Exercise III.4. Suppose that for i =i is a random variable R; which is uniformly distribution on [0.01,0.03], and thatR1, R2, ... are independent. A capital of 1 unit grows to [I-1(1 + R;) units inmonths 1, . . . , n.1,2, ..., the interest rate obtained in month a. Compute the expected capital after 12 months in an account that starts with1 unit.b. Compute the variance of the capital after 12 months in an account that startswith 1 unit.Now suppose that a random client invests 10 units and leaves the money in the ac-count for N ~ Poisson(12) months, where N, R1, R2, ... are independent randomvariables.c. Compute the expected capital at the time of withdrawl of this client.

Given that. The interest rate obtained in the month i is a random variable Ri, which is the…

Answered: Exercise III.4. Suppose that for i i is…

A First Course in Probability (10th Edition)

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Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...

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1. The random variables §, §1, §2,... are independent and identically distributed with 1/4 and P(§ = j) = c/j for j = 1,2,3. Let X₁ = 0 and Xn = max(§₁, ..., Èn) for n = 1, 2,.... distribution P(§ = 0) = (a) What value must c take? (b) Explain why {Xn, n = 0, 1, 2,...} is a Markov chain. (c) Write down the transition matrix. (d) Draw the transition diagram and classify the states (aperiodic, transient, re- current, eorgodic, etc). (e) Calculate P(Xn = 0). (f) Calculate P(X₁ = 3, X₂ = 1|X₁ = 3).
A.2) The time between successive customers coming to the market is assumed to have Exponential distribution with parameter lambda. a) If X1, X2. ..., Xp are the times, in minutes, between Successive customers selected randomly, estimate the parameter of the distribution. b) The randomly selected 15 times between successive customers are found as 1.8, 1.2, 0.8, 1.4, 1.2, 0.9, 0.6, 1.2, 1.2, 0.8, 1.5, 1.8, 0.9, 1.5 and 0.6 mins. Estimate the mean time between successive customers, and write down the distribution function. c) In order to estimate the distribution parameter with 0.4 error and 4% risk, find the minimum sample size.
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Q 6.1. Suppose Z = (Z₁, Z2, Z3) is a standard multi-variate Gaussian random variable i.e., for i ≤ 3, Zi~ N(0, 1) are i.i.d. random variables. Each of the random variables, (a)–(d), on the left is equal in distribution to exactly one random variables, (1)–(4), on the right. Pair up according to "equal in distribution" and explain briefly your reasoning. X₁ (a) X₂ (b) (x₂) - (2) (c) (x²) - (¹/1² 1/√²) (2₁) (3/√2 = √2 = (V2) Z₁ (d) (x) - (1) (²) X2 Y₁ (9)-(-) (2) (1=1) Y₂ (1) Y₁ (²) (4) - (1/² (3) (1/√√2 1/√2-1/√2) (x₁) = (²₁ ² ✓/³²) (3) 2 2 √2 1 Z3 Y₁ → ()-()) (4) = Y₂ 1/2) (2) 1) (2)
Q 6.1. Suppose Z = (Z1, Z2, Z3) is a standard multi-variate Gaussian random variable i.e., for i ≤ 3, Zi~ N(0, 1) are i.i.d. random variables. Each of the random variables, (a)-(d), on the left is equal in distribution to exactly one random variables, (1)-(4), on the right. Pair up according to "equal in distribution" and explain briefly your reasoning. (a) (X₂) (¹) (X) = (2) 1/√2 (Ⓒ) (x₂) - (3/1² ¹1/1²) (2) (c = 2 0 = 2 Z₁ 1) (²) 3 (4¹) (X) = (²¹) (1) (2) (3) Y₁ 1 (29) - ()) (2) = Y₂ 1 Y₁ (121) = (1/² √₂) (2) (1/√2 1/√2 /2 −1/√√2, Y₂ X₁ X₂ = 22 1 1 2 0 Y₁ 2 1 (4) (2)) = (²) (²) 1 1 Z₁ Z₂ Z3

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Exercise III.4. Suppose that for i i is a random variable R; which is uniformly distribution on [0.01, 0.03], and that R1, R2, ... are independent. A capital of 1 unit grows to II-, (1 + Ri) units in months 1, . . . , n. 1, 2,..., the interest rate obtained in month ..)