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Conditional Distributions and Stochastic Independence

This document defines conditional distributions for both discrete and continuous random variables. It explains that conditional probability distributions update the probability of one random variable given information about another. For discrete variables, the conditional probability mass function is defined. For continuous variables, the conditional probability density function is defined. Properties of both conditional distributions are also provided, including that they are valid probability functions and that independence implies the conditional distributions equal the marginal distributions.

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Althea Ababa
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69 views2 pages

Conditional Distributions and Stochastic Independence

This document defines conditional distributions for both discrete and continuous random variables. It explains that conditional probability distributions update the probability of one random variable given information about another. For discrete variables, the conditional probability mass function is defined. For continuous variables, the conditional probability density function is defined. Properties of both conditional distributions are also provided, including that they are valid probability functions and that independence implies the conditional distributions equal the marginal distributions.

Uploaded by

Althea Ababa
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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Conditional Distributions and Stochastic Independence

Answer the following:

1. Define conditional probability distribution.

Conditional probability is the probability of one thing being true given that another thing is true.
It is a probability assigned to an event after receiving some information about other relevant events. We
discuss here how to update the probability distribution of a random variable X after observing the
realization of another random variable Y, i.e., after receiving the information that another random
variable Y has taken a specific value y. The updated probability distribution of X will be called the
conditional probability distribution of X given Y=y.

2. Define Conditional Distributions of Discrete Random Variables.

If 𝑋 𝑎𝑛𝑑 𝑌 are discrete random variables with joint PMF given by 𝑝(𝑥, 𝑦), then the conditional
probability mass function of 𝑋, given that 𝑌 = 𝑦, is denoted 𝑝𝑋|𝑌 (𝑥|𝑦) and given by:

𝑃({𝑋 = 𝑥} ∩ {𝑌 = 𝑦}) 𝑝(𝑥, 𝑦)


𝑝𝑋|𝑌 (𝑥|𝑦) = = , 𝑝𝑟𝑜𝑣𝑖𝑑𝑒𝑑 𝑡ℎ𝑎𝑡 𝑝𝑌 (𝑦) > 0
𝑃(𝑌 = 𝑦) 𝑃𝑌 (𝑦)
Similarly, the conditional probability mass function of 𝑌, given that 𝑋 = 𝑥, is denoted 𝑝𝑌|𝑋 (𝑦|𝑥) and given
by:
𝑃({𝑌 = 𝑦} ∩ {𝑋 = 𝑥}) 𝑝(𝑥, 𝑦)
𝑝𝑌|𝑋 (𝑦|𝑥) = = , 𝑝𝑟𝑜𝑣𝑖𝑑𝑒𝑑 𝑡ℎ𝑎𝑡 𝑝𝑋 (𝑥) > 0
𝑃(𝑋 = 𝑥) 𝑃𝑋 (𝑥)
Note that:

• if 𝑝𝑌 (𝑦) = 0, then for that value of 𝑌 the conditional PMF of 𝑋 does not exist.
• if 𝑝𝑋 (𝑥) = 0, then for that value of 𝑋 the conditional PMF of 𝑌 does not exist.

3. Give the Properties of Conditional PMF's (probability mass function).

Properties of Conditional PMF’s:

• Conditional PMF's are valid PMF's satisfying the following:


0 ≤ 𝑝𝑋|𝑌 (𝑥|𝑦) ≤ 1 𝑎𝑛𝑑 ∑ 𝑝𝑋|𝑌 (𝑥|𝑦) = 1, 𝑓𝑜𝑟 𝑎 𝑓𝑖𝑥𝑒𝑑 𝑦
𝑥

0 ≤ 𝑝𝑌|𝑋 (𝑦|𝑥) ≤ 1 𝑎𝑛𝑑 ∑ 𝑝𝑌|𝑋 (𝑦|𝑥) = 1, 𝑓𝑜𝑟 𝑎 𝑓𝑖𝑥𝑒𝑑 𝑥


𝑦
• In general, the conditional distribution of 𝑋 given 𝑌 does not equal the conditional distribution of
𝑌 given 𝑋
𝑝𝑋|𝑌 (𝑥|𝑦) ≠ 𝑝𝑌|𝑋 (𝑦|𝑥)
• If 𝑋 and 𝑌 are independent, discrete random variables, then the following are true:
𝑝𝑋|𝑌 (𝑥|𝑦) = 𝑝𝑋 (𝑥)
𝑝𝑌|𝑋 (𝑦|𝑥) = 𝑝𝑌 (𝑦)

4. Define Conditional Distributions of Continuous Random Variables.

If 𝑋 and 𝑌 are continuous random variables with joint pdf given by 𝑓(𝑥, 𝑦), then the conditional
probability density function (pdf) of 𝑋, given that 𝑌 = 𝑦, is denoted 𝑓𝑋|𝑌 (𝑥|𝑦) and given by:

𝑓(𝑥, 𝑦)
𝑓𝑋|𝑌 (𝑥|𝑦) =
𝑓𝑌 (𝑦)
Similarly, the conditional probability density function (pdf) of 𝑌, given that 𝑋 = 𝑥, is denoted
𝑓𝑌|𝑋 (𝑦|𝑥) and given by:

𝑓(𝑥, 𝑦)
𝑓𝑌|𝑋 (𝑦|𝑥) =
𝑓𝑋 (𝑥)

5. Give the Properties of Conditional PDF's (probability density function).

• Conditional PDF's are valid PDF's satisfying the following:


0 ≤ 𝑓𝑋|𝑌 (𝑥|𝑦) 𝑎𝑛𝑑 ∫ 𝑓𝑋|𝑌 (𝑥|𝑦)𝑑𝑥 = 1 , 𝑓𝑜𝑟 𝑎 𝑓𝑖𝑥𝑒𝑑 𝑦

0 ≤ 𝑓𝑌|𝑋 (𝑦|𝑥) 𝑎𝑛𝑑 ∫ 𝑓𝑌|𝑋 (𝑦|𝑥)𝑑𝑦 = 1 , 𝑓𝑜𝑟 𝑎 𝑓𝑖𝑥𝑒𝑑 𝑥


• In general, the conditional distribution of 𝑋 given 𝑌 does not equal the conditional distribution of
𝑌 given 𝑋
𝑓𝑋|𝑌 (𝑥|𝑦) ≠ 𝑓𝑌|𝑋 (𝑦|𝑥)
• If 𝑋 and 𝑌 are independent, continuous random variables, then the following are true:

𝑓𝑋|𝑌 (𝑥|𝑦) = 𝑓𝑋 (𝑥)


𝑓𝑌|𝑋 (𝑦|𝑥) = 𝑓𝑌 (𝑦)

Prepared by:

Ababa, Althea C. BSSTAT 2-A

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