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Definition 4.0.101. For any two random variables X and Y , the joint c.d.f. of X and Y , is
defined by
F (x, y) = P(X ≤ x, Y ≤ y) for − ∞ < x, y < ∞.
Remark 4.0.102 (Marginal c.d.f.).
Example 4.0.103. The joint c.d.f. for the vector of random variable X = (X, Y ) is given by
FX,Y (x, y) = (1 − e−αx )(1 − e−βy ) for x, y ≥ 0. Find the marginal c.d.f.
Definition 4.0.104. Z y Z x
F (x, y) = f (u, v)dudv,
−∞ −∞
Example 4.0.108. Find c, marginal p.d.f., and P(X + Y ≤ 1) for the given joint p.d.f.
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CHAPTER 4. JOINTLY DISTRIBUTED RANDOM VARIABLES
Find (a) P(X > 1, Y < 1), (b) P(X < Y ), and P(X < 3).
Example 4.0.110. Consider a circle of radius 5, and suppose that a chosen point is uniformly
distributed within the circle. If we let the center of the circle denote the origin and define X
and Y to be the coordinates of the point chosen, then find (a) fX,Y (x, y), (b) fX (x) and fY (y),
√
(c) P(D = X 2 + Y 2 ≤ 3), and (d) E(D).
Example 4.0.111 (Buffon’s needle problem). A table is ruled with equidistant parallel lines
a distance D apart. A needle of length L, where L ≤ D, is randomly thrown on the table. What
is the probability that the needle will intersect one of the lines (the other possibility being that
the needle will be completely contained in the strip between two lines)?
Definition 4.0.112. The random variables X and Y are independent if and only if their joint
c.d.f. is equal to the product of its marginal c.d.f.’s:
Similarly, if X and Y are jointly continuous, then X and Y are independent if and only if their
joint p.d.f. is equal to the product of the marginal p.d.f.’s:
(a) Are X and Y independent? (b) Find fX (x). (c) Find P(X + Y < 1).
Example 4.0.114. Are the random variables X and Y in Example 4.0.103 independent?
Remark 4.0.115. If X and Y are independent random variables, then the random variables
defined by any pair of functions g(X) and h(Y ) are also independent.
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CHAPTER 4. JOINTLY DISTRIBUTED RANDOM VARIABLES
COV(X, Y )
ρX,Y = , −1 ≤ ρX,Y ≤ 1.
σX σY
Example 4.0.118. The random variables X and Y have joint p.d.f. given by
(a) Find the value of the constant c. (b) Find the joint c.d.f. of X and Y . (c) Find the marginal
p.d.f.’s of X and Y . (d) Find the mean, variance, covariance, and correlation of X and Y .
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