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Joint and Conditional Cdfs and PDFS: Nick Kingsbury

This document defines joint and conditional cumulative distribution functions (cdfs) and probability density functions (pdfs) as follows: 1) The joint cdf is the probability that both random variables X and Y are less than or equal to x and y. The conditional cdf is the probability X is less than or equal to x given that Y is less than or equal to y. 2) Joint and conditional pdfs are defined in terms of the corresponding cdfs. The joint pdf is the partial derivative of the joint cdf with respect to x and y. The conditional pdf is the partial derivative of the conditional cdf with respect to x. 3) Rules are provided for the conditional cdf and pdf, Bayes' rule

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38 views2 pages

Joint and Conditional Cdfs and PDFS: Nick Kingsbury

This document defines joint and conditional cumulative distribution functions (cdfs) and probability density functions (pdfs) as follows: 1) The joint cdf is the probability that both random variables X and Y are less than or equal to x and y. The conditional cdf is the probability X is less than or equal to x given that Y is less than or equal to y. 2) Joint and conditional pdfs are defined in terms of the corresponding cdfs. The joint pdf is the partial derivative of the joint cdf with respect to x and y. The conditional pdf is the partial derivative of the conditional cdf with respect to x. 3) Rules are provided for the conditional cdf and pdf, Bayes' rule

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OpenStax-CNX module: m10986 1

Joint and Conditional cdfs and pdfs *

Nick Kingsbury
This work is produced by OpenStax-CNX and licensed under the
„
Creative Commons Attribution License 1.0

1 Cumulative distribution functions


We dene the joint cdf to be
F (x, y) = P r [(X ≤ x) ∧ (Y ≤ y)] (1)
and conditional cdf to be
F (x|y) = P r [ X ≤ x | Y ≤ y] (2)
Hence we get the following rules:
• Conditional probability (cdf ):

F (x|y) = P r [ X ≤ x | Y ≤ y]
F (x,y)
(3)
= FY (y)

• Bayes Rule (cdf ):


F (y|x) F (x)
F (x|y) = (4)
F (y)
• Total probability (cdf ):
F (x, ∞) = F (x) (5)
which follows because the event Y ≤ ∞ itself forms a partition of the sample space.
Conditional cdf's have similar properties to standard cdf's, i.e.
FX|Y (−∞|y) = 0

FX|Y (∞|y) = 1

* Version 2.8: Jun 7, 2005 4:08 pm -0500


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http://cnx.org/content/m10986/2.8/
OpenStax-CNX module: m10986 2

2 Probability density functions


We dene joint and conditional pdfs in terms of corresponding cdfs. The joint pad is dened to be
∂ 2 F (x, y)
f (x, y) = (6)
∂x∂y
and the conditional pdf is dened to be
∂ dF (x|Y =y)
f (x|y) = d
(7)
∂x
where
F 0 (x|Y = y) = P r [ X ≤ x | Y = y]
Note that F 0 (x|Y = y) is dierent from the conditional cdf F (x|Y = y), previously dened, but there is a
slight problem. The event, Y = y , has zero probability for continuous random variables, hence probability
conditional on Y = y is not directly dened and F 0 (x|Y = y) cannot be found by direct application of
event-based probability. However all is OK if we consider it as a limiting case:
F 0 (x|Y = y) = limit P r [ X ≤ x | y < Y ≤ y + δ (y)]
δ(y)→0

= limit F (x,y+δ(y))−F (x,y)


(8)
δ(y)→0 FY (y+δ(y))−FY (y)
∂ F (x,y)
∂y
= fY (y)

Joint and conditional pdfs have similar properties and interpretation to ordinary pdfs:
f (x, y) > 0
Z Z
f (x, y) dxdy = 1

f (x|y) > 0
Z
f (x|y) dx = 1

From now on interpret as unless otherwise stated.


R R∞
note:
−∞
For pdfs we get the following rules:
• Conditional pdf:
f (x, y)
f (x|y) = (9)
f (y)
• Bayes Rule (pdf ):
f (y|x) f (x)
f (x|y) = (10)
f (y)
• Total Probability (pdf ):
R R
f (y|x) f (x) dx = f (y, x) dx
(11)
R
= f (y) f (x|y) dx
= f (y)
The nal result is often referred to as the Marginalisation Integral and f (y) as the Marginal
Probability.

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