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1.017/1.010 Class 11 Multivariate Probability: Multiple Random Variables

This document discusses multivariate probability distributions involving two random variables. It defines multivariate probability density functions, covariance, and correlation. It provides examples of the bivariate normal distribution and generating correlated normal samples in MATLAB.

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Dr. Ir. R. Didin Kusdian, MT.
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75 views3 pages

1.017/1.010 Class 11 Multivariate Probability: Multiple Random Variables

This document discusses multivariate probability distributions involving two random variables. It defines multivariate probability density functions, covariance, and correlation. It provides examples of the bivariate normal distribution and generating correlated normal samples in MATLAB.

Uploaded by

Dr. Ir. R. Didin Kusdian, MT.
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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1.017/1.

010 Class 11
Multivariate Probability

Multiple Random Variables

Recall the dart tossing experiment from Class 4. Treat the 2 dart
coordinates as two different scalar random variables x and y.

In this experiment the experimental outcome is the location where the dart
lands. The random variables x and y both depend on this outcome (they
are defined over the same sample space). In this case we can define the
following events:

A = [ x (ξ ) ≤ x] B = [ y (ξ ) ≤ y ] C = [ x (ξ ) ≤ x, y (ξ ) ≤ y ] = A I B = AB

x and y are independent if A and B are independent events for all x and y:

P(C) = P(AB) = P(A)P(B)

Another example …

Consider a time series constructing from a sequence of random variables


defined at different times (a series of n seismic observations or stream
flows x1, x2, x3, …, xn.). Each possible time series can be viewed as an
outcome ξ of an underlying experiment. Events can be defined as above:

Ai = [ x i (ξ ) ≤ xi ] Aij = [ x i (ξ ) ≤ xi , x j (ξ ) ≤ x j ] = Ai I A j = Ai A j

xi and xj are independent if:

P(Aij) = P(Ai Aj) = P(Ai)P(Aj)

Multivariate Probability Distributions

Multivariate cumulative distribution function (CDF), for x, y continuous


or discrete:

Fxy ( x, y ) = P[( x (ξ ) ≤ x)( y (ξ ) ≤ y )]

Multivariate probability mass function (PMF), for x, y discrete:

p xy ( xi , y j ) = P[( x (ξ ) = xi )( y (ξ ) = y j )]

Multivariate probability density function (PDF), for x, y continuous:

1
∂ 2 Fxy ( x, y )
f xy ( x, y ) =
∂x∂y

If x and y are independent:

Fxy ( x, y ) = P[ x ≤ x]P[ y ≤ y ] = Fx ( x) F y ( y )
p xy ( xi , y j ) = p x ( x i ) p y ( y j )
f xy ( x, y ) = f x ( x) f y ( y )

Computing Probabilities from Multivariate Density Functions

Probability that (x, y)∈ the region D:

P [( x, y ) ∈ D] = ∫ f ( x, y ) dxdy
xy
( x, y ) ∈ D

Covariance and Correlation

Dependence between random variables x and y is frequently described with the


covariance and correlation:

+∞

Cov ( x , y ) = E[( x - x )( y - y )] = ∫ ( x - x )( y - y) f
-∞
xy ( x,y ) dx dy

Cov ( x, y ) Cov ( x, y )
Correl ( x , y ) = 1/ 2
=
[Var ( x )Var ( y )] Std ( x ) Std ( y )

Uncorrelated x and y: Cov(x, y) = Correl (x, y) = 0

Independence implies uncorrelated (but not necessarily vice versa)

Examples

Two independent exponential random variables (parameters ax and ay):

1  x 1  y 1  x y
f xy ( x, y ) = f x ( x) f y ( y ) = exp −  exp −  = exp − − 
ax  ax  a y  a y  a x a y  a x a y 

ax = E(x), ay = E(y), Correl(x,y) = 0

2
Two dependent normally distributed random variables (parameters µx, µy, σx ,
σy, and ρ):

1   ( Z − µ )' C −1 ( Z − µ )  
f xy ( x, y ) = 0.5
exp−  
2π C   2 

Z = vector of random variables = [x y]′

µ = vector of means = [ E(x) E(y) ] ′

 σ x2 ρσ xσ y 
C = covariance matrix = C =  
 ρσ xσ y σ y2 

σx = Std(x), σy = Std(y), ρ = Correl(x,y)

|C| = determinant of C = σ x2σ y2 (1 − ρ 2 )

-1 1  σ y2 − ρσ xσ y 
C = inverse of C =  
C − ρσ xσ y σ x2 

Multivariate probability distributions are rarely used except when:

1. The random variables are independent


2. The random variables are dependent but normally distributed

Exercise:

Use the MATLAB function mvnrnd to generate scatterplots of correlated


bivariate normal samples. This function takes as arguments the means of x and
y and the covariance matrix defined above (called SIGMA in the MATLAB
documentation).

Assume E[x] = 0, E[y] = 0, σx = 1, σy = 0. Use mvnrnd to generate 100 (x, y)


realizations . Use plot to plot each of these as a point on the (x,y) plane (do not
connect the points). Vary the correlation coefficient ρ to examine its effect on
the scatter. Consider ρ = 0., 0.5, 0.9. Use subplot to put plots for all 3 ρ values
on one page.

Copyright 2003 Massachusetts Institute of Technology


Last modified Oct. 8, 2003

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