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Joint Probability Mass Function

The document discusses the joint probability mass function for discrete random variables X and Y. It defines the joint PMF as P(X=i, Y=j) and provides properties it must satisfy. It also defines the marginal distributions of X and Y, obtained by summing the joint PMF over the other variable. The conditional probability P(X|Y=j) is defined as the probability distribution of X given a value of Y. An example is provided of a company servicing air conditioners where X is service time and Y is number of units, with their joint PMF given.

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Nitish Ranjon Ghosh 1822028042
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307 views8 pages

Joint Probability Mass Function

The document discusses the joint probability mass function for discrete random variables X and Y. It defines the joint PMF as P(X=i, Y=j) and provides properties it must satisfy. It also defines the marginal distributions of X and Y, obtained by summing the joint PMF over the other variable. The conditional probability P(X|Y=j) is defined as the probability distribution of X given a value of Y. An example is provided of a company servicing air conditioners where X is service time and Y is number of units, with their joint PMF given.

Uploaded by

Nitish Ranjon Ghosh 1822028042
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Joint probability mass function

If the random variables are discrete, then the joint probability mass
function consists of probability values P(X = i , Y = j ) = Pi j satisfying
1) 0 ≤ Pi j≤1
m n

2) ∑ ∑ P ij = 1
j=1 i=1

P(X=1) = 0.12 + 0.08 + 0.01 = 0.21


P(Y=1) = 0.12 + 0.08 + 0.07 + 0.05 = 0.32

Marginal Probability Distributions: Even though two random


variables X and Y may be jointly distributed, if interest is focused on
only one of the random variables, then it is appropriate to consider the
probability distribution of that random variable alone. This is known as
the marginal distribution of the random variable and can be obtained
quite simply by summing the joint probability distribution over the
values of the other random variable.
For example, for two discrete random variables X and Y, the probability
values of the marginal distribution of X are
P(X = i ) = ∑j Pij
i =1,2,3,4 and j =1,2,3
3

P(X=i) = ∑ Pij = Pi1 + Pi2 + Pi3


j=1
3

P(X=1) = ∑ P1 j = P11 + P12 + P13


j=1

Conditional Probability Distribution: If two random variables X and Y


are jointly distributed, then it is sometimes useful to consider the
distribution of one random variable conditional on the other random
variable having taken a particular value.

The conditional probability distribution of random variable X


conditional on the event Y = j consists of the probability values

P ( X , Y = j)
P(X|Y=j) = P (Y = j)
P ( X =i, Y )
P(Y|X=i) = P(X =i)

Q: If Y=3 what is the conditional probability mass function of X?


P ( X , Y =3)
P(X|Y=3) = P (Y =3)
P ( X =1, Y =3) 0.01
P(X=1|Y=3) = P(Y =3) = 0.11 = 0.091
P ( X =2, Y =3) 0.01
P(X=2|Y=3) = P(Y =3) = 0.11 = 0.091
P ( X =3 ,Y =3) 0.02
P(X=3|Y=3) = P(Y =3)
= 0.11 = 0.182
P ( X=4 , Y =3 ) 0.07
P(X=4|Y=3) = P(Y =3)
= 0.11 = 0.636

Covariance: Cov(X, Y ) = E(XY) − E(X)E(Y )

Cov( X ,Y )
Correlation: Corr(X,Y) = √V ( X )V (Y )
-1 to 1

Question: A company that services air conditioner units in residences.


If the random variable X, taking the values 1, 2, 3, and 4, is the service
time in hours taken at a particular location, and the random variable Y ,
taking the values 1, 2, and 3, is the number of air conditioner units at the
location, then these two random variables can be thought of as jointly
related.
Suppose that their joint probability mass function P ij is given in the
following Figure. The figure indicates, for example, that there is a
probability of 0.12 that X = 1 and Y = 1, so that there is a probability of
0.12 that a particular location chosen at random has one air conditioner
unit that takes a technician one hour to service. Similarly, there is a
probability of 0.07 that a location has three air conditioner units that take
four hours to service.
1) Show that this is a valid joint probability mass function.
4 3

Solution: ∑ ∑ P ij= 0.12 + 0.08 + ・・・ + 0.07 = 1.00


i=1 j=1

2) Calculate the probability that a location has no more than two air
conditioner units that take no more than two hours to service.
P(x=1,y=1) + P(x=1, y=2)+ P(x=2,y=1) + p(x=2,y=2) = .
12+.08+.08+.15= 0.43
i = 1,2 j = 1,2
Note: no more than 2/at most 2 : P(X≤2)
exactly 2: P(X=2)
at least 2 : P(X≥2)
more than 2: P(X>2)

Solution: P11 + P12 + P21 + P22 = 0.12 + 0.08 + 0.08 + 0.15 = 0.43

3) Find marginal probability mass function.

Solution: P(X = 1) = 0.12 + 0.08 + 0.01 = 0.21


P(X = 2) = 0.08 + 0.15 + 0.01 = 0.24
P(X = 3) = 0.07 + 0.21 + 0.02 = 0.3
P(X= 4) = 0.05 + 0.13+ 0.07 = 0.25

Similarly, you also need to calculate P(Y=1), P(Y=2) and P(Y=3)


4) Calculate the expected service time and the variance in the service
times
Solution: E(x) = ∑xp(x), E(x2) = ∑x2p(x),
4

The expected service time is E(X) = ∑ iP (X =i)


i=1

=1.P(X=1) + 2.P(X=2) + 3.P(X=3) + 4.P(X=4)


= (1 . 0.21) + (2 . 0.24) + (3 . 0.30) + (4 . 0.25) = 2.59

We know, V(X) = E(X2) – (E(X))2


4
2
Since E(X ) = ∑ i2 P (X=i)
i=1

=1P(X=1) + 4P(X=2) + 9P(X=3) + 16P(X=4)


= (1 . 0.21) + (4 . 0.24) + (9 . 0.30) + (16 . 0.25) = 7.87

The variance in the service times is


Var(X) = E(X2) − (E(X))2 = 7.87 – (2.59)2 = 1.162
5) Calculate the expected number of air conditioners units serviced
and the variance in the number of units serviced.
3

Solution: The expected number of units serviced E(Y) = ∑ jP(Y = j)


j=1

= 1P(Y=1) + 2P(Y=2) + 3P(Y=3)


= 1×0.32 + 2×0.57 + 3×0.11 = 1.79

We know, V(Y) = E(Y2) – (E(Y))2


3
2
Here, E(Y ) = ∑ j2 P(Y = j)
j=1

= 1×0.32 + 4×0.57 + 9×0.11 = 3.59

The variance in the number of units serviced V(Y) = 3.59 – (1.79)2


= 0.3859

6) Suppose that a technician is visiting a location that is known to


have three air conditioner units, what is the conditional distribution
of the service time X.

Solution:
P ( X , Y = j)
We know, P(X|Y=j) = P (Y = j)
P ( X , Y =3)
⇒P(X|Y=3) = P (Y =3)

Here, P(Y = 3) = 0.01 + 0.01 + 0.02 + 0.07 = 0.11

P ( X =1, Y =3) 0.01


P(X=1|Y=3) = P(Y =3)
= 0.11 = 0.091
P ( X =2, Y =3) 0.01
P(X=2|Y=3) = P(Y =3) = 0.11 = 0.091
P ( X =3 ,Y =3) 0.02
P(X=3|Y=3) = P(Y =3)
= 0.11 = 0.182
P ( X=4 , Y =3 ) 0.07
P(X=4|Y=3) = P(Y =3)
= 0.11 = 0.636
7) Calculate the conditional expectation of the service time.

Solution:
4

E(X|Y = 3) = ∑ iP (X =i∨Y =3)


i=1

= 1. P(X=1|Y=3) + 2. P(X=2|Y=3) + 3. P(X=3|Y=3) + 4. P(X=4|Y=3)


= (1 × 0.091) + (2 × 0.091) + (3 × 0.182) + (4 × 0.636) = 3.36
3

Note: E(Y|X = 3) = ∑ jP(Y ∨X =3)


j=1

7) Calculate the covariance and correlation.

Solution:

Cov(X,Y) = E(X,Y) – E(X)E(Y)

The expected service time is E(X) = 2.59 hours, and the expected
number of units serviced is E(Y ) = 1.79. [from solution 4 and 5]
4 3

E(X,Y) = ∑ ∑ ijPij = (1 × 1 × 0.12) + (1 × 2 × 0.08) + ··· + (4 × 3 ×


i=1 j=1

0.07) = 4.86

Cov(X,Y) = 4.86 – 2.56 × 1.79 = 0.224

We know,

Cov( X ,Y ) 0.224
Corr(X,Y) = √V ( X )V (Y ) = √1 . 162× 0 .384 = 0.34

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