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INDIAN INSTITUTE OF TECHNOLOGY BOMBAY

Department of Mathematics
SI 417 (Probability Theory)
Tutorial Sheet-IX

1. Let X and Y be discrete random variables such that P {|X − Y | ≤

M } = 1 for some M > 0. Show that if Y has finite mean, then X has
finite mean.

2. Let X be a non negative discrete random variable such that mean of

X is finite. Show that
∞
X
EX = P {X ≥ n} .
n=1

3. Let X be a geometrically distributed 1 random variable with parame-

ter p and M be a positive integer. Find E min{X, M }.

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4. Let X be Poisson with parameter λ. Find the mean of 1+X .

5. Give an example of discrete random variable infinite mean.

6. Give an example of a discrete random variable with finite mean but

with infinite variance.

7. Let X be a discrete random variable with finite second moment. Show

that it has finite mean.

8. Let X be a Binomial random variable with parameters n = 4, p = 21 .

Find E sin πX
2 .

9. Let X be a discrete random variable with pmf f and ϕ : R → R be a

function. Show that
X
E[ϕ ◦ X] = ϕ(x)f (x),
x∈D
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A random variable X is said be geometric with parameter 0 < p < 1 if its pmf is given
by f (x) = p(1 − p)x , x = 0, 1, . . .
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where D = {x ∈ D|P {X = x} > 0.

10. Let X be standard normal random variable. Find EX 2 .

11. Let X be exponentially distributed with parameter λ. Find the 4th

moment.

12. Let X be a nonnegative continuous random variable with finite mean.

Show that Z ∞
EX = P {X > t} dt .
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13. Let ϕ : R → R be a continuous bounded function and X be a random

variable with pdf f . Show that
Z 0
E[ϕ(X)I{X≤0} ] = ϕ(x)f (x)dx.
−∞

14. Let X and Y be independent and identically distributed exponential

random variables with parameter λ. Find the mean of max{X, Y }.

15. Let X, Y be random variables with joint pdf f . Without using the
theorem on computing E[ϕ(X, Y )] where ϕ is a continuous function,
show that Z ∞Z ∞
E[XY ] = xyf (x, y)dxdy.
−∞ −∞

16. Let X be Binomial (p). Find {an } where an = EX n , n ≥ 1.

17. Let X be Binomial (n, p) with EX = 1 and EX 2 = 2, find the pmf

of X.

18. Let X, Y has joint pdf


2 if 0 ≤ x ≤ y ≤ 1
f (x, y) =
7 if otherwise.

Find the covariance matrix of (X, Y ).