UNIT - II

TWO DIMENSIONAL
RANDOM VARIABLES
BY
E.MATHIVADHANA, M.Sc.,M.PHIL.
ASSISTANT PROFESSOR
DEPARTMENT OF MATHEMATICS

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SYLLABUS:

Joint Distributions – Marginal and

Conditional Distributions – Functions of two
dimensional random variables – Regression
Curve – Correlation.

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 TWO - DIMENSIONAL R.V.

Let S be the sample space. Let X = X(s) and

Y = Y(s) be two functions each assigning a real
number to each outcome s є S. Then (X,Y) is a
two – dimensional random variable.
The range of the two - dimensional r.v. (X,Y) is

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 Two Dimensional R.V. are of two types:
1.Two dimensional Discrete R.V.
2.Two dimensional Continuous R.V.

Two Dimensional Discrete R.V.:

If the possible values of (X,Y) are finite or countably infinite,

then (X,Y) is called a two – dimensional discrete r.v. When
(X,Y) is a two- dimensional discrete r.v. the possible values of
(X,Y) may be represented as (xi ,yj), I = 1,2, … n,… , j =
1,2,…m, …

Two Dimensional Continuous R.V.:

If (X,Y) can assume all values in a specified region R in the

XY plane (X,Y) is called a two dimensional continuous r.v.
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Joint Distributions - Marginal and Conditional Distributions

Joint Probability distribution of two random variables

X and Y
Two Dimensional Discrete Random Variables

Marginal Probability Mass function(p.m.f)

Conditional Distribution

PROBLEMS

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Two Dimensional Continuous Random Variables

Marginal Probability Density function (p.d.f)

Conditional Distribution

Cummulative Distribution [Discrete & Continuous]

Independent Random Variables [Discrete & Continuous]

PROBLEMS

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 Joint Probability distribution of two random
variables X and Y

We define the probability of joint event which

is a function of the numbers x and y by a joint probability
distribution function and denoted by

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 Two Dimensional Discrete Random Variables

Joint Probability Mass Function of X and Y:

If (X,Y) is a two-dimensional discrete r.v. such that

P (x = xi ,y = yj) = pij , then pij is called the p.m.f or
simply the probability function of (X,Y) provided the
following conditions are satisfied.

The set of triples {xi ,yj ,pij} , i= 1,2,…, m,…, j = 1,2,…,

n,…, is called the joint probability distribution of (X,Y).

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Marginal Probability Distribution:
The individual probability distribution of a random variable is
referred to as its marginal Probability distribution.
Marginal probability mass function of X:
If the joint probability distribution of two random variables X
and Y is given, Then Marginal probability mass function of X is
given by

Then Marginal probability mass function of Y is given by

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 Conditional Probability Distribution

If (X,Y) are discrete random variables then,

Conditional probability distribution of X given Y = yj

Conditional probability distribution of Y given X = xi

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Joint Probability Density Function:

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 Conditional Probability Distribution

If (X,Y) are continuous random variables then,

Conditional probability distribution of X given Y = yj

Conditional probability distribution of Y given X = xi

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Cumulative Distribution Function

The cdf of a discrete r.v. (X,Y) can be written as

The cdf of a continuous r.v. (X,Y) can be written as

If F(X,Y) be the joint probability distribution function then the

joint probability density function f(x,y) is given by

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 PROPERTIES OF DISTRIBUTION FUNCTION

1.F(-∞, -∞) = 0, F(-∞, y) = 0, F(x, -∞) = 0

2.F(-∞, ∞) = 1
3.0 ≤ F(x, y) ≤ 1
4.F(x, y) is an increasing function of x and y.
(i.e.) if x1 < x2 and y1 < y2 then F(x1, y1) ≤ F(x2, y1) ≤ F(x2, y2)
and F(x1, y1) ≤ F(x1, y2) ≤ F(x2, y2)
5. F(x, y) is right continuous in each of its variates.
(i.e.)

6. P(a < X ≤ b, Y ≤ y) = F(b, y) - F(a, y)

7. P(X ≤ x, c < Y ≤ d) = F(x, d) - F(x, c)
8. If P(a < X ≤ b, c < Y ≤ d) = F(b, d) - F(a, d) + F(a, c) - F(b, c)

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Independent Random Variables

Let X and Y be two random variables, discrete or continuous,

with the joint probability distribution f(x,y) and marginal
distribution g(x) and h(y) respectively, the random variable X
and Y are said to be statistically independent if and only if
f(x, y)= g(x)h(y)
for all (x, y) within their independent random variable :

If (X,Y) are discrete then

If (X,Y) are continuous then

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 PROBLEMS ON TWO DIMENSIONAL DISCRETE RANDOM
VARIABLES
PROBLEM 1:

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PROBLEM 2:

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 PROBLEMS ON TWO DIMENSIONAL CONTINUOUS RANDOM
VARIABLES
PROBLEM 1:

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PROBLEM 2:

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FUNCTIONS OF TWO DIMENSIONAL R.V.:

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Problems on two dimensional random variables :

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Regression:
It is a mathematical measure of the average relationship between
two or more variables in terms of the original limits of the data.

Lines of Regression:

The line of regression of y on x is

The line of regression of x on y is

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Note: Both the lines of regression pass through

Regression Coefficients:

Regression Coefficients of y on x is

Regression Coefficients of x on y is

Angle between the regression lines:

The slopes of the regression lines are

If ө is the angle between the regression lines, then

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Problems on Regression:

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 CORRELATION
Correlation:
If the two variables vary such that the change in one
variable affect the change in the other variable. The variable
are said to be correlated.

Eg: There exist some relationship between height and

weight of the person.

Correlation Coefficient:
It is the parameter which measures the strength and
direction of a relationship between two variables

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To define the Covariance, we need to describe the expected
value of a function of two random variables g(X,Y)

Expected Values of a Two - Dimensional R.V.:

If (X,Y) is a two-dimensional r.v. with joint probability mass

function pij, then

If (X,Y) is a two-dimensional continuous r.v. with joint pdf fx,y),

then

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Covariance :
It is defined as the useful measure to study the relationship between
the variables.
Cov(X,Y) = E (XY) – E(X) E(Y)

Note:
If X and Y are independent , then Cov[x,y] = 0
If X and Y are independent ,then E[xy] = E[x] E[y]

Variance:

If X and Y are random variables ,then

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 Results :
1)Cov [ax,by] = ab cov [x,y]
2)Var [X+Y] = Var [x] + Var [y] + 2 Cov [X,Y]
3)Cov [X+a,Y+b] = Cov [X,Y]
4) Var [aX+b] = a2 Var [x]

Types of Correlation :
1) Positive and Negative
2) Simple, Partial and Multiple
3) Linear and Non - Linear

1)Positive Correlation: If the two variables deviate in the same

direction (ie) if the increase (decrease) of one variable results in
the corresponding increase (decrease) of the other variable

Eg: Correlation between rainfall and production are positive

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Negative Correlation:
If the two variables deviate in the opposite direction. (i.e.) if the
increase (decrease) of one variable results in the corresponding decrease
(increase) of the other variable.
Eg: Correlation between Price of a commodity and its demand are
negative

2) Simple, Partial and Multiple Correlation:

If only two variables are considered for correlation Analysis it is
called simple correlation.
Eg: Height and Weight of students in a class.

If two or more variables are considered for correlation Analysis ,it

is called Multiple Correlation.
Eg: In the study of relationship between the yield of rice ,both the
amount of rainfall and usage of fertilizers are considered.

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3) Linear and Non-Linear Correlation:
If the amount of change in one variable tends to bear the
constant ratio to the amount of change in the other variable,
then the correlation is said to be linear.

If the amount of change in one variable does not bear the

constant ratio to the amount of change in the other variable,
then the correlation is said to be Non-linear or Curvilinear.

Eg: If rainfall is more then the production of rice would not

necessarily be doubled.

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Methods of studying correlation:

• Scatter Diagram Method

• Graphic Method
• Concurrent Deviation Method
• Method Of Least Squares
• Karl Pearson’s Co-efficient Of Correlation
• Rank Method

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 POSITIVE LINEAR CORRELATION

y y y

x x x

(a) Positive (b) Strong (c) Perfect

positive positive

Scatter Plots
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NEGATIVE LINEAR CORRELATION
y y y

x x x

(d) Negative (e) Strong (f) Perfect

negative negative

Scatter Plots
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 NON LINEAR CORRELATION

y
y

x x
(g) No Correlation (h) Nonlinear Correlation

Scatter Plots
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 CORRELATION

⦿ Measures the relative strength of the linear

relationship between two variables
⦿ Unit-less
⦿ Ranges between –1 and 1
⦿ The closer to –1, the stronger the negative linear relationship
⦿ The closer to 1, the stronger the positive linear relationship
⦿ The closer to 0, the weaker any positive linear relationship

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 SCATTER PLOTS OF DATA WITH
VARIOUS CORRELATION
COEFFICIENTS
Y Y Y

X X X
r = -1 r = -.6 r=0
Y
Y Y

X X
r = +1 r = +.3 r=0 X
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Results:

•The value of a correlation coefficient ranges between -1 and 1.

•Two Independent Random variables are said to be uncorrelated.

•When X and Y are independent ,then cov(X,Y)=0

•-1 ≤ r ≤ 1

•If r > 0 we have a Positive correlation

•If r < 0 we have a Negative correlation

•If r = 0 we have No correlation

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KARL PEARSON’S CO-EFFICIENT OF
CORRELATION:

It measures the strength of the linear

relationship between the variables. Correlation
Coefficient between two random variables X and Y
is usually denoted by r(X,Y) and defined as

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If (xi ,yi) i =1,2,…,n is the bivariate distribution, then

where n is the no of items in the given data.

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RANK CORRELATION :

Let us suppose that a group of n individuals are

arranged in order of merit in possession of two
characteristic A and B. These ranks will, in general, be
different.

Spearman’s Rank Correlation Coefficient is given by

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Problems based on Rank Correlation :

Find the rank correlation coefficient between the following

data.

Rank in X 1 2 3 4 5 6 7

Rank in Y 4 3 1 2 6 5 7

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 Solution:
X Y
1 4 -3 9
2 3 -1 1
3 1 2 4
4 2 2 4
5 6 -1 1
6 5 1 1
7 7 0 0

Rank correlation coefficient is given by

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Repeated Ranks:

If there is more than one item with the same value in the
series, then the usual method cannot be used, so common
ranks are given to repeated ranks are given the following
Correction is made in the correction formula.

In the correlation formula, we add a factor to where m is

the number of items and item is repeated. This correction
factor is to be added for each repeated value.

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Problems on Repeated ranks
Find the rank correlation coefficient from the following data
X 68 64 75 50 64 80 75 40 55 64
Y 62 58 68 45 81 60 68 48 50 70

Solution:
X Y Rank X Rank Y
(xi) (yi)
68 62 4 5 -1 1
64 58 6 7 -1 1
75 68 2.5 3.5 -1 1
50 45 9 10 -1 1
64 81 6 1 5 25
80 60 1 6 -5 25
75 68 2.5 3.5 -1 1
40 48 10 9 1 1
55 50 8 8 0 0
64 70 6 2 4 16

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In X series
so common rank 2.5 is given for each 75.
so common rank 6 is given for each 64
so common rank 3.5 is given for each 68
m = 10

Repeated value Positions Average

ranks

75 2&3 (2+3)/2=2.5

64 5,6&7 (5+6+7)/3=6

68 3&4 (3+4)/2=3.5

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