Joint (Multivariate) Distributions

Joint Probability Function: f ( x, y )  Pr( X  x, Y  y )

f ( x)  Pr( X  x)   f ( x, y )
all  y
Marginal Functions: (similar for y)
f ( x)  Pr( X  x)   f ( x, y )dy
y

f x , y ( x, y )
Conditional Probability: f X ( x Y  y ) 
f y ( y)
b d

Joint Continuous Probability: Pr(a  X  b, c  y  d )    f ( x, y )dydx

a c

Moments:

E[ g ( x, y )]   g ( x, y ) f
all  x , y
X ,Y ( x, y ) or

E[ g ( x, y )]    g ( x, y ) f
x y
X ,Y ( x, y ) dydx

E[ X ]   x  x f
all  x , y
X ,Y ( x, y ) or E[ X ]   x   x f X ,Y ( x, y ) dydx
x y

 2  var( x)   (x  )
all  x , y
2
f X ,Y ( x, y ) or

 2  var( x)    (x  )
2
f X ,Y ( x, y )dydx
x y

E[ X  Y ]  E[ X ]  E[Y ]
E[ XY ]  E[ X ]  E[Y ] - If X and Y are independent
var( X  Y )  var( X )  var(Y )

Joint MGF

M X ,Y ( s, t )  E e sX tY 
If X and Y are independent and Z = X + Y
M Z (t )  M X (t )  M Y (t )

Conditional Expectation (Expected value of X given event F has occurred)

E[ X F ]   xf ( x F )
x
E[ X F ]   xf ( x F )
x

Conditional Variance
 
var( X F )  E X 2 F   E[ X F ] or
2

var( X F )  E  X  E[ X F ] F
2

var(Y )  E  var Y X    var E Y X  

Double Expectation
E[Y ]  E  E[Y X ]
Covariance
cov( X , Y )  E[ XY ]  E[ X ]E[Y ] or cov( X , Y )  E  ( X  E[ X ])(Y  E[Y ])
If X and Y are independent cov(X,Y)=0

cov(aX  bY , Z )  a cov( X , Z )  b cov(Y , Z )

var(aX  bY )  a 2 var( X )  b 2 var(Y )  2ab cov( X , Y )

Also var(aX  bY )  cov(aX  bY , aX  bY )

Correlation Coefficient
cov( X , Y )

 x y

Bivariate Normal Distribution Properties

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