Joint Probability
5
CHAPTER OUTLINE
5-1 Two or More Random Variables
Distributions
5-5 General Functions of Random Variables
5-1.1 Joint Probability Distributions 5-6 Moment Generating Functions
5-1.2 Marginal Probability Distributions
5-1.3 Conditional Probability Distributions
5-1.4 Independence
5-1.5 More Than Two Random Variables
5-2 Covariance and Correlation
5-3 Common Joint Distributions
5-3.1 Multinomial Probability Distribution
5-3.2 Bivariate Normal Distribution
5-4 Linear Functions of Random Variables
Chapter 5 Title and Outline 1
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Joint Probability Mass Function
The joint probability mass function of the discrete random
variables X and Y, denoted as f XY ( x, y ) , satisfies:
(1) f XY ( x, y ) 0
(2) f ( x, y )
x y
XY
(3) f XY ( x, y ) = P ( X = x, Y = y )
Sec 5-1.1 Joint Probability Distributions 2
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Joint Probability Density Function
The joint probability density function for the continuous
random variables X and Y, denotes as fXY(x,y), satisfies the
following properties:
(1) f XY ( x, y ) 0 for all x, y
(2) f XY ( x, y ) dxdy = 1
− −
(3) P ( ( X , Y ) R ) = f XY ( x, y ) dxdy
R
Figure 5-2 Joint probability
density function for the random
variables X and Y. Probability
that (X, Y) is in the region R is
determined by the volume of
fXY(x,y) over the region R.
Sec 5-1.1 Joint Probability Distributions 3
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Sec 2- 4
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Marginal Probability Distributions (discrete)
The marginal probability distribution for X is found by summing the probabilities
in each column whereas the marginal probability distribution for Y is found by
summing the probabilities in each row.
y = Response x = Number of Bars of
f X ( x ) = f ( xy ) time(nearest Signal Strength
y second) 1 2 3 f (y )
fY ( y ) = f ( xy )
1 0.01 0.02 0.25 0.28
2 0.02 0.03 0.20 0.25
x
3 0.02 0.10 0.05 0.17
4 0.15 0.10 0.05 0.30
f (x ) 0.20 0.25 0.55 1.00
Marginal probability distributions of X and Y
Sec 5-1.2 Marginal Probability Distributions 5
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Marginal Probability Density Function (continuous)
If the joint probability density function of
random variables X and Y is fXY(x,y), the
marginal probability density functions of X
and Y are:
f X ( x) = f XY ( x, y ) dy
y
fY ( y ) = f XY ( x, y ) dx
x
Sec 5-1.2 Marginal Probability Distributions 6
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Sec 2- 7
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Mean & Variance of a Marginal Distribution
E(X) and V(X) can be obtained by first calculating the marginal
probability distribution of X and then determining E(X) and V(X) by
the usual method.
E ( X ) = x fX ( x)
R
V ( X ) = x 2 f X ( x ) − X2
R
E ( Y ) = y fY ( y )
R
V (Y ) = y 2 fY ( y ) − Y2
R
Sec 5-1.2 Marginal Probability Distributions 8
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Mean & Variance of Conditional Random Variables
• The conditional mean of Y given X = x,
denoted as E(Y|x) or μY|x is
E (Y x ) = y fY x ( y ) dy
y
• The conditional variance of Y given X = x,
denoted as V(Y|x) or σ2Y|x is
V (Y x ) = y − Y x ( ) fY x ( y ) = y 2 fY x ( y ) − Y2 x
2
y y
Sec 5-1.3 Conditional Probability Distributions 9
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Sec 2- 10
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Sec 2- 11
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
Sec 2- 12
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
