Addis Ababa Science & Technology University

Department of Electrical & Electronics Engineering

Probability and Random Process (EEEg-2114)

Chapter 3: Multiple Random Variables

Multiple Random Variables

Outline
 Introduction
 The Joint Cumulative Distribution Function
 The Joint Probability Density and Mass Functions
 Marginal Statistics
 Independence
 Conditional Distributions
 Correlation and Covariance
 Functions of Two Random Variables

Semester-II, 2013/14 By Welelaw Y. 2

The Joint Cumulative Distribution Function
 The joint cdf of two random variables X and Y denoted by
FXY(x, y) is a function defined by:
FXY ( x, y ) P[ X ( )  x and Y ( )  y ]
 FXY ( x, y ) P ( X  x, Y  y )
where x and y are arbitrary real numbers.

Properties of the Joint cdf, FXY(x, y):

i. 0 FXY ( x, y ) 1
ii. lim FXY ( x, y ) FXY (, ) 1
x 
y 

iii. lim FXY ( x, y ) FXY ( , ) 0

x  
y  
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The Joint Probability Density Function
 The joint probability function (pdf) of two
continuous random variables X and Y is defined as:
2
 FXY ( x, y )
f XY ( x, y ) 
xy
 Thus, the joint cumulative distribution function
(cdf) is given by:
y x
f XY ( x, y )   f XY (u , v)dudv
- -

Semester-II, 2013/14 By Welelaw Y. 4

 The Joint Probability Density Function Cont’d…..

Properties of the Joint pdf, fXY(x, y):

1. f XY ( x, y ) 0
 
2.  f
- -
XY ( x, y )dxdy 1
y2 x2
3. P( x1  X x2 , y1 Y  y2 )  f XY ( x, y )dxdy
y1 x1

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The Joint Probability Mass Function
 The joint probability mass function (pmf) of two discrete
random variables X and Y is defined as:
PXY ( xi , y j ) P ( X  xi , Y  y j )
 The joint cdf can be written as:

FXY ( x, y )    PXY ( xi , y j )
xi x y j y

Properties of the Joint pmf, PXY (xi , yj ):

1. 0 PXY ( xi , y j ) 0
2. P
xi yj
XY ( xi , y j ) 1

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Marginal Statistics
 In the case of two or more random variables, the statistics of
each individual variable are called marginal statistics.
i. Marginal cdf of X and Y
FX ( x) lim FXY ( x, y ) FXY ( x, )
y 

FY ( y ) lim FXY ( x, y ) FXY (, y )

x 

ii. Marginal pdf of X and Y


f X ( x)  f XY ( x, y )dy
-

f Y ( y )  f XY ( x, y )dx
-

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Marginal Statistics Cont’d…..

iii. Marginal pmf of X and Y

P ( X  xi ) PX ( xi )  PXY ( xi , yi )
yj

P (Y  y j ) PY ( y j )  PXY ( xi , yi )
xi

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Independence
 If two random variables X and Y are independent, then
i. from the joint cdf

FXY ( x, y ) FX ( x) FY ( y )

ii. from the joint pdf

f XY ( x, y )  f X ( x) f Y ( y )

iii.from the joint pmf

PXY ( xi , y j ) PX ( xi ) PY ( y j )

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Conditional Distributions
i. Conditional Probability Density Functions
f XY ( x, y )
f X /Y ( x / y)  , fY ( y )  0
fY ( y )
f XY ( x, y )
fY / X ( y / x)  , f X ( x)  0
f X ( x)
i. Conditional Probability Mass Functions
PXY ( xi , y j )
PX / Y ( xi / y j )  , PY ( y j )  0
PY ( y j )
PXY ( xi , y j )
PY / X ( y j / xi )  , PX ( xi )  0
PX ( xi )
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Correlation and Covariance
i. Correlation

R XY Cor ( X , Y ) E ( XY )

ii. Covariance

 XY Cov( X , Y ) E[( X   X )(Y  Y )]

  XY Cov( X , Y ) E ( XY )  E ( X ) E (Y )

iii. Correlation Coefficient

Cov ( X , Y )  XY
 XY  
 XY  XY
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Examples on Two Random Variables

Example-1:
The joint pdf of two continuous random variables X and Y is
given by:
kxy , 0  x  1, 0  y  1
f XY ( x, y ) 
0 , otherwise
whe re k is a constant.
a. Find the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d . Find P ( X  Y  1)
e. Find the conditional pdf of X and Y .
Semester-II, 2013/14 By Welelaw Y. 12
Examples on Two Random Variables Cont’d……

Solution:
  1 1
a. 
-  
f XY ( x, y )dxdy 1  kxydxdy 1
0 0

 x2  1
1
 k y  1
0
 2 0
k 1  y2 1 k
 ydy k    1
2 0  4 0 4
 k 4

Semester-II, 2013/14 By Welelaw Y. 13

Examples on Two Random Variables Cont’d……

Solution:
b. Marginal pdf of X and Y
i. Marginal pdf of X
 1
f X ( x)  f XY ( x, y )dy 4 xydy
 0

 y 2
1
 f X ( x) 4 x  2 x
 2 0
2 x , 0  x 1
 f X ( x) 
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 14
Examples on Two Random Variables Cont’d……

Solution:
b. Marginal pdf of X and Y
ii. Marginal pdf of Y
 1
fY ( y )  f XY ( x, y )dx 4 xydx
 0

 x 2
1
 fY ( y ) 4 y  2 y
 2 0
2 y , 0  y 1
 fY ( y ) 
0, otherwise
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Examples on Two Random Variables Cont’d……

Solution:
c. f XY ( x, y )  f X ( x) fY ( y )
 X and Y are independent
1 1 y  x2  1
1
d . P( X  Y  1)  4 xydxdy 4 y  dy
0 0 0
 2 0
1 1
4 y[1 / 2(1  y ) ]dy 2( y  2 y 2  y 3 )dy
2
0 0

2( y 2 / 2  2 y 3 / 3  y 4 / 4) 1 / 6
 P( X  Y  1) 1 / 6

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Examples on Two Random Variables Cont’d……

Solution:
e. Conditional pdf of X and Y
i. Conditional pdf of X
f XY ( x, y ) 4 xy
f X /Y ( x / y)   2 x
fY ( y ) 2y

2 x, 0  x  1, 0  y  1
 f X / Y ( x / y ) 
0, otherwise

Semester-II, 2013/14 By Welelaw Y. 17

Examples on Two Random Variables Cont’d……

Solution:
e. Conditional pdf of X and Y

ii. Conditional pdf of Y

f XY ( x, y ) 4 xy
fY / X ( y / x)   2 y
f X ( x) 2x

2 y, 0  x  1, 0  y  1
 fY / X ( y / x) 
0, otherwise

Semester-II, 2013/14 By Welelaw Y. 18

Examples on Two Random Variables Cont’d……

Example-2:
The joint pdf of two continuous random variables X and Y is
given by:
k , 0  y x  1
f XY ( x, y ) 
0, otherwise
where k is a constant.
a. Determine the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d . Find P (0  X  1 / 2)
e. Find the conditional pdf of X and Y .
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 Examples on Two Random Variables Cont’d……

Solution:
  1 1
a. 
-  
f XY ( x, y )dxdy 1  kdxdy 1
0 y

1 1
 k x  1
0 y
1  y2 1 k
 k (1  y )dy k  y    1
0
 2 0 2
 k 2

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Examples on Two Random Variables Cont’d……

Solution:
b. Marginal pdf of X and Y
i. Marginal pdf of X
 x
f X ( x)  f XY ( x, y )dy  2dy
 0

x
 f X ( x) 2 y  2 x
0
2 x , 0  x 1
 f X ( x) 
0, otherwise
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Examples on Two Random Variables Cont’d……

Solution:
b. Marginal pdf of X and Y
ii. Marginal pdf of Y
 1
fY ( y )  f XY ( x, y )dx 2dx
 y

1
 fY ( y ) 2 x  2(1  y )
y
2(1  y ), 0  y 1
 fY ( y ) 
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 22
Examples on Two Random Variables Cont’d……

Solution:
c. f XY ( x, y )  f X ( x) fY ( y )
 X and Y are not independent
1/ 2 x
d . P(0  X  1 / 2)  f XY ( x, y )dydx
0 0

1/ 2 x 1/ 2 x
 2dydx  (2 y ) dx
0 0 0 0
1/ 2 1/ 2
 2 xdx  x 2
1 / 4
0 0
 P(0  X  1 / 2) 1 / 4
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Examples on Two Random Variables Cont’d……

Solution:

e. Conditional pdf of X and Y

i. Conditional pdf of X
f XY ( x, y ) 2 1
f X /Y ( x / y)   
fY ( y ) 2(1  y ) (1  y )
 1
 , 0  y x  1
 f X / Y ( x / y ) 1  y
0, otherwise


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Examples on Two Random Variables Cont’d……

Solution:

e. Conditional pdf of X and Y

ii. Conditional pdf of Y
f XY ( x, y ) 2 1
fY / X ( y / x)   
f X ( x) 2x x
1
 , 0  y x  1
 fY / X ( y / x)  x
0, otherwise

Semester-II, 2013/14 By Welelaw Y. 25

Examples on Two Random Variables Cont’d……

Example-3:
The joint pmf of two discrete random variables X and Y is given
by:
k (2 xi  y j ) , xi 1, 2; y 1, 2
PXY ( xi , y j ) 
0 , otherwise
where k is a constant.
a. Find the value of k .
b. Find the marginal pmf of X and Y .
c. Are X and Y independent?

Semester-II, 2013/14 By Welelaw Y. 26

Examples on Two Random Variables Cont’d……

Solution:

a. P
xi yj
XY ( xi , y j ) 1

2 2
   k (2 x
xi 1 y j 1
i  y j ) 1

 k[(2  1)  (2  2)  (4  1)  (4  2)] 1

 18k 1

 k 1 / 18
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Examples on Two Random Variables Cont’d……

Solution:
b. Marginal pmf of X and Y
i. Marginal pmf of X
2
1
PX ( xi )  PXY ( xi , y j )   (2 xi  y j )
yj y j 118

1 1
 PX ( xi )  (2 xi  1)  (2 xi  2)
18 18
1
 (4 xi  3), xi 1, 2
 PX ( xi ) 18

0, otherwise
Semester-II, 2013/14 By Welelaw Y. 28
Examples on Two Random Variables Cont’d……

Solution:
b. Marginal pmf of X and Y
ii. Marginal pmf of Y
2
1
PY ( y j )  PXY ( xi , y j )  (2 xi  y j )
xi xi 1 18

1 1
 PY ( y j )  (2  y j )  (4  y j )
18 18
1
 (2 y j  6), y j 1, 2
 PY ( y j ) 18

0, otherwise
Semester-II, 2013/14 By Welelaw Y. 29
Examples on Two Random Variables Cont’d……

Solution:

c. PXY ( xi , y j )  PX ( xi ) PY ( y j )
 X and Y are not independent.

Semester-II, 2013/14 By Welelaw Y. 30