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-I, 2015 By Habib M. 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
Semester-I, 2015 By Habib M. 3
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 )
xy
Thus, the joint cumulative distribution function (cdf) is given
by:
y x
f XY ( x, y ) f XY (u, v)dudv
- -
Semester-I, 2015 By Habib M. 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
Semester-I, 2015 By Habib M. 5
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
Semester-I, 2015 By Habib M. 6
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
-
Semester-I, 2015 By Habib M. 7
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
Semester-I, 2015 By Habib M. 8
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) fY ( y)
iii.from the joint pmf
PXY ( xi , y j ) PX ( xi ) PY ( y j )
Semester-I, 2015 By Habib M. 9
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 )
Semester-I, 2015 By Habib M. 10
Correlation and Covariance
i. Correlation
RXY 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
XY XY
Semester-I, 2015 By Habib M. 11
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-I, 2015 By Habib M. 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 y 2 1 k
ydy k 1
2 0 4 0 4
k 4
Semester-I, 2015 By Habib M. 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-I, 2015 By Habib M. 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
x2 1
fY ( y ) 4 y 2 y
2 0
2 y , 0 y 1
fY ( y )
0, otherwise
Semester-I, 2015 By Habib M. 15
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
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
Semester-I, 2015 By Habib M. 16
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) 2x
fY ( y ) 2y
2 x, 0 x 1, 0 y 1
f X /Y ( x / y)
0, otherwise
Semester-I, 2015 By Habib M. 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) 2y
f X ( x) 2x
2 y, 0 x 1, 0 y 1
fY / X ( y / x)
0, otherwise
Semester-I, 2015 By Habib M. 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
whe re 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 .
Semester-I, 2015 By Habib M. 19
Examples on Two Random Variables Cont’d……
Solution:
1 1
a.
-
f XY ( x, y )dxdy 1
0 kdxdy 1
y
1
k x 1
1
0 y
1 y 1 k
2
k (1 y )dy k y 1
0
2 0 2
k 2
Semester-I, 2015 By Habib M. 20
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
Semester-I, 2015 By Habib M. 21
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-I, 2015 By Habib M. 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
Semester-I, 2015 By Habib M. 23
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
Semester-I, 2015 By Habib M. 24
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-I, 2015 By Habib M. 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
whe re 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-I, 2015 By Habib M. 26
Examples on Two Random Variables Cont’d……
Solution:
a. P
xi yj
XY ( xi , y j ) 1
2 2
k (2 xi y j ) 1
xi 1 y j 1
k[( 2 1) (2 2) (4 1) (4 2)] 1
18k 1
k 1 / 18
Semester-I, 2015 By Habib M. 27
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-I, 2015 By Habib M. 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-I, 2015 By Habib M. 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-I, 2015 By Habib M. 30
