Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

CHAPTER SEVEN
TWO DIMENSIONAL RANDOM VARIABLES
5.1 Definition of two dimensional random variables

5.2 Joint distributions for discrete and continuous random variables

5.3 Cumulative Distribution Function (Cdf) of two-dimensional random variable

5.4 Marginal and conditional distributions

5.5 Independent random variables

5.6 Distributions of functions of two dimensional random variables

5.1 Definition of two dimensional random variables

Up to now we have observed only one-dimensional characteristics of an object as a random

variable, for example a person’s height. Now, here in this unit, we observe more than one
characteristics of an object for example a person’s weight in addition to the person’s height.

Perhaps, it is advantageous to borrow a concept from mathematics to explain the idea of two-
dimensional random variables. In mathematics, whenever we talk of the real number system we
are referring to the real number line, which is one-dimensional involving only the X-axis. On the
other hand, whenever we talk of a set of ordered pairs, relations, we are referring to the
coordinate plane, which is two-dimensional involving both the X and Y-axes.

In the case of random variables as well one can furnish the same analogy as in the one stated
above. Whenever we talk of a random variable whose possible values are subsets of the set of
real numbers it is called a one-dimensional random variable. Likewise, when a given random
variable assumes values that are subsets of the Cartesian product of real numbers, set of ordered
pairs (points) in a plane, that random variable is referred to as two-dimensional random variable.
By extending the analogy one can also have other higher order dimensional random variables.

Definition (Two-Dimensional Random Variables): Let S be a sample space associated with a

random experiment E .Let ( ) = ( ) = be two functions each assigning a real
number to each outcome ∈ . We call ( , ) a two-dimensional random variable. Equivalently,
we call X and Y bivariate random variables.

Examples: It may be of one’s interest to measure

 The amount of precipitate P and volume V of a gas from controlled experiment (P,V)

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Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

 The total rain fall R and the average temperature T off locality during a specified period
(R,T)

In general, if = ( ), = ( ), … . , = ( ) are n functions each assigning a real

number to every outcome ∈ , we call ( , , … , ) an n-dimensional random variable (an n-
dimensional random vector).

Note that: – the range space of ( , ), the set of all possible value of ( , ).

5.2 Joint distributions for discrete and continuous random variables

5.2.1 Joint distributions for discrete random variable

Definition (Two-Dimensional Discrete Random Variables): ( , ) is a two-dimensional
discreet random variable if the possible values of ( , ) are finite or countably infinite, i.e. if the
possible values of ( , ) can be written as ( , ); , = 1,2, . . . , , . . . ; = 1,2 … . , , . . .

Definition: Let ( , ) be a two-dimensional discrete random variable with each possible

outcome , we associate a number ( , ) = ( = , = ) and satisfying the
following conditions:

1. , ≥ 0 ( , )

2. ( , ) = 1

The function is called the joint probability function of ( , )

The set of triplets , ; , is called the joint probability distribution of ( , ).

Remark: If B is in the range space of ( , ), we have ( ) = ∑ ∑ ( , ) if ( , ) is discrete,

where the sum is taken over all indices ( , ) for which ( , ) ∈ .

Example 1: A fair coin is tossed three times. Lat X denotes 0 or 1 according as a head or tail
occurs on the first toss, and let Y denotes the number of heads which occur. Determine

a) The distribution of X and Y

b) The joint distribution of X and Y.

Solution

0 1 0 1 2 3
( ) 0.5 0.5 ( ) 1/8 3/8 3/8 1/8

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Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

The joint distribution of X and Y

Y 0 1 2 3
X
O 0 1/8 2/8 1/8
1 1/8 2/8 1/8 0
Example2: Two production lines manufacture a certain type of item. Suppose that the capacity
per day is 5 items for line I, and 3 items for line II. Assume that the number of items actually
produced by either production line is a random variable. Let (X,Y) represents the two-
dimensional random variable yielding the number of items produced by line I and II,
respectively.

X
Total
0 1 2 3 4 5
Y
0. 25
0 0 0. 01 0. 03 0. 05 0. 07 0. 09
0. 26
1 0. 01 0. 02 0. 04 0. 05 0. 06 0. 08
0. 25
2 0. 01 0. 03 0. 05 0. 05 0. 05 0. 06
0. 24
3 0. 01 0. 02 0. 04 0. 06 0. 06 0. 05
Total
0. 03 0. 08 0. 16 0. 21 0. 24 0. 28 1

a) Show that the above probability distribution is a legitimate probability distribution

b) What is the probability that both lines produce the same number of items?
c) What is the probability that more items are produced by line II than line I?

Solution:

a) To show the legitimacy of the given probability distribution, we are expected to show the
two conditions that a probability distribution should satisfy. As can be seen from the given table
all the values P(xi,yj) are non-negative. Therefore, the first condition P(xi,yj)>0 is satisfied.
Moreover, the second condition is also satisfied because

 P X  x , Y  y   1 =0+0.01+…+0.05=1
x y
i j

b) The required probabilit y is P(X=Y) which is equivalent to the probabilit y

P(X=0, Y=0) +P(X=1, Y=1) + P(X=2, Y=2) +P(X=3, Y=3) =0+0.02+0.05+0.06=0.13

c) The required probabilit y is P(X<Y)

=P (X=0,Y=1)+ P(X=0,Y=2)+ P (X=0,Y=3)+ P(X=1,Y=2)+ P(X=1,Y=3)+ P(X=2,Y=3)

=0.01+0.01+0.01+0.03+0.03+0.02+0.04=0.15

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Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

Example 2 Let (X,Y) be a two-dimensio nal rando m variable with probabilit y distribut ion
f(x, y)=2-(x+y) x, y=1,2,3,…

a) Show that f(x, y) is a probabilit y distribut ion

b) Find P(X>Y)
Solution

a) This amounts to checking the two condit ions for a probabilit y distribution
i) Clearly, f(x, y)> 0 for all (x, y) because f is an exponent ial funct ion, whose range is non-
negat ive

ii) To show the second condit ion  P X  x , Y  y   1we proceed as follows

x y
i j

 f  X , Y   1 Implies  2
x y x y
( x y )
1

   
1  1  1 1 
   x  y
( x y) x y 1 1    1
But 2 x y
 2 2
x 1 y 1
  
x 1  2 
   
y 1  2  2 1  2 1 
1  1  
 2   2 

Thus since both condit ions are fulfilled, we conclude that f(x, y) is a probabilit y distribut ion.

    x
( x y ) y x 1 y
b) P(X>Y)=  2
y 1 x  y 1
 2
y 1
2
x  y 1
2   
y 1 x  y 1  2 


x
Now let’s consider the term  (1 / 2)
x  y 1

 x y 1 y 2 y 3
1 1 1 1
    
x  y 1  2  2
 
2
 
 2
 ...

y y 2 y
1 1 1 1 1  1   1  2  1  3   1  y y
           ....            ...     2
2 2 2 2 2 2 2 2
         2

    x
( x y ) y x 1
y
Thus P(X>Y) =  2
y 1 x  y 1
 2
y 1
2
x  y 1
2   
y 1 x  y 1  2 

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Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

   y
y y 2 y  1   1/ 4 
=
2 2  2        1/ 3
y 1 y 1 y 1  4   1  1/ 4 

Exercise 1: Two tablets are selected at random for a bottle containing three aspirin, two sedative
and four laxatives. If X and Y are, respectively the number of aspirin tablets and the number
sedative tablets included among the tablets drawn from the bottle. Find joint probability
distribution of (X, Y).

Solution: The possible pairs are (0, 0), (0, 1), (1, 0), (1, 1), (0, 2) and (2, 0).

( , )=

The joint distribution of X and Y

Y 0 1 2
X
O
0 0

1 0 0

2 0 0

5.2.2. Joint distributions for continuous random variable

Definition: Two-Dimensional Continuous Random Variables: (X,Y) is a two-dimensional
continuous random variable if it assumes all values in some region R of the Euclidian plane.

Definition: Probability Density Function: Let (X,Y) be a two-dimensional continuous random

variable assuming all values in the some region R2 (2-dimentional set). Then the joint probability
density function (P.d.f) of (X,Y) is a function that satisfies the following two conditions.

i) f ( xi , y j )  0 i, j

ii)  f ( x, y) dxdy  1
R

Remark:

  f ( x, y) dxdy  1 indicates that the volume under the surface f(x, y) is one.
R

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Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

 If B is the range space of( , ) we have

( )= ( , )

Example 1: Suppose ( , ) has a jo int P.d.f given by

c, o  x  2 , 0  y  4
f ( x, y )  
o, elsewhere

a) Determine the constant c

b) Find P(X<1,Y<3)
c) Find P(X>Y)
Solution

a) To determine the constant c we make use one of the properties o f a P.d.f namely
2 4

 f ( x, y )  1 . In our case, this is equivalent to   c yx  1 .

R 0 0

2 4 2
4 2
But  0 c y x  0 0 0 4cx  4cx 0  8c
cy x 
0

Thus 8c=1 which implies c=1/8.

1 3
1
b) P X  1, Y  3    yx  3 / 8
0 0
8

2 x
c) P( X  Y )    1 / 8 yx  1 / 4
0 0

Example 2: Suppose that a two-dimensio nal random variable (X,Y) has jo int P.d.f given by
e  ( x  y ) 0  x   ,0  y  
f ( x, y )  
0 Otherwise

a.) Show that ( , ) is a P.d.f

b.) Find ( < )
Solution

a) Two show that the above function is a P.d.f we check whether or not the two condit ions are
fulfilled or not

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Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

i) Clearly f ( x, y )  0 for every (x, y) in R2 which is the first quadrant.

   
x  y   1 x   1
ii)  f ( x, y ) xy   0 e e yx   e y  0 0 e x  (1)  e x  0  (1)(1)  1
R 0

Thus the above funct ion is a P.d.f.

b) Let A=(X<Y) then

 y 
P( A)    e ( x  y ) xy    e ( x  y ) yx
0 0 0 x

Example 3: Suppose the joint pdf of ( , ) independent as follows

( , )= 0 < < ;0 < < <1

0 ℎ
a) Determine .

b) Find ( ≤ , < )

Solution:

a) ( , ) ∫ ∫ ( , ) =1

√
This implies that ∫ ∫ =1

= 12
. .
b) ≤ , < =∫ ∫ 12 =

5.3 Cumulative Distribution Function (Cdf) of two-dimensional random variable

Definition: CDF: Let (X, Y) be a two-dimensional random variable. The cumulative distribution
function F of (X, Y) is defined as F(x, y) = P(X < , < )

Case 1: If (X, Y) is discrete then

F ( x, y )  P( X  x, Y  y )   P( X  xi , Y  y j )  xi  x, y j  y

x y
Case 2: If (X,Y) is continuous then F ( x, y )  F ( x, y )  P ( X  x, Y  y )    f ( s, t ) st
  

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Properties of a CDF

i) 0  F ( x, y )  1
ii) P ( a  X  b, Y  y )  F (b, y )  F ( a, y )
iii) P ( X  x, c  Y  d )  F ( x , d )  F ( x , c )
iv) P ( a  X  b, c  Y  d )  F (b, d )  F ( a, d )  F (b, c)  F ( a, c)
v) F ( x, y ) is non-decreasing function
vi) F (  , y )  0; F ( x, )  0
vii) F (  , )  1

 2 F ( x, y )
viii)  f ( x, y )
xy
Example1: Consider the example on the two production lines, given previously, and find F(1,2)

Solution

(1, 2) = ( < 1, < 2) = ( = 0, = 0) + ( = 0, = 1) + ( = 0, = 2)

+ ( = 1 = 0) + ( = 1, = 1) + ( = 1, = 2)

= 0 + 0.01 + 0.01 + 0.01 + 0.02 + 0.03

= 0.08

Example 2: Let the P.d.f of X and y be given as follows

+ 0 < < < 1, 0 < < 1

( , )=
0 ℎ
Find the corresponding joint cdf of ( , )

Solution:

If either < 0 < 0, it follows immediately that

( , )=0

For 0 < < 1 0 < < 1 (Region I of figure below) we get

1
( , )= ( + ) = ( + )
2

For > 0 0 < < 1 (Region II of figure below) we get

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1
( , )= ( + ) = ( + 1)
2

For 0 < < 1 > 0 (Region III of figure below) we get

1
( , )= ( + ) = ( + 1)
2

For >1 > 1 (Region IV of figure below) we get

( , )= ( + ) =1

Since the joint distribution function is every where continuous, the boundaries between any two
of these can be included in either one, and we can write

0 < 0 < 0
⎧1
⎪ ( + ) for 0 < < 1 0 < < 1
⎪2
1
( , )= ( + 1) > 0 0 < < 1
⎨2
⎪1 (
+ 1) 0 < < 1 > 0
⎪2
⎩1 > 1 > 1

Exercise 1: the joint probability function (X, Y) is given by

( , ) = (2 + 3 ); = 0,1,2; = 1,2,3

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i. Compute the value of

ii. Find probability distribution of +

Exercise 2: Suppose that the joint cdf of a two dimensional continuous random variable is given
by

( , )= 1− − + ( ) > 0, > 0
0 ℎ
Then compute a) ( ≤ 1; ≤ 1)

b) ( + ≤ 1)

1 / 8 , 0  x  2 , 0  y  4
f ( x, y )   Find F(1, 2)
0 elsewhere
1 2
Solution: F (1,2)  P( X  1, Y  2)    1 / 8  yx  1 / 4
0 0

5.4. Marginal Probability Distributions and Conditional distributions

5.4.1. Marginal Probability Distributions

How do you find the P.d.f of a random variable X or Y from the given joint P.d.f ?

The answer is simple! You simply find the Marginal Probability Distributions.

With two-dimensional random variable (X, Y) we associate two one-dimensional random

variables X and Y individually. That is, we may be interested in finding the probability
distribution of X and Y from their joint distribution. We call these distributions the Marginal
distributions of X and Y.

Definition: Marginal Distribution (Discrete case): Let ( , ) be a two-dimensional discrete

random variable with joint P.d.f ( = , = ) .Then the marginal probability functions of
are:

P ( x i )  P ( X  xi )   P ( X  xi ,Y  y j )
j 1

and q( y j )  P (Y  y j )   P ( X  xi , Y  y j ) respectively
i 1

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Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

Example1. Let have a joint P.d.f given by:

X 0 1 2
Y
0 0. 25 0. 15 0. 10
1 0. 10 0. 08 0. 10
2 0. 05 0. 07 0. 10
Find the marginal distribution of X and Y

Solution
3
P( X  0)   P( X  0 , Y  y i )  0.25  0.10  0.05  0.4
i 1
3
P( X  1)   P( X  1, Y  y i )  0.15  0.08  0.07  0.3
i 1
2
P( X  2)   P( X  2, Y  y i )  0.10  0.10  .010  0.3
i 1

Thus the marginal distribution of X is given as follows:

X 0 1 2
P(X=x) 0.4 0.3 0.3
In a similar manner the marginal distribution of Y is as follows:
3
P(Y  0)   P( X  x i , Y  0)  0.25  0.15  .10  0.50
i 1
3
P(Y  1)   P( X  xi , Y  1)  0.10  0.08  0.10  0.28
i 1
3
P( X  2)   P( X  xi , Y  2)  0.05  0.07  0.10  0.22
i 1

Y 0 1 2
P(Y=y) 0.5 0.28 0.22
Example 2: Let (X,Y) be a two-dimensional discrete random variable with P.d.f
x  y
 ; if x  1,2,3 and y  1,2
f ( x, y )   21
0, else where
Find the respective P.d.f s of X and Y.

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Solution:

The given joint P.d.f can be presented as

X 1 2 3 Total
Y
1 2/21 3/21 4/21 9/21
2 3/21 4/21 5/21 12/21
Total 5/21 7/21 9/21 1
The marginal distribution of X is
2
2 3 5
P ( X  1)   f (1, y i )  P ( X  1, Y  1)  P ( X  1, Y  2)   
i 1 21 21 21

2
3 4 7
P ( X  2)   f (2, yi )  P ( X  2, Y  1)  P ( X  2, Y  2)   
i 1 21 21 21
2
4 5 9
P ( X  3)   f (3, yi )  P ( X  3, Y  1)  P ( X  3, Y  2)   
i 1 21 21 21

Therefore the P.d.f of X becomes

x 1 2 3
P(X=x) 5/21 7/21 9/21
On the other hand the marginal distribution of Y is given by
3
2 3 4 9
P(Y  1)   f ( xi ,1)  P( X  1, Y  1)  P( X  2, Y  1)  P( X  3, Y  1)    
i 1 21 21 21 21
3
3 4 5 12
P(Y  2)   f ( xi ,2)  P( X  1, Y  2)  P( X  2, Y  2)  P( X  3, Y  2)    
i 1 21 21 21 21

Hence, the P.d.f of Y is found to be,

y 1 2
P(Y=y) 9/21 12/21

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Definition: Marginal Distribution (Continuous Case): Let ( , ) be a two-dimensional

( , )
continuous random variable with joint P.d.f .Then the marginal distribution of X and Y,
respectively, are:

( ) ( , ) ( ) ( , )
= =

( , )
Note: -To find the marginal P.d.f of X, integrate the joint P.d.f with respect to y and
evaluate it for all values of y in R.
( , )
- To find the marginal P.d.f of Y, integrate the joint P.d.f with respect to x and
evaluate it for all values of x in R.
Example 1: Two characteristics of a rocket engine’s performance are thrust X and mixture ratio
Y. Suppose that ( , ) is a two-dimensional continuous random variable with joint P.d.f given
by

( , ) 2( + − 2 ) 0 < < 1, 0 < < 1

=
0 ℎ
Find the marginal P.d.f of X and Y
( ) ( )
Solution: Let the marginal P.d.f of X and Y be given by and respectively. Then using
the definition of the marginal P.d.f we get the following results.

( ) ( , )
= = 2( + −2 ) =[ + − ] =1
2

Thus the marginal P.d.f of X is given as follows

( ) 1 0 < <1
=
0 ℎ
In a similar manner the marginal P.d.f of Y is given as follows:

( ) ( , )
= = 2( + −2 ) =[ + +− ] =1
2

( ) 1 0 < <1
=
0 ℎ
Example 2: Consider the following joint P.d.f of X and Y.

( x, y ) 12 x ; 0  y  x  1 , 0  x 2  y 1
f XY
 Find the marginal P.d.f for X and Y.
0, else where

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( ) ( )
Solution: Let and be the marginal P.d.f’s of X and Y, respectively

x
( x) x
Then f X
 12 x y  12 xy
x 2
 12 x 2  12 x 3
x2

Therefore, the marginal P.d.f of X is given by:

(x) 12 x 2  12 x 3 0  x  1
f X

0 , elsewhere

Similarly the marginal P.d.f of Y can be obtained as follows:

y
( y) y
f Y
  12 x x  6 x 2
y
 6( y  y 2 )
y

( y) 6( y  y 2 ) 0  y  1
Thus f Y

0 , else where

Example 3: Let (X,Y) be a two-dimensional continuous random variable with P.d.f

( x, y ) 2 ; if 0  x  y  1
f  Find the respective P.d.f s of X and Y.
XY
0, else where

Solution: The marginal distribution of X is

1 1
( x)
  f ( x, y )y   2y  2 y  x  2  2 x
1
f X
x x

( x) 2  2 x if 0  x  1
 f 
X
0 elsewhere

The marginal distribution of Y is:

y y
( y)
  f ( x, y )x   2x  2 x 0  2 y
y
f Y
0 0

( y) 2 y if 0  y  1
 f 
Y
0 elsewhere

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5.4.2. Conditional Probability Distributions

Definition: Conditional Probability (Discrete Case): Let ( , ) be a two-dimensional discrete

random variable with joint P.d.f ( = , = ). Let ( , ) and ( ) be marginal
probability distributions of X and Y, respectively.

The conditional probability of for given value a = is defined by

P ( X  xi , Y  y j ) P ( X  xi ,Y  y j )
P ( xi y j )  P ( X  x i Y  y j )   , q( y j )  0
P (Y  y j ) q( y j )

And the conditional probability of Y given X=xi is:

P ( X  xi , Y  y j ) P ( X  xi ,Y  y j )
P ( y j xi )  P (Y  y j X  xi )   , p( xi )  0
p( X  xi ) p( x i )

Note: For given j, ( / ) satisfies all the conditions for a probability distribution. We have

⁄ ≥ 0

, ( )
⁄ = = =1
( ) ( )

Example: Suppose ( , ) is a discrete random variable and ( = 1, = 2)= 0.03 and

P(Y=2) =0.25. Find ( = 1/ = 2)

Solution

P( X  1 , Y  2) 0.03
P( X  1Y  2)   0.12
P(Y  2) 0.25

Definition: Conditional Probability (Continuous Case): Let ( , ) be a two-dimensional

( , ) ( ) ( )
continuous random variable with joint P.d.f . Let and be the marginal P.d.fs of
, respectively.

The conditional P.d.f of X given Y=y is given by:

( , )
( ⁄ ) ( )
= ( )
; >0

Similarly, the conditional P.d.f of Y given X=x is given by:

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( , )
( ⁄ ) ( )
= ( )
; >0

Remarks:

( ⁄ )
=1

( ⁄ )
=1

Example: Let (X,Y) be jointly distributed with P.d.f

( x, y ) 2 0  x  y  1
f 
XY
0 , elsewhere

Find the conditional distributions of X given y and Y given x

Solution

First let’s find the marginal P.d.fs of X and Y

1
( x) 1
f X
  2 y  2 y
x
 2  2x
x

( x) 2  2 x , 0  x  1
f 
X
0 , elsewhere
y
( y) y
f Y
  2 x  2 x
0
 2y
0

( y) 2 y , 0  y  1
f 
Y
0 , elsewhere

Now, we can find the conditional P.d.fs using the definitions.

( x, y )
(x y) f 1 / y 0  x  y
f  XY
( y)

X
f 0 , elsewhere
Y
( x, y)
( y x) f 1 / 1  x , x  y  1
f  XY
( x)

Y
f 0 , elsewhere
X

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Example: Suppose that ( , ) is a two-dimensional random variable with P.d.f

( x, y ) 2 , x  0 , y  0 , x  y  1
f 
XY
0, elsewhere

Find a. ( < 1/2 / = 1/4)

b. ( > 1/3/ = 1/2)

Solution

First find the conditional distributions

1 x
( x) 1 x
f X
  2y  2 y
0
 2  2x
0
1 y
( y) 1 y
f Y
  2 x  2 x
0
 2  2y
0

( x, y )
( x y) f 1
f X
 XY
( y)

1 y
, 0  x 1 y
f Y
( x, y )
( y x) f 1
f Y
 XY
( x)

1 x
, 0  y 1 x
f X

From this we find that

(x y 1 ) 1
f X
4

1
 4 / 3 , 0  x  3/ 4
1
4

Then
1/ 2
4x 1/ 2
P( X  1 / 2 / Y  1 / 4)   4 / 3 x   2/3
0
3 0

( y x  12 )
Similarly, f Y
 2, 0  y  1 / 2

Then

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1/ 2
1/ 2
P(Y  1 / 2 / X  1 / 2)   2y  2 y 1 / 3  1 / 3
1/ 3

5.5. Independent Random Variables

Definition: Independent Discrete Random Variables: Let ( , ) be a two-dimensional discrete

random variable, we say that X and Y are independent random variables if and only if

P( X  xi , Y  y j )  P(X  xi ) . P(Y  y j )
for all .

Theorem: Let ( , ) be a two-dimensional discrete random variable. Then X and Y are

independent random variables if and only if ⁄ = ( ) or equivalently iff ⁄ =
for all .

Definition: Independent Continuous Random Variables: Let ( , ) be a two-dimensional

continuous random variable .We say X and Y are independent random variables iff
( , ) ( ) ( )
=

Theorem: Let ( , ) be a two-dimensional continuous random variable .We say X and Y are
( ⁄ ) ( ) ( ⁄ ) ( )
independent random variables iff = or equivalently iff =

Example: Suppose

2  (i  j ) , i. j  1,2,...
P( X  i, Y  j )  
0 , elsewhere . Are X and Y independent?

Solution
  
P( X  i)   2 ( i  j )   2 i 2  j  2 i  2  j  2 i
j 1 j 1 j 1

Similarly

P (Y  j )   2  (i  j )  2  j
i 1

P ( X  i, Y  j )  2  (i  j )  2 i 2  j  P ( X  i).P (Y  j )

Thus X and Y are independent.

Example: Suppose the joint distribution of X and Y is given as follows. Are X and Y
independent?

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( x, y ) 4 xy, 0  x  1 0  y  1
f 
XY
0 , elsewhere

Solution:
1
( x) 1
f X
  4 xyy  2 xy 2
0
 2x
0
1
( y) 1
f Y
  4 xyx  2 x 2 y  2 y
0
0
( x, y )
f XY
 4 xy  (2 x ).(2 y )  g ( x ).h( y )

Therefore X and Y are independent.

Exercise: Suppose that the joint cumulative distribution of two-dimensional random variable
( , ) is given as:

( , )= 1− − + ( ) > 0, > 0
0 ℎ
Then compute

a) ( ≤ 1, ≤ 1)
b) ( + ≤ 1)

5.6 Distributions of functions of two dimensional random variables

Let us now consider = ( , ), a function of two random variables X and Y. It should be clear
that Z is again a random variable. Consider the following sequence of steps:

a. Perform the experiment E and obtain the outcomes.

b. Evaluate random numbers ( ) ( )
c. Evaluate the numbers = ( ( ), ( ))

The value of Z clearly depends on s, the original outcome of the experiment. Given the
distribution of ( , ), what is the probability distribution of = ( , )?

Functions of two-dimensional discrete random variable

If ( , ) is a two-dimensional discrete random variable, the following one dimensional discrete

random variables might of interest

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Introduction to probability and Statistics (Stat 276) Department of Statistics (AAU)

= min( , ) ; = max( , ) ; = +

Example 1: The joint probability function ( , ) is given by

( , )= (2 + 3 ); = 0,1,2; = 1,2,3

a) Compute the value of K

b) Find the probability distribution of

i. =( + )

ii. = ( , )

iii. = ( , )

Solution:

a) To determine the constant we make use one of the properties of a P.d.f name ly
∑ ∑ ( , )=1

⇒ 72 =1

1
⇒ =
72

b) . = {1,2,3,4,5}

1 2 3 4 5
( = ) 3 11 24 21 13
72 72 72 72 72
3
( = 1) = (0,1) =
72

6 5 11
( = 2) = (0,2) + (1,1) = + =
72 72 72

7 8 9 24
( = 3) = (0,3) + (1,2) + (2,1) = + + =
72 72 72 72

11 10 21
( = 4) = (1,3) + (2,2) = + =
72 72 72
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13
( = 5) = (2,3) =
72

ii. = {0,1,2,3}

0 1 2
( = ) 18 25 23
72 72 72
3 6 9 18
( = 0) = (0,1) + (0,2) + (0,3) = + + =
72 72 72 72

3 6 7 9 25
( = 1) = (1,1) + (1,2) + (2,1) + (1,3) = + + + =
72 72 72 72 72

10 13 23
( = 2) = (2,2) + (2,3) = + =
72 72 72

Functions of two-dimensional continuous random variable

In finding the pdf of = ( , ) it is often simplest to a second random variable, say =

( , ), and first obtain the joint pdf of Z and W, say ( , ). From a knowledge of
( , ) we can then obtain the desired pdf of Z, say ( ), by simply integrating ( , )
with respect to . That is ( )=∫ ( , )

Theorem: Suppose that (X,Y) is a two-dimensional continuous random variable with joint pdf
( , ). Let = ( , ) = ( , ), and assume that satisfy the following
conditions:

a) The equation = ( , ) = ( , ) may be uniquely solved for in terms of

, say = ( , ) = ( , ).

b) The partial derivatives , , exist and are continuous.

Then the joint pdf of ( , ), say ( , ), is given by the following expression:

( , ), ( , )
( , )= | ( , )|

where ( , ) is the following 2 2 determinant:

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( , )=

This determinant is called the Jacobian of the transformation ( , ) → ( , )

Distribution of sum, product and quotient of independent random variables

Among the most important functions of X and Y, we will consider the sum = +

, ℎ = , ℎ = .

Theorem: Let (X,Y) is a two-dimensional continuous random variable and assume that X and Y
are independent. Hence the joint pdf may be written as ( , )= ( ) ( ). let = .
Then the pdf of W, say ( ), is given by

1
( )= ( )

Proof:

Theorem: Let (X,Y) is a two-dimensional continuous random variable and assume that X and Y
are independent. Hence the joint pdf may be written as ( , )= ( ) ( ). let = . Then

the pdf of W, say ( ), is given by

( )= ( ) ( )| |

Proof:

Solution:

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