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Joint Distributions

This document defines key concepts for joint (multivariate) distributions including the joint probability function, marginal functions, conditional probability, moments, covariance, correlation, and the bivariate normal distribution. It provides mathematical definitions for these concepts including formulas for the joint mass/density function, expected value, variance, covariance, correlation coefficient, and properties of multivariate normal distributions.

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46 views2 pages

Joint Distributions

This document defines key concepts for joint (multivariate) distributions including the joint probability function, marginal functions, conditional probability, moments, covariance, correlation, and the bivariate normal distribution. It provides mathematical definitions for these concepts including formulas for the joint mass/density function, expected value, variance, covariance, correlation coefficient, and properties of multivariate normal distributions.

Uploaded by

Phạm Đình Quyền
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOC, PDF, TXT or read online on Scribd
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Joint (Multivariate) Distributions

Joint Probability Function: f ( x, y ) Pr( X x, Y y )

f ( x ) Pr( X x ) f ( x, y )
all y
Marginal Functions: (similar for y)
f ( x ) Pr( X x ) f ( x, y )dy
y

f x , y ( x, y )
Conditional Probability: f X ( x Y y )
f y ( y)
b d

Joint Continuous Probability: Pr( a X b, c y d ) f ( x, y )dydx


a c

Moments:

E[ g ( x, y )] g ( x, y ) f
all x , y
X ,Y ( x, y ) or

E[ g ( x, y )] g ( x, y ) f
x y
X ,Y ( x, y )dydx

E[ X ] x x f
all x , y
X ,Y ( x, y ) or E[ X ] x x f X ,Y ( x, y )dydx
x y

2 var( x ) (x )
all x , y
2
f X ,Y ( x, y ) or

2 var( x) (x )
2
f X ,Y ( x, y )dydx
x y

E[ X Y ] E[ X ] E[Y ]
E[ XY ] E[ X ] E[Y ] - If X and Y are independent
var( X Y ) var( X ) var(Y )

Joint MGF

M X ,Y ( s, t ) E e sX tY
If X and Y are independent and Z = X + Y
M Z (t ) M X (t ) M Y (t )

Conditional Expectation (Expected value of X given event F has occurred)


E[ X F ] xf ( x F )
x
E[ X F ] xf ( x F )
x

Conditional Variance

var( X F ) E X 2 F E[ X F ] or
2

var( X F ) E X E[ X F ] F
2

var(Y ) E var Y X var E Y X

Double Expectation
E[Y ] E E[Y X ]
Covariance
cov( X , Y ) E[ XY ] E[ X ]E[Y ] or cov( X , Y ) E ( X E[ X ])(Y E[Y ])
If X and Y are independent cov(X,Y)=0

cov(aX bY , Z ) a cov( X , Z ) b cov(Y , Z )

var(aX bY ) a 2 var( X ) b 2 var(Y ) 2ab cov( X , Y )


Also var(aX bY ) cov(aX bY , aX bY )

Correlation Coefficient
cov( X , Y )

x y

Bivariate Normal Distribution Properties

>>>>>>> add information <<<<<<<<<<<

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