03-Multiple Random Variables
03-Multiple Random Variables
a given population,
the study of temperature and pressure
variations in a
physical experiment
In these situations, two or more random variables are
considered jointly and the description of their joint
behavior is
our concern.
They help us to compute probabilities involving the
output of systems with two (and sometimes three or
more) random inputs.
inputs
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Vector Random Variables
Suppose two random variable X and Y are defined on a
sample space S, where specific values of X and Y are
denoted by x and y, respectively.
Then any ordered pair of numbers (x,y) may be
conveniently considered to be a random point in the xy
plane.
The point may be taken as a specific value of a vector
random variable or a random vector.
The plane of all points (x,y) in the ranges of X and Y may
be considered a new sample space.
It is in reality a vector space where the components of any
vector are the values of the random variables X and Y.
NB:
A bivariate random variable, like the above, maps
sample space to a point in a plane. i.e 2D
A trivariate random variable maps outcomes to a
point in a 3D 4
The new space has been called the
range sample space or the two-
dimensional product space.
As in the case of one X x variable, let
A random
us define an event A by B Y y
A similar event B can be defined for Y:
Events A andAB refer
X x to B sample
andthe Y y space
S , while events
refer to the joint sample space
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Fig. 3.1 (X, Y) as a
function from Ω to the
plane.
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The Joint Cumulative Distribution Function (JCDF)
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 ) P ( A B )
where x and y are arbitrary real numbers.
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The Joint Probability Density Function Cont’d…..
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 (JPMF)
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
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Marginal Distribution functions
the distribution function of one random variable
can be obtained by setting the value of the other
variable to x, y
FX ,Yinfinity in F.X The
x or functions
FY y
obtained in this manner are called
marginal distribution functions.
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i. Marginal cdf of X and Y
FX ( x) lim FXY ( x, y ) FXY ( x, ) P ( A S ) P ( A)
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 ) P ( A B ) P ( A) P ( B )
f XY ( x, y ) f X ( x) f Y ( y )
PXY ( xi , y j ) PX ( xi ) PY ( y j )
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Conditional Distributions
i. Conditional Probability Density Functions
f XY ( x, y ) P( A B)
f X /Y ( x / y) , fY ( y ) 0 P( A / B)
fY ( y ) P( B)
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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The (k, n)th moment of a bivariate r.v. (X, Y) is
defined by
Similarly, we have
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If (X, Y) is a continuous bivariate rv mean of each is:
Similarly, we have
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Correlation and Covariance
Correlation :measures how much X and Y are related to each other.
Important when one is a linear function of the other
m11 RXY Cor ( X , Y ) E ( XY )
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Examples on Two Random Variables
Solution:
1 1
a.
-
f XY ( x, y )dxdy 1 kxydxdy 1
0 0
1 x2 1
k y 1
0
2 0
k 1 y2 1 k
ydy k 1
2 0 4 0 4
k 4
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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
y2
1
f X ( x) 4 x 2 x
2 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 4 xydx
0
x2
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 1 x2 1 y
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
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Examples on Two Random Variables Cont’d……
Solution:
e. Conditional pdf of X and 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
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Examples on Two Random Variables Cont’d……
Example-2: The joint pmf of two discrete random variables
X & Y is k ( 2 x y ) , x 1, 2; y 1, 2
i j i
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?
(d) Find the mean and the variance of X.
(e) Find the mean and the variance of Y.
(f) Find the covariance of X and Y.
(g) Find the correlation coefficient of X and
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Y.
Examples on Two Random Variables Cont’d……
Solution:
a. Pxi 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
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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
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Examples on Two Random Variables Cont’d……
Solution:
c. PXY ( xi , y j ) PX ( xi ) PY ( y j )
X and Y are not independent.
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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
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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 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:
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Examples on Two Random Variables Cont’d……
Solution:
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Example: The joint cdf of a bivariate r.v. (X, Y) is
given by
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Example: Consider the binary communication channel
shown in Fig. 3-4 (Prob. 1.52). Let (X, Y) be a bivariate r.v.,
where X is the input to the channel and Y is the output of
the channel. Let
P(X = 0) = 0.5, P(Y = 1/ X = 0) = 0.1, and P(Y = 0 / X = 1)
= 0.2.
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4. Let X and Y be two random variables with means
mX and mσY2X , variances
σ2 Y and , and correlation
coefficient ρ.
Suppose X cannot be observed, but we are able to
measure Y.
We wish to estimate X by using the quantity aY ,
where a is a suitable constant. Assuming mX =
mY = 0, find the constant a that minimizes the mean
squared error E[(X −aY )2]. Your answer should
depend on σX , σY , and ρ
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