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Lecture 7 Multiple Random Variables

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9 views35 pages

Lecture 7 Multiple Random Variables

Uploaded by

Omar Almagdobah
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Philadelphia University

Lecture Notes for 650364

Probability & Random Variables


Lecture 7: Multiple Random Variables

Department of Communication & Electronics Engineering

Instructor
Dr. Qadri Hamarsheh
Email: [email protected]
Website: http://www.philadelphia.edu.jo/academics/qhamarsheh

Dr. Qadri Hamarsheh Probability & Random Variables 1


 Discrete Case: If X and Y are two discrete random variables, we
define the joint probability function of X and Y by

Where

 Suppose that X can assume any one of m values x1, x2, . . . , xm and Y
can assume any one of n values y1, y2, . . . , yn. Then the probability of
the event that X = xj and Y = yk is given by

 A joint probability function for X and Y can be represented by a joint


probability table
 The probability that X =xj is obtained by adding all entries in the row
corresponding to xi and is given by

Dr. Qadri Hamarsheh Probability & Random Variables 2


 Similarly the probability that Y = yk is obtained by adding all entries
in the column corresponding to yk and is given by

 We often refer to f1(xj) and f2(yk) [or simply f1(x) and f2(y) ]as the
marginal probability functions of X and Y, respectively
 It should also be noted that

Dr. Qadri Hamarsheh Probability & Random Variables 3


Which can be written

 This is simply the statement that the total probability of all entries is
1. The joint distribution function of X and Y is defined by

In Table, F(x, y) is the sum of all entries for which xj ≤ x and yk ≤ y.


 Continuous Case: the joint probability function for the random
variables X and Y (or, as it is more commonly called, the joint density
function of X and Y ) is defined by

Dr. Qadri Hamarsheh Probability & Random Variables 4


 Graphically z =f (x, y) represents a surface, called the probability
surface
 The probability that X lies between a and b while Y lies between c
and d is given graphically by the shaded volume of Fig. and
mathematically by

 The joint distribution function of X and Y in this case is defined by

Dr. Qadri Hamarsheh Probability & Random Variables 5


 It follows in analogy that

i.e., the density function is obtained by differentiating the


distribution function with respect to x and y.
 The marginal distribution functions, or simply the distribution
functions, of X and Y, respectively

The derivatives of the above equations with respect to x and y are then
called the marginal density functions, or simply the density functions,
of X and Y and are given by

Dr. Qadri Hamarsheh Probability & Random Variables 6


Independent Random Variables
 Suppose that X and Y are discrete random variables. If the events
X =x and Y =y are independent events for all x and y, then we say
that X and Y are independent random variables. In such case,

Or

o The joint probability function f (x, y) can be expressed as the


product of a function of x alone and a function of y alone, X and
Y are independent.
 If X and Y are continuous random variables, we say that they are
independent random variables if the events X ≤x and Y ≤y are
independent events for all x and y. In such case we can write

Or

Dr. Qadri Hamarsheh Probability & Random Variables 7


 Where F1(x) and F2(y) are the marginal distribution functions of X
and Y, respectively. If, however, F(x, y) cannot be so expressed as a
product, then X and Y are dependent.
Conditional Distributions
 We already know that if P(A) > 0,

 If X and Y are discrete random variables and we have the events (A:
X =x), (B: Y = y), then above equation becomes

Where f (x, y) =P(X = x, Y =y) is the joint probability function and


f1 (x) is the marginal probability function for X. We define

and call it the conditional probability function of Y given X.


 Similarly, the conditional probability function of X given Y is
Dr. Qadri Hamarsheh Probability & Random Variables 8
 These ideas are easily extended to the case where X, Y continuous
random variables are. For example, the conditional density function
of Y given X is

Examples
 Example 1: The joint probability function of two discrete random
variables X and Y is given by 𝒇(𝒙, 𝒚) = 𝒄(𝟐𝒙 + 𝒚), where x and y can
assume all integers such that 𝟎 ≤ 𝒙 ≤ 𝟐, 𝟎 ≤ 𝒚 ≤ 𝟑, and 𝒇 (𝒙, 𝒚) =
𝟎 otherwise.
a) Find the value of the constant c.
b) Find 𝑷(𝑿 = 𝟐, 𝒀 = 𝟏).
c) Find 𝑷(𝑿 ≥ 𝟏, 𝒀 ≤ 𝟐).

Dr. Qadri Hamarsheh Probability & Random Variables 9


o Solution
a) The sample points (x, y) for which probabilities are different from
zero are indicated in Fig. The probabilities associated with these
points, given by 𝒄(𝟐𝒙 + 𝒚), are shown in Table. Since the grand total,
𝟏
𝟒𝟐𝒄, must equal 1, we have 𝒄 = .
𝟒𝟐

b) From Table

c) From Table

Dr. Qadri Hamarsheh Probability & Random Variables 10


 Example 2: Find the marginal probability functions (a) of X and
(b) of Y for the random variables of example 1.
o Solution
a) The marginal probability function for X is given by
𝑷(𝑿 = 𝒙) = 𝒇𝟏 (𝒙) and can be obtained from the margin totals in
the right-hand column of the table.

b) The marginal probability function for Y is given by


𝑷(𝒀 = 𝒚) = 𝒇𝟐 (𝒚) and can be obtained from the margin totals
in the last row of the table.

Dr. Qadri Hamarsheh Probability & Random Variables 11


 Example 3: Show that the random variables X and Y of example 1
are dependent.
o Solution
If the random variables X and Y are independent, then
𝑷(𝑿 = 𝒙, 𝒀 = 𝒚) = 𝑷(𝑿 = 𝒙)𝑷(𝒀 = 𝒚)
But, as seen from example 1 and example 2

So that

Dr. Qadri Hamarsheh Probability & Random Variables 12


The result also follows from the fact that the joint probability function
(𝟐𝒙 + 𝒚) /𝟒𝟐 cannot be expressed as a function of x alone times a
function of y alone.
Example 4: The joint density function of two continuous random
variables X and Y is

a) Find the value of the constant c.


b) Find 𝑷(𝟏 < 𝑿 < 𝟐, 𝟐 < 𝒀 < 𝟑).
c) Find 𝑷(𝑿 ≥ 𝟑, 𝒀 ≤ 𝟐).
o Solution
a) We must have the total probability equal to 1, i.e.,

Using the definition of 𝒇 (𝒙, 𝒚), the integral has the value

Dr. Qadri Hamarsheh Probability & Random Variables 13


Dr. Qadri Hamarsheh Probability & Random Variables 14
 Example 5: Find the marginal distribution functions (a) of X and
(b) of Y for example 4.
o Solution
a) The marginal distribution function for X if 𝟎 ≤ 𝒙 < 𝟒 is

Dr. Qadri Hamarsheh Probability & Random Variables 15


b) The marginal distribution function for Y if 𝟏 ≤ 𝒚 < 𝟓 is

Dr. Qadri Hamarsheh Probability & Random Variables 16


 Example 6: Find (a) 𝒇(𝒚|𝟐), (b) 𝑷(𝒀 = 𝟏|𝑿 = 𝟐) for the distribution of
example 1
o Solution: Using the result in example 1 and example 2, we have:

 Example 7: If X and Y have the joint density function

𝟏 𝟏 𝟏
Find (a) 𝒇(𝒚|𝒙), (b) 𝑷(𝒀 > | < 𝑿 < + 𝒅𝒙)
𝟐 𝟐 𝟐
o Solution:

Dr. Qadri Hamarsheh Probability & Random Variables 17


Vector Random Variables
 Let X and Y denote two random variables defined on a sample space
S, where specific values of X and Y are denoted by x and y. Then any
ordered pair of numbers (x, y) may be considered a random point
in xy plane. The point may be taken a specific value of a vector
random variable.
 The plane of all points (x, y) in the ranges of X and Y may be
considered a new sample space called a joint sample space SJ.

Dr. Qadri Hamarsheh Probability & Random Variables 18


 As in the case of one random variable, let us define events A and B
by

 The event A∩B defined on S corresponds to the joint event {X≤ x and
Y ≤ y} defined on SJ.

Dr. Qadri Hamarsheh Probability & Random Variables 19


Joint Distribution and its Properties
 The probabilities of the two events A={X ≤ x} and B={Y ≤ y} have
distribution functions:

 We define the probability of the joint event {X≤ x and Y ≤ y} by a


joint probability distribution function

 It should be clear that

 Example: Assume that the joint sample space SJ has only three
possible elements (1,1), (2,1), and (3,3). The probabilities of these
elements are to be P(1,1)=0.2, P(2,1)=0.3, and P(3,3)=0.5
o The distribution function:

Dr. Qadri Hamarsheh Probability & Random Variables 20


 Joint Distribution for Discrete Random Variables:
o The joint distribution function of discrete random variables X and
Y is given by:

o Example:

Dr. Qadri Hamarsheh Probability & Random Variables 21


 Properties of the Joint Distribution:

 Marginal Distribution Functions:


o Property 6 above states that the marginal distribution functions
obtained by

Dr. Qadri Hamarsheh Probability & Random Variables 22


o Example:

Joint Density and its Properties


 The joint probability density is defined by the second derivative
of the joint distribution function:

 Joint Density for Discrete Random Variables: The joint density


function of discrete random variables X and Y is given by:

Dr. Qadri Hamarsheh Probability & Random Variables 23


o Example: Assume that the joint sample space SJ has only three
possible elements (1,1), (2,1), and (3,3). The probabilities of
these elements are to be P(1,1)=0.2, P(2,1)=0.3, and P(3,3)=0.5
 The density function:

Dr. Qadri Hamarsheh Probability & Random Variables 24


 Properties of the Joint Density:

Dr. Qadri Hamarsheh Probability & Random Variables 25


 Marginal Density Functions:
o Property 6 above states that the marginal distribution functions
obtained by

o Example:

 the marginal density functions:

o Example: Find the value of b so that the following function is a


valid joint density function

Dr. Qadri Hamarsheh Probability & Random Variables 26


 Solution:

o Example: Find the marginal density functions when the joint


density function is given by

 Solution:

Dr. Qadri Hamarsheh Probability & Random Variables 27


Statistical Independence
 The two random variables X and Y are called statistically
independent if

Or

o Example: For previous example

 Solution:

Therefore, the random variables X and Y are not independent.

Dr. Qadri Hamarsheh Probability & Random Variables 28


o Example: The joint density of two random variables X and Y is

Determine if X and Y are independent.


 Solution:

Therefore, the random variables X and Y are independent.

Dr. Qadri Hamarsheh Probability & Random Variables 29


Distribution and Density of a Sum of Random Variables
 If W be a random variable equal to the sum of two independent
random variables X and Y:
𝑾=𝑿+𝒀
Then the density function of W is the convolution of their density
functions

o Example: Find the density of 𝑾 = 𝑿 + 𝒀 where

Dr. Qadri Hamarsheh Probability & Random Variables 30


 Solution:

Central Limit Theorem


 The central limit theorem says that the probability distribution
function of the sum of a large number of random variables
approaches a Gaussian distribution
o Example:

Dr. Qadri Hamarsheh Probability & Random Variables 31


Examples
o Example: If the joint probability density of X and Y is given by

Find the joint distribution function of these two random


variables.
 Solution
If either x<0 or y<0, it follows immediately that F(x, y) = 0
For 0<x<1 and 0<y<1 (Region I of Figure), we get

For x>1 and 0<y<1 (Region II of Figure), we get

Dr. Qadri Hamarsheh Probability & Random Variables 32


Figure: Diagram for Example
For 0<x<1 and y>1 (Region III of Figure), we get

for x>1 and y>1 (Region IV of Figure), we get

Dr. Qadri Hamarsheh Probability & Random Variables 33


o Example: Given the joint probability density

Find the marginal densities of X and Y.


 Solution

for 0<x<1 and g(x) = 0 elsewhere

for 0<y<1 and h(y) = 0 elsewhere.

Dr. Qadri Hamarsheh Probability & Random Variables 34


o Example: Given the joint probability table, find the conditional
distribution of X given Y = 1

 Solution

Dr. Qadri Hamarsheh Probability & Random Variables 35

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