Department of Mathematics

MA8402 - PROBABILITY AND QUEUEING THEORY

UNIT II - CLASS NOTES

TWO DIMENSIONAL RANDOM VARIABLES

Let S be the sample space associated with a random experiment E. Let X = X ( S )

and Y = Y ( S ) be two functions each assigning a real number to each outcomes s ∈ S .
Then ( X ,Y ) is called a two dimensional random variable.
If the possible values of ( X ,Y ) are finite or countable infinite then ( X ,Y ) is called
a two-dimensional discrete random variable.
If ( X ,Y ) can assume all values in a specified region R in the xy-plane then ( X ,Y )
is called a two-dimensional continuous random variable.

JOINT PROBABILITY MASS FUNCTION:

( )
If ( X ,Y ) is a two-dimensional discrete rv such that P x = xi , y = y j = Pij , then Pij
is called the joint probability mass function if
(i) P ( xi , y j ) ≥ 0
(ii)  P ( xi , y j ) = 1
j i

JOINT DENSITY FUNCTION:

Let ( X ,Y ) be two-dimensional rv. The function f ( x , y ) is called the joint density

function of ( X ,Y ) if it satisfies the following conditions:
(i) f ( x, y) ≥ 0
∞ ∞
(ii)   f ( x , y ) dx dy = 1
−∞ −∞

CUMULATIVE DISTRIBUTION FUNCTION:

If ( X ,Y ) is a two-dimensional rv (discrete or continuous) then

F ( x , y ) = P ( X ≤ x and Y ≤ y ) is called the cumulative distribution function of ( X ,Y ) .

1
 (i) In the discrete case, F ( x , y) =   Pij
y j ≤ y xi ≤ x
y x
(ii) In the continuous case, F ( x, y) =   f ( x , y ) dy dx
−∞ −∞

MARGINAL DISTRIBUTIONS:

Let ( X ,Y ) be a two dimensional rv,

(i) Discrete Case:
The marginal distribution for X alone is given by
(
P ( X = xi ) =  P X = xi ,Y = y j )
j
The marginal distribution for Y alone is given by
( ) (
P Y = y j =  P X = xi ,Y = y j )
i
(ii) Continuous Case:
The marginal distribution for X alone is given by
∞
fX ( x ) =  f ( x , y ) dy
−∞
The marginal distribution for Y alone is given by
∞
fY ( y ) =  f ( x , y ) dx
−∞
CONDITIONAL PROBABILITY DISTRIBUTION:

(i) Discrete Case:

If P ( X = x i ,Y = y j ) be the joint probability mass function of two
dimensional rv ( X ,Y ) , then the conditional probability function of X given
Y = y j is given by
P ( X = xi ∩ Y = y j )
P ( X = xi Y = y j ) =
P (Y = y j )
The conditional probability function of Y given X = xi is given by
P ( X = xi ∩ Y = y j )
P (Y = y j X = xi ) =
P ( X = xi )
(ii) Continuous Case:
Let ( X ,Y ) be the two dimensional continuous rv with joint pdf f ( x , y ) , then
the conditional pdf of X given Y is
f (x, y)
f (x y) = ,
fY ( y )
where fY ( y ) is the marginal pdf of Y.
The conditional pdf of Y given X is given by

2
 f ( x, y)
f (y x) =
fX ( x )
where fX ( x ) is the marginal pdf of X.

INDEPENDENT RANDOM VARIABLES:

If ( X ,Y ) is a two-dimensional discrete rv such that

P ( X = x i Y = y j ) = P ( X = xi ) (i.e.) Pij = Pi ⋅ Pj , ∀ i, j
then X and Y are said to be independent random variables.
lllly If ( X ,Y ) is a two-dimensional continuous rv such that f ( x , y ) = fX ( x ) ⋅ fY ( y ) then X
and Y are independent.
1. The joint probability mass function of (X,Y) is given by p ( x, y ) = k (2 x + 3 y ),
x = 0 ,1 , 2; y = 1, 2, 3 . Find k and all the marginal and conditional probability distributions.
Also find the probability distribution of X + Y.
Solution:

x 0 1 2
y
1 3k 5k 7k
2 6k 8k 10k
3 9k 11k 13k
3 3
To find the value of k: We know that  P(x
j =1 j =1
i, y j ) = 1. i.e. sum of all probabilities = 1

1
So, 3k + 5k + 7k + 6k + 8k + 10k + 9k + 11k + 13k = 1  72k = 1 k=
72
x pX / Y
y 0 1 2 pY ( y )
0 1 2
3 5 7 15 3 5 7
1
72 72 72 72 15 15 15
6 8 10 24 6 8 10
2
72 72 72 72 24 24 24
9 11 13 33 9 11 13
3
72 72 72 72 33 33 33
18 24 30
p X ( x)
72 72 72
3 5 7
1
18 24 30
6 8 10
pY / X 2
18 24 30
9 11 13
3
18 24 30

3
 Marginal distribution of X: Marginal distribution of Y :
X 0 1 2 Y 1 2 3

P(X = x) 18 24 30 P(Y = y) 15 72 24 33
72 72 72 72 72

Conditional distribution of X given Y = 1 Conditional distribution of Y given X = 0

X 0 1 2 Y 1 2 3
P(X = x/Y = 1) 3 5 7 P(Y = y/X = 0) 318 6 9
15 15 15 18 18

Conditional distribution of X given Y = 2 Conditional distribution of Y given X = 1

X 0 1 2 Y 1 2 3
P(X = x/Y = 2) 6 8 10 P(Y = y/X = 1) 5 8 11
24 24 24 24 24 24

Conditional distribution of X given Y = 3 Conditional distribution of Y given X = 2

X 0 1 2 Y 1 2 3
P(X = x/Y = 3) 9 11 13 P(Y = y/X = 2) 7 10 13
33 33 33 30 30 30

Probability distribution of Z = X + Y:
Overall Outcomes: {(0,1), (0,2), (0,3), (1,1), (1,2), (1,3), (2,1), (2,2), (2,3)}
Values of Z = X + Y Outcomes P[Z = X + Y]
1 (0,1) 3/72
2 (0,2), (1,1) 11/72
3 (0,3), (1,2), (2,1) 24/72
4 (1,3), (2,2) 21/72
5 (2,3) 13/72

2. The joint probability density function of a bivariate random variable ( X , Y ) is

k ( x + y ) , 0 < x < 2, 0 < y < 2
f XY ( x, y ) =  where ' k ' is a constant.
0 , otherwise
Find k .
Find the marginal density function of X and Y .
Are X and Y independent?
Find fY y ( )
X x ( )
and f X x .
Y y
Solution:
(i). Given the joint probability density function of a brivate random variable ( X , Y ) is
 K ( x + y ) , 0 < x < 2, 0 < y < 2
f XY ( x, y ) = 
0 , otherwise
∞ ∞ ∞ ∞
Here  f XY ( x, y ) dxdy = 1    K ( x + y ) dxdy = 1
−∞ −∞ −∞ −∞

4
 2
2 2 2
 x2 
0 0 K ( x + y ) dxdy = 1  K 0  2 + xy  dy = 1
0
2
 K  ( 2 + 2 y ) dy = 1
0
2
 K  2 y + y 2  = 1
0

 K [8 − 0 ] = 1
1
K =
8
(ii). The marginal p.d.f of X is given by
∞ 2
1
f X ( x ) =  f ( x, y ) dy =  ( x + y ) dy
−∞
80
2
1 y2  1 + x
=  xy +  =
8 2 0 4
∴ The marginal p.d.f of X is
 x +1
 , 0< x<2
fX ( x) =  4
0 , otherwise
The marginal p.d.f of Y is
∞ 2
1
fY ( y ) =  f ( x, y ) dx =  ( x + y ) dx
−∞
80
2
1  x2 
=  + yx 
8 2 0
1 y +1
= [2 + 2 y] =
8 4
∴ The marginal p.d.f of Y is
 y +1
 , 0< y<2
fY ( y ) =  4
0 , otherwise
(iii). To check whether X and Y are independent or not.
f X ( x ) fY ( y ) =
( x + 1) ( y + 1) ≠ f x, y
XY ( )
4 4
Hence X and Y are not independent.

( )
(iv). Conditional p.d.f fY y is given by
X x
1
( x + y) 1 ( x + y)
( )
fY y =
X x
f ( x ,
f X ( x)
y ) =8
1
=
( x + 1) 2 ( x + 1)
4

X
( )
fY y = 
x
1 x+ y
2  x +1 
 , 0 < x < 2, 0 < y < 2

5
  1  2
0 < y < 2
(v) P 

 y
x = 1  Y X x = 1
= f
 0
dy ( )
 
1

1 1+ y
2
5
= 
20 2
dy =
32
.

3. If X and Y are two random variables having joint probability density function
1
 ( 6 − x − y ) , 0 < x < 2, 2 < y < 4
f ( x, y ) =  8 Find (i) P ( X < 1 ∩ Y < 3)
0 , otherwise
(ii) P ( X + Y < 3) (iii) P X < 1 ( Y <3 ).
Solution:
a).
y =3 x =1
P ( X < 1 ∩ Y < 3) =   f ( x, y ) dxdy
y =−∞ x =−∞
y = 3 x =1
1
=   8 ( 6 − x − y ) dxdy
y = 2 x=0
3 1
1
( 6 − x − y ) dxdy
8 2 0
=
1
1  
3
x2
=  6 x − − xy  dy
82 2 0
3
3
1 11  1 11y y 2 
=   − y  dy =  − 
822  8 2 2 2
3
P ( X < 1 ∩ Y < 3) =
8
1 3− x
1
(ii). P ( X + Y < 3) =   ( 6 − x − y ) dydx
0 2
8
3− x
1  y2 
1
=  6 y − xy −  dx
80 2 2

1  ( 3 − x) 
1 2

=  6 ( 3 − x ) − x ( 3 − x ) − − [12 − 2 x − 2] dx
8 0  2 
1 
1
=  18 − 6 x − 3x + x −
2 ( 9 + x2 − 6x ) 
− (10 − 2 x )  dx
80 2 

1  
1
9 x2 6 x
=  18 − 9 x + x 2 − − + − 10 + 2 x dx
80 2 2 2 
1 7 x2 
1
=   − 4 x +  dx
8 0 2 2

6
 1
1  7 x 4 x 2 x3  1  7 1
=  − +  =  −2+ 
8 2 2 6 0 8  2 6
1  21 − 12 + 1  1  10  5
=   = 8  6  = 24 .
8 6
P ( x < 1 ∩ y < 3)
(
(iii). P X < 1
Y <3
= ) P ( y < 3)
2
The Marginal density function of Y is fY ( y ) =  f ( x, y )dx
0
2
1
= ( 6 − x − y )dx
0
8
2
1 x2 
= 6 x − − yx 
8 2 0
1
= [12 − 2 − 2 y ]
8
5− y
= , 2 < y < 4.
4
x =1 y = 3
1
  8 ( 6 − x − y ) dxdy
(
P X <1
Y <3 )= x =0 y = 2
y =3

 fY ( y ) dy
y =2

3 3
=3 8 = 8
5− y  1  y 2 3

2  4  dy 4 5 y − 2 
 2
3 8 3
= × = .
8 5 5

4. Two fair dice are tossed simultaneously. Let X denotes the number on the first die and Y
denotes the number on the second die. Find the following probabilities.
(i) P ( X + Y ) = 8 , (ii) P ( X + Y ≥ 8 ) , (iii) P ( X = Y ) and (iv) P X + Y = 6
Y =4
. ( )
Solution:
a). Two fair dice are thrown simultaneously
(1,1)(1, 2 ) ... (1, 6 ) 
 
( 2,1)( 2, 2 ) ... ( 2, 6 ) 
S =  , n( S ) = 36
 . . ... . 
( 6,1)( 6, 2 ) ... ( 6, 6 ) 
 
Let X denotes the number on the first die and Y denotes the number on the second die.
1
Joint probability density function of ( X , Y ) is P ( X = x, Y = y ) = for
36
x = 1, 2, 3, 4,5, 6 and y = 1, 2,3, 4, 5, 6

7
 (i) X + Y = { the events that the no is equal to 8 }
= {( 2, 6 ) , ( 3,5) , ( 4, 4 ) , ( 5,3) , ( 6, 2 )}
P ( X + Y = 8 ) = P ( X = 2, Y = 6 ) + P ( X = 3, Y = 5 ) + P ( X = 4, Y = 4 )
+ P ( X = 5, Y = 3) + P ( X = 6, Y = 2 )
1 1 1 1 1 5
= + + + + =
36 36 36 36 36 36
(ii) P ( X + Y ≥ 8 )
( 2, 6 ) 
 
( 3, 5 ) , ( 3, 6 ) 
 
X + Y = ( 4, 4 ) , ( 4, 5 ) , ( 4, 6 ) 
 
( 5,3) , ( 5, 4 )( 5, 5 ) , ( 5, 6 ) 
( 6, 2 ) , ( 6, 3) , ( 6, 4 ) , ( 6,5 )( 6, 6 ) 
 
∴ P ( X + Y ≥ 8 ) = P ( X + Y = 8 ) + P ( X + Y = 9 ) + P ( X + Y = 10 )
+ P ( X + Y = 11) + P ( X + Y = 12 )
5 4 3 2 1 15 5
= + + + + = =
36 36 36 36 36 36 12
(iii) P ( X = Y )
P ( X = Y ) = P ( X = 1, Y = 1) + P ( X = 2, Y = 2 ) + ...... + P ( X = 6, Y = 6 )
1 1 1 6 1
= + + .......... + = =
36 36 36 36 6
P ( X + Y = 6 ∩ Y = 4)
(
(iv) P X + Y = 6
Y =4
= )
P (Y = 4 )
1
Now P ( X + Y = 6 ∩ Y = 4 ) =
36
6
P (Y = 4 ) =
36
1
(
∴P X +Y = 6
Y =4
= 36 = .
6 6 )1

36
5. The joint probability mass function of a bivariate discrete random variable ( X , Y ) in given
by the table.
X 1 2 3
Y
1 0.1 0.1 0.2
2 0.2 0.3 0.1
Find The marginal probability mass function of X and Y .
The conditional distribution of X given Y = 1 .
P ( X + Y < 4)
Solution:

8
The joint probability mass function of ( X , Y ) is
X
1 2 3 Total
Y
1 0.1 0.1 0.2 0.4
2 0.2 0.3 0.1 0.6
Total 0.3 0.4 0.3 1
From the definition of marginal probability function
(
PX ( xi ) =  PXY xi , y j )
yj

When X = 1 ,
PX ( xi ) = PXY (1,1) + PXY (1, 2 )
= 0.1 + 0.2 = 0.3
When X = 2 ,
PX ( x = 2 ) = PXY ( 2,1) + PXY ( 2, 2 )
= 0.2 + 0.3 = 0.4
When X = 3 ,
PX ( x = 3) = PXY ( 3,1) + PXY ( 3, 2 )
= 0.2 + 0.1 = 0.3
∴ The marginal probability mass function of X is
0.3 when x = 1

PX ( x ) = 0.4 when x = 2
0.3 when x = 3

The marginal probability mass function of Y is given by PY ( y j ) =  PXY ( xi , y j )
xi
3
When Y = 1 , PY ( y = 1) =  PXY ( xi ,1)
xi =1

= PXY (1,1) + PXY ( 2,1) + PXY ( 3,1)

= 0.1 + 0.1 + 0.2 = 0.4
3
When Y = 2 , PY ( y = 2 ) =  PXY ( xi , 2 )
xi =1

= PXY (1, 2 ) + PXY ( 2, 2 ) + PXY ( 3, 2 )

= 0.2 + 0.3 + 0.1 = 0.6
∴ Marginal probability mass function of Y is
0.4 when y = 1
PY ( y ) = 
0.6 when y = 2
(ii) The conditional distribution of X given Y = 1 is given by
P ( X = x ∩ Y = 1)
(
P X =x
Y =1
=) P (Y = 1)
From the probability mass function of Y , P ( y = 1) = Py (1) = 0.4

When X = 1 , P X = 1 ( Y =1 ) = P ( XP=(Y1 ∩= 1Y) = 1)

9
 PXY (1,1) 0.1
= = = 0.25
PY (1) 0.4

(
When X = 2 , P X = 2
Y =1 ) = PP ((2,1
XY

1)
Y
) = 0.1 = 0.25
0.4

(
When X = 3 , P X = 3
Y =1 ) = PP ((3,1
XY

1)
Y
) = 0.2 = 0.5
0.4
(iii). P ( X + Y < 4 ) = P {( x, y ) / x + y < 4 Where x = 1, 2,3; y = 1, 2}
= P {(1,1) , (1, 2 ) , ( 2,1)}
= PXY (1,1) + PXY (1, 2 ) + PXY ( 2,1)
= 0.1 + 0.1 + 0.2 = 0.4

6. If X and Y are two random variables having the joint density function
1
f ( x, y ) = ( x + 2 y ) where x and y can assume only integer values 0, 1 and 2, find the
27
conditional distribution of Y for X = x .
Solution:
Given X and Y are two random variables having the joint density function
1
f ( x, y ) = ( x + 2 y ) − − − −(1)
27
Where x = 0,1, 2 and y = 0,1, 2
Then the joint probability distribution X and Y becomes as follows

Y 0 1 2 f1 ( x )
X
1 2 3
0 0
27 27 27
2 3 4 9
1
27 27 27 27
4 5 6 15
2
27 27 27 27
The marginal probability distribution of X is given by f1 ( X ) =  P ( x, y ) and is calculated in
j

the above column of above table.

The conditional distribution of Y for X is given by f1 Y = y ( X =x ) = f f( x(,xy) ) and is obtained
1

in the following table.

X 0 1 2
Y
1 2
0 0
3 3
1 3 5
1
( = = )
( )
P X 0, Y 0 0 9 9 9
P Y =0 = = =0
X =0 P ( X = 0) 62 1 1 1
27 6 3 2

10
 2
P ( X = 0, Y = 1) 27 1
(
P Y =1
X =0
= ) P ( X = 0)
=
6 3
=

27
4
P ( X = 0, Y = 2 ) 27 2
(
P Y =2
X =0
= ) P ( X = 0)
=
6
=
3
27
1
P ( X = 1, Y = 0 ) 27 1
(
P Y =0
X =1
=) P ( X = 1)
=
9
=
9
27
3
P ( X = 1, Y = 1) 27 3 1
(
P Y =1
X =1
=) P ( X = 1)
=
9
= =
9 3
27
5
( = = ) = 27 = 5
(
P Y =2
X =1
= )P X 1, Y
P ( X = 1)
2
9 9
27
2
( = = ) = 27 = 1
(
P Y =0
X =2
=
P
) X 2, Y
P ( X = 2)
0
12 6
27
4
P ( X = 2, Y = 1) 27 1
(
P Y =1
X =2
= ) P ( X = 2)
=
12 3
=

27
6
( = = ) = 27 = 1
(
P Y =2
X =2
=
P
) X 2, Y
P ( X = 2)
2
12 2
27
7. The joint probability density function of ( X , Y ) is given by
 2 x 2
 xy + , 0 ≤ x ≤ 2, 0 ≤ y ≤ 1
f XY ( x, y ) =  8 . Find (i) P ( X > 1) , (ii) P( X < Y ) and
0
 , otherwise
(iii) P ( X + Y ≤ 1)
Solution:
x2
Given the joint probability density function of ( X , Y ) is f XY ( x + y ) = xy 2 + ,
8
0 ≤ x ≤ 2, 0 ≤ y ≤ 1
∞
(i). P ( X > 1) =  f X ( x ) dx
1
1
The Marginal density function of X is f X ( x ) =  f ( x, y ) dy
0

11
 1
 x2 
f X ( x ) =   xy 2 +  dy y y = 1
0 8 
1
 xy 2 x 2 y  x x2
= + = + , 1< x < 2
 3 8  0 3 8
2
 x x2 
P ( X > 1) =   +  dx x
1
3 8 
2
 x 2 x3  19
= +  = .
 6 24 1 24
(ii) P ( X < Y ) =   f ( x, y ) dxdy
XY y =1
R2

 2 x2 
1 y

P(X < Y ) =    xy + 8  dxdy y = x

y =0 x =0 
y
1
 x 2 y 2 x3 
=  +  dy x = 0 x
0
2 24  0
1
1
 y4 y3   y5 y 4 
=   +  dy =  + 
0
2 24   10 96  0
1 1 96 + 10 53
= + = =
10 96 960 480
(iii) P ( X + Y ≤ 1) =  f XY ( x, y ) dxdy
R3

Where R3 is the region

1 1− y
 2 x2 
P ( X + Y ≤ 1) = y =0 x=0  xy + 8  dxdy y
1− y
1
 x 2 y 2 x 3  
=   +   dy y = 1
y = 0 
2 24   0
 (1 − y )2 y 2 (1 − y )3 
1
=   + dy x + y = 1

y =0 
2 24 

(
1  1+ y2 − 2 y y2
= 
) +
(1− y) 
3

dy x
0
 2 24 

1
  y 3 y 5 2 y 2  1 (1 − y )4 
=  + −  +  x =1
  3 5 4 2 96 
0
1 1 1 1 13
= + − + = .
6 10 4 96 480

12
8. If the joint distribution functions of X and Y is given by
(1 − e x )(1 − e − y ) , x > 0, y > 0
F ( x, y ) = 
0 , otherwise
Find the marginal density of X and Y .
Are X and Y independent.
P (1 < X < 3, 1 < Y < 2) .
Solution:
Given F ( x, y ) = 1 − e
−x
(
1 − e− y )( )
= 1 − e − x − e − y + e−( x + y )
The joint probability density function is given by
∂ 2 F ( x, y )
f ( x, y ) =
∂x∂y
∂  2
= 1 − e− x − e− y + e−( x + y ) 
∂x∂y
∂
= e− y − e ( ) 
− x+ y

∂x
e −( x + y ) , x ≥ 0, y ≥ 0
∴ f ( x, y ) = 
0 , otherwise
(ii) The marginal probability function of X is given by
f ( x) = f X ( x)
∞ ∞
f ( x, y ) dy =  e
−( x + y )
= 
−∞ 0
dy
∞
−( x + y )
e 
= 
 −1  0
∞
=  −e ( ) 
− x+ y
 0
−x
=e , x>0
The marginal probability function of Y is
f ( y ) = fY ( y )
∞
=
−∞
 f ( x, y ) dx
∞
∞
=  e−( x + y ) dx =  −e−( x+ y ) 
0
0

= e− y , y > 0
∴ f ( x ) f ( y ) = e− x e − y = e = f ( x, y )
−( x + y )

∴ X and Y are independent.

(iii) P (1 < X < 3,1 < Y < 2 ) = P (1 < X < 3) × P (1 < Y < 2 ) [Since X and Y are independent]
3 2
=  f ( x )dx ×  f ( y ) dy.
1 1

13
 3 2
=  e − x dx ×  e − y dy
1 1
3 2
 e   e− y 
−x
=   × 
 −1 1  −1 1
(
= −e−3 + e−1 −e−2 + e−1 )( )
−5 −4 −3 −2
= e −e −e +e

) = ∫ f ( y x = 2) dy
3

(
b). P 1 < Y < 3
X =2
1
4
f X ( x ) =  f ( x, y ) dy
2

6− x− y 
4
=  dy
2  8 
4
1 y2 
=  6 y − xy − 
8 2 2
1
= (16 − 4 x − 10 + 2 x )
8
6− x− y

( )
f y =
x
f ( ) = 8 = 6− x− y
x ,
f ( x)
y
6 − 2x 6 − 2x
8

) = ∫ f ( y x = 2) dy
3

(
P 1< Y < 3
X =2
1

 4− y 
3
=  dy
2
2 
3
1 y2 
= 4 y − 
2 2 2
3
1 y2  1 17  11
=  4 y −  = 14 −  = .
2 2 2 2  2 4

COVARIANCE, CORRELATION AND REGRESSION:

COVARIANCE:

If X and Y are two rv’s, then the covariance between them is defined as
(
Cov ( X ,Y ) = E  X − E ( X ) Y − E (Y )  )( )
= E  XY − XE (Y ) − YE ( X ) + E ( X ) E (Y ) 
= E ( XY ) − E ( X ) E (Y ) − E (Y ) E ( X ) + E ( X ) E (Y )
Cov ( X ,Y ) = E ( XY ) − E ( X ) E (Y ) .

14
NOTE:
(i) Cov ( aX , bY ) = ab Cov ( X , Y )
(ii) Cov ( X + a , Y + b) = Cov ( X , Y )
(iii) Cov ( aX + b, cY + d ) = ac Cov ( X , Y )
(iv) Cov ( X + Y , Z ) = Cov ( X , Z ) + Cov (Y , Z )
(v) If X and Y are independent then E ( XY ) = E ( X ) E (Y )
∴ Cov ( X ,Y ) = 0 .
(vi) Cov ( X , X ) = E ( X − E ( X ) ) ( X − E ( X ) ) 

= E ( X − E ( X ) ) 
2
 
= Var ( X )
(vii) Var ( X + Y ) = Var ( X ) + Var (Y ) + 2Cov ( X ,Y )
Var ( X − Y ) = Var ( X ) + Var (Y ) − 2Cov ( X ,Y )

CORRELATION:

KARL PEARSON’S CO-EFFICIENT OF CORRELATION:

The coefficient of correlation is defined as

Cov ( X ,Y ) Cov ( X ,Y )
ρ ( x , y ) = r ( X ,Y ) = rXY = =
Var ( X ) Var (Y ) σ X σY
Where Cov ( X ,Y ) = E ( XY ) − E ( X ) E (Y )

E (X ) = X =
x
n

E (Y ) = Y =
y
n

E ( XY ) =
 xy
n
2
σX 2
= Var ( X ) =
x −X
2
n
2
σY 2
= Var (Y ) =
y 2
−Y .
n

PROPERTIES OF CORRELATION COEFFICIENT:

(i) The co-efficient of correlation lies between –1 and 1. (i.e.) r ≤ 1

(ii) Correlation coefficient is independent of change of origin and scale.
X −a Y −b
(i.e.) If U = and V = , where h, k > 0 then rXY = rUV .
h k
NOTE:

15
 (i) If r = 1 then there is a perfect + ve correlation
(ii) If r = −1 then there is a perfect −ve correlation
(iii) If r = 0 then the variables are uncorrelated

Two independent rv’s X and Y are uncorrelated but two uncorrelated rv’s need not be
independent.

1. Find the regression lines:

X 6 8 10 18 20 23
Y 40 36 20 14 10 2
Solution:

X Y X2 Y2 XY
6 40 36 1600 240
8 36 64 1296 288
10 20 100 400 200
18 14 324 196 252
20 10 400 100 200
23 2 529 4 46
∑ X = 85 ∑ Y = 122 ∑ X 2 = 1453 ∑Y = 3596
2
∑ XY = 1226
 x 85  y 122
X= = = 14.17 , Y = = = 20.33
n 6 n 6
2 2
 x2   x  1453  85 
σx = −  = −   = 6.44
n  n  6  6
2 2
 y2   y  3596  122 
σy = −  = −  = 13.63
n  n  6  6 
 xy 1226
−xy − (14.17 )( 20.33)
r= n = 6 = −0.95
σ xσ y ( 6.44 )(13.63)
σx 6.44
bxy = r = −0.95 × = −0.45
σy 13.63
σy 13.63
byx = r = −0.95 × = −2.01
σx 6.44
The regression line X on Y is
( ) (
x − x = bxy y − y  x − 14.17 = −0.45 y − y )
 x = −0.45 y + 23.32
The regression line Y on X is
( )
y − y = byx x − x  y − 20.33 = −2.01( x − 14.17 )
 y = −2.01x + 48.81

2. Calculate the correlation coefficient for the following heights (in inches) of fathers X and
their sons Y .
X 65 66 67 67 68 69 70 72

16
 Y 67 68 65 68 72 72 69 71
Solution:

X Y XY X2 Y2
65 67 4355 4225 4489
66 68 4488 4359 4624
67 65 4355 4489 4285
68 72 4896 4624 5184
69 72 4968 4761 5184
70 69 4830 4900 4761
72 71 5112 5184 5041
∑ X = 544 ∑Y = 552 ∑ XY = 37560∑ X = 37028∑ Y 2 = 38132
2

 x 544
X= = = 68
n 8
 y 552
Y= = = 69
n 8
X Y = 68 × 69 = 4692
1 2 1
σX =  x2 − X = (37028) − 682 = 4628.5 − 4624 = 2.121
n 8
1 1
σY =  y2 − y2 = ( 38132) − 692 = 4766.5 − 4761 = 2.345
n 8
1 1
Cov ( X , Y ) =  XY − X Y = ( 37650 ) − 68 × 69
n 8
= 4695 − 4692 = 3
The correlation coefficient of X and Y is given by
Cov ( X , Y ) 3
r ( X ,Y ) = =
σ XσY ( 2.121)( 2.345 )
3
= = 0.6032 .
4.973

3. A joint probability mass function of the discrete R.V X and Y is given as

x+ y
 , x = 1, 2 , y = 1, 2 , 3, 4
P(X=x ,Y=y) =  32 .
 0 , otherwise
Compute the covariance of X&Y.
Solution:

17
 X
1 2 P Y (Y)
Y
1 2/32 3/32 5/32
2 3/32 4/32 7/32
3 4/32 5/32 9/32
4 5/32 6/32 11/32
PX(X) 14/32 18/32 1

The marginal distribution of X is The marginal distribution of Y is

X 1 2 Y 1 2 3 4
p(x) 14/32 18/32 p(y) 5/32 7/32 9/32 11/32
 14   18  25
E(X) =  xp( x ) = 1  32  + 2  32  = 16
x

 5  7   9   11  45
E(Y) =  yp( y ) = 1  32  + 2  32  + 3  32  + 4  32  = 16
y

E(XY)=   xyp( x , y ) =
x y

 2   3   3   4   4   5   5   6  35
1  + 2   + 2   + 4   + 3   + 6   + 4   + 8   =
 32   32   32   32   32   32   32   32  8
35  25   45 
Cov(X , Y) = E(XY) – E(X)E(Y) = − = −0.0195
8  16   16 
4. The joint pdf of X and Y is
X
Y -1 1

1 3
0 8 8
2 2
1 8 8
Find the correlation coefficient of X and Y .
Solution:
Marginal probability mass function of X is
1 3 4
When X = 0, P ( X ) = + =
8 8 8
2 2 4
X = 1, P ( X ) = + =
8 8 8
Marginal probability mass function of Y is
1 2 3
When Y = −1, P (Y ) = + =
8 8 8
3 2 5
Y = 1, P (Y ) = + =
8 8 8
4 4 4
E ( X ) =  x p ( x ) = 0 × + 1× =
x 8 8 8

18
 3 5 3 5 2
E ( Y ) =  y p ( y ) = −1 × + 1 × = − + =
y 8 8 8 8 8

E ( X 2 ) =  x 2 p ( x ) = 02 × + 12 × =
4 4 4
x 8 8 8
E (Y 2 ) =  y p ( y ) = ( −1) × + 12 × = + = 1
2 2 3 5 3 5
y 8 8 8 8
V ( X ) = E ( X 2 ) − ( E ( X ))
2

2
4 4 1
= −  =
8 8 4
V (Y ) = E (Y 2 ) − ( E (Y ) )
2

2
 1  15
= 1−   =
 4  16
E ( XY ) =  xy p ( x, y )
x y

1 3 2 2
= 0 × + 0 × + ( −1) + 1×   = 0
8 8 8 8
1 1 1
Cov ( X , Y ) = E ( XY ) − E ( X ) E (Y ) = 0 − × = −
2 4 8
1
Cov ( X , Y ) −
r= = 8 = −0.26 .
V ( X ) V (Y ) 1 15
4 16

5. Two random variables X and Y have the following joint probability density function
2 − x − y, 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
f ( x, y ) =  . Find the marginal probability density function of
0 , otherwise
X and Y . Also find the covariance between X and Y .
Solution:
2 − x − y, 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
Given the joint probability density function f ( x, y ) = 
0 , otherwise
∞
Marginal density function of X is f X ( x ) =  f ( x, y ) dy
−∞
1
=  ( 2 − x − y ) dy
0
1
 y2 
=  2 y − xy − 
 2 0
1
= 2− x−
2
 3
 − x, 0 < x ≤ 1
fX ( x) = 2
0 , otherwise

19
 1
Marginal density function of Y is fY ( y ) =  ( 2 − x − y ) dx
0
1
 x2 
=  2 x − − xy 
 2 0
3
= −y
2
3
 − y, 0 ≤ y ≤ 1
fY ( y ) =  2
0 , otherwise
Covariance of ( X , Y ) = Cov ( X , Y ) = E ( XY ) − E ( X ) E (Y )
1
1 1
3   3 x 2 x3  5
E ( X ) =  xf X ( x ) dx =  x  − x  dx =  −  =
0  
0
2  2 2 3  0 12
1 1
3  5
E (Y ) =  yfY ( y ) dy =  y  − y  dy =
0 0 2  12
Cov ( X , Y ) = E ( XY ) − E ( X ) E (Y )
1 1
E ( XY ) =   xy f ( x, y ) dxdy
0 0
1 1
=   xy ( 2 − x − y ) dxdy
0 0
1 1

( )
=   2 xy − x 2 y − xy 2 dxdy
0 0
1
1
 2 x 2 y x3 x2 2 
=  − y − y  dy
0
2 3 2 0
1
 1 y2 
=   y − −  dy
0
3 2 
1
 y 2 y y3  1
= − −  =
 2 3 6 0 6
1 5 5
Cov ( X , Y ) = − ×
6 12 12
1 25 1
= − =− .
6 144 144
E ( XY ) − E ( X ) E (Y )
b). Correlation coefficient ρ XY =
σ XσY
Marginal density function of X is
∞
6− x− y  6 − 2x
4
f X ( x ) =  f ( x, y ) dy =    dy =
2 
−∞
8 8
Marginal density function of Y is

20
 ∞
6− x− y  10 − 2 y
2
fY ( y ) =  f ( x, y ) dx =    dx =
0 
−∞
8 8
2
2
 6 − 2x 
2
1  6 x 2 2 x3  1 16  1 20 5
Then E ( X ) =  xf X ( x ) dx =  x   dx =  −  = 12 −  = × =
0 
0
8  8 2 3 0 8  13  8 3 6
4
 10 − 2 y  1 10 y 2 2 y 3 
4
17
E (Y ) =  y   dy =  −  =
2 
8  8 2 3 2 6
2
 6 − 2x  1  6 x3 2 x 4 
2

( )
2
E X 2
=  x f x ( x ) dx =  x 
2
 dx = 2
 −  =1
0 0  8  8  3 4 0
4
 10 − 2 y  1 10 y 3 2 y 4 
4

( )
E Y 2
=y 
 8 
 dy = 
2

8 3
−  =
4 2 3
25
2
2

Var ( X ) = σ X2 = E ( X 2 ) −  E ( X )  = 1 −   =
2 5 11
6 36
2

Var (Y ) = σ Y2 = E (Y 2 ) −  E (Y )  =
2 25  17  11
−  =
3  6  36
6− x− y 
4 2
E ( XY ) =   xy   dxdy
2 0  8 
2
1  6 x 2 y x3 y x 2 y 2 
4
=  − −  dy
82 2 3 2 0
4
1  8 2
= 
8 2
 12 y − y − 2 y dy
3 
4
1 12 y 2 8 y 2 2 y 3 
=  − − 
8 2 3 2 3 2
1 64 128 16 16 
= 96 − − − 24 + + 
8 3 3 3 3
1  56 
=  
8 3 
7
E ( XY ) =
3
7  5   17 
−
E ( XY ) − E ( X ) E (Y ) 3  6   6 
ρ XY = =
σ XσY 11 11
6 6
1
ρ XY = − .
11
6. If the independent rv’s X and Y have variance 36 and 16 respectively. Find the
correlation coefficient between X + Y and X − Y .
SOLUTION:
Given X and Y are independent, Cov ( X , Y ) = 0 and
σ X 2 = 36 σY 2 = 16

21
 ∴ σ X = 6 , σY = 4 .
Let U = X +Y , V = X −Y
Cov (U ,V )
rUV =
σU .σ V
Now Cov (U ,V ) = Cov ( X + Y , X − Y )
= Cov ( X + Y , X ) − Cov ( X + Y , Y )
= Cov ( X , X ) + Cov (Y , X ) − Cov ( X , Y ) − Cov (Y ,Y )
= Cov ( X , X ) − Cov (Y , Y )
= Var ( X ) − Var (Y ) (∵ Cov ( X , X ) = Var ( X ) )
= 36 − 16
= 20 .
σU 2 = Var (U ) = Var ( X + Y ) = Var ( X ) + Var (Y )
= 36 + 16 = 52 (∵ X and Y are independent )
σ V 2 = Var (V ) = Var ( X − Y ) = Var ( X ) + Var (Y )
(∵ X and Y are independent )
= 36 + 16 = 52
Cov (U , V ) 20
∴ rUV = = = 0.3 .
σU .σ V 52. 52

REGRESSION:

LINES OF REGRESSION:
σY
(i) The line of regression of y on x is given by y − y = r
σX
x −x ( )
σ
(ii) The line of regression of x on y is given by x − x = r X y − y .
σY
( )
NOTE:
Both the lines of regression passes through x , y . ( )
REGRESSION COEFFICIENTS:
σY
(i) Regression coefficient of y on x, bYX = r
σX
σ
(ii) Regression coefficient of x on y, bXY =r X
σY
Correlation coefficient r = ± bYX ⋅ bXY

where bYX =
 ( x − x )( y − y )
(x − x )
2

22
 bXY =
 ( x − x )( y − y )
 ( y − y)
2

Angle between the regression lines:

σ X .σ Y  1 − r 2 
tan θ =  
σ X 2 + σY 2  r 

1. Using the given information given below compute x , y and r . Also compute σ y when
σ x = 2, 2 x + 3 y = 8 and 4 x + y = 10 .
Solution:
When the regression equation are Known the arithmetic means are computed by solving the
equation.
2 x + 3 y = 8 ------------ (1)
4 x + y = 10 ------------ (2)
(1) × 2  4 x + 6 y = 16 ------- (3)
( 2) − ( 3)  −5 y = −6
6
y=
5
6 18 11
Equation (1)  2 x + 3   = 8  2 x = 8 −  x =
5 5 5
11 6
i.e. x = & y =
5 5
To find r , Let 2 x + 3 y = 8 be the regression equation of X on Y .
3
2x = 8 − 3 y  x = 4 − y
2
3
 bxy = Coefficient of Y in the equation of X on Y = −
2
Let 4 x + y = 10 be the regression equation of Y on X
 y = 10 − 4 x
 byx = coefficient of X in the equation of Y on X = −4 .
r = ± bxy byx
 3
(
= −  −  ( −4 ) ∵ bxy & byx are negative
 2
)
= −2.45
Since r is not in the range of ( −1 ≤ r ≤ 1) the assumption is wrong.
Now let equation (1) be the equation of Y on X
8 2x
y= −
3 3
 byx = Coefficient of X in the equation of Y on X
2
byx = −
3
from equation (2) be the equation of X on Y
23
 1
bxy = −
4
2 1
r = ± bxy byx = − × − = 0.4081
3 4
2
To compute σ y from equation ( 4) byx = −
3
σy
But we know that byx = r
σx
2 σy
− = 0.4081×
3 2
 σ y = −3.26
2. In a partially destroyed laboratory record only the lines of regressions and variance of X
are available. The regression equations are 8x – 10y + 66 = 0 and 40x – 18y = 214 and
variance of X = 9. Find (i) the correlation coefficient between X and Y (ii) Mean values of
X and Y (iii) variance of Y.
Solution:
Given 8x – 10y = –66……(1)
40x – 18y = 214 ……(2)
Let (1) be the regression line of y on x and (2) be the regression line of x on y.
8 x 66 8 4
∴ 10y = 8x + 66  y = + ∴ the regression coefficient of y on x is b1 = =
10 10 10 5
18 y 214 18 9
∴ 40x = 18y + 214  x = + ∴ the regression coefficient of x on y is b2 = =
40 40 40 20
 4  9  9
∴ b1 b2 =     = <1
 5   20  25
Let r be the correlation between x and y.
9 3
∴ r = b1b2 = = = 0.6 [Since both regression coefficients are positive, r is positive]
25 5
( )
Let x, y be the point of intersection of the two regression lines.
Solving (1) and (2) we get x , y
5 x (1)  40x – 50y = – 330
40x – 18y = 214

Subtracting – 32y = – 544

∴ y = 17
Now, 8x – 10y = – 66  8x – 10(17) = – 66  8x = 170 – 66  8x = 104  x = 13
( )
∴ x, y = (13 , 17) is the mean of X and Y.
4
σ Y2 b1 b
We know, 2 =  σ Y2 = 1 σ X2  σ Y2 = 5 .(9)  σ Y2 = 16
σ X b2 b2 9
20
∴ Variance of Y is 16

3. Obtain the equation of the regression line Y on X from the following data.
X 3 5 6 8 9 11

24
 Y 2 3 4 6 5 8
Solution:
X Y U=X–6 V=Y–6 U2 V2 UV
3 2 –3 –4 9 16 12
5 3 –1 –3 1 9 3
6 4 0 –2 0 4 0
8 6 2 0 4 0 0
9 5 3 –1 9 1 –3
11 8 5 2 25 4 10
6 –8 48 34 22

n = 6, U = 6, V = −8, U 2 = 48, V 2 = 34, UV = 22 U =

U =
6
= 1,
n 6

V =
V =
−8
= −1.33 , σ U2 =
U 2

( )
− U
2
=
48
− 1 = 7 , σ U = 2.646 ,
n 6 n 6

σ V2 =
V 2

− V ( )
34 2
− (−1.33)2 = 3.898 , σ V = 1.974
=
n 6

Cov(U , V) =
UV − U V = 22 − (1)(−1.33) = 4.997
n 6
Cov(U , V ) 4.997
∴ rUV = = = 0.484
σ U .σ v (2.646) (3.898)

∴ rXY = 0.484
X = U + 6  X = 1+ 6 = 7
Y = V + 6  Y = −1.33 + 6 = 4.67
σ X = σ U  σ X = 2.646
σ Y = σ V  σ Y = 3.898
The regression line of Y on X is
rσ
Y −Y = Y X − X
σX
( )
(0.484) (3.898)
 Y − 4.67 = ( X − 7)
(2.646)
 Y = 0.713 X − 0.321

TRANSFORMATION OF RANDOM VARIABLES:

TWO FUNCTIONS OF TWO RANDOM VARIABLES:

If ( X ,Y ) is a two dimensional rv with joint pdf fXY ( x, y ) and if U = g ( X ,Y ) and

V = h ( X ,Y ) are two rv’s then the joint pdf of (U ,V ) is given by

fUV ( u, v ) = fXY ( x , y ) J

25
 ∂x ∂x
∂ ( x, y)
∂u ∂v
where J = = .
∂ ( u, v ) ∂y ∂y
∂u ∂v

1. If X and Y are independent exponential variates with parameters 1, find the pdf of
U = X −Y .
Solution:
Given that X and Y are exponential variates with parameters 1
f X ( x ) = e− x , x ≥ 0, fY ( y ) = e− y , y ≥ 0
Also f XY ( x, y ) = f X ( x ) f y ( y ) since X and Y are independent
= e − xe − y
= e −( x+ y ) ; x ≥ 0, y ≥ 0
Consider the transformations u = x − y and v = y
 x = u +v, y =v v
∂x ∂x
∂ ( x, y ) ∂u ∂v 1 − 1
J= = = =1
∂ ( u , v ) ∂y ∂y 0 1
∂u ∂v
fUV ( u , v ) = f XY ( x, y ) J = e− x e − y = e
−( u + v ) − v
e
= e −( u + 2 v ) , u + v ≥ 0, v ≥ 0 R I R II
In Region I when u < 0 v =−u
∞ ∞
f (u ) =  f ( u , v ) dv = e
−u
.e −2 v dv
−u −u
∞
 e −2v 
= e−u  
 −2  −u
e−u eu
=  0 − e 2u  =
−2 2
In Region II when u > 0
∞
f ( u ) =  f (u , v ) dv
0
∞
e−u
=  e −(u + 2 v ) dv =
0
2
 eu
 , u < 0
∴ f ( u ) =  2−u
e , u > 0
 2

The joint pdf of X and Y is given by f ( x, y ) = e

−( x + y )
2. , x > 0, y > 0 . Find the pdfof
X +Y
U= .
2

26
 Solution:
x+ y
Consider the transformation u = &v = y
2
 x = 2u − v and y = v
∂x ∂x
∂ ( x, y ) ∂u ∂v 2 − 1
J= = = =2
∂ ( u , v ) ∂y ∂y 0 1
∂u ∂v
fUV ( u, v ) = f XY ( x, y ) J
= e − ( x + y ) 2 = 2 e − ( x + y ) = 2e − ( 2 u − v + v )
= 2e−2u , 2u − v ≥ 0, v ≥ 0
u
fUV ( u, v ) = 2e−2u , u ≥ 0, 0 ≤ v ≤
2
u u
2 2
f ( u ) =  fUV ( u , v ) dv =  2e −2 u dv
0 0
u
=  2e −2u v  2
0

 u −2 u
2 e , u ≥ 0
f (u ) =  2
0 , otherwise
3. e −( x + y ) , x > 0 , y > 0
The joint pdf of the continuous R.V (X,Y) is given as f ( x , y ) =  . Find
 0 , elsewhere
X
the pdf of the random variable U = .
Y
Solution:
x
The transformation functions are u = and v = y
y
x
Solving for x and y, we get u =  x = uv
v
∂x ∂x
∂u ∂v v u
The Jacobian of the transformation is J = = =v
∂y ∂y 0 1
∂u ∂v
The joint density of U and V is fUV ( u, v ) = J f XY ( x , y ) = v e − ( x + y ) = v e − v ( u + 1 )
The range space of (U , V) is obtained from the range space of (X , Y) and the transformations
x = uv, y = v
∴ x > 0 and y > 0 we have uv > 0 and v > 0
 u > 0 and v > 0
v e − v ( u+1) , u > 0 , v > 0
fUV ( u, v ) = 
 0 , elsewhere ,
The pdf of U is the marginal density function of U,

27
 ∞ ∞ ∞
 e − v ( u+ 1) e − v ( u+ 1)  1 1
fU ( u ) =  f ( u, v )dv =  v e dv =  v . −v( u+1)
− 1. 2 
=0+ = , u>0
 − ( u + 1) ( u + 1)  0 ( u + 1) ( u + 1) 2
2
−∞ 0

4. If X and Y are independent random variables each following N ( 0, 2 ) , find the pdf of
Z = 2 X + 3Y . If X and Y are independent rectangular variates on ( 0,1) find the
X
distribution of .
Y
Solution:
Consider the transformations w = y ,
i.e. z = 2 x + 3 y and w = y
1
i.e. x = ( z − 3w) , y = w
2
∂x ∂x
1 3
∂ ( x, y ) ∂z ∂w − 1
J = = = 2 2 = .
∂ ( z , w ) ∂y ∂y 2
0 1
∂z ∂w
Given that X and Y are independent random variables following N ( 0, 2 )
(
− x2 + y 2 )
1
∴ f XY ( x, y ) = e 8 , −∞ < x, y < ∞
8π
The joint pdf of ( z , w ) is given by
f ZW ( z, w) = J f XY ( x, y )
1 
−  ( z − 3 w ) + w2 
2
4 
1 1
= . e 8
2 8π
1 − 321 ( z −3w)2 + 4 w2 
= e , −∞ < z, w < ∞ .
16π
The pdf of z is the marginal pdf obtained by interchanging f ZW ( z, w) w.r.to w over the range of
w.
∞
1  − 321 ( z 2 −6 wz +13 w2 ) 
∴ fZ ( z ) =  e dw
16π −∞  
z 2 ∞  −  w2 −
13  6 wz  3 z   3 z   
2 2
+   −  
1 −
e 32   e  
32  13  13   13  
= dw
16π 
−∞ 

 
∞  − 13  w − 3 z  
2 2 2
z 9z
1 − +  
= e 32 13×32   e 32  13  dw
16π −∞ 
 

2
∞
13
1 − 8×z13 − t2
=
16π
e −∞ 32 dt
e

13 2 13 16 r 32
r= t  dr = tdt  dr = dt  dr = dt
32 16 13t 13
1
16 13 4 −
dr = dt  r 2 dr = dt
13 r 32 13 × 2

28
 z 2
∞
1
2 4 − −
= e 8×13  e − r r 2 dr
16π 13 × 2 0
z 2
1 ∞
1 − −
= e 8×13  e − r r 2 dr
2π 13 × 2 0
z2
z2 −
2( 2 13 )
2
1 − 1
= e 8×13
π = e
2π 13 × 2 2 13 2π
(
i.e. Z ∼ N 0, 2 13 )
2 , 0 < x < y < 1
5. The joint pdf of the continuous R.V (X,Y) is given as f ( x , y ) =  .
 0 , elsewhere
X
Find the pdf of the random variable .
Y
Solution:
x x
The transformation functions are u = and v = y u =  x = uv
y v
∂x ∂x
The Jacobian of the transformation is J = ∂u ∂v =
v u
=v
∂y ∂y 0 1
∂u ∂v
The joint density of U and V is fUV ( u, v ) = J f XY ( x , y ) = 2v
The range space of (U , V) is obtained from the range space of (X , Y) and the
transformations x = uv, y = v
∴ 0 < x < y  0 < uv < v  u < 1 & u > 0
0 < y <1 0 < v <1
∴ The lim its are 0 < u < 1 & 0 < v < 1
fUV (u, v) = 2v, 0 < u < 1 & 0 < v < 1
The pdf of U is the marginal density function of U,
∞ 1
f (u, v)dv =  2v dv = v 2  = (1 − 0 ) = 1, 0 < u < 1
1
fU (u ) = 
−∞ 0
0

CENTRAL LIMIT THEOREM:

It says that the probability distribution of the sum of a large number of independent rv’s
approaches a normal distribution.

STATEMENT: Central Limit Theorem: (Liapounoff’s form)

If X1 , X 2 ,⋯ X n ,⋯ be a sequence of independent rv’s with E ( X i ) = µi and Var ( X i ) = σ i2 ,

29
i = 1,2,⋯ and if Sn = X1 + X 2 + ⋯ + X n , then under certain general conditions, Sn follows
n n
a normal distribution with mean µ =  µi and variance σ 2 =  σ i , as n → ∞ .
2

i =1 i =1

NOTE: Central Limit Theorem: (Lindberg-Levy’s form)

If X1 , X 2 ,⋯ X n ,⋯ be a sequence of independent and identically distributed rv’s with

E ( X i ) = µ and Var ( X i ) = σ 2 , i = 1,2,⋯ and if Sn = X1 + X 2 + ⋯ + X n , then under certain

general conditions, Sn follows a normal distribution with mean n µ and variance nσ 2 as

n →∞.

∴ (
Sn ∼ N nµ , nσ 2 , ) n→∞

X1 + X 2 + ⋯ + X n
If X = then,
n

( )
E X =
1
n
E ( X1 + X 2 + ⋯ + X n ) = µ

( )
Var X =
1
n 2 ( nσ )
2

σ2
=
n
 σ 
∴ X ∼ N  µ,  as n → ∞ .
 n
1. If X 1 , X 2 ,..... X n are Poisson variates with parameter λ = 2 . Use the central limit theorem
to estimate P (120 < Sn < 160 ) where sn = X 1 + X 2 + ...... + X n and n = 75 .
Solution:
Given that E ( X i ) = λ = 2 and Var ( X i ) = λ = 2
[Since in Poisson distribution mean and variance are equal to λ ]
i.e. µ = 2 and σ 2 = 2
(
By central limit theorem, Sn ∼ N nµ , nσ
2
)
Sn ∼ N (150,150 )
 120 − 150 160 − 150 
∴ P (120 < S n < 160 ) = P  <z< 
 150 150 

30
 = P ( −2.45 < z < 0.85)
= P ( −2.45 < z < 0) + P (0 < z < 0.85)
= P (0 < z < 2.45) + P (0 < z < 0.85)
= 0.4927 + 0.2939 = 0.7866
2. A random sample of size 100 is taken from a population whose mean is 60 and variance is
400. Using central limit theorem, with what probability can we assent that the mean of the
sample will not differ from µ = 60 by more than 4.
Solution:
Given that n = 100 , µ = 60 , σ 2 = 400
Since the probability statement is with respect to mean, we use the Linderberg-levy form of
central limit Theorem.
 σ2  σ2
X ∼ N  µ,  i.e. X follows normal distribution with mean ' µ ' and variance .
 n  n
 400 
i.e. X ∼ N  60, 
 100 
X ∼ N ( 60, 4 )
 mean of the sample will not   X will not differ from 
P  = P  
 differ from 60 by morethan 4   µ = 60 by morethan 4 
(
= P X −µ ≤4 )
= P  −4 ≤ X − µ ≤ 4 

= P  −4 ≤ X − 60 ≤ 4 
 56 − 60 64 − 60 
= P 56 ≤ X ≤ 64  = P  ≤z≤
 2 2 
= P [ −2 ≤ Z ≤ 2]
= 2 P [ 0 ≤ Z ≤ 2] = 2 × 0.4773 = 0.9446
3. If the variable X 1 , X 2 , X 3 , X 4 are independent uniform variates in the interval ( 450,550 ) ,
find P (1900 ≤ X1 + X 2 + X 3 + X 4 ≤ 2100 ) using central limit theorem.
Solution:
Given that X follows a uniform distribution in the interval ( 450,550 )
b + a 450 + 550
Mean = = = 500
2 2
( b − a) ( 550 − 450 )
2 2

Variance = = = 833.33
12 12
By CLT Sn = X 1 + X 2 + X 3 + X 4 follows a normal distribution with N ( nµ , nσ )
2

S n − nµ
The standard normal variable is given by Z =
nσ 2
1900 − 4 × 500 100
when Sn = 1900 , Z = =− = −1.732
4 × 833.33 57.73
2100 − 2000 100
when Sn = 2100 , Z = = = 1.732
4 × 833.33 57.73

31
 ∴ P (1900 ≤ Sn ≤ 2100 ) = P ( −1.732 < z < 1.732 )
= 2 × P ( 0 < z < 1.732 )
= 2 × 0.4582 = 0.9164 .

4. A distribution with unknown mean µ , variance is equal to 1.5. Use central limit
theorem to determine how large a sample should be taken from the distribution in order
that the probability will be atleast 0.95 that the sample mean will be with in 0.5 of the
population mean.
Solution:
Let n be the size of the sample.
Given E ( X ) = µ = Mean , Var ( X ) = σ 2 = 1.5
Let X be the sample mean, by central limit theorem we have X follows a normal distribution µ and
σ2
variance .
n
 σ   1.5 
(i.e) X ∼ N  µ ,   X ∼ N  µ , 
 n  n 

(
To find n such that P X − µ < 0.5 ≥ 0.95 )
( )
Consider P X − µ < 0.5 ≥ 0.95  P −0.5 < X − µ < 0.5 ≥ 0.95( )
X −µ X −µ
Let z = = , z a standard normal variable.
σ 1.5
n n
(
∴ P −0.5 < X − µ < 0.5 ≥ 0.95 )
 −0.5 n 0.5 n 
P  <z<  ≥ 0.95
 1.5 1.5 
(
P z < 0.4082 n ≥ 0.95 )
The least value of n is obtained from
(
P z < 0.4082 n = 0.95 )
From the table of areas under the normal curve,
P ( z < 1.96 ) = 0.95
 0.4082 n = 1.96
1.96
n=
0.4082
2
 1.96 
n= 
 0.4082 
n = 24

Therefore the size of the sample must be atleast 24.

32