Jointly Distributed

Random Variables

Joint Probability Mass Function for Two Discrete

Random Variables

Let X and Y be two discrete random variables defined on a

sample space S of an experiment. The joint p.m.f. p(x,y) is
defined for each pair of numbers (x, y) by
p(x,y) = P(X=x and Y=y)
Let A be any set consisting of pairs of (x,y) values. Then the
probability P[(X,Y)A] is obtained by summing the joint pmf
over pairs in A:
P[( X .Y ) A] p ( x, y )

The marginal probability mass

function
p (x) by
MPMF of X and of Y, denoted
X

respectively
are
given by
p ( y)
p ( x, y )

p X ( x ) p ( x, y )
y

pY ( y )

and

Joint Probability density function

Let X and Y be two continuous random variables Then the
.Y ) A] dimensional
joint p.d.f. f(x,y) for X and Y if for anyP[( Xtwo
set
f ( x, y)dxdy
A
A

{( x, y ) : a x b, c y d }

In particular if A is the two dimensional rectangle

Then

b d

P[( X , Y A] P (a X b, c Y d ) f ( x, y )dxdy
a c

Marginal PDF
The marginal PDF of X and Y
f X ( x)

f ( x, y)dy

for x

fY ( y )

f ( x, y)dx

for y

Expected values
Let X and Y be jointly distributed rvs with pmf p(x,y) or
pdf f(x,y) according to whether the variables are discrete
or continuous . Then the expected values of a function
h(X,Y), denoted by E(h(X,Y)) is given by
E(h(X,Y))=

h( x, y ) p( x, y ) if X and Y are discrete.

h( x, y) f ( x, y)dxdy

if X and Y are continuous

Covariance
The covariance between two rvs X and Y is
Cov ( X , Y ) E[( X X )(Y Y )

( x X )( y Y ) p( x, y ) X, Y discrete
(x - X )( y Y ) f x, y dxdy X, Y continuous.

Correlation
The correlation coefficient of X and Y denoted by Corr
XY

(X,Y),

is defined by

XY

Cov ( X , Y )

XY