Table of Contents
Bivariate Random Variable
• A discrete bivariate random variable (X , Y ) is an ordered pair of
discrete random variables.
• A discrete bivariate random variable (X , Y ) is an ordered pair of
discrete random variables.
JOINT PPROBABILITY MASS FUNCTION :
Given a pair of discrete random variables X and Y , their
joint probability mass function f : RX ⇥ RY ! R is defined
by
f (x, y ) = P(X = x, Y = y ).
• A discrete bivariate random variable (X , Y ) is an ordered pair of
discrete random variables.
JOINT PPROBABILITY MASS FUNCTION :
Given a pair of discrete random variables X and Y , their
joint probability mass function f : RX ⇥ RY ! R is defined
by
f (x, y ) = P(X = x, Y = y ).
EXAMPLES:
1. A fair coin is tossed two times; let X denote the number of
heads on the first toss and Y the total number of heads.
Sample space of this random experiment is
! = {HH, HT , TH, TT }.
We have
RX = {0, 1}
RY = {0, 1, 2}
and RX ⇥ RY = {(0, 0), (0, 1), (0, 2), (1, 0), (1, 1), (1, 2)}. Then
1
f (0, 0) = P(X = 0, Y = 0) =
4
and
f (0, 1) = P(X = 1, Y = 0) = 0.
The joint PMF of X and Y is as given in the following table:
Y=0 Y=1 Y=2
1 1
X= 0 4 4 0
1 1
X= 1 0 4 4
2. A fair die is rolled, and a fair coin is tossed independently. Let
X be the face value on the die, and let Y = 0 if a tail turns up and
Y = 1 if a head turns up. Find the joint PMF of X and Y ?
MARGINAL PPROBABILITY MASS FUNCTION :
Given a pair of discrete random variables X and Y and their
joint probability mass function f . The marginal PMF of X ,
fX : RX ! R is defined by
X
fX (x) = f (x, y ).
y 2RY
Similarly, the function fY : RY ! R defined by
X
fY (y ) = f (x, y ).
x2RX
is called the marginal PMF of Y .
EXAMPLE: A fair coin is tossed two times; let X denote the
number of heads on the first toss and Y the total number of heads.
Sample space of this random experiment is
! = {HH, HT , TH, TT }.
The joint PMF f of X and Y is as given in the following table:
Y=0 Y=1 Y=2 P(X=x)
1 1 2
X= 0 4 4 0 4
1 1 2
X= 1 0 4 4 4
1 2 1
P(Y=y) 4 4 4
Then the marginal PMF of X is given by
fX (0) = f (0, 0) + f (0, 1) + f (0, 2) = 1/4 + 1/4 + 0 = 2/4
and
fX (1) = f (1, 0) + f (1, 1) + f (1, 2) = 0 + 1/4 + 1/4 = 2/4.
Similarly, the marginal PMF of Y is given by
fY (0) = f (0, 0) + f (1, 0) = 1/4 + 0 = 1/4
fY (1) = f (0, 1) + f (1, 1)+ = 1/4 + 1/4 = 2/4
and
fY (2) = f (0, 2) + f (1, 2) = 0 + 1/4 = 1/4.
JOINT CUMULATIVE DISTRIBUTION FUNCTION :
Given a pair of discrete random variables X and Y and their
joint probability mass function f . The joint CDF of X and
Y , is a function F : R ⇥ R ! R defined by
F (x, y ) = P(X x, Y y ),
or
XX
F (x, y ) = f (s, t).
sx ty
JOINT PPROBABILITY DENSITY FUNCTION :
A bivariate random variable (X , Y ) is said to be of continuous
type , if there exists a function f : R ⇥ R ! R such that
f (x, y ) 0
R1 R1
1 1 f (x, y )dxdy = 1
For any subset A ✓ R ⇥ R,
Z Z
P((X , Y ) 2 A) = f (x, y )dxdy .
A
The function f is called the joint PDF of (X , Y ).
JOINT PPROBABILITY DENSITY FUNCTION :
A bivariate random variable (X , Y ) is said to be of continuous
type , if there exists a function f : R ⇥ R ! R such that
f (x, y ) 0
R1 R1
1 1 f (x, y )dxdy = 1
For any subset A ✓ R ⇥ R,
Z Z
P((X , Y ) 2 A) = f (x, y )dxdy .
A
The function f is called the joint PDF of (X , Y ).
EXAMPLE: Let X and Y have the joint density function
86 2
< 5 (x + 2xy ) if 0 < x < 1, 0 < y < 1
f (x, y ) =
:
0 otherwise,
What is P(X Y ) ?
MARGINAL PPROBABILITY DENSITY FUNCTION :
Let (X , Y ) be a continuous bivariate random variable. Let
f be the joint probability density function of X and Y . The
function fX : R ! R defined by
Z 1
fX (x) = f (x, y )dy .
1
is called the marginal probability density function of X . Sim-
ilarly, the function fY : R ! R defined by
Z 1
fY (y ) = f (x, y )dx,
1
is called the marginal probability density function of Y .
EXAMPLE: Let (X , Y ) be jointly distributed with PDF
8
<2 if 0<x <y <1
f (x, y ) =
:
0 otherwise,
EXAMPLE: Let (X , Y ) be jointly distributed with PDF
8
<2 if 0<x <y <1
f (x, y ) =
:
0 otherwise,
Then
8
Z 1 <2 x if 0<x <1
fX (x) = 2dy =
x :
0 otherwise
and
8
Z y <2y if 0<y <1
fY (y ) = 2dx =
0 :
0 otherwise
are the two marginal pdfs.
JOINT CUMULATIVE DISTRIBUTION FUNCTION :
Given a pair of continuous random variables X and Y and
their joint probability density function f . The joint CDF of
X and Y , is a function F : R ⇥ R ! R defined by
Z y Z x
F (x, y ) = P(X x, Y y ) = f (s, t)ds dt.
1 1
Note that
@2F
f (x, y ) = ,
@x@y
wherever these partial derivative exists.
EXAMPLE: Let (X , Y ) be jointly distributed with CDF
81
< 5 (2x 3 y + 3x 2 y 2 ) if 0<x <y <1
F (x, y ) =
:
0 elsewhere,
Then what is the joint pdf of X and Y ?
CONDITIONAL DISTRIBUTION :
Let X and Y be any two random variables with joint pdf (or
pmf) f and marginals fX and fY . The conditional probability
density function (or pmf) g of X , given (the event) Y = y ,
is defined as
f (x, y )
g (x|y ) = ,
fY (y )
provided fY (y ) > 0.
CONDITIONAL DISTRIBUTION :
Let X and Y be any two random variables with joint pdf (or
pmf) f and marginals fX and fY . The conditional probability
density function (or pmf) g of X , given (the event) Y = y ,
is defined as
f (x, y )
g (x|y ) = ,
fY (y )
provided fY (y ) > 0.
Similarly, the conditional probability density function (or pmf)
h of Y , given (the event) X = x, is defined as
f (x, y )
h(y |x) = ,
fX (x)
provided fX (x) > 0
Example: Let X and Y be discrete random variables with joint
probability mass function
81
< 21 (x + y ) if x = 1, 2, 3, y = 1, 2
f (x, y ) =
:
0 otherwise,
What is the conditional probability mass function of X , given
Y =2?
Example: Let X and Y be continuous random variables with joint
pdf
8
<12x if 0 < y < 2x < 1
f (x, y ) =
:
0 otherwise,
what is the conditional density function of Y given X = x?
INDEPENDENCE OF RANDOM VARIABLES:
Let X and Y be any two random variables with joint cdf F
and marginals FX and FY . The random variables X and Y
are independent if and only if
F (x, y ) = FX (x)FY (y ),
for all (x, y ) 2 R2 .
Theorem:
(a) A necessary and sufficient condition for random variables X
and Y of the discrete type to be independent is that
P(X = xi , Y = yi ) = P(X = xi )P(Y = yi )
for all (xi , y) 2 RX ⇥ RY .
(b) Two random variables X and Y of the continuous type are
independent if and only if
f (x, y ) = fX (x)fY (y )
for all (x, y ) 2 R2 , where f , fX , fY , respectively, are the joint and
marginal pdfs of X and Y .
Example: Let X and Y be continuous random variables with joint
pdf
8 (x+y )
<e if 0 < x, y < 1
f (x, y ) =
:
0 otherwise,
Are X and Y independent?
Theorem: Let X and Y be independent random variables and
, : R ! R are Borel measurable functions. Then the random
variables (X ) and (Y ) are also independent.
Proof: We have
1 1
P( (X ) x, (Y ) y ) = P(X 2 ( 1, x], Y 2 ( 1, y ])
1 1
= P(X 2 ( 1, x]) P(Y 2 ( 1, y ])
= P( (X ) x) P( (Y ) y ).
Hence the proof.
IID Random Variables :
The random variables X and Y are said to be independent
and identically distributed (IID) if and only if they are inde-
pendent and have the same distribution.
