CHAPTER FOUR: BIVARIATE DISTRIBUTION THEORY

We earlier defined random variable as a real-valued function over a sample space with
a probability measure, and it stands to reason that many different random variables can
be defined over one and the same sample space.
In this section we shall be concerned with the bivariate case, i.e. with situation where
we are interested at the same time in a pair of random variables defined over a joint
sample space.
If X and Yare discrete random variables, we write the probability that X will take on the
value x and Y will take on the value y as pr ( X =x ,Y = y ) .Thus, p ( X=x ,Y = y ) is
the probability of the intersection of the event X =x and Y = y
Example 1
Two caplets are selected at random from a bottle containing three aspirins, two
sedative, and four laxative caplets.
If X and Y are, respectively, the numbers of aspirin and sedative caplets included
among the two caplets drawn from the bottle, find the probabilities associated with all
possible pairs of values of X and Y.
Solution
The possible pair are ( 0,0 ) , ( 0,1 ) , ( 1,0 ) , ( 1,1 ) , ( 0,2 ) and ( 2,0 )
To find the probability associated with ( 1,0 ) , for example, observe that we are
concerned with the event of getting one of the three aspirin caplets, none of the two
sedative caplet, and hence, one of the four laxative caplets.
( 3 ¿) ¿ ¿ ¿
The no. of ways in which this can be done is ¿ and the total
( 9 ¿ ) ¿ ¿¿
number of ways in which two of the nine caplets can be selected is ¿
Since these possibilities are all equally likely by virtue of the assumption that the
12 1
=
selection is random, it follows that the probability associated with ( 1,0 ) is 36 3 ,
Similarly, the probability associated with ( 1,1 ) is:

( 3 ¿) ¿ ¿ ¿ ¿ ¿
¿ ,
and continuing this way, we obtain the values shown in the following table:

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 x
0 1 2
0 1 1 1
6 3 12
1 2 1 0
y 9 6
2 1 0 0
36

It is generally preferably to represent probabilities such as these by means of formula.

In other words, it is preferable to express the probabilities by means of a function with
the values f ( x , y ) =Pr ( X=x ,Y = y ) for any pair of values ( x , y ) within the range of
the random variables X and Y .
For instance, for the two random variables of the above example, we can write

3
f ( x , y )= () ׿ ( 2 ¿ ) ¿ ¿ ¿ ¿ ¿
x ¿
Definition 1
IfX and Yare discrete random variables, the function given by
f ( x , y ) =Pr ( X=x ,Y = y ) for each pair of values ( x , y ) within the range of X and
Y is called the joint probability distribution of X and Y.

Theorem 1
A bivariate function can serve as the joint probability distribution of a pair of discrete
random variable X and Y iff its values, f ( x , y ) , satisfy the conditions:
(1) f ( x , y ) ≥0 ,for each pair of values ( x , y ) within its domain;
∑ ∑ f ( x , y )=1
(2) x y , where the double summation extends over all possible pairs
( x , y ) within its domain.

Example 2
Determine the value of k for which the function given by f ( x , y ) =kxy for x=1,2,3 ;
y=1,2,3 can serve as a joint probability distribution.
Solution
Substituting the various values of x and y , we get
f ( 1,1 )=k , f ( 1,2 )=2 k , f ( 1,3 )=3 k , f ( 2,1 ) =2 k , f ( 2,2 )=4 k , f ( 2,3 )=6 k , f ( 3,1 )=3 k , f ( 3,2 )=6 k ,
and f ( 3,3 ) =9 k .

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To satisfy the first condition of Theorem 1 above, the constant k must be nonnegative,
and to satisfy the second condition,
k +2 k +3 k +2 k +4 k +6 k +3 k +6 k +9 k=1
1
⇒ 36 k =1 ⇒ k =
36
Definition 2
The X and Y are discrete random variables, the function given by
F ( x , y )= pr ( X ≤x , Y ≤ y )=∑ ∑ f ( s, t )
s≤x t≤ y, for −∞< x <∞ ; −∞< y< ∞
where f ( s, t ) is the value of the joint probability distribution of X and Y at ( s ,t ) , is
called the joint distribution function or the joint Cumulative Distribution Function, of X
and Y.

Example 3
With reference to example 1 find F ( 1,1 ) .
Solution
F ( 1,1 )=Pr ( X ≤1 ,Y ≤1 )
1 2 1 1 8
=f ( 0,0)+ f ( 0,1)+ f ( 1,0)+ f ( 1,1)= + + + =
6 9 3 6 9
As in the univariate case, the joint distribution function of two random variables is
defined for all real numbers.
For instance, for example 1, we get F (−2,1 )= pr ( X ≤−2 ,Y ≤1 )=0 and
F ( 3 .7,4 . 5 ) =pr ( X ≤3 .7 , Y ≤4 . 5 )=1

Definition 3
A bivariate function with values f ( x , y ) , defined over the XY − plane is called a joint
probability density function of a continuous random variable X and Y iff
pr [ ( X , Y ) ∈ A ]=∬ f ( x , y ) dxdy
A
for any region A in the XY − plane .
Theorem 2
A bivariate function can serve as a joint probability density function of a pair of
continuous random variables X and Y if its values, f ( x , y ) , satisfy the conditions:
f ( x , y ) ≥0 for −∞< x <∞ , −∞< y <∞ ;
(1)
∫∫ f ( x , y ) dx dy = 1
x y
(2)
Example 4
Given the joint probability density function

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 3
5 {
f ( x , y ) =¿ x ( y+ x ) for 0<x<1, 0<y<2 ¿ ¿¿¿
X and Y , find Pr [ ( x , y ) ∈ A ] where A
of two random variables is the region
( x , y ) / 0< x < 12 , 1< y< 2
{ }
Solution
Pr [ ( x , y ) ∈ A ]=Pr 0< X < 12 , 1< Y <2
[ ]
1
2 2

∫ ∫ 35 x ( y+x ) dxdy
= y=1 x=0
2 1 2 2
3 x2 y 3x 3 3y 1 3 y2 y 11
=
∫
y=1
[ 10
+
15 ] 2
x =0
dy
=
∫(
y =1 40 40 ) [
+ dy= +
80 40 ] =
y =1 80

Analogous to definition 2, we have the following definition of the joint distribution

function of two continuous random variables.

Definition 4
If X and Y are continuous random variables, the function given by
y x
F ( x , y )=Pr ( X≤x ,Y ≤ y )= ∫ ∫ f ( s,t ) dsdt
, for −∞< x <∞ ; −∞< y <∞
−∞ −∞
where f ( s, t ) is the value of the joint probability density of X and Y at ( s ,t ) is
called the joint Cumulative Density Function of X and Y .
We shall limit our discussion here to random variable whose joint cumulative density
function is continuous everywhere and partially differentiable with respect to each
variable for all but a finite set of values of two random variables.
d
f (x )= [ F ( x ) ]
Analogous to the relationship dx for univariate case, partial
2
f ( x , y ) = ∂ F ( x, y )
differentiation in definition 4leads to ∂ x∂ y
wherever these partial
derivatives exist.
The joint cumulative density function of two continuous random variables determines
their joint probability density function at all points ( x , y ) where the joint density is
continuous.
Example 5
If the joint probability density of X and Y is given by

f ( x,y ) =¿ { x+y for 0<x<1; 0<y<1¿¿¿¿

Find the cumulative density function of these two random variables.

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Solution
The cumulative density function of X and Y is defined as;
y x
F ( x , y )=Pr ( X≤x ,Y ≤ y )= ∫ ∫ f ( s, t ) dsdt
−∞ −∞
y x y 2 x y
s x2
= ∫ ∫ ( s+t ) dsdt= ∫
t=0 s=0 t=0
[ ] 2
+st
s=0
dt = ∫
t=0
[ 2
+ xt−0 dt]
y
x 2 t xt 2 x 2 y xy 2 1
= [
2 2
+ ]t =0
=
2
+ = xy ( x+ y)
2 2

Example 6
Find the joint probability density of the two random variables X and Y whose joint
cumulative density function is given by

F ( x , y )=¿ {( 1−e−x )( 1−e− y ) ¿ ¿¿¿

Also we use the joint probability density function to determine Pr ( 1< X <3 , 1<Y < 2 )
Solution
(a) Since the partial differentiation yields
2 2
∂ F ( x , y ) = ∂ [ ( 1−e−x )( 1−e−y ) ]
∂ x∂ y ∂ x∂ y
= ∂ ∂ ( 1−e−x )( 1−e− y ) = ∂ ( 1−e−x )× ∂ ( 1−e− y )
∂x ∂ y [ ∂x ∂y ]
= ∂ ( 1−e−x )×(−e− y ) = −e− y ∂ ( 1−e− x )
∂x ∂x =−e− y (−e− x )=e−x e− y =e−x− y
=e−( x + y )
2
f (x , y)= ∂ F ( x, y )=e
− ( x+ y )
for x>0, and y>0
∂ x∂ y
i.e. = 0, elsewhere
We find that the joint probability density of X and Y is given by:
−( x+y )
{
f (x, y)=¿ e for x>0, and y>0 ¿ ¿¿¿
2 3
Pr ( 1< X <3 , 1<Y <2 )= ∫ ∫ e−( x + y ) dxdy
y =1 x=1
(b)
2 2 2
3
=∫ [ − e−( x+ y ) x =1 ] dy = ∫ −( e − (3+ y ) − ( 1+ y )
−e ) dy= ∫ [− e−( 3+ y ) +e−( 1+ y ) ] dy
y=1 y=1 y=1

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 2
e −(1+ y )
[ ]
2 2
−1 −( 3+ y ) 2
=− ∫ e +∫ e dy = ( e
−( 3+ y ) − ( 1+ y )
] y=1 + 2 2
y=1 y=1 −1 −1 y=1 =[ e−( 3+ y ) ] y=1−[ e−( 1+ y ) ] y=1
=e−5 −e−4 −( e−3−e−2 )=e−5 −e−4−e−3 +e−2=0.074
For two random variables the joint probability is geometrically speaking, a surface and
the probability that we calculated in the preceding example is given by the volume
under this surface as shown in the figure (2) below;

EXERCISE
1. If the values of the joint probability distribution of X and Y are as shown in the table
below:
x

0 1 2
1 1 1
0 12 6 24
y 1 1 1
1 4 4 40
1 1
2 8 20 0
1
3 120 0 0

Find
a) Pr ( X =1 , Y =2 ) ; [ 1 20 ]
b) Pr ( X = 0 , 1≤Y <3 ) → [38]
c) Pr ( X +Y ≤1 ) [12] →
7
Pr ( X >Y ) → [ 30 ]
d)
1
F ( 1 . 2 , 0 . 9 ) →[ 4 ]
e)
f) F (−3 , 1. 5 ) → [ 0 ]
7
F ( 2,0 ) → [ 24 ]
g)
119
F (4 , 2. 7) → [ 120 ]
h)

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2. If the joint probability density of X and Y is given by;

f ( x,y ) =¿ {c ( x2+y2) for x=−1, 0, 1, 3; y=−1, 2, 3 ¿ ¿¿¿

1

Find the value of c.

[ ]
c=
89

Hence find:
Pr ( X ≤1 , Y >2 ) → [ 29 89 ]
(a)
Pr ( X = 0 ,Y ≤2 ) → [ 5 89 ]
(b)
Pr ( X +Y >2 ) → [ 55 89 ]
(c)

(3) Determine k so that

f ( x,y ) =¿ {kx ( x −y ) ¿¿¿¿

for 0<x <1 , −x < y <x
can serve as a joint probability density function. [ k=2 ]
(4) A certain college gives attitude test in the sciences and the humanities to all
entering fresher if X and Yare, respectively, the proportions of correct answers a
student gets on the tests in the two subjects, the joint probability distribution of
these random variables can be approximated with the joint probability density
2
{
f ( x , y ) =¿ (2x+3 y) for 0<x<1, 0<y<1 ¿ ¿¿¿
5
What are the probabilities that a student will get:
(a) Less than 0.40 on both tests; [ 0 .064 ]

(b) More than 0.08 on the science test and lee than 0.50 on the humanities
test?
[ 0 .102 ]

(5) Suppose that P, the price of a certain commodity (in dollar), and S, its total sales
(in 10,000 units), are random variables, whose joint probability density can be
approximated closely with the joint probability density.

f ( p,s )=¿ {5 pe−ps for 0.20<p<0.40, s>0 ¿ ¿¿¿

Find the probabilities that;
a) The price will be less than 30 cents and sale will exceed 20 ,000 units

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b) The price will be between 25 cents and 30 cents and sales will be less than
20 ,000 units

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