Jointly Gaussian Random Variables
Two random variables X and Y are said to be jointly Gaussian if their
joint pdf is given by
Where,
𝝁𝑿 and 𝝁𝒀 are the mean of random variables X and Y
𝝈𝟐𝑿 and 𝝈𝟐𝒀 are the variance of random variables X and Y
𝝆𝑿𝒀 is the correlation coefficient of random variables X and Y
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Jointly Gaussian Random Variables
The Equation is also known as bivariate Gaussian density which is
denoted by the shorthand
𝑿, 𝒀 ~𝑵 𝝁𝑿 , 𝝁𝒀 , 𝝈𝟐𝑿 ,𝝈𝟐𝒀 , 𝝆𝑿𝒀
Note that if 𝝆𝑿𝒀 = 𝟎, then Eq can be written as
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Jointly Gaussian Random Variables
From the above discussion, we can find that any uncorrelated
Gaussian random variables are also statistically independent.
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Jointly Gaussian Random Variables
The loci of constant values of the Gaussian pdf are ellipse; since the
following equation describes an ellipse
If 𝝆𝑿𝒀 = 𝟎 The loci is a circle of radius r.
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𝝆𝑿𝒀 = 𝟎
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𝝆𝑿𝒀 = +𝟏
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𝝆𝑿𝒀 = −𝟏
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Transformations of Multiple Random
Variables
Consider a random variable 𝒁 = 𝒈(𝑿, 𝒀) which is a function of two
random variables X and Y.
The expectation of g(X,Y) can be obtained using
In the above equation, to find expectation of g(X,Y), we used the
joint pdf of X and Y. That is, to find expectation of g(X,Y), it is not
necessary to find the density function of the new random variable Z.
However, in some practical problems, it may be required to
determine the density function of the transformed variable Z, given
the joint pdf of X and Y.
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Two Functions of Two Random Variables
Consider two random variables X and Y with joint pdf 𝑓𝑋𝑌 (𝑥, 𝑦).
Let us define two random variables Z and W which arise as
functions of X and Y.
That is, 𝒁 = 𝒈(𝑿, 𝒀) and 𝑾 = 𝒉(𝑿, 𝒀).
Let us assume that the functions Z and W satisfy the following
conditions.
1. The equations 𝒁 = 𝒈(𝒙, 𝒚) and 𝑾 = 𝒉(𝒙, 𝒚) can be uniquely
solved for x and y in terms of z and w.
The solutions are given by 𝑿 = 𝒈(𝒛, 𝒘) and 𝒀 = 𝒉(𝒛, 𝒘)
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Two Functions of Two Random Variables
2. The functions g and h have continuous partial derivatives at all
points (x, y)
3. The determinant Covariance Matrix
Or
Jacobian Matrix
If the above conditions are satisfied then the random variables Z
and W are jointly continuous with density function
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Tutorial Example
Let X and Y be jointly continuous random variables with pdf
𝑓𝑋𝑌 (𝑥, 𝑦).
Let 𝑍 = 𝑋 + 2𝑌 and 𝑊 = 𝑋– 2𝑌.
Find the joint pdf of Z and W in terms of 𝑓𝑋𝑌
SOLUTION
Let 𝑔(𝑋, 𝑌) = 𝑋 + 2𝑌
and ℎ(𝑋, 𝑌) = 𝑋– 2𝑌
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Tutorial Example
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Auxiliary Variables
Consider the transformation 𝑍 = 𝑔(𝑋, 𝑌) where X and Y are two
random variables.
To determine the pdf of Z, first we define an auxiliary variable 𝑾 =
𝑿 𝒐𝒓 𝑾 = 𝒀 and
Then obtain the joint density of Z and W using
Next, we can obtain 𝑓𝑍 𝑧 from 𝑓𝑍𝑊 𝑧, 𝑤 by proper integration
with respect to ‘𝒘’.
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Tutorial Example
The random variables X and Y the have joint density function
Find the density function of 𝒁 = 𝑿 + 𝟐𝒀.
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Tutorial Example
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Tutorial Example
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Tutorial Example
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Tutorial Example
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Tutorial Example
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Tutorial Example
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Tutorial Example
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Tutorial Example
If X and Y are Independent random variables with density functions
𝑓𝑋 𝑥 = 𝑒 −𝑥 𝑢(𝑥); 𝑓𝑌 𝑦 = 2𝑒 −𝑦 𝑢 𝑦 . Find the density function of Z
= X + Y.
SOLUTION :Since X and Y are Independent
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Tutorial Example
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Tutorial Example
The range space of (Z,W) can be obtained as follows:
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