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STA 313
Some of these problems will be marked and posted on Crowdmark. Problem 1 Let X be a r.v. having a normal distribution, N (a, σ2) with the parameters EX = a and E(X − Ex)2 = σ2 > 0. Find P(X > a). Compute E (X −K)+, K > a. Problem 2 Let ξ1, ξ2, ξn be i.i.d. random variables having uniform distribution in the in- terval [0, 1]. Find the limit lim n→∞ (ξ1 · ξ2 · . . . · ξn)1/n . Solve this problem using Monte Carlo method and analytically, using the Law of Large Num- bers. Problem 3 Let ξ1, ξ2, . . . ξn be i.i.d. random variables with mean 0 and finite variance, 0 < σ2 <∞. Prove that n∑ k=1 ξk√ n∑ k=1 ξ2k → ξ in distribution as n→∞ , 1 where ξ is a random variable having standard normal distribution. Problem 4 Let X be a random variable, f and g are monotonically increasing, bounded functions. Prove that f(X) and g(X) are positively correlated. Hint: consider E [ (f(X)− f(X ′)) · (g(X)− g(X ′)) ] , where X and X ′ are i.i.d. Problem 5 (!) Let X and Y be r.v. such that EX2 < ∞ and EY 2 < ∞. Suppose E(X |Y ) = Y and E(Y |X) = X. Prove that Y = X with probability 1. Hint: compute E(X − Y )2 using conditioning on X and Y . Problem 6 Let X be a normal N (0, 1) r.v. i. Prove that P(X > t) ≤ 1√ 2pit exp ( −t 2 2 ) , t > 0. ii. Compute E[Φ(aX + b)], where, as usual, Φ(x) = 1√ 2pi ∫ x −∞ exp ( −t 2 2 ) dt, a, b ∈ R. Problem 7 Let X be a random variable having Poisson distribution with parameter λ > 0: P (X = k) = e−λ λk k ! , k = 0, 1, 2, . . . . Introduce a random variable Y such that Y = 0 if X is odd and Y = 1 if X is even. Find E[X |Y ]. Problem 8 (Wald’s Identity) Let Xk be i.i.d. random variables such that E[X1] = m < ∞. Denote Sn = ∑n k=1Xk. Let τ be an integer random variable independent of Xk. Prove that E [ τ∑ k=1 Xk ] = m · E[τ ]. Problem 9 Let Xn be i.i.d. with EXn = 0. Consider Sn = n∑ k=1 Xk. Let τ ≥ 1 be a random integer with finite mean, Eτ <∞. Prove that if σ2(Xn) <∞ then σ2(Sτ ) = σ 2(X1) · Eτ.