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    This document contains 5 homework problems about probability and statistics concepts: 1. Show that the expected value of a sum of random variables multiplied by constants is equal to the sum of the expected values of each random variable multiplied by its corresponding constant. 2. Show that the expected value of a discrete random variable X can be expressed as the sum from j=1 to infinity of the probability that X is greater than or equal to j. 3. Show that if a random variable X is degenerate, its variance is 0, and if a discrete random variable's variance is 0, then it is degenerate. 4. Show that the covariance of two linear combinations of random variables a+bX and

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    1 2 M 1 M 1 M M J J M J J

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    This document contains 5 homework problems about probability and statistics concepts: 1. Show that the expected value of a sum of random variables multiplied by constants is equal to the sum of the expected values of each random variable multiplied by its corresponding constant. 2. Show that the expected value of a discrete random variable X can be expressed as the sum from j=1 to infinity of the probability that X is greater than or equal to j. 3. Show that if a random variable X is degenerate, its variance is 0, and if a discrete random variable's variance is 0, then it is degenerate. 4. Show that the covariance of two linear combinations of random variables a+bX and

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    This document contains 5 homework problems about probability and statistics concepts: 1. Show that the expected value of a sum of random variables multiplied by constants is equal to the sum of the expected values of each random variable multiplied by its corresponding constant. 2. Show that the expected value of a discrete random variable X can be expressed as the sum from j=1 to infinity of the probability that X is greater than or equal to j. 3. Show that if a random variable X is degenerate, its variance is 0, and if a discrete random variable's variance is 0, then it is degenerate. 4. Show that the covariance of two linear combinations of random variables a+bX and

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    10 views1 page

    1 2 M 1 M 1 M M J J M J J

    Uploaded by

    S
    This document contains 5 homework problems about probability and statistics concepts: 1. Show that the expected value of a sum of random variables multiplied by constants is equal to the sum of the expected values of each random variable multiplied by its corresponding constant. 2. Show that the expected value of a discrete random variable X can be expressed as the sum from j=1 to infinity of the probability that X is greater than or equal to j. 3. Show that if a random variable X is degenerate, its variance is 0, and if a discrete random variable's variance is 0, then it is degenerate. 4. Show that the covariance of two linear combinations of random variables a+bX and

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    36-401/607 Section B (Wasserman), Fall 2017, HOMEWORK 1

    Due Friday, September 8 at 3:00


    To receive full credit, you must show all steps in your work.

    1. Suppose that X1 , X2 , . . . , Xm are discrete random variables with probability function p(x1 , . . . , xm ).
    Let a1 , . . . , am be constants. Show that
    m
    X  Xm
    E aj Xj = aj E[Xj ].
    j=1 j=1

    P
    2. Let X be a discrete random variable such that X ∈ {1, 2, . . .}. Show that E[X] = j P (X ≥ j).
    3. A random variable X is degenerate if there exists a number a such that P (X = a) = 1.
    (a) Show that, if X is degenerate, then Var(X) = 0.
    (b) Let X be discrete. Suppose that Var(X) = 0. Show that X is degenerate.

    4. Let X and Y be random variables. Show that

    Cov(a + bX, c + dY ) = bdCov(X, Y ).

    5. Let
    Y = 5X + 
    where  ∼ N (0, 1) and X ∼ Unif(−1, 1). Assume that X and  are independent.
    (a) Find the mean and variance of Y .
    (b) Find E[Y 2 ].
    (c) Find E[Y |X = x].
    (d) Find E[Y 3 ].
    (e) Find Cov(, 2 ). Are  and 2 independent?

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