CHAPTER: 3

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 For discrete random variable

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 X

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 X

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 Continuous Random Variable Distributions
For a continuous random variable X we have a function f, called the probability density
function (pdf). Every probability density function must satisfy

 Cumulative distribution function (CDF) of continuous random variable is defined as

X X

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 X

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Discrete Random variable Example
Example: An urn contains 7 balls, numbered from 1 to 7. Two balls are selected
randomly from the urn. Let Random variable X be the difference of the numbers (that
is, the largest number minus the smallest number) of the selected balls. Find the
probability distribution or PMF of X, CDF and its mean, variance and standard
deviation.

If (a)the balls are selected from the urn with replacement.

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Step II: find random variable X (difference of highest to lowest value)

Step III. Find PMF (or probability distribution for discrete random variable)

 Find CDF: Do your self

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 Mean value or Expected of discrete random variable X

 Variance of discrete random variable X

 Standard deviation of discrete random variable X.

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Continuous

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• A Gaussian random variable is one whose probability density function can be
written in the general form

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 Special Distribution:
Continuous Probability Distributions
 UNIFORM DISTRIBUTION

PDF CDF

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 EXPONENTIAL DISTRIBUTION
PDF CDF

Application: Exponential distributions find wide applicability in queuing theory, reliability

theory, and communication theory

 Normal (Gaussian) Distribution

Application: A random variable X consisting of a number of components, each with a

general distribution tends to a normal distribution as the number becomes very large.
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LAPLACE DISTRIBUTION
The Laplace density, also called a double-exponential density, is defined by

Applications: To model navigation and pilot errors, speech, and image processing.

Cauchy Distribution

Application: A Cauchy distribution is a good indicator of how sensitive the tests are to heavy-
tail departures from normality.

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 Two Random Variables
 In many applications, it is very important to study two or more
random variable defined on the same sample space.
 In this lecture, we will consider only two random variables and
this concept can be extended to three or more random variables.
 Let Ω be the sample space of a random experiment and let X and
Y be two random variables.
 Then, the pair (X, Y) is called a two dimensional random variable
if each of X and Y associates a real number with every element of
Ω.
 Thus, a two dimensional random variable (X, Y) is a function that
assigns a point (x, y) in the xy-plane to each possible outcome ω
in the sample space.
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 Example: 1
Consider the experiment of tossing a coin twice. The sample space is

S = {HH, HT, TH, TT}.

Let X denotes the number of heads obtained in the first toss and Y denote the number of
heads in the second toss. Then

(X, Y) is a two-dimensional random variable or Bi-Variate random variable.

The range space X is Rx, = (0, 1) and Y is RY, = (0, 1)

The range space of RXY is {(1,1), (1,0), (0,1), (0,0)} which is finite and so (X, Y) is a two-
dimensional discrete random variables.

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 Example 2
Consider an experiment of tossing a fair coin twice. Let (X, Y) be a bivariate r.v.,
where X is the number of heads that occurs in the two tosses and Y is the
number of tails that occurs in the two tosses.
(a) What is the range Rx of X, Ry of Y?
(b) Find and sketch the range Rxy of (X, Y).
(c) Find P(X = 2, Y = 0), P(X = 0, Y = 2), and P(X = 1, Y = 1).
The sample space S of the experiment is S = {HH, HT, TH, TT)
(a) Rx, = (0, 1,2) , RY, = (0, 1,2)
(b) RXY = ((2, O), (1, I), (0, 2)) which is sketched in Fig. 3-2.
(c) Since the coin is fair, we have
P(X = 2, Y = 0) = P(HH} = 1/4
P(X = 0, Y = 2) = P{TT) = 1/4
P(X= 1, Y = 1)= P{HT, TH} = 1/2

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The Joint Cumulative Distribution Function
 The joint CDF of two random variables X and Y denoted by
FXY(x, y) is a function defined by:

FXY ( x, y )  P[ X ( )  x and Y ( )  y ]
 FXY ( x, y )  P( X  x, Y  y )
where x and y are arbitrary real numbers.
Properties of the Joint CDF, FXY(x, y):
i. 0  FXY ( x, y )  1
ii. lim FXY ( x, y )  FXY (, )  1
x 
y 

iii. lim FXY ( x, y )  FXY (, )  0

x  
y  
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The Joint Cumulative Distribution Function Cont’d…

iv. lim FXY ( x, y )  FXY ( , y )  0

x  

v. lim FXY ( x, y)  FXY ( x,)  0

y 

vi. P( x1  X  x2 , Y  y )  FXY ( x2 , y )  FXY ( x1 , y )

vii. P( X  x, y1  Y  y2 )  FXY ( x, y2 )  FXY ( x, y1 )

vii. P ( x1  X  x2 , y1  Y  y2 )  FXY ( x2 , y2 )

 FXY ( x2 , y1 )  FXY ( x1 , y2 )  FXY ( x1 , y1 )

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The Joint Probability Density Function

 The joint probability function (PDF) of two continuous random

variables X and Y is defined as:

 2 FXY ( x, y )
f XY ( x, y ) 
xy

 Thus, the joint cumulative distribution function (CDF) is given

by:

FXY ( x, y )   
y x
f XY ( x, y )dxdy
- -

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The Joint Probability Density Function Cont’d…..

Properties of the Joint pdf, fXY(x, y):

1. f XY ( x, y )  0
 
2.  
- -
f XY ( x, y )dxdy  1
y2 x2
3. P( x1  X  x2 , y1  Y  y2 )    f XY ( x, y )dxdy
y1 x1

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The Joint Probability Mass Function

 The joint probability mass function (pmf) of two discrete

random variables X and Y is defined as:
PXY ( xi , y j )  P( X  xi , Y  y j )
 The joint cdf can be written as:

FXY ( x, y )    PXY ( xi , y j )
xi  x y j  y

Properties of the Joint pmf, PXY (xi , yj ):

1. 0  PXY ( xi , y j )  1
2.  P
xi yj
XY ( xi , y j )  1

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Condition Distributions
i. Conditional Probability Density Functions
 If X and Y are two continuous random variables with joint
pdf fXY(x, y), then the conditional pdf of Y given that X=x is
defined by:
f XY ( x, y )
fY / X ( y / x)  , f X ( x)  0
f X ( x)
 Similarly, the conditional pdf of X given that Y=y is defined
by:
f XY ( x, y )
f X / Y ( x / y)  , fY ( y )  0
fY ( y )

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Condition Distributions Cont’d……
ii. Conditional Probability Mass Functions
 If X and Y are two discrete random variables with joint pmf
PXY(xi , yj), then the conditional pmf of X given that Y=yj is
defined by:
PXY ( xi , y j )
PX / Y ( xi / y j )  , PY ( y j )  0
PY ( y j )
 Similarly, the conditional pmf of Y given that X=xi is
defined by:
PXY ( xi , y j )
PY / X ( y j / xi )  , PX ( xi )  0
PX ( xi )

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Marginal Statistics of Two Random Variables

 In the case of two or more random variables, the statistics of

each individual variable are called marginal statistics.
i. Marginal cdf of X and Y
FX ( x)  lim FXY ( x, y)  FXY ( x, )
y 

FY ( y )  lim FXY ( x, y )  FXY (, y )

x 

ii. Marginal pdf of X and Y


f X ( x)   f XY ( x, y )dy
-

fY ( y )   f XY ( x, y )dx
-

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Marginal Statistics of Two Random Variables Cont’d…..

iii. Marginal PMF of X and Y

P( X  xi )  PX ( xi )   PXY ( xi , yi )
yj

P(Y  y j )  PY ( y j )   PXY ( xi , yi )
xi

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Independence of Two Random Variables
 If two random variables X and Y are independent, then
i. from the joint cdf

FXY ( x, y )  FX ( x) FY ( y )

ii. from the joint pdf

f XY ( x, y )  f X ( x) fY ( y )

iii.from the joint pmf

PXY ( xi , y j )  PX ( xi ) PY ( y j )

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Examples on Two Random Variables
Example-1:
The joint pdf of two continuous random variables X and Y is
given by:
kxy , 0  x  1, 0  y  1
f XY ( x, y )  
0 , otherwise
where k is a constant.
a. Find the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d. Find P( X  Y  1)
e. Find the conditiona l pdf of X and Y .
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Examples on Two Random Variables Cont’d……
Solution:
  1 1
a.  
-  
f XY ( x, y )dxdy  1  
0 0  kxydxdy  1
1 x2 1
 k  y   1
0
 2 0
k 1  y 2 1 k
  ydy  k     1
2 0  4 0 4
k  4

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Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

i. Marginal pdf of X
 1
f X ( x)   f XY ( x, y )dy   4 xydy
 0

 y2
1
 f X ( x)  4 x   2 x
 2 0
2 x , 0  x 1
 f X ( x)  
0, otherwise

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Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

ii. Marginal pdf of Y
 1
fY ( y )   f XY ( x, y )dx   4 xydx
 0

 x2 1
 fY ( y )  4 y   2 y
 2 0
2 y , 0  y 1
 fY ( y )  
0, otherwise

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Examples on Two Random Variables Cont’d……
Solution:
c. f XY ( x, y )  f X ( x) fY ( y )
 X and Y are independent
1 1 y 1  x2 1
d . P( X  Y  1)    4 xydxdy   4 y  dy
0 0 0
 2 0
  4 y[1 / 2(1  y ) ]dy   2( y  2 y 2  y 3 )dy
1 1
2
0 0

 2( y / 2  2 y / 3  y / 4)  1 / 6
2 3 4

 P( X  Y  1)  1 / 6

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Examples on Two Random Variables Cont’d……
Solution:

e. Conditiona l pdf of X and Y

ii. Conditiona l pdf of Y
f XY ( x, y ) 4 xy
fY / X ( y / x)    2y
f X ( x) 2x

2 y, 0  x  1, 0  y  1
 fY / X ( y / x)  
0, otherwise

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Examples on Two Random Variables Cont’d……

Example-2:
The joint pdf of two continuous random variables X and Y is
given by:
0<y<1,
 k , 0  y  x  1
f X ( x)   y<x<1
0, otherwise
where k is a constant.
a. Determine the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d. Find P(0  X  1 / 2)
e. Find the conditiona l pdf of X and Y .
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 Examples on Two Random Variables Cont’d……
Solution:

 
  f XY ( x, y )dxdy  1    kdxdy  1
1 1
a.
-   0 y

1
 k  x   1
1

0 y
 y 2 1 k
 k  (1  y )dy  k  y     1
1

0
 2 0 2
k  2

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Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

i. Marginal pdf of X
 x
f X ( x)   f XY ( x, y )dy   2dy
 0

x
 f X ( x)  2 y   2 x
0
2 x , 0  x 1
 f X ( x)  
0, otherwise

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Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

ii. Marginal pdf of Y
 1
fY ( y )   f XY ( x, y )dx   2dx
 y

1
 fY ( y )  2 x   2(1  y )
y
2(1  y ), 0  y 1
 fY ( y )  
0, otherwise

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Examples on Two Random Variables Cont’d……
Solution:
c. f XY ( x, y )  f X ( x) fY ( y )
 X and Y are not independent
d . P(0  X  1 / 2)   
1/ 2 x
f XY ( x, y )dydx
0 0

1/ 2 x 1/ 2 x
  2dydx   (2 y ) dx
0 0 0 0
1/ 2 1/ 2
 2 xdx  x  1/ 4 2
0 0
 P(0  X  1 / 2)  1 / 4
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Examples on Two Random Variables Cont’d……
Solution:

e. Conditiona l pdf of X and Y

i. Conditiona l pdf of X
f XY ( x, y ) 2 1
f X / Y ( x / y)   
fY ( y ) 2(1  y ) (1  y )
 1
 , 0  y  x 1
 f X / Y ( x / y )  1  y
0,
 otherwise

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Examples on Two Random Variables Cont’d……
Solution:

e. Conditiona l pdf of X and Y

ii. Conditiona l pdf of Y
f XY ( x, y ) 2 1
fY / X ( y / x)   
f X ( x) 2x x
1
 , 0  y  x 1
 fY / X ( y / x)   x
0, otherwise

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Examples on Two Random Variables Cont’d……

Example-3:
The joint pmf of two discrete random variables X and Y is given
by:
k (2 xi  y j ) , xi  1, 2; y  1, 2
PXY ( xi , y j )  
0 , otherwise
where k is a constant.
a. Find the value of k .
b. Find the marginal pmf of X and Y .
c. Are X and Y independen t?

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Examples on Two Random Variables Cont’d……
Solution:

a.  P
xi yj
XY ( xi , y j )  1

2 2
   k (2 xi  y j )  1
xi 1 y j 1

 k[(2  1)  (2  2)  (4  1)  (4  2)]  1
 18k  1
 k  1 / 18
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Examples on Two Random Variables Cont’d……
Solution:
b. Marginal pmf of X and Y
i. Marginal pmf of X
2
1
PX ( xi )   PXY ( xi , y j )   (2 xi  y j )
yj y j 118

1 1
 PX ( xi )  (2 xi  1)  (2 xi  2)
18 18
1
 (4 xi  3), xi  1, 2
 PX ( xi )  18

0, otherwise
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Examples on Two Random Variables Cont’d……
Solution:
b. Marginal pmf of X and Y
ii. Marginal pmf of Y
2
1
PY ( y j )   PXY ( xi , y j )   (2 xi  y j )
xi xi 1 18

1 1
 PY ( y j )  (2  y j )  (4  y j )
18 18
1
 (2 y j  6), y j  1, 2
 PY ( y j )  18

0, otherwise
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Examples on Two Random Variables Cont’d……
Solution:

c. PXY ( xi , y j )  PX ( xi ) PY ( y j )
 X and Y are not independent.

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• Example : Air Conditioner Maintenance
– A company that services air conditioner units in
residences and office blocks is interested in how to
schedule its technicians in the most efficient
manner
– The random variable X, taking the values 1,2,3 and
4, is the service time in hours
– The random variable Y, taking the values 1,2 and 3,
is the number of air conditioner units

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 Joint p.m.f
Y=
number
X=service time
 p
i j
ij 0.12  0.18
of units
1 2 3 4   0.07  1.00

1 0.12 0.08 0.07 0.05

Joint cumulative distribution function

2 0.18 0.15 0.21 0.13

F (2,2)  p11  p12  p21  p22
 0.12  0.18  0.08  0.15
 0.43
3 0.01 0.01 0.02 0.07

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d) Find Mean and Variance of X

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(d) Find Mean and Variance of X.

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