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Worked solution

Choose between scaling one value and adding independent values

X and Y are independent continuous normal random variables with means 10,12 and standard deviations 2,3 respectively. Find

(a) P(Y<10)P(Y<10),

(b) P(2X>25)P(2X>25),

(c) P(Y<X)P(Y<X),

(d) P(4X+5Y>90)P(4X+5Y>90),

(e) x such that P(X1+X2>x)=0.25P(X_1+X_2>x)=0.25, for independent observations X1,X2X_1,X_2 of X.

[1987/II/9]

CJC · Discussion · Question 7

Answer

(a)0.252; (b)0.106; (c)0.290; (d)0.722; (e)x≈21.9 (3 s.f.).

Define the original models

X∼N(10,22)X\sim N(10,2^2) and Y∼N(12,32)Y\sim N(12,3^2), independently. In N(mean, variance), the second parameter is variance.

How did this part go?

(a) Direct lower tail

P(Y<10)=0.252P(Y<10)=0.252 to 3 significant figures.

How did this part go?

(b) Scale a single variable

2X∼N(2(10),22(22))=N(20,16)2X\sim N(2(10),2^2(2^2))=N(20,16). Thus P(2X>25)=0.106P(2X>25)=0.106 to 3 significant figures.

How did this part go?

(c) Subtract independent variables

Y−X∼N(12−10,32+22)=N(2,13)Y-X\sim N(12-10,3^2+2^2)=N(2,13). Hence P(Y<X)=P(Y−X<0)=0.290P(Y<X)=P(Y-X<0)=0.290 to 3 significant figures.

How did this part go?

(d) Square the coefficients when combining variances

4X+5Y∼N(4(10)+5(12),42(22)+52(32))=N(100,289)4X+5Y\sim N(4(10)+5(12),4^2(2^2)+5^2(3^2))=N(100,289). Therefore P(4X+5Y>90)=0.722P(4X+5Y>90)=0.722 to 3 significant figures.

How did this part go?

(e) Add two independent observations

X1+X2∼N(10+10,22+22)=N(20,8)X_1+X_2\sim N(10+10,2^2+2^2)=N(20,8). The upper-tail equation P(X1+X2>x)=0.25P(X_1+X_2>x)=0.25 gives x≈21.9 to 3 significant figures. This is the 75 th percentile of that sum distribution.

How did this part go?

Common mistakes

2 X has variance 16, while X₁+X₂ has variance 8. They are different random variables.

Solution notes

All five asks, all source initial/transformed distributions with coefficient expansions, event rewrites, probabilities and quantile retained. No marks printed.

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