Probability and Stochastic Processes

35361 Probability and Stochastic Processes, Spring 2015
Assignment 1 (due to September 9, 2015)
The assignment should be handed in to Tim Ling on 9/09/2015. You
may use any software for calculations (Mathematica is preferable).
Problem 1.
1) Let Xi; i = 1; 2 be independent random variables (i.r.v.’s) having a
Chi-square distribution, EXi = 4.
(i) Using characteristic functions and the inversion formula nd the
probability density function (pdf) of Y = X1 ?? X2:
(ii) Find E(Y 8):
1