Chapter 4: Pairs of Random Variables: Nguyễn Thị Thu Thủy

Chapter 4: Pairs of Random Variables
(1)
NGUYỄN THỊ THU THỦY
SCHOOL OF APPLIED MATHEMATICS AND INFORMATICS

HANOI UNIVERSITY OF SCIENCE AND TECHNOLOGY
HANOI – 2019
(1)
Email: thuy.nguyenthithu2@hust.edu.vn
Nguyễn Thị Thu Thủy (SAMI-HUST) Pairs of Random Variables HANOI – 2019 1 / 74
Introduction
This chapter analyzes experiments that produce two random variables, X and Y .
1 FX,Y (x, y), the joint cumulative distribution function of two random variables.
2 PX,Y (x, y), the joint probability mass function for two discrete random variables.
3 fX,Y (x, y), the joint probability density function of two continuous random
variables.
4 Functions of two random variables.
5 Conditional probability and independence.
Introduction
variables.
Introduction
variables.
Introduction
variables.
Introduction
variables.
Introduction
variables.
4.1 Joint Cumulative Distribution Function 4.1.1 Definitions
4.1.1 Definitions
Definition 4.1 (Joint Cumulative Distribution Function – CDF)

The joint cumulative distribution function of random variables X and Y is
FX,Y (x, y) = P [X < x, Y < y], x, y ∈ R. (4.1)
4.1.1 Definitions

FX,Y (x, y) = P [X < x, Y < y], x, y ∈ R. (4.1)
4.1.1 Definitions

FX,Y (x, y) = P [X < x, Y < y], x, y ∈ R. (4.1)
4.1 Joint Cumulative Distribution Function 4.1.2 Properties
4.1.2 Properties
Remark 4.1
The joint CDF has properties that are direct consequences of the definition. For example,
we note that the event {X < x} suggests that Y can have any value so long as the
condition on X is met. This corresponds to the joint event {X < x, Y < ∞}. Therefore,
FX (x) = P [X < x] = P [X < x, Y < ∞] = lim FX,Y (x, y) = FX,Y (x, ∞). (4.2)
y→∞
4.1.2 Properties
Remark 4.1
y→∞
4.1.2 Properties
Remark 4.1
y→∞
4.1.2 Properties
Theorem 4.1. For any pair of random variables, X, Y ,

(a) 0 ≤ FX,Y (x, y) ≤ 1,
(b) FX (x) = FX,Y (x, +∞),
(c) FY (y) = FX,Y (+∞, y),
(d) FX,Y (−∞, y) = FX,Y (x, −∞) = 0,
(e) If x < x1 and y < y1 , then FX,Y (x, y) ≤ FX,Y (x1 , y1 ),
(f) FX,Y (+∞, +∞) = 1,
(g) If x1 < x2 , y1 < y2 , then
P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

+ FX,Y (x1 , y1 ).
4.1.2 Properties

(a) 0 ≤ FX,Y (x, y) ≤ 1,
(b) FX (x) = FX,Y (x, +∞),
(c) FY (y) = FX,Y (+∞, y),
(d) FX,Y (−∞, y) = FX,Y (x, −∞) = 0,
(f) FX,Y (+∞, +∞) = 1,
(g) If x1 < x2 , y1 < y2 , then

+ FX,Y (x1 , y1 ).
4.1.2 Properties

(a) 0 ≤ FX,Y (x, y) ≤ 1,
(b) FX (x) = FX,Y (x, +∞),
(c) FY (y) = FX,Y (+∞, y),
(d) FX,Y (−∞, y) = FX,Y (x, −∞) = 0,
(f) FX,Y (+∞, +∞) = 1,
(g) If x1 < x2 , y1 < y2 , then

+ FX,Y (x1 , y1 ).
4.1.2 Properties

(a) 0 ≤ FX,Y (x, y) ≤ 1,
(b) FX (x) = FX,Y (x, +∞),
(c) FY (y) = FX,Y (+∞, y),
(d) FX,Y (−∞, y) = FX,Y (x, −∞) = 0,
(f) FX,Y (+∞, +∞) = 1,
(g) If x1 < x2 , y1 < y2 , then

+ FX,Y (x1 , y1 ).
4.1.2 Properties

(a) 0 ≤ FX,Y (x, y) ≤ 1,
(b) FX (x) = FX,Y (x, +∞),
(c) FY (y) = FX,Y (+∞, y),
(d) FX,Y (−∞, y) = FX,Y (x, −∞) = 0,
(f) FX,Y (+∞, +∞) = 1,
(g) If x1 < x2 , y1 < y2 , then

+ FX,Y (x1 , y1 ).
4.1.2 Properties

(a) 0 ≤ FX,Y (x, y) ≤ 1,
(b) FX (x) = FX,Y (x, +∞),
(c) FY (y) = FX,Y (+∞, y),
(d) FX,Y (−∞, y) = FX,Y (x, −∞) = 0,
(f) FX,Y (+∞, +∞) = 1,
(g) If x1 < x2 , y1 < y2 , then

+ FX,Y (x1 , y1 ).
4.1.2 Properties

(a) 0 ≤ FX,Y (x, y) ≤ 1,
(b) FX (x) = FX,Y (x, +∞),
(c) FY (y) = FX,Y (+∞, y),
(d) FX,Y (−∞, y) = FX,Y (x, −∞) = 0,
(f) FX,Y (+∞, +∞) = 1,
(g) If x1 < x2 , y1 < y2 , then

+ FX,Y (x1 , y1 ).
4.1.2 Properties

(a) 0 ≤ FX,Y (x, y) ≤ 1,
(b) FX (x) = FX,Y (x, +∞),
(c) FY (y) = FX,Y (+∞, y),
(d) FX,Y (−∞, y) = FX,Y (x, −∞) = 0,
(f) FX,Y (+∞, +∞) = 1,
(g) If x1 < x2 , y1 < y2 , then

+ FX,Y (x1 , y1 ).
4.2 Joint Probability Mass Function 4.2.1 Definitions
4.2.1 Definitions
Definition 4.2 (Joint Probability Mass Function – PMF)

The joint probability mass function of discrete random variables X and Y is
PX,Y (x, y) = P [X = x, Y = y]. (4.3)
Note
Corresponding to SX , the range of a single discrete random variable, we use the
notation SX,Y to denote the set of possible values of the pair (X, Y ). That is,
SX,Y = {(x, y) | PX,Y (x, y) > 0}. (4.4)
4.2.1 Definitions

PX,Y (x, y) = P [X = x, Y = y]. (4.3)
Note
SX,Y = {(x, y) | PX,Y (x, y) > 0}. (4.4)
4.2.1 Definitions

PX,Y (x, y) = P [X = x, Y = y]. (4.3)
Note
SX,Y = {(x, y) | PX,Y (x, y) > 0}. (4.4)
4.2.1 Definitions

PX,Y (x, y) = P [X = x, Y = y]. (4.3)
Note
SX,Y = {(x, y) | PX,Y (x, y) > 0}. (4.4)
4.2.1 Definitions
Definition 4.3 (Joint Probability Distribution Table – PDT)

P
X /Y y1 ... yj ... yn
j
x1 p11 ... p1j ... p1n P [X = x1 ]
.. .. .. .. .. .. ..
. . . . . . .
xi pi1 ... pij ... pin P [X = xi ]
.. .. .. .. .. .. ..
. . . . . . .
xm pm1 ... pmj ... pmn P [X = xm ]
P
P [Y = y1 ] ... P [Y = yj ] ... P [Y = yn ] 1
i
where
pij = P [X = xi , Y = yj ], i = 1, . . . , m, j = 1, . . . , n,
n
X m
X
P [X = xi ] = pij , i = 1, . . . , m, P [Y = yj ] = pij , j = 1, . . . , n.
j=1 i=1
4.2.1 Definitions
Definition 4.3 (Joint Probability Distribution Table – PDT)

P
X /Y y1 ... yj ... yn
j
x1 p11 ... p1j ... p1n P [X = x1 ]
.. .. .. .. .. .. ..
. . . . . . .
xi pi1 ... pij ... pin P [X = xi ]
.. .. .. .. .. .. ..
. . . . . . .
xm pm1 ... pmj ... pmn P [X = xm ]
P
P [Y = y1 ] ... P [Y = yj ] ... P [Y = yn ] 1
i
where
pij = P [X = xi , Y = yj ], i = 1, . . . , m, j = 1, . . . , n,
n
X m
X
P [X = xi ] = pij , i = 1, . . . , m, P [Y = yj ] = pij , j = 1, . . . , n.
j=1 i=1
4.2.1 Definitions
Theorem 4.2
(a) 0 ≤ pij ≤ 1 for all i = 1, . . . , m, j = 1, . . . , n.
Pm Pn
(b) i=1 j=1 pij = 1.
4.2.1 Definitions
Remark 4.3
From (4.1) and Definition 4.3, the joint cumulative distribution function of discrete
random variables X and Y is
X X
FXY (x, y) = pij (4.5)
xi <x yj <y
4.2.1 Definitions
Example 4.1
Test two integrated circuits one after the other. On each test, the possible outcomes are
a (accept) and r (reject). Assume that all circuits are acceptable with probability 0.9
and that the outcomes of successive tests are independent. Count the number of
acceptable circuits X and count the number of successful tests Y before you observe the
first reject. (If both tests are successful, let Y = 2.)
(a) Find the joint PMF of X and Y .
(b) Find the joint PDT of X and Y .
4.2.1 Definitions
Example 4.1 Solution

The sample space of the experiment is
S = {aa, ar, ra, rr}.
We compute
P [aa] = 0.81, P [ar] = P [ra] = 0.09, P [rr] = 0.01.
Each outcome specifies a pair of values X and Y . Let g(s) be the function that
transforms each outcome s in the sample space S into the pair of random variables
(X, Y ). Then
g(aa) = (2, 2), g(ar) = (1, 1), g(ra) = (1, 0), g(rr) = (0, 0).
4.2.1 Definitions
Example 4.1 Solution (continuous)

For each pair of values x, y, PX,Y (x, y) is the sum of the probabilities of the outcomes
for which X = x and Y = y. For example, PX,Y (1, 1) = P [ar]. The joint PMF can be
given as a set of labeled points in the x, y plane where each point is a possible value
(probability > 0) of the pair (x, y), or as a simple list:

0.81,


x = 2, y = 2,
0.09, x = 1, y = 1,




PX,Y (x, y) = 0.09, x = 1, y = 0,

0.01, x = 0, y = 0,





0, otherwise.

4.2.1 Definitions

A second representation of PX,Y (x, y) is the matrix:
PX,Y (x, y) y=0 y=1 y=2

x=0 0.01 0 0
x=1 0.09 0.09 0
x=2 0 0 0.81
Note
Note that all of the probabilities add up to 1. This reflects the second axiom of
probability that states P [S] = 1. Using the notation of random variables, we write this as
X X
PX,Y (x, y) = 1. (4.6)
x∈SX y∈SY
4.2.1 Definitions

A second representation of PX,Y (x, y) is the matrix:
PX,Y (x, y) y=0 y=1 y=2

x=0 0.01 0 0
x=1 0.09 0.09 0
x=2 0 0 0.81
Note
Note that all of the probabilities add up to 1. This reflects the second axiom of
probability that states P [S] = 1. Using the notation of random variables, we write this as
X X
PX,Y (x, y) = 1. (4.6)
x∈SX y∈SY
4.2 Joint Probability Mass Function 4.2.2 Properties
4.2.2 Properties
Note
We represent an event B as a region in the X, Y plane. Figure 4.2 shows two examples
of events.
4.2.2 Properties
Note
We represent an event B as a region in the X, Y plane. Figure 4.2 shows two examples
of events.
4.2.2 Properties
Theorem 4.3
For discrete random variables X and Y and any set B in the X, Y plane, the probability
of the event {(X, Y ) ∈ B} is
X
P [B] = PX,Y (x, y). (4.7)
(x,y)∈B
4.2.2 Properties
Example 4.2
Continuing Example 4.1, find the probability of the event B that X, the number of
acceptable circuits, equals Y , the number of tests before observing the first failure.
4.2.2 Properties

Mathematically, B is the event {X = Y }. The elements of B with nonzero probability
are
B ∩ SX,Y = {(0, 0), (1, 1), (2, 2)}.
Therefore,
P [B] = PX,Y (0, 0) + PX,Y (1, 1) + PX,Y (2, 2)

= 0.01 + 0.09 + 0.81 = 0.91.
4.2 Joint Probability Mass Function 4.2.3 Marginal PMF
4.2.3 Marginal PMF
Theorem 4.4
For discrete random variables X and Y with joint PMF PX,Y (x, y),
X X
PX (x) = PX,Y (x, y), PY (y) = PX,Y (x, y). (4.8)
y∈SY x∈SX
4.2.3 Marginal PMF
Remark 4.4. From Definition 4.3,

(a) Marginal CDT of X:
X x1 x2 ... xm
p P [X = x1 ] P [X = x2 ] ... P [X = xm ]
(b) Marginal CDT of Y :
Y y1 y2 ... yn
p P [Y = y1 ] P [Y = y2 ] ... P [Y = yn ]
4.2.3 Marginal PMF
Remark 4.4. From Definition 4.3,

(a) Marginal CDT of X:
X x1 x2 ... xm
p P [X = x1 ] P [X = x2 ] ... P [X = xm ]
(b) Marginal CDT of Y :
Y y1 y2 ... yn
p P [Y = y1 ] P [Y = y2 ] ... P [Y = yn ]
4.2.3 Marginal PMF
Example 4.3
In Example 4.1, we found the joint PMF of X and Y to be
PX,Y (x, y) y=0 y=1 y=2

x=0 0.01 0 0
x=1 0.09 0.09 0
x=2 0 0 0.81
(a) Find the marginal PMFs for the random variables X and Y .
(b) Find the marginal PDTs for the random variables X and Y .
4.2.3 Marginal PMF

To find PX (x), we note that both X and Y have range {0, 1, 2}. Theorem 4.3 gives
2
X 2
X
PX (0) = PX,Y (0, y) = 0.01, PX (1) = PX,Y (1, y) = 0.18
y=0 y=0
2
X
PX (2) = PX,Y (2, y) = 0.81, PX (x) = 0, x 6= 0, 1, 2.
y=0
4.2.3 Marginal PMF

For the PMF of Y , we obtain
2
X 2
X
PY (0) = PX,Y (x, 0) = 0.10, PY (1) = PX,Y (x, 1) = 0.09
x=0 x=0
2
X
PY (2) = PX,Y (x, 2) = 0.81, PY (y) = 0, y 6= 0, 1, 2.
x=0
4.2.3 Marginal PMF

We display PX (x) and PY (y) by rewriting the matrix in Example 4.1 and placing the
row sums and column sums in the margins.
PX,Y (x, y) y=0 y=1 y=2 PX (x)

x=0 0.01 0 0 0.01
x=1 0.09 0.09 0 0.18
x=2 0 0 0.81 0.81
PY (y) 0.10 0.09 0.81
 

0.01, x = 0, 
 0.1, y = 0,

0.18, 
x = 1, 0.09, y = 1,
PX (x) = PY (y) =


0.81, x = 2, 

 0.81, y = 2,
 
0, otherwise. 0, otherwise.
4.3 Joint Probability Density Function 4.3.1 Definitions
4.3.1 Definitions
Definition 4.4 (Joint Probability Density Function – PDF)

The joint PDF of the continuous random variables X and Y is a function fX,Y (x, y)
with the property
Zx Zy
FX,Y (x, y) = fX,Y (u, v)dvdu. (4.8)
−∞ −∞
Theorem 4.5
∂ 2 FX,Y (x, y)
fX,Y (x, y) = . (4.9)
∂x∂y
4.3 Joint Probability Density Function 4.3.1 Definitions
4.3.1 Definitions
Definition 4.4 (Joint Probability Density Function – PDF)

The joint PDF of the continuous random variables X and Y is a function fX,Y (x, y)
with the property
Zx Zy
FX,Y (x, y) = fX,Y (u, v)dvdu. (4.8)
−∞ −∞
Theorem 4.5
∂ 2 FX,Y (x, y)
fX,Y (x, y) = . (4.9)
∂x∂y
4.3 Joint Probability Density Function 4.3.2 Properties
4.3.2 Properties
Theorem 4.7
A joint PDF fX,Y (x, y) has the following properties corresponding to first and second
axioms of probability:
(a) fX,Y (x, y) ≥ 0 for all (x, y) ∈ R2 ,
Z +∞ Z +∞
(b) fX,Y (x, y)dxdy = 1.
−∞ −∞
Theorem 4.8
The probability that the continuous random variables (X, Y ) are in A is
ZZ
P [A] = fX,Y (x, y)dxdy. (4.10)
A
4.3.2 Properties
Theorem 4.7
A joint PDF fX,Y (x, y) has the following properties corresponding to first and second
axioms of probability:
(a) fX,Y (x, y) ≥ 0 for all (x, y) ∈ R2 ,
Z +∞ Z +∞
(b) fX,Y (x, y)dxdy = 1.
−∞ −∞
Theorem 4.8
The probability that the continuous random variables (X, Y ) are in A is
ZZ
P [A] = fX,Y (x, y)dxdy. (4.10)
A
4.3.2 Properties
Example 4.4
Random variables X and Y have joint PDF
(
c, 0 ≤ x ≤ 5, 0 ≤ y ≤ 3
fX,Y (x, y) =
0, otherwise.
Find the constant c and P [A] = P [2 ≤ X < 3, 1 ≤ Y < 3].
4.3.2 Properties

The large rectangle in the diagram is the area of nonzero probability. Theorem 4.5
states that the integral of the joint PDF over this rectangle is 1:
Z5 Z3
1= cdydx = 15c.
0 0
Therefore, c = 1/15.
The small dark rectangle in the diagram is the event
A = {2 ≤ X < 3, 1 ≤ Y < 3}. P [A] is the integral of the PDF over this
rectangle, which is
Z3 Z3
1
P [A] = dvdu = 2/15.
15
2 1
4.3.2 Properties

The large rectangle in the diagram is the area of nonzero probability. Theorem 4.5
states that the integral of the joint PDF over this rectangle is 1:
Z5 Z3
1= cdydx = 15c.
0 0
Therefore, c = 1/15.
The small dark rectangle in the diagram is the event
A = {2 ≤ X < 3, 1 ≤ Y < 3}. P [A] is the integral of the PDF over this
rectangle, which is
Z3 Z3
1
P [A] = dvdu = 2/15.
15
2 1
4.3 Joint Probability Density Function 4.3.3 Marginal PDF
4.3.3 Marginal PDF
Theorem 4.9
If X and Y are random variables with joint PDF fX,Y (x, y),
+∞
Z +∞
Z
fX (x) = fX,Y (x, y)dy, fY (y) = fX,Y (x, y)dx. (4.11)
−∞ −∞
4.3.3 Marginal PDF

Example 4.5
The joint PDF of X and Y is

 5y , −1 ≤ x ≤ 1, x2 ≤ y ≤ 1
fX,Y (x, y) = 4
0, otherwise.
Find the marginal PDFs fX (x) and fY (y).

y
−1 O 1 x
4.3.3 Marginal PDF

We use Theorem 4.7 to find the marginal PDF fX (x).
When x < −1 or when x > 1, fX,Y (x, y) = 0, and therefore fX (x) = 0.
For −1 ≤ x ≤ 1,
Z1
5y 5(1 − x4 )
fX (x) = dy = .
4 8
x2
The complete expression for the marginal PDF of X is
 5(1 − x4 )

, −1 ≤ x ≤ 1,
fX (x) = 8
0, otherwise.
4.3.3 Marginal PDF

For the marginal PDF of Y , we note that for y < 0 or y > 1, fY (y) = 0.
For 0 ≤ y ≤ 1, we integrate over the horizontal bar marked Y = y. The boundaries
√ √
of the bar are x = − y and x = y. Therefore, for 0 ≤ y ≤ 1,
√
Zy √
5y 5y x= y 5y 3/2
fY (y) = dx = x √ = .
√
4 4 x=− y 2
− y
The complete marginal PDF of Y is

 3/2
 5y
, 0 ≤ y ≤ 1,
fY (y) = 2
0, otherwise.

4.3.3 Marginal PDF

Example 4.6
The joint PDF of X and Y is
(
kx, if 0 < y < x < 1
fX,Y (x, y) =
0, otherwise.
(a) Find constant k.

(b) Find the marginal PDFs fX (x) and fY (y).
y
O
1 x
4.3.3 Marginal PDF

Set D = {(x, y) ∈ R2 : 0 < x < 1; 0 < y < x}.
(a) From Theorem 4.7, k ≥ 0 and
+∞ Z
Z +∞ Z1 Zx Z1
k
1= fX,Y (x, y)dxdy = dx kxdy = k x2 dx = .
3
−∞ −∞ 0 0 0
(
3x, if (x, y) ∈ D,
Hence k = 3 and fX,Y (x, y) =
0, otherwise.
4.3.3 Marginal PDF

(b) From Theorem 4.7,
Zx
+∞  (
3x2 ,

 3xdy, 0<x<1
Z
0<x<1
fX (x) = fX,Y (x, y)dy = =

 0 0, otherwise
−∞
0, otherwise.

 1
Z 
+∞
 3 − 3 y2 ,


Z  3xdx, 0<y<1 0<y<1
fY (y) = fX,Y (x, y)dx = = 2 2
y
−∞



 0, otherwise.
0, otherwise
4.3.3 Marginal PDF

(b) From Theorem 4.7,
Zx
+∞  (
3x2 ,

 3xdy, 0<x<1
Z
0<x<1
fX (x) = fX,Y (x, y)dy = =

 0 0, otherwise
−∞
0, otherwise.

 1
Z 
+∞
 3 − 3 y2 ,


Z  3xdx, 0<y<1 0<y<1
fY (y) = fX,Y (x, y)dx = = 2 2
y
−∞



 0, otherwise.
0, otherwise
4.4 Expected Values 4.4.1 Expected Values
4.4.1 Expected Values
Theorem 4.10
For random variables X and Y , the expected value of W = g(X, Y ) is
X X
Discrete: E[W ] = g(x, y)PX,Y (x, y),
x∈SX y∈SY
XX
or E[W ] = g(xi , yj )P [X = xi , Y = yj ],
i j
Z∞ Z∞
Continuous: E[W ] = g(x, y)fX,Y (x, y)dxdy.
−∞ −∞
Theorem 4.10
X X
x∈SX y∈SY
XX
i j
Z∞ Z∞
−∞ −∞
Theorem 4.10
X X
x∈SX y∈SY
XX
i j
Z∞ Z∞
−∞ −∞
Theorem 4.11
E[g1 (X, Y ) + . . . + gn (X, Y )] = E[g1 (X, Y )] + . . . + E[gn (X, Y )].
Theorem 4.12
For any two random variables X and Y ,
E[X + Y ] = E[X] + E[Y ].
Theorem 4.13
The variance of the sum of two random variables is
V ar[X + Y ] = V ar[X] + V ar[Y ] + 2E[(X − µX )(Y − µY )].
Theorem 4.11
Theorem 4.12
E[X + Y ] = E[X] + E[Y ].
Theorem 4.13
Theorem 4.11
Theorem 4.12
E[X + Y ] = E[X] + E[Y ].
Theorem 4.13
4.4 Expected Values 4.4.2 Covariance
(a) Covariance
Definition 4.5 (Covariance)

The covariance of two random variables X and Y is
Cov[X, Y ] = E[(X − E[X])(Y − E[Y ])].
Remark 4.6
From the properites of the expected value,
Cov(X, Y ) = E[XY ] − E[X].E[Y ] (4.12)
where E[XY ] is
P P

 xi yj pij , (Discrete Random Variables)
i j

+∞ +∞
E[XY ] = Z Z


 xyf (x, y)dxdy, (Continuous Random Variables).

−∞ −∞
(a) Covariance
Definition 4.5 (Covariance)

The covariance of two random variables X and Y is
Cov[X, Y ] = E[(X − E[X])(Y − E[Y ])].
Remark 4.6
From the properites of the expected value,
Cov(X, Y ) = E[XY ] − E[X].E[Y ] (4.12)
where E[XY ] is
P P

 xi yj pij , (Discrete Random Variables)
i j

+∞ +∞
E[XY ] = Z Z


 xyf (x, y)dxdy, (Continuous Random Variables).

−∞ −∞
Properties
Theorem 4.14
(a) Cov(X, Y ) = E[XY ] − E[X].E[Y ] = rX,Y − µX µY .
(b) V ar[X + Y ] = V ar[X] + V ar[Y ] + 2Cov[X, Y ].
(c) V ar[X] = Cov[X, X], V ar[Y ] = Cov[Y, Y ].
(b) Covariance Matrix
Definition 4.6 (Covariance Matrix)

The covariance matrix of two random variables X and Y is

Cov(X, X) Cov(X, Y ) V ar(X) Cov(X, Y )
Γ= = (4.13)
Cov(Y, X) Cov(Y, Y ) Cov(X, Y ) V ar(Y )
(c) Correlation
Definition 4.7 (Correlation)

The correlation of X and Y is rX,Y = E[XY ], where
 P P

 xyPX,Y (x, y), (Discrete Random Variables)
x∈SX y∈SY

+∞ +∞
E[XY ] = Z Z


 xyfX,Y (x, y)dxdy, (Continuous Random Variables).

−∞ −∞
Examples
Example 4.7
For the integrated circuits tests in Example 4.1, we found in Example 4.3 that the
probability model for X and Y is given by the following matrix.
PX,Y (x, y) y=0 y=1 y=2 PX (x)

x=0 0.01 0 0 0.01
x=1 0.09 0.09 0 0.18
x=2 0 0 0.81 0.81
PY (y) 0.10 0.09 0.81
Find rX,Y and Cov[X, Y ].
Examples

By Definition 4.7,
2 X
X 2
rX,Y = E[XY ] = xyPX,Y (x, y) = 1 × 1 × 0.09 + 2 × 2 × 0.81 = 3.33.
x=0 y=0
To use Theorem 4.14(a) to find the covariance, we find
E[X] = 1 × 0.18 + 2 × 0.81 = 1.80

E[Y ] = 1 × 0.09 + 2 × 0.81 = 1.71.
Therefore, by Theorem 4.14(a), Cov[X, Y ] = 3.33 − 1.80 × 1.71 = 0.252.
Examples

By Definition 4.7,
2 X
X 2
rX,Y = E[XY ] = xyPX,Y (x, y) = 1 × 1 × 0.09 + 2 × 2 × 0.81 = 3.33.
x=0 y=0
E[X] = 1 × 0.18 + 2 × 0.81 = 1.80

E[Y ] = 1 × 0.09 + 2 × 0.81 = 1.71.
Examples

By Definition 4.7,
2 X
X 2
rX,Y = E[XY ] = xyPX,Y (x, y) = 1 × 1 × 0.09 + 2 × 2 × 0.81 = 3.33.
x=0 y=0
E[X] = 1 × 0.18 + 2 × 0.81 = 1.80

E[Y ] = 1 × 0.09 + 2 × 0.81 = 1.71.
Examples
Example 4.8
The joint PDT of X and Y is
X Y −1 0 1
−1 4/15 1/15 4/15
0 1/15 2/15 1/15
1 0 2/15 0
(a) Find the PDT of X and Y .

(b) Find E[X], E[Y ], Cov[X, Y ].
Examples

(a) The PDT of X and Y are
X -1 0 1 Y -1 0 1
P 9/15 4/15 5/15 P 5/15 5/15 5/15
Examples

(b) We have
9 4 2 7
E[X] = (−1) × +0× +1× =− .
15 15 15 15
5 5 5
E[Y ] = (−1) × +0× +1× = 0.
15 15 15
4 4
E[XY ] = (−1) × (−1) × + (−1) × (1) × + 1 × (−1) × 0 + 1 × 1 × 0 = 0.
15 15
Hence Cov[X, Y ] = E[XY ] − E[X] × E[Y ] = 0.
(d) Uncorrelated Random Variables
Definition 4.6 (Orthogonal Random Variables)

Random variables X and Y are orthogonal if rX,Y = 0.
Definition 4.7 (Uncorrelated Random Variables)

Random variables X and Y are uncorrelated if Cov[X, Y ] = 0.
(d) Uncorrelated Random Variables
Definition 4.6 (Orthogonal Random Variables)

Random variables X and Y are orthogonal if rX,Y = 0.
Definition 4.7 (Uncorrelated Random Variables)

Random variables X and Y are uncorrelated if Cov[X, Y ] = 0.
4.4 Expected Values 4.4.3 Correlation Coefficient
4.4.3 Correlation Coefficient
Definition 4.8 (Correlation Coefficient)

The correlation coefficient of two random variables X and Y is
Cov[X, Y ] Cov[X, Y ]
ρX,Y = p = . (4.14)
V ar[X]V ar[Y ] σX σY
Theorem 4.17
−1 ≤ ρX,Y ≤ 1.
Theorem 4.18
If X and Y are random variables such that Y = aX + b

−1,
 a < 0,
ρX,Y = 0, a = 0,

1, a > 0.


ρX,Y = p = . (4.14)
Theorem 4.17
−1 ≤ ρX,Y ≤ 1.
Theorem 4.18

−1,
 a < 0,
ρX,Y = 0, a = 0,

1, a > 0.


ρX,Y = p = . (4.14)
Theorem 4.17
−1 ≤ ρX,Y ≤ 1.
Theorem 4.18

−1,
 a < 0,
ρX,Y = 0, a = 0,

1, a > 0.

4.5 Conditioning by an Event 4.5.1 Conditional Joint PMF
4.5.1 Conditional Joint PMF
Definition 4.9 (Conditional Joint PMF)

For discrete random variables X and Y and an event, B with P [B] > 0, the conditional
joint PMF of X and Y given B is
PX,Y |B (x, y) = P [X = x, Y = y|B]. (4.15)
Theorem 4.19
For any event B, a region of the X, Y plane with P [B] > 0,

 PX,Y (x, y) , (x, y) ∈ B,
PX,Y |B (x, y) = P [B] (4.16)
0, otherwise.

4.5 Conditioning by an Event 4.5.1 Conditional Joint PMF
4.5.1 Conditional Joint PMF
Definition 4.9 (Conditional Joint PMF)

For discrete random variables X and Y and an event, B with P [B] > 0, the conditional
joint PMF of X and Y given B is
PX,Y |B (x, y) = P [X = x, Y = y|B]. (4.15)
Theorem 4.19
For any event B, a region of the X, Y plane with P [B] > 0,

 PX,Y (x, y) , (x, y) ∈ B,
PX,Y |B (x, y) = P [B] (4.16)
0, otherwise.

4.5 Conditioning by an Event 4.5.2 Conditional Joint PDF
4.5.2 Conditional Joint PDF
Definition 4.10 (Conditional Joint PDF)

Given an event B with P [B] > 0, the conditional joint probability density function of X
and Y is

 fX,Y (x, y) , (x, y) ∈ B,
fX,Y |B (x, y) = P [B] (4.17)
0, otherwise.

Example 4.9
X and Y are random variables with joint PDF

1, 0 ≤ x ≤ 5, 0 ≤ y ≤ 3,
fX,Y (x, y) = 15
0, otherwise.
Find the conditional PDF of X and Y given the event B = {X + Y ≥ 4}.

We calculate P [B] by integrating fX,Y (x, y) over the region B.
Z3 Z5 Z3
1 1 1
P [B] = dxdy = (1 + y)dy = .
15 15 2
0 4−y 0
Definition 4.10 leads to the conditional joint PDF


2, 0 ≤ x ≤ 5, 0 ≤ y ≤ 3, x + y ≥ 4,
fX,Y |B (x, y) = 15
0, otherwise.
4.5 Conditioning by an Event 4.5.3 Conditional Expected Value
4.5.3 Conditional Expected Value
Theorem 4.20 (Conditional Expected Value)

For random variables X and Y and an event B of nonzero probability, the conditional
expected value of W = g(X, Y ) given B is
X X
Discrete: E[W |B] = g(x, y)PX,Y |B (x, y),
x∈SX y∈SY
+∞ Z
Z +∞
Continuous: E[W |B] = g(x, y)fX,Y |B (x, y)dxdy.

−∞ −∞
Example 4.10
Continuing Example 4.9, find the conditional expected value of W = XY given the
event B = {X + Y ≥ 4}.

From Theorem 4.20,
Z3 Z5 Z3 Z3
2 1 1
5
E[XY |B] = xydxdy = x2 ydy = (9y + 8y 2 − y 3 )dy

15 15 4−y 15
0 4−y 0 0
123
= .
20
Example 4.10
Continuing Example 4.9, find the conditional expected value of W = XY given the
event B = {X + Y ≥ 4}.

From Theorem 4.20,
Z3 Z5 Z3 Z3
2 1 1
5
E[XY |B] = xydxdy = x2 ydy = (9y + 8y 2 − y 3 )dy

15 15 4−y 15
0 4−y 0 0
123
= .
20
4.5 Conditioning by an Event 4.5.4 Conditional Variance
4.5.4 Conditional Variance
Definition 4.11 (Conditional Variance)

The conditional variance of the random variable W = g(X, Y ) is
V ar[W |B] = E([(W − E[W |B])2 |B].
Theorem 4.21
V ar[W |B] = E[W 2 |B] − (E[W |B])2 .
4.5 Conditioning by an Event 4.5.4 Conditional Variance
4.5.4 Conditional Variance
Definition 4.11 (Conditional Variance)

The conditional variance of the random variable W = g(X, Y ) is
V ar[W |B] = E([(W − E[W |B])2 |B].
Theorem 4.21
V ar[W |B] = E[W 2 |B] − (E[W |B])2 .
4.6 Conditioning by a Random Variable 4.6.1 Conditional PMF
4.6.1 Conditional PMF
Definition 4.12 (Conditional PMF)

For any event Y = y such that PY (y) > 0, the conditional PMF of X given Y = y is
PX|Y (x|y) = P [X = x|Y = y]. (4.18)
Theorem 4.22
For random variables X and Y with joint PMF PX,Y (x, y), and x and y such that
PX (x) > 0 and PY (y) > 0,
PX,Y (x, y) = PX|Y (x|y)PY (y) = PY |X (y|x)PX (x).
4.6 Conditioning by a Random Variable 4.6.1 Conditional PMF
4.6.1 Conditional PMF
Definition 4.12 (Conditional PMF)

For any event Y = y such that PY (y) > 0, the conditional PMF of X given Y = y is
PX|Y (x|y) = P [X = x|Y = y]. (4.18)
Theorem 4.22
For random variables X and Y with joint PMF PX,Y (x, y), and x and y such that
PX (x) > 0 and PY (y) > 0,
PX,Y (x, y) = PX|Y (x|y)PY (y) = PY |X (y|x)PX (x).
4.6 Conditioning by a Random Variable 4.6.2 Conditional Expected Value of a Function
4.6.2 Conditional Expected Value of a Function
Theorem 4.23 (Conditional Expected Value of a Function)

X and Y are discrete random variables. For any y ∈ SY , the conditional expected value
of g(X, Y ) given Y = y is
X
E[g(X, Y )|Y = y] = x ∈ SX g(x, y)PX|Y (x|y).
Note
The conditional expected value of X given Y = y is a special case of Theorem 4.23:
X
E[X|Y = y] = xPX|Y (x|y).
x∈SX
Theorem 4.23 (Conditional Expected Value of a Function)

X and Y are discrete random variables. For any y ∈ SY , the conditional expected value
of g(X, Y ) given Y = y is
X
E[g(X, Y )|Y = y] = x ∈ SX g(x, y)PX|Y (x|y).
Note
The conditional expected value of X given Y = y is a special case of Theorem 4.23:
X
E[X|Y = y] = xPX|Y (x|y).
x∈SX
4.6 Conditioning by a Random Variable 4.6.3 Conditional PDF
4.6.3 Conditional PDF
Definition 4.13 (Conditional PDF)

For y such that fY (y) > 0, the conditional PDF of X given {Y = y} is
fX,Y (x, y)
fX|Y (x|y) = . (4.19)
fY (y)
Note
Definition 4.13 implies
fX,Y (x, y)
fY |X (y|x) = . (4.20)
fX (x)
Definition 4.13 (Conditional PDF)

For y such that fY (y) > 0, the conditional PDF of X given {Y = y} is
fX,Y (x, y)
fX|Y (x|y) = . (4.19)
fY (y)
Note
Definition 4.13 implies
fX,Y (x, y)
fY |X (y|x) = . (4.20)
fX (x)
Example 4.11
Random variables X and Y have joint PDF
(
2, 0 < y < x < 1,
fX,Y (x, y) =
0, otherwise.
For 0 < x < 1, find the conditional PDF fY |X (y|x). For 0 < y < 1, find the conditional
PDF fX|Y (x|y).

For 0 < x < 1, Theorem 4.8 implies
+∞
Z Zx
fX (x) = fX,Y (x, y)dy = 2dy = 2x.
−∞ 0
The conditional PDF of Y given X is

(
fX,Y (x, y) 1/x, 0 < y < x,
fY |X (y|x) = =
fX (x) 0, otherwise.

Given X = x, we see that Y is the uniform (0, x) random variable. For 0 < y < 1,
Theorem 4.8 implies
+∞
Z Z1
fY (y) = fX,Y (x, y)dx = 2dx = 2(1 − y).
−∞ y
Furthermore,
(
fX,Y (x, y) 1/(1 − y), y < x < 1,
fX|Y (x|y) = =
fY (y) 0, otherwise.
Conditioned on Y = y, we see that X is the uniform (y, 1) random variable.
Theorem 4.24
fX,Y (x, y) = fY |X (y|x)fX (x) = fX|Y (x|y)fY (y).
Definition 4.14 (Conditional Expected Value of a Function)

For continuous random variables X and Y and any y such that fY (y) > 0, the
conditional expected value of g(X, Y ) given Y = y is
+∞
Z
E[g(X, Y )|Y = y] = g(x, y)fX|Y (x|y)dx.
−∞
Note
The conditional expected value of X given Y = y is a special case of Definition 4.14:
+∞
Z
E[X|Y = y] = xfX|Y (x|y)dx.
−∞
4.6 Conditioning by a Random Variable 4.6.5 Conditional Expected Value
Definition 4.15 (Conditional Expected Value)

The conditional expected value E[X|Y ] is a function of random variable Y such that if
Y = y then E[X|Y ] = E[X|Y = y].
Example 4.12
For random variables X and Y in Example 4.19, we found in that the conditional PDF
of X given Y is
(
fX,Y (x, y) 1/(1 − y), y < x < 1,
fX|Y (x|y) = =
Find the conditional expected values E[X|Y = y] and E[X|Y ].
Definition 4.15 (Conditional Expected Value)

The conditional expected value E[X|Y ] is a function of random variable Y such that if
Y = y then E[X|Y ] = E[X|Y = y].
Example 4.12
For random variables X and Y in Example 4.19, we found in that the conditional PDF
of X given Y is
(
fX,Y (x, y) 1/(1 − y), y < x < 1,
fX|Y (x|y) = =
Find the conditional expected values E[X|Y = y] and E[X|Y ].

Given the conditional PDF fX|Y (x|y), we perform the integration
+∞
Z
E[X|Y = y] = xfX|Y (x|y)dx
−∞
Z1
1 x2 x=1 1+y

= xdx = = .
1−y 2(1 − y) x=y 2

y
Since E[X|Y = y] = (1 + y)/2, E[X|Y ] = (1 + Y )/2.
4.7 Independent Random Variables 4.7.1 Definitions
4.9.1 Definitions
Definition 4.16 (Independent Random Variables)

Random variables X and Y are independent if and only if
Discrete: PX,Y (x, y) = PX (x)PY (y),

Continuous: fX,Y (x, y) = fX (x)fY (y).
Note
Theorem 4.22 implies that if X and Y are independent discrete random variables, then
PX|Y (x|y) = PX (x), PY |X (y|x) = PY (y).
Theorem 4.24 implies that if X and Y are independent continuous random variables,
then
fX|Y (x|y) = fX (x), fY |X (y|x) = fY (y).
4.9.1 Definitions
Definition 4.16 (Independent Random Variables)

Random variables X and Y are independent if and only if
Discrete: PX,Y (x, y) = PX (x)PY (y),

Continuous: fX,Y (x, y) = fX (x)fY (y).
Note
Theorem 4.22 implies that if X and Y are independent discrete random variables, then
PX|Y (x|y) = PX (x), PY |X (y|x) = PY (y).
Theorem 4.24 implies that if X and Y are independent continuous random variables,
then
fX|Y (x|y) = fX (x), fY |X (y|x) = fY (y).
4.7.1 Definitions
Example 4.13
(
4xy, 0 ≤ x ≤ 1, 0 ≤ y ≤ 1,
fX,Y (x, y) =
0, otherwise.
Are X and Y independent?

The marginal PDFs of X and Y are
( (
2x, 0 ≤ x ≤ 1, 2y, 0 ≤ y ≤ 1,
fX (x) = , fY (y) =
0, otherwise 0, otherwise.
It is easily verified that fX,Y (x, y) = fX (x)fY (y) for all pairs (x, y) and so we conclude
that X and Y are independent.
4.7.1 Definitions
Example 4.13
(
4xy, 0 ≤ x ≤ 1, 0 ≤ y ≤ 1,
fX,Y (x, y) =
0, otherwise.
Are X and Y independent?

The marginal PDFs of X and Y are
( (
2x, 0 ≤ x ≤ 1, 2y, 0 ≤ y ≤ 1,
fX (x) = , fY (y) =
0, otherwise 0, otherwise.
It is easily verified that fX,Y (x, y) = fX (x)fY (y) for all pairs (x, y) and so we conclude
that X and Y are independent.
4.7 Independent Random Variables 4.7.2 Properties
4.9.2 Properties
Theorem 4.27
For independent random variables X and Y ,
(a) E[g(X)h(Y )] = E[g(X)]E[h(Y )],
(b) rX,Y = E[XY ] = E[X]E[Y ],
(c) Cov[X, Y ] = ρX,Y = 0,
(d) V ar[X + Y ] = V ar[X] + V ar[Y ],
(e) E[X|Y = y] = E[X] for all y ∈ SY ,
(f) E[Y |X = x] = E[Y ] for all x ∈ SX .
4.7.2 Properties
Example 4.14
Random variables X and Y have a joint PMF given by the following matrix
PX,Y (x, y) y = −1 y=0 y=1

x = −1 0 0.25 0
x=1 0.25 0.25 0.25
Are X and Y independent? Are X and Y uncorrelated?
4.9.2 Properties

For the marginal PMFs, we have PX (−1) = 0.25 and PY (−1) = 0.25. Thus
PX (−1)PY (−1) = 0.0625 6= PX,Y (−1, −1) = 0,
and we conclude that X and Y are not independent.

To find Cov[X, Y ], we calculate
E[X] = 0.5, E[Y ] = 0, E[XY ] = 0.
Therefore, Theorem 4.16(a) implies
Cov[X, Y ] = E[XY ] − E[X]E[Y ] = ρX,Y = 0,
and by definition X and Y are uncorrelated.
Practice Test
Question 4.1
A code word contains 5 digits, each either 0 or 1: to be valid the word must contain
exactly three 1’s and two 0’s. One word is selected at random from the valid code words.
Deflne X to be the flrst (left most digit) and let Y be the second digit in the word
selected.
(a) Define the joint PMF and PDT for (X, Y ).
(b) Find the marginal probability of X and Y .
(c) Are X and Y independent?
(d) Find E[X], E[Y ], V ar[X], V ar[Y ].
Practice Test
Question 4.2
A certain drugstore has three public telephone booths. The probability that the booth is
occupied at a given time is identical for each booth, and is denoted by p, which is equal
to 0.2. Let X and Y denote the number of booths that will be occupied at two
independent time.
(a) Define the joint PMF and PDT for (X, Y ).
(b) Find P [X = Y ].
(c) Find P [X > Y ].
Practice Test
Question 4.3
Suppose that in a certain drug, the concentration of a particular chemical is a random
variable with a continuous distribution for which the PDF g is as follows

 3 x2 , 0 ≤ x ≤ 2,
g(x) = 8
0, otherwise.
Suppose the concentrations X and Y of the chemical in two seperate batches of the
drug are independent random variables for each of the PDF is g. Determine
(a) The joint PDF of X and Y .
(b) Find P [X > Y ].
Practice Test
Question 4.4
Suppose that 2 persons make an appointment to meet between 5pm and 6 pm at a
certain location, and they agree that neither person will wait more than 10 minutes for
the other person. If they arrive indepently at random times between 5pm and 6 pm,
what is the probability that they meet?
Practice Test
Question 4.5
Suppose that a person’s score X on a mathematics aptitude test is a number between 0
and 1, and that his score Y on a music aptitude test is a number between 0 and 1.
Suppose further that in the population of a college students in the United States, the
scores X and Y are distributed according to the following joint PDF
(
k(2x + 3y), 0 < x < 1, 0 < y < 1,
fX,Y (x, y) =
0, otherwise.
(a) Find k?
(b) What proportion of a college students obtain a score greater than 0.8 on the
mathematics test?
(c) If a student’s score on the music test is 0.3, what is the probability that his score
on the mathametics test will be greater than 0.8?
(d) If a student’s score on the mathematics test is 0.3, what is the probability that his
score on the music test will be greater than 0.8?

Chapter 4: Pairs of Random Variables: Nguyễn Thị Thu Thủy

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Chapter 4: Pairs of Random Variables: Nguyễn Thị Thu Thủy

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Chapter 4: Pairs of Random Variables

SCHOOL OF APPLIED MATHEMATICS AND INFORMATICS

Definition 4.1 (Joint Cumulative Distribution Function – CDF)

FX,Y (x, y) = P [X < x, Y < y], x, y ∈ R. (4.1)

Definition 4.1 (Joint Cumulative Distribution Function – CDF)

FX,Y (x, y) = P [X < x, Y < y], x, y ∈ R. (4.1)

Definition 4.1 (Joint Cumulative Distribution Function – CDF)

FX,Y (x, y) = P [X < x, Y < y], x, y ∈ R. (4.1)

Theorem 4.1. For any pair of random variables, X, Y ,

P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

Theorem 4.1. For any pair of random variables, X, Y ,

P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

Theorem 4.1. For any pair of random variables, X, Y ,

P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

Theorem 4.1. For any pair of random variables, X, Y ,

P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

Theorem 4.1. For any pair of random variables, X, Y ,

P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

Theorem 4.1. For any pair of random variables, X, Y ,

P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

Theorem 4.1. For any pair of random variables, X, Y ,

P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

Theorem 4.1. For any pair of random variables, X, Y ,

P [x1 ≤ X < x2 , y1 ≤ Y < y2 ] = FX,Y (x2 , y2 ) − FX,Y (x2 , y1 ) − FX,Y (x1 , y2 )

Definition 4.2 (Joint Probability Mass Function – PMF)

PX,Y (x, y) = P [X = x, Y = y]. (4.3)

SX,Y = {(x, y) | PX,Y (x, y) > 0}. (4.4)

Definition 4.2 (Joint Probability Mass Function – PMF)

PX,Y (x, y) = P [X = x, Y = y]. (4.3)

SX,Y = {(x, y) | PX,Y (x, y) > 0}. (4.4)

Definition 4.2 (Joint Probability Mass Function – PMF)

PX,Y (x, y) = P [X = x, Y = y]. (4.3)

SX,Y = {(x, y) | PX,Y (x, y) > 0}. (4.4)

Definition 4.2 (Joint Probability Mass Function – PMF)

PX,Y (x, y) = P [X = x, Y = y]. (4.3)

SX,Y = {(x, y) | PX,Y (x, y) > 0}. (4.4)

Definition 4.3 (Joint Probability Distribution Table – PDT)

Definition 4.3 (Joint Probability Distribution Table – PDT)

Example 4.1 Solution

S = {aa, ar, ra, rr}.

P [aa] = 0.81, P [ar] = P [ra] = 0.09, P [rr] = 0.01.

Example 4.1 Solution (continuous)

Example 4.1 Solution

PX,Y (x, y) y=0 y=1 y=2

Example 4.1 Solution

PX,Y (x, y) y=0 y=1 y=2

Example 4.2 Solution

B ∩ SX,Y = {(0, 0), (1, 1), (2, 2)}.

P [B] = PX,Y (0, 0) + PX,Y (1, 1) + PX,Y (2, 2)

4.2.3 Marginal PMF

4.2.3 Marginal PMF

Remark 4.4. From Definition 4.3,

4.2.3 Marginal PMF

Remark 4.4. From Definition 4.3,

4.2.3 Marginal PMF

PX,Y (x, y) y=0 y=1 y=2

4.2.3 Marginal PMF

Example 4.3 Solution

4.2.3 Marginal PMF

Example 4.3 Solution

4.2.3 Marginal PMF

Example 4.3 Solution

PX,Y (x, y) y=0 y=1 y=2 PX (x)