9 views

Uploaded by Elona Lazaj

save

- lecture2 probablity
- 41R-08 Risk Analysis and Contingency Determination Using Range Estimating
- Notes on Probability
- Sep 10 - Probability_Operations
- MAT097 Chapter 7 Random Variables (With Solution)
- dp1079
- Tutorial-Answers ECON1203 Week7workshop Forstudents
- Random Variables and Probability Distributions
- Simulation of LAN Traffic
- BScCSIT First Semester Syllabus
- Normal Distribution Notes
- Quant Classroom Oct2011
- Midterm Notes
- Stat 1
- Prob Stat Eng
- Transactions on Emerging Telecommunications Technologies Volume 16 Issue 2 2005 Y.-h. You; H.-k. Song; Han-Jong Kim; Chang-Kyu Song; We-Duke Cho -- Evaluation of SIR Statistics in a DSCD
- Continuous Probability Distributions
- RF01_2012_10_29
- m2l5
- 1307.2968
- Data Science- Ananlytics-R 2018
- Staceyah Midterm 2B W2015-Stats7-Solns
- All of Statistics chapter 1 & 2.pdf
- Session 7 (Chpt 5 & 6)(3)
- Class Naotes
- Lect 0903
- 2010 Vjc h2 Prelim p2
- Formulae
- STAT2303 UARK Week 02 - Sampling Methods and Probability Distribution
- Kuliahke2mekstatS2
- Pencil2d Quick Guide
- PRACTICA 01 Propiedades Termodinamicas
- ASME_IX_WPS_PQR_checklist.pdf
- UPS-GT000471
- 86 SK PENDELEGASIAN DOKTER KEPADA PETUGAS MEDIS.doc
- Manual 2301D ST
- A disciplina.doc
- Sin Título (13)
- Lica Sabinica Fise Integrate
- Metodos de Estudios Indirectos
- Anexo Ao Plano de Aula
- Especificaciones Tecnicas Los Magnolios Curauma - Copia
- Ncp
- 10-bab-6-mencegah-ancaman-terhadap-negara-dalam-bingkai-bhinneka-tunggal-ika.doc
- Explosive welding, forming and compaction - T.Y. Blazynski - 1983.pdf
- What intelligence tests miss
- CATALOGO PULIDO
- Hipertensi Leaflet
- Temp Los
- Quiz 2 TOXICOLOGIA LABORAL INTENTO 1
- Solucion_7
- N7_4Esquinas(1)
- Gland Ula
- viaje de estudios a cantera
- Batismo infantil
- neuromarketing
- Novedades Dibbuks noviembre 2018
- MENU HARI I.docx
- 122
- 8.1.1.1 Sk Jenis Jenis Pemeriksaan Laboratorium Yang Tersedia
- Cour Not
- 95-04
- Kodi Punes 2010
- Lettres de Chopine 00 Chop
- Testing the Waterbed Effect in Mobile Telephony
- Francis
- Landier Les Echos 2013-02-14
- Chopin Frederic Prelude Raindrop
- lemonde_090428
- 2001-07
- Compliance Matters En
- 2009-03
- 2009-12-2
- 2009-12-2
- Mediterranean Poems
- les_echos_1109
- lemonde_090217
- lemonde_090217
- 2009-12-2
- Advanced Writing

You are on page 1of 9

∗

**Multiple Random Variables (Multivariate Model)
**

MIT 14.30 Spring 2006

Herman Bennett

6

6.1

**Multiple Random Variables
**

Bivariate Distribution

Many experiments deal with more than one source of uncertainty. For these cases a random vector must be deﬁned to contain the multiple random variables we are interested in. An n -dimensional random vector is a function from a sample space S into �n . In the bivariate case, n = 2.

6.1.1

Discrete Model

Let (X, Y ) be a discrete bivariate random vector. The joint pmf of the random vector (X, Y ) is the function fXY (x, y ), deﬁned by: fXY (x, y ) = P (X = x, Y = y ) and satisﬁes the following properties: f (x, y ) ≥ 0 for all pairs (x, y ). �� ii) f (x, y ) = 1.

∀x ∀y

for all x and y ;

(9)

i)

• Note that fXY (x, y ) : �2 → �.

∗

Caution: These notes are not necessarily self-explanatory notes. They are to be used as a complement

to (and not as a substitute for) the lectures.

1

2 0 0 2 . Y ) can be completely char acterized by its joint pmf or its joint cdf. and compute P (X ≥ 2.05 .05 . (10) • As in the univariate case. The joint cdf of (X.y )∈A P ((X.1 .05 2 .1 0 4 0 0 . Y ) is the function F (x. Y ≤ y ) = f (x. Y ) ∈ A) = f (x. y ).2 . y ). Y ≥ 3).05 . and P (|X − Y | = 1). The probability of event A is given by: � (x. P (X = 2). (11) Example 6. the bivariate distribution of (X. y ) = P (X ≤ x.05 0 0 1 . Check the properties of f (x. f (x. y ). deﬁned by: �� X ≤x Y ≤y F (x. y ).1.Herman Bennett LN3—MIT 14.30 Spring 06 • As in the univariate case.05 . y ) 0 1 2 3 0 .1 0 3 0 . y ). in the bivariate case an event A is deﬁned as a subcollection of outcomes (x.

The joint pdf of (X. Y = y0 ) = ? • ∂ 2 F (x. y ). � XY ∞ � ∞ ii) f (x. Y ) is the function fXY (x. the bivariate distribution of (X. Y ≤ y ) = −∞ −∞ x � y fXY (u. y ). y ) ≥ 0 for all (x. then P (X = x0 . F (∞. • If (X.Herman Bennett 6. y ) = P (X ≤ x. (13) • F (−∞. Y ) ∈ A) = A fXY (x. ∞) = 1. deﬁned by: � � P ((X. Y ) is the function F (x. deﬁned by: � F (x. 3 . −∞ −∞ i) • Note again that fXY (x. • As in the continuous univariate case. v )dudv. y ) at continuous points of f (x. −∞) = 0. y ). Y ) is a continuous random vector. Y ) be a continuous bivariate random vector. y ) : �2 → �.30 Spring 06 Let (X. Y ) can be com pletely characterized by its joint pdf or its joint cdf. F (x. y )dxdy.y ) ∂x∂y = f (x.2 Continuous Model LN3—MIT 14.1. (12) and satisﬁes the following properties: f (x. The joint cdf of (X. for every subset A of the xy -plane. y ) = 0. y ). y )dxdy = 1.

2. f (x.30 Spring 06 Example 6. y ) = � 6xy 2 if 0 < x < 1 and 0 < y < 1 0 otherwise.6.6) and P (X + Y > 1). y ) and compute P (X ≤ 0. 4 . Check the properties of f (x. Y ≤ 0.Herman Bennett LN3—MIT 14.

y )dx (continuous model) −∞ • As with any pmf/pdf.4. fX (x) and fY (y ). y ). ﬁnd fX (x) and fY (y ). more on this later). Following Example 6. y ) and f Y (y ) = � x∈� fXY (x.2. fX (x) and fY (y ) must satisfy i) f () ≥ 0 and ii) � � / =1. Y ) from the marginal distributions.1. Let (X. y )dy and f Y (y ) = ∞ fXY (x.3. deﬁned by: fX (x) = � fX (x) = −∞ � y ∈� fXY (x. • It is not always possible to recover the joint distribution of (X. y ) (discrete model) (14) ∞ � fXY (x.30 Spring 06 6. because the marginal distributions do not contain the in formation about the relationship between the variables (unless they are independent. Following Example 6.Herman Bennett LN3—MIT 14. Example 6. 5 . ﬁnd fX (x) and fY (y ).2 Marginal Distribution We use the concept of marginal distribution to illustrate the fact that from a bivariate distribution it is possible to recover the univariate distribution of each of the random variables included in the random vector. The marginal pmf’s/pdf’s of X and Y are the functions fX (x) and fY (y ). Example 6. Y ) be a random vector with joint pmf/pdf fXY (x.

the conditional pmf/pdf of X given Y = y .30 Spring 06 6. Example 6. y ) f Y (y ) and f (x|y ) = fXY (x. y ) and marginal pmf’s/pdf’s fX (x) and fY (y ). Y ) be a random vector with joint pmf/pdf fXY (x. is given by: f (y |x) = P (Y = y |X = x) = (discrete model) fXY (x. y ). are now impossible outcomes (zero mass).5.1. 6 . y ) fY ( y ) (16) (continuous model) � � / =1. denoted f (y |x). denoted f (x|y ). the property / = 1 is not satisﬁed anymore and we need to rescale the probabilities of the still-possible outcomes (dividing the joint by the marginal) in order to satisfy this property.3 Conditional Distribution Let (X. y ) fX (x) and f (y |x) = fXY (x. is given by: f (x | y ) = P ( X = x | Y = y ) = (discrete model) fXY (x. ﬁnd f (y |x = 1). Following Example 6. f (x|y ) and f (y |x) must satisfy i) f () ≥ 0 and ii) • Intuition: – Knowing the value of the RV X implies that many outcomes (x. the conditional pmf/pdf of Y given X = x. while at the same time keeping constant the relative likelihood between the still-possible outcomes. that before knowing X were possible. For any x such that fX (x) > 0. � � – As a result. y ) fX (x) (15) (continuous model) For any y such that fY (y ) > 0. • As with any pmf/pdf.Herman Bennett LN3—MIT 14.

Herman Bennett LN3—MIT 14. y ) and marginal pmfs/pdfs fX (x) and fY (y ). y ) = fX (x)fY (y ) ←→ P (x. Example 6. y ) = g (x)h(y ) for all x and y .1. Y ) be a random vector with joint pmf/pdf f (x. 6. • fX. are X and Y independent? 7 .2. Following Example 6. for all x and y.2. y ) = fX (x)fY (y ). • A useful way to check independence: X and Y are independent ←→ f (x.7. ﬁnd f (y |x = 0.Y (x. The knowledge that X = x gives no additional information about Y . y ) = P (x)P (y ) (discrete model).6. Following Example 6. Following Example 6.5). are X and Y independent? Example 6.8.30 Spring 06 Example 6.4 Independence Let (X. RV X and RV Y are called independent random variables if: f (x. (17) • Note that this implies: f (y |x) = fY (y ).

y ) = i) ii) iii) iv) Check that f (x. Find f (y |x = 0.5 Wrap-up � 8yx if 0 ≤ y ≤ x ≤ 1 0 otherwise. y ) satisﬁes the properties of a joint pdf. Example 6.5).Herman Bennett LN3—MIT 14. Are X and Y independent? 8 .9. f (x.30 Spring 06 6. Find the marginal distribution of X and Y .

y ) = i) ii) iii) iv) LN3—MIT 14. 9 . f (x.5).10.Herman Bennett � Example 6. Find f (y |x = 0. Are X and Y independent? 6.6 Multivariate Distribution See attached handout. Find the marginal distribution of X and Y .30 Spring 06 cyx2 if x2 ≤ y ≤ 1 0 otherwise. Find c.

- lecture2 probablityUploaded byatifjaved91
- 41R-08 Risk Analysis and Contingency Determination Using Range EstimatingUploaded byDody Bdg
- Notes on ProbabilityUploaded byAnonymous yorzHjDBd
- Sep 10 - Probability_OperationsUploaded byRoberto Antonioli
- MAT097 Chapter 7 Random Variables (With Solution)Uploaded byARe-may Pudean
- dp1079Uploaded byshaziadurrani
- Tutorial-Answers ECON1203 Week7workshop ForstudentsUploaded bysdfklmjsdlklskfjd
- Random Variables and Probability DistributionsUploaded bySaghirAurakxai
- Simulation of LAN TrafficUploaded bymahbubul haque
- BScCSIT First Semester SyllabusUploaded byPankaj Niroula
- Normal Distribution NotesUploaded byFolad109
- Quant Classroom Oct2011Uploaded bytarillo2
- Midterm NotesUploaded byasdfddddddd
- Stat 1Uploaded byHilux23
- Prob Stat EngUploaded byVaibhav Gupta
- Transactions on Emerging Telecommunications Technologies Volume 16 Issue 2 2005 Y.-h. You; H.-k. Song; Han-Jong Kim; Chang-Kyu Song; We-Duke Cho -- Evaluation of SIR Statistics in a DSCDUploaded byCung Levan
- Continuous Probability DistributionsUploaded byDaniel Tri Ramadhani
- RF01_2012_10_29Uploaded bybehcet
- m2l5Uploaded byManikanta Rockers
- 1307.2968Uploaded bywbvxloshark
- Data Science- Ananlytics-R 2018Uploaded byAnonymous aUkHCbHRC
- Staceyah Midterm 2B W2015-Stats7-SolnsUploaded byBrenda Tran
- All of Statistics chapter 1 & 2.pdfUploaded byDivyanshu Prateek
- Session 7 (Chpt 5 & 6)(3)Uploaded byvisha183240
- Class NaotesUploaded byloliama
- Lect 0903Uploaded bySongya Pan
- 2010 Vjc h2 Prelim p2Uploaded bycjcsucks
- FormulaeUploaded byJay Wreh
- STAT2303 UARK Week 02 - Sampling Methods and Probability DistributionUploaded byTodd Thomas
- Kuliahke2mekstatS2Uploaded byHeri Hadianto

- Cour NotUploaded byElona Lazaj
- 95-04Uploaded byElona Lazaj
- Kodi Punes 2010Uploaded byElona Lazaj
- Lettres de Chopine 00 ChopUploaded byElona Lazaj
- Testing the Waterbed Effect in Mobile TelephonyUploaded byElona Lazaj
- FrancisUploaded byElona Lazaj
- Landier Les Echos 2013-02-14Uploaded byElona Lazaj
- Chopin Frederic Prelude RaindropUploaded byElona Lazaj
- lemonde_090428Uploaded byElona Lazaj
- 2001-07Uploaded byElona Lazaj
- Compliance Matters EnUploaded byElona Lazaj
- 2009-03Uploaded byElona Lazaj
- 2009-12-2Uploaded byElona Lazaj
- 2009-12-2Uploaded byElona Lazaj
- Mediterranean PoemsUploaded byElona Lazaj
- les_echos_1109Uploaded byElona Lazaj
- lemonde_090217Uploaded byElona Lazaj
- lemonde_090217Uploaded byElona Lazaj
- 2009-12-2Uploaded byElona Lazaj
- Advanced WritingUploaded byElona Lazaj