MAT3003 Probability, Statistics and Reliability

Bivariate Random Variables

Dr.E.Prasad
Asst Professor, Dept of Mathematics
VIT Bhopal University

Spring 2024-25

Module 3 Dr.E.Prasad
 Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Syllabus

Joint density function, Joint probability distribution, Marginal Probability

Distribution, Conditional Probability Distribution, Covariance, Correlation
Coefficient, Regression Analysis (partial and multiple correlation).

Dr.E.Prasad
Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Joint Distributions of Discrete Random Variables

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Two Dimentional(Joint) Random Variable-Discrete

If all values of ( X, Y ) are countable (discrete random variable),then its probability mass

function defined as P( X , Y ) with following conditions are satisfies

1. P xj , yj ≥ 0, ∀ i, j

2. xi yi P xi , yi = 1

Dr.E.Prasad
Probability, Statistics and Reliability Module-3; Bivariate Random Variables
𝐋𝐢𝐬𝐭 𝐨𝐟 𝐅𝐨𝐫𝐦𝐮𝐥𝐚

1. Marginal Functions

𝑎) 𝑃𝑋 𝑥𝑖 = 𝑃(𝑥𝑖 , 𝑦𝑖 ) 𝑏) 𝑃𝑌 𝑦𝑖 = 𝑃(𝑥𝑖 , 𝑦𝑖 )
𝑦𝑖 𝑥𝑖

2. Conditional Distribution
𝑃(𝑋=𝑥𝑖 ,𝑌=𝑦𝑖 ) 𝑃(𝑋=𝑥𝑖 ,𝑌=𝑦𝑖 )
a) P(𝑋/𝑌) = b) P(𝑌/𝑋)=
𝑃𝑌 𝑦𝑖 𝑃𝑋 𝑥𝑖

3.Independence

𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑖 )= 𝑃𝑋 𝑥𝑖 * 𝑃𝑌 𝑦𝑖

4.Cumulative Distribution Function of ( X, Y ) is defined as

𝐹𝑋 𝑥𝑗 , 𝑦𝑗 = 𝑥𝑖 𝑦𝑖 𝑃(𝑥𝑖 ≤ 𝑥𝑗 , 𝑦𝑖 ≤ 𝑦𝑗 )

5. Formula

𝑎) 𝐸 𝑋/𝑌 = 𝑥𝑖 𝑃(𝑋 /𝑌) 𝑏) 𝐸 𝑋 = 𝑥𝑖 𝑃𝑋 𝑥𝑖

𝑥𝑖 𝑥𝑖

Dr.E.Prasad
Probability, Statistics and Reliability Module-3; Bivariate Random Variables

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Example3:

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables
Example4:
From the following joint distribution of X and Y find the marginal distributions.

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables
Example5:

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Example6

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 Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Example7:

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 Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Example8:

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Example9:

Example10:
Three fair coins are tossed. Let 𝑋 denote the number of heads on the first two coins,
let Y denote the number of tails on the last two coins .let Z denote the number of heads on
the last two coins.
a) Find the joint probability mass function of 𝑋 and Y and X and Z
b) Find the Probability of Y given X=1
c) Find the Probability of X given Z=1

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

JOINT DISTRIBUTIONS OF CONTINUOUS RANDOM VARIABLES

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Two Dimentional(Joint) Random Variable − Continuous

If all values of ( X, Y ) are countable (continuous random variable),then its probability joint

density function defined as f( x , y ) or 𝑓𝑥𝑦 𝑥, 𝑦 with following conditions are satisfies

1. f x, 𝑦 ≥ 0, ∀ x,y

∞ ∞
2. −∞ −∞
f( x , y )𝑑𝑥𝑑𝑦 = 1

Dr.E.Prasad
Probability, Statistics and Reliability Module-3; Bivariate Random Variables
𝐋𝐢𝐬𝐭 𝐨𝐟 𝐅𝐨𝐫𝐦𝐮𝐥𝐚

1. Marginal Functions
∞ ∞
𝑎) 𝑓𝑋 𝑥 = 𝑓 𝑥 = 𝑓 𝑥, 𝑦 𝑑𝑦 𝑏) 𝑓𝑌 𝑦 = 𝑓 𝑦 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞ −∞

2. Conditional Distribution
𝑓(𝑥,𝑦) 𝑓(𝑥,𝑦)
a) f(𝑋/𝑌) = b) f(𝑌/𝑋) =
𝑓𝑌 𝑦 𝑓𝑋 𝑥

3.Independence
𝑓 𝑥, 𝑦 = 𝑓𝑋 𝑥 * 𝑓𝑌 𝑦

4.Cumulative Distribution Function of ( X, Y ) is defined as

𝑥𝑗 𝑦𝑗 𝜕2 𝐹𝑋𝑌 𝑥,𝑦
𝐹𝑋𝑌 𝑥𝑗 , 𝑦𝑗 = −∞ −∞
f( x , y )𝑑𝑥𝑑𝑦 Note: = 𝑓(𝑥, 𝑦)
𝜕𝑥𝜕𝑦

5. Formula 𝑎 ∞
𝑃(𝑋 < 𝑎, 𝑌 > 𝑏) −∞ 𝑏
f( x , y )𝑑𝑥𝑑𝑦
𝑎) 𝑃 𝑋 < 𝑎/𝑌 > 𝑏 = = ∞ ∞
𝑃(𝑌 > 𝑏) f( x , y )𝑑𝑥𝑑𝑦
−∞ 𝑏
∞
b)P(X>a)= 𝑎
𝑓𝑋 𝑥 𝑑𝑥
∞
c) E( Y/𝑋)= −∞
𝑦𝑓 𝑦/𝑥 𝑑𝑦

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Example1

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Example3:

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Example1

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Example2:

Example3:

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Example4:

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Example5:

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Example6:

Example7:

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Example8:

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Example9: Verify the following

i)

ii)

iii)

Example10:

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 Probability, Statistics and Reliability Module-3; Bivariate Random Variables

Example11:

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Probability, Statistics and Reliability Module-3; Bivariate Random Variables

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