Bivariate Distributions

Joint Distribution function: Let X and Y be two random variables defined on the same probability space
(𝛺, 𝐴̃, 𝑃[. ]). Then (X, Y) is called a two-dimensional random variable. The joint cumulative distribution
function or joint distribution function of X and Y, denoted by 𝐹𝑋,𝑌 (𝑥, 𝑦), is defined as

𝐹𝑋,𝑌 (𝑥, 𝑦) = 𝑃[𝑋 ≤ 𝑥, 𝑌 ≤ 𝑦] ∀ 𝑥, 𝑦 ∈ 𝑅.

It may be observed that the joint distribution function is a function of two variables and its domain is the
xy-plane. Sometimes we write 𝐹𝑋,𝑌 (𝑥, 𝑦) 𝑎𝑠 𝐹(𝑥, 𝑦).

Properties of Joint Distribution function:

1. If 𝑥1 < 𝑥2 𝑎𝑛𝑑 𝑦1 < 𝑦2 , then (rectangle rule)

𝑃[𝑥1 < 𝑋 ≤ 𝑥2 , 𝑦1 < 𝑌 ≤ 𝑦2 ] = 𝐹(𝑥2 , 𝑦2 ) − 𝐹(𝑥2 , 𝑦1 ) − 𝐹(𝑥1 , 𝑦2 ) + 𝐹(𝑥1 , 𝑦1 ) ≥ 0

2. (a). 𝐹(−∞, 𝑦) = lim 𝐹(𝑥, 𝑦) = 0 ∀ 𝑦 ∈ 𝑅.

𝑥→−∞

(b). 𝐹(𝑥, −∞) = lim 𝐹(𝑥, 𝑦) = 0 ∀ 𝑥 ∈ 𝑅.

𝑦→−∞

(c). 𝐹(𝑥, −∞) = lim . 𝐹(𝑥, 𝑦) = 1.

𝑥→∞
𝑦 →∞

3. 𝐹(𝑥, 𝑦) is right continuous in each argument i.e.

lim 𝐹(𝑥 + ℎ, 𝑦) = lim 𝐹(𝑥, 𝑦 + ℎ) = 𝐹(𝑥, 𝑦).

ℎ→0+ ℎ→0+

Remark: Any function of two variables which fails to satisfy one of the above three conditions is not a

joint distribution function.

𝑒 −(𝑥+𝑦) , 𝑥 ≥ 0, 𝑦 ≥ 0
Example 1. Show that the bivariate function: 𝐹(𝑥, 𝑦) = { is not a joint
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒,

distribution function.

Solution: lim . 𝐹(𝑥, 𝑦) = lim . 𝑒−(𝑥+𝑦) = lim 𝑒−𝑥 . lim 𝑒−𝑦 = 0 ≠ 1

𝑥→∞ 𝑥→∞ 𝑥→∞ 𝑦→∞
𝑦 →∞ 𝑦 →∞

Hence, 𝐹(𝑥, 𝑦) is not a joint distribution function.

Marginal cumulative distribution function: If 𝐹𝑋,𝑌 (𝑥, 𝑦) is the joint cumulative distribution function of

two random variables X and Y, then 𝐹𝑋 (𝑥, 𝑦) 𝑎𝑛𝑑 𝐹𝑌 (𝑥, 𝑦) are called marginal distribution functions of X

and Y respectively, are defined as

𝐹𝑋 (𝑥) = 𝑃[𝑋 ≤ 𝑥] = 𝑃[𝑋 ≤ 𝑥, 𝑌 < ∞] = lim 𝐹𝑋,𝑌 (𝑥, 𝑦) = 𝐹𝑋,𝑌 (𝑥, ∞).
𝑦→∞
 𝐹𝑌 (𝑦) = 𝑃[𝑌 ≤ 𝑦] = 𝑃[𝑋 < ∞, 𝑌 ≤ 𝑦] = lim 𝐹𝑋,𝑌 (𝑥, 𝑦) = 𝐹𝑋,𝑌 (∞, 𝑦).
𝑥→∞

Remark: 𝐹𝑋 (−∞) = 0, 𝐹𝑋 (∞) = 1, 𝐹𝑌 (−∞) = 0 𝑎𝑛𝑑 𝐹𝑌 (∞) = 1.

Joint Discrete Density function: If X and Y are jointly discrete random variables, then the joint discrete

density function of X and Y, defined as

𝑓𝑋,𝑌 (𝑥, 𝑦) = 𝑃[𝑋 = 𝑥, 𝑌 = 𝑦] = 𝑃[𝑋 = 𝑥 ∩ 𝑌 = 𝑦].

 𝑓𝑋 (𝑥) 𝑎𝑛𝑑 𝑓𝑌 (𝑦) are called marginal density functions of X and Y respectively, are defined as

𝑓𝑋 (𝑥) = 𝑃[𝑋 = 𝑥] 𝑎𝑛𝑑 𝑓𝑌 (𝑦) = 𝑃[𝑌 = 𝑦].

 Conditional discrete density function of Y given 𝑋 = 𝑥, denoted by 𝑓𝑌|𝑋 (𝑦|𝑥), is defined as

𝑓𝑋,𝑌 (𝑥,𝑦) 𝑃[𝑋=𝑥,𝑌=𝑦]

𝑓𝑌|𝑋 (𝑦|𝑥) = 𝑓𝑋 (𝑥)
= 𝑃[𝑋=𝑥]
, 𝑖𝑓 𝑓𝑋 (𝑥) > 0.

 Conditional discrete density function of X given 𝑌 = 𝑦, denoted by 𝑓𝑋|𝑌 (𝑥|𝑦), is defined as

𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑃[𝑋 = 𝑥, 𝑌 = 𝑦]

𝑓𝑋|𝑌 (𝑥|𝑦) = = , 𝑖𝑓 𝑓𝑌 (𝑦) > 0
𝑓𝑌 (𝑦) 𝑃[𝑌 = 𝑦]

 If X and Y are independent discrete random variable, then

𝑓𝑋,𝑌 (𝑥, 𝑦) = 𝑃[𝑋 = 𝑥, 𝑌 = 𝑦] = 𝑓𝑋 (𝑥). 𝑓𝑌 (𝑦) = 𝑃[𝑋 = 𝑥]. 𝑃[𝑌 = 𝑦] ∀ (𝑥, 𝑦) 𝑜𝑓 (𝑋, 𝑌)

The joint probability function of X and Y is usually represented in the form of the following table:

Y 𝒚𝟏 𝒚𝟐 … 𝒚𝒋 … 𝒚𝒎 𝒇𝑿 (𝒙)
X
𝒙𝟏 𝑝11 𝑝12 … 𝑝1𝑗 … 𝑝1𝑚 𝑓𝑋 (𝑥1 )

𝒙𝟐 𝑝21 𝑝22 … 𝑝2𝑗 … 𝑝2𝑚 𝑓𝑋 (𝑥2 )

…

𝒙𝒊 𝑝𝑖1 𝑝𝑖2 … 𝑝𝑖𝑗 … 𝑝𝑖𝑚 𝑓𝑋 (𝑥𝑖 )

…

𝒙𝒏 𝑝𝑛1 𝑝𝑛2 … 𝑝𝑛𝑗 … 𝑝𝑛𝑚 𝑓𝑋 (𝑥𝑛 )

𝒇𝒀 (𝒚) 𝑓𝑌 (𝑦1 ) 𝑓𝑌 (𝑦2 ) … 𝑓𝑌 (𝑦𝑗 ) … 𝑓𝑌 (𝑦𝑚 ) 1

From the following table we conclude that:

i. 𝑝𝑖𝑗 = 𝑓𝑋,𝑌 (𝑥𝑖 , 𝑦𝑗 ) = 𝑃[𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑗 ] = 𝑃[𝑋 = 𝑥𝑖 ∩ 𝑌 = 𝑦𝑗 ] is the joint discrete density function

of X and Y.

ii. 𝑓𝑋 (𝑥𝑖 ) = 𝑃[𝑋 = 𝑥𝑖 ] = ∑𝑚

𝑗=1 𝑝𝑖𝑗 is the marginal discrete density function of X.

iii. 𝑓𝑌 (𝑦𝑗 ) = 𝑃[𝑌 = 𝑦𝑗 ] = ∑𝑛𝑖=1 𝑝𝑖𝑗 is the marginal discrete density function of Y.

iv. ∑𝑚 𝑛 𝑛 𝑚
𝑗=1 𝑓𝑌 (𝑦𝑗 ) = ∑𝑖=1 𝑓𝑋 (𝑥𝑖 ) = ∑𝑖=1 ∑𝑗=1 𝑝𝑖𝑗 = 1.

Expectation: Let (X, Y) be a two dimensional discrete random variable with joint discrete density

𝑓𝑋,𝑌 (𝑥, 𝑦). The expectation or expected value of a function 𝑔(𝑋, 𝑌), denoted as 𝐸[𝑔(𝑋, 𝑌)], is defined as

𝐸[𝑔(𝑋, 𝑌)] = ∑𝑥 ∑𝑦 𝑔(𝑥, 𝑦). 𝑓𝑋,𝑌 (𝑥, 𝑦).

## In particular, 𝐸[𝑋𝑌] = ∑𝑥 ∑𝑦 𝑥𝑦. 𝑓𝑋,𝑌 (𝑥, 𝑦), 𝐸[𝑋] = ∑𝑥 𝑥. 𝑓𝑋 (𝑥) and 𝐸[𝑌] = ∑𝑦 𝑦. 𝑓𝑌 (𝑦).

Covariance: Let X and Y be two random variables defined on the same probability space. The

covariance of X and Y, denoted as 𝑐𝑜𝑣(𝑋, 𝑌), is defined as

𝑐𝑜𝑣(𝑋, 𝑌) = 𝐸[{𝑋 − 𝐸[𝑋]}{𝑌 − 𝐸[𝑌]}] OR

𝑐𝑜𝑣(𝑋, 𝑌) = 𝐸[𝑋𝑌] − 𝐸[𝑋]. 𝐸[𝑌]

Correlation coefficient: The correlation coefficient of two random variables X and Y, denoted by 𝜌(𝑋, 𝑌),

𝑐𝑜𝑣(𝑋,𝑌) 𝑐𝑜𝑣(𝑋,𝑌)
is defined as 𝜌(𝑋, 𝑌) = = , where 𝜎𝑋 > 0 and 𝜎𝑌 > 0.
√𝑣𝑎𝑟[𝑋].𝑣𝑎𝑟[𝑌] √𝜎𝑋 .𝜎𝑌

# It can be verify that −1 ≤ 𝜌(𝑋, 𝑌) ≤ 1.

## Two random variables X and Y are uncorrelated if

𝜌(𝑋, 𝑌) = 0 𝑜𝑟 𝑐𝑜𝑣(𝑋, 𝑌) = 0

⟹ X and Y are independent random variables.

Conditional Expectation: Let (𝑋, 𝑌) be a two dimensional discrete random variable with joint discrete

density 𝑓𝑋,𝑌 (𝑥, 𝑦), then the conditional expectation of 𝑔(𝑋, 𝑌) given 𝑋 = 𝑥, denoted by 𝐸[𝑔(𝑋, 𝑌)|𝑋 = 𝑥],

is defined as 𝐸[𝑔(𝑋, 𝑌)|𝑋 = 𝑥] = ∑𝑗 𝑔(𝑥, 𝑦𝑗 ). 𝑓𝑌|𝑋 (𝑦𝑗 |𝑥).

In particular, 𝐸[𝑌|𝑋 = 𝑥] = ∑𝑗 𝑦𝑗 . 𝑓𝑌|𝑋 (𝑦𝑗 |𝑥) = ∑𝑗 𝑦𝑗 . 𝑃[𝑌 = 𝑦𝑗 |𝑋 = 𝑥].

Example 1.

X and Y have joint p.d.f.: Y −𝟏 𝟎 1

X
Find (i) marginal distribution of X and Y, 𝟎 𝑎 2𝑎 a
𝟏 3𝑎 2𝑎 a
(ii) Conditional distribution of X given Y = 2.
2 2a a 2a
1
Solution: As 𝑓𝑋,𝑌 (𝑥, 𝑦) is a p.d.f. ⟹ 15𝑎 = 1 ⟹ 𝑎 = 15
.

X −𝟏 𝟎 1 𝑓𝑌 (𝑦) (i) Marginal distribution of X. From the table, we get,

Y
𝟎 𝑎 2𝑎 a 4a 𝑓𝑋 (−1) = 6𝑎, 𝑓𝑋 (0) = 5𝑎 𝑎𝑛𝑑 𝑓𝑋 (1) = 4𝑎.
𝟏 3𝑎 2𝑎 a 6a
Marginal distribution of X. From the table, we get,
2 2a a 2a 5a
𝑓𝑋 (𝑥) 6a 5a 4a 15a 𝑓𝑌 (0) = 4𝑎, 𝑓𝑌 (1) = 6𝑎 𝑎𝑛𝑑 𝑓𝑌 (2) = 5𝑎.

(ii) Conditional distribution of X given Y = 2 is obtained as

𝑃[𝑋=𝑥∩𝑌=2]
𝑓𝑋|𝑌 (𝑋 = 𝑥|𝑦 = 2) = 𝑃[𝑌=2]
.

𝑃[𝑋=−1∩𝑌=2] 2𝑎 2
Therefore, 𝑓𝑋|𝑌 (𝑋 = −1|𝑦 = 2) = 𝑃[𝑌=2]
= 5𝑎 = 5.

𝑃[𝑋=0∩𝑌=2] 𝑎 1
𝑓𝑋|𝑌 (𝑋 = 0|𝑦 = 2) = = = .
𝑃[𝑌=2] 5𝑎 5

𝑃[𝑋=1∩𝑌=2] 2𝑎 2
𝑓𝑋|𝑌 (𝑋 = 1|𝑦 = 2) = 𝑃[𝑌=2]
= 5𝑎 = 5.

Example 2. Two tetrahedral with sides numbered 1 to 4 are tossed. Let X denote the number on the

downturned face of the first tetrahedron and Y the larger of the downturned numbers. Find

i. The joint density function of X and Y.

ii. The marginal density functions of X and Y.

iii. 𝑃[𝑋 ≤ 2, 𝑌 ≤ 3].

iv. The conditional distribution of Y given X = 2 and X = 3.

v. 𝐸[𝑌|𝑋 = 2] 𝑎𝑛𝑑 𝐸[𝑌|𝑋 = 3].

vi. 𝜌(𝑋, 𝑌).

Solution: (i) From the two tetrahedrons, total number of outputs (First face number, second face number)

are as follows:
(1, 1), (1, 2), (1, 3), (1, 4), (2, 1), (2, 2), (2, 3), (2, 4), (3, 1), (3, 2), (3, 3), (3, 4), (4, 1), (4, 2), (4, 3), (4, 4).

It is given that X denotes the number on the downturned face on the first tetrahedron and Y the larger of

the numbers on the two downturned faces. Then (X, Y) takes the values:

(1, 1), (1, 2), (1, 3), (1, 4), (2, 2), (2, 3), (2, 4), (3, 3), (3, 4), (4, 4).

The joint discrete density function of X and Y is given below:

(x, y) (1, 1) (1, 2) (1, 3) (1, 4) (2, 2) (2, 3) (2, 4) (3, 3) (3, 4) (4, 4)

𝑓𝑋,𝑌 (𝑥, 𝑦) 1/16 1/16 1/16 1/16 2/16 1/16 1/16 3/16 1/16 4/16

We can also write the above data as follows:

Y 1 2 3 4 𝒇𝑿 (𝒙)
X
1 1 1 1 4
1
16 16 16 16 16

2 1 1 4
2 0
16 16 16 16

3 1 4
3 0 0
16 16 16

4 4
4 0 0 0
16 16

1 3 5 7
𝒇𝒀 (𝒚) 1
16 16 16 16

(ii) Marginal distribution of X, From the above table, we get

4 4 4 4
𝑓𝑋 (1) = 16 , 𝑓𝑋 (2) = 16 , 𝑓𝑋 (3) = 16 𝑎𝑛𝑑 𝑓𝑋 (4) = 16 .

(iii) Marginal distribution of Y, From the above table, we get

1 3 5 7
𝑓𝑌 (1) = 16 , 𝑓𝑌 (2) = 16 , 𝑓𝑌 (3) = 16 𝑎𝑛𝑑 𝑓𝑌 (4) = 16 .

(iv) 𝑃[𝑋 ≤ 2, 𝑌 ≤ 3] = 𝑃[𝑋 = 1, 𝑌 = 1] + 𝑃[𝑋 = 1, 𝑌 = 2] + 𝑃[𝑋 = 1, 𝑌 = 3]

+𝑃[𝑋 = 2, 𝑌 = 1] + 𝑃[𝑋 = 2, 𝑌 = 2] + 𝑃[𝑋 = 2, 𝑌 = 3]

1 1 1 2 1 3
𝑃[𝑋 ≤ 2, 𝑌 ≤ 3] = 16 + 16 + 16 + 0 + 16 + 16 = 8 .

(v) The conditional distribution of Y given X = 2, we have

 𝑃[𝑌=𝑦 ∩ 𝑋=2]
𝑃[𝑌 = 𝑦|𝑋 = 2] = 𝑃[𝑋=2]
.

𝑃[𝑌=1 ∩ 𝑋=2] 0
Now 𝑃[𝑌 = 1|𝑋 = 2] = 𝑃[𝑋=2]
= 4 = 0.
16

2
𝑃[𝑌=2 ∩ 𝑋=2] 16 1
𝑃[𝑌 = 2|𝑋 = 2] = 𝑃[𝑋=2]
= 4 =2.
16

1
𝑃[𝑌=3 ∩ 𝑋=2] 16 1
𝑃[𝑌 = 3|𝑋 = 2] = 𝑃[𝑋=2]
= 4 =4.
16

1
𝑃[𝑌=4 ∩ 𝑋=2] 16 1
𝑃[𝑌 = 4|𝑋 = 2] = = 4 = .
𝑃[𝑋=2] 4
16

The conditional distribution of Y given X = 3, we have

𝑃[𝑌=𝑦 ∩ 𝑋=3]
𝑃[𝑌 = 𝑦|𝑋 = 3] = .
𝑃[𝑋=3]

𝑃[𝑌=1 ∩ 𝑋=3] 0
Now 𝑃[𝑌 = 1|𝑋 = 3] = 𝑃[𝑋=3]
= 4 = 0.
16

𝑃[𝑌=2 ∩ 𝑋=3] 0
𝑃[𝑌 = 2|𝑋 = 3] = 𝑃[𝑋=3]
= 4 = 0.
16

3
𝑃[𝑌=3 ∩ 𝑋=3] 16 3
𝑃[𝑌 = 3|𝑋 = 3] = 𝑃[𝑋=3]
= 4 =4.
16

1
𝑃[𝑌=4 ∩ 𝑋=3] 16 1
𝑃[𝑌 = 4|𝑋 = 3] = 𝑃[𝑋=3]
= 4 =4.
16

(vi) Now conditional expectation 𝐸[𝑌|𝑋 = 2] = ∑𝑗 𝑦𝑗 . 𝑃[𝑌 = 𝑦𝑗 |𝑋 = 2]

= 1. 𝑃[𝑌 = 1|𝑋 = 2] + 2. 𝑃[𝑌 = 2|𝑋 = 2] + 3. 𝑃[𝑌 = 3|𝑋 = 2] + 4. 𝑃[𝑌 = 4|𝑋 = 2]

1 1 1 11
= 1.0 + 2. + 3. + 4. = .
2 4 4 4

Again conditional expectation 𝐸[𝑌|𝑋 = 3] = ∑𝑗 𝑦𝑗 . 𝑃[𝑌 = 𝑦𝑗 |𝑋 = 3]

= 1. 𝑃[𝑌 = 1|𝑋 = 3] + 2. 𝑃[𝑌 = 2|𝑋 = 3] + 3. 𝑃[𝑌 = 3|𝑋 = 3] + 4. 𝑃[𝑌 = 4|𝑋 = 3]

3 1 13
= 1.0 + 2.0 + 3. + 4. = .
4 4 4

(vii) Now we have to find 𝜌(𝑋, 𝑌) i.e. the correlation coefficient between X and Y. From the table, we have

4 4 4 4 5
𝐸[𝑋] = ∑𝑥 𝑥. 𝑓𝑋 (𝑥) = 1 × 16 + 2 × 16 + 3 × 16 + 4 × 16 = 2 .

4 4 4 4 15
𝐸[𝑋 2 ] = ∑𝑥 𝑥 2 . 𝑓𝑋 (𝑥) = 1 × 16 + 4 × 16 + 9 × 16 + 16 × 16 = 2
.
 1 3 5 7 25
𝐸[𝑌] = ∑𝑦 𝑦. 𝑓𝑌 (𝑦) = 1 × 16 + 2 × 16 + 3 × 16 + 4 × 16 = 8
.

1 3 5 7 85
𝐸[𝑌 2 ] = ∑𝑦 𝑦 2 . 𝑓𝑌 (𝑦) = 1 × 16 + 4 × 16 + 9 × 16 + 16 × 16 = 8
.

𝐸[𝑋𝑌] = ∑ ∑ 𝑥𝑦. 𝑓𝑋,𝑌 (𝑥, 𝑦)

𝑥 𝑦

1 1 1 1 2 1 1
= (1 × 16 + 2 × 16 + 3 × 16 + 4 × 16) + (2 × 0 + 4 × 16 + 6 × 16 + 8 × 16).

3 1 4
+ (3 × 0 + 6 × 0 + 9 × 16 + 12 × 16) + (4 × 0 + 8 × 0 + 12 × 0 + 16 × 16).

135
𝐸[𝑋𝑌] = 16
.

15 5 2 5
𝑣𝑎𝑟[𝑋] = 𝐸[𝑋 2 ] − (𝐸[𝑋])2 = 2
− (2
) =4.

85 25 2 55
𝑣𝑎𝑟[𝑌] = 𝐸[𝑌 2 ] − (𝐸[𝑌])2 = 8
− ( 8
) = 64 .

135 5 25 5
𝑐𝑜𝑣(𝑋, 𝑌) = 𝐸[𝑋𝑌] − 𝐸[𝑋]. 𝐸[𝑌] = − . = .
16 2 8 8

5
𝑐𝑜𝑣(𝑋,𝑌) 8 2
Hence 𝜌(𝑋, 𝑌) = = =
√𝑣𝑎𝑟[𝑋].𝑣𝑎𝑟[𝑌] 5 55
√ . √11
4 64

Exercises:

1. For the following bivariate probability distribution of X and Y:

𝑌 1 2 3 4 5 6 Find: (i) 𝑃[𝑋 ≤ 1, 𝑌 = 2], (ii) 𝑃[𝑋 ≤ 1]

𝑋
0 0 0 1/32 2/32 2/32 3/32 (iii) 𝑃[𝑌 = 3], (iv) 𝑃[ 𝑌 ≤ 3] and
1 1/16 1/16 1/8 1/8 1/8 1/8
2 1/32 1/32 1/64 1/64 0 2/64 (v) 𝑃[𝑋 < 3, 𝑌 ≤ 4]

Ans. 1/16, 7/8, 11/64, 23/64 and 9/16.

2. Consider two tetrahedral with sides numbered 1 to 4. Let X denote the smaller of the two downturned

numbers and Y the larger. (i) Find the joint density function of X and Y, (ii) find 𝑃[𝑋 ≥ 2, 𝑌 ≥ 2], (iii)

Find the mean and variance of X and Y, (iv) Find the conditional distribution of Y given X for each of

the possible values of X, and (v) Find the correlation coefficient of X and Y.

Ans. (i) Hint: 𝑋 ≤ 𝑌 always (ii) 9/16 (iii) 55/64 (iv) 0, 1/5, 2/5, 2/5, 0, 0, 0, 1 and other self (v) 5/11.
3. Three fair coins are tossed. Let X denote the number of heads on the first two coins, and let Y denote

the numbers of tails on the last two coins. (i) Find the joint distribution of X and Y. (ii) Find the

conditional distribution of Y given X = 1. (iii) Find cov (X, Y), and (iv) Find correlation coefficient of

X and Y. Ans. (i) self (ii) ¼, ½, ¼ (iii) -1/4 (iv) -0.5

Joint Continuous Density function: A two dimensional random variable (X, Y) is said to be continuous

if and only if there exists a function 𝑓𝑋,𝑌 (𝑥, 𝑦) ≥ 0 𝑜𝑟 𝑠𝑖𝑚𝑝𝑙𝑦 𝑓(𝑥, 𝑦) ≥ 0 such that
𝑥 𝑦
𝐹𝑋,𝑌 (𝑥, 𝑦) = ∫−∞ ∫−∞ 𝑓𝑋,𝑌 (𝑢, 𝑣) 𝑑𝑢𝑑𝑣 for all (𝑥, 𝑦) ∈ 𝑅 2

The function 𝐹𝑋,𝑌 (𝑥, 𝑦) = 𝑃[𝑋 ≤ 𝑥, 𝑌 ≤ 𝑦] is joint distribution function of X and Y. The function

𝑓𝑋,𝑌 (𝑥, 𝑦) is joint probability density function of X and Y which satisfies the following properties:

i. 𝑓𝑋,𝑌 (𝑥, 𝑦) ≥ 0 𝑓𝑜𝑟 𝑎𝑙𝑙 (𝑥, 𝑦) ∈ 𝑅 2

∞ ∞
ii. ∫−∞ ∫−∞ 𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑑𝑥𝑑𝑦 = 1.

 𝑓𝑋 (𝑥) 𝑎𝑛𝑑 𝑓𝑌 (𝑦) are called marginal density functions of X and Y respectively, are defined as
∞ ∞
𝑓𝑋 (𝑥) = ∫−∞ 𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑑𝑦 𝑎𝑛𝑑 𝑓𝑌 (𝑦) = ∫−∞ 𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑑𝑥.

 Conditional continuous density function of Y given 𝑋 = 𝑥, denoted by 𝑓𝑌|𝑋 (𝑦|𝑥), is defined as

𝑓𝑋,𝑌 (𝑥,𝑦)
𝑓𝑌|𝑋 (𝑦|𝑥) = 𝑓𝑋 (𝑥)
, 𝑖𝑓 𝑓𝑋 (𝑥) > 0.

 Conditional discrete density function of X given 𝑌 = 𝑦, denoted by 𝑓𝑋|𝑌 (𝑥|𝑦), is defined as

𝑓𝑋,𝑌 (𝑥, 𝑦)
𝑓𝑋|𝑌 (𝑥|𝑦) = , 𝑖𝑓 𝑓𝑌 (𝑦) > 0
𝑓𝑌 (𝑦)

 If X and Y are independent continuous random variables, then

𝑓𝑋,𝑌 (𝑥, 𝑦) = 𝑓𝑋 (𝑥). 𝑓𝑌 (𝑦) ∀ (𝑥, 𝑦) 𝑜𝑓 (𝑋, 𝑌)

Expectation: Let (X, Y) be a two dimensional continuous random variables with joint probability density

function 𝑓𝑋,𝑌 (𝑥, 𝑦). The expectation or expected value of a function 𝑔(𝑋, 𝑌), denoted as 𝐸[𝑔(𝑋, 𝑌)], is

defined as
∞ ∞
𝐸[𝑔(𝑋, 𝑌)] = ∫−∞ ∫−∞ 𝑔(𝑥, 𝑦). 𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑑𝑥𝑑𝑦.
 ∞ ∞ ∞ ∞
## In particular, 𝐸[𝑋𝑌] = ∫−∞ ∫−∞ 𝑥𝑦. 𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑑𝑥𝑑𝑦, 𝐸[𝑋] = ∫−∞ ∫−∞ 𝑥. 𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑑𝑥𝑑𝑦 and

∞ ∞
𝐸[𝑌] = ∫−∞ ∫−∞ 𝑦. 𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑑𝑥𝑑𝑦.

Conditional Expectation: Let (𝑋, 𝑌) be a two dimensional continuous random variable with joint

continuous density function 𝑓𝑋,𝑌 (𝑥, 𝑦), then the conditional expectation of 𝑔(𝑋, 𝑌) given 𝑋 = 𝑥, denoted
∞
by 𝐸[𝑔(𝑋, 𝑌)|𝑋 = 𝑥], is defined as 𝐸[𝑔(𝑋, 𝑌)|𝑋 = 𝑥] = ∫−∞ 𝑔(𝑥, 𝑦). 𝑓𝑌|𝑋 (𝑦|𝑥) 𝑑𝑦.

∞
In particular, 𝐸[𝑌|𝑋 = 𝑥] = ∫−∞ 𝑦. 𝑓𝑌|𝑋 (𝑦|𝑥) 𝑑𝑦.

Regression curve:

1. The relation 𝑦 = 𝐸[𝑌|𝑋 = 𝑥] is called the regression curve of Y on 𝑋 = 𝑥.

2. The relation 𝑥 = 𝐸[𝑋|𝑌 = 𝑦] is called the regression curve of X on 𝑌 = 𝑦.

Example 1. Find 𝑘 so that 𝑓(𝑥, 𝑦) = 𝑘𝑥𝑦, 1 ≤ 𝑥 ≤ 𝑦 ≤ 2 will be a joint probability density function.

∞ ∞ 2 2 2 1
Solution: We have 1 = ∫−∞ ∫−∞ 𝑓(𝑥, 𝑦) 𝑑𝑥𝑑𝑦 = ∫1 ∫𝑥 𝑘𝑥𝑦 𝑑𝑦𝑑𝑥 = ∫1 𝑥. 2 (4 − 𝑥 2 ) 𝑑𝑥 = 9𝑘/8

⟹ 𝑘 = 8/9.

(𝑥 + 𝑦), 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 1
Example 2. Let the joint p.d.f. of X and Y be 𝑓(𝑥, 𝑦) = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒.
1 1
Find (i) 𝑃 [0 < 𝑋 < 2 , 0 < 𝑌 < 4], (ii) 𝐸[𝑋], 𝐸[𝑌], 𝐸[𝑋𝑌] 𝑎𝑛𝑑 𝐸[𝑋 + 𝑌] (iii) 𝜎(𝑋, 𝑌).

1 1
1 1
Solution: We have 𝑃 [0 < 𝑋 < 2 , 0 < 𝑌 < 4] = ∫02 [∫04(𝑥 + 𝑦) 𝑑𝑦] 𝑑𝑥

1/2 1 1/4 1/2 1 1 3

= ∫0 |𝑥𝑦 + 2 𝑦 2 | 𝑑𝑥 = ∫0 (4 𝑥 + 32) 𝑑𝑥 = 64 .
0

∞ ∞ 1 1 1 1 7
Now 𝐸[𝑋] = ∫−∞ ∫−∞ 𝑥. 𝑓(𝑥, 𝑦) 𝑑𝑥𝑑𝑦 = ∫0 ∫0 𝑥. (𝑥 + 𝑦) 𝑑𝑥𝑑𝑦 = ∫0 (𝑥 2 + 2 𝑥) 𝑑𝑥 = 12 .

∞ ∞ 1 1 7
Similarly, 𝐸[𝑌] = ∫−∞ ∫−∞ 𝑦. 𝑓(𝑥, 𝑦) 𝑑𝑥𝑑𝑦 = ∫0 ∫0 𝑦. (𝑥 + 𝑦) 𝑑𝑥𝑑𝑦 = 12 .

∞ ∞ 1 1 1
Now 𝐸[𝑋𝑌] = ∫−∞ ∫−∞ 𝑥𝑦. 𝑓(𝑥, 𝑦) 𝑑𝑥𝑑𝑦 = ∫0 ∫0 𝑥𝑦. (𝑥 + 𝑦) 𝑑𝑥𝑑𝑦 = .
3

∞ ∞ 1 1
7
𝐸[𝑋 + 𝑌] = ∫ ∫ (𝑥 + 𝑦). 𝑓(𝑥, 𝑦) 𝑑𝑥𝑑𝑦 = ∫ ∫(𝑥 + 𝑦). (𝑥 + 𝑦) 𝑑𝑥𝑑𝑦 = .
6
−∞ −∞ 0 0

1
We have 𝑐𝑜𝑣[𝑋, 𝑌] = 𝐸[𝑋𝑌] − 𝐸[𝑋]. 𝐸[𝑌] = − 144 .
 ∞ ∞ 1 1
2]
5
𝐸[𝑋 = ∫ ∫ 𝑥 . 𝑓(𝑥, 𝑦) 𝑑𝑥𝑑𝑦 = ∫ ∫ 𝑥 2 . (𝑥 + 𝑦) 𝑑𝑥𝑑𝑦 =
2
.
12
−∞ −∞ 0 0

∞ ∞ 1 1
5
𝐸[𝑌 2 ] = ∫ ∫ 𝑦 2 . 𝑓(𝑥, 𝑦) 𝑑𝑥𝑑𝑦 = ∫ ∫ 𝑦 2 . (𝑥 + 𝑦) 𝑑𝑥𝑑𝑦 = .
12
−∞ −∞ 0 0

5 7 2 11
Now 𝑣𝑎𝑟[𝑋] = 𝐸[𝑋 2 ] − (𝐸[𝑋])2 = 12 − (12) = 144 .

11
𝑣𝑎𝑟[𝑌] = 𝐸[𝑌 2 ] − (𝐸[𝑌])2 = 144 .

1
𝑐𝑜𝑣(𝑋,𝑌) − 1
144
Hence 𝜌(𝑋, 𝑌) = = =− .
√𝑣𝑎𝑟[𝑋].𝑣𝑎𝑟[𝑌] 11 11 11
√ .
144 144

8𝑥𝑦, 𝑓𝑜𝑟 0 < 𝑥 < 𝑦 < 1

Example 3. Let the joint density function of X and Y be given by 𝑓(𝑥, 𝑦) = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒,

Find (i) 𝐸[𝑌|𝑋 = 𝑥], (ii) 𝐸[𝑋𝑌|𝑋 = 𝑥], (iii) 𝑣𝑎𝑟[𝑌|𝑋 = 𝑥] and (iv) regression curve of Y on 𝑋.

Solution: The marginal distribution of X and Y are given by

∞ 1

𝑓𝑋 (𝑥) = ∫ 𝑓(𝑥, 𝑦) 𝑑𝑦 = ∫ 8𝑥𝑦 𝑑𝑦 = 4𝑥(1 − 𝑥 2 ), 0 < 𝑥 < 1,

−∞ 𝑥

∞ 𝑦
𝑎𝑛𝑑 𝑓𝑌 (𝑦) = ∫−∞ 𝑓𝑋,𝑌 (𝑥, 𝑦) 𝑑𝑥 = ∫0 8𝑥𝑦 𝑑𝑥 = 4𝑦 3 , 0 < 𝑦 < 1.

We note that 𝑓(𝑥, 𝑦) ≠ 𝑓𝑋 (𝑥). 𝑓𝑌 (𝑦). Thus X and Y are not independent.

The conditional distribution of Y given X = x is given by

𝑓𝑋,𝑌 (𝑥,𝑦) 8𝑥𝑦 2𝑦

𝑓𝑌|𝑋 (𝑦|𝑥) = 𝑓𝑋 (𝑥)
= 4𝑥(1−𝑥2 ) = (1−𝑥2 ) , 0 < 𝑥 < 𝑦 < 1.

1 1 2𝑦 2(1−𝑥 3 )
Therefore, 𝐸[𝑌|𝑋 = 𝑥] = ∫𝑦=𝑥 𝑦. 𝑓𝑌|𝑋 (𝑦|𝑥) 𝑑𝑦 = ∫𝑦=𝑥 𝑦. (1−𝑥2 ) 𝑑𝑦 =
3(1−𝑥 2 )

2(1+𝑥+𝑥 2 )
= 3(1+𝑥)
, 𝑓𝑜𝑟 0 < 𝑥 < 1.

1 1
2𝑦
𝐸[𝑌 2 |𝑋 = 𝑥] = ∫ 𝑦 2 . 𝑓𝑌|𝑋 (𝑦|𝑥) 𝑑𝑦 = ∫ 𝑦2. 𝑑𝑦
𝑦=𝑥 𝑦=𝑥 (1 − 𝑥 2 )

(1+𝑥 2 )
= , 𝑓𝑜𝑟 0 < 𝑥 < 1.
2

𝑣𝑎𝑟[𝑌|𝑋 = 𝑥] = 𝐸[𝑌 2 |𝑋 = 𝑥] − (𝐸[𝑌|𝑋 = 𝑥])2

 2
(1+𝑥 2 ) 2(1+𝑥+𝑥 2 ) (𝑥−1)2 (1+4𝑥+𝑥 2 )
= 2
−( 3(1+𝑥)
) = 18(1+𝑥)2
, 𝑓𝑜𝑟 0 < 𝑥 < 1.

1 1 2𝑦 1 2𝑦
Further, 𝐸[𝑋𝑌|𝑋 = 𝑥] = ∫𝑦=𝑥 𝑥𝑦. 𝑓𝑌|𝑋 (𝑦|𝑥) 𝑑𝑦 = ∫𝑦=𝑥 𝑥𝑦. (1−𝑥2 ) 𝑑𝑦 = 𝑥 ∫𝑦=𝑥 𝑦. (1−𝑥2 ) 𝑑𝑦

2𝑥(1+𝑥+𝑥 2 )
= 𝑥. 𝐸[𝑌|𝑋 = 𝑥] = 3(1+𝑥)
, 𝑓𝑜𝑟 0 < 𝑥 < 1.

Now the regression curve of 𝑌 𝑜𝑛 𝑋 = 𝑥 𝑖𝑠 𝑦 = 𝐸[𝑌|𝑋 = 𝑥]

2(1+𝑥+𝑥 2 )
i.e. 𝑦 = 3(1+𝑥)
, 𝑓𝑜𝑟 0 < 𝑥 < 1.

Exercises:

1. Find 𝑘 so that 𝑓(𝑥, 𝑦) = 𝑘(𝑥 + 𝑦), 0 < 𝑥 < 1, 0 < 𝑦 < 1 is a joint probability density function.

Ans. 1

2. The probability density function of a continuous bivariate distribution is given by

𝑥 + 𝑦, 𝑤ℎ𝑒𝑟𝑒 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 1
𝑓(𝑥, 𝑦) = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒.

Find the marginal distributions and the correlation coefficient of X and Y.

1 1 1
Ans. 𝑓𝑋 (𝑥) = 𝑥 + , 0 ≤ 𝑥 ≤ 1; 𝑓𝑌 (𝑦) = 𝑦 + , 0 ≤ 𝑦 ≤ 1; 𝜌(𝑋, 𝑌) = − .
2 2 11

3. Let the two dimensional random variable (X, Y) have the joint density
1
𝑓(𝑥, 𝑦) = 8 (6 − 𝑥 − 𝑦)𝐼(0,2) (𝑥). 𝐼(2,4) (𝑦).

Find (i) 𝐸[𝑌|𝑋 = 𝑥]. (ii) 𝐸[𝑌 2 |𝑋 = 𝑥]. (iii) 𝑣𝑎𝑟[𝑌|𝑋 = 𝑥]. (iv) show that 𝐸[𝑌] = 𝐸[𝐸[𝑌|𝑋]].

(v) 𝐸[𝑋𝑌|𝑋 = 𝑥].

26−9𝑥 78−28𝑥 3𝑥 2 −18𝑥+26

Ans. (i) 3(3−𝑥) , 0 < 𝑥 < 2. (ii) 3(3−𝑥)
, 0 < 𝑥 < 2. (iii) 3(3−𝑥)2
, 0 < 𝑥 < 2.

𝑥(26−9𝑥)
(v) 3(3−𝑥)
, 0 < 𝑥 < 2.