MATHEMATICAL STATISTICS

WITH APPLICATIONS
NORTHWESTERN POLYTECHNICAL UNIVERISTY
XIE WENXIAN
2016. 10
THE SECOND EDITION

CHAPTER 3 PROBABILITY DISTRIBUTIONS AND

PROBABILITY DENSITIES

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3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8

RANDOM VARIABLES
PROBABILITY DISTRIBUTIONS
CONTINUOUS RANDOM VARIABLES
PROBABILITY DENSITY FUNCTIONS
MULTIVARIATE DISTRIBUTIONS
MARGINAL DISTRIBUTIONS
CONDITIONAL DISTRIBUTIONS
THE THEORY IN PRACTICE
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3.7 CONDITIONAL DISTRIBUTIONS

Definition 3.12. If (, ) is the value of the joint probability

distribution of the discrete random variables and at (, ), and
is the value of the marginal distribution of at , the function
given by =

for each within the range of , is called the conditional distribution

of given = .
Correspondingly, if is the value of the marginal distribution of
at , the function given by =

for each within the range of , is called the conditional distribution

of given = .

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Definition 3.13
If (, ) is the value of the joint probability density of the continuous
random variables and at (, ), and is the value of the marginal
density of at , the function given by

for < < , is called the conditional density of given = .

Correspondingly, if is the value of the marginal density of at ,

the function given by

for < < , is called the conditional density of given = .

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Example 3.23
\X

=
/

With reference to Examples 3.12 and 3.20, find the conditional

distribution of given = .
Solution:
= | = =

/
/

= /

= | = =
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= | = =

/
/

= /

Example 3.24

With reference to Example 3.21, find the conditional probability

density of given = , and use it to evaluate = .

Solution: | =

and | = elsewhere.

Therefore,

We can evaluate

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+
,
+

for < <

d =

Example 3.25
Given the joint probability density
, < < , < <
=
,

Find the marginal densities of and and the conditional

density of given = .
Solution:

= , = = == < <
and = , .
= , = = =
= = < <
and = , .
=

= < <

and = , .

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Joint conditional distribution/density

For instance, , , , is the value of the joint distribution

of the discrete random variables , , , at , , , .
| , , =

, , ,
, ,

, ,

, | , =

, , ,
,

, , | =

, , ,

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Definition 3.14

If , , , is the value of the joint probability distribution

of the discrete random variables , , , at
, , , , and is the value of the marginal
distribution of at for = , , , ,then the random
variables are independent if and only if
, , , =
for all , , , within their range.

Note: for continuous case, the distribution in Def. 3.14 can be

changed by density.
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Example 3.26

Considering independent flips of a balanced coin, let be the

number of heads ( ) obtained in the th flip for = , , , .
find the joint probability distribution of these random variables.
Solution:

Since each of the random variables for = , , , has the

probability distribution = , = , , and the

random variables are independent, the joint probability distribution

is given by , , , =

where = = , ,
, .
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Example 3.27

Given the independent random variables , , with the

probability densities

, >
=
,

, >
=
,

, >
=
,

Find their joint probability density, and use it to evaluate the

probability + , > .

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Example 3.27 (to be continued)

Solution: using Def. 3.14, we have

, , =
= =
For > , = , , and , , = elsewhere.
Hence,

+ , > . =

= + = .
Plot the integral domain where the integrand is not equal to .

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 Test in class: 3.1, 3.3, 3.9, 3.12, 3.16, 3.17,3.32, 3.33

Homework4: 3.71, 3.73, 3.78, 3.79, 3.82

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3.8 THE THEORY IN PRACTICE

Data analysis

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