Module 2 Epcss
Module 2 Epcss
Some examples:
• Height (X) and weight (Y ) are measured for each individual in a sample.
• If more than one measurement is made on each observation, multivariate analysis is applied.
• The two measurements will be called X and Y . Since X and Y are obtained for each observation,
the data for one observation is the pair (X, Y ).
• Temperature (X) and precipitation (Y ) are measured on a given day at a set of weather stations.
• The distribution of X and the distribution of Y can be considered individually using univariate
methods. That is, we can analyze
X1 , X2 , ..., Xn
Y1 , Y2 , ..., Yn
• using CDFs, densities, quantile functions, etc. Any property that described the behavior of the Xi
values alone or the Yi values alone is called marginal property.
• The two measurements will be called X and Y . Since X and Y are obtained for each observation,
the data for one observation is the pair (X, Y ).
• For example the ECDF FX (t) of X, the quantile function QY (p) of Y, the sample standard deviation
of σY of Y , and the sample mean X of X are all marginal properties.
•
Consider a continuous random variables X and Y , then their joint cumulative distribution function
(cdf) is defined as:
FXY (x, y) = P {(X ≤ x, Y ≤ y)}
The marginal cdf can be obtained from the joint distribution as:
1
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
FXY (∞, ∞) = P {X ≤ ∞, Y ≤ ∞} = 1
∂2
fXY (x, y) = FXY (x, y) (1.1)
∂x∂y
The inverse relation of 1.2 is
Z y Z x
FXY (x, y) = fXY (u, v)dudv (1.2)
−∞ −∞
fXY (x, y) ≥ 0
3.
Z y2 Z x2
P {x1 < X ≤ x2 , y1 < Y ≤ y2 } = fXY (x, y)dxdy
y1 x1
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 2
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 3
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
where k is a constant
Solution: c.
a. 1 1
fX (x)fY (y) = (x + 1) × (y + 1)
It is given that fXY (x, y) = k(x + y) is joint pdf, 4 4
then 1
= (x + 1)(y + 1)
Z −∞ Z −∞ 8
f (x, y)k(x + y) dxdy = 1
−∞ −∞
1
fXY (x, y) = (x + y) 0<x<2 0<y<2
8
Z 2Z 2 Z 2 Z 2
k(x + y) dxdy = k (x + y)dx dy
0 0 0 0 fXY (x, y) 6= fX (x)fY (y)
Z 2 2
x
= k [ + xy]20 dy Hence X and Y are not independent
0 2
Z 2
1 = k (2 + 2y) dy
0
y2 2
= k[2y + 2 ]
2 0
1 = 8k
1
k =
8
1
fXY (x, y) = (x + y) 0<x<2 0<y<2
8
b.
Z 2
fX (x) = k (x + y) dy
0
y2 2
= k[xy + ]
2 0
4 1
= k[2x + ] = [2x + 2]
2 8
1
= [x + 1] 0 < x < 2
4
Z 2
fY (y) = k (x + y) dx
0
x2
= k[ + xy]20
2
4 1
= k[ + 2y] = [2y + 2]
2 8
1
= [y + 1] 0 < y < 2
4
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 4
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 5
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
2. The joint pdf fXY (x, y) = c a constant, when 0 < x < 3 and 0 < y < 3, and is 0 otherwise
[c.] What is FXY (x, y) when 0 < x < 3 and 0 < y < 3?
Solution: d.
Z xZ 3
a.What is the value of of the constant c
It is given that fXY (x, y) = c is joint pdf, then FX (x) = FXY (x, ∞) = c dudv
0 0
Z x Z 3
Z −∞
= c du dv
f (x, y) dxdy = 1 0 0
−∞ Z x
3Z 3 3 Z 3 = c [y]30 dv
Z Z
c dxdy = c 1dx dy 0
0 0 0 0
Z x
Z 3 = 3c dv = 3c [v]x0
= c [x]30 dy 0
0 1 x
Z 3 = 3 x = 0<x<3
9 3
1 = c 3 dy = 3c[y]30
0
1 = 9c Z 3Z y
1 FY (y) = FXY (∞, y) = c dudv
c =
9 Z 3 Z y 0 0
1
fXY (x, y) = = c , du dv
9 0 0
Z 3
b. What are the pdf for X and Y ? = c [y]y0 dv
0
Z 3 Z 3
fX (x) = c 1 dy = yc dv = yc [v]30
0 0
= c[y]30 =c×3 1 y
= 3 y = 0<y<3
1 9 3
= 0<x<3
3 e.
From the above equations it is observed that
Z 3
1 1 1
fY (y) = c 1 dx fX (x)fY (y) = × =
0 3 3 9
= c[y]30 = c × 3 1
fXY (x, y) =
1 9
= 0<y<3 fXY (x, y) = fX (x)fY (y)
3
c. Therefore X and Y are independent. Similarly it is
Z xZ y observed that
FXY (x, y) = c dudv
0
Z x Z y 0
FX (x)FY (y) = FXY (x, y)
= c du dv
Z0 x 0
= c [u]y0 dv
0
Z x
= cy dv = cy [v]x0
0
1
= xy 0 < x < 3, 0 < y < 3,
9
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 6
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
3. The joint pdf fxy (x, y) = c a constant, when 0 < x < 3 and 0 < y < 4, and is 0 otherwise
[c.] What is Fxy (x, y) when 0 < x < 3 and 0 < y < 4?
Solution: d.
a. Z xZ 4
It is given that fxy (x, y) = c is joint pdf, then FX (x) = FXY (x, ∞) = c dudv
Z −∞
f (x, y) dxdy = 1 Z x Z 4 0 0
−∞ = c du dv
0 0
Z 4Z 3 Z 4 Z 3 Z x
c dxdy = c 1dx dy = c [y]40 dv
0 0 0 0 0
Z x
Z 4
= c [x]30 dy = 4c dv = 4c [v]x0
0
0
Z 4 1 x
= 4 x = 0<x<3
1 = c 3 dy = 3c[y]40 12 3
0
1 = 12c
1
c =
12 Z 3Z y
b. FY (y) = FXY (∞, y) = c dudv
Z 4 0 0
Z 3 Z y
fX (x) = c 1 dy
0 = c , du dv
0 0
= c[y]40 =c×4 Z 3
1 = c [y]y0 dv
= 0<x<3 0
3 Z 3
Z 3 = yc dv = yc [v]30
fY (y) = c 1 dx 0
0 1 y
= 3 y = 0<y<3
= c[y]30 =c×3 12 4
1
= 0<y<4
4 From the above equations it is observed that
c.
Z xZ y
FXY (x, y) = c dudv fX (x)fY (y) = fXY (x, y)
0 0
Z x Z y
= c du dv
0 0 Therefore X and Y are independent. Similarly it is
Z x
observed that
= c [u]y0 dv
0
Z x
= cy dv = cy [v]x0 FX (x)FY (y) = FXY (x, y)
0
1
= xy 0 < x < 3, 0 < y < 4,
12
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 7
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
4. The joint pdf fxy (x, y) = c a constant, when 0 < x < 2 and 0 < y < 3, and is 0 otherwise
[c.] What is Fxy (x, y) when 0 < x < 2 and 0 < y < 3?
Solution: d.
a. Z xZ 3
It is given that fxy (x, y) = c is joint pdf, then FX (x) = FXY (x, ∞) = c dudv
Z −∞
f (x, y) dxdy = 1 Z x Z 3 0 0
−∞ = c du dv
0 0
Z 3Z 2 Z 3 Z 2 Z x
c dxdy = c 1dx dy = c [y]30 dv
0 0 0 0 0
Z x
Z 3
= c [x]20 dy = 4c dv = 3c [v]x0
0
0
Z 3 1 x
= 4 x = 0<x<2
1 = c 2 dy = 2c[y]30 6 2
0
1 = 6c
1
c =
6 Z 2Z y
b. FY (y) = FXY (∞, y) = c dudv
Z 3 0 0
Z 2 Z y
fX (x) = c 1 dy
0 = c du dv
0 0
= c[y]30 =c×3 Z 2
1 = c [y]y0 dv
= 0<x<2 0
2 Z 2
Z 2 = yc dv = yc [v]20
fY (y) = c 1 dx 0
0 1 y
= 3 y = 0<y<3
= c[y]20 =c×2 6 3
1
= 0<y<3
3 From the above equations it is observed that
c.
Z xZ y
FXY (x, y) = c dudv fX (x)fY (y) = fXY (x, y)
0 0
Z x Z y
= c du dv
0 0 Therefore X and Y are independent. Similarly it is
Z x
observed that
= c [u]y0 dv
0
Z x
= cy dv = cy [v]x0 FX (x)FY (y) = FXY (x, y)
0
1
= xy 0 < x < 2, 0 < y < 3,
6
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 8
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Solution:
a.
It is given that the given function is bivariate pdf then,
b.
c.
d.
e.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 9
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Solution:
a.
It is given that the given function is bivariate pdf then,
b.
c.
d.
e.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 10
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
[c.] What is FXY (x, y) when 0 < x < 1 and 0 < y < 1?
Solution:
a.
It is given that the given function is bivariate pdf then,
b.
c.
d.
e.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 11
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Example 3.5. Given A bivariate pdf for the discrete random variables. X and Y is
(x2 − 1.4xy + y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.4283π 1.02
[a.] What are the pdf for X and Y ?
R∞ R∞
[b.] FXY (∞, ∞) = −∞ −∞ fXY (x, y)dxdy = 1
Solution:
a) The pdf for X and Y
a = 1, b = 1.4, c = 1
(y − 0.7x)2 + 0.51x2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.4283π 1.02
Z ∞
fX (x) = fXY (xy)dy
−∞
Z ∞
(y − 0.7x)2
1 −0.5x2
= e exp − dy
1.4283π −∞ 1.02
u y − 0.7x
√ = √
2 1.02
r
1.02
u = y − 0.7x
2
r
1.02
du = dy
2
Also
Z ∞
1 z2
√ e− 2 dz = 1
2π
Z−∞
∞ √
z2
e− 2 dz = 2π
−∞
∞
r 2
Z
1 2 1.02 u
fX (x) = e−0.5x exp − du
1.4283π −∞ 2 2
1.02 √
r
1 −0.5x2
= e 2π
1.4283π 2
1 2
= √ e−0.5x
2π
1 −x2 /2
= √ e
2π
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 12
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Z ∞
fY (y) = fXY (xy)dy
−∞
Z ∞
(x − 0.7y)2
1 −0.5y 2
= e exp − dx
1.4283π −∞ 1.02
u x − 0.7y
√ = √
2 1.02
r
1.02
u = x − 0.7y
2
r
1.02
du = dx
2
Also
Z ∞
1 z2
√ e− 2 dz = 1
2π
Z−∞
∞ √
z2
e− 2 dz = 2π
−∞
∞
r
u2
Z
1 2 1.02
fY (y) = e−0.5y exp − du
1.4283π −∞ 2 2
1.02 √
r
1 −0.5y 2
= e 2π
1.4283π 2
1 2
= √ e−0.5y
2π
1 −y2 /2
= √ e
2π
b. R∞ R∞
FXY (∞, ∞) = −∞ −∞ fXY (x, y)dxdy = 1
Z ∞ Z ∞
fXY (xy)dxdy =
−∞ −∞
Z ∞ Z ∞
= fX (x) fY (y)dy dx
−∞
Z ∞ Z−∞
∞
1 −y2 /2
= fX (x) √ e dy dx
2π
Z−∞
∞
−∞
= fX (x)dx
Z−∞
∞
1 2
= √ e−x /2 dx
−∞ 2π
= 1
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 13
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
(x2 − 1.4xy + y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.4283π 1.02
1 2 1 2
fX (x)fY (y) = √ e−x /2 √ e−y /2
2π 2π
1 − x2 +y2
= √ e 2
2π
(x2 + 1.4xy + y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.4283π 1.02
Solution: a = 1, b = 1.4, c = 1
a.
(y + 0.7x)2 + 0.51x2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.4283π 1.02
Z ∞
fX (x) = fXY (xy)dy
−∞
Z ∞
(y + 0.7x)2
1 −0.5x2
= e exp − dy
1.4283π −∞ 1.02
u y + 0.7x
√ = √
2 1.02
r
1.02
u = y + 0.7x
2
r
1.02
du = dy
2
Also
Z ∞
1 z2
√ e− 2 dz = 1
2π
Z−∞
∞ √
z2
e− 2 dz = 2π
−∞
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 14
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
∞
r 2
Z
1 2 1.02 u
fX (x) = e−0.5x exp − du
1.4283π 2
−∞ 2
1.02 √
r
1 −0.5x2
= e 2π
1.4283π 2
1 2
= √ e−0.5x
2π
1 −x2 /2
= √ e
2π
(x + 0.7y)2 + 0.51y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.4283π 1.02
Z ∞
fY (y) = fXY (xy)dy
−∞
Z ∞
(x + 0.7y)2
1 −0.5y 2
= e exp − dx
1.4283π −∞ 1.02
u x + 0.7y
√ = √
2 1.02
r
1.02
u = x + 0.7y
2
r
1.02
du = dx
2
Also
Z ∞
1 z2
√ e− 2 dz = 1
2π
Z−∞
∞ √
z2
e− 2 dz = 2π
−∞
∞
r
u2
Z
1 2 1.02
fY (y) = e−0.5y exp − du
1.4283π −∞ 2 2
1.02 √
r
1 −0.5y 2
= e 2π
1.4283π 2
1 2
= √ e−0.5y
2π
1 2
= √ e−y /2
2π
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 15
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
b.
Z ∞ Z ∞
fXY (xy)dxdy =
−∞ −∞
Z ∞ Z ∞
= fX (x) fY (y)dy dx
−∞
Z ∞ Z−∞
∞
1 −y2 /2
= fX (x) √ e dy dx
2π
Z−∞
∞
−∞
= fX (x)dx
Z−∞
∞
1 2
= √ e−x /2 dx
−∞ 2π
= 1
c.
(x2 + 1.4xy + y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.4283π 1.02
1 2 1 2
fX (x)fY (y) = √ e−x /2 √ e−y /2
2π 2π
1 − x2 +y2
= √ e 2
2π
(x2 − 0.6xy + y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.9079π 1.82
Solution: a = 1, b = 1.4, c = 1
a.
(y − 0.3x)2 + 0.91x2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.9079π 1.82
Z ∞
fX (x) = fXY (xy)dy
−∞
Z ∞
(y − 0.3x)2
1 2
= e−0.5x exp − dy
1.9079π −∞ 1.82
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 16
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
u y − 0.3x
√ = √
2 1.82
r
1.82
u = y − 0.3x
2
r
1.82
du = dy
2
Also
Z ∞
1 z2
√ e− 2 dz = 1
2π
Z−∞
∞ √
z2
e− 2 dz = 2π
−∞
∞
r 2
Z
1 2 1.82 u
fX (x) = e−0.5x exp − du
1.9079π 2
−∞ 2
1.82 √
r
1 −0.5x2
= e 2π
1.9079π 2
1 2
= √ e−0.5x
2π
1 −x2 /2
= √ e
2π
(x − 0.3y)2 + 0.91y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.9079π 1.82
Z ∞
fY (y) = fXY (xy)dy
−∞
Z ∞
(x − 0.3y)2
1 −0.5y 2
= e exp − dx
1.9079π −∞ 1.92
u x − 0.3y
√ = √
2 1.92
r
1.02
u = x − 0.3y
2
r
1.92
du = dx
2
Also
Z ∞
1 z2
√ e− 2 dz = 1
2π
Z−∞
∞ √
z2
e− 2 dz = 2π
−∞
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 17
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
∞
r
u2
Z
1 2 1.92
fY (y) = e−0.5y exp − du
1.9079π 2
−∞ 2
1.92 √
r
1 −0.5y 2
= e 2π
1.9079π 2
1 2
= √ e−0.5y
2π
1 −y2 /2
= √ e
2π
b.
Z ∞ Z ∞
fXY (xy)dxdy =
−∞ −∞
Z ∞ Z ∞
= fX (x) fY (y)dy dx
−∞
Z ∞ Z−∞
∞
1 2
= fX (x) √ e−y /2 dy dx
2π
Z−∞
∞
−∞
= fX (x)dx
Z−∞
∞
1 2
= √ e−x /2 dx
−∞ 2π
= 1
c.
(x2 − 0.3xy + (0.3y)2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.9079π 1.92
1 2 1 2
fX (x)fY (y) = √ e−x /2 √ e−y /2
2π 2π
1 x2 +y 2
= √ e− 2
2π
10. Given A bivariate pdf for the discrete random variables. X and Y is
(x2 + 1.0xy + y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.7321π 1.5
Solution:
a.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 18
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
(y + 0.5x)2 + 0.75x2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.7321π 1.50
Z ∞
fX (x) = fXY (xy)dy
−∞
Z ∞
(y + 0.5x)2
1 −0.5x2
= e exp − dy
1.7321π −∞ 1.50
u y + 0.5x
√ = √
2 1.50
r
1.50
u = y + 0.5x
2
r
1.50
du = dy
2
Also
Z ∞
1 z2
√ e− 2 dz = 1
2π
Z−∞
∞ √
z2
e− 2 dz = 2π
−∞
∞
r 2
Z
1 2 1.50 u
fX (x) = e−0.5x exp − du
1.7321π −∞ 2 2
1.50 √
r
1 −0.5x2
= e 2π
1.7321π 2
1 2
= √ e−0.5x
2π
1 −x2 /2
= √ e
2π
(x + 0.5y)2 + 0.75y 2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.7321π 1.50
Z ∞
fX (x) = fXY (xy)dy
−∞
Z ∞
(x + 0.5y)2
1 −0.5y 2
= e exp − dy
1.7321π −∞ 1.50
u x + 0.5y
√ = √
2 1.50
r
1.50
u = x + 0.5y
2
r
1.50
du = dx
2
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 19
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Also
Z ∞
1 z2
√ e− 2 dz = 1
2π
Z−∞
∞ √
z2
e− 2 dz = 2π
−∞
∞
r 2
Z
1 2 1.50 u
fX (x) = e−0.5x exp − du
1.7321π −∞ 2 2
1.50 √
r
1 −0.5x2
= e 2π
1.7321π 2
1 2
= √ e−0.5x
2π
1 −x2 /2
= √ e
2π
b.
Z ∞ Z ∞
fXY (xy)dxdy =
−∞ −∞
Z ∞ Z ∞
= fX (x) fY (y)dy dx
−∞
Z ∞ Z−∞
∞
1 2
= fX (x) √ e−y /2 dy dx
2π
Z−∞
∞
−∞
= fX (x)dx
Z−∞
∞
1 2
= √ e−x /2 dx
−∞ 2π
= 1
c.
(x2 + 0.5xy + (0.5y)2 )
1
fXY (xy) = exp − − ∞ < x, y < ∞
1.7321π 1.50
1 2 1 2
fX (x)fY (y) = √ e−x /2 √ e−y /2
2π 2π
1 − x2 +y2
= √ e 2
2π
11 As shown in Figure is a region in the x, y plane where the bivariate pdf fXY (xy) = c.
Elsewhere the pdf is 0.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 20
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
y Figure 1.2
Integration Limits
(-2, 2 ) (2, 2 )
A B By taking line CB. Considering x varies from -2 to 2
and y is a variable its upper limit is 2 and its lower
lower limit is
x1 = −2, y1 = −2, x2 = 2, y2 = 2
x
y2 − y1
y − y1 = (x − x1 )
x2 − x1
2 − (−2)
y − (−2) = (x − (−2))
C 2 − (−2)
(-2, -2 ) y+2 = x+2
y = x
Solution:
a.
Z 2 Z 2
FXY (2, 2) = c dydx
−2 x
Z 2 Z 2
1 = c dy dx
−2 x
2 2 2
x2
Z Z
1 = c [y]2x dx
=c [2 − x]dx = c 2x −
−2 −2 2 −2
c 2 c
4x − x2 −2 = [4 × 2 − (2)2 ] − [4 × (−2) − (−2)2 ]
=
2 2
c c
= [[8 − 4] − [−8 − 4]] = [4 + 12]
2 2
1 = 8c
1
c =
8
b.
y Figure 1.3
Integration Limits
(-2,2 ) (2,2 )
A By taking line CD. Considering x varies from -2 to 2
B
and y is a variable its upper limit is 1 and its lower
1 D lower limit is
(1,1 )
x1 = −2, y1 = −2, x2 = 1, y2 = 1
x
1 1 − y1
y − y1 = (x − x1 )
1 − x1
1 − (−2)
y − (−2) = (x − (−2))
C 1 − (−2)
(-2,-2 ) y+2 = x+2
y = x
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 21
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Z 1 Z 1
FXY (1, 1) = c dydx
−2 x
Z 1 Z 1
= c dy dx
−2 x
1 1 1 1
x2
Z Z Z
= c [y]1x dx
=c [1 − x]dx = c x− dx
−2 −2 −2 2 −2
c 1 c
2x − x2 −2 = [2 × 1 − (1)2 ] − [2 × (−2) − (−2)2 ]
=
2 2
c c
= [[2 − 1] − [−4 − 4]] = [1 + 8]
2 2
= 9c
9
=
16
Z y
c. fY (y) = c dx
Z 2 −2
fX (x) = c dy = c [x]y−2 = c [y + 2]
x
= c [y]2x = c [2 − x] 1
= [[y + 2]
1 8
= [2 − x]
8
1
fXY (x, y) =
8
1 1
fX (x)fY (y) = [2 − x] [y + 2]
8 8
fXY (x, y) 6= fX (x)fY (y)
12 As shown in Figure is a region in the x, y plane where the bivariate pdf fXY (xy) = c.
Elsewhere the pdf is 0.
y Figure 1.4
Integration Limits
(-2, 2 ) (2, 2 )
A By taking line BC. Considering x varies from -2 to 2
B
and y is a variable its upper limit is 2 and its lower
lower limit is
x1 = −2, y1 = 2, x2 = 2, y2 = −2
x
y2 − y1
y − y1 = (x − x1 )
x2 − x1
−2 − 2
y−2 = (x − (−2))
C 2+2
(2, -2 ) y − 2 = −x − 2
y = −x
Solution:
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 22
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
a.
Z 2 Z 2
FXY (2, 2) = c dydx
−2 −x
Z 2 Z 2
1 = c dy dx
−2 −x
2 2 2
x2
Z Z
1 = c [y]2−x dx
=c [2 + x]dx = c 2x −
−2 −2 2 −2
c 2 c
4x + x2 −2 = [4 × 2 − (2)2 ] − [4 × (−2) − (−2)2 ]
=
2 2
c c
= [[8 − 4] − [−8 − 4]] = [4 + 12]
2 2
1 = 8c
1
c =
8
b.
y Integration Limits
By taking line DF. Considering x varies from -1 to 1
(-2, 2 ) (2, 2 ) and y is a variable its upper limit is 1 and its lower
A
B lower limit is
D (1, 1 ) E x1 = −1, y1 = 1, x2 = 1, y2 = −1
(-1, 1 )
x y2 − y1
y − y1 = (x − x1 )
x2 − x1
F −1 − 1
(1, -1 )
y−1 = (x − (−1))
1+1
C y − 1 = −x − 1
(2, -2 )
y = −x
Z 1 Z 1
FXY (1, 1) = c dydx
−1 −x
Z 1 Z 1
= c dy dx
−1 −x
1 1 1
x2
Z Z
= c [y]1−x dx
=c [1 + x]dx = c x + dx
−1 −1 2 −1
c 1 c
2x + x2 −1 = [2 × 1 + (1)1 ] − [2 × (−1) + (−1)2 ]
=
2 2
c c
= [[2 + 1] − [−2 + 1]] = [3 + 1]
2 2
1
= 2c = 2
8
1
=
4
c.
Z 2
fX (x) = c dy
−x
= c [y]2−x = c [2 + x]
1
= [2 + x]
8
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 23
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Z 2
fY (y) = c dx
−y
= c [x]2−y = c [2 + y]
1
= [2 + y]
8
1 1
fX (x)fY (y) = [2 + x] [2 + y]
8 8
e.
13 As shown in Figure is a region in the x, y plane where the bivariate pdf fXY (xy) = c.
Elsewhere the pdf is 0.
y Integration Limits
By taking line BC. Considering x varies from -2 to 2
(2, 2 ) and y is a variable its lower limit is -2 and its upper
C limit is
x1 = −2, y1 = −2, x2 = 2, y2 = 2
y2 − y1
x y − y1 = (x − x1 )
x2 − x1
2 − (−2)
y − (−2) = (x − (−2))
2 − (−2)
B A y+2 = x+2
(-2, -2 ) (2, -2 )
y = x
Solution:
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 24
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
a.
Z 2 Z x
FXY (2, 2) = c dydx
−2 −2
Z 2 Z x
1 = c dy dx
−2 −2
2 2 2
x2
Z Z
1 = c [y]x−2 dx
=c [x + 2]dx = c + 2x
−2 −2 2 −2
c 2 2 c 2 2
= x + 4x −2 = [(2) + 4 × 2] − [(−2) + 4 × (−2)]
2 2
c c
= [[4 + 8] − [4 − 8]] = [12 − 4]
2 2
1 = 8c
1
c =
8
b.
y Integration Limits
By taking line BD. Considering x varies from -2 to 1
(2, 2 ) and y is a variable its lower limit is -2 and its upper
C
limit is
(1, 1 )
x1 = −2, y1 = −2, x2 = 1, y2 = 1
D
x y2 − y1
y − y1 = (x − x1 )
x2 − x1
1 − (−2)
y − (−2) = (x − (−2))
1 − (−2)
B A
y+2 = x+2
(-2, -2 ) (2, -2 )
y = x
Z 1 Z x
FXY (1, 1) = c dydx
−2 −2
Z 1 Z x
= c dy dx
−2 −2
1 1 1
x2
Z Z
= c [y]x−2 dx
=c [x + 2]dx = c +x dx
−2 −2 2 −2
c 2 1 c
[(1)1 + 4 × 1] − [(−2)2 + 4 × (−2)+]
= x + 4x −2 =
2 2
c c
= [[1 + 4] − [4 − 8]] = [5 + 4]
2 2
9
=
16
c.
Z x
fX (x) = c dy
−2
= c [y]x−2
= c [x + 2]
1
= [x + 2]
8
Z 2
fY (y) = c dx
y
= c [x]2y = c [2 − y]
1
= [2 − y]
8
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 25
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
1 1
fX (x)fY (y) = [x + 2] [2 − y]
8 8
e.
FXY (xy) = c(x + 1)2 (y + 1)2 (−1 < x < 4) and (−1 < y < 2)
Solution:
a.
∂2
c(x + 1)2 (y + 1)2 = c4(x + 1)(y + 1)
∂x∂y
4
= (x + 1)(y + 1)
225
c. The cdfs FX (x) and FY (y).
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 26
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
d. P {(X ≤ 2) ∩ (Y ≤ 1)}
FXY (xy) = c(x + 1)2 (y + 1)2 (−1 < x < 3) and (−1 < y < 4)
Solution:
a.
∂2
c(x + 1)2 (y + 1)2 = c4(x + 1)(y + 1)
∂x∂y
1
= (x + 1)(y + 1)
100
c. The cdfs FX (x) and FY (y).
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 27
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
FXY (xy) = c(x + 1)2 (y + 1)2 (−1 < x < 3) and (−1 < y < 2)
Solution:
a.
∂2
c(x + 1)2 (y + 1)2 = c4(x + 1)(y + 1)
∂x∂y
4
= (x + 1)(y + 1)
144
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 28
1.1. Bivariate-cdf and pdf: Chapter 1. Multiple Random Variables:[?, ?, ?]
Note: Entire material is taken from different text books or from the Internet (different
websites). Slightly it is modified from the original content. It is not for any commercial
purpose. It is used to teach students. Suggestions are always encouraged.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 29
1.2. Bivariate-Expectations Chapter 1. Multiple Random Variables:[?, ?, ?]
1.2 Bivariate-Expectations
The expectation operation to a continuous random variables X and Y , is defined as:
Z ∞Z ∞
E[g(X, Y )] = g(x, y)fXY (x, y)dxdy
−∞ −∞
where g(x, y) is an arbitrary function of two variables. If g(x, y) is of only single random variable x then
Z ∞ Z ∞ Z ∞
E[g(X)] = g(x) fXY (x, y)dydx = g(x)fX (x)dx
−∞ −∞ −∞
The correlation of X and Y is the expected value of the product of X and Y
Z ∞Z ∞
E[X, Y ] = xyfXY (x, y)dxdy
−∞ −∞
The expectation is also same as averaging, therefore
n
1X
E[X, Y ] ∼ x i yi
n
i=1
Properties of correlation
1. Positive correlation: If the product tends to positive i.e.,
n
1X
xi yi > 0
n
i=1
Uncorrelated X and Y
Cov[XY ] = 0
then X and Y are uncorrelated with each other
E[XY ] = µX µY
Orthogonal X and Y
Cov[XY ] = 0
then X and Y are uncorrelated with each other
E[XY ] = 0
Cov[XY ] = −µX µY
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 30
1.2. Bivariate-Expectations Chapter 1. Multiple Random Variables:[?, ?, ?]
Correlated X and Y :
A correlation coefficient denoted ρXY is defined as
Cov[XY ]
ρXY =
σX σY
" 2 #
X − µX Y − µY
E ± ≥0
σX σY
" 2 2 #
X − µX (X − µX )(Y − µY ) Y − µY
E ±2 + ≥0
σX σX σY σY
1 ± 2ρxy + 1 ≥ 0
ρxy ≤ 1
|ρxy | ± 1
Y = aX + b
then
aσ 2
ρXY = √ X = ±1
± a2 σX
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 31
1.2. Bivariate-Expectations Chapter 1. Multiple Random Variables:[?, ?, ?]
CovXY = ρXY σX σY
= (−0.7)(5)(7)
= −24.5
σU2 = E[(U − µU )2 ]
= E[9(X − µX )2 + 12(X − µX )(Y − µY ) + 4(Y − µY )]
2
= 9σX + 12Cov[XY ] + 4σY2
= 9 × (52 ) + 12(−24.5) + 4(72 )
= 225 − 294 + 196
= 127
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 32
1.2. Bivariate-Expectations Chapter 1. Multiple Random Variables:[?, ?, ?]
b. Cov[U X]
c. Cov[U Y ]
CovXY = ρXY σX σY
= (0.2)(5)(7)
= 7
σU2 = E[(U − µU )2 ]
= E[9(X − µX )2 + 12(X − µX )(Y − µY ) + 4(Y − µY )]
2
= 9σX + 12Cov[XY ] + 4σY2
= 9 × (52 ) + 12(7) + 4(72 )
= 225 + 84 + 196
= 505
b. Cov[U X]
c. Cov[U Y ]
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 33
1.2. Bivariate-Expectations Chapter 1. Multiple Random Variables:[?, ?, ?]
CovXY = ρXY σX σY
= (0.7)(5)(7)
= 24.5
σU2 = E[(U − µU )2 ]
= E[9(X − µX )2 + 12(X − µX )(Y − µY ) + 4(Y − µY )]
2
= 9σX + 12Cov[XY ] + 4σY2
= 9 × (52 ) + 12(24.5) + 4(72 )
= 225 + 294 + 196
= 715
b. Cov[U X]
c. Cov[U Y ]
23. X and Y are correlated random variable with a correlation coefficient of ρ = 0.6 µX = 3
V ar[X] = 49, µY = 144 V ar[Y ] = 144. The random variables U and V are obtained using
U = X + cY and V = X − cY . What values can c have if U and V are uncorrelated? [?]
Solution:
If Cov[U V ] = 0 then
2
σX − c2 σY2 = 0
σX
c = ±
σ
rY
49
= ±
144
= ±0.5833
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 34
1.2. Bivariate-Expectations Chapter 1. Multiple Random Variables:[?, ?, ?]
24. X and Y are correlated random variable with a correlation coefficient of ρ = 0.7 µX = 5
V ar[X] = 36, µY = 16 V ar[Y ] = 150. The random variables U and V are obtained using
U = X + cY and V = X − cY . What values can c have if U and V are uncorrelated? [?]
Solution:
If Cov[U V ] = 0 then
2
σX − c2 σY2 = 0
σX
c = ±
σ
rY
36
= ±
150
= ±0.4899
25. X and Y are correlated random variable with a correlation coefficient of ρ = 0.8 µX = 20
V ar[X] = 70, µY = 15 V ar[Y ] = 100. The random variables U and V are obtained using
U = X + cY and V = X − cY . What values can c have if U and V are uncorrelated? [?]
Solution:
If Cov[U V ] = 0 then
2
σX − c2 σY2 = 0
σX
c = ±
σ
rY
70
= ±
100
= ±0.8367
Note: Entire material is taken from different text books or from the Internet (different
websites). Slightly it is modified from the original content. It is not for any commercial
purpose. It is used to teach students. Suggestions are always encouraged.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 35
1.3. Bivariate Transformations Chapter 1. Multiple Random Variables:[?, ?, ?]
U = aX + bY
V = cX + dY
µU = aµX + bµY
µV = cµX + dµY
The variance of U is
σU2 = E[(U − µU )2 ]
= E[(aX + bY − aµX − bµY )2 ]
= E[(a(X − µX ) + b(Y − µY ))2 ]
= E[a2 (X − µX )2 + 2ab(X − µX )(Y − µY ) + b2 (Y − µY )2 ]
= a2 σX
2
+ 2abCov[XY ] + b2 σY2
σV2 = E[(V − µV )2 ]
= E[(cX + dY − cmuX − dµY )2 ]
= E[(c(X − µX ) + d(Y − µY ))2 ]
= E[c2 (X − µX )2 + 2cd(X − µX )(Y − µY ) + d2 (Y − µY )2 ]
= c2 σX
2
+ 2cdCov[XY ] + d2 σY2
2
Cov[U V ] = acσX + (bc + ad)Cov[XY ] + bdσY2
U = cosθX − sinθY
V = sinθX + cosθY
X = cosθU + sinθV
Y = −sinθU + cosθV
µX = cosθµU + sinθµV
µY = −sinθµU + cosθµV
2
σX = cos2 θσU2 + 2sinθcosθCov[U V ] + sin2 θσV2
σY2 = sin2 θσU2 − 2sinθcosθCov[U V ] + cos2 θσV2
Cov[XY ] = sinθcosθ[σV2 − σU2 ] + (cos2 θ − sin2 θ)Cov[U V ]
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 36
1.3. Bivariate Transformations Chapter 1. Multiple Random Variables:[?, ?, ?]
26. The zero mean bivariate random variables X1 and X2 have the following variances:
V ar[X1 ] = 2 and V ar[X2 ] = 4. Their correlation coefficient is 0.8. Random variables Y1 and Y2
are obtained from
Y1 = 3X1 + 4X2
Y2 = −X1 + 2X2
σY21 = a2 σX
2
1
+ 2abCov[X1 X2 ] + b2 σX
2
2
σY22 = c2 σX
2
1
+ 2cdCov[X1 X2 ] + d2 σX
2
2
2 2
Cov[Y1 Y2 ] = acσX 1
+ (bc + ad)Cov[X1 X2 ] + bdσX 2
27. The random variable X has a mean of 3.0 and variances: of 0.7. The random variable
Y has a mean of -3.0 and variance of 0.6. The covariances for X and Y is 0.4666. Given the
transformation
U = 10X + 6Y
V = 5X + 13Y
σU2 = a2 σX
2
+ 2abCov[XY ] + b2 σY2
= (10)2 (0.7) + 2(10)(6)(0.4666) + (62 )(0.6)
= 147.5920
σV2 = a2 σX
2
+ 2abCov[XY ] + b2 σY2
= (5)2 (0.7) + 2(5)(13)(0.4666) + (132 )(0.6)
= 179.5580
2 2
Cov[U V ] = acσX 1
+ (bc + ad)Cov[X1 X2 ] + bdσX 2
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 37
1.3. Bivariate Transformations Chapter 1. Multiple Random Variables:[?, ?, ?]
U = 2X − 3Y
V = −4X + 2Y
2 = 5, σ 2 = 6 and Cov[XY ] = 0 Calculate values for V ar[U ]
We know that µX = 13, µY = −7, σX Y
and V ar[V ] and Cov[U V ] [?]
Solution:
σU2 = a2 σX
2
+ 2abCov[XY + b2 σY2
= (2)2 (5) + 0 + ((−3)2 )(6)
= 74
σV2 = a2 σX
2
+ 2abCov[XY + b2 σY2
= (−4)2 (5) + 0 + (22 )(6)
= 104
2 2
Cov[U V ] = acσX 1
+ (bc + ad)Cov[X1 X2 ] + bdσX 2
= (2)(−4)(5) + 0 + (−3)(2)(6)
= −76
29. It is required to have correlated bivariate random variables U and V such that µU =
0, µV = 0, σU2 = 7, σV2 = 20 and ρU V = 0.50. Specify uncorrelated random variables X and Y
and an angle θ, that when used in the transformation U = cosθX − sinθY , V = sinθX + cosθY
will produce the desired U and V . [?]
Solution:
µX = aµU + bµV = 0 + 0 = 0
µY = cµU + dµV = 0 + 0 = 0
Cov[U V ] = ρU V σU σV
p
= 0.5 (7)(20)
= 5.9161
2Cov[U V ]
tan2θ =
σU2 − σV2
2(5.9161)
= = −0.9101
7 − 20
2θ = tan−1 (−0.9101) = −42.3055
θ = −21.1537
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 38
1.3. Bivariate Transformations Chapter 1. Multiple Random Variables:[?, ?, ?]
2
σX = cos2 θσU2 + 2sinθcosθCov[U V ] + sin2 θσV2
= (0.9754)2 (7) + 2(−0.3609)(0.9754)(5.9161) + (−0.3609)2 (20)
= 6.6598 − 4.1651 + 2.6049
= 4.7107
30. It is required to have correlated bivariate random variables U and V such that µU =
0, µV = 0, σU2 = 25, σV2 = 4 and ρU V = −0.50. Specify uncorrelated random variables X and Y
and an angle θ, that when used in the transformation U = cosθX − sinθY , V = sinθX + cosθY
will produce the desired U and V . [?]
Solution:
µX = aµU + bµV = 0 + 0 = 0
µY = cµU + dµV = 0 + 0 = 0
Cov[U V ] = ρU V σU σV
p
= −0.5 (25)(4)
= −5
2Cov[U V ]
tan2θ =
σU2 − σV2
2(−5)
= = −0.4762
25 − 4
2θ = tan−1 (−0.4762) = −25.4637
θ = −12.7319
2
σX = cos2 θσU2 + 2sinθcosθCov[U V ] + sin2 θσV2
= cos2 (−25.4637)(25) + 2(sin(−25.4637))cos(−25.4637))(−5) + (sin2 (−25.4637))(4)
= 0.9514(25) + 2(−0.2204)(0.9754)(−5) + (0.1302)(4)
= 23.7851 + 2.1497 + 0.1943
= 26.1292
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 39
1.3. Bivariate Transformations Chapter 1. Multiple Random Variables:[?, ?, ?]
31. It is required to have correlated bivariate random variables U and V such that µU =
0, µV = 0, σU2 = 7, σV2 = 1 and ρU V = 0.30. Specify uncorrelated random variables X and Y
and an angle θ, that when used in the transformation U = cosθX − sinθY , V = sinθX + cosθY
will produce the desired U and V . [?]
Solution:
µX = aµU + bµV = 0 + 0 = 0
µY = cµU + dµV = 0 + 0 = 0
Cov[U V ] = ρU V σU σV
p
= 0.3 (7)(1)
= 0.7937
2Cov[U V ]
tan2θ =
σU2 − σV2
2(0.7937)
= = 0.2645
7−1
2θ = tan−1 (0.2645) = 14.8154
θ = 7.4077
2
σX = cos2 θσU2 + 2sinθcosθCov[U V ] + sin2 θσV2
= (0.9916)2 (7) + 2(0.1290)(0.9916)(0.7937) + (0.1290)2 (1)
= 6.8828 + 0.2030 + 0.01644
= 7.1024
Note: Entire material is taken from different text books or from the Internet (different
websites). Slightly it is modified from the original content. It is not for any commercial
purpose. It is used to teach students. Suggestions are always encouraged.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 40
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
W = X +Y
E[W ] = E[X + Y ]
µW = µ X + µY
The variance of W is
2
σW = E[(W − µW )2 ]
= E[(X + Y − µX − µY )2 ]
= E[((X − µX ) + (Y − µY ))2 ]
= E[(X − µX )2 + 2(X − µX )(Y − µY ) + (Y − µY )2 ]
2
= σX + 2Cov[XY ] + σY2
2
= σX + σY2
X and X are independent and are uncorrelated with each other hence 2Cov[XY ]
If pdf of X and Y are known then the cdf of the random variable W is
FW (w) = P {X + Y ≤ w}
P {X + Y ≤ w} = P {(x, y) ∈ <}
Z Z
= fXY (x, y)dxdy
<
Z ∞ Z w−x
= fXY (x, y)dy dx
−∞ −∞
Z ∞ Z w−x
FW (w) = fXY (x, y)dy dx
−∞ −∞
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 41
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
35. The random variables X is uniformly distributed between ±1. Two independent
realizations of are added: Y = X1 + X2 . What is the pdf for Y [?]
Solution:
1 1 1
fX1 (x) = = =
b−a 1 − (−1) 2
1 1 1
fX2 (y) = = =
b−a 1 − (−1) 2
X 1 ( x) X 2 ( x)
-1 +1
x -1 +1
x
-1 y 1 0 1 y 1
x
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 42
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
1 1 1
fX (x) = = =
b−a 3−0 3
1 1 1
fY (y) = = =
b−a 2 − (−2) 4
X ( y) Y ( y)
y y
0 3 -2 +2
X ( y ) X (w y)
y y
-3 0 w-3 w
Z ∞
Case 3: Width of the window 3-0=3, Lower fW (w) = fY (y)fX (w − y)dy
range=2 upper range=2+3=5 ⇒ 2 < w < 5 −∞
Z 2
Y ( y) X (w y) 1 1
= × dy
w−3 4 3
1 −2 1
= [y] = (2 − (w − 3))
12 w−3 12
y 5−w
-2 w-3 2 w = 2<w<5
12
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 43
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
1 1 1
fX (x) = = =
b−a 3−0 3
1 1 1
fZ (z) = = =
b−a 1 − (−1) 2
X ( z) Z (z)
z z
0 3 -1 +1
X ( z ) X (u z )
z z
-3 0 u-3 u
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 44
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
38. Probability density function for two independent random variables X and Y are
Z ∞
fW (w) = fY (y)fX (w − y)dy
Z−∞w
= (a3 /2)y 2 e−ay ae−a(w−y) dy
0
a4 e−aw w 2 −ay ay
Z
= y e e dy
2 0
a4 e−aw w 2
Z
= y dy
2 0
w
a4 e−aw y 3
=
2 3 0
a4 e−aw w3
=
2 3
3 4
= w3 e−3w
6
= 13.5w3 e−3w
Z ∞
fW (w) = fY (y)fX (w − y)dy
Z−∞
y
= λ2 xe−λx λ2 (y − x)e−λ(y−x) dx
0
Z y
= λ 4
xe−λx (y − x)e−λ(y−x) dx
0
Z y
= λ 4
e−λx−λy+λx [xy − x2 ]dx
0
Z y
4 −λy
= λ e [xy − x2 ]dx
0 2 y
4 −λy x x3
= λ e y−
2 3 0
2 3
4 −λy y y
= λ e −
2 3
3
3y − 2y 3
= λ4 e−λy
6
4 3
λ y −λy
= e
6
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 45
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
40. Probability density function for two independent random variables Z and V are
fZ (z) = ae−az u(z)
fV (y) = a2 ve−av u(v)
wherea = 31 . If Y = Z + V what is fZ (z) [?]
Solution:
Z ∞
fW (w) = fY (y)fX (w − y)dy
Z−∞
y
= a2 ve−av ae−a(y−v) dv
0
Z y
3 −ay
= a e vdv
0
2 y
3 −ay v
= a e
2 0
a3 2 −ay
= y e = 0.0185y 2 e−ay
2
41. Let the random variable U be uniformly distributed between ±5. Also let the pdf for
the random variable V be
fV (v) = 3e−3v u(v)
U and V are independent and W = U + V . What is the pdf for W [?]
Solution:
The random variable U is uniformly distributed between ±5 = −5 to + 5 it’s pdf is
U ( x)
x
-5 +5
1 1 1
fU (u) = = =
b−a 5 − (−5) 10
Z ∞
fW (w) = fU (u)fV (w − u)du
−∞
fW (w) = 0 w < −5
Z w
1 −3(w−u)
= 3e du
−5 10
" #w
1 e−3(w−u)
= 3
10 3
−5
1
= (1 − e−3(w+5) − 5 < w < 5
10
Z 5
1
= 3e−3(w−u) du − 5 < w < 5
10 −5
1 −3(w−5)
= [e − e−3(w+5) ] w > 5
10
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 46
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
X ( x)
x
-3 +3
1 1 1
fU (u) = = =
b−a 3 − (−3) 6
Z ∞
fW (w) = fX (x)fY (w − x)dx
−∞
fW (w) = 0 w < −3
Z w
1 −7(w−x)
= 7e dx
−3 6
" #w
1 e−7(w−x)
= 7
6 7
−3
1
= (1 − e−7(w+3) − 3 < w < 3
6
1 3 −7(w−x)
Z
= 7e du − 3 < w < 3
6 −3
1 −7(w−3)
= [e − e−7(w+3) ] w > 3
6
43. The random variable X be uniformly distributed between ±0.5. The random variable Z
has the pdf
X ( x)
x
-0.5 +0.5
1 1
fU (u) = = =1
b−a 0.5 − (−0.5)
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 47
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
Z ∞
fY (y) = fX (x)fZ (y − x)dx
−∞
fY (y) = 0 w < −0.5
Z y
= 1e−(y−x) dx
−0.5
" #w
e−(y−x)
=
1
−0.5
= (1 − e−(y+0.5) − 0.5 < w < 0.5
Z 0.5
= e−(y−x) dx − 3 < w < 3
−0.5
−(y−0.5)
= e − e−(y+0.5) ] 0.5 < y
44. The random variable X has the pdf c(7 − x) for all x between 0 and 7 and is 0 otherwise.
The random variable Y is independent of X and is uniformly distributed between 0 and 7.
W = X + Y . Find the necessary value of c and then find fW (w) [?]
Solution:
1 1 1
fY (y) = = =
b−a 7−0 7
1
1 = (7)(7c)
2
2
c = =
49
Z ∞
fW (w) = fX (x)fY (w − x)dx
Z−∞
w
2 1
= (7 − x)dx
0 49 7
Z w
2
= (7 − x)dx
343 0
w
x2
2
= 7x −
343 2 0
w2
2
= 7w −
343 2
1
= (14w − w2 ) 0 < w < 7
343
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 48
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
fW (w) =
Z 7
2 1
= (7 − x)dx
w−7 49 7
Z 7
2
= (7 − x)dx
343 w−7
7
x2
2
= 7x −
343 2 w−7
(7)2 (w − 7)2
2
= 7(7) − − 7(w − 7) −
343 2 2
2
w − 28w + 196
= 7 < w < 14
343
= 0 otherwise
45. The random variable X has the pdf c(5 − x) for all x between 0 and 5 and is 0 otherwise.
The random variable Y is independent of X and is uniformly distributed between 0 and 5.
U = X + Y . Find the necessary value of c and then find fU (u) [?]
Solution:
1 1 1
fY (y) = = =
b−a 5−0 5
1
1 = (5)(5c)
2
2
c = =
25
Z ∞
fU (u) = fX (x)fY (u − x)dx
Z−∞
u
2 1
= (5 − x)dx
0 25 5
Z u
2
= (5 − x)dx
125 0
u
x2
2
= 5x −
125 2 0
u2
2
= 5u −
125 2
1
= (10u − u2 ) 0 < u < 5
125
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 49
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
fU (u) =
Z 5
2 1
= (5 − x)dx
u−5 25 5
Z 5
2
= (5 − x)dx
125 u−5
5
x2
2
= 5x −
125 2 w−5
(5)2 (w − 5)2
2
= 5(5) − − 5(w − 5) −
125 2 2
2
u − 20u + 100
= 5 < w < 10
125
= 0 otherwise
46. The random variable X has the pdf c(3 − x) for all x between 0 and 3 and is 0 otherwise.
1 1 1
fY (y) = = =
b−a 3−0 3
1
1 = (3)(3c)
2
2
c = =
9
Z ∞
fV (v) = fX (x)fY (v − x)dx
Z−∞
v
21
= (3 − x)dx
0 93
Z v
2
= (3 − x)dx
27 0
v
x2
2
= 3x −
27 2 0
v2
2
= 3v −
27 2
1
= (6v − v 2 ) 0 < v < 3
27
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 50
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
fU (u) =
Z 3
21
= (3 − x)dx
v−3 93
Z 3
2
= (3 − x)dx
27 v−3
3
x2
2
= 3x −
27 2 v−3
(3)2 (v − 3)2
2
= 3(3) − − 3(v − 3) −
27 2 2
2
v − 12v + 36
= 3<v<6
27
= 0 otherwise
Z ∞
fU (u) = fY (y)fY (u − y)dy
Z−∞
∞
= [0.5δ(y) + 0.5δ(y − 3)][0.5δ(u − y) + 0.5δ(u − y − 3)]dy
Z−∞
∞
= [0.25δ(y)δ(u − y) + 0.25δ(y − 3)δ(u − y) + 0.25δ(y)δ(u − y − 3) + 0.25δ(y − 3)δ(u − y − 3)]dy
−∞
= 0.25δ(u) + 0.5δ(u − 3) + 0.25δ(u − 6)
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 51
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
Z ∞
fW (w) = fX (x)fY (w − x)dx
−∞
Z ∞
= [0.6δ(x − 2) + 0.4δ(x − 1)][0.6δ(x − 2) + 0.4δ(x − 1))]dx
−∞
Z ∞
= [0.16δ(x − 1)δ(w − x − 1) + 0.24δ(x − 2)δ(w − x − 1) + 0.24δ(x − 1)δ(w − x − 2) + 0.36δ(x − 2)δ(w − x − 2)]dx
−∞
= 0.16δ(w − 2) + 0.48δ(w − 3) + 0.36δ(w − 4)
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 52
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
35. Let X and Y be independent uniform random variables over (0, 1). Find and sketch the
pdf of Z = X + Y . [?]
Solution:
1 1
fX (x) = = =1
b−a 1 − (0)
1 1
fY (y) = = =1
b−a 1 − (0)
X ( x) Y ( y)
0 1
x 0 1
y
X ( y ) X ( z y)
x x
-1 0 z-1 z
z z = [y]1z−1 = [1 − (z − 1)]
0 z 1 1
= 2−z 1<z<2
fZ ( z)
1 z
0 2
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 53
1.4. Sums of Two Independent Two Random Variables: Chapter 1. Multiple Random Variables:[?, ?, ?]
Note: Entire material is taken from different text books or from the Internet (different
websites). Slightly it is modified from the original content. It is not for any commercial
purpose. It is used to teach students. Suggestions are always encouraged.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 54
1.5. Sums of IID Random Variables Chapter 1. Multiple Random Variables:[?, ?, ?]
E[Xi ] = E[X] = µX
The variance of Xi is
2
V ar[Xi ] = V ar[X] = σX
When n = 2
W2 = X1 + X2
E[W2 ] = 2µX
The variance of W2 is
2
V ar[W2 ] = 2σX
When n = 3
W3 = X1 + X2 + X3
= W2 + X3
E[W3 ] = 3µX
The variance of W3 is
2
V ar[W3 ] = 3σX
W = Wn−1 + Xn
µW = nµX
The variance of W3 is
σ2W 2
= nσX
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 55
1.5. Sums of IID Random Variables Chapter 1. Multiple Random Variables:[?, ?, ?]
53. The random variable U has a mean of 0.3 and a variance of 1.5
a) Find the mean and variance of Y if
53
1 X
Y = Ui
53
i=1
Solution:
a) The mean and variance of Y is
µU = 0.3, σU2 = 1.5
µY = µU = 0.3
σU2 1.5
σY2 = = = 0.0283
n 53
b) The mean and variance of Z is
µZ = nµU = 53(0.3) = 15.9
σZ2 = nσU2 = 53(1.5) = 79.5
Solution:
a) The mean and variance of Y is
22
µX = 0, σU2 = 12 = 0.333
µY = µX = 0
2
σX 0.3333
σY2 = = = 0.009
n 37
b) The mean and variance of Z is
µZ = nµX = 0
σZ2 2
= nσX = 37(0.3333) = 12.3333
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 56
1.5. Sums of IID Random Variables Chapter 1. Multiple Random Variables:[?, ?, ?]
Solution:
a) The mean and variance of Y is
µV = 1, σV2 = 4
µY = µV = 1
σV2 4
σY2 = = = 0.0460
n 87
b) The mean and variance of Z is
µZ = nµV = 87(1) = 87
σZ2 = nσV2 = 87(4) = 348
56. The random variable X has a mean of 12.6 and a variance of 2.1. The random variable
Y is related to X by Y = 10(X − µX ). The random variable Z is as shown here.
100
X
Z = Yi
i=1
Solution:
2 = 2.1
µX = 12.6, σX
µY = 10(µX − µX ) = 0
σY2 = 102 σY2 = 210
µZ = 100µY = 0
σY2 = 100σY2 = 21000
57. The random variable X = 3 + V , where V is a Gaussian random variable with a mean of
0 and a variance of 30. Seventy two independent realizations of X are averaged.
72
1 X
Y = Xi
72
i=1
Solution:
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 57
1.5. Sums of IID Random Variables Chapter 1. Multiple Random Variables:[?, ?, ?]
µV = 0, σV2 = 30
µX = 3 + µV = 3
2
σX = 12 σV2 = 30
µY = 0
σX2
30
σY2 = = = 0.4167
72 72
where Yi0 s are IID. What are mean and variance of Z [?]
Solution:
2 = 1.8
µX = 14, σX
µY = µX − µX = 0
σY2 = 1 2 σX
2
= 1.8
µZ = µY = 0
σY2
σZ2 = = 0.0180
100
59. The random variable Z is uniformly distributed between 0 and 1. The random variable
Y is obtained from Z as follows
Y = 3Z + 5.5
[?]
Solution:
0+1
µZ = = 0.5
2
b−a 1−0 1
σZ2 = = =
12 12 12
µY = 3µZ + 5.5 = 3(0.5) + 5.5 = 7
9
σY2 = 32 σZ2 =
12
µU = µY = 7
r
9
σU = = 0.0866
1200
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 58
1.5. Sums of IID Random Variables Chapter 1. Multiple Random Variables:[?, ?, ?]
b)
60. The random variable Z is uniformly distributed between 0 and 1. The random variable
Y is obtained from Z as follows
Y = 3.5Z + 5.25
[?]
Solution:
0+1
µZ = = 0.5
2
b−a 1−0 1
σZ2 = = =
12 12 12
µY = 3.5µZ + 5.25 = 3.5(0.5) + 5.25 = 7
(3.5)2
σY2 = (3.5)2 σZ2 =
12
µU = µY = 7
r
1
σU = 3.5 = 0.1010
1200
a) The probability P (U ≤ 7.1)
x−µ
P (U ≤ 7.1) = FU (7.1) = φ
σ
7.1 − 7
= φ
0.1010
= φ (0.9900) F rom Z table
σY2 = = 0.8389
b)
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 59
1.5. Sums of IID Random Variables Chapter 1. Multiple Random Variables:[?, ?, ?]
61. The random variable Z is uniformly distributed between 0 and 1. The random variable
Y is obtained from Z as follows
Y = 2.5Z + 5.75
[?]
Solution:
0+1
µZ = = 0.5
2
b−a 1−0 1
σZ2 = = =
12 12 12
µY = 2.5µZ + 5.75 = 2.5(0.5) + 5.75 = 7
(2.5)2
σY2 = (2.5)2 σZ2 =
12
µU = µY = 7
r
1
σU = 2.5 = 0.0722
1200
a) The probability P (U ≤ 7.1)
x−µ
P (U ≤ 7.1) = FU (7.1) = φ
σ
7.1 − 7
= φ
0.0722
= φ (1.3850) F rom Z table
σY2 = = 0.9170
b)
Note: Entire material is taken from different text books or from the Internet (different
websites). Slightly it is modified from the original content. It is not for any commercial
purpose. It is used to teach students. Suggestions are always encouraged.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 60
1.6. Conditional Joint Probabilities Chapter 1. Multiple Random Variables:[?, ?, ?]
∂2
fXY (x, y|B) = FXY (x, y|B)
∂x∂y
The event B is a set of bivariate observations (x, y) in the (x) (y) plane
Z Z
P (B) = fXY (x, y)dxdy
B
Z Z
fY (y|B) = fXY (u, y|B)du
x x+dx
Z Z
fXY (u, y)
= du
x x+dx P (B)
fXY (x, y)
= dx
P (B)
fXY (x, y)
fY (y|X = x) =
fX (x)
fXY (x, y)
fY (y|x) =
fX (x)
Similarly
fXY (x, y)
fX (x|y) =
fY (y)
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 61
1.6. Conditional Joint Probabilities Chapter 1. Multiple Random Variables:[?, ?, ?]
Z ∞
µX|y = xfX (x|y)dx
Z−∞
∞
2
σX|y = (X − µX|y )2 fX (x|y)dx
−∞
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 62
1.6. Conditional Joint Probabilities Chapter 1. Multiple Random Variables:[?, ?, ?]
The detailed solutions are given in Exercise 11. Refer previous results.
62. Refer to Figure 3.20 used in Exercise 11. Find using (3.113), the pdf of Y conditioned
by X = 1. Then verify that the conditional pdf satisfies (2.12). Finally, find the mean and
the variance of Y conditioned by X = 1. [?]
Solution:
It is given that
1
fXY (x, y) =
8
1
fX (x) = (2 − x)
8
fXY (x, y)
fY (y|x) =
fX (x)
1
8
= 1 −2<x<2
8 (2 − x)
When X = 1
1 1
fY (y|1) = = =1 1 < y < 2, when x = 1
(2 − x) (2 − 1)
Z ∞ Z 2
fY (y|1)dy = 1dy = [y]21 = [2 − 1]
−∞ 1
= 1
Z ∞
σY2 |x = (y − µY |x )2 fY (y|x)dy
−∞
= y2 − (µY |x )2
2 2
y3
Z
2
y2 = y dy =
1 3 1
1 7
= [8 − 1] =
3 3
2
7 3 28 − 27
σY2 |x=1 = − =
3 2 12
1
=
12
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 63
1.6. Conditional Joint Probabilities Chapter 1. Multiple Random Variables:[?, ?, ?]
The detailed solutions are given in Exercise 12. Refer previous results.
63. Refer to Figure 3.21 used in Exercise 12. Find using (3.113), the pdf of Y conditioned
by X = 1. Then verify that the conditional pdf satisfies (2.12). Finally, find the mean and
the variance of Y conditioned by X = 1. [?]
Solution:
It is given that
1
fXY (x, y) =
8
1
fX (x) = (2 + x)
8
fXY (x, y)
fY (y|x) =
fX (x)
1
8
= 1 −2<x<2
8 (2 + x)
When X = 1
1 1 1
fY (y|1) = = = − 1 < y < 2, when x = 1
(2 + x) (2 + 1) 3
Z ∞ Z 2
1 1 1
fY (y|1)dy = dy = [y]2−1 = [2 + 1]
−∞ −1 3 3 3
= 1
Z ∞
σY2 |x = (y − µY |x )2 fY (y|x)dy
−∞
= y2 − (µY |x )2
2 −1
y3
Z
2
y2 = y dy =
−1 3 2
1 7
= [8 + 1] =
3 3
2
7 1 28 − 27
σY2 |x=1 = − =
3 2 12
1
=
12
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 64
1.6. Conditional Joint Probabilities Chapter 1. Multiple Random Variables:[?, ?, ?]
64. Refer to Figure 3.22 used in Exercise 13. Find using (3.113), the pdf of Y conditioned
by X = 1. Then verify that the conditional pdf satisfies (2.12). Finally, find the mean and
the variance of Y conditioned by X = 1. [?]
Solution:
It is given that
1
fXY (x, y) =
8
1
fX (x) = (x + 2)
8
fXY (x, y)
fY (y|x) =
fX (x)
1
8
= 1 −2<x<2
8 (x + 2)
When X = 1
1 1 1
fY (y|1) = = = − 2 < y < 1, when x = 1
(x + 2) (1 + 2) 3
Z ∞ Z 1
1 1 1
fY (y|1)dy = dy = [y]1−2 = [1 + 2]
−∞ −2 3 3 3
= 1
Z ∞
σY2 |x=1 = (y − µY |x )2 fY (y|x)dy
−∞
= y 2 − (µY |x )2
1 1
y3
Z
2
y2 = y dy =
−2 3 −2
1 7
= [1 + 8] =
3 3
2
7 1 28 − 27
σY2 |x = − =
3 2 12
1
=
12
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 65
1.6. Conditional Joint Probabilities Chapter 1. Multiple Random Variables:[?, ?, ?]
65. Refer to the joint pdf fXY (x, y) given in Exercise 9. Find using (3.113), the pdf of Y
conditioned by X = 2. Then verify that the conditional pdf satisfies (2.12). Finally, find the
mean and the variance of Y conditioned by X = 2. [?]
Solution:
It is given that
1
fXY (x, y) =
8
1
fX (x) = (x + 2)
8
fXY (x, y)
fY (y|x) =
fX (x)
1
8
= 1 −2<x<2
8 (x + 2)
When X = 2
√
−(4 − 1.2y + y 2 ) 4
2π
fY (y|2) = exp +
1.9079π 1.82 2
−(y − 0.6)2
1
fY (y|2) = √ exp
2π0.91 2(0.91)
Note: Entire material is taken from different text books or from the Internet (different
websites). Slightly it is modified from the original content. It is not for any commercial
purpose. It is used to teach students. Suggestions are always encouraged.
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 66
1.7. Selected Topics Chapter 1. Multiple Random Variables:[?, ?, ?]
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 67
1.7. Selected Topics Chapter 1. Multiple Random Variables:[?, ?, ?]
− v2
pv
2 πe v>0
2
fV3 (v) =
0 v<0
( v2
1
τ (r/2)2r/2
v ( 2r − 1)e− 2 v>0
fV (v) =
0 v<0
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 68
1.7. Selected Topics Chapter 1. Multiple Random Variables:[?, ?, ?]
r
r
T = Z
v
r
v p
fT (t|v) = fZ ( v/rt)
r
r
v −(r2 /r)(v/2)
fT (t|v) = e
2πr
Z ∞
1 2 /r)(v/2)
fT (t) = √ v [(r+1)/2−l] e−(1+t dv
2πr(r/2)(2r/2 ) 0
Let
w = (1 + t2 /r)(v/2)
Z ∞
1
fT (t) = √ w[(r+1)/2−l] e−w dw
2πrτ (r/2)(1 + t2 /r)( r + 1/2) 0
Γ r+1
2
fT (t) = √
πrΓ(r/2)(1 + t2 /r)( r + 1/2)
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 69
1.7. Selected Topics Chapter 1. Multiple Random Variables:[?, ?, ?]
1 2
fX (x) = a √ e−x /2 −∞<x<∞
σ 2π
1 2
fY (y) = a √ e−y /2 −∞<y <∞
σ 2π
Assume that the joint pdf fW Y (w, y) is known then the pdf for the random variable W is
Z
fW (w) = −∞∞ fW Y (w, y)dy
Z
fW (w) = −∞∞ fW (w|y)fY (y)dy
Z Z
∞
fW (w) = −∞ (y/a)fX (wy|a)fY (y)dy + −∞∞ (y/a)fX (wy/a)fY (y)dy
Z ∞
1
exp −(1 + (w/a)2 y 2 /2σ 2 ydy
fW (w) =
aπσ 2 0
v = (1 + (w/a)2 y 2 /2σ 2
a
fW (w) = −∞<y <∞ a>0
π(w2 + a2 )
The cdf is
Z w
FW (w) = fW (x)
−∞
1 w 1
= tan−1 + −∞<x<∞ a>0
π a 2
The characteristic function is
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 70
1.7. Selected Topics Chapter 1. Multiple Random Variables:[?, ?, ?]
p
r = x2 + y 2
dxdy = rdrdθ
r2
r − 2σ2
σ2
e r≥0
f (r) =
0 Otherwise
2r − r2
f (r) = e b r≥0
b
2
2r − rb
b e r≥0
fR (r) = r≥0
0 Otherwise
2
− rb
1 − e r≥0
FR (r) = r ≥ 0
0 Otherwise
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 71
1.7. Selected Topics Chapter 1. Multiple Random Variables:[?, ?, ?]
For independent random variables X and Y , the distribution fZ of Z = X + Y equals the convolution
of fX and fY :
(x−µX )2
1 −
2σ 2
fX (x) = √ e X
2πσX
(x−µY )2
1 −
2σ 2
fY (y) = √ e Y
2πσY
By taking Fourier transform
2 2
σ ω
F{fX } = FX (ω) = exp[−jωµX ]exp − X
2
2 2
σ ω
F{fY } = FY (ω) = exp[−jωµY ]exp − Y
2
Dr. Manjunatha P Prof., Dept of ECE, JNN College of Engg Shimoga [email protected] 9964378365 72