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Bivariate Normal Distribution:: X y X F

This document discusses the bivariate normal distribution and its properties. It defines the bivariate normal distribution using means (μ1, μ2), standard deviations (σ1, σ2), and correlation (ρ). It notes that: (1) The marginal distributions of X and Y are normal; (2) The correlation coefficient between X and Y is ρ; (3) The conditional distributions of X given Y and Y given X are also normal.

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33 views4 pages

Bivariate Normal Distribution:: X y X F

This document discusses the bivariate normal distribution and its properties. It defines the bivariate normal distribution using means (μ1, μ2), standard deviations (σ1, σ2), and correlation (ρ). It notes that: (1) The marginal distributions of X and Y are normal; (2) The correlation coefficient between X and Y is ρ; (3) The conditional distributions of X given Y and Y given X are also normal.

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STAT 410

Fall 2016

Bivariate Normal Distribution:


f (x, y ) =

1
2 1 2

1 2

2 1 2

exp

x 1

x 1
2

y 2
+
2

y 2

< x < , < y < .

(a)

the marginal distributions of X and Y are N 1 , 12 and N 2 , 22 ,

respectively;
(b)

the correlation coefficient of X and Y is


independent if and only if

(c)

2
( x 1 ), (1 2 ) 22 ;
1

the conditional distribution of X, given Y = y, is

N 1 +

(e)

= 0;

the conditional distribution of Y, given X = x, is

N 2 +
(d)

XY = , and X and Y are

1
( y 2 ), (1 2 ) 12 .
2

a X + b Y is normally distributed with


mean E ( a X + b Y ) = a 1 + b 2
variance

and

Var ( a X + b Y ) = a 2 12 + 2 a b 1 2 + b 2 22.

= 0.0

= 0.3

= 0.6

= 0.9

1.

A large class took two exams. Suppose the exam scores X (Exam 1) and
Y (Exam 2) follow a bivariate normal distribution with

1 = 70,
2 = 60,

1 = 10,
2 = 15,

= 0.6.

a)

A students is selected at random. What is the probability that his/her score


on Exam 2 is over 75?

b)

Suppose you're told that a student got a 80 on Exam 1. What is the


probability that his/her score on Exam 2 is over 75?

c)

Suppose you're told that a student got a 66 on Exam 1. What is the


probability that his/her score on Exam 2 is over 75?

d)

Suppose you're told that a student got a 70 on Exam 2. What is the


probability that his/her score on Exam 1 is over 80?

e)

A students is selected at random. What is the probability that the sum


of his/her Exam 1 and Exam 2 scores is over 150?

f)

What proportion of students did better on Exam 1 than on Exam 2?

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