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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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) f Y ( y )
iii.from the joint pmf
PXY ( xi , y j ) PX ( xi ) PY ( y j )
Semester-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 10
Correlation and Covariance
i. Correlation
R XY 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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 y2 1 k
ydy k 1
2 0 4 0 4
k 4
Semester-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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
x 2
1
fY ( y ) 4 y 2 y
2 0
2 y , 0 y 1
fY ( y )
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 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 x2 1
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-II, 2013/14 By Welelaw Y. 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) 2 x
fY ( y ) 2y
2 x, 0 x 1, 0 y 1
f X / Y ( x / y )
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 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) 2 y
f X ( x) 2x
2 y, 0 x 1, 0 y 1
fY / X ( y / x)
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 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
where 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-II, 2013/14 By Welelaw Y. 19
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
Semester-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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
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?
Semester-II, 2013/14 By Welelaw Y. 26
Examples on Two Random Variables Cont’d……
Solution:
a. P
xi 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
Semester-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 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-II, 2013/14 By Welelaw Y. 30
