Addis Ababa Institute of Technology(AAiT)

Department of Electrical & Computer Engineering

Probability and Random Process (ECEG 2113)

Chapter 3: Multiple Random Variables

 Multiple Random Variables
Outline
 Introduction
 The Joint Cumulative Distribution Function
 The Joint Probability Density and Mass Functions
 Marginal Statistics
 Independence
 Conditional Distributions
 Correlation and Covariance
 Functions of Two Random Variables

Semester-I, 2017 By Habib M. 2

 One Function of Two Random Variables

Given two random variables X and Y and a function g(x,y),

we form a new random variable Z as

Z  g ( X , Y ).

Given the joint pdf f XY ( x, y ), how does one obtain f Z (z ),

the pdf of Z ? Problems of this type are of interest from a
practical standpoint. For example, a receiver output signal
usually consists of the desired signal buried in noise, and
the above formulation in that case reduces to Z = X + Y.
Semester-I, 2017 3
It is important to know the statistics of the incoming signal
for proper receiver design. In this context, we shall analyze
problems of the following type:
X Y
max( X , Y ) X Y
min( X , Y ) Z  g ( X ,Y ) XY

X 2 Y 2 X /Y
tan 1 ( X / Y )

The cdf of Z is given by:

FZ ( z )  P Z ( )  z   P  g ( X , Y )  z 
  f XY ( x, y ) dxdy,
Semester-I, 2017 x, y 4
Example -1: Let Z = X + Y. Find f Z (z ).
Solution:
 z y
FZ ( z )  P  X  Y  z     f XY ( x, y )dxdy,
y   x  

Since the required region in the xy plane where x  y  z is

the shaded area shown below to the left of the line x  y  z.
Integrating over the horizontal strip along the x-axis first
(inner integral) followed by sliding that strip along the y-axis
from   to   (outer integral) we cover the entire shaded
area. y

x z y

x
Semester-I, 2017 5
 We can find f Z (z) by differentiating FZ (z ) directly. In this
context, it is useful to recall the differentiation rule by
Leibnitz. Suppose
b( z )
H ( z)   a( z)
h( x, z )dx.
Then,
b ( z ) h ( x , z )
h b( z ), z   h a ( z ), z   
dH ( z ) db( z ) da( z )
 dx.
dz dz dz a ( z ) z
Using the above two equations, we get
  z y   z  y f
 XY ( x, y ) 

fZ ( z)     f XY ( x, y )dx  dy    f XY ( z  y , y )  0    dy
 z  z
  
 


 f XY ( z  y, y )dy. (i)


Alternatively, the above integration can be carried out first

along the y-axis
Semester-I, 2017 followed by the x-axis as below. 6
In the second case
 zx
 
y
FZ ( z )  f XY ( x, y )dydx,
x   y  

and differentiating the above

y zx
equation gives
dFZ ( z )    z x 
fZ ( z)     y  f XY ( x, y )dy dx x
dz x  
 z 

 f XY ( x, z  x )dx. (ii)
x  

If X and Y are independent, then

f XY ( x, y )  f X ( x) fY ( y ) (iii)

and inserting equation (iii) into equations (i) and (ii), we get
 
f Z ( z)   f X ( z  y ) fY ( y )dy   f X ( x ) fY ( z  x )dx. (iv)
y   x  
Semester-I, 2017 7
The above integral is the standard convolution of the
functions f X (z ) and fY (z) expressed two different ways. We
thus reach the following conclusion: If two random variables
are independent, then the density of their sum equals the
convolution of their density functions.
As a special case, suppose that f X ( x)  0 for x  0 and fY ( y )  0
for y  0, then we can use the following figure to determine
the pdf of Z.
y

(z ,0)

x z y
x
(0, z )
Semester-I, 2017 8
In the above case,
z z y
FZ ( z )    f XY ( x, y )dxdy
y 0 x 0

or
 z

f Z ( z )     f XY ( x, y )dx  dy  0 XY
z   z  y   f ( z  y, y )dy, z  0,
y 0 z x 0
  
 0, z  0.
On the other hand, by considering vertical strips first in
above figure, we get
z z x
FZ ( z )    f XY ( x, y )dydx
x 0 y 0

or
 z f ( x ) f ( z  x )dx, z  0,
f XY ( x, z  x )dx    y 0 X
z
fZ ( z)   Y
x 0
 0, z  0,
if X and Y are independent random variables.
Semester-I, 2017 9
Example-2: Suppose X and Y are independent exponential
r.vs with common parameter , and let Z = X + Y.
Determine f Z (z).
Solution: We have f X ( x)  e xU ( x), fY ( y )  e yU ( y ),
and we can make use of the above equations to obtain the
pdf of Z = X + Y.
z z
 e 
 x  ( z  x )
fZ ( z)  2
e dx  e
2  z
dx  z2 e zU ( z ).
0 0

As the next example shows, care should be taken in using

the convolution formula for r.vs with finite range.
Example-3: X and Y are independent uniform r.vs in the
common interval (0,1). Determine f Z (z), where Z = X + Y.
Solution: Clearly, Z  X  Y  0  z  2 here, and as following
figure shows there are two cases of z for which the shaded
areas are quite different in shape and they should be 10
 y y

x z y
x z y
x x
(a ) 0  z  1 (b) 1  z  2

For 0  z  1,
z z y z z2
FZ ( z )    1 dxdy   ( z  y )dy  , 0  z  1.
y 0 x 0 y 0 2
For 1  z  2, notice that it is easy to deal with the unshaded
region. In that case
FZ ( z )  1  P Z  z   1  
1 1

y  z 1  x  z  y
1 dxdy
1 (2  z )2
Semester-I,
 1 
2017
(1  z  y )dy  1  , 1  z  2. 11
y  z 1 2
Finally, differentiating the cdf, we obtain
dFZ ( z )  z 0  z  1,
fZ ( z)  
dz  2  z , 1  z  2.
By direct convolution of f X (x) and fY ( y ), we obtain the
same result as above. In fact, for 0  z 1 [Figure (a)]
z
f Z ( z )   f X ( z  x ) fY ( x )dx   1 dx  z.
0

and for 1 z  2 [Figure (b)]

1
fZ ( z)   1 dx  2  z.
z 1

Figure (c) shows f Z (z) which agrees with the convolution

of two rectangular waveforms as well.

Semester-I, 2017 12
 fY (x ) f X ( z  x) f X ( z  x ) fY ( x )

x x x
1 z 1 z z

(a ) 0  z  1

fY (x ) f X ( z  x) f X ( z  x ) fY ( x )

x x x
1 z 1 z
z 1 1
(b) 1  z  2

f Z (z )

z
0 1 2

Semester-I, 2017
(c) 13
Example-4: Let Z  X  Y . Determine its pdf f Z (z ).
Solution:
 z y
FZ ( z )  P  X  Y  z     f XY ( x, y )dxdy
y   x  

and hence
dFZ ( z )    z y  
fZ ( z) 
dz
  y  
 z
 x 
f XY ( x, y )dx  dy 

 
f XY ( y  z , y )dy.

If X and Y are independent, then the above formula reduces

to 
fZ ( z)   f X ( z  y ) fY ( y )dy  f X (  z )  fY ( y ),


which represents the convolution of f X (  z ) with fY (z ).

y

y x y  z
x yz
x

Semester-I, 2017 14
As a special case, suppose
f X ( x)  0, x  0, and fY ( y )  0, y  0.

In this case, Z can be negative as well as positive, and that

gives rise to two situations that should be analyzed
separately, since the region of integration for z  0 and z  0
are quite different. For z  0, from Figure (a) y
 z y
FZ ( z )    f XY ( x, y )dxdy x z y
y 0 x 0
x
and for z  0, from Figure (b) z
z
(a)
 z y
FZ ( z )    f XY ( x, y )dxdy y
y  z x 0

After differentiation, this gives x z y

z
  f ( z  y , y )dy,
  XY z  0, x
f Z ( z )   0 
 f XY ( z  y , y )dy, z  0. (b)

  z
Semester-I, 2017 15
Example-5: Given Z = X / Y, obtain its density function.
Solution: We have FZ ( z)  P X / Y  z  .
The inequality X / Y  z can be rewritten as X  Yz if Y  0,
and X  Yz if Y  0.
P  X / Y  z   P  X / Y  z, Y  0  P  X / Y  z, Y  0
 P  X  Yz , Y  0   P  X  Yz , Y  0  .

Figure (a) shows the area corresponding to the first term,

and Figure (b) shows that corresponding to the second term
in the above equation.
y
y
x  yz
x  yz x

x
(b)
(a)

Semester-I, 2017 16
Integrating over these two regions, we get
 yz 0 
FZ ( z )    f XY ( x, y )dxdy    f XY ( x, y )dxdy.
y 0 x   y   x  yz

Differentiation with respect to z gives

 0
f Z ( z )   yf XY ( yz, y )dy   (  y ) f XY ( yz, y )dy
0 

  | y | f XY ( yz, y )dy,    z  .


Note that if X and Y are nonnegative random variables, then

the area of integration reduces to that shown below
y
x  yz

Semester-I, 2017 17
Exercise

The joint pdf of two random variables X and Y is given by:

x  y , 0  x  1, 0  y  1
f XY ( x, y )  
0 , otherwise
Find the pdf of Z if :

a. Z  X  Y c. Z  XY

X
b. Z  d. Z  X  Y
Y

Semester-I, 2017 18
Assignment-III
1. Suppose that two continuous random variables X and Y have
joint pdf given by:
k ( 2 x  y ) , 2  x  6, 0  y  5
f XY ( x, y )  
0 , otherwise
whe re k is a constant.
a. Find the constant k .
b. Find the joint cdf of X and Y .
c. Find the marginal cdf and pdf of X and Y .
d . Are X and Y independent?
e. Find the conditional pdf of X and Y .
e. Evaluate the following probabilities.
i. P (3  X  4, Y  2) iii. P ( X  Y  4)
Semester-I, 2017 ii. P ( X  3) iv. P (0  Y  2) 19
Assignment-III Cont’d……

2. Let the joint pmf of two discrete random variables X and Y is

given by:
k ( xi  y j ) , xi  1, 2, 3; y  1, 2
PXY ( xi , y j )  
0 , otherwise
whe re k is a constant.
a. Find the value of k .
b. Find the marginal pmf of X and Y .
c. Are X and Y independent?

Semester-I, 2017 20
Assignment-III Cont’d…..
3. Suppose that two continuous random variables X and Y are
independent and uniform in the interval (0, 4).
Find the pdf of Z if :
a. Z  X  Y

b. Z  Y  X

c. Z  X  Y

d . Z  XY

Y
e. Z 
X

Semester-I, 2017 21