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Two Dimensional Random Variable

This document discusses two dimensional random variables. It defines a two dimensional random variable as a pair (X,Y) of random variables defined on the same sample space. It describes discrete and continuous bivariate random variables. It discusses joint and marginal probability mass/density functions, conditional probability mass/density functions, independence of random variables, moments, covariance, correlation coefficient, and regression lines of two dimensional random variables. It also discusses how the joint probability density function transforms under transformations of random variables.

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1K views4 pages

Two Dimensional Random Variable

This document discusses two dimensional random variables. It defines a two dimensional random variable as a pair (X,Y) of random variables defined on the same sample space. It describes discrete and continuous bivariate random variables. It discusses joint and marginal probability mass/density functions, conditional probability mass/density functions, independence of random variables, moments, covariance, correlation coefficient, and regression lines of two dimensional random variables. It also discusses how the joint probability density function transforms under transformations of random variables.

Uploaded by

RajaRaman.G
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Two Dimensional Random Variables

Two dimensional random variable

Let S be the sample space of a random experiment. Let X and Y be two random
variables defined on S. Then the pair (X,Y) is called a two dimensional random variable.

Discrete bivariate random variable

If both the random variables X and Y are discrete then (X,Y) is called a discrete random
variable.

Joint Probability mass function

Let X take values {x1 , x 2 , …, x n } and Y take values { y1 , y 2 ,… , y m } . Then


p ( xi , y j ) = P ( X = xi , Y = y j ) = P ( X = xi ∩ Y = y j ) . {xi, yj, p(xi,yj)} is called joint
probability mass function.

Marginal Probability Mass Function of X

{xi , p X ( xi )} is called the marginal probability mass function of X where


m
p X ( xi ) = ∑ p ( xi , y j ) .
j =1

Marginal Probability Mass Function of Y

{ y j , pY ( y J )} is called the marginal probability mass function of Y where


n
pY ( y j ) = ∑ p ( xi , y j ) .
i =1

Conditional Probability Mass Function

p ( xi , y j )
• Of X given Y=yj PX / Y ( xi / y j ) = , i = 1,2,… , n
pY ( y j )
p( xi , y j )
• Of Y given X=xi PY / X ( y j / xi ) = , j = 1,2,… , m
p X ( xi )

Independent Random Variables

Two random variables X and Y are said to be independent if


p ( xi , y j ) = p X ( xi ) pY ( y j ) , i = 1,2,… , n ; j = 1,2,… , m

Dr. R. Sujatha / Dr. B. Praba, Maths Dept., SSNCE.


Continuous bivariate random variable

If X and Y are both continuous then (X,Y) is a continuous bivariate random variable.

Joint Probability Density Function

If (X,Y) is a two dimensional continuous random variable such that

 dx dx dy dy 
Px − ≤ X ≤ x+ ∩y− ≤ Y ≤ y +  = f XY ( x, y )dxdy then f(x,y) is called the
 2 2 2 2
joint pdf of (X,Y) provided (i) f ( x, y ) ≥ 0, ∀( x, y ) ∈ R XY (ii) ∫∫ f ( x, y )dxdy = 1 .
R XY

Joint Distribution Function


x y
FXY ( x, y ) = P( X ≤ x, Y ≤ y ) = ∫ ∫ f ( x, y )dydx
−∞ − ∞

∂ 2 F ( x, y )
Note: f ( x, y ) =
∂x∂y

Marginal Probability Density Function

∞
• Of X f X ( x) = ∫ f ( x, y )dy
−∞
∞
• Of Y f Y ( y ) = ∫ f ( x, y )dx
−∞
Marginal Probability Distribution Function
x
• Of X FX ( x) = ∫ f X ( x)dx
−∞
y
• Of Y FY ( y ) = ∫ f Y ( y )dy
−∞
Conditional Probability Density Function
f ( x, y )
• Of Y given X = x f Y / X ( y / x) =
f X ( x)
f ( x, y )
• Of X given Y = y f X / Y ( x / y ) =
f Y ( y)
Independent random variables

X and Y are said to be independent if f ( x, y ) = f X ( x) f Y ( y ) i.e, F ( x, y ) = FX ( x) FY ( y ) .

Dr. R. Sujatha / Dr. B. Praba, Maths Dept., SSNCE.


Moments of two dimensional random variable

The (m, n)th moment of a two dimensional random variable (X,Y) is


µ mn = E ( X mY n ) = ∑ ∑ xi m y j n p( xi , y j ) (discrete case)
i j
∞ ∞
= ∫ ∫ x m y n f ( x, y )dxdy (continuous case)
−∞ − ∞

Note : (1) when m=1,n=1 we have E(XY)

(2) when m = 1, n = 0 we have E ( X ) = ∑ ∑ xi p( xi , y j ) = ∑ xi p X ( xi ) (discrete)


i j i
∞ ∞ ∞
= ∫ ∫ xf ( x, y )dxdy = ∫ xf X ( x)dx (continuous)
−∞ − ∞ −∞

(3) when m = 0, n = 1 we have E (Y ) = ∑ ∑ y j p( xi , y j ) = ∑ y j pY ( y j ) (discrete)


i j j
∞ ∞ ∞
= ∫ ∫ yf ( x, y )dxdy = ∫ yf Y ( y )dy (continuous)
−∞ − ∞ −∞

(4) E ( X ) = ∑ xi p X ( xi ) (discrete)
2 2

i
∞
= ∫ x 2 f X ( x)dx (continuous)
−∞

(5) E (Y 2 ) = ∑ y j pY ( y j ) (discrete)
2

j
∞
= ∫ y 2 f Y ( y )dy (continuous)
−∞

Covariance

Cov( X , Y ) = E[( X − X )(Y − Y )] = E ( XY ) − XY

Note: (1) If X and Y are independent then E(XY)=E(X)E(Y). (Multiplication theorem


for expectation). Hence Cov(X,Y)=0.

(2) Var(aX+bY)=a2Var(X)+b2Var(Y)+2abCov(X,Y).

Correlation Coefficient

This is measure of the linear relationship between any two random variables X and Y.
The Karl Pearson’s Correlation Coefficient is

Dr. R. Sujatha / Dr. B. Praba, Maths Dept., SSNCE.


Cov( X , Y )
ρ = r( X ,Y ) =
σ XσY
Note: Correlation coefficient lies between -1 and 1.

Regression lines

σX
The regression line of X on Y: X − X = r (Y − Y )
σY
σ
The regression line of Y on X: Y − Y = r Y ( X − X )
σX

r- Correlation coefficient of X and Y.

Transformation of random variables


Let X, Y be random variables with joint pdf f XY ( x, y ) and let u(x, y) and be v(x, y) be
two continuously differentiable functions. Then U = u(x, y) and V = v(x, y) are random
variables. In other words, the random variables (X, Y) are transformed to random
variables (U, V) by the transformation u = u(x, y) and v = v(x, y).
The joint pdf gUV (u,v ) of the transformed variables U and V is given by

gUV (u , v ) = f XY ( x, y ) J

∂x ∂y
∂ ( x, y ) ∂u ∂u i.e., it is the modulus value of the Jacobian of
where |J| = =
∂ (u, v ) ∂x ∂y
∂v ∂v
transformation and f XY ( x, y ) is expressed in terms of U and V.

Dr. R. Sujatha / Dr. B. Praba, Maths Dept., SSNCE.

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