Midterm Examination II

STA 711: Probability & Measure Theory

Wednesday, 2016 Nov 16, 1:25 { 2:40pm

This is a losed-book exam. You may use a single sheet of

prepared notes, if you wish, but you may not share materials.
If a question seems ambiguous or onfusing, please ask me to
larify it. Unless a problem states otherwise, you must show
your work. There are blank worksheets at the end of the test
if you need more room for this, and also a pdf/pmf sheet.
It is to your advantage to write your solutions as learly as
possible, and to box answers I might not nd.
For full redit, answers must be given in losed form with
no unevaluated sums, integrals, maxima, unredu ed fra tions.
Wherever possible, Simplify.

Good lu k!

Print Name Clearly:

 1. /20

2. /20

3. /20

4. /20

5. /20

Total: /100
 STA 711: Prob & Meas Theory

Problem 1 : Let fXngn2N ind  Ex(n2 ) be independent exponentially-distributerd

randomPvariables that satisfy P[Xn > x℄ = exp( n2 x) for x > 0, and set
n
Sn := m=1 Xm .
a) (5) Does Sn onverge in L1 ? Yes No Why?

b) (5) Does Sn onverge in L2 ? Yes No Why?

) (5) Does Xn onverge in L1? Yes No Why?

d) (5) Does Xn onverge almost-surely? Yes No Why?

e) (XC) Does Sn onverge almost-surely? Yes No Why?

Fall 2016 1 Nov 16 1:25!2:40pm

 STA 711: Prob & Meas Theory

Problem 2 : Let ( ; F ; P) be = (0; 1℄ with the Borel sets and Lebesgue

measure, and let fUng iid
 Un(0; 1) be iid standard uniform random varaiables
on ( ; F ; P). In ea h part below, indi ate in whi h (if any) sense(s) the
sequen e fXng onverges to zero. No explanations are ne essary.
a) (5) Xn := 2n1f0<!4 n g : a :s : pr : L1 L2 L1

b) (5) :=
pn1
Xn fUn <1=n2 g : a :s : pr : L1 L2 L1

) (5) Xn := Un 1 1fUn<1=ng : a :s : pr : L1 L2 L1

d) (5) Xn := 1=(nUn): a :s : pr : L1 L2 L1

Fall 2016 2 Nov 16 1:25!2:40pm

 STA 711: Prob & Meas Theory

Problem 3 : Let fUig iid  Un(0; 1) be iid standard Uniform random vari-
1=4
ables, and set Xi := Ui . Show your work in nding:
a) (4) Show that the pdf for Xi is f (x) = 4x fx>1g :
51

b) (4) Find kXikp for every 0 < p  1.

kXikp =

P
) (4) Set Sn := in Xi . Find sequen es an and bn, if possible, so that
Sn
bn
an
) No(0; 1)
has approximately a standard Normal distribution for large n. Justify.
an = bn =

Fall 2016 3 Nov 16 1:25!2:40pm

 STA 711: Prob & Meas Theory

Problem 3 ( ont'd) : Still Xi := Ui 1=4 for fUig iid

 Un(0; 1).
P
d) (4) Set Tn := in Xi2 . Find sequen es n and dn, if possible, so that
Tn
dn
n
) No(0; 1)
has approximately a standard Normal distribution for large n. Justify.
n= dn =

e) (4) Find and justify the indi ated limits:

Sn Tn
lim
n!1 n
= lim
n!1 n
=

Fall 2016 4 Nov 16 1:25!2:40pm

 STA 711: Prob & Meas Theory

Problem 4 :  Un(0; 1℄, while

The random variables X; Y iid
V := 1fX 0:25g Z := 1fX Y 2 g

1.0 ...........
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=1
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0.5
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=1 =0
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0.0
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0.0 0.5 1.0

X
(and simplify!):
a) (4) Fill in1 the following table of probabilities: V =0 V =1
Z =0
Z =1

b) (6) E[Z j V ℄ =

1 Remember: Simplify, with no unredu ed fra tions

Fall 2016 5 Nov 16 1:25!2:40pm

 STA 711: Prob & Meas Theory

Problem 4 ( ont'd)  Un(0; 1℄, V := 1fX 0:25g , Z := 1fX Y g .

: Still X; Y iid 2

1.0 .....................................................

Z =1
.....................................................
...............................................
. . . . . ..... . . . . . . . . . .........
..........................................................
.....................................
...................................
..............................
.............................
.......................... Z =0
0.5
.............. .......
....................
Y ......... .........
. . . . ..... ...
................. ....
.......... ...
... ... ...

=0
....... ...
.... ....
....
.
...
V ...

V =1
Find:
. ...

0.0
..
. ....
.
.... ...
. .

0.0 0.5 1.0

X

) (5) E[X j V ℄ =

d) (5) E[Z j X ℄ =

Fall 2016 6 Nov 16 1:25!2:40pm

 STA 711: Prob & Meas Theory

Problem 5: True or false? Cir le one; ea h answer is worth 2 points. No

explanations are needed, but you an give one if you think a question seems
ambiguous or tri ky. All random variables are real on some ( ; F ; P).
a) T F If fX; Y; Z g are iid & positive then W := X +ZY +Z 2 L1 and
EW = 1=3.

b) T F If X has a ontinuous pdf with f (0) > 0 then 2

X = L1 .
1

) T F If fXng are iid and L1 with mean  = EXn then for some
> 0 and all  > 0 and n 2 N , P[(Xn ) > ℄  exp( n 2).

p
d) T F If kXnk2 ! 0 then also E jXnj ! 0.

e) TF For the Cau hy distribution, E[exp(i!X )℄ is in nite for all

! 2 R ex ept for ! = 0 be ause the Cau hy pdf has heavy tails.

f) T F If G  F and Y = E[X j G ℄ with X 2 L1 , then E[X ℄ = E[Y ℄.

g) T F If G  F and Y = E[X j G ℄ with X 2 L2 , then V[X ℄ = V[Y ℄.

 
h) T F Every h.f. (!) = E ei!X is ontinuously di erentiable.

i) T F X and ( X ) have the same distribution if and only if (8!)X (!) =

X ( !).

Qn
j) T F If fXig are iid with h.f. (!), then i=1 Xi has h.f. (!)n.

Fall 2016 7 Nov 16 1:25!2:40pm

Name: STA 711: Prob & Meas Theory

Blank Worksheet

Fall 2016 8 Nov 16 1:25!2:40pm

Name: STA 711: Prob & Meas Theory

Another Blank Worksheet

Fall 2016 9 Nov 16 1:25!2:40pm

 Name Notation pdf/pmf Range Mean  Varian e 2
Beta Be( ; ) f (x) = ( + )
( ) ( )x
1 (1 x) 1 x 2 (0; 1) + ( + )2 ( + +1)


Binomial Bi(n; p) f (x) = nx pxq(n x) x 2 0;


; n n p npq q
( =1 p)
Exponential Ex() f (x) =  e x x 2 R+ 1 = 1 =2
Gamma Ga( ; ) f (x) =  x
( )
1 e x x 2 R+ = =2
Geometri Ge(p) f (x) = p qx x 2 Z+ q=p q=p2 q
( =1 p)
f (y ) = p q y 1 y 2 f1; :::g 1 =p q=p2 ( y = x + 1)
A B )
HyperGeo. HG(n; A; B ) f (x) = ( x()( n x
A+B) x 2 0;


; n n P n P (1 P ) NN n
1 ( P = A
A+B )
n
(x )=
Logisti Lo(; )
e
f (x) = [1+e (x )= ℄2 x2R  2 2 =3


Log Normal LN(; 2 ) f (x) = xp212 e (log x )2 =22 x 2 R+ e+2 =2 e2+2 e2 1

Neg. Binom. NB( ; p) f (x) = x+ 1
p q x x 2 Z+ q=p q=p2 q

( =1 p)
x
f (y ) = y 1
p q y y 2 f ; :::g =p q=p2 ( y =x+ )
y
Normal No(; 2 ) f (x) = p 1 2 e (x )2 =22
2
x2R  2
 
Pareto Pa( ; ) f (x) = ( =)(1 + x=) 1 x 2 R+ 
1 (
2
1)2 ( 2)
 
f (y) =  =y +1 y 2 (; 1) 
1 (
2
1)2 ( 2) y = x + )
(

Poisson Po() f (x) = x e  x 2 Z+  

x!
 2
2(1 +2 2) 
1 +2 1 =2
Snede or F F (1 ; 2 ) f (x) = ( 2( 1)()1(=22))  x 2 R+ 2  2
2 2
2 2 2 2 1 (2 4)
1 2 h i 1 +2
x 2

1+  x 1 2
2
 +1 )
Student t t( ) f (x) = ( ( )p 2 2
 [1 + x = ℄
( +1)=2 x2R 0 =( 2)
2

Uniform Un(a; b) f (x) = 1

b a x 2 (a; b) a+b
2
(b a)2
12
We( ; 1e x x 2 R+ (1+ ) (1+2= ) 2 (1+1= )
1
Weibull ) f (x) = x 1 = 2=