Lista 3 - Probabilidade
Momento
1 Let (, F ) be a measure space and let
f0, f1, . . . be an infinite sequence of F -measurable
functions of . Show that the radius R of con-
vergence of the random power series
k=0 fk x is
an F -measurable function of .
Esperana
2 Mostre que para variveis aleatrias dis-
cretas,
EX = x k P(x = x k ), (1)
k=1
se a srie absolutamente convergente
3 D exemplos de variveis aleatrias X e Y
definas em [0, 1] com a medida de Lebesque tal
que P(X > Y ) > 1/2 , but E(X) < E(Y ).
4 Suponha que X1, X2, . . . uma sequncia
de variveis independentes em (, F, P). Mostre
que as duas famlias X1, X3, X5, . . . e X2, X4, X6, . . .
so independentes.
5 Deixe X1, X2, . . . serem v.a i.i.d. com m-
dia e varincia 2 e deixe ser uma varivel ale-
atria tomando valores nos inteiros com mdia m
e varincia v, com N independente de todas as
Xi . Deixe S = X1 + ... + XN = i=1 Xi 1N >i .
Calcule Var(S).
k
6 Prove a Desigualdade de Cauchy-Schwarz
For any two random variables X and Y, we have
p
|E XY | E[X 2 ]E[Y 2 ], (2)
where equality holds if and only if X = Y , for
some constant R.
7 Dados X e Z variveis aleatrias indepen-
dentes, cada uma seguindo a distribuio normal
padro, Deixe a, b R (no ambos nulos), e deixe
Y = aX + bZ
.
a) Compute Corr(X, Y ).
b) Mostre que |Corr(X, Y )| 1 nesse caso.
c) D condies necessrias e suficientes
sobre os valores de a e b para que
Corr(X, Y ) = 1.
d) D condies necessrias e suficientes so-
bre os valores de a e b tais que para que
Corr(X, Y ) = 1.
8 Dada uma varivel aleatria X, ento,
para todo  > 0, existe uma varivel aleatria
limitada X , tal que P(X , X ) < 
 9 (O problema do coletor de cupom)
Cada vez que se compra um saco de salgadinho,
obtm-se como um bnus uma figurinha (escon-
dida dentro da embalagem) de um jogador de fu-
tebol. Suponha que existam n imagens diferentes
que so igualmente susceptveis de estar dentro
de cada pacote.
Encontre o nmero esperado de pacotes para
comprar para obter uma coleo completa de jo-
gadores.
10 Considere a expanso didica de X
U(0, 1), e deixe ln ser o nmero de zeros conse-
cutivos do n-simo digito para frente. Ou seja
ln = k se os dgitos n, n + 1, . . . , n + k 1 so todos
zero. Em particular ln = 0 se o n-simo digito for
1.
a) Prove que P(ln = k) = 2k+1 1
para todo
k > 0.
b) Prove que P(ln = ki.v.) = 1 para todo k.
c) Prove que P(ln = 0i.v.) = 0 para todo k.
Distribuio
11 Random variables induce probability
measures on R
Let X be a random variable on a probability
space (, F , P). Prove that X induces a proba-
bility measure on R in the following sense. For
every Borel subset A of R, define
P(A) := P(X A) = P( : X() A).
Prove that (R, R, P) is a probability space.
12 Suppose that Y1, Y2, . . . is an infinite se-
quence of independent random variables, all de-
fined on the same probability space (, F , P), ta-
king the values 0 and 1 with probability 1/2 each.
Show that U := k
k=1 2 Yk is uniformly distribu-
ted on [0, 1]. Hint: show
x when x [0, 1];
P[U x] = 1 when x > 1;
0 when x < 0.
for all x R by analyzing P[Un x] as n
where Un := nk=1 2k Yk .
Suppose X and Y are two random variables, not
necessarily defined on the same probability space.
Y is said to be stochastically larger than X if
P[X x] P[Y x] for all x R.
13 Suppose X and Y are random variables
and that Y is stochastically larger than X. Show
there exists random variables X and Y defined
on a common probability space (, F , P) such
that X X, Y Y and X () Y () for
all .
4. Let X and X1, X2, . . . be random variables.
(a) Show by example that the following state-
ment is not true in general:
If Xn X in distribution then P(Xn
A) P(X A) for every Borel set A.
(Hint: consider the random variable Xn uniformly distri-
buted on n values 1/n, 2/n, . . . , n/n. Identify X.)
(b) Assume that the random variables Xn have
densities fn , and the random variable X has den-
sity f . Show by example that the following sta-
tement is not true in general:
If Xn X in distribution then fn (x)
f (x) for every x R.
(Hint: modify the example in (a) by including small in-
tervals around the values k/n.)
14 Let a be a real number and X1, X2, . . . be
random variables. Prove that Xn a in distri-
bution if and only if Xn a in probability. Here
we regard a as a random variable that takes the
value a with probability 1.