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Probability Concepts: 1.1 The Given Sets Are

1) The document defines several sets and their properties. It examines the relationships between sets using operations like union, intersection, difference, and complement. 2) Several probability concepts are introduced like sample space, events, independent and dependent events, conditional probability, total probability. Examples are provided to illustrate calculating probabilities of events. 3) Probability distributions like binomial, normal and uniform are discussed. Properties of these distributions like expected value and variance are defined. Methods to calculate probabilities are demonstrated for different distributions.

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0% found this document useful (0 votes)
58 views21 pages

Probability Concepts: 1.1 The Given Sets Are

1) The document defines several sets and their properties. It examines the relationships between sets using operations like union, intersection, difference, and complement. 2) Several probability concepts are introduced like sample space, events, independent and dependent events, conditional probability, total probability. Examples are provided to illustrate calculating probabilities of events. 3) Probability distributions like binomial, normal and uniform are discussed. Properties of these distributions like expected value and variance are defined. Methods to calculate probabilities are demonstrated for different distributions.

Uploaded by

Sudipta Ghosh
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Chapter 1

Probability Concepts


1.1 The given sets are:
A = {1,2,3,4} B = {0,1,2,3,4,5,6,7,8}
C = {x | x real and 1 x <3} D = {2,4,7} E = {4,7,8,9,10}.
We observe that:

A is finite and countable. D is finite and countable.
B is finite and countable. E is finite and countable.
C is infinite and uncountable.

1.2 By inspection,
(a) B AI = A = {1,2,3,4}.
(b) E D B A U U U = {1,2,3,4,5,6,7,8,9,10}.
(c) D E B I U ) ( = D = {2,4,7}.
(d) E B = {1,2,3,5,6}.
(e) E D B A I I I ={4}.
1.3 The universal set is U = {0,1,2,3,4,5,6,7,8,9,10,11,12}. The subsets are
A = {0,1,4,6,7,9}, B = {2,4,6,8,10,12} and C = {1,3,5,7,9,11}. By inspection,
(a) B AI = {4,6}. (b) ( B AU ) C I = C AI = {1,7,9}.

1
Signal Detection and Estimation
2
(c) C BU = {0}. (d) A B = {0,1,7,9}.
(e) ) ( ) ( C A B A U I U = ) ( C B A I U = A = {0,1,4,6,7,9}.
(f ) C AI = {0,4,6}. (g) B = C .
(h) C BI = B = {2,4,6,8,10,12}.

1.4 Applying the definitions, we have












U A
B
(a) B A (b) C B A I U ) (
U
A
B
C
U
A B
(e) AB
U
A B


C D

A
U
A d) (
D C B A c I I I ) (
Probability Concepts
3
1.5 This is easily verified by Venn diagrams. Hence, we have

B A and C B , then C A

1.6 By inspection, B and C are mutually exclusive.

1.7 Let R, W and B denote red ball drawn, white ball drawn and blue ball drawn,
respectively

(a) 5 . 0
2
1
7 3 10
10
balls of number Total
balls red of Number
) ( = =
+ +
= = R P .
(b) 15 . 0
20
3
) ( = = W P . (c) 35 . 0
20
7
) ( = = B P .
(d) 5 . 0
2
1
) ( 1 ) ( = = = R P R P . (e) 65 . 0
20
13
20
3 10
) ( = =
+
= W R P U .

1.8 Let B
1
first ball drawn is blue.
W
2
2
nd
ball drawn is white.
R
3
3
rd
ball drawn is red.

(a) The ball is replaced before the next draw the events are independent
and hence,
) | ( ) | ( ) ( ) (
2 1 3 1 2 1 3 2 1
W B R P B W P B P R W B P I I I =
) ( ) ( ) (
3 2 1
R P W P B P =
02625 . 0
8000
210
20
10
20
3
20
7
= = =
A
B
C
U
B C
A
B
10R , 3W,

7B
Signal Detection and Estimation
4
(b) Since the ball is not replaced, the sample size changes and thus, the
events are dependent. Hence,
) | ( ) | ( ) ( ) (
2 1 3 1 2 1 3 2 1
W B R P B W P B P R W B P I I I =
0307 . 0
18
10
19
3
20
7
= =
1.9

Let R
1
and R
2
denote draw a red ball from box B
1
and B
2
respectively, and let
W
1
and W
2
denote also draw a white ball from B
1
and B
2
.

(a) ) ( ) ( ) | ( ) ( ) (
2 1 1 2 1 2 1
R P R P R R P R P R R P = = I since the events are
independent. Hence,
111 . 0
9
1
9
2
20
10
) (
2 1
= = = R R P I .
(b) Similarly, 1 . 0
9
6
20
3
) ( ) ( ) (
2 1 2 1
= = = W P W P W W P I
(c) Since we can have a different color from each box separately, then
25 . 0
20
7
9
6
9
1
20
3
) ( ) ( ) (
1 2 2 1
= + = + = B W P B W P B W P I I I .
1.10 Let B
1
and B
2
denote Box 1 and 2 respectively. Let B denote drawing a black
ball and W a white ball. Then ,



10R , 3W

7B

2R , 6W

1B
B
1
B
2

4W , 2B

3W , 5B
B
1 B
2
Probability Concepts
5
Let B
2
be the larger box, then P(B
2
) = 2P(B
1
). Since 1 ) ( ) (
1 2
= + B P B P , we
obtain
3
2
) ( and
3
1
) (
2 1
= = B P B P .

(a) P(1B | B
2
) = 625 . 0
8
5
= .
(b) P(1B | B
1
) = 3333 . 0
6
2
= .
(c) This is the total probability of drawing a black ball. Hence
. 5278 . 0
3
1
6
2
3
2
8
5
) ( ) | 1 ( ) ( ) | 1 ( ) 1 (
1 1 2 2
= + =
+ =

B P B B P B P B B P B P

(d) Similarly, the probability of drawing a white ball is
. 4722 . 0
3
1
6
4
3
2
8
3
) ( ) | 1 ( ) ( ) | 1 ( ) 1 (
1 1 2 2
= + =
+ =

B P B W P B P B W P W P

1.11 In four tosses:__ __ __ __, we have three 1s and one is not 1. For example
1 111 . Hence, the probability is
6
5
6
1
6
5
6
1
6
1
6
1
3
|
.
|

\
|
= but we have
|
|
.
|

\
|
3
4
ways of
obtaining this. Therefore, the probability of obtaining 3 ones in 4 tosses is
01543 . 0
6
5
6
1
! 1 ! 3
! 4
3
= |
.
|

\
|
.

1.12 Let R, W and G represent drawing a red ball, a white ball, and a green ball
respectively. Note that the probability of selecting Urn A is P(Urn A) = 0.6, Urn B
is P(Urn B) = 0.2 and Urn C is P(Urn C) = 0.2 since
P(Urn A)+P(Urn B)+P(Urn C) =1.
(a) ( P 1W | Urn B) = 3 . 0
100
30
) (Urn
) Urn 1 (
= =
B P
B W P

I
.
(b) ( P 1G | Urn B) = 4 . 0
100
40
= .
(c) P(Urn C | R) =
) (
) (Urn
R P
R C P I
. Also,
Signal Detection and Estimation
6
P(R | Urn C) =
) (
) (Urn ) Urn | (
) | (Urn
) (Urn
(Urn
R P
C P C R P
R C P
C P
R C P
=
) I
.

We need to determine the total probability of drawing a red ball, which is
( ) ( ) ( ) 32 . 0 2 . 0
100
40
2 . 0
100
30
6 . 0
100
30
) (Urn ) Urn | ( ) (Urn ) Urn | ( ) (Urn ) Urn | ( ) (
= + + =
+ + =

C P C R P B P B R P A P A R P R P
Thus, 25 . 0
32 . 0
) 2 . 0 ( ) 4 . 0 (
) | (Urn = = R C P .
1.13 In drawing k balls, the probability that the sample drawn does not contain a
particular ball in the event E
i
, i = 0, 1,2, , 9, is

M
k
j i
k
i
E E P
E P
|
.
|

\
|
=
|
.
|

\
|
=
10
8
) (
10
9
) (

(a) P(A) = P(neither ball 0 nor ball1) = P(E
0
E
1
) =
k
k
10
8
.
(b) P(B) = P( ball 1 does not appear but ball 2 does)
=
k
k k
k
k
k
k
E E P E P
10
8 9
10
8
10
9
) ( ) (
2 1 1

= = .
(c) P(AB) = ) (
2 1 0
E E E P = = ) ( ) (
2 1 0 1 0
E E E P E E P
k
k k
k
k
k
k
10
7 8
10
7
10
8
= .
(d)
k
k k k
AB P B P A P B A P
10
7 8 9
) ( ) ( ) ( ) (
+
= + = U .

1.14 We have

<
+
=

0 , 0
0 , ) 3 (
2
1
2
1
) (
x
x x e
x f
x
X


Probability Concepts
7
(a)




= + = + = + =
0 0 0 0
1
2
1
2
1
) 3 (
2
1
2
1
)] 3 (
2
1
2
1
[ ) ( dx x dx e dx x e dx x f
x x
X
.
Hence, ) (x f
X
is a density function.

(a) P(X = 1) = 0 (the probability at a point of a continuous function is zero).
5 . 0
2
1
) 3 ( = = = X P .
( ) 6839 . 0 1
2
1
2
1
2
1
) ( ) 1 (
1
1 1
= + = + = =



e dx e dx x f X P
x
X
.
1.15

(a) The cumulative distribution function of X for all the range of x is,


+ = = =
x x
X X
x x du du u f x F
3
1 3 for
8
3
8
1
8
1
) ( ) ( ,
and

+ = +
x
x x du
1
1 1 for
2
1
4
1
4
1
4
1
,
and 3 1 for
8
5
8 8
1
4
3
1
+ = +

x
x
du
x
,
(1/2)
1/2
. . x
0 1 2 3
1/8
fX(x)
. . . . x
-3 -2 -1 0 1 2 3
1/4
fx(x)
Signal Detection and Estimation
8
and 3 for 1 ) ( = x x F
X
.
Thus,


(b) Calculating the area from the graph, we obtain
2
1
4
1
2 ) 1 ( = = < X P .

1.16 The density function is as shown


(a) 2 2 for
2
1
4
1
4
1
) ( ) (
2
< + = = =

x x du x F x X P
x
X

(b)
2
1
4
1
) 1 (
1
1
= =

dx X P
(c)
3
4
4
1
2 ] [ , 0 ] [
2
0
2 2 2
=
|
|
.
|

\
|
= = =

dx x X E X E
x
.
(d)

= =

2 sin
2
1
4
] [ ) (
2 2
j
e e
e E
j j
X j
x
.


3 , 1
3 1 ,
8
5
8
1
1 1 ,
2
1
4
1
1 3 ,
8
3
8
1
3 , 0

< +
< +
< +
<
x
x x
x x
x x
x
F
X
(x) =
fX(x)
x
-2 -1 0 2 1
1/4
Probability Concepts
9
1.17 The density function is shown below


(a) 75 . 0
4
3
) 2 (
2
3
2
1
2 / 3
1
1
2 / 1
= = + = |
.
|

\
|
< <

dx x xdx X P .

(b) 1 ) 2 ( ] [
2
1
1
0
2
= + =

xdx x dx x X E as can be seen from the graph.

(c) The MGF of X is
) 1 2 (
1
) 2 ( ] [ ) (
2
2
2
1
1
0
+ = + = =

t t tx tx tX
x
e te
t
dx e x xdx e e E t M .
(d)
3
2
4
2 2 2
0
2 ) 4 ( ) 1 ( 2 ) 1 2 ( 2 ) ( 2 ) (
t
t e t te
t
e te t e e t
dt
t dM
t t t t t t
t
x
+
=
+
=
=


Using L'hopital's rule, we obtain 1 ) 0 ( = = t M
x
.

1.18 (a)
4 2
) (
3
2
] [
1
0
2

+

= + = =

dx x x X E and
1
3
) ( ) (
1
0
2
=

+ = + =

+

dx x dx x f
x
.
Solving the 2 equations in 2 unknowns, we obtain

=
=
2
3 / 1

(b) 511 . 0
45
23
2
3
1
] [
1
0
2 2 2
= = |
.
|

\
|
+ =

dx x x X E .
Then, the variance of X is ( ) 667 . 0
45
3
] [ ] [
2 2 2
= = = X E X E
x
.
fX (x)
1
x
0 1/2 1 3/2 2
Signal Detection and Estimation
10
1.19 (a)

=
j i
j i j i
y x P y x XY E
,
) , ( ] [
0 ] 0 [
6
1
)] 1 )( 1 ( ) 1 )( 1 ( ) 1 )( 1 ( ) 1 )( 1 [(
12
1
= + + + + + + =
( )
3
1
12
4
1 and
3
1
6
2
0 ,
3
1
12
4
1
where, ) ( ] [
= = = = = = = = =
= =

) P(X ) P(X X P
x X P x X E
i
i i


Hence, the mean of X is 0
3
1
1
3
1
0
3
1
1 ] [ = |
.
|

\
|
+ |
.
|

\
|
+ |
.
|

\
|
= X E .
Similarly, 0
3
1
1
3
1
0
3
1
1 ] [ = |
.
|

\
|
+ |
.
|

\
|
+ |
.
|

\
|
= Y E . Therefore, ] [ ] [ ] [ Y E X E XY E = .

(b) We observe that
12
1
) 1 , 1 ( = = = Y X P
9
1
) 1 , 1 ( = = = Y X P , thus X
and Y are not independent.

1.20 (a)

+

+

= = + =
2
0
2
0
8
1
1 ) ( ) , ( k dxdy y x k dxdy y x f
XY
.
(b) The marginal density functions of X and Y are:

+ = + =
2
0
2 0 for
4
1
4
) (
8
1
) ( x
x
dy y x x f
X
.

+ = + =
2
0
2 0 for
4
1
4
) (
8
1
) ( y
y
dx y x y f
Y
.
(c) P(X < 1 | Y < 1)=
3
1
8 / 3
8 / 1
)
4
1
4
1
(
) (
8
1
1
0
1
0
1
0
= =
+
+


dy y
dxdy y x
.
(d) | | | |

= = + =
2
0
6
7
) 1 (
4
Y E dx x
x
X E .
Probability Concepts
11
To determine
xy
, we solve for
| |

= + =
2
0
2
0
3
4
) (
8
dxdy y x
xy
XY E .
6
11
Thus, .
3
5
] [ ] [
2 2
= = = =
y x
Y E X E and the correlation coefficient is
| | | | | |
0909 . 0
11
1
=

=
y x
Y E X E XY E
.
(e) We observe from (d) that X and Y are correlated and thus, they are not
independent.

1.21 (a)

+

+

= = =
4
0
5
1
96
1
1 ) , ( k dy dx kxy dxdy y x f
XY
.

(b)

= = =
2
0
5
3
09375 . 0
32
3
96
) 2 , 3 ( dxdy
xy
Y X P .

03906 . 0
128
5
96
) 3 2 , 2 1 (
3
2
2
1
= = = < < < <

dxdy
xy
Y X P .

(c)

=
< <
< < < <
= < < < <
3
2
) (
128 / 5
) 3 2 (
) 3 2 , 2 1 (
) 3 2 | 2 1 (
dy y f
Y P
Y X P
Y X P
Y
where,

< < = =
5
1
4 0
8 96
) ( y ,
y
dx
xy
y f
Y
. Therefore,
125 0
8
1
16 / 5
128 / 5
) 3 2 | 2 1 ( . Y X P = = = < < < <



(d) | |

= = = = =
5
1
5
1
444 . 3
9
31
12
) ( | dx
x
x dx x xf y Y X E
X
.



Signal Detection and Estimation
12
1.22 (a) We first find the constant k. Hence,

= =
2
1
3
1
6
1
1 k dy dx kxy

(b) The marginal densities of X and Y are

< < = =
2
1
3 1 for
4 6
1
) ( x
x
xydy x f
X

and

< < = =
3
1
2 1 for
3
2
6
1
) ( y y dy dx xy y f
Y
.
Since = = ) , (
6
1
) ( ) ( y x f xy y f x f
xy Y X
X and Y are independent.

1.23 We first determine the marginal densities functions of X and Y to obtain

= =
1
0
3 3
8 16
) (
x
dy
x
y
x f
X
for x > 2.
and

= =
2
3
2
16
) ( y dx
x
y
y f
Y
for 0 < y < 1.
Then, the mean of X is | |

= =
2
4 ) ( dx x xf X E
X
,
and the mean of Y is | |

= =
1
0
2
3
2
2 dy y Y E .



4792 . 0
48
23
6
1
) 3 (
2
1
3
1
= = = < +

y
xydxdy Y X P
y x = 3
1
y
x
2
1 2
3
3
Probability Concepts
13
1.24 We first find the constant of k of ) ( y f
Y
to be

= =
0
3
9 1 k dy kye
y
.
(a)
3 2
1
0
1
0
3 2
14 9 18 1 ) 1 ( 1 ) 1 (


= = + = > +

e e dxdy ye Y X P Y X P
y
y x
.

(b)


= = < <
1
2
1
7 5
4 4 ) , ( ) 1 , 2 1 ( e e dxdy y x f Y X P
XY
.
(c)


= = < <
2
1
4 2 2
2 ) 2 1 ( e e dx e X P
x
.
(d)


= =
1
3 3
4 9 ) 1 ( e dy ye Y P
y
.
(e)
5 2
3
7 5
4
4 4
) 1 (
) 1 , 2 1 (
) 1 | 2 1 (

< <
= < < e e
e
e e
Y P
Y X P
Y X P .

1.25 (a) Using ) (x f
X
, | | | |

+

= = = =
0
2
1 2 2 ) ( ) ( ) ( dx e x dx x f x g X g E Y E
x
X
.

(b) We use the transformation of random variables (the fundamental theorem)
to find the density function of Y to be
y
y
X Y
e e
y
f y f

= = |
.
|

\
|
=
2
2
2
2
1
2 2
1
) ( .
Then, the mean of Y is | |

= =
0
1 dy ye Y E
y
.
x + y = 1
y


1
x
0 1
Signal Detection and Estimation
14
Both results (a) and (b) agree.
1.26 (a) To find the constant k, we solve

+

+

= = =
3
0
3
81
8
1 ) , (
y
XY
k dy dx kxy dxdy y x f .
(b) The marginal density function of X is

= =
0
3
3 0 for
81
4
81
8
) ( x x xydy x f
X
.
(c) The marginal density function of Y is

= =
3
3
3 0 for ) 9 (
81
4
81
8
) (
y
Y
y y y xydx y f .
(d)


= = =
otherwise , 0
0 , 2
81
4
81
8
) (
) , (
) | (
2
3
|

x y
x
y
x
xy
x f
y x f
x y f
X
XY
X Y


and


= =
otherwise , 0
3 ,
9
2
) (
) , (
) | (
2
|
x y
y
x
y f
y x f
Y X f
Y
XY
Y X


1.27 The density function of Y X Z + = is the convolution of X and Y given by

+

= = dx x z f x f Y f x f z f
Y X Y X Z
) ( ) ( ) ( ) ( ) (

0 z - 4 z z-4 0 z
Probability Concepts
15

=
=

otherwize , 0
4 ,
4
) 1 (
4
1
4 0 ,
4
1
4
1
) (
4
4
0
z
e e
dx e
z
e
dx e
z f
z
x
z
z
z z
x
Z

1.28 The density function of Y X Z + = is

=
_
) ( ) ( ) ( dy y z f y f z f
X Y Z
.
Graphically, we have


Hence, we have


fY (y)
0 0.3 0.5 0.2 0 0 0
Z fZ (z)
z = 0 0.4 0.2 0.4 0 0 0 0 0 0 0 0
z = 1 0.4 0.2 0.4 0 0 0 0 0 0 0
z = 2 0.4 0.2 0.4 0 0 0 0 0 0.12
z = 3 0 0.4 0.2 0.4 0 0 0 0 0.26
z = 4 0 0.4 0.2 0.4 0 0 0 0.30
z = 5 0 0 0.4 0.2 0.4 0 0 0.24
z = 6 0 0 0 0.4 0.2 0.4 0 0.08
z = 7 0 0 0 0 0.4 0.2 0.4 0

x
0 1 2 3
0.4 0.4

0.2
fX(x)
y
0 1 2 3
0.5

0.3
0.2
fY(y)
x
-3 -2 -1 0
0.4 0.4

0.2
fX(-x)
Signal Detection and Estimation
16
The plot of ) (z f
Z
is

Note that

= + + + + =
i
i Z
z z f 0 . 1 08 . 0 24 . 0 3 . 0 26 . 0 12 . 0 ) ( as expected.

1.29 (a)

+
= = =
0
/
0
) (
0 for ) ( ) (
y z
y x
Z
z dxdy e z XY P z F XY Z .




= =

0 0 0
/
/
0
1 ) 1 ( dy e dy e e dy e dx e
y
z
y
y y z y
y z
x
.
Therefore,

= =


otherwise , 0
0 ,
1
) ( ) (
0
) (
0
z dy e
y
dy e
dz
d
z F
dz
d
z f
y
z
y
y
z
y
Z Z

.
(b)

+

= + = dy y z f y f z f Y X Z
X Y Z
) ( ) ( ) (


=
z
y z y
dy e e
0
) (


=

otherwise , 0
0 , z ze
z


1.30 The density function of XY Z = is

+

< < = = =
1
1 0 for ln
1
) , (
1
) (
z
XY Z
z z dy
y
dy y
y
z
f
y
z f .
z
0 1 2 3 4 5 6 7
0.3
0.26 0.24
0.12 0.08
0 0

fZ(z)
0 z
Probability Concepts
17
1.31 (a) The marginal density function of X is

=
0
0 for ) ( x e dy e x f
x x
X
.
(b) The marginal density function of Y is

=
0
0 for
1
) ( y dx e y f
x
Y
.
(c) Since = ) , ( ) ( ) ( y x f y f x f
XY Y X
X and Y are statistically independent.
(d)

+

= = + = dy y z f y f y f x f z f Y X Z
X Y Y X Z
) ( ) ( ) ( ) ( ) ( .







y

1

x
e

x

) (x f
X
( ) y f
Y

For < y 0

z- 0 z
( )

=
z
z x
Z
e dx e z f
0
1
1
) (
Signal Detection and Estimation
18











Then,


1.32 ( ) ) ( ) ( ) (
z
x
Y P yz X P z
Y
X
P z Z P z F
Y
X
Z
Z
= = |
.
|

\
|
= = =
0 ,
1
1
1
0 /

> |
.
|

\
|
+ = =




z
z

dxdy e e
z x
y x

Hence, the density function is

<
>
|
.
|

\
|

= =
0 0
0
1
) ( ) (
2
z ,
z ,
z z F
dz
d
z f
Z Z


1.33 (a) Solving the integral

= =
2
1
3
1
2 1 2 1
6
1
1 k dx dx x kx .

(b) The Jacobian of the transformation is

( )

e 1
1

) (z f
z
z
0
0 z- z

For < y
( )
| |

=
z
z
z z x
Z
e e dx e z f
1
) (
Probability Concepts
19
. 2
2
0 1
) , (
2 1
2 1
2
1
2
2
1
2
2
1
1
1
2 1
x x
x x x

x
y
x
y
x
y
x
y
x x J = =

=



Hence,


= =
otherwise , 0
,
12
1
) , (
) , (
) , (
2 1
2 1
2 1
2 1
2 1
2 1

D ,x x
x x J
x x f
Y Y f
X X
Y Y



where D is the domain of definition.


Side 1 :
2
2 2 1 1
1 x y x y = = = , then . 4 1
4 2
1 1
2
2 2
2 2

= =
= =
y
y x
y x


Side 2 :
2
2 2 1 1
3 3 x y x y = = = , then . 12 3
12 2
3 1
2
2 2
2 2

= =
= =
y
y x
y x


Side 3 :
1 1 2 2
4 4 2 y x y x = = = , then

= =
= =
. 12 3
4 1
2 1
2 1
y x
y x


Side 4 :
1 1 2 2
1 y x y x = = = .

Therefore, D is as shown below
x2


3
1 1
x y =
2
2
2 1 2
x x y =
1 2
1
4
x1
0 1 2 3
Signal Detection and Estimation
20


1.34 (a) The marginal density functions of X
1
and X
2
are

+


+

>
= =
0 , 0
0 ,
) (
1
1
2
) ( 2
1
1
2 1
1
x
x e
dx e x f
x
x x
X


and

+


+

>
= =
0 , 0
0 ,
) (
2
2
1
) ( 2
2
2
2 1
2
x
x e
dx e x f
x
x x
X


Since = ) ( ) ( ) , (
2 1 2 1
2 1 2 1
x f x f x x f
X X X X
X
1
and X
2
are independent.
(b) The joint density function of ) , (
2 1
Y Y is given by
( )

=
. ,
D ,x x ,
x x J
x x f
y y f f
X X
Y Y
otherwise 0
,
) , (
) , (
2 1
2 1
2 1
2 1
2 1
2 1



The Jacobian of the transformation is given by
D
+ + + y
1

1 2 3
12 +
+
+
+
+
+
+
4 +
3

1
2
y
Probability Concepts
21
.
1
1
1 1
) , (
2
2
2
1
2
1
2
2
2
1
2
2
1
1
1
2 1
x
x
x
x
x

x

x
y
x
y
x
y
x
y
x x J =

=



Hence,
2
2
2
1
) ( 2
2 1
1
) , (
2 1
2 1
x
x
x
e
y y f
x x
Y Y

=
+
, but
2 1 1
x x y + = and
2 2 1
2
1
2
x y x
x
x
y = = .
Thus, . ) , (
2 1
2
1 2
2 1
1
2 1
x x
x
e y y f
y
Y Y
+
=

Also,
2 2 1 1 1 2
x y y x y x = =
) 1 (
2 1 2
y y x + = .
Making the respective substitutions, we obtain
2
2
1 2
1
2
2
2
1
2
2 1
) 1 (
) 1 (
) , (
1 1
2 1
y
y
e
y
y
y
e y y f
y y
Y Y
+
=
+
=

for 0
1
> y and 0
2
> y .

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