultant density Function is
∞ ∞

𝒇(𝒘) = ∫ 𝒇(𝒙) 𝒇(𝒘 − 𝒙)𝒅𝒙 𝑶𝑹 𝒇(𝒘) = ∫ 𝒇(𝒚) 𝒇(𝒘 − 𝒚)𝒅𝒚

−∞ −∞

𝟏
𝒇(𝒘 − 𝒚) = [𝒖(𝒘 − 𝒚) − 𝒖(𝒘 − 𝒚 − 𝒂)] 𝒂𝒏𝒅 𝒇(𝒚) = 𝒃𝒆−𝒃𝒚 𝒖(𝒚)
𝒂
∞
𝟏
𝒇(𝒘) = ∫ [𝒖(𝒘 − 𝒚) − 𝒖(𝒘 − 𝒚 − 𝒂)] 𝒃𝒆−𝒃𝒚 𝒖(𝒚)𝒅𝒚
𝒂
−∞

∞
𝒃
𝒇(𝒘) = ∫[𝒖(𝒘 − 𝒚) − 𝒖(𝒘 − 𝒚 − 𝒂)] 𝒆−𝒃𝒚 𝒖(𝒚)𝒅𝒚
𝒂
−∞

∞ ∞
𝒃
𝒇(𝒘) = [ ∫[𝒖(𝒚)𝒖(𝒘 − 𝒚 − 𝒂)] 𝒆−𝒃𝒚 𝒅𝒚 + ∫[𝒖(𝒚)𝒖(𝒘 − 𝒚 − 𝒂)] 𝒆−𝒃𝒚 𝒅]
𝒂
−∞ −∞

∞ ∞
𝒃
𝒇(𝒘) = [∫[𝒖(𝒘 − 𝒚 − 𝒂)] 𝒆−𝒃𝒚 𝒅𝒚 + ∫[𝒖(𝒘 − 𝒚 − 𝒂)] 𝒆−𝒃𝒚 𝒅𝒚]
𝒂
𝟎 𝟎

∞
𝟐𝒃
𝒇(𝒘) = [ ∫ 𝒆−𝒃𝒚 𝒅𝒚]
𝒂
𝒂−𝒘
 ∞
𝟐𝒃 𝒆−𝒃𝒙
𝒇(𝒘) = [ ]
𝒂 −𝒃 𝒂−𝒘

𝟐𝒃 𝒆−𝒃∞ 𝒆−𝒃(𝒂−𝒘)
𝒇(𝒘) = [ + ]
𝒂 −𝒃 𝒃

𝟐𝒃 𝟎 𝒆−𝒃(𝒂−𝒘)
𝒇(𝒘) = [ + ]
𝒂 −𝒃 𝒃

𝟐𝒃 𝒆−𝒃(𝒂−𝒘) 𝟐𝒃 𝒆−𝒃(𝒂−𝒘) 𝒆−𝒃(𝒂−𝒘)

𝒇(𝒘) = [𝟎 + ]= [ ] = 𝟐[ ]
𝒂 𝒃 𝒂 𝒃 𝒂

35. Two Statistically Independent Random Variables X and Y have

respective density Functions

𝒇(𝒙) = 𝟓𝒆−𝟓𝒙 [𝒖(𝒙)] 𝒂𝒏𝒅 𝒇(𝒚) = 𝟐𝒆−𝟐𝒚 𝒖(𝒚)

Find the Density function of W=X+Y

SOLUTION:

Sum of Two Statistically Independent Random Variables X and Y resultant

density Function is
∞ ∞

𝒇(𝒘) = ∫ 𝒇(𝒙) 𝒇(𝒘 − 𝒙)𝒅𝒙 𝑶𝑹 𝒇(𝒘) = ∫ 𝒇(𝒚) 𝒇(𝒘 − 𝒚)𝒅𝒚

−∞ −∞

𝒇(𝒙) = 𝟓𝒆−𝟓𝒙 [𝒖(𝒙)] 𝒂𝒏𝒅 𝒇(𝒘 − 𝒙) = 𝟐𝒆−𝟐(𝒘−𝒙) 𝒖(𝒘 − 𝒙)

∞

𝒇(𝒘) = ∫ 𝟓𝒆−𝟓𝒙 [𝒖(𝒙)] 𝟐𝒆−𝟐(𝒘−𝒙) 𝒖(𝒘 − 𝒙)𝒅𝒙

−∞

𝒇(𝒘) = ∫ 𝟓𝒆−𝟓𝒙 𝟐𝒆−𝟐(𝒘−𝒙) 𝒖(𝒙)𝒖(𝒘 − 𝒙)𝒅𝒙

−∞

𝒇(𝒘) = 𝟏𝟎 ∫ 𝒆−𝟓𝒙 𝒆−𝟐(𝒘−𝒙) 𝒖(𝒙)𝒖(𝒘 − 𝒙)𝒅𝒙

−∞

𝟏; 𝒙 > 0
𝒖(𝒙) = {
𝟎; 𝒙 < 0
 ∞

𝒇(𝒘) = 𝟏𝟎 ∫ 𝒆−𝟓𝒙 𝒆−𝟐(𝒘−𝒙) 𝒖(𝒘 − 𝒙)𝒅𝒙

𝟎

𝟏; 𝒘 − 𝒙 > 0
𝒖(𝒘 − 𝒙) = {
𝟎; 𝒘 − 𝒙 < 0
𝟏; 𝒘 > 𝑥
𝒖(𝒘 − 𝒙) = {
𝟎; 𝒘 < 𝑥
𝟏; 𝒙 < 𝑤
𝒖(𝒘 − 𝒙) = {
𝟎; 𝒙 > 𝑤
𝒘 𝒘
−𝟓𝒙
𝒇(𝒘) = 𝟏𝟎 ∫ 𝒆 𝒇(𝒘) = 𝟏𝟎 ∫ 𝒆−𝟓𝒙+𝟐𝒙 𝒆−𝟐𝒘 𝒅𝒙
𝟎 𝟎

𝒇(𝒘) = 𝟏𝟎𝒆−𝟐𝒘 ∫ 𝒆−𝟑𝒙 𝒅𝒙

𝟎

𝒘
−𝟐𝒘
𝒆−𝟑𝒙
𝒇(𝒘) = 𝟏𝟎𝒆 [ ]
−𝟑 𝟎

𝒆−𝟑𝒘 𝒆−𝟑∗𝟎
𝒇(𝒘) = 𝟏𝟎𝒆−𝟐𝒘 [− + ]
𝟑 𝟑

−𝟐𝒘 [
𝒆−𝟑𝒘 𝟏
𝒇(𝒘) = 𝟏𝟎𝒆 + ]
𝟑 𝟑

𝟏 − 𝒆−𝟑𝒘
𝒇(𝒘) = 𝟏𝟎𝒆−𝟐𝒘 [ ]
𝟑

36. Two Statistically Independent Random Variables X and Y have

respective density Functions

𝟏 −(𝒙−𝟏) 𝟏 𝒚−𝟑
𝒇(𝒙) = 𝒆 𝟐 [𝒖(𝒙 − 𝟏)] 𝒂𝒏𝒅 𝒇(𝒚) = 𝒆−( 𝟒 ) 𝒖(𝒚 − 𝟑)
𝟐 𝟒
Find the Density function of W=X+Y

SOLUTION:
Sum of Two Statistically Independent Random Variables X and Y resultant
density Function is
∞ ∞

𝒇(𝒘) = ∫ 𝒇(𝒙) 𝒇(𝒘 − 𝒙)𝒅𝒙 𝑶𝑹 𝒇(𝒘) = ∫ 𝒇(𝒚) 𝒇(𝒘 − 𝒚)𝒅𝒚

−∞ −∞

𝟏 −(𝐱−𝟏) 𝟏 𝐰−𝐱−𝟑
𝐟(𝐱) = 𝐞 𝟐 [𝐮(𝐱 − 𝟏)] 𝐚𝐧𝐝 𝐟(𝐰 − 𝐱) = 𝐞−( 𝟒 ) 𝐮(𝐰 − 𝐱 − 𝟑)
𝟐 𝟒
∞
𝟏 𝐱−𝟏 𝟏 𝐰−𝐱−𝟑
𝒇(𝒘) = ∫ 𝐞−( 𝟐 ) [𝐮(𝐱 − 𝟏)] 𝐞−( 𝟒 ) 𝐮(𝐰 − 𝐱 − 𝟑)𝒅𝒙
𝟐 𝟒
−∞

∞
𝟏 −(
𝐱−𝟏
) −(
𝐰−𝐱−𝟑
)
𝒇(𝒘) = ∫ 𝐞 𝟐 [𝐮(𝐱 − 𝟏)] 𝐞 𝟒 𝐮(𝐰 − 𝐱 − 𝟑)𝒅𝒙
𝟖
−∞

𝟏; 𝒙 − 𝟏 > 0
𝒖 ( 𝒙 − 𝟏) = {
𝟎; 𝒙 − 𝟏 < 0
𝟏; 𝒙 > 1
𝒖(𝒙 − 𝟏) = {
𝟎; 𝒙 < 1
∞
𝟏 𝐱−𝟏 𝐰−𝐱−𝟑
𝒇(𝒘) = ∫ 𝐞−( 𝟐 ) 𝐞−( 𝟒 ) 𝐮(𝐰 − 𝐱 − 𝟑)𝒅𝒙
𝟖
𝟏

𝟏; 𝒘 − 𝒙 − 𝟑 > 0
𝒖 ( 𝒘 − 𝒙 − 𝟑) = {
𝟎; 𝒘 − 𝒙 − 𝟑 < 0
𝟏; 𝒘 − 𝟑 > 𝑥
𝒖 ( 𝒘 − 𝒙 − 𝟑) = {
𝟎; 𝒘 − 𝟑 < 𝑥
𝟏; 𝒙 < 𝑤 − 𝟑
𝒖(𝒘 − 𝒙 − 𝟑) = {
𝟎; 𝒙 > 𝑤 − 𝟑
𝒘−𝟑
𝟏 𝐱−𝟏 𝐰−𝐱−𝟑
𝒇(𝒘) = ∫ 𝐞−( 𝟐 ) 𝐞−( 𝟒 ) 𝒅𝒙
𝟖
𝟏

𝐰 𝒘−𝟑
−( )
𝐞 𝟒 𝐱−𝟏 𝐱+𝟑
𝒇(𝒘) = ∫ 𝐞−( 𝟐
)
𝐞( )
𝟒 𝒅𝒙
𝟖
𝟏

𝐰 𝒘−𝟑
𝐞−( 𝟒 ) −𝐱+𝟏 𝐱+𝟑
𝒇(𝒘) = ∫ 𝐞( 𝟐 + 𝟒 ) 𝒅𝒙
𝟖
𝟏
 𝐰 𝒘−𝟑
𝐞−( 𝟒 ) −𝟐𝐱+𝟐+𝐱+𝟑
𝒇(𝒘) = ∫ 𝐞( 𝟒
)
𝒅𝒙
𝟖
𝟏

𝐰 𝒘−𝟑
𝐞−( 𝟒 ) −𝐱+𝟓
𝒇(𝒘) = ∫ 𝐞( 𝟒 ) 𝒅𝒙
𝟖
𝟏

𝐰 −𝐱+𝟓 𝒘−𝟑
𝐞−( 𝟒 ) 𝐞 𝟒 )
(
𝒇(𝒘) = [ ]
𝟖 𝟏
−𝟒
𝟏

𝐰
𝐞−( 𝟒 ) −𝐱+𝟓 𝒘−𝟑
[−𝟒𝐞 𝟒 ) ]
(
𝒇(𝒘) =
𝟖 𝟏

𝐰
𝐞−( 𝟒 ) −𝐰−𝟑+𝟓 −𝟏+𝟓
𝒇(𝒘) = [−𝟒𝐞( 𝟒 ) + 𝟒𝐞( 𝟒 ) ]
𝟖
𝐰
𝟒𝐞−( 𝟒 ) −𝐰+𝟐 𝟒
𝒇(𝒘) = [−𝐞( 𝟒 ) + 𝐞(𝟒) ]
𝟖
𝐰
𝐞−( 𝟒 ) −𝐰+𝟐
𝒇(𝒘) = [−𝐞( 𝟒 ) + 𝐞(𝟏) ]
𝟐
𝐰
𝐞−( 𝟒 ) (𝟏) (−𝐰+𝟐)
𝒇(𝒘) = [𝐞 −𝐞 𝟒 ]
𝟐

37. Two Statistically Independent Random Variables X and Y have

respective density Functions

𝟑 𝟏 𝒚
𝒇(𝒙) = 𝟑
[𝒖(𝒙 + 𝒂) − 𝒖(𝒙 − 𝒂)]𝒙𝟐 𝒂𝒏𝒅 𝒇(𝒚) = 𝒓𝒆𝒄𝒕 ( ) 𝒄𝒐𝒔(𝒚)
𝟐𝒂 𝟐 𝝅
Find the Density function of W=X+Y

SOLUTION:

Sum of Two Statistically Independent Random Variables X and Y resultant

density Function is
 ∞ ∞

𝒇(𝒘) = ∫ 𝒇(𝒙) 𝒇(𝒘 − 𝒙)𝒅𝒙 𝑶𝑹 𝒇(𝒘) = ∫ 𝒇(𝒚) 𝒇(𝒘 − 𝒚)𝒅𝒚

−∞ −∞

38.Two Statistically Independent Random Variables X and Y have

respective density Functions

𝟏 𝟑
𝒇(𝒚) = [𝒖(𝒚 + 𝟏) − 𝒖(𝒚 − 𝟏)] 𝒂𝒏𝒅 𝒇(𝒙) = (𝟒 − 𝒙𝟐 ); −𝟐 ≤ 𝒙 ≤ 𝟐
𝟐 𝟑𝟐
Find the Density function of W=X+Y

SOLUTION:

Sum of Two Statistically Independent Random Variables X and Y resultant

density Function is
∞ ∞

𝒇(𝒘) = ∫ 𝒇(𝒙) 𝒇(𝒘 − 𝒙)𝒅𝒙 𝑶𝑹 𝒇(𝒘) = ∫ 𝒇(𝒚) 𝒇(𝒘 − 𝒚)𝒅𝒚

−∞ −∞

𝟏 𝟑
𝒇(𝒘 − 𝒙) = [𝒖(𝒘 − 𝒙 + 𝟏) − 𝒖(𝒘 − 𝒙 − 𝟏)] 𝒂𝒏𝒅 𝒇(𝒙) = (𝟒 − 𝒙𝟐 ); −𝟐 ≤ 𝒙 ≤ 𝟐
𝟐 𝟑𝟐

∞
𝟑 𝟏
𝒇(𝒘) = ∫ (𝟒 − 𝒙𝟐 ) [𝒖(𝒘 − 𝒙 + 𝟏) − 𝒖(𝒘 − 𝒙 − 𝟏)]𝒅𝒙
𝟑𝟐 𝟐
−∞

∞
𝟑
𝒇(𝒘) = ∫ (𝟒 − 𝒙𝟐 ) [𝒖(𝒘 − 𝒙 + 𝟏) − 𝒖(𝒘 − 𝒙 − 𝟏)]𝒅𝒙
𝟔𝟒
−∞

∞ ∞
𝟑 𝟑
𝒇(𝒘) = ∫ (𝟒 − 𝒙𝟐 ) [𝒖(𝒘 − 𝒙 + 𝟏)]𝒅𝒙 − ∫ (𝟒 − 𝒙𝟐 ) [𝒖(𝒘 − 𝒙 − 𝟏)]𝒅𝒙
𝟔𝟒 𝟔𝟒
−∞ −∞
 𝟏; 𝒘 − 𝒙 + 𝟏 > 0
𝒖 ( 𝒘 − 𝒙 + 𝟏) = {
𝟎; 𝒘 − 𝒙 + 𝟏 < 0

𝟏; 𝒘 + 𝟏 > 𝒙
𝒖(𝒘 − 𝒙 + 𝟏) = {
𝟎; 𝒘 + 𝟏 < 𝒙

𝟏; 𝒙 < 𝒘 + 𝟏
𝒖(𝒘 − 𝒙 + 𝟏) = {
𝟎; 𝒙 > 𝒘 + 𝟏

𝟏; 𝒘 − 𝒙 − 𝟏 > 0
𝒖(𝒘 − 𝒙𝟏𝟏) = {
𝟎; 𝒘 − 𝒙 − 𝟏 < 0

𝟏; 𝒘 − 𝟏 > 𝒙
𝒖(𝒘 − 𝒙 + 𝟏) = {
𝟎; 𝒘 − 𝟏 < 𝒙

𝟏; 𝒙 < 𝒘 − 𝟏
𝒖(𝒘 − 𝒙 + 𝟏) = {
𝟎; 𝒙 > 𝒘 − 𝟏

𝒘+𝟏 𝒘−𝟏
𝟑 𝟑
𝒇(𝒘) = ∫ (𝟒 − 𝒙𝟐 ) 𝒅𝒙 − ∫ (𝟒 − 𝒙𝟐 ) 𝒅𝒙
𝟔𝟒 𝟔𝟒
𝟎 𝟎

𝒘+𝟏 𝒘−𝟏
𝟑 𝒙𝟑 𝟑 𝒙𝟑
𝒇(𝒘) = [𝟒𝒙 − ] − [𝟒𝒙 − ]
𝟔𝟒 𝟑 𝟎 𝟔𝟒 𝟑 𝟎

𝟑 ( 𝒘 + 𝟏) 𝟑 𝟎𝟑 𝟑 ( 𝒘 − 𝟏) 𝟑 𝟎𝟑
𝒇(𝒘) = [𝟒(𝒘 + 𝟏) − −𝟒∗𝟎+ ]− [𝟒(𝒘 − 𝟏) − −𝟒∗𝟎+ ]
𝟔𝟒 𝟑 𝟑 𝟔𝟒 𝟑 𝟑

𝟑 ( 𝒘 + 𝟏) 𝟑 𝟑 ( 𝒘 − 𝟏) 𝟑
𝒇(𝒘) = [𝟒(𝒘 + 𝟏) − ]− [𝟒(𝒘 − 𝟏) − ]
𝟔𝟒 𝟑 𝟔𝟒 𝟑
 𝟑 ( 𝒘 + 𝟏) 𝟑 ( 𝒘 − 𝟏) 𝟑
𝒇(𝒘) = [𝟒(𝒘 + 𝟏) − − 𝟒( 𝒘 − 𝟏) + ]
𝟔𝟒 𝟑 𝟑

𝟑 ( 𝒘 + 𝟏) 𝟑 ( 𝒘 − 𝟏) 𝟑
𝒇(𝒘) = [𝟒𝒘 + 𝟒 − − 𝟒𝒘 + 𝟒 + ]
𝟔𝟒 𝟑 𝟑

𝟑 ( 𝒘 + 𝟏) 𝟑 ( 𝒘 − 𝟏) 𝟑
𝒇(𝒘) = [𝟖 − + ]
𝟔𝟒 𝟑 𝟑

𝟑 𝟐𝟒 − 𝒘𝟑 − 𝟏 − 𝟐𝒘𝟐 − 𝟐𝒘
𝒇(𝒘) = [ ]
𝟔𝟒 𝟑

40. Two Random Variables X and Y have Joint Probability Density Function

𝟏
𝒇(𝒙, 𝒚) = {𝟐𝟒 ; 𝟎 < 𝒙 < 6,0 < 𝒚 < 4
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆

What is the expected value of the function g(x,y)=(xy) 2?

Solution:
∞ ∞

𝑬[𝒈(𝒙, 𝒚)] = ∫ ∫ 𝒈(𝒙, 𝒚)𝒇(𝒙, 𝒚) 𝒅𝒙𝒅𝒚

−∞ −∞

𝟔 𝟒
𝟏
𝑬[𝒈(𝒙, 𝒚)] = ∫ ∫ 𝒙𝒚 𝒅𝒙𝒅𝒚
𝟐𝟒
𝟎 𝟎

𝟔 𝟒
𝟏
𝑬[𝒈(𝒙, 𝒚)] = ∫ ∫ 𝒙𝒚 𝒅𝒙𝒅𝒚
𝟐𝟒
𝟎 𝟎

𝟔 𝟒
𝟏 𝒙𝟐 𝒚𝟐
𝑬[𝒈(𝒙, 𝒚)] = [ ] [ ]
𝟐𝟒 𝟐 𝟎 𝟐 𝟎

𝟏 (𝟔)𝟐 𝟎 (𝟒)𝟐 𝟎
𝑬[𝒈(𝒙, 𝒚)] = [ − ][ − ]
𝟐𝟒 𝟐 𝟐 𝟐 𝟐

𝟏 𝟑𝟔 𝟏𝟔
𝑬[𝒈(𝒙, 𝒚)] = [ ][ ]
𝟐𝟒 𝟐 𝟐
𝟑𝟔 ∗ 𝟏𝟔
𝑬[𝒈(𝒙, 𝒚)] =
𝟐𝟒 ∗ 𝟒
 𝑬[𝒈(𝒙, 𝒚)] = 𝟔

41.. Three Statistically Independent Random Variables X 1 X2 and X3 have mean

values ̅̅̅̅
𝑿𝟏 = 𝟑, ̅̅̅̅
𝑿𝟐 = 𝟔, ̅̅̅̅
𝑿𝟑 = −𝟐 Find the mean value of the following functions
a)g(X1,X2,X3)= X1+3X2+4X3 b) g(X1,X2,X3)= X1X2X3 c) g(X1,X2,X3)= -2X1X2- 3X1X3+
4X2X3 d) g(X1,X2,X3)= X1+X2+X3

Solution:

a.g(X1,X2,X3)= X1+3X2+4X3

b) g(X1,X2,X3)= X1X2X3

c) g(X1,X2,X3)= -2X1X2- 3X1X3+ 4X2X3

d) g(X1,X2,X3)= X1+X2+X3

42. Two Statistically Independent Random Variables X and Y have Mean

Value𝑿 ̅ = 𝑬[𝑿] = 𝟐 and 𝒀̅ = 𝑬[𝒀] = 𝟒. They have Second Moment ̅̅̅̅
𝑿𝟐 = 𝑬[𝑿𝟐 ] = 𝟖 and
̅𝒀̅̅𝟐̅ = 𝑬[𝒀𝟐 ] = 𝟐𝟓 Find the Mean Value , Second Moment and Variance of W =3X –Y

Solution: Given

̅ = 𝑬[𝒀] = 𝟒. Second Moment ̅̅̅̅

̅ = 𝑬[𝑿] = 𝟐 and 𝒀
𝑿 𝑿𝟐 = 𝑬[𝑿𝟐 ] = 𝟖 and ̅𝒀̅̅𝟐̅ = 𝑬[𝒀𝟐 ] = 𝟐𝟓

If X and Y are Statistically Independent Random Variables

𝑹𝑿𝒀 = 𝑬[𝑿𝒀] = 𝑬[𝑿]𝑬[𝒀] = 𝟐 ∗ 𝟒 = 𝟖

𝐄[𝐖] = [𝟑𝐗 – 𝐘] = 𝐄[𝟑𝐗] − 𝐄[𝐘] = 𝟑𝐄[𝐗] − 𝐄[𝐘] = 𝟑 ∗ 𝟐 − 𝟒 = 𝟔 − 𝟒 = 𝟐

𝐄[𝐖 𝟐 ] = 𝐄[(𝟑𝐗 – 𝐘)𝟐 ] = 𝐄[𝟗𝐗 𝟐 + 𝐘 𝟐 − 𝟔𝐗𝐘] = 𝟗𝐄[𝐗 𝟐 ] + 𝐄[𝐘 𝟐 ] − 𝟔𝐄[𝐗𝐘]

 𝐄[𝐖 𝟐 ] = 𝟗 ∗ 𝟖 + 𝟐𝟓 − 𝟔 ∗ 𝟐 ∗ 𝟒 = 𝟕𝟐 + 𝟐𝟓 − 𝟒𝟖 = 𝟒𝟗

𝝈𝟐𝑾 = 𝑬[𝑾𝟐 ] − (𝑬[𝑾])𝟐 = 𝟒𝟗 − (𝟐)𝟐 = 𝟒𝟗 − 𝟒 = 𝟒𝟓

43. Two Random Variables X and Y have Mean Value𝑿̅ = 𝑬[𝑿] = 𝟏 and 𝒀
̅ = 𝑬[𝒀] = 𝟐.
They have Variance of X 𝝈𝟐𝒙 = 𝟒 Variance of Y 𝝈𝟐𝒚 = 𝟏 and correlation
coefficient𝝆𝒙𝒚 = 𝟎. 𝟒.New Random Variables W =X +3Y and V=-X+2Y. Find the
Mean Value , Second Moment ,Variance , Correlation ,Correlation Coefficient of
W and V

SOLUTION:

𝐄[𝐖] = [𝐗 + 𝟑𝐘] = 𝐄[𝐗] + 𝐄[𝟑𝐘] = 𝐄[𝐗] + 𝟑𝐄[𝐘] = 𝟏 + 𝟑 ∗ 𝟐 = 𝟏 + 𝟔 = 𝟕

𝝈𝟐𝑿 = 𝑬[𝑿𝟐 ] − (𝑬[𝑿])𝟐

𝟒 = 𝑬[𝑿𝟐 ] − (𝟏)𝟐

𝑬[𝑿𝟐 ] = 𝟒 + 𝟏 = 𝟓

𝝈𝟐𝒀 = 𝑬[𝒀𝟐 ] − (𝑬[𝒀])𝟐

𝟒 = 𝑬[𝒀𝟐 ] − (𝟏)𝟐

𝑬[𝒀𝟐 ] = 𝟒 + 𝟏 = 𝟓
𝝁𝟏𝟏
𝝆𝑿𝒀 =
√𝝁𝟐𝟎 𝝁𝟎𝟐

𝑹𝑿𝒀 = 𝝁𝟏𝟏 = 𝝆𝑿𝒀 √𝝁𝟐𝟎 𝝁𝟎𝟐 = 𝟎. 𝟒 ∗ √𝟒 ∗ 𝟏 = 𝟎. 𝟒 ∗ 𝟐 = 𝟎. 𝟖

𝐄[𝐕] = [−𝐗 + 𝟐𝐘] = 𝐄[−𝐗] + 𝐄[𝟐𝐘] = −𝐄[𝐗] + 𝟐𝐄[𝐘] = −𝟏 + 𝟐 ∗ 𝟐 = −𝟏 + 𝟒 = 𝟑

𝐄[𝐖 𝟐 ] = 𝐄[(𝐗 + 𝟑𝐘)𝟐 ] = 𝐄[𝐗 𝟐 + 𝟗𝐘 𝟐 − 𝟔𝐗𝐘] = 𝐄[𝐗 𝟐 ] + 𝟗𝐄[𝐘 𝟐 ] − 𝟔𝐄[𝐗𝐘]

𝐄[𝐗 𝟐 ] + 𝟗𝐄[𝐘 𝟐 ] − 𝟔𝐄[𝐗𝐘] = 𝟓 + 𝟗 ∗ 𝟓 − 𝟔 ∗ 𝟎. 𝟖 = 𝟓 + 𝟒𝟓 − 𝟒. 𝟖 = 𝟒𝟓. 𝟐

𝐄[𝐖 𝟐 ] = 𝟒𝟓. 𝟐
 𝐄[𝐕 𝟐 ] = 𝐄[(−𝐗 + 𝟐𝐘)𝟐 ] = 𝐄[𝐗 𝟐 + 𝟒𝐘 𝟐 − 𝟒𝐗𝐘] = 𝐄[𝐗 𝟐 ] + 𝟒𝐄[𝐘 𝟐 ] − 𝟒𝐄[𝐗𝐘]

𝐄[𝐗 𝟐 ] + 𝟒𝐄[𝐘 𝟐 ] − 𝟒𝐄[𝐗𝐘]=𝟓 + 𝟓 ∗ 𝟒 − 𝟒 ∗ 𝟎. 𝟖 = 𝟓 + 𝟐𝟎 − 𝟑. 𝟐 = 𝟐𝟏. 𝟖

𝝈𝟐𝑾 = 𝑬[𝑾𝟐 ] − (𝑬[𝑾])𝟐

𝝈𝟐𝑾 = 𝟒𝟓. 𝟐 − (𝟕)𝟐 = 𝟒𝟓. 𝟐 − 𝟒𝟗 = −𝟑. 𝟖

𝝈𝟐𝑽 = 𝑬[𝑽𝟐 ] − (𝑬[𝑽])𝟐

𝝈𝟐𝑽 = 𝟐𝟏. 𝟖 − (𝟑)𝟐 = 𝟐𝟏. 𝟖 − 𝟗 = 𝟏𝟏. 𝟖

𝑹𝑾𝑽 = 𝑬[𝑾𝑽] = 𝑬[(𝑿 + 𝟑𝒀)(−𝑿 + 𝟐𝒀)] = 𝑬[−𝑿𝟐 + 𝟐𝑿𝒀 − 𝟑𝑿𝒀 + 𝟔𝒀𝟐 ]

= 𝑬[−𝑿𝟐 ] + 𝑬[𝟐𝑿𝒀] − 𝑬[𝟑𝑿𝒀] + 𝑬[𝟔𝒀𝟐 ]

= −𝑬[𝑿𝟐 ] + 𝟐𝑬[𝑿𝒀] − 𝟑𝑬[𝑿𝒀] + 𝟔𝑬[𝒀𝟐 ]

= −𝑬[𝑿𝟐 ] + 𝟐𝑬[𝑿𝒀] − 𝟑𝑬[𝑿𝒀] + 𝟔𝑬[𝒀𝟐 ]

= −𝑬[𝑿𝟐 ] − 𝑬[𝑿𝒀] + 𝟔𝑬[𝒀𝟐 ]

= −𝟓 − 𝟎. 𝟖 + 𝟔 ∗ 𝟓 = −𝟓. 𝟖 + 𝟑𝟎 = 𝟑𝟒. 𝟐
𝝁𝑾𝑽
𝝆𝑾𝑽 =
√𝝈𝟐𝑾 𝝈𝟐𝑽

𝝁𝟏𝟏
𝝆𝑿𝒀 =
√𝝁𝟐𝟎 𝝁𝟎𝟐

𝟑𝟒. 𝟐
𝝆𝑿𝒀 =
√

45. Random Variables X and Y have Joint Probability Density Function

(𝒙 + 𝒚)𝟐
𝒇(𝒙, 𝒚) = ; −𝟏 < 𝒙 < 1 𝒂𝒏𝒅 − 𝟑 < 𝒚 < 3
𝟒𝟎

Find A) all second order moments of X and Y B) what is variance of X and Y C)

What Correlation Coefficient

46. Random Variables X and Y have Joint Probability Density Function

𝒙𝒚
; 𝟎 < 𝒙 < 2,0 < 𝒚 < 3
𝒇(𝒙, 𝒚) = { 𝟗
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆
Show that X and Y are Uncorrelated and Statistically Independent

47. Three Uncorrelated Random Variables X1 X2 and X3 have Mean 𝑿 ̅̅̅̅𝟏 ̅̅̅̅̅̅̅̅̅̅
= 𝟏, 𝑿𝟐 , =
−𝟑, ̅̅̅̅ 𝟐 𝟐 𝟐
𝑿𝟑 = 𝟏. 𝟓 and Second Moment 𝑬[𝑿𝟏 ] = 𝟐. 𝟓, 𝑬[𝑿𝟐 ] = 𝟏𝟏𝒂𝒏𝒅 𝑬[𝑿𝟑 ] = 𝟑. 𝟓 Let Y=X1-
2X2+3X3. Be a new random variables and Find Mean Value and Variance of Y

48.In a control systems a random voltage X is known to have a mean value -

2V,and Second Moments is 9v2.If the voltage X is amplified by an amplifier that
̅ , ̅𝒀̅̅𝟐̅, 𝝈𝟐𝒚 and Rxy
gives an output Y=-1.5X+2 Find 𝝈𝟐𝒙 , 𝒀

49. A Joint Probability Density Function is given as 𝒇(𝒙, 𝒚) =

𝒙(𝒚 + 𝟏. 𝟓); 𝟎 < 𝒙 < 1,0 < 𝒚 < 1
{ .Find all the joint moments
𝟎; 𝒆𝒍𝒔𝒆𝒘𝒉𝒆𝒓𝒆

50. Let X and Y Statistically Independent Random Variables 𝑿 ̅ = 𝑬[𝑿] = 𝟏 and𝒀

̅=
𝟒
𝑬[𝒀] = 𝟏. ̅̅̅̅
𝑿𝟐 = 𝑬[𝑿𝟐 ] = 𝟒 and ̅𝒀̅̅𝟐̅ = 𝑬[𝒀𝟐 ] = 𝟓,For a random variables W = X-2Y+1.Find
𝑹𝒙𝒚 𝑹𝒙𝒘 𝑹𝒚𝒘 𝒂𝒏𝒅 𝑪𝒙𝒚,Are X and Y are uncorrelated?

̅ = −𝟏, ̅̅̅̅
̅ = 𝟎, 𝒀
51. Two Random Variables X and Y are defined by 𝑿 𝑿𝟐 = 𝟐, ̅𝒀̅̅𝟐̅ =
𝟒 & 𝑹𝒙𝒚 = −𝟐, Two Random Variables W and U are W=2X+Y,U=-X-3Y, Find
̅𝑾 ̅ ̅̅̅̅̅̅
̅̅, 𝑼 ̅̅̅̅𝟐 , 𝑹 𝝈𝟐 𝝈𝟐
, 𝑾𝟐 , 𝑼
𝒘𝒖 𝒙, 𝒚

52. Statistically Independent Random Variables X and Y have Moments 𝒎𝟏𝟎 =

𝟐, 𝒎𝟐𝟎 = 𝟏𝟒, 𝒎𝟎𝟐 = 𝟏𝟐 𝒂𝒏𝒅 𝒎𝟏𝟏 = −𝟔 . 𝑭𝒊𝒏𝒅 𝑴𝒐𝒎𝒆𝒏𝒕 𝝁𝟏𝟏

̅ = 𝟏, 𝒀
53. For Random Variables X and Y are defined by 𝑿 ̅ = 𝟐, 𝝈𝟐𝒙 = 𝟔, 𝝈𝟐𝒚 = 𝟗 𝒂𝒏𝒅 𝝆 =
𝟐
−𝟑

Find a)the covariance of X and Y b) the correlation X and Y c) the moments

m20,m02

54. Statistically Independent Random Variables X and Y have respective mean

̅ = 𝟏 and 𝒀
𝑿 ̅ = −𝟏 and their second moments are ̅̅̅̅ 𝟏𝟏
𝑿𝟐 = 𝟒 ̅𝒀̅̅𝟐̅ = 𝟒 Another Random
𝟐
̅̅̅̅ 𝒂𝒏𝒅 𝑹𝑿𝒀
Variables is defined as W = 3X2+2Y+1.Find 𝝈𝟐𝒙 , 𝝈𝟐𝒚 , 𝑹𝑿𝒀 , 𝑪𝑿𝒀 , 𝑾

̅ = 𝟏 , ̅̅̅̅
55. 𝑿
𝟓
̅ = 𝟐 , ̅𝒀̅̅𝟐̅ = 𝟏𝟗 𝒂𝒏𝒅 𝑪𝑿𝒀 = −𝟏 For Random Variables X and Y Find
𝑿𝟐 = 𝟐 𝒀
𝟐 𝟓 𝟐 𝟐√𝟑
𝝈𝟐𝒙 , 𝝈𝟐𝒚 , 𝑹𝑿𝒀 𝒂𝒏𝒅 𝝆. What is the mean value of the random variable? 𝑾 = (𝑿 + 𝟑𝒀)𝟐 +
𝟐𝑿 + 𝟑?