JOINT PROBABILITY DISTRIBUTION
Let x and y be two different discrete random variables.
f(x, y) - joint probability distribution of x and y
- probability distribution of the simultaneous occurrence of x and y; i.e.,
f(x, y) = P(X = x, Y = y)
- gives the probability distribution that outcomes x and y can occur at the same
time
- For example,
Let x - age to the nearest year of a TV set that is to be repaired
y - number of defective tubes in the set
f(x, y) = f(5, 3) = probability that the TV set is 5 years old and needs 3
new tubes
Characteristics of a Joint Probability Distribution
1. f(x, y) 0 for all (x, y)
2.
x y f(x, y) = 1 add up the probabilities of all possible combinations
of x
and y within the range
3. f(x, y) = P(X = x, Y = y)
4. For any region A in the x y plane, P [(x, y) A] = f(x, y)
Example 1:
Two refills for a ballpoint pen are selected at random from a box containing 3 blue refills,
2 red refills and 3 green refills. If X is the number of blue refills and Y is the number of
red refills selected, find
a. the joint probability distribution function f(x, y)
b. P [(X, Y) A] , where A is the region { (x, y) x + y 1 }
JOINT DENSITY FUNCTION
Joint Density Function – joint distribution of continuous random variables
Characteristics of a Joint Density Function
1. f(x, y) 0
U U
2. f(x, y) dx dy = 1
L L
3. P [ (X, Y) A] =
A
f(x, y) dx dy for any region A in the x y plane
Note: f(x, y) - surface lying above the x y plane
Probability - volume of the right cylinder bounded by the base A and the surface
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Example 2:
A candy company distributes boxes of chocolates with a mixture of creams, toffees and
nuts coated in both light and dark chocolate. For a randomly selected box, let X and Y,
respectively be the proportion of the light and dark chocolates that are creams and
suppose that the joint density function is given by:
f(x, y) = k(2x + 3y) 0x1 , 0y1
0 elsewhere
Find P [ (X, Y) A] where A is the region { (x, y) 0 < x < ½ , ¼ < y < ½ }
NOTE: For the discrete case, P(X = x, Y = y) = f(x, y)
ex. P(x = 2, y = 1) = f(2, 1)
For the continuous case, P(X = x, Y = y) f(x, y)
MARGINAL DISTRIBUTIONS
Given the joint probability distribution f(x, y) of the discrete random variable X and Y,
the probability distribution g(x) of X along is obtained by summing f(x, y) over the
values of y. Similarly, the probability distribution h(y) of Y alone is obtained by
summing f(x, y) over the values of x. g(x) and h(y) are defined to be the marginal
distributions of x and y respectively.
g(x) = y f(x, y) h(y) =
x
f(x, y) for the discrete case
Uy Ux
g(x) = Ly
f(x, y) dy h(y) =
Lx
f(x, y) dx for the
continuous case
Example 3:
Derive g(x) and h(y) for Example 1.
Example 4:
Derive g(x) and h(y) for the joint density function in Example 2.
CONDITIONAL DISTRIBUTIONS
Recall: Conditional Probability Formula
P ( B / A) = P(A B)
P(A)
Consider 2 random variables X and Y:
If we let A be the event defined by X = x and B be the event that Y = y, we have,
P ( Y= y) / X = x ) = P (X = x, Y = y)
P (X = x)
= f(x, y)
g(x) g(x) > 0
where X and Y are discrete random variables
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P (Y = y / X = x ) may actually be expressed as a probability distribution denoted by
f( y / x). Therefore, f (y / x) is called by conditional distribution of the random variable Y
given that X = x.
Generalization
Let X and Y be two random variables, discrete or continuous. The conditional
probability distribution of the random variable Y given that X = x, is given by
f (y / x) = f(x, y) g(x) > 0
g(x)
(pure function of y)
Similarly, the conditional probability distribution of the random variable X given
that Y = y, is given by
f (x / y) = f(x, y) h(y) > 0
h(y)
(pure function of x)
Note: f (x / y) only gives P ( X = x / Y = y). If one wishes to find the probability that the
discrete random variable x falls between a and b when it is known that the discrete
variable Y = y, then we evaluate
P (a < x < b / Y = y) = x
f (x / y)
Similarly,
P (a < y < b / X = x) = y f (x / y)
For the continuous case:
b
P (a < x < b / Y = y) = a
f (x / y) dx
b
P (a < y < b / X = x) = a
f (y / x) dy
Example 5:
Find the conditional probability distribution of X, given that Y = 1 for Example 1 and use
it to evaluate P (x = 0 / y = 1).
STATISTICAL INDEPENDENCE
Recall: P (B / A) = P(A B)
P(A)
P(A B) = P(A) * P (B / A)
P(A B) = P(A) * P (B) if A and B are statistically independent
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Similarly,
f (y / x) = f(x, y)
g(x)
f(x, y) = g(x) * f (y / x)
f(x, y) = g(x) * h(y) if X and Y are statistically independent
OR: f (y / x) = f(x, y)
g(x)
f(x, y) = g(x) * f (y / x)
Ux Ux
h(y) = Lx
f(x, y) dx =
Lx
g(x) * f(y / x) dx
pure function of y
if x and y are independent
Ux
h(y) = f (y / x) Lx
g(x) dx
h(y) = f(x, y) / g(x)
f(x, y) = g(x) * h(y)
Let X and Y be two random variables, discrete or continuous, with joint probability
distribution f(x, y) and marginal distributions g(x) and h(y), respectively. The random
variable X and Y are said to be statistically independent if and only if
f(x, y) = g(x) * h(y) for all (x, y) within their range
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