Section 4.2

Independence

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Problem 4.2.1

I am selling my house, and have decided to accept the first offer exceeding £K£ K. Assuming that offers are independent random variables with common distribution function FF, find the expected number of offers received before I sell the house.

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Problem 4.2.2

Let XX and YY be independent random variables with common distribution function FF and density function ff. Show that V=max⁡{X,Y}V = \max \left\{ X, Y\right\} has distribution function P(V≤x)=F(x)2\mathbb {P}\left(V \leq x\right) = F(x)^{2} and density function fV(x)=2f(x)F(x),x∈Rf_{V}(x) = 2 f(x) F(x), x \in \mathbb {R}. Find the density function of U=min⁡{X,Y}U = \min \left\{ X, Y\right\}.

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Problem 4.2.3

The annual rainfall figures in Bandrika are independent identically distributed continuous random variables {Xr:r≥1}\left\{ X_{r}: r \geq 1\right\}. Find the probability that:

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(a)

X1<X2<X3<X4X_{1} < X_{2} < X_{3} < X_{4},

(b)

X1>X2<X3<X4X_{1} > X_{2} < X_{3} < X_{4}.

Problem 4.2.4

Let {Xr:r≥1}\left\{ X_{r}: r \geq 1\right\} be independent and identically distributed with distribution function FF satisfying F(y)<1F(y) < 1 for all yy, and let Y(y)=min⁡{k:Xk>y}Y(y) = \min \left\{ k: X_{k} > y\right\}. Show that

lim⁡y→∞P(Y(y)≤E[Y(y)])=1−e−1 \lim _{y \rightarrow \infty } \mathbb {P}\left(Y(y) \leq \mathbb {E}\left[Y(y)\right]\right) = 1-e^{-1}
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Problem 4.2.5

Let Pi=(Xi,Yi),1≤i≤nP_{i} = \left(X_{i}, Y_{i}\right), 1 \leq i \leq n, be independent, uniformly distributed points in the unit square [0,1]2[0,1]^{2}. A point PiP_{i} is called peripheral if, for all r=1,2,…,nr = 1,2, \ldots , n, either Xr≤XiX_{r} \leq X_{i} or Yr≤YiY_{r} \leq Y_{i}, or both. Show that the mean number of peripheral points is n(34)n−1n\left(\frac{3}{4}\right)^{n-1}.

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Problem 4.2.6

Let UU and VV be independent and uniformly distributed on the interval [0,1][0,1].

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(a)

Show that

P(x<V<U2)=13−x+23x3/2,x∈[0,1) \mathbb {P}\left(x < V < U^{2}\right) = \frac{1}{3}-x+\frac{2}{3} x^{3 / 2}, \quad x \in [0,1)
(b)

Find the conditional density function of VV given U2>VU^{2} > V.

(c)

Find the probability that the equation x2+2Ux+V=0x^{2}+2 U x+V = 0 has two distinct real roots.

(d)

Given that the two roots R1R_{1} and R2R_{2} are real and distinct, find the probability that both roots have absolute value less than 1.

Problem 4.2.7
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(a)

We select nn points independently and uniformly at random on the perimeter of a circle. What is the probability that they all lie within some semicircle?

(b)

This time we place our nn points uniformly on the surface of a sphere in R3\mathbb {R}^{3}. Show that they all lie within some hemisphere with probability (n2−n+2)2−n\left(n^{2}-n+2\right) 2^{-n}