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Lecture No 32 - 01 November 2023

1) The document discusses continuous random variables and joint probability density functions (PDFs) for continuous random variables. 2) It provides examples of how to calculate probabilities and expectations for continuous random variables using their PDFs and defines what it means for two random variables to be jointly continuous using their joint PDF. 3) The key concept covered is that a joint PDF fX,Y(x,y) describes the probability per unit area that continuous random variables X and Y take on values between x and x+dx and y and y+dy. The joint PDF must be nonnegative and integrate to 1 over its entire domain.

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Noor Ghazi
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48 views14 pages

Lecture No 32 - 01 November 2023

1) The document discusses continuous random variables and joint probability density functions (PDFs) for continuous random variables. 2) It provides examples of how to calculate probabilities and expectations for continuous random variables using their PDFs and defines what it means for two random variables to be jointly continuous using their joint PDF. 3) The key concept covered is that a joint PDF fX,Y(x,y) describes the probability per unit area that continuous random variables X and Y take on values between x and x+dx and y and y+dy. The joint PDF must be nonnegative and integrate to 1 over its entire domain.

Uploaded by

Noor Ghazi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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EE 354/CE 361/MATH 310 –

Introduction to Probability

and Statistics
EE 354/CE 361/MATH 310 L1 section (Fall 2023) –

Introduction to Probability and Statistics

Aamir Hasan

Week 11 - Lecture No 32 – 1st November 2023


Announcements!
➢Quiz No 05 – Friday 03, 2023 – Good Luck

➢Quiz No 06 – Friday 10, 2023 (Joint CDF) – Good Luck

Agenda for today


• Unit 5: Continuous Random Variables

3
• Unit 5: Continuous Random Variables
Total probability and expectation theorems
𝑨𝟏 ∩ 𝑩 P B = P A1 P B A1 + … + P An P B An )
𝑨𝟏
pX (x) = P A1 p (x) + … + P An p (x)
X|A1 X|An
𝑨𝟐 𝑨𝟐 ∩ 𝑩 FX x = P X ≤ x = P A1 P X ≤ x A1 + …

= P A1 F x +…
𝑨𝟑 x|A1
𝑨𝟑 ∩ 𝑩 𝒇𝑿 = 𝑷 𝑨𝟏 𝒇𝑿|𝑨𝟏 𝒙 + … + 𝑷 𝑨𝒏 𝒇𝑿|𝑨𝒏 (𝒙)
𝒙

න x. fx x dx = P A1 න 𝒙. f x dx + …
P(𝑨𝟏 ) X|A1
E[ X | 𝑨𝟏 ]

P(𝑨𝟐 ) 𝑬 𝑿 = 𝑷 𝑨𝟏 𝑬 𝑿 𝑨𝟏 + … + 𝑷(𝑨𝒏 )𝑬 𝑿 𝑨𝒏
E[ X | 𝑨𝟐 ]

P(𝑨𝟑 ) E[ X | 𝑨𝟑 ]
Example

Sameena goes to the supermarket shortly, with probability 1/3, at a time


uniformly distributed between 0 and 2 hours from now; Or with probability 2/3,
later in the day, at a time uniformly distributed between 6-8 hours from now

1 2 f ~ U [6,8]
P A1 = f ~ uni f [0,2] P A2 = X|A2
3 X|A1 3
𝟏
𝑓𝑋 (𝑥) 𝟑 𝑓𝑋 (𝑥) = 𝑷 𝑨𝟏 𝒇𝑿|𝑨𝟏 𝒙 + … + 𝑷 𝑨𝒏 𝒇𝑿|𝑨𝒏 (𝒙)

𝑬 𝑿 = 𝑷 𝑨𝟏 𝑬 𝑿 𝑨𝟏 + … + 𝑷(𝑨𝒏 )𝑬 𝑿 𝑨𝟏
𝟏
𝟔
1 2
∗1+ ∗7
3 3
0 1 2 6 7 8
6
• Unit 5: Continuous Random Variables
Mixed Distributions
You play lottery and you have 1 dollar.
1
1, with probability Is 𝑋 Discrete? No
2
𝑋=
Is 𝑋 Continuous? No
1
uniform on [0, 2], with probability
2
1
P X=1 =
𝑌 Discrete 𝑋= ቊ
Y, with probability (1 − p) 2
𝑍 Continuous 𝑍, with probability p 𝑋 is mixed

FX x = P X ≤ x
FX x = 1−p P Y ≤ x + pP Z ≤ x
= 1−p FY x + pFZ x

E X = 1−p E Y + pE Z 8
Mixed Distributions
1, with probability 1/2 𝐀𝟐
𝑋= ቐ
uniform on 0, 2 , with probability 1/2 𝐀𝟏
𝐹𝑋|𝐴1 (𝑥)
Slope 1/2 FX (x) = P(A1) 𝐹𝑋|𝐴1 (x) + P(A2) 𝐹𝑋|𝐴2 (x)
1

𝐹𝑋 (𝑥)

𝑥
1 2 3 1
Slope 1/4
3/4
𝐹𝑋|𝐴2 (𝑥) 1/2
1/4

Slope 1/4

1 𝑥
0 1 2 3

𝑥
1 2 3 9
Jointly continuous R.V.’s and Joint PDFs. 𝑝𝑋 𝑥 𝑓𝑋 𝑥

𝑝𝑋,𝑌 𝑥, 𝑦 𝑓𝑋,𝑌 𝑥, 𝑦

𝑝𝑋,𝑌 𝑥, 𝑦 = P 𝑋 = 𝑥 and 𝑌 = 𝑦 ≥ 0 𝑓𝑋,𝑌 𝑥, 𝑦 ≥ 0

P 𝑋, 𝑌 ∈ 𝐵 = ෍ ෍ 𝑝𝑋,𝑌 𝑥, 𝑦 P 𝑋, 𝑌 ∈ 𝐵 = ‫𝑋 ׭‬, 𝑌 𝑓
∈𝐵 𝑋,𝑌
𝑥, 𝑦 𝑑𝑥𝑑𝑦
𝑋, 𝑌 ∈𝐵

∞ ∞
෍ ෍ 𝑝𝑋,𝑌 𝑥, 𝑦 = 1 න න 𝑓𝑋,𝑌 𝑥, 𝑦 𝑑𝑥𝑑𝑦 = 1
𝑥 𝑦 −∞ −∞

𝐃𝐞𝐟𝐢𝐧𝐢𝐭𝐢𝐨𝐧:
Two random variables are jointly continuous if they can be described by a joint PDF
10
Visualizing a Joint PDF
𝑓𝑋,𝑌 𝑥, 𝑦

P 𝑋, 𝑌 ∈ 𝐵 = ‫𝑋 ׭‬, 𝑌 𝑓
∈𝐵 𝑋,𝑌
𝑥, 𝑦 𝑑𝑥𝑑𝑦

𝑦
𝐵 𝑥

11
12
13
On Joint PDFs 𝑦

𝑑
P 𝑋, 𝑌 ∈ 𝐵 = ‫𝑋 ׭‬, 𝑌 𝑓
∈𝐵 𝑋,𝑌
𝑥, 𝑦 𝑑𝑥𝑑𝑦
𝑑 𝑏
𝑐 𝛿
𝐏 a ≤ X ≤ 𝑏, 𝑐 ≤ Y ≤ 𝑑 = න න 𝑓𝑋,𝑌 𝑥, 𝑦 𝑑𝑥𝑑𝑦 𝛿
𝑐 𝑎
B
𝐏 a ≤ X ≤ 𝑎 + 𝛿, 𝑐 ≤ Y ≤ 𝑐 + 𝛿 ≈ fX,Y a,c δ2
𝑎 𝑏 x

B
fX,Y x,y : probability per unit area Joint PDF area
Y = X

Are X and Y jointly


𝑎𝑟𝑒𝑎 𝐵 = 0 ⟹ P 𝑋, 𝑌 ∈ 𝐵 = 0 continuous?

14

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