Porisma

Worked solution

Keep the square-root growth in the large-sample tail

X∼N(3,4)X\sim N(3,4), with mean 3 and variance 4. S sums 100 independent observations of X; T sums a further 300 independent observations. Give numerical answers to 3 decimal places.

(i) Find P(S>310)P(S>310).

(ii) Find P(3S>50+T)P(3S>50+T).

(iii) N sums n independent observations of X. State the approximate value of P(N>3.5n)P(N>3.5n) as n becomes very large, with justification.

[1989/II/9]

CJC · Discussion · Question 13

Answer

(i)0.309; (ii)0.235 (3 d.p.); (iii)probability tends to 0.

Define the two independent observation blocks

S=X1+X2+⋯+X100∼N(300,400)S=X_1+X_2+\cdots+X_{100}\sim N(300,400) and T=X101+X102+⋯+X400∼N(900,1200)T=X_{101}+X_{102}+\cdots+X_{400}\sim N(900,1200). The blocks are independent because they use disjoint independent observations.

How did this part go?

(i) Sum upper tail

P(S>310)=0.309P(S>310)=0.309 to 3 decimal places.

How did this part go?

(ii) Find the distribution of the difference

E(3S−T)=3E(S)−E(T)=900−900=0E(3S-T)=3E(S)-E(T)=900-900=0. Var⁡(3S−T)=9Var⁡(S)+Var⁡(T)=9(400)+1200=4800\operatorname{Var}(3S-T)=9\operatorname{Var}(S)+\operatorname{Var}(T)=9(400)+1200=4800. Hence 3S−T∼N(0,4800)3S-T\sim N(0,4800) and P(3S>50+T)=P(3S−T>50)=0.235P(3S>50+T)=P(3S-T>50)=0.235 to 3 decimal places.

How did this part go?

(iii) Standardise the large-sample threshold

N=X1+⋯+Xn∼N(3n,4n)N=X_1+\cdots+X_n\sim N(3n,4n). Thus P(N>3.5n)=P(Z>(3.5n−3n)/4n)=P(Z>0.5n/(2n))=P(Z>0.25n)P(N>3.5n)=P(Z>(3.5n-3n)/\sqrt{4n})=P(Z>0.5n/(2\sqrt n))=P(Z>0.25\sqrt n).

How did this part go?

(iii) Justify the limiting probability

As n→∞n\to\infty, 0.25n→∞0.25\sqrt n\to\infty, so the standard-normal upper-tail probability tends to 0. The source writes this informally as P(Z>∞)→0P(Z>\infty)\to0; precisely, the threshold tends to infinity and P(Z>0.25n)→0P(Z>0.25\sqrt n)\to0. The requested approximate probability for very large n is 0.

How did this part go?

Common mistakes

3 S is a scale of one sum, so its variance is 9 Var(S). The large-n denominator is√(4 n), not 4 n.

Solution notes

All three asks, original variance 4, observation indices, every source sum/difference mean/variance term, probabilities/rounding and all standardisation/limit stages retained. Square roots preserved from rendered source; infinity notation qualified as a tail limit. No marks printed.

Read the hint