Joint Distribution

The distribution of two or more random variables which are observed simultaneously is called
joint distribution and denoted by f (x , y , … .). let X and Y are two random variables, then joint
distribution of X and Y is denoted by f ( x , y ) and defined as:
f ( x , y )=P( X=x∧Y = y)
Properties:
1. f ( x , y ) ≥ 0 for all x , y
2. ∑ ∑ f ( x , y )=1

Example: Three coins are tossed simultaneously. Let X denoted the number of heads on first two
and Y denote the number of heads on last two.
Find
i. Joint distribution of X and Y.
ii. Marginal distribution of X and Y.
iii. E(X), E(Y) and Covariance of X and Y.
iv. Compute correlation coefficient and interpret the result.

Solution:
Sample Space HHH HHT HTH THH HTT THT TTH TTT
X 2 2 1 1 1 1 0 0
Y 2 1 1 2 0 1 1 0
The joint distribution of X and Y
Y
X 0 1 2 g(x )
0 1 1 0 2
8 8 8 8
1 1 2 1 4
8 8 8 8
2 0 1 1 2
8 8 8 8
h( y) 2 4 2 1
8 8 8

Conditional Distribution
The conditional distribution of X given Y denoted by f (x / y) and defined as:
f (x , y )
f (x / y)=
h( y)
Similarly, the conditional distribution of Y given X is denoted by f ( y / x) is defined as:
f (x , y )
f ( y / x)=
g(x )
Conditional Expectation
Let X and Y are two random variables and then the conditional expectation of the function
g ( x , y ) given that Y = y j is defined as:

E ( g(x , y)⋰ Y = y j )=∑ g ( x i , y j ) f ( x i ⋰ y j )

E ( h (x , y )⋰ Y = y j )=∑ h ( xi , y j ) f ( y j ⋰ x i )

Example: Two dice rolled. If we know that the sum of the roll is 10. What is the expected value
of the first roll?
Solution: The joint distribution of X and Y is given by;

X /Y 1 2 3 4 5 6
1 2 3 4 5 6 7
2 3 4 5 6 7 8
3 4 5 6 7 8 9
4 5 6 7 8 9 10
5 6 7 8 9 10 11
6 7 8 9 10 11 12

3
f ( y )=
36

E ( g( x , y)⋰ Y = y j )=
∑ g ( xi , y j ) f ( x i , y j )
f ( y j)

E ( x ⋰ Y =10 )=
∑ xf ( xi , y j )
3
36
The conditional expectation of X given that Y = 10 is
1 1 1
4× +5 × +6 ×
36 36 36 15
E ( x ⋰ Y =10 )= = =5
3 3
36
Example: The joint probability mass function is given by
 x⋱ y 1 2 3
1 0.2 0.1 0.3
2 0.1 0.1 0.2

Find E(Y ⋰ X =2) and E( X ⋰Y =2)

Solution:
x⋱ y 1 2 3 g(x )
1 0.2 0.1 0.3 0.6
2 0.1 0.1 0.2 0.4
h( y) 0.3 0.2 0.5

f (x , y)
f ( y ⋰ x) =
g (x)
f (2 , y )
f ( y ⋰ x=2 )=
g(2)
f (2 , 1 ) 0.1
f ( y =1⋰ x=2 )= = =0.25
g ( 2) 0.4

f ( 2, 2 ) 0.1
f ( y =2⋰ x=2 ) = = =0.25
g ( 2) 0.4

f ( 2 ,3 ) 0.2
f ( y =3 ⋰ x=2 )= = =0.50
g ( 2) 0.4

E ( Y ⋰ X=2 )=∑ y f ( y ⋰ x=2 )

E ( Y ⋰ X=2 )=1 × 0.25+2× 0.25+3 × 0.5=2.25

f (x , y)
f ( x ⋰ y )=
h ( y)
f ( x , 2)
f ( x ⋰ y =2 )=
h(2)
f (1 ,2) 0.1
f ( x=1 ⋰ y=2 )= = =0.5
h(2) 0.2
f (2 , 2) 0.1
f ( x=2⋰ y=2 ) = = =0.5
h(2) 0.2

E ( X ⋰ Y =2 )=∑ x f ( x ⋰ y =2 )
 E ( X ⋰ Y =2 )=1 × 0.5+2× 0.5=1.50
Example: The p.d.f of X and Y is given by:
1
f ( x , y )= x> 0 , y> 0 x + y <10
50
Find E( X ⋰Y =2)
Solution: The marginal pdf of Y is:
10− y
h ( y )= ∫ f ( x , y ) dx
0

10− y
1
h ( y )= ∫ 50
dy
0

10− y
1
h ( y )=
50
∫ 1. dy
0

1
h ( y )= [ 10− y ]
50
when Y = 2
1
h ( y=2 )= [ 10−2 ]= 8
50 50

The conditional pdf of X given Y is:

f (x , y)
f ( x ⋰ y )=
h ( y)
The conditional pdf of X given Y=2 is:
f ( x , 2)
f ( x ⋰ y =2 )=
h(2)
1
50 1
f ( x ⋰ y =2 )= =
8 8
50
When Y = 2, then 0< x <10− y ⟹0< x< 8
1
f ( x ⋰ y =2 )= 0< x < 8
8
 8
E ( X ⋰ Y =2 )=∫ x f ( x ⋰ y=2 ) dx
0

8
1
E ( X ⋰ Y =2 )= ∫ x dx
8 0

[ ]
2 8
1 x
E ( X ⋰ Y =2 )= ⋮
8 2
0
1 2
E ( X ⋰ Y =2 )= [8 ]
16
E ( X ⋰ Y =2 )=4