Statistics for Economists (Econ2042) 2024/2025

CHAPTER FOUR
4. JOINT AND CONDITIONAL PROBABILITY DISTRIBUTIONS
4.1. Joint and Marginal Probability Distributions
4.1.1. Joint probability distribution
If X and Y are two random variable the probability distribution for their simultaneous
occurrences can be represented by a function f(x,y),for any pair values (X,Y) within the range of
the random variable X and Y. This function known as joint probability distribution (X, Y)
Definition: 1. Let (x, y) is a two-dimensional discrete random variable with each possible
outcome (Xi, Yi) we associate a number (Xi, Yi) representing P(X=Xi, Y=Yi) and satisfying the
following conditions.
1. ( )
2. ∑ ∑ ( )
The function P is joint probability mass function( ). The set of triples,( ) ( )-,
i=j=1, 2,3,…, is the joint probability distribution of ( ).
Definition: 2. Let (X, Y) be a continuous random variable. If it assuming all values in some
region R of the Euclidean plane. Let (X, Y) be tow-dimensional continuous random variable
then the joint probability density function f is a function satisfying the following conditions:
1. ( )
2. ∬ ( )
Example:
1. Two production lines 1 and 2 have a capacity of producing 5 and 3 items per day
respectively, assume the numbers of items produced by each line is a random variable. Let
( ) be a two-dimensional random variable yielding the number of items produced by line 1
and line 2 respectively.
Y|X 0 1 2 3 4 5
0 0 0.01 0.03 0.05 0.07 0.09
1 0.01 0.02 0.04 0.05 0.06 0.08
2 0.01 0.03 0.05 0.05 0.05 0.06
3 0.01 0.02 0.04 0.06 0.06 0.05
A. Show that ( ) is a legitimate probability function of ( ).
B. What is the probability that both lines produce the same numbers of items?
C. What is the probability that more items are produce by line 2?
2. Let ( ) be a two-dimensional discrete random variable with

BY: Habitamu W. Page 1

 Statistics for Economists (Econ2042) 2024/2025
( )
( ) {

A. Show that ( ) is probability pmf?

B. Find ( )
3. Suppose that ( ) is a two-dimensional random variable with joint pdf is given by
( )
( ) {
A. Show that ( )
B. Find ( )
4. Given ( ) {

A. Find the value of K

B. Find ( )
C. Find ( )
Solution
1. A.
I. ( )
II. ∑ ∑ ( ) =0.01+0.03+…+0.06+0.05

B. ( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( )

1, C. ( ) ( ) ( ) ( ) ( ) ( ) ( )
=
2. A.
I. ( )
( )
II. ∑ ∑ ( ) ∑ ∑
( )
∑ ∑ =∑ ∑
=. / ( )
= . / . /

= ( ) ( ) ( ) ( )

3. A
I. ( )
BY: Habitamu W. Page 2
 Statistics for Economists (Econ2042) 2024/2025

( ) ( )
II. ∬ ⇒∫ ∫ ∫ ∫
( )
3B. ( ) ( ) ∫ ∫

∫ ( ) ∫ ( )

4.1.2. Marginal probability distribution

Definition: If and are discrete two-dimensional random variables and ( ) is the valueof
their joint probability distribution at ( ):
( ) ∑ ( )for each within the range of :The marginal probability mass function of .
( ) ∑ ( ) for each within the range of : The marginal probability mass function of .
Definition: If and are continuous two-dimensional random variables and ( ) is the value
of their joint probability density at ( ):
( ) ∫ ( ) for each : The marginal probability density function of .

( ) ∫ ( ) for each : The marginal probability density function of .

NB ( ) ( ) ∫ ∫ ( ) ∫ ( )

Example:
1. let (x,y) be the joint probability function given by
Y|X 0 1 2 ( )
0 0.25 0.15 0.1 0.50
1 0.1 0.08 0.1 0.28
2 0.05 0.07 0.1 0.22
( ) 0.40 0.30 0.30 1
Find the marginal distribution function of X and Y
Solution:
i. The marginal distribution function of X is
X= 0 1 2 Total
( ) 0.40 0.30 0.30 1

ii. The marginal distribution function of Y are

BY: Habitamu W. Page 3

 Statistics for Economists (Econ2042) 2024/2025

Y= 0 1 2 Total
( ) 0.50 0.28 0.22 1
2. The joint PMF of two random variables X and Y is given by
( )
PX,Y(x, y) ={

Where k is a constant:
A. What is the value of K?
B. Find the marginal PMFs of X and Y.

BY: Habitamu W. Page 4

 Statistics for Economists (Econ2042) 2024/2025

Solution:
A. To evaluate k, we remember that
∑ ∑ ( )=∑ ∑ ( )=1

Thus∑ ∑ ( )= ∑ ,( ) ( )-=1
= ∑ ( )

= ,( ) ( )-

B. The marginal pmf’s are

( ) ∑ ( )= ∑ ( ) *( ) ( )+

= ( )

( ) ∑ ( )= ∑ ( )= *( ) ( )+

= ( )

3. Let the joint pdf of (x,y) is given

( )
by ( ) {

Find the marginal distribution function of X and Y

Solution:
i. The marginal distribution density function of X is

( ) ∫ ( ) = ( ) ∫ ( ) ( )|

Therefore ( ) { so that is, X is uniformly distributed over [0, 1]

ii. The marginal distribution density function of y is

( ) ∫ ( ) = ( ) ∫ ( ) ( )|

Therefore ( ) { so that is, y is uniformly distributed over [0, 1]

4. Given the joint probability

( )
density, ( ) {

Find the marginal densities of and .

Solution: Performing the necessary integrations, we get

BY: Habitamu W. Page 5

 Statistics for Economists (Econ2042) 2024/2025

( ) ∫ ( ) ∫ ( ) ( )

Likewise, ( ) ∫ ( ) ∫ ( ) ( )

Exercise: Let the joint pdf of (x,y) is given by

( ) {

Find the marginal distribution function of X and Y

4.2. Conditional Distributions and Independence
4.2.1. Conditional Distributions
Definition1: Let (X, Y) be a continuous two-dimensional random variable with joint
pmf ( ). Let ( )and ( ) be the marginal pmf‘s of X and Y, respectively. Then the
( )
conditional pmf of X given that Y = y is defined by ( ) ( )>0 and
( )
the conditional pmf of Y given that X= is defined
( )
by ( ) ( )>0
( )

Definition2: Let (X, Y) be a continuous two-dimensional random variable with joint

pdf ( ). Let ( )and ( ) be the marginal pdf‘s of X and Y, respectively. Then the
( )
conditional pdf of X given that Y = y is defined by ( ) ( )
( )>0 and the
( )
conditional pdf of Y given that X = x is defined by ( ) ( )
( )>0

Generally: If X and Y have a joint distribution with joint density or probability

function ( ) then the marginal distribution of X has a probability function or density
function denoted ( )which is equal to ( ) ∫ ( ) in the continuous case and
( ) ∑ ( )in the discrete case. The density function for the marginal distribution of Y
is found in a similar way; ( )is equal to either ( ) ∫ ( ) in the continuous case
and ( ) ∑ ( ) in the discrete case and
Example:
1. The joint PMF of two random variables X and Y is given by

( ) ( )
{

A. What is the conditional PMF of Y given that X?

B. What is the conditional PMF of X given that Y?
Solution: we know that the marginal PMFs are given by
BY: Habitamu W. Page 6
 Statistics for Economists (Econ2042) 2024/2025

( ) ∑ ( ) ∑ ( ) ( ) x=1, 2 and

( ) ∑ ( ) ∑ ( ) ( ), y=1, 2

Thus, the conditional PMFs are given by

( )
A. the conditional PMF of Y given that X is ( )
( )

( )
B. the conditional PMF of X given that Y is ( )
( )

2. Suppose that the two-dimensional continuous random variable (X, Y) has joint pdf

given by ( ) {

Determine the conditional pdf of X given that Y and the conditional pdf of Y given that X
Solution: To determine the conditional PDFs, we first evaluate the marginal pdf’ s, which are
given by

 ( ) ∫ ( ) ∫ ( ) ( )|

 ( ) ∫ ( ) ∫ ( ) ( )|

Hence,
( )
( )
( )

( )
( )
( )

Exercise: verify that ( ) ( ) is pdf

4.2.2. Independent random variables
Definition: Let ( )denote a continuous bivariate random variable with joint pdf ( )
and marginal pdf s ( )and ( ). Then X and Y are called independent random variables if,
for every x X and y Y i.e. ( ) ( ) ( ) and Let ( )denote a discrete bivariate
random variable with joint pmf ( ) and marginal pmf ( )and ( ). Then X and Y are
called independent random variables if, for every x X and y Y i.e. ( ) ( ) ( ).

Example: ( ) { , then X and Y are not independent

( ) { , then X and Y are independent

1. Suppose (X, Y) are discrete random variables with probability function given by

BY: Habitamu W. Page 7

 Statistics for Economists (Econ2042) 2024/2025

Y x -1 0 1 Px(x)
-1 1/8 1/8 1/8
0 1/8 0 1/8
1 1/8 1/8 1/8
PY(y)

A. find the marginal pmf of X and Y

B. Are X and Y independent?
2. Given the joint probability density,
( )
( ) {

A. Find the marginal densities of X and Y.

B. Are X and Y independent?
Solution:
A. Performing the necessary integrations, we get

 ( ) ∫ ( ) ∫ ( ) ( )

Likewise, ( ) ∫ ( ) ∫ ( ) ( )

B. X and Y are not independent because ( ) ( ) ( )

4.3. Expectation
4.3.1. Covariance and Correlation
4.3.1.1. Covariance
The central joint moment = ( ( ) ( ( )) is called the covariance between X
and Y, and is denoted by the symbol , or by ( ).

Note that there is a simple relationship between and moments about the origin that can
be used for the calculation of the covariance.
( ) ( ) ( )
Proof: This result follows directly from the properties of the expectation operation. In
particular, by definition
[( ( ))( ( ))]
, ( ) ( ) ( ) ( )-
( ) ( ) ( ) ( ) ( ) ( ) ( )

BY: Habitamu W. Page 8

 Statistics for Economists (Econ2042) 2024/2025

( ) ( ) ( )
Example: Let the bivariate random variable (X,Y) have a joint density function

( ) { Find ( ).

Solution: from the definition of covariance it is computed as ( ) ( )

( ) ( )

Therefore by the definition of covariance ( ) ( ) ( ) ( )

 If X and Y are independent random variable then ,(assuming the covariance

exists)otherwise X and Y are dependent variable.

Example: Let X and Y be two random variables having a joint density function given by

( ) { .

Note this density implies that (x,y) points are equally likely to occur on and below the
parabola represented by the graph of . There is a direct functional dependence
between X and the range of Y, so that ( )will change as x changes and thus XandY must
be dependent random variables. None the less; . To see this, note that

BY: Habitamu W. Page 9

 Statistics for Economists (Econ2042) 2024/2025

So that the X and Y are independent random variable

Properties covariance:
If X and Y are either continuos or discrete random variable and if a and b are any constant
number, then covariance has the following properties.
1. ( ) ( ) ( ) ( )
2. ( )
3. ( )
4. ( ) ( )
5. ( ) ( )
6. ( ) ( )
7. ( ) ( ) ( )
8. ( ) ( )
9. ( ) ( )
4.3.1.2. Correlation coefficient
The correlation coefficient between two random variables X and Y is defined by
( )

Correlation coefficient tells us the degree of association and the direction of the linear
relationship between the random variables.
The correlation coefficient computed from the sample data measures the strength and
direction of a linear relationship between two variables.
The symbol for the sample correlation coefficient is r.
The symbol for the population correlation coefficient is ρ

BY: Habitamu W. Page 10

 Statistics for Economists (Econ2042) 2024/2025

The range of the correlation coefficient is from −1 to +1.

If there is a strong positive linear relationship between the variables, the value of r
will be close to +1.
If there is a strong negative linear relationship between the variables, the value of r
will be close to −1.
When there is no linear relationship between the variables or only a weak relationship,
the value of r will be close to 0.
Example: Let the bivariate random variable (X, Y) have a joint density function

( ) { , then compute the correlation coefficient of X and

Y?
Solution:

Properties of correlation: Let X and Y be random variables with correlation equal to

ρ.Then-1≤ ρ ≤1. Furthermore, ρ equals 1 or -1 if and only if Y is a linear function of X. In
fact:
1. If Y = a +bX for some constants a and b then ρ=1 if b>0, and ρ=-1 if b<0.
2. If Y ≠ a +bX for all a and b then -1< ρ<1.
If X and Y are independent then ρ=0

BY: Habitamu W. Page 11

 Statistics for Economists (Econ2042) 2024/2025

4.3.2. Conditional Expectation

In this section we shall have occasion to find the expected value of random variables in
conditional distributions, or the expected value of one random variable given the value of
another.
Definition: Conditional expectation Let (X, Y) be a two-dimensional random variable and g
(.,.), a function of two variables. The conditional expectation of g(X, Y) given X = x, denoted
by E [g(X, Y)/ X = x], is defined to be

, ( ) -

∫ ( ) ( ) ( )

, ( ) - ∑ ( ) ( ) ( )

Where, the summation is over all. Possible is over all. Possible Y

4.3.3. Independence and Expectation
We have already defined independence and expectation; in this section we will relate the two
concepts.
Theorem 1: If X and Yare independent and (.) and (.) are two functions, each of a
single argument, then
, ( ) ( )- , ( )- , ( )-
PROOF: We will give the proof for jointly continuous random variables.

, ( ) ( )- ∫ ∫ ( ) ( ) ( )

∫ ( ) ( ) ∫ ( ) ( )

, ( )- , ( )-
If X and Y are independent, Then Cov(X, Y) = 0
Example:
1. Suppose (X, Y) are discrete random variables with probability function given by
Y x -1 0 1 Px(x)
-1 1/8 1/8 1/8
0 1/8 0 1/8
1 1/8 1/8 1/8
PY(y)

BY: Habitamu W. Page 12

 Statistics for Economists (Econ2042) 2024/2025

A. find the E(X),E(Y) and E(XY)

B. Are X and Y independent?
Solution

( ) ∑ ( ) ( ) ∑ ( )

Now the marginal distribution of X and Y are given by

Y x -1 0 1 Px(x)
-1 1/8 1/8 1/8 3/8
0 1/8 0 1/8 2/8
1 1/8 1/8 1/8 3/8
PY(y) 3/8 2/8 3/8

( ) ∑ ( ) ( ) ( ) ( )

( ) ∑ ( ) ( ) ( ) ( )

( ) ∑ ∑ ( ) [ ( )] [ ( )] [ ( )]

 E(XY)=E(X).E(Y)=0=0.0
 Therefore X and Y are independent variables

BY: Habitamu W. Page 13