NCKU IIM Stochastic Process

Homework #1
This assignment has five problems and will be graded out of 100 points. Please show all work (or
hand in computer printouts if you use Excel/Maple/etc. to do calculations) in order to receive full
credit.

PROBLEM 1:
A random variable Y has the following density function:

 0 , a<0
3 2 1
fY ( a ) =  a + ,0 ≤ a ≤ 2
16 4
, 2<a
 0

Answer the following question about this random variable.

PROBLEM 2:
Two light bulbs, one from brand A and the other from brand B, are bought. The lifetimes of the
bulbs are exponentially distributed with means respectively equal to 800 and 1000 hours. What is
the probability that the bulb from brand B fails first?
[HINT: Use the continuous version of the law of total probability: if X and Y are random variables
and Y has density f , then for any a we have

P( X ≤ a ) = ∫ P( X ≤ a | Y = s ) f ( s )ds. ]

PROBLEM 3:
Suppose we roll two six-sided dice. Let L be the larger value of the two and S be the smaller value.
(a) What is the probability that L = 5 given that S = 3?
(b) What is the probability that S = 3?
(c) For each k = 1 , 2 , 3 , 4 , 5 , 6 , what is E[ L | S = k] ?
(d) Using your answers from part c, calculate E[L].
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(Note that by the law of total probability E[L]= ∑ E [L | S=k]P(S = k) )
k =1

HINT: You might find it helpful to write out all of the possibilities that come from rolling two
six-sided dice.

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PROBLEM 4:
Write an algorithm involving the function random ( ) to generate values from each distribution.
In each case, what value is generated if random ( ) returns the values 0.1 , 0.5 and 0.9 ?
(a) The uniform distribution on the interval [α , β ]
 0 , a <α
 a − α
F (a) =  , α ≤a≤β
β −α , β <a
 1
Use α = 0 and β = 4
(b) The Weibull distribution with scale parameter α > 0 and shape parameter β > 0
(when α = 1 this is the exponential distribution)

 0 , a≤0
F (a ) =  − ( a )α
β
1 − e , 0<a
1
Use α = and 2, and β = 1 .
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(c) A discrete distribution
 0 , a <1
 0.3 , 1≤ a < 2

 0.4 , 2≤a<3
F (a) = 
 0.7 , 3≤ a < 4
0.95 , 4≤a<6

 1 , 6≤a

PROBLEM 5:
A machine produces components that are either acceptable or defective. From the observation of
100 pairs of components produced in sequence, the following data were collected:

second component
acceptable defective
first component
acceptable 75 5
defective 10 10

Let X1 represent the first component and X2 represent the second component where a value of 0
corresponds to an acceptable component and a value of 1 corresponds to a defective component.
Estimate a joint distribution for these two random variables; then answer the following question:
(a) What is the probability that the second component will be defective if the first
component is not defective? What is the probability that the second component will be
defective if the first component is defective? Are X1 and X2 dependent?

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(b) If we make a profit of $100 for each acceptable component but lose $20 for each
defective component produced, what is the expected profit for the second component
given that the first component was defective? What does this suggest that we should do
whenever we observe a defective component?