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Module 2 Esla Notes

This document discusses multiple random variables and their distributions. It defines a bivariate random variable (X,Y) as a pair of random variables where each variable is a function that assigns a real number to each outcome in the sample space. It then discusses joint distribution functions, both the joint cumulative distribution function (CDF) for continuous variables and the joint probability mass function (PMF) for discrete variables. It also discusses marginal distributions, conditional distributions, and introduces some specific bivariate distributions like the multinomial and bivariate normal. It concludes with some practice problems involving finding ranges, joint and marginal distributions, and assessing independence for various experiments with multiple random variables.

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Govind M Roddannavar
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478 views11 pages

Module 2 Esla Notes

This document discusses multiple random variables and their distributions. It defines a bivariate random variable (X,Y) as a pair of random variables where each variable is a function that assigns a real number to each outcome in the sample space. It then discusses joint distribution functions, both the joint cumulative distribution function (CDF) for continuous variables and the joint probability mass function (PMF) for discrete variables. It also discusses marginal distributions, conditional distributions, and introduces some specific bivariate distributions like the multinomial and bivariate normal. It concludes with some practice problems involving finding ranges, joint and marginal distributions, and assessing independence for various experiments with multiple random variables.

Uploaded by

Govind M Roddannavar
Copyright
© © All Rights Reserved
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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Engineering Statistics and Linear Algebra 18ec44

Engineering Statistics and Linear Algebra

MODULE 2

Multiple Random Variables

Let S be the sample space of a random experiment. Let X and Y be two r.v.'s. Then
the pair (X, Y) is called a bivariate r.v. (or two-dimensional random vector) if each of
X and Y associates a real number with every element of S. Thus, the bivariate r.v. (X,
Y) can be considered as a function that to each point p in S assigns a point (x, y) in
the plane The range space of the bivariate r.v. (X,Y) is denoted by 𝑹𝒙𝒚 and defined by

𝑹𝒙𝒚 = {(𝒙, 𝒚); 𝒑 ∈ 𝑺 𝒂𝒏𝒅 𝑿(𝒑) = 𝒙, )𝒀(𝒑) = 𝒚

If the r.v.'s X and Y are each, by themselves, discrete r.v.'s, then (X, Y) is called a
discrete bivariate r.v. Similarly, if X and Y are each, by themselves, continuous r.v.'s,
then (X, Y) is called acontinuous bivariate r.v. If one of X and Y is discrete while the
other is continuous, then (X, Y) is called a mixed bivariate r.v.

Fig: (X, Y) as a function from S to the plane.

JOINT DISTRIBUTION FUNCTIONS

Definition:
The joint cumulative distribution function (or joint cdf) of X and Y , denoted by
FXy(x, y), is thefunction defined by

Dept. of ECE, GMIT 1


Engineering Statistics and Linear Algebra 18ec44

The event (X 5 x, Y Iy) in Eq. (3.1) is equivalent to the event A n B, where A and B are events of S

defined by

Independent Random Variables:

Two r.v.'s X and Y will be called independent if

For every value of X and Y

Properties of 𝑭𝑿𝒀 (𝒙, 𝒚)

The joint cdf of two r.v.'s has many properties analogous to those of the cdf of a single r.v.

Dept. of ECE, GMIT 2


Engineering Statistics and Linear Algebra 18ec44

Marginal Distribution function

since the condition y≤ ∞ is always satisfied. Then

The cdf's 𝐹𝑋 (𝑥) and 𝐹𝑌 (𝑦)from above equations are referred to as marginal CDFs

DISCRETE RANDOM VARIABLES-JOINT PROBABILITY MASS FUNCTIONS

Joint Probability Mass Functions :


Let (X, Y) be a discrete bivariate r.v., and let (X, Y) take on the values (xi, yj) for a certain allowable
set of integers i and j. Let

The function pxy(xi, yj) is called the joint probability mass function (joint pmf) of (X, Y).

Properties of 𝑷𝑿𝒀 (𝒙, 𝒚)

Independent Random Variables:

If X and Y are independent r.v.'s, then

Dept. of ECE, GMIT 3


Engineering Statistics and Linear Algebra 18ec44

CONTINUOUS RANDOM VARIABLES-JOINT PROBABILITY DENSITY FUNCTIONS

Joint Probability Density Functions:

Let (X, Y) be a continuous bivariate r.v. with cdf FXdx, y) and let

Marginal Probability Density Functions:

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Engineering Statistics and Linear Algebra 18ec44

Independent Random Variables :

If X and Y are independent

CONDITIONAL DISTRIBUTIONS

A. Conditional Probability Mass Functions:

Dept. of ECE, GMIT 5


Engineering Statistics and Linear Algebra 18ec44

SPECIAL DISTRIBUTIONS

A. Multinomial Distribution:
The multinomial distribution is an extension of the binomial distribution. An experiment is
termed a multinomial trial with parameters 𝑃1 ,𝑃2 , , . . . , 𝑃𝐾 ,, if it has the following conditions:

1. The experiment has k possible outcomes that are mutually exclusive and exhaustive, say 𝐴1,
𝐴2……..𝐴𝐾

Bivariate Normal Distribution:

A bivariate r.v. (X, Y) is said to be a bivariate normal (or gaussian) r.v. if its joint pdf is given by

Dept. of ECE, GMIT 6


Engineering Statistics and Linear Algebra 18ec44

Dept. of ECE, GMIT 7


Engineering Statistics and Linear Algebra 18ec44

PROBLEM:

1.Two fair dice are thrown. Consider a bivariate r.v. (X, Y). Let X = 0 or 1 according to whether
the first die shows an even number or an odd number of dots. Similarly, let Y = 0 or 1 according
to the second die.
(a) Find the range Rxy of (X, Y).

(b) Find the joint pmf's of (X, Y).

2. Consider the binary communication channel shown in Fig. 3-4 (Prob. 1.52). Let (X, Y) be a
bivariate r.v., where X is the input to the channel and Y is the output of the channel. Let
P(X = 0) = 0.5, P(Y = 11 X = 0) = 0.1, and P(Y = 0 1 X = 1) = 0.2.
1.Find the joint pmf's of (X, Y).
2.Find the marginal pmf's of X and Y.
3.Are X and Y independent

Dept. of ECE, GMIT 8


Engineering Statistics and Linear Algebra 18ec44

4.Consider an experiment of drawing randomly three balls from an urn containing two red, three
white, and four blue balls. Let (X, Y) be a bivariate r.v. where X and Y denote, respectively, the
number of red and white balls chosen.
Find the range of (X, Y).
Find the joint pmf's of (X, Y).
Find the marginaI pmf's of X and Y.
Are X and Y independent?

Dept. of ECE, GMIT 9


Engineering Statistics and Linear Algebra 18ec44

Dept. of ECE, GMIT 10


Engineering Statistics and Linear Algebra 18ec44

Dept. of ECE, GMIT 11

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