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Joint Probability Distribution

1) The document describes joint probability distributions between two random variables X and Y. It provides an example of a joint probability mass function (pmf) table and defines key terms like marginal distributions and conditional probability. 2) Methods for determining expected values, variance, and covariance are presented for discrete and continuous random variables. Independence of random variables is defined as when the joint pmf equals the product of the marginal pmfs. 3) For multiple random variables, formulas are given for the expected value and variance of sums of weighted random variables in terms of their individual expected values, variances, and covariances.

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195 views6 pages

Joint Probability Distribution

1) The document describes joint probability distributions between two random variables X and Y. It provides an example of a joint probability mass function (pmf) table and defines key terms like marginal distributions and conditional probability. 2) Methods for determining expected values, variance, and covariance are presented for discrete and continuous random variables. Independence of random variables is defined as when the joint pmf equals the product of the marginal pmfs. 3) For multiple random variables, formulas are given for the expected value and variance of sums of weighted random variables in terms of their individual expected values, variances, and covariances.

Uploaded by

shivam1992
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Joint probability distributions:

1) Problem:
Table: Joint probability distribution of X and Y
Y

X


30


60


90


X=x
i
0 10/56 0 0 10/56
30 19/56 18/56 0 37/56
60 0 6/56 9/56 15/56
90 0 0 1/56 1/56
Y=y
i
29/56 24/56 10/56 1

X takes the value 0, 30, 60, 90
Y takes values 30, 60, 90

P
ij
= P[ X=x
i
Y=y
j
] = (i, j)
th
cell value

P[X=x
i
] : Marginal distribution of X

P[Y= y
i
]

: Marginal distribution of Y
Example:
Let x
i
= 0. Thus, P[X= 0] = P[X=0Y=30]+P[X=0Y=60]+P[X=0Y=90]
= 10/56 + 0 + 0 = 10/56

Q1. Find the following:
P[X=30], P[X=60], P[X=90]

Marginal distribution of Y; Marginal expectation of X; Marginal expectation of Y;
Marginal variance of X; marginal variance of Y.




Joint pmf of X and Y:
If the tabular representation of the joint distribution is inadequate (e.g. with infinite
number of values of X or Y or both), then the cell probabilities could be generated from a
function f(x,y)= P[X=x, Y=y] so that

X Y
f(x,y) = 1, f(x,y) 0

Example:
1. Is the following function a pmf? ( )


Solution: ( ) ( )

[ ] . Hence it is a pmf.
2. ( )

(Work yourself: Hint p


x

q
1-x
is pmf of
Bernoulli distribution)
Marginal pmf:
The marginal pmf of Y is obtained from the joint pmf as follows:
( )

() [ ]
Similarly, () can be defined.
Marginal expectation of X:
[] ()

, where f (x) is the marginal pmf.


Example:
( )

The marginal distribution of X is given as


()

. E[X] = p.
Conditional Probability:
P[X=x|Y=y]=
[]
[]
.


Eaxmple: From the above table we observe the following:
P[ X=x/Y=30] = 10/29, if x=0
19/29, if x=30
0 , if x=60
0 , if x=9
Q2. Find the following:
P[X=x|Y=60], P[X=x| Y=90] (Work out on your own)
Conditional Mean and Variance:
E(X|Y=y)= m(y)= [ ]

, V(X/Y=y) = h(y)= [

[ ]
Joint distribution characteristics:
E (XY) =

X Y
XY P[X=x, Y=y]
= 0[30* P[X=0,Y=30] + ] + 30[ 30. P[X=30, Y= 30] + .] + 60[60.P[X=30,
Y=60].]+ 90[90.P[X=30, Y=90]+.]
COVARIANCE:
Motivation: If all the points are distributed over quadrants I and III (i.e of same sign), then their
product XY >0. This indicates that X and Y change in the same direction. Similarly, if they are
distributed over quadrats II and IV, then they change in opposite direction.
The following figure indicates how X & Y correspond to each other.
Fig:






If X and Y are centred about their mean then expectation of the centred variables is known as
covariance.
Cov (X, Y) =
xy
=

X Y
[x-E(X)] [y-E(y)] f(x,y)
=

X Y
xy f(x,y) - E(X)E(Y)


Example:
1. Calculate Cov(x,y) in the example in the table given (Use EXCEL) (Work on your own)

Correlation Coefficient:
If X and Y are standardized to make them unit free and comparable, then the covariance between
the standardized X & Y is called the correlation coefficient (

).

( )


where

are standard deviations of X and Y respectively.


Important Results:
a.

is symmetric
b.

ranges within [-1,1]


c.

measures the strength of linear relationship




[]

[]

[]

( []) ,
i. e linear relationship.

INDEPENDENCE OF RANDOM VARIABLES:
X and Y are independent if
P[X=xY=y] = P[X=x] P[Y=y]
i.e. ( ) ()()
Consequences:
E(XY) =

X Y
xy P[X=x, Y=y]
=

X Y
xy P[X=x] P[Y=y]
=

X
x P[X=x]

Y
yP[Y=y]
=E(x) E(y)

Sum law of expectation: E(aX+bY) =aE(X)+bE(Y)
Extension to n variables:
E(C
1
X
1
+ C
2
X
2
+ C
3
X
3
+..+ C
n
X
n
) =

n
i 1
C
i
E(X
i
) H.W
Variance of sum:
V(X+Y) =V(X)+V(Y)+2COV(X,Y) (H.W)
Extension:
V(C
1
X
1
+ C
2
X
2
+ C
3
X
3
+..+ C
n
X
n
) =

n
i 1
C
i
2

V(X
i
) + 2

j i
C
i
C
j
Cov(X
i
, Y
j
)
( ) , but not the converse.
Continuous case for multiple variables
Joint pdf, marginal pdf and conditional pdfs are defined in a similar way to joint pmf and related
discrete counterparts. Here the sum is replaced by integration and pdf does not indicate
probability. It is just a function integrating which over a set A one may get the probability of the
set .
Joint pdf of X and Y:
Suppose X & Y are continuous and is any set. The probability that ( ) could be
obtained by integrating a function f(x,y) so that

f(x,y) 0 & ( )


Similarly other results from discrete distributions can be extended here.


Likelihood of independent rvs
Likelihood is the joint pdf/pmf of the variables.
f(x
1
, x
2
..,x
n
) =

n
i 1
f(x
i
)
Function of a Random variable:
E[g(x)] = {
()[ ]

()()

V[g(x)] = E[g
2
(x)] E
2
[g(x)]

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