Module 23

CONTINUOUS AND ABSOLUTELY CONTINUOUS

RANDOM VECTORS

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 X : a p-dimensional random vector (r.v.) defined on a probability
space (Ω, P(Ω), P);

FX : d.f. of X .

Definition 1:
(a) The r.v. X is said to be continuous if FX (x) is continuous at every
point x ∈ Rp ;

(b) The r.v. X is said to be a absolutely continuous if there exists a

non-negative function fX : Rp → R such that
Z
FX (x) = fX (y )dy , x = (x1 , . . . , xp ) ∈ Rp ,
(−∞, x]

where (−∞, x] = (−∞, x1 ] × · · · × (−∞, xp ], y = (y1 , . . . , yp ) and

dy = dyp · · · dy1 .
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The function fX (·) which is non-negative and is such that
Z
fX (y )dy = x lim F (x , . . . , xp ) = 1
→∞ X 1
i
Rp i=1,...,p

is called the joint probability density function (p.d.f.) of X .

Remark 1 :
(a) It can be shown that if h : Rp → R is any function such that
h(x) ≥ 0, ∀ x ∈ Rp and
Z
h(x)dx = 1,
Rp

then h(·) is a joint p.d.f. of some A.C. r.v.

(b) Let a = (a1 , . . . , ap ) ∈ Rp and an = (a1 − n1 , . . . , ap − n1 ), n = 1, 2, . . . .
Then
\∞  
−1
P({X = a}) = P X (an , a]
n=1

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−1
= lim P X (an , a]
n→∞
p
X X
= lim (−1)k FX (z n ).
n→∞
k=0


z n ∈∆k,p (an ,a]

If X is continuous at a ∈ Rp then, for z n ∈ ∆k,p (an , a] , n = 1, 2, . . . (so

that, as n → ∞, z n → a), FX (z n ) → FX (a), as n → ∞. Consequently, if

FX (·) is continuous at a ∈ Rp ,
p  
k p
X
P({X = a}) = (−1) FX (a)
k
k=0
= (1 − 1)p FX (a)
= 0.

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It follows that if the d.f. FX of a p-dimensional r.v. X is continuous at
a ∈ Rp , then
P({X = a}) = 0.
In particular if X is a continuous r.v. then

P({X = a}) = 0, ∀ a ∈ Rp ,

and
P({X ∈ S}) = 0, ∀ countable set S ⊆ Rp .

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(c) Let X be a p-dimensional A.C. r.v. with d.f. FX (·) and p.d.f. fX (·).
Then Z
FX (x) = fX (y )dy , x ∈ Rp
(−∞, x]

is continuous at every point x ∈ Rp . Thus an A.C. r.v. X is also

continuous and hence
P({X = a}) = 0, ∀ a ∈ Rp
and
P({X ∈ S}) = 0, ∀ countable set S ⊆ Rp .

(d) Let X be an A.C. r.v. Then it can be shown that, for any A ⊆ Rp ,
Z Z
P({X ∈ A}) = fX (x)dx = fX (x)IA (x)dx.
A Rp

For example if A = (a, b] ⊆ Rp , then

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 Z Zb1 Zbp
fX (x)dx = ... fX (x)dx
(a,b] a1 ap

p
X X Zz1 Zzp
k
= (−1) ... fX (z)dz
k=0


z n ∈∆k,p (a, b] −∞ −∞
p
X X
= (−1)k FX (z)
k=0


z∈∆k,p (a, b]


= P {X ∈ (a, b]} .

(e) Let X be A.C. and let A ⊆ Rp comprises of a countable number of

curves in Rp . Then
Z
P({X ∈ A}) = fX (x)dx = 0.
A
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In particular
P({Xi = Xj }) = 0, ∀ i 6= j.

(f) If X is an A.C. r.v. then its joint p.d.f. is not unique and there are
different various of joint p.d.f. In fact if the values of a joint p.d.f.
fX (·) of an A.C. r.v. X are changed at a finite number of curves with
some other non-negative values then the resulting function is again a
p.d.f. of X .

(g) Let X be a p-dimensional r.v. with joint d.f. FX (·) and joint p.d.f.
fX (·), so that Z
FX (x) = fX (y )dy .
(−∞, x]

Clearly the joint d.f. of an A.C. r.v. X is determined by its joint p.d.f.
fX (·). Thus to study the induced probability function PX (·) it is
enough to study the joint p.d.f. fX (·).

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Definition 2:

For a given r > 0 and x ∈ Rp , let

v
 u p 
p t
uX
Nr (x) = t∈R : 2
(ti − xi ) < r
i=1

denote the p-dimensional ball of radius r centered at x. If X is continuous

then the set

SX = {x ∈ Rp : P({X ∈ Nr (x)}) > 0, ∀ r > 0}

is called the support (of distribution) of r.v. X .

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Result 1:
Let X = (X1 , . . . , Xp ) be a p-dimensional r.v. with d.f. FX (·) such that

∂p
FX (x1 , . . . , xp )
∂x1 · · · ∂xp

exists everywhere, except (possibly) on a set D comprising of a finite

number of curves in Rp , and
∂p
Z
FX (x)ID c (x)dx = 1.
∂x1 · · · ∂xp
Rp

Then X is A.C. with a p.d.f

∂p
(
∂x1 ···∂xp FX (x), if x ∈
/D
fX (x) = .
0, if x ∈ D

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Result 2
Let X = (X1 , . . . , Xp−1 , Xp )0 be a p-dimensional r.v. with joint d.f. FX (·)
and joint p.m.f. fX (·). Then the r.v. Y = (X1 , . . . , Xp−1 ) is also A.C. with
p.d.f.
Z∞
fY (y ) = fX (y1 , . . . , yp−1 , tp )dtp , y = (y1 , . . . , yp−1 ) ∈ Rp−1 .
−∞

Proof: The joint d.f. of Y = (X1 , . . . , Xp−1 ) is

FY (y ) = lim FX (y1 , . . . , yp−1 , yp )
yp →∞
Zy1 yZp−1 Zyp

= lim ... fX (t1 , . . . , tp−1 , tp )dtp dtp−1 . . . dt1

yp →∞
−∞ −∞ −∞
Zy1 yZp−1( Z∞ )
= ... fX (t1 , . . . , tp−1 , tp )dtp dtp−1 . . . dt1
−∞ −∞ −∞
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 Zy1 yZp−1

= ... h(t1 , . . . , tp−1 )dtp−1 . . . dt1 ,

−∞ −∞
y = (y1 , . . . , yp−1 ) ∈ Rp−1 ,

where
Z∞
h(t1 , . . . , tp−1 ) = fX (t1 , . . . , tp−1 , tp )dtp , t = (t1 , . . . , tp−1 ) ∈ Rp−1 .
−∞

It follows that Y = (Y1 , . . . , Yp−1 ) is A.C. with p.d.f.

Z∞
h(y1 , . . . , yp−1 ) = fX (y1 , . . . , yp−1 , tp )dtp , y = (y1 , . . . , yp−1 ) ∈ Rp−1 .
−∞

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Remark 2:

The above result suggests that marginal distributions of A.C. r.v. are
A.C. Moreover the marginal distribution of A.C. r.v. can be obtained
by integrating out the arguments of unwanted variables in joint the
p.d.f.

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Conditional Distributions

Z = (X , Y ): a (p + q)-dimensional A.C. r.v. with joint d.f. FZ (·),

support SZ and p.d.f. fZ (·),

where

X = (X1 , . . . , Xp ): a p-dimensional A.C. r.v. with joint d.f. FX (·),

support SX and p.d.f. fX (·);

Y = (Y1 , . . . , Yq ): a q-dimensional A.C. r.v. with joint d.f. FY (·),

support SY and p.d.f. fY (·);

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Let x ∈ SX be such that fX (x) > 0;

Then the conditional d.f. of Y given X = x is defined by

FY |X (y |x) = P({Y ≤ y }|{X = x}) (Notation)
= lim P({Y ≤ y }|{xi − hi < Xi ≤ xi , i = 1, . . . , p})
hi ↓0
i=1,...,p
P({xi − hi < Xi ≤ xi , Y ≤ y , i = 1, . . . , p})
= lim
hi ↓0 P({xi − hi < Xi ≤ xi , i = 1, . . . , p})
i=1,...,p
Rx1 Rxp Ry1 Ryq
... ... fZ (s, t)dtds
x1 −h1 xp −hp −∞ −∞
= lim x xp
hi ↓0 R1 R
i=1,...,p ... fX (s)ds
x1 −h1 xp −hp
Ry1 Ryq
... fZ (x, t)dt
−∞ −∞
=
fX (x)
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 Zy1 Zyq
= ... hx (t)dt,
−∞ −∞

where
fZ (x, t)
hx (t) = , t = (t1 , . . . , tq ) ∈ Rq .
fX (x)

It follows that the conditional distribution of Y given X = x (where

x ∈ SX is such that fX (x) > 0) is A.C. with p.d.f.

fZ (x, y )
fY |X (y |x) = , y ∈ Rq .
fX (x)

fY |X (y |x)dy = 1 and fY |X (y |x) ≥ 0, ∀ y ∈ Rq .

R
Clearly
Rq
The definition of conditional d.f. given in (b) above holds for general
r.v.s (discrete/continuous/A.C./mixed).
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Definition 3:

Let Z = (X1 , . . . , Xp , Y1 , . . . , Yq )0 be a (p + q)-dimensional A.C. r.v. with

joint p.d.f. fZ (·). Let X = (X1 , . . . , Xp ), Y = (Y1 , . . . , Yq ) and let fX (·)
be the marginal p.d.f. of X . Let x ∈ SX be such that fX (x) > 0. Then the
conditional p.d.f. of Y given X = x is defined by

fZ (x, y )
fY |X (y |x) = , y ∈ Rq .
fX (x)

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Result 3:

Let X = (X1 , . . . , Xp )0 be a p-dimensional A.C. r.v. with joint p.d.f. fX (·)

and marginal p.d.f.s fXi (·), i = 1, . . . , p. Then

(a) R.v.s X1 , . . . , Xp are independent iff

p
Y
fX (x) = fXi (xi ), x = (x1 , . . . , xp ) ∈ Rp .
i=1

(b) R.v.s X1 , . . . , Xp are independent ⇒ SX = SX1 × · · · × SXp .

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Result 4:

Let X 1 , . . . , X p be A.C. r.v.s of (possibly) different dimensions. Then

(a) X 1 , . . . , X p are independent iff, for any arbitrary functions

ψ1 (·), . . . , ψp (·), ψ1 (X 1 ), . . . , ψp (X p ) are independent.

(b) X 1 , . . . , X p are independent ⇔Q

P({X i ∈ Ai , i = 1, . . . , p}) = pi=1 P({Xi ∈ Ai }), ∀ A1 , . . . , Ap .

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Remark 3:

(a) Result 3 remains valid (with obvious modifications) for independence

of A.C. random vectors (of possibly different dimensions);

(b) Random vectors X and Y are independent

⇔ FY |X (y |x) = FY (y ), ∀ y ∈ Rq , x ∈ SX

⇔ fY |X (y |x) = fY (y ), ∀ y ∈ Rq , x ∈ SX with fX (x) > 0.

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Result 5:

Let X = (X1 , . . . , Xp )0 be an A.C. r.v. with joint p.d.f. fX (·). Then

X1 , . . . , Xp are independent iff
p
Y
fX (x) = c gi (xi ), x = (x1 , . . . , xp ) ∈ Rp ,
i=1

for some non-negative functions gi (·), i = 1, . . . , p, defined on R and some

positive constant c. In that case the marginal p.d.f. of Xi is

fXi (x) = ci gi (x), x ∈ R,

for some positive constant ci , i = 1, . . . , p.

Note: Result 5 remains valid (with obvious modifications) for
independence of A.C. random vectors (of possibly different dimensions);

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Example 1:
Let X = (X1 , X2 , X3 )0 be an A.C. r.v. with joint p.d.f.
(
c
, if 0 < x3 < x2 < x1 < 1
fX (x1 , x2 , x3 ) = x1 x2 ,
0, otherwise
where c is a fixed real constant.
(a) Determine c and the support of X .
(b) Find the marginal p.d.f. of (X2 , X3 ).
(c) Find the marginal p.d.f.s of X1 , X2 and X3 .
(d) For fixed 0 < x3 < x2 < 1, find the conditional p.d.f. of X1 given
(X2 , X3 ) = (x2 , x3 ).
(e) For fixed x2 ∈ (0, 1), find the conditional p.d.f. of (X1 , X3 ) given that
X2 = x2 .
(f) Are X1 , X2 and X3 independent r.v.s?
(g) Let x2 ∈ (0, 1) be fixed. Are X1 and X3 independent given that
X2 = x2 ?
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Solution:
(a)
Z∞ Z∞ Z∞
fX (x1 , x2 , x3 )dx3 dx2 dx1 = 1
−∞ −∞ −∞

Z1 Zx1 Zx2
c
⇒ dx3 dx2 dx1 = 1
x1 x2
0 0 0
Z Zx1
1
1
⇒ c dx2 dx1 = 1
x1
0 0
Z1
⇒ c dx1 = 1
0
⇒ c = 1.
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Also for c = 1, fX (x) ≥ 0, ∀ x ∈ R3 .
SX = {x ∈ R3 : P({X ∈ Nr (x)}) > 0, ∀ r > 0}
= {x = (x1 , x2 , x3 ) ∈ R3 : 0 ≤ x3 ≤ x2 ≤ x1 ≤ 1}.

(b) For 0 < x3 < x2 < 1,

Z∞
fX2 ,X3 (x2 , x3 ) = fX (x1 , x2 , x3 )dx1
−∞
Z1
1
= dx1
x1 x2
x2
− ln x2
= .
x2
Thus (
− ln x2
fX2 ,X3 (x2 , x3 ) = x2 , if 0 < x3 < x2 < 1
.
0, otherwise
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(c) For 0 < x1 < 1,
Z∞ Z∞
fX1 (x1 ) = fX (x1 , x2 , x3 )dx3 dx2
−∞ −∞
Zx1 Zx2
1
= dx3 dx2
x1 x2
0 0
Zx1
1
= dx2
x1
0
= 1.

Thus (
1, if 0 < x1 < 1
fX1 (x1 ) = .
0, otherwise
From (b), for 0 < x2 < 1,
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 Z∞
fX2 (x2 ) = fX2 ,X3 (x2 , x3 )dx3
−∞
Zx2
− ln x2
= dx3
x2
0
= − ln x2 .

Thus (
− ln x2 , if 0 < x2 < 1
fX2 (x2 ) = .
0, otherwise
Similarly, for 0 < x3 < 1
Z∞
fX3 (x3 ) = fX2 ,X3 (x2 , x3 )dx2
−∞

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 Z1
ln x2
= − dx2
x2
x3
−Zln x3

= tdt
0
(ln x3 )2
= .
2
Thus
(ln x3 )2
(
fX3 (x3 ) = 2 , if 0 < x3 < 1
.
0, otherwise

(d) For fixed 0 < x3 < x2 < 1,

fX1 ,X2 ,X3 (x1 , x2 , x3 )
fX1 |(X2 ,X3 ) (x1 |(x2 , x3 )) =
fX2 ,X3 (x2 , x3 )
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 (
− x1 ln1 x2 , if x2 < x1 < 1
= .
0, otherwise

(e) For x2 ∈ (0, 1),

fX1 ,X2 ,X3 (x1 , x2 , x3 )

fX1 ,X3 |X2 (x1 , x3 |x2 ) =
fX2 (x2 )
(
− x1 x21ln x2 , if x2 < x1 < 1, 0 < x3 < x2
= .
0, otherwise

(f) Clearly

fX1 ,X2 ,X3 (x1 , x2 , x3 ) 6= fX1 (x1 )fX2 (x2 )fX3 (x3 ), ∀ x = (x1 , x2 , x3 ) ∈ R3

Thus X1 , X2 and X3 not independent.

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(g) For fixed x2 ∈ (0, 1),

fX1 ,X3 |X2 (x1 , x3 |x2 ) = g1 (x1 )g2 (x3 ), ∀ (x1 , x3 ) ∈ R2 ,

where
(
1
g1 (x1 ) = x1 , if x2 < x1 < 1
0, otherwise
and (
− x2 ln1 x2 , if 0 < x3 < x2
g2 (x3 ) = .
0, otherwise
Thus, given X2 = x2 , X1 and X3 are independent.

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Take Home Problem

Let X = (X1 , X2 )0 be an A.C. r.v. with joint p.d.f.

(
cx2
1−x , if x1 > 0, x2 > 0, x2 + x1 < 1
fX1 ,X2 (x1 , x2 ) = 1 ,
0, otherwise

where c is a fixed real constant.

(a) Find the value c and the support of X .
(b) Find the marginal p.d.f.s of X1 and X2 .
(c) For fixed x2 ∈ (0, 1), find the conditional p.d.f. of X1 given that
X2 = x2 .
(d) For fixed x1 ∈ (0, 1), find the conditional p.d.f. of X2 given that
X1 = x1 .
(e) Are X1 and X2 independent?

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Abstract of Next Module

We will study the expectations and moments of random vectors.

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 Thank you for your patience

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