ENGR. JOSELITO O.
DAROY, MEP
Associate Professor IV
TOPICS:
TWO DISCRETE/CONTINUOUS
RANDOM VARIABLES
MULTIPLE DISCRETE/CONTINUOUS
RANDOM VARIABLES
COVARIANCE AND CORRELATION
BIVARIATE NORMAL DISTRIBUTION
LINEAR COMBINATION OF RANDOM
VARIABLES
TWO DISCRETE/CONTINUOUS
RANDOM VARIABLES
JOINT PROBABILITY DISTRIBUTIONS
MARGINAL PROBABILITY
DISTRIBUTIONS
CONDITIONAL PROBABILITY
DISTRIBUTIONS
INDEPENDENCE
MULTIPLE DISCRETE/CONTINUOUS
RANDOM VARIABLES
JOINT PROBABILITY DISTRIBUTIONS
MULTINOMIAL PROBABILITY
DISTRIBUTION
TWO DISCRETE RANDOM VARIABLES
JOINT PROBABILITY DISTRIBUTIONS
MARGINAL PROBABILITY
DISTRIBUTIONS
CONDITIONAL PROBABILITY
DISTRIBUTIONS
INDEPENDENCE
INTRODUCTION
Given two random variable that are defined
on the same probability space, the joint
probability distribution is the corresponding
probability distribution on all possible pairs
of outputs.
If X and Y are two discrete random variables,
the probability distribution that defines
their simultaneous behavior is called a joint
probability distribution.
INTRODUCTION
The joint probability distribution of two
discrete random variables = bivariate
probability distribution.
The concept generalizes to any number of
random variables is called a multivariate
distribution.
INTRODUCTION
The joint probability distribution of two
discrete random variable is usually written
as
P X x, Y y
Definition:
The function f (x,y) is a joint probability
distribution or probability mass function of
the discrete random variable X and Y if
1. f x, y 0, for all x, y
2. f x, y 1,
x y
3. P X x, Y y f x, y .
For any region A in the xy plane,
P X , Y A f x, y .
A
Example 1:
Two ballpoint pens are selected at random
from a box that contains 3 blue pens, 2 red
pens, and 3 green pens. If X is the number of
blue pens selected and Y is the number of
red pens selected, find
(a) the joint probability function f (x, y),
(b) P [(X, Y ) ∈ A], where A is the region
{(x, y)|x + y ≤ 1}.
Solution:
The possible pairs of values (x,y) are (0,0),
(0,1), (1,0), (1,1), (0,2), and (2,2).
(a.) the total number of equally likely ways of
selecting any two pens from the 8 is
8
2 28
Solution:
the number of ways of selecting 1 red from 2
red pens and 1 green from 3 green pens is
2 3
1 1 6
Hence
f 0,1 6
28
f 0,1 3
14
Solution:
the joint probability distribution table
Solution:
the joint probability distribution table can be
presented by the formula
3 2 3
x y 2 x y
f x, y
8
2
for x 0,1,2; y 0,1,2; and 0 x y 2.
Solution:
(b.) The probability that (X,Y) fall in the
region A is
P X ,Y A P X Y 1
f 0,0 f 0,1 f 1,0
3 3 9
28 14 28
9
P X ,Y A
14
Definition:
The function f(x, y) is a joint density
function of the continuous random
variable X and Y if
1. f x, y 0, for all x, y
2. f x, y dx dy 1
3. P X , Y A f x, y dx dy ,
A
For any region A in the xy plane.
Example 2
A privately owned business operates both a drive-in
facility and a walk-in facility. On a randomly selected
day, let X and Y , respectively, be the proportions of the
time that the drive-in and the walk-in facilities are in
use, and suppose that the joint density function of
these random variables is
2
2 x 3 y , 0 x 1,0 y 1,
f x, y 5
0, elsewhere
Example 2
(a) Verify condition 2 of Definition of joint
density function
(b) Find P [(X, Y ) ∈ A],
where:
1 1 1
A x, y 0 x , y .
2 4 2
Solution
(a) the integration of f(x, y) over the whole
region is
Solution 2
f x, y dx dy 2 x 3 y dx dy
1 1
0 0 5
x 1
2x
1 6 xy
2
dy
0
5 5 x 0
2 6y
1
dy
0 5 5
1
2 y 3y 2
5 5 0
2 3
5 5
f x, y dx dy 1
Solution
(b) To calculate the probability
1 1 1
P X , Y A P 0 X , Y
2 4 2
2
P X , Y A 2 x 3 y dx dy
12 12
Solution 14
0 5
x 1 2
2x
12 6 xy 2
dy
14
5 5 x 0
1 3y
12
dy
1 4 10 5
12
y 3y 2
10 10 1 4
1 1 3 1 3
10 2 4 4 16
13
P X , Y A
160
Marginal Probability Distribution is the
individual probability distribution of a
random variable
The marginal distributions of X alone and Y
alone are:
for discrete case
g x f x, y and h y f x, y
y x
for continuous case
g x f x, y dy and h y f x, y dx
Example 3:
Show that the column and row totals of the
given table give the marginal distribution of
X alone and Y alone.
Solution
For the random variable X
g 0 f 0,0 f 0,1 f 0,2
3 3 1
28 14 28
5
g 0
14
Solution
For the random variable X
g 1 f 1,0 f 1,1 f 1,2
9 3
0
28 14
15
g 1
28
Solution
For the random variable X
g 2 f 2,0 f 2,1 f 2,2
3
00
28
3
g 2
28
Solution
For the random variable X
For the random variable Y
Example 4:
Find g(x) and h(y) for the joint density
function of example 2.
Solution:
g x f x, y dy
2
2 x 3 y dy
1
0 5
y 1
4 xy 6 y 2
5 10 y 0
4x 3
g x , 0 x 1
5
g x 0, elsewhere
Solution:
h y f x, y dx
2
2 x 3 y dx
1
0 5
x 1
2 6 xy
5 5 x 0
2 1 3 y
h y , 0 y 1
5
h y 0, elsewhere
When two random variables are defined in a
random experiment, knowledge of one can
change the probabilities of the other.
It is the probability distribution of a random
variable, calculated according to the rules of
conditional probability after observing the
realization of another random variable.
A conditional probability distribution
describes the probability that a randomly
selected person from a sub-population has a
given characteristic of interest.
Let X and Y be two random variables,
discrete or continuous.
The conditional distribution of the random
variable Y given that X = x is
f x, y
f y x , provided g x 0.
g x
Similarly, the conditional distribution of X
given that Y = y is
f x, y
f x y , provided h y 0.
h y
To find the probability that the discrete
random variable X falls between a and b
when it is known that the discrete variable
Y= y
Pa X b Y y f x y ,
a x b
The summation extends over all values of X
between a and b.
When X and Y are continuous
P a X b Y y f x y dx
b
a
Example 5:
Referring to Example 1, find the conditional
distribution of X, given that Y = 1, and use it
to determine P (X = 0 | Y = 1).
Solution:
Finding f(x y), where y = 1, then
2
h 1 f x,1
x 0
3 3
0
14 14
3
h 1
7
Solution:
Now
f x,1
f x 1
h 1
7
f x 1 f x,1 , x 0.1.2
3
Solution:
Then
7 7 3 1
f 0 1 f 0,1
3 3 14 2
7 7 3 1
f 1 1 f 1,1
3 3 14 2
7 7
f 2 1 f 2,1 0 0
3 3
Solution:
The conditional distribution of X, given Y =
1, is
Finally
P X 0 Y=1 f 0 1
P X 0 Y=1
1
2
Solution:
Therefore, if it is known that 1 of the 2 pen
refills selected is red, we have a probability
equal to ½ that the other refill is not blue.
In some random experiments, knowledge of
the values X does not change any of the
probabilities associated with the values for
Y.
Two continuous random variables X and Y
are said to be independent, if
f xy x, y f x X f y Y
Definition
Let X and Y be two random variables, discrete
or continuous, with joint probability
distribution f (x, y) and marginal
distributions g(x) and h(y), respectively. The
random variables X and Y are said to be
statistically independent if and if
f x, y g x h y
for all x, y within their range.
Example 6:
Show that the random variables of example 1
are not statistically independent.
Proof:
Consider the point (0,1). From the table:, the
three probabilities f(0,1), g(0), and h(1) is
Proof:
3
f 0,1
14 2
2 h 1 f x,1
g 0 f 0, y x 0
y 0
3 3
3 3 1 0
14 14
28 14 28 3
5 h 1
g 0 7
14
Proof:
f 0,1 g 0 h 1
5 3
14 7
3 15
14 98
Therefore X and Y are not statistically
independent
Definition
Let X1, X2, . . . , Xn, be n random variables,
discrete or continuous, with joint probability
distribution f(x1 , x2 , . . . , xn) and marginal
distribution f 1(x1), f 2(x2), . . . , f n(xn),
respectively.
The random variables X1, X2, . . . , Xn, are said
to be mutually statistically independent if and
if
f x, y g x h y
for all x, y within their range.
Definition
The random variables X1, X2, . . . , Xn, are said
to be mutually statistically independent if and
if
f x1 , x2 ,..., xn f1 x1 f 2 x2 f n xn
for all x1 , x2 , . . . , xn within their range.
Example 7:
Suppose that the shelf life, in years, of a
certain perishable food product packaged in
cardboard containers is a random variable
whose probability density function is given
by
e x , x 0
f x
0, elsewhere
Example 7:
Let X1, X2, and X3 represent the shelf life for
three of these containers selected
independently and find
P X 1 2, 1 X 2 3, X 3 2
Solution:
Since the containers were selected
independently, we can assume that the
random variables X1, X2, and X3 are
statistically independent, having the joint
probability density.
Solution:
f x1 , x2 , x3 f x1 f x2 f x3
x1 x2 x3
e e e
f x1 , x2 , x3 e x1 x2 x3
for x1 0, x2 0, x3 0,
and f x1 , x2 , x3 0, elsewhere
