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# Chapter 9. Independent Classes of Random Variables

## 9.1. Independent Classes of Random Variables*

### Introduction

The concept of independence for classes of events is developed in terms of a product rule. In this unit, we extend the concept to classes of random variables.

### Independent pairs

Recall that for a random variable X, the inverse image X–1(M) (i.e., the set of all outcomes ωΩ which are mapped into M by X) is an event for each reasonable subset M on the real line. Similarly, the inverse image Y–1(N) is an event determined by random variable Y for each reasonable set N. We extend the notion of independence to a pair of random variables by requiring independence of the events they determine. More precisely,

Definition

A pair {X,Y} of random variables is (stochastically) independent iff each pair of events is independent.

This condition may be stated in terms of the product rule

(9.1)

Independence implies

(9.2)
(9.3)

Note that the product rule on the distribution function is equivalent to the condition the product rule holds for the inverse images of a special class of sets {M,N} of the form M=(–∞,t] and N=(–∞,u]. An important theorem from measure theory ensures that if the product rule holds for this special class it holds for the general class of {M,N}. Thus we may assert

The pair is independent iff the following product rule holds

(9.4)
Example 9.1An independent pair

Suppose . Taking limits shows

(9.5)

so that the product rule holds. The pair is therefore independent.

If there is a joint density function, then the relationship to the joint distribution function makes it clear that the pair is independent iff the product rule holds for the density. That is, the pair is independent iff

(9.6)
Example 9.2Joint uniform distribution on a rectangle

Suppose the joint probability mass distributions induced by the pair is uniform on a rectangle with sides and . Since the area is (ba)(dc), the constant value of fXY is 1/(ba)(dc). Simple integration gives

(9.7)
(9.8)

Thus it follows that X is uniform on , Y is uniform on , and for all t,u, so that the pair is independent. The converse is also true: if the pair is independent with X uniform on and Y is uniform on , the the pair has uniform joint distribution on I1×I2.

### The joint mass distribution

It should be apparent that the independence condition puts restrictions on the character of the joint mass distribution on the plane. In order to describe this more succinctly, we employ the following terminology.

Definition

If M is a subset of the horizontal axis and N is a subset of the vertical axis, then the cartesian product M×N is the (generalized) rectangle consisting of those points on the plane such that tM and uN.

Example 9.3Rectangle with interval sides

The rectangle in Example 9.2 is the Cartesian product I1×I2, consisting of all those points such that atb and cud (i.e., tI1 and uI2).

We restate the product rule for independence in terms of cartesian product sets.

(9.9)

Reference to Figure 9.1 illustrates the basic pattern. If M, N are intervals on the horizontal and vertical axes, respectively, then the rectangle M×N is the intersection of the vertical strip meeting the horizontal axis in M with the horizontal strip meeting the vertical axis in N. The probability XM is the portion of the joint probability mass in the vertical strip; the probability YN is the part of the joint probability in the horizontal strip. The probability in the rectangle is the product of these marginal probabilities.

This suggests a useful test for nonindependence which we call the rectangle test. We illustrate with a simple example.

Example 9.4The rectangle test for nonindependence

Supose probability mass is uniformly distributed over the square with vertices at (1,0), (2,1), (1,2), (0,1). It is evident from Figure 9.2 that a value of X determines the possible values of Y and vice versa, so that we would not expect independence of the pair. To establish this, consider the small rectangle M×N shown on the figure. There is no probability mass in the region. Yet P(XM)>0 and P(YN)>0, so that

, but . The product rule fails; hence the pair cannot be stochastically independent.

Remark. There are nonindependent cases for which this test does not work. And it does not provide a test for independence. In spite of these limitations, it is frequently useful. Because of the information contained in the independence condition, in many cases the complete joint and marginal distributions may be obtained with appropriate partial information. The following is a simple example.

Example 9.5Joint and marginal probabilities from partial information

Suppose the pair is independent and each has three possible values. The following four items of information are available.

(9.10)
(9.11)

These values are shown in bold type on Figure 9.3. A combination of the product rule and the fact that the total probability mass is one are used to calculate each of the marginal and joint probabilities. For example and

implies . Then

. Others are calculated similarly. There is no unique procedure for solution. And it has not seemed useful to develop MATLAB procedures to accomplish this.

Example 9.6The joint normal distribution

A pair has the joint normal distribution iff the joint density is

(9.12)

where

(9.13)

The marginal densities are obtained with the aid of some algebraic tricks to integrate the joint density. The result is that and . If the parameter ρ is set to zero, the result is

(9.14)

so that the pair is independent iff ρ=0. The details are left as an exercise for the interested reader.

Remark. While it is true that every independent pair of normally distributed random variables is joint normal, not every pair of normally distributed random variables has the joint normal distribution.

Example 9.7A normal pair not joint normally distributed

We start with the distribution for a joint normal pair and derive a joint distribution for a normal pair which is not joint normal. The function

(9.15)

is the joint normal density for an independent pair (ρ=0) of standardized normal random variables. Now define the joint density for a pair by

(9.16)

Both and . However, they cannot be joint normal, since the joint normal distribution is positive for all .

### Independent classes

Since independence of random variables is independence of the events determined by the random variables, extension to general classes is simple and immediate.

Definition

A class of random variables is (stochastically) independent iff the product rule holds for every finite subclass of two or more.

Remark. The index set J in the definition may be finite or infinite.

For a finite class , independence is equivalent to the product rule

(9.17)

Since we may obtain the joint distribution function for any finite subclass by letting the arguments for the others be (i.e., by taking the limits as the appropriate ti increase without bound), the single product rule suffices to account for all finite subclasses.

Absolutely continuous random variables

If a class is independent and the individual variables are absolutely continuous (i.e., have densities), then any finite subclass is jointly absolutely continuous and the product rule holds for the densities of such subclasses

(9.18)

Similarly, if each finite subclass is jointly absolutely continuous, then each individual variable is absolutely continuous and the product rule holds for the densities. Frequently we deal with independent classes in which each random variable has the same marginal distribution. Such classes are referred to as iid classes (an acronym for independent,identically distributed). Examples are simple random samples from a given population, or the results of repetitive trials with the same distribution on the outcome of each component trial. A Bernoulli sequence is a simple example.

### Simple random variables

Consider a pair of simple random variables in canonical form

(9.19)

Since and the pair is independent iff each of the pairs is independent. The joint distribution has probability mass at each point in the range of . Thus at every point on the grid,

(9.20)

According to the rectangle test, no gridpoint having one of the ti or uj as a coordinate has zero probability mass . The marginal distributions determine the joint distributions. If X has n distinct values and Y has m distinct values, then the n+m marginal probabilities suffice to determine the m·n joint probabilities. Since the marginal probabilities for each variable must add to one, only (n–1)+(m–1)=m+n–2 values are needed.

Suppose X and Y are in affine form. That is,

(9.21)

Since is the union of minterms generated by the Ei and is the union of minterms generated by the Fj, the pair is independent iff each pair of minterms generated by the two classes, respectivly, is independent. Independence of the minterm pairs is implied by independence of the combined class

(9.22)

Calculations in the joint simple case are readily handled by appropriate m-functions and m-procedures.

MATLAB and independent simple random variables

In the general case of pairs of joint simple random variables we have the m-procedure jcalc, which uses information in matrices and P to determine the marginal probabilities and the calculation matrices t and u. In the independent case, we need only the marginal distributions in matrices X, PX, Y, and PY to determine the joint probability matrix (hence the joint distribution) and the calculation matrices t and u. If the random variables are given in canonical form, we have the marginal distributions. If they are in affine form, we may use canonic (or the function form canonicf) to obtain the marginal distributions.

Once we have both marginal distributions, we use an m-procedure we call icalc. Formation of the joint probability matrix is simply a matter of determining all the joint probabilities

(9.23)

Once these are calculated, formation of the calculation matrices t and u is achieved exactly as in jcalc.

Example 9.8Use of icalc to set up for joint calculations
X = [-4 -2 0 1 3];
Y = [0 1 2 4];
PX = 0.01*[12 18 27 19 24];
PY = 0.01*[15 43 31 11];
icalc
Enter row matrix of X-values  X
Enter row matrix of Y-values  Y
Enter X probabilities  PX
Enter Y probabilities  PY
Use array operations on matrices X, Y, PX, PY, t, u, and P
disp(P)                        % Optional display of the joint matrix
0.0132    0.0198    0.0297    0.0209    0.0264
0.0372    0.0558    0.0837    0.0589    0.0744
0.0516    0.0774    0.1161    0.0817    0.1032
0.0180    0.0270    0.0405    0.0285    0.0360
disp(t)                        % Calculation matrix t
-4    -2     0     1     3
-4    -2     0     1     3
-4    -2     0     1     3
-4    -2     0     1     3
disp(u)                        % Calculation matrix u
4     4     4     4     4
2     2     2     2     2
1     1     1     1     1
0     0     0     0     0
M = (t>=-3)&(t<=2);            % M = [-3, 2]
PM = total(M.*P)               % P(X in M)
PM =   0.6400
N = (u>0)&(u.^2<=15);          % N = {u: u > 0, u^2 <= 15}
PN = total(N.*P)               % P(Y in N)
PN =   0.7400
Q = M&N;                       % Rectangle MxN
PQ = total(Q.*P)               % P((X,Y) in MxN)
PQ =   0.4736
p = PM*PN
p  =   0.4736                  % P((X,Y) in MxN) = P(X in M)P(Y in N)


As an example, consider again the problem of joint Bernoulli trials described in the treatment of Composite trials.

Example 9.9The joint Bernoulli trial of Example 4.9.

1 Bill and Mary take ten basketball free throws each. We assume the two seqences of trials are independent of each other, and each is a Bernoulli sequence.

Mary: Has probability 0.80 of success on each trial.

Bill: Has probability 0.85 of success on each trial.

What is the probability Mary makes more free throws than Bill?

SOLUTION

Let X be the number of goals that Mary makes and Y be the number that Bill makes. Then X binomial and Y binomial .

X = 0:10;
Y = 0:10;
PX = ibinom(10,0.8,X);
PY = ibinom(10,0.85,Y);
icalc
Enter row matrix of X-values  X  % Could enter 0:10
Enter row matrix of Y-values  Y  % Could enter 0:10
Enter X probabilities  PX        % Could enter ibinom(10,0.8,X)
Enter Y probabilities  PY        % Could enter ibinom(10,0.85,Y)
Use array operations on matrices X, Y, PX, PY, t, u, and P
PM = total((t>u).*P)
PM =  0.2738                     % Agrees with solution in Example 9 from "Composite Trials".
Pe = total((u==t).*P)            % Additional information is more easily
Pe =  0.2276                     % obtained than in the event formulation
Pm = total((t>=u).*P)            % of Example 9 from "Composite Trials".
Pm =  0.5014

Example 9.10Sprinters time trials

Twelve world class sprinters in a meet are running in two heats of six persons each. Each runner has a reasonable chance of breaking the track record. We suppose results for individuals are independent.

First heat probabilities: 0.61 0.73 0.55 0.81 0.66 0.43

Second heat probabilities: 0.75 0.48 0.62 0.58 0.77 0.51

Compare the two heats for numbers who break the track record.

SOLUTION

Let X be the number of successes in the first heat and Y be the number who are successful in the second heat. Then the pair is independent. We use the m-function canonicf to determine the distributions for X and for Y, then icalc to get the joint distribution.

c1 = [ones(1,6) 0];
c2 = [ones(1,6) 0];
P1 = [0.61 0.73 0.55 0.81 0.66 0.43];
P2 = [0.75 0.48 0.62 0.58 0.77 0.51];
[X,PX] = canonicf(c1,minprob(P1));
[Y,PY] = canonicf(c2,minprob(P2));
icalc
Enter row matrix of X-values  X
Enter row matrix of Y-values  Y
Enter X probabilities  PX
Enter Y probabilities  PY
Use array operations on matrices X, Y, PX, PY, t, u, and P
Pm1 = total((t>u).*P)   % Prob first heat has most
Pm1 =  0.3986
Pm2 = total((u>t).*P)   % Prob second heat has most
Pm2 =  0.3606
Peq = total((t==u).*P)  % Prob both have the same
Peq =  0.2408
Px3 = (X>=3)*PX'        % Prob first has 3 or more
Px3 =  0.8708
Py3 = (Y>=3)*PY'        % Prob second has 3 or more
Py3 =  0.8525


As in the case of jcalc, we have an m-function version icalcf

(9.24)

We have a related m-function idbn for obtaining the joint probability matrix from the marginal probabilities. Its formation of the joint matrix utilizes the same operations as icalc.

Example 9.11A numerical example
PX = 0.1*[3 5 2];
PY = 0.01*[20 15 40 25];
P  = idbn(PX,PY)
P =
0.0750    0.1250    0.0500
0.1200    0.2000    0.0800
0.0450    0.0750    0.0300
0.0600    0.1000    0.0400


An m- procedure itest checks a joint distribution for independence. It does this by calculating the marginals, then forming an independent joint test matrix, which is compared with the original. We do not ordinarily exhibit the matrix P to be tested. However, this is a case in which the product rule holds for most of the minterms, and it would be very difficult to pick out those for which it fails. The m-procedure simply checks all of them.

Example 9.12
idemo1                           % Joint matrix in datafile idemo1
P =  0.0091  0.0147  0.0035  0.0049  0.0105  0.0161  0.0112
0.0117  0.0189  0.0045  0.0063  0.0135  0.0207  0.0144
0.0104  0.0168  0.0040  0.0056  0.0120  0.0184  0.0128
0.0169  0.0273  0.0065  0.0091  0.0095  0.0299  0.0208
0.0052  0.0084  0.0020  0.0028  0.0060  0.0092  0.0064
0.0169  0.0273  0.0065  0.0091  0.0195  0.0299  0.0208
0.0104  0.0168  0.0040  0.0056  0.0120  0.0184  0.0128
0.0078  0.0126  0.0030  0.0042  0.0190  0.0138  0.0096
0.0117  0.0189  0.0045  0.0063  0.0135  0.0207  0.0144
0.0091  0.0147  0.0035  0.0049  0.0105  0.0161  0.0112
0.0065  0.0105  0.0025  0.0035  0.0075  0.0115  0.0080
0.0143  0.0231  0.0055  0.0077  0.0165  0.0253  0.0176
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent   % Result of test

To see where the product rule fails, call for D
disp(D)                          % Optional call for D
0     0     0     0     0     0     0
0     0     0     0     0     0     0
0     0     0     0     0     0     0
1     1     1     1     1     1     1
0     0     0     0     0     0     0
0     0     0     0     0     0     0
0     0     0     0     0     0     0
1     1     1     1     1     1     1
0     0     0     0     0     0     0
0     0     0     0     0     0     0
0     0     0     0     0     0     0
0     0     0     0     0     0     0


Next, we consider an example in which the pair is known to be independent.

Example 9.13
jdemo3      % call for data in m-file
disp(P)     % call to display P
0.0132    0.0198    0.0297    0.0209    0.0264
0.0372    0.0558    0.0837    0.0589    0.0744
0.0516    0.0774    0.1161    0.0817    0.1032
0.0180    0.0270    0.0405    0.0285    0.0360

itest
Enter matrix of joint probabilities  P
The pair {X,Y} is independent       % Result of test


The procedure icalc can be extended to deal with an independent class of three random variables. We call the m-procedure icalc3. The following is a simple example of its use.

Example 9.14Calculations for three independent random variables
X = 0:4;
Y = 1:2:7;
Z = 0:3:12;
PX = 0.1*[1 3 2 3 1];
PY = 0.1*[2 2 3 3];
PZ = 0.1*[2 2 1 3 2];
icalc3
Enter row matrix of X-values  X
Enter row matrix of Y-values  Y
Enter row matrix of Z-values  Z
Enter X probabilities  PX
Enter Y probabilities  PY
Enter Z probabilities  PZ
Use array operations on matrices X, Y, Z,
PX, PY, PZ, t, u, v, and P
G = 3*t + 2*u - 4*v;        % W = 3X + 2Y -4Z
[W,PW] = csort(G,P);        % Distribution for W
PG = total((G>0).*P)        % P(g(X,Y,Z) > 0)
PG =  0.3370
Pg = (W>0)*PW'            % P(Z > 0)
Pg =  0.3370


An m-procedure icalc4 to handle an independent class of four variables is also available. Also several variations of the m-function mgsum and the m-function diidsum are used for obtaining distributions for sums of independent random variables. We consider them in various contexts in other units.

### Approximation for the absolutely continuous case

In the study of functions of random variables, we show that an approximating simple random variable Xs of the type we use is a function of the random variable X which is approximated. Also, we show that if {X,Y} is an independent pair, so is {g(X),h(Y)} for any reasonable functions g and h. Thus if {X,Y} is an independent pair, so is any pair of approximating simple functions of the type considered. Now it is theoretically possible for the approximating pair to be independent, yet have the approximated pair {X,Y} not independent. But this is highly unlikely. For all practical purposes, we may consider {X,Y} to be independent iff is independent. When in doubt, consider a second pair of approximating simple functions with more subdivision points. This decreases even further the likelihood of a false indication of independence by the approximating random variables.

Example 9.15An independent pair

Suppose X exponential (3) and Y exponential (2) with

(9.25)

Since e–12≈6×10–6, we approximate X for values up to 4 and Y for values up to 6.

tuappr
Enter matrix [a b] of X-range endpoints  [0 4]
Enter matrix [c d] of Y-range endpoints  [0 6]
Enter number of X approximation points  200
Enter number of Y approximation points  300
Enter expression for joint density  6*exp(-(3*t + 2*u))
Use array operations on X, Y, PX, PY, t, u, and P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is independent

Example 9.16Test for independence

The pair has joint density . It is easy enough to determine the marginals in this case. By symmetry, they are the same.

(9.26)

so that fXY=fXfY which ensures the pair is independent. Consider the solution using tuappr and itest.

tuappr
Enter matrix [a b] of X-range endpoints  [0 1]
Enter matrix [c d] of Y-range endpoints  [0 1]
Enter number of X approximation points  100
Enter number of Y approximation points  100
Enter expression for joint density  4*t.*u
Use array operations on X, Y, PX, PY, t, u, and P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is independent


## 9.2. Problems on Independent Classes of Random Variables*

The pair has the joint distribution (in m-file npr08_06.m):

(9.27)
(9.28)

Determine whether or not the pair {X,Y} is independent.

npr08_06
Data are in X, Y, P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent
To see where the product rule fails, call for D
disp(D)
0     0     0     1     1
0     0     0     1     1
1     1     1     1     1
1     1     1     1     1


The pair has the joint distribution (in m-file npr09_02.m):

(9.29)
(9.30)

Determine whether or not the pair {X,Y} is independent.

npr09_02
Data are in X, Y, P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent
To see where the product rule fails, call for D
disp(D)
0     0     0     0     0
0     1     1     0     0
0     1     1     0     0
0     0     0     0     0


The pair has the joint distribution (in m-file npr08_07.m):

(9.31)
 t = -3.1 -0.5 1.2 2.4 3.7 4.9 u = 7.5 0.009 0.0396 0.0594 0.0216 0.044 0.0203 4.1 0.0495 0 0.1089 0.0528 0.0363 0.0231 -2.0 0.0405 0.132 0.0891 0.0324 0.0297 0.0189 -3.8 0.051 0.0484 0.0726 0.0132 0 0.0077

Determine whether or not the pair {X,Y} is independent.

npr08_07
Data are in X, Y, P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent
To see where the product rule fails, call for D
disp(D)
1     1     1     1     1     1
1     1     1     1     1     1
1     1     1     1     1     1
1     1     1     1     1     1


For the distributions in Exercises 4-10 below

1. Determine whether or not the pair is independent.

2. Use a discrete approximation and an independence test to verify results in part (a).

fXY(t,u)=1/π on the circle with radius one, center at (0,0).

Not independent by the rectangle test.

tuappr
Enter matrix [a b] of X-range endpoints  [-1 1]
Enter matrix [c d] of Y-range endpoints  [-1 1]
Enter number of X approximation points  100
Enter number of Y approximation points  100
Enter expression for joint density  (1/pi)*(t.^2 + u.^2<=1)
Use array operations on X, Y, PX, PY, t, u, and P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent
To see where the product rule fails, call for D  % Not practical-- too large


fXY(t,u)=1/2 on the square with vertices at (see Exercise 11 from "Problems on Random Vectors and Joint Distributions").

Not independent, by the rectangle test.

tuappr
Enter matrix [a b] of X-range endpoints  [0 2]
Enter matrix [c d] of Y-range endpoints  [0 2]
Enter number of X approximation points  200
Enter number of Y approximation points  200
Enter expression for joint density  (1/2)*(u<=min(1+t,3-t)).* ...
(u>=max(1-t,t-1))
Use array operations on X, Y, PX, PY, t, u, and P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent
To see where the product rule fails, call for D


fXY(t,u)=4t(1–u) for 0≤t≤1, 0≤u≤1 (see Exercise 12 from "Problems on Random Vectors and Joint Distributions").

From the solution for Exercise 12 from "Problems on Random Vectors and Joint Distributions" we have

(9.32)

so the pair is independent.

tuappr
Enter matrix [a b] of X-range endpoints  [0 1]
Enter matrix [c d] of Y-range endpoints  [0 1]
Enter number of X approximation points  100
Enter number of Y approximation points  100
Enter expression for joint density  4*t.*(1-u)
Use array operations on X, Y, PX, PY, t, u, and P

itest
Enter matrix of joint probabilities  P
The pair {X,Y} is independent


for 0≤t≤2, 0≤u≤2 (see Exercise 13 from "Problems on Random Vectors and Joint Distributions").

From the solution of Exercise 13 from "Problems on Random Vectors and Joint Distributions" we have

(9.33)

so fXYfX fY which implies the pair is not independent.

tuappr
Enter matrix [a b] of X-range endpoints  [0 2]
Enter matrix [c d] of Y-range endpoints  [0 2]
Enter number of X approximation points  100
Enter number of Y approximation points  100
Enter expression for joint density  (1/8)*(t+u)
Use array operations on X, Y, PX, PY, t, u, and P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent
To see where the product rule fails, call for D


fXY(t,u)=4ue–2t for 0≤t,0≤u≤1 (see Exercise 14 from "Problems on Random Vectors and Joint Distributions").

From the solution for Exercise 14 from "Problems on Random Vectors and Joint Distribution" we have

(9.34)

so that fXY=fXfY and the pair is independent.

tuappr
Enter matrix [a b] of X-range endpoints  [0 5]
Enter matrix [c d] of Y-range endpoints  [0 1]
Enter number of X approximation points  500
Enter number of Y approximation points  100
Enter expression for joint density  4*u.*exp(-2*t)
Use array operations on X, Y, PX, PY, t, u, and P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is independent       % Product rule holds to within 10^{-9}


fXY(t,u)=12t2u on the parallelogram with vertices

(see Exercise 16 from "Problems on Random Vectors and Joint Distributions").

Not independent by the rectangle test.

tuappr
Enter matrix [a b] of X-range endpoints  [-1 1]
Enter matrix [c d] of Y-range endpoints  [0 1]
Enter number of X approximation points  200
Enter number of Y approximation points  100
Enter expression for joint density  12*t.^2.*u.*(u<=min(t+1,1)).* ...
(u>=max(0,t))
Use array operations on X, Y, PX, PY, t, u, and P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent
To see where the product rule fails, call for D


for 0≤t≤2, 0≤u≤min{1,2–t} (see Exercise 17 from "Problems on Random Vectors and Joint Distributions").

By the rectangle test, the pair is not independent.

tuappr
Enter matrix [a b] of X-range endpoints  [0 2]
Enter matrix [c d] of Y-range endpoints  [0 1]
Enter number of X approximation points  200
Enter number of Y approximation points  100
Enter expression for joint density  (24/11)*t.*u.*(u<=min(1,2-t))
Use array operations on X, Y, PX, PY, t, u, and P
itest
Enter matrix of joint probabilities  P
The pair {X,Y} is NOT independent
To see where the product rule fails, call for D


Two software companies, MicroWare and BusiCorp, are preparing a new business package in time for a computer trade show 180 days in the future. They work independently. MicroWare has anticipated completion time, in days, exponential (1/150). BusiCorp has time to completion, in days, exponential (1/130). What is the probability both will complete on time; that at least one will complete on time; that neither will complete on time?

p1 = 1 - exp(-180/150)
p1 =  0.6988
p2 = 1 - exp(-180/130)
p2 =  0.7496
Pboth = p1*p2
Pboth =  0.5238
Poneormore = 1 - (1 - p1)*(1 - p2) % 1 - Pneither
Poneormore =  0.9246
Pneither = (1 - p1)*(1 - p2)
Pneither =    0.0754


Eight similar units are put into operation at a given time. The time to failure (in hours) of each unit is exponential (1/750). If the units fail independently, what is the probability that five or more units will be operating at the end of 500 hours?

p = exp(-500/750);  % Probability any one will survive
P = cbinom(8,p,5)   % Probability five or more will survive
P =  0.3930


The location of ten points along a line may be considered iid random variables with symmytric triangular distribution on [1,3]. What is the probability that three or more will lie within distance 1/2 of the point t=2?

Geometrically, p=3/4, so that P = cbinom(10,p,3) = 0.9996.

A Christmas display has 200 lights. The times to failure are iid, exponential (1/10000). The display is on continuously for 750 hours (approximately one month). Determine the probability the number of lights which survive the entire period is at least 175, 180, 185, 190.

p = exp(-750/10000)
p =  0.9277
k = 175:5:190;
P = cbinom(200,p,k);
disp([k;P]')
175.0000    0.9973
180.0000    0.9449
185.0000    0.6263
190.0000    0.1381


A critical module in a network server has time to failure (in hours of machine time) exponential (1/3000). The machine operates continuously, except for brief times for maintenance or repair. The module is replaced routinely every 30 days (720 hours), unless failure occurs. If successive units fail independently, what is the probability of no breakdown due to the module for one year?

p = exp(-720/3000)
p = 0.7866     % Probability any unit survives
P = p^12    % Probability all twelve survive (assuming 12 periods)
P = 0.056


Joan is trying to decide which of two sales opportunities to take.

• In the first, she makes three independent calls. Payoffs are $570,$525, and $465, with respective probabilities of 0.57, 0.41, and 0.35. • In the second, she makes eight independent calls, with probability of success on each call p=0.57. She realizes$150 profit on each successful sale.

Let X be the net profit on the first alternative and Y be the net gain on the second. Assume the pair is independent.

1. Which alternative offers the maximum possible gain?

2. Compare probabilities in the two schemes that total sales are at least $600,$900, $1000,$1100.

3. What is the probability the second exceeds the first— i.e., what is P(Y>X)?

X=570IA+525IB+465IC with [P(A)P(B)P(C)]=[0.570.410.35]. Y=150S, where S binomial (8, 0.57).

c = [570 525 465 0];
pm = minprob([0.57 0.41 0.35]);
canonic                              % Distribution for X
Enter row vector of coefficients  c
Enter row vector of minterm probabilities  pm
Use row matrices X and PX for calculations
Call for XDBN to view the distribution
Y = 150*[0:8];                       % Distribution for Y
PY = ibinom(8,0.57,0:8);
icalc                                % Joint distribution
Enter row matrix of X-values  X
Enter row matrix of Y-values  Y
Enter X probabilities  PX
Enter Y probabilities  PY
Use array operations on matrices X, Y, PX, PY, t, u, and P
xmax = max(X)
xmax =   1560
ymax = max(Y)
ymax =   1200
k = [600 900 1000 1100];
px = zeros(1,4);

for i = 1:4
px(i) = (X>=k(i))*PX';
end
py = zeros(1,4);
for i = 1:4
py(i) = (Y>=k(i))*PY';
end
disp([px;py]')
0.4131    0.7765
0.4131    0.2560
0.3514    0.0784
0.0818    0.0111
M = u > t;
PM = total(M.*P)
PM = 0.5081          % P(Y>X)


Margaret considers five purchases in the amounts 5, 17, 21, 8, 15 dollars with respective probabilities 0.37, 0.22, 0.38, 0.81, 0.63. Anne contemplates six purchases in the amounts 8, 15, 12, 18, 15, 12 dollars. with respective probabilities 0.77, 0.52, 0.23, 0.41, 0.83, 0.58. Assume that all eleven possible purchases form an independent class.

1. What is the probability Anne spends at least twice as much as Margaret?

2. What is the probability Anne spends at least $30 more than Margaret? cx = [5 17 21 8 15 0]; pmx = minprob(0.01*[37 22 38 81 63]); cy = [8 15 12 18 15 12 0]; pmy = minprob(0.01*[77 52 23 41 83 58]); [X,PX] = canonicf(cx,pmx); [Y,PY] = canonicf(cy,pmy); icalc Enter row matrix of X-values X Enter row matrix of Y-values Y Enter X probabilities PX Enter Y probabilities PY Use array operations on matrices X, Y, PX, PY, t, u, and P M1 = u >= 2*t; PM1 = total(M1.*P) PM1 = 0.3448 M2 = u - t >=30; PM2 = total(M2.*P) PM2 = 0.2431  James is trying to decide which of two sales opportunities to take. • In the first, he makes three independent calls. Payoffs are$310, $380, and$350, with respective probabilities of 0.35, 0.41, and 0.57.

• In the second, he makes eight independent calls, with probability of success on each call p=0.57. He realizes $100 profit on each successful sale. Let X be the net profit on the first alternative and Y be the net gain on the second. Assume the pair is independent. • Which alternative offers the maximum possible gain? • What is the probability the second exceeds the first— i.e., what is P(Y>X)? • Compare probabilities in the two schemes that total sales are at least$600, $700,$750.

cx = [310 380 350 0];
pmx = minprob(0.01*[35 41 57]);
Y  = 100*[0:8];
PY = ibinom(8,0.57,0:8);
canonic
Enter row vector of coefficients  cx
Enter row vector of minterm probabilities  pmx
Use row matrices X and PX for calculations
Call for XDBN to view the distribution
icalc
Enter row matrix of X-values  X
Enter row matrix of Y-values  Y
Enter X probabilities  PX
Enter Y probabilities  PY
Use array operations on matrices X, Y, PX, PY, t, u, and P
xmax = max(X)
xmax =  1040
ymax = max(Y)
ymax =   800
PYgX = total((u>t).*P)
PYgX =  0.5081
k = [600 700 750];
px = zeros(1,3);
py = zeros(1,3);
for i = 1:3
px(i) = (X>=k(i))*PX';
end
for i = 1:3
py(i) = (Y>=k(i))*PY';
end
disp([px;py]')
0.4131    0.2560
0.2337    0.0784
0.0818    0.0111


A residential College plans to raise money by selling “chances” on a board. There are two games:

 Game 1: Pay $5 to play; win$20 with probability p1=0.05 (one in twenty) Game 2: Pay $10 to play; win$30 with probability p2=0.2 (one in five)

Thirty chances are sold on Game 1 and fifty chances are sold on Game 2. If X and Y are the profits on the respective games, then

(9.35)

where are the numbers of winners on the respective games. It is reasonable to suppose N1 binomial and N2 binomial . It is reasonable to suppose the pair is independent, so that is independent. Determine the marginal distributions for X and Y then use icalc to obtain the joint distribution and the calculating matrices. The total profit for the College is Z=X+Y. What is the probability the College will lose money? What is the probability the profit will be $400 or more, less than$200, between $200 and$450?

N1 = 0:30;
PN1 = ibinom(30,0.05,0:30);
x  = 150 - 20*N1;
[X,PX] = csort(x,PN1);
N2 = 0:50;
PN2 = ibinom(50,0.2,0:50);
y  = 500 - 30*N2;
[Y,PY] = csort(y,PN2);
icalc
Enter row matrix of X-values  X
Enter row matrix of Y-values  Y
Enter X probabilities  PX
Enter Y probabilities  PY
Use array operations on matrices X, Y, PX, PY, t, u, and P
G = t + u;
Mlose = G < 0;
Mm400  = G >= 400;
Ml200  = G < 200;
M200_450  = (G>=200)&(G<=450);
Plose = total(Mlose.*P)
Plose =   3.5249e-04
Pm400 = total(Mm400.*P)
Pm400 =   0.1957
Pl200 = total(Ml200.*P)
Pl200 =
0.0828
P200_450 = total(M200_450.*P)
P200_450 =  0.8636


The class of random variables is iid (independent, identically distributed) with common distribution

(9.36)

Let W=3X–4Y+2Z. Determine the distribution for W and from this determine P(W>0) and P(–20≤W≤10). Do this with icalc, then repeat with icalc3 and compare results.

Since icalc uses X and PX in its output, we avoid a renaming problem by using x and px for data vectors X and PX.

x = [-5 -1 3 4 7];
px = 0.01*[15 20 30 25 10];
icalc
Enter row matrix of X-values  3*x
Enter row matrix of Y-values  -4*x
Enter X probabilities  px
Enter Y probabilities  px
Use array operations on matrices X, Y, PX, PY, t, u, and P
a = t + u;
[V,PV] = csort(a,P);
icalc
Enter row matrix of X-values  V
Enter row matrix of Y-values  2*x
Enter X probabilities  PV
Enter Y probabilities  px
Use array operations on matrices X, Y, PX, PY, t, u, and P
b = t + u;
[W,PW] = csort(b,P);
P1 = (W>0)*PW'
P1 =  0.5300
P2 = ((-20<=W)&(W<=10))*PW'
P2 =  0.5514
icalc3                           % Alternate using icalc3
Enter row matrix of X-values  x
Enter row matrix of Y-values  x
Enter row matrix of Z-values  x
Enter X probabilities  px
Enter Y probabilities  px
Enter Z probabilities  px
Use array operations on matrices X, Y, Z,
PX, PY, PZ, t, u, v, and P
a = 3*t - 4*u + 2*v;
[W,PW] = csort(a,P);
P1 = (W>0)*PW'
P1 = 0.5300
P2 = ((-20<=W)&(W<=10))*PW'
P2 = 0.5514


The class is independent; the respective probabilites for these events are . Consider the simple random variables

(9.37)

Determine P(Y>X), P(Z>0), P(5≤Z≤25).

cx = [3 -9 4 0];
pmx = minprob(0.01*[42 27 33]);
cy = [-2 6 2 -3];
pmy = minprob(0.01*[47 37 41]);
[X,PX] = canonicf(cx,pmx);
[Y,PY] = canonicf(cy,pmy);
icalc
Enter row matrix of X-values  X
Enter row matrix of Y-values  Y
Enter X probabilities  PX
Enter Y probabilities  PY
Use array operations on matrices X, Y, PX, PY, t, u, and P
G = 2*t - 3*u;
[Z,PZ] = csort(G,P);
PYgX = total((u>t).*P)
PYgX =  0.3752
PZpos = (Z>0)*PZ'
PZpos = 0.5654
P5Z25 = ((5<=Z)&(Z<=25))*PZ'
P5Z25 = 0.4745


Two players, Ronald and Mike, throw a pair of dice 30 times each. What is the probability Mike throws more “sevens” than does Ronald?

P = (ibinom(30,1/6,0:29))*(cbinom(30,1/6,1:30))' = 0.4307

A class has fifteen boys and fifteen girls. They pair up and each tosses a coin 20 times. What is the probability that at least eight girls throw more heads than their partners?

pg = (ibinom(20,1/2,0:19))*(cbinom(20,1/2,1:20))'
pg =  0.4373             % Probability each girl throws more
P = cbinom(15,pg,8)
P =   0.3100             % Probability eight or more girls throw more


Glenn makes five sales calls, with probabilities 0.37, 0.52, 0.48, 0.71, 0.63, of success on the respective calls. Margaret makes four sales calls with probabilities 0.77, 0.82, 0.75, 0.91, of success on the respective calls. Assume that all nine events form an independent class. If Glenn realizes a profit of $18.00 on each sale and Margaret earns$20.00 on each sale, what is the probability Margaret's gain is at least $10.00 more than Glenn's? cg = [18*ones(1,5) 0]; cm = [20*ones(1,4) 0]; pmg = minprob(0.01*[37 52 48 71 63]); pmm = minprob(0.01*[77 82 75 91]); [G,PG] = canonicf(cg,pmg); [M,PM] = canonicf(cm,pmm); icalc Enter row matrix of X-values G Enter row matrix of Y-values M Enter X probabilities PG Enter Y probabilities PM Use array operations on matrices X, Y, PX, PY, t, u, and P H = u-t>=10; p1 = total(H.*P) p1 = 0.5197  Mike and Harry have a basketball shooting contest. • Mike shoots 10 ordinary free throws, worth two points each, with probability 0.75 of success on each shot. • Harry shoots 12 “three point” shots, with probability 0.40 of success on each shot. Let X,Y be the number of points scored by Mike and Harry, respectively. Determine P(X≥15), and P(Y≥15),P(XY). X = 2*[0:10]; PX = ibinom(10,0.75,0:10); Y = 3*[0:12]; PY = ibinom(12,0.40,0:12); icalc Enter row matrix of X-values X Enter row matrix of Y-values Y Enter X probabilities PX Enter Y probabilities PY Use array operations on matrices X, Y, PX, PY, t, u, and P PX15 = (X>=15)*PX' PX15 = 0.5256 PY15 = (Y>=15)*PY' PY15 = 0.5618 G = t>=u; PG = total(G.*P) PG = 0.5811  Martha has the choice of two games.  Game 1: Pay ten dollars for each “play.” If she wins, she receives$20, for a net gain of $10 on the play; otherwise, she loses her$10. The probability of a win is 1/2, so the game is “fair.” Game 2: Pay five dollars to play; receive $15 for a win. The probability of a win on any play is 1/3. Martha has$100 to bet. She is trying to decide whether to play Game 1 ten times or Game 2 twenty times. Let W1 and W2 be the respective net winnings (payoff minus fee to play).

• Determine P(W2≥W1).

• Compare the two games further by calculating P(W1>0) and P(W2>0)

Which game seems preferable?

W1 = 20*[0:10] - 100;
PW1 = ibinom(10,1/2,0:10);
W2 = 15*[0:20] - 100;
PW2 = ibinom(20,1/3,0:20);
P1pos = (W1>0)*PW1'
P1pos = 0.3770
P2pos = (W2>0)*PW2'
P2pos = 0.5207
icalc
Enter row matrix of X-values  W1
Enter row matrix of Y-values  W2
Enter X probabilities  PW1
Enter Y probabilities  PW2
Use array operations on matrices X, Y, PX, PY, t, u, and P
G = u >= t;
PG = total(G.*P)
PG =  0.5182


Jim and Bill of the men's basketball team challenge women players Mary and Ellen to a free throw contest. Each takes five free throws. Make the usual independence assumptions. Jim, Bill, Mary, and Ellen have respective probabilities p=0.82,0.87,0.80, and 0.85 of making each shot tried. What is the probability Mary and Ellen make a total number of free throws at least as great as the total made by the guys?

x = 0:5;
PJ = ibinom(5,0.82,x);
PB = ibinom(5,0.87,x);
PM = ibinom(5,0.80,x);
PE = ibinom(5,0.85,x);

icalc
Enter row matrix of X-values  x
Enter row matrix of Y-values  x
Enter X probabilities  PJ
Enter Y probabilities  PB
Use array operations on matrices X, Y, PX, PY, t, u, and P
H = t+u;
[Tm,Pm] = csort(H,P);
icalc
Enter row matrix of X-values  x
Enter row matrix of Y-values  x
Enter X probabilities  PM
Enter Y probabilities  PE
Use array operations on matrices X, Y, PX, PY, t, u, and P
G = t+u;
[Tw,Pw] = csort(G,P);
icalc
Enter row matrix of X-values  Tm
Enter row matrix of Y-values  Tw
Enter X probabilities  Pm
Enter Y probabilities  Pw
Use array operations on matrices X, Y, PX, PY, t, u, and P
Gw = u>=t;
PGw = total(Gw.*P)
PGw = 0.5746

icalc4               % Alternate using icalc4
Enter row matrix of X-values  x
Enter row matrix of Y-values  x
Enter row matrix of Z-values  x
Enter row matrix of W-values  x
Enter X probabilities  PJ
Enter Y probabilities  PB
Enter Z probabilities  PM
Enter W probabilities  PE
Use array operations on matrices X, Y, Z,W
PX, PY, PZ, PW t, u, v, w, and P
H = v+w >= t+u;
PH = total(H.*P)
PH =  0.5746

Solutions