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Example 4.23: Joint PDF of X and Y Follows

This document appears to be a chapter from a textbook on probability and statistics. It includes examples and proofs about the joint and marginal probability distributions of random variables, independence, correlation, the bivariate Gaussian distribution, the conditional expectation, and linear combinations of random variables. Many sections prove theorems showing that linear combinations of independent Gaussian random variables are also Gaussian.

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72 views19 pages

Example 4.23: Joint PDF of X and Y Follows

This document appears to be a chapter from a textbook on probability and statistics. It includes examples and proofs about the joint and marginal probability distributions of random variables, independence, correlation, the bivariate Gaussian distribution, the conditional expectation, and linear combinations of random variables. Many sections prove theorems showing that linear combinations of independent Gaussian random variables are also Gaussian.

Uploaded by

tahermoh
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 PDF, TXT or read online on Scribd
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Example

4.23
n Joint PDF of X and Y follows

n Are X and Y independent?

120 HSIEH: Probability and Statistics


Example 4.24
n Joint PDF of U and V follows

n Are U and V independent?

121 HSIEH: Probability and Statistics


Proof

123 HSIEH: Probability and Statistics


Example 4.25 Uniform distribution of X and Y over different
regions may have the same correlation coefficient

n Joint PMF of X and Y follows

n Are X and Y independent? Are X and Y uncorrelated?

124 HSIEH: Probability and Statistics


Event and Independence

125 HSIEH: Probability and Statistics


Exercise
n Let X1, X2, … Xn be iid continuous uniform (0, 1)
random variables (n≥1)
n Find the PDF of

129 HSIEH: Probability and Statistics


Generating Gaussian Random Variables

130 HSIEH: Probability and Statistics


Proof

131 HSIEH: Probability and Statistics


Bivariate Gaussian PDF (Take 2)
n Define

n The joint Gaussian PDF can be written as

F A product form where µY depends on x

139 HSIEH: Probability and Statistics


Proof

140 HSIEH: Probability and Statistics


Marginal PDF is Gaussian

142 HSIEH: Probability and Statistics


Proof

143 HSIEH: Probability and Statistics


Conditional Expectation is Linear
MMSE estimator is linear

147 HSIEH: Probability and Statistics


Correlation Coefficient is ρ

148 HSIEH: Probability and Statistics


Proof

149 HSIEH: Probability and Statistics


Uncorrelated = Independent

150 HSIEH: Probability and Statistics


More on Independence
n Let random variables X and Y both have Gaussian
distributions
n If X and Y are independent, then X and Y are jointly
Gaussian (i.e. the joint PDF of X and Y follows the
bivariate Gaussian distribution with ρ = 0)
n If X and Y are not independent, then X and Y being
Gaussian does not imply that X and Y are jointly Gaussian
(i.e. the joint PDF is not that in Definition 4.17)

F Example

151 HSIEH: Probability and Statistics


Linear Combination is Gaussian
It means that both X and Y are Gaussian

152 HSIEH: Probability and Statistics


Linear Combination is Gaussian (cont.)
Linear combination of U and V is Gaussian
based on the previous theorem

153 HSIEH: Probability and Statistics

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