6.

Conditional Distributions and Expectations

6.6 GW, 6.3 &7.4 of HPS, 6.1-6.3 Pitman

1 Conditional probability (revision)

Example 1. A die is thrown as long as necessary for an ace to turn up. Assuming that
the ace does not turn up at the first throw, what is the (conditional) probability that more
than three throws will be necessary.
Example 2. Three dice are rolled. Given that no two show the same face, find the
conditional probability that at least one is an ace.
Example 3.
In a population where half are males and half are females, it is known that 5 men out of
100 and 25 women out of 10,000 are color blind. If a person is selected at random and
is found to be color blind, what is the conditional probability that the person is a male.
(Bayes rule)
Example 4. A random variable X has pdf 2x for 0 < x < 1. Find the conditional
probability that X is at least 3/4 given that it is at least 1/2.

2 Joint discrete case

Example 5. The random variables X1 , X2 , · · · , XN are independent Poisson with pa-
rameters λ1 , λ2 , · · · , λN respectively. Find the conditional distribution and conditional
expectation of X1 + X2 + · · · + Xk given X1 + X2 + · · · + XN = l. Here k < N .
Example 6. A fair 6-sided die is rolled repeatedly until a 6 is obtained. Find the expected
number of rolls conditioned on the event that none of the rolls yielded an odd number.

3 Joint continuous case

Let us suppose that X and Y are jointly continuous random variables with joint density
function fX,Y . We are given that X takes the value x. Given this information, we want
to find the distribution ofTY . We cannot calculate P (Y ≤ y | X = x) from the usual
formula P (A | B) = P (A B)/P (B) since P (B) = 0 in this case. So we condition on
the event that x ≤ X ≤ x + δx and take the limit as δx ↓ 0Ṫhus,
Z y
fX,Y (x, v)
lim P (Y ≤ y | x ≤ X ≤ x + δx) = dv = G(y)
δx↓0 −∞ fX (x)

G is a cumulative distribution function(cdf) with probability density function(pdf)

fX,Y (x, y)
g(y) =
fX (x)

1
We call G and g the ‘conditional distribution function’ and the ‘conditional density
function’ of Y given that X equals x. The above discussion is valid only for values
of x such that fX (x) > 0. Conditional expectation and variance are defined on this
conditional distribution g in the usual way.

Example 7. Let Y ∼ exp(λ) and λ varies as a random variable Λ ∼ Γ(α, β). Find the
marginal of Y and the conditional density of Λ given Y = y.
Example 8. Let X, Y be independent uniform (0, c). Find the conditional density and
conditional expectation of X given X + Y = z. Do the same when they are exp(λ).
Example 9. Let X, Y and Z be independent uniform (0, 1) and S = X + Y + Z. Find
the conditional density of S given Y = y and Z = z. Find the conditional density of
(Y, Z) given S = s.
Example 10. When (X, Y ) has joint density, show that E(X) = E(E(X | Y )) and
V ar(X) = E(V ar(X | Y )) + V ar(E(X | Y ))

Example 11. The triple (X, Y, Z) has density equal to 6 in the tetrahedron with vertices
(0, 0, 0), (1, 0, 0), (0, 1, 0) and (0, 0, 1). Find the conditional density of X given Y .

4 General case
Definition (X, Y ) having joint cdf F (a, b). The conditional cdf of Y given X means a
function Q(x, y) of 2 variables such that
1. For every fixed number x, Q(x, y) is a cdf in y.
2. We must be able to recover the joint cdf as F (a, b) = E(Q(X, b)I[−∞,a] X)
The random variable in the expectation is as follows: If a sample point ω is such that
X(ω) > a, then it is 0. If X(ω) ≤ a, then it is Q(X(ω), b).
We interpret Q(x, y) as the conditional probability of Y ≤ y given X = x. Thus,
given X = x, we have a legitimate cdf on the real line y → Q(x, y). Expected value of a
random variable having this cdf is E(Y | X = x). Variance of a random variable having
this cdf is the conditional variance of Y given X = x, that is, V ar(Y | X = x).
If X and Y are independent, then the conditional distribution of Y given any value
of X is same as the marginal distribution of Y , which is to say that information about
X is irrelevant when studying Y .
Example 12. In the case of joint pdf and joint pmf, show that the old definitions of
conditional distribution satisfy the new definition.

Example 13. Suppose that Y is a discrete random variable having distribution Bin(n, p).
Suppose p itself varies as random variable Π having Beta density with parameters a and
b. Find the conditional density of Π given Y = y.