Unit.3.

Two Dimensional Random Variables

MISRIMAL NAVAJEE MUNOTH JAIN ENGINEERING COLLEGE

DEPARTMENT OF MATHEMATICS

PROBABILITY AND QUEUING THEORY (MA 2262)

SEMESTER-IV
QUESTION BANK – II
UNIT– II - TWO DIMENSIONAL RANDOM VARIABLES

PART -A
Problem 1 Let X and Y have joint density function f  x, y   2, 0  x  y  1 .Find the marginal
density functions and the conditional density function Y given X  x .

Solution:
Marginal density function of X is given by

fX  x  f  x   f  x, y  dy

1 1
  f  x, y  dy   2dy  2  y  x
1

x x

 2 1  x  , 0  x  1.
Marginal density function of Y is given by

fY  y   f  y    f  x, y  dx

y

  2dx  2 y, 0  y  1 .
0

Conditional distribution function of Y given X  x is f y  x   f f x ,xy   2 12 x   1 1 x .

Problem 2 Two random variables X and Y have the joint p.d.f f  x, y   Ae  (2 x  y ) , x, y  0 .
Find A.
Solution:
Since f  x, y  is a joint density function
 

  f  x, y  dxdy  1 .
 

   Ae (2 x  y ) dxdy  1
0 0

1
Unit.3. Two Dimensional Random Variables

 
 e2 x 
 A e  y
 dy  1
0  2 0

1
 A e y dy  1
0
2

1  e y 
A  1
2  1  0
1
A 1  1  A  2
2
Problem 3 Verify whether X and Y are independent if f  x, y   kxy, 0  x  y, 0  y  4
Solution:
Since f  x, y  is a joint density function
 

  f  x, y  dxdy  1 .
 
4 y
   kxydxdy  1
0 0
y
4
 x2 
 k  y   dy  1
0  2 0
4
1 3 1 1
 k y dy  1  k  y 4   1  k 32  1  k 
4

0
2 8 0 32
Marginal density function of X is given by

fX  x  f  x   f  x, y  dy

4
1  y2 
4
1 x
  xydy  x   , 0 x  y
0
32 32  2  0 4
Marginal density function of Y is given by

fY  y   f  y    f  x, y  dx

y
 x2 
y
1 1 y3
  xydx  y   , 0 y 4
0
32 32  2  0 64
x y3
f  x  . f  y   .  f  x, y 
4 64
 X and Y are not independent.

Problem 4 Two random variables X and Y have the joint p.d.f f  x, y   x  y,

0  x  1, 0  y  1. Determine the marginal distributions of X and Y.
Solution:
2
Unit.3. Two Dimensional Random Variables

Marginal density function of X is given by


fX  x  f  x   f  x, y  dy

1
1
 y2  1
  ( x  y )dy   xy    x  , 0  x  1
0  2  y 0 2
Marginal density function of Y is given by

fY  y   f  y    f  x, y  dx

1
1
 x2  1
  ( x  y )dx    xy    y, 0  y  1
0 2  x 0 2
Problem 5 Suppose that the joint density function of X and Y is
 Ae x  y , 0  x  y, 0  y  
f  x, y    Determine A .
0 , otherwise
Solution:
Since f  x, y  is a joint density function
 

  f  x, y  dxdy  1 .
 
 y
   Ae  x e y dxdy  1
0 0
 y
 e x 
 A e  y
 dy  1
0  1 0

 A  e y  e 2 y  dy  1
0

 e y e 2 y 
 A   1
 1 2  0
1
 A  1 A  2
2

Problem 6 Examine whether the variables X and Y are independent, whose joint density
function is f  x, y   xe   , 0  x, y   .
 x y 1

Solution:
The marginal probability function of X is
 
fX  x  f  x   f  x, y  dy   xe
 x  y 1
dy
 0

3
Unit.3. Two Dimensional Random Variables


 e  x y 1 
   0  e   e ,
x x
 x
  x 0
The marginal probability function of Y is
 
fY  y   f  y   f  x, y  dx   x e
 x  y 1

 0
dx


  e x y 1    e  x y 1  
 x    2 
    y  1  0   y  1  0
1

 y  1
2

1
Here f  x  . f  y   e  x   f  x, y 
1  y 
2

 X and Y are not independent.

Problem 7 If X has an exponential distribution with parameter 1. Find the pdf of y  x

Solution:
Since y  x , x  y 2
Since X has an exponential distribution with parameter 1, the pdf of X is given by
f X  x   e x , x  0  f  x    e   x ,   1
dx
 fY  y   f X  x 
dy
 e  x 2 y  2 ye  y
2

fY  y   2 ye  y , y  0
2

  
Problem 8 If X is uniformly distributed random variable in   ,  , Find the probability
 2 2
density function of Y  tanX .
Solution:
Given Y  tanX  x  tan 1 y
dx 1
 
dy 1  y 2
  
Since X is uniformly distribution in   ,  ,
 2 2
1 1
fX  x  
ba  
2 2

4
Unit.3. Two Dimensional Random Variables

1  
fX  x  ,  x
 2 2
dx 1  1 
Now fY  y   f X  x    ,    y  
dy   1  y 2 
1
 fY  y   ,   y  
 1  y 2 

Problem 9 If the Joint probability density function of  x, y  is given by f  x, y   24 y 1  x  ,

0  y  x  1 Find E  XY  .

Solution:
1 1
E  xy     xyf  x, y  dxdy y
0 y
1 1
 24   xy 2 1  x  dxdy x y
0 y
1
 1 y 2 y3  4
 24  y 2     dy  . x
0 6 2 3 15

Problem 10 If X and Y are random Variables, Prove that Cov  X , Y   E  XY   E  X  E Y 

Solution:
cov  X , Y   E  X  E  X   Y  E Y   
 E  XY  XY  YX  XY 
 E  XY   XE Y   YE  X   XY
 E  XY   XY  XY  XY
 E  XY   E  X  E Y   E  X   X , E Y   Y 

Problem 11 If X and Y are independent random variables prove that cov  x, y   0

Solution:
cov  x, y   E  xy   E  x  E  y 
But if X and Y are independent then E  xy   E  x  E  y 
cov  x, y   E  x  E  y   E  x  E  y  Therefore cov  x, y   0.

Problem 12 Write any two properties of regression coefficients.

Solution:
1. Correction coefficients is the geometric mean of regression coefficients
2. If one of the regression coefficients is greater than unity then the other should be less
than 1.

5
Unit.3. Two Dimensional Random Variables

y 
bxy  r and byx  r x
x y
If bxy  1 then byx  1

Problem 13 Write the angle between the regression lines.

Solution:
The slopes of the regression lines are
y 1y
m1  r , m2 
x r x
If  is the angle between the lines, Then
 x y 1  r 2 
tan   2
 x   y2  r 

When r  0 , that is when there is no correlation between x and y, tan    (or)  
2
and so the regression lines are perpendicular
When r  1 or r  1 , that is when there is a perfect correlation ve or ve ,   0 and so the
lines coincide.

Problem 14 State central limit theorem

Solution:
If X 1 , X 2 .... X n is a sequence of independent random variable E  X i   i and
Var  X i    i2 , i  1, 2,....n and if S n  X 1  X 2  ......  X n then under several conditions S n
n n
follows a normal distribution with mean    i and variance  2    i2 as n   .
i 1 i 1

Problem 15 Fill up the blanks:

i). Two random variables are said to be orthogonal if correction is ______zero
ii). If X  Y then correlation coefficients between them is _____1

PART - B
Problem 16 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
i. Find k .
ii. Find the marginal density function of X and Y .
iii. Are X and Y independent?
iv. 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

6
Unit.3. Two Dimensional Random Variables

 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
   
2
2 2
 x2
2

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.

7
Unit.3. Two Dimensional Random Variables

(iv). Conditional p.d.f fY

X
 y x  is given by
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

 1  2
0  y  2
(v) P 


x  1  Y X x  1

 f
0
y
 dy 
 
1

1 1 y
2
5
 
20 2
dy 
32
.

Problem 17 a) 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
. 
b). Three balls are drawn at random without replacement from a box containing 2 white, 3 red
and 4 black balls. If X denotes the number of white balls drawn and Y denotes the number of
red balls drawn find the joint probability distribution of  X , Y  .
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
820
1
1  
3
x2
 
82 6 x 
2
 xy  dy
0
3
1 11  1 11y y 2 
3
    y  dy    
822  8 2 2 2
3
P  X  1  Y  3 
8

8
Unit.3. Two Dimensional Random Variables

1 3 x
1
(ii). P  X  Y  3    8  6  x  y  dydx
0 2
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  3 x  x  2  9  x2  6 x  
 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

8 0  2
   4 x   dx
2
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

9
Unit.3. Two Dimensional Random Variables

3 3
3 8  8
  
3
5 y 1 y2 
2  4  dy
4 
5y  
2 2
3 8 3
   .
8 5 5

b). Let X takes 0, 1, 2 and Y takes 0, 1, 2 and 3.

P  X  0, Y  0   P ( drawing 3 balls none of which is white or red)
 P ( all the 3 balls drawn are black)
4C 4  3  2 1 1
 3  .
9C3 98 7 21
P  X  0, Y  1  P( drawing 1 red ball and 2 black balls)
3C1  4C2 3
= 
9C3 14
P  X  0, Y  2   P( drawing 2 red balls and 1 black ball)
3C2  4C1 3  2  4  3 1
   .
9C3 98 7 7
P  X  0, Y  3  P( all the three balls drawn are red and no white ball)
3C3 1
= 
9C3 84
P  X  1, Y  0   P( drawing 1White and no red ball)
2 43
2C  4C2
= 1  1 2
9C3 98 7
1 2  3
12 1 2  3 1
  .
98 7 7
P  X  1, Y  1  P( drawing 1White and 1 red ball)
23
2C  3C1 9  8  7 2
 1  
9C3 1 2  3 7
P  X  1, Y  2   P( drawing 1White and 2 red ball)
2C1  3C2 2  3  2 1
  
9C3 9  8  7 14
1 2  3
P  X  1, Y  3  0 (Since only three balls are drawn)
P  X  2, Y  0   P( drawing 2 white balls and no red balls)

10
Unit.3. Two Dimensional Random Variables

2C2  4C1 1
 
9C3 21
P  X  2, Y  1  P( drawing 2 white balls and no red balls)
2C2  3C1 1
 
9C3 28
P  X  2, Y  2   0
P  X  2, Y  3  0
The joint probability distribution of  X , Y  may be represented as
Y 0 1 2 3
X
1 3 1 1
0
21 14 7 84
1 2 1
1 0
7 7 14
1 1
2 0 0
21 28

Problem 18 a) 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
.
b) The joint probability mass function of a bivariate discrete random variable  X , Y  in given
by the table.
X
Y 1 2 3
1 0.1 0.1 0.2
2 0.2 0.3 0.1
Find
i. The marginal probability mass function of X and Y .
ii. The conditional distribution of X given Y  1 .
iii. P  X  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.

11
Unit.3. Two Dimensional Random Variables

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
(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
1
 36  .
6 6 
36

12
Unit.3. Two Dimensional Random Variables

b). 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

13
Unit.3. Two Dimensional Random Variables

P  X  1  Y  1
When X  1 , P X  1 Y 1 
P  Y  1
PXY 1,1 0.1
   0.25
PY 1 0.4
P  2,1 0.1
When X  2 , P X  2 Y 1 
P 1
XY

0.4
Y
 0.25

P  3,1 0.2

When X  3 , P X  3
Y 1 
P 1
XY

Y

0.4
 0.5

(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

Problem 19 a) 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 .
b) The joint probability density function of  X , Y  is given by
 2 x2
 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:
a). 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

14
Unit.3. Two Dimensional Random Variables

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  x, y 
f  x
1
and is obtained in

the following table.

X
0 1 2
Y
1 2
0 0
3 3
1 3 5
1
9 9 9
1 1 1
2
6 3 2
P  X  0, Y  0 

P Y 0
X 0  
P  X  0

0
6
0

27
2
   

P Y 1
X 0
 P X 0,
P  X  0
Y 1
 27 
6 3
1

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 Y 1
X 1
P X 1,
P  X  1
Y 1
 27  
9 9 3
3 1

27
5
     27  5

P Y 2
X 1
 P X 1, Y
P  X  1
2
9 9
27
2
   

P Y 0
X 2

P
 X 2, Y
P  X  2
0
 27 
12 6
1

27

15
Unit.3. Two Dimensional Random Variables

4
P  X  2, Y  1

P Y 1
X 2
 
P  X  2
 27 
12 3
1

27
6
     27  1

P Y 2
X 2

P
X 2, Y
P  X  2
2
12 2
27

x2
b). 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

 1
x  2
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
    . y x 1 x2
 6 24 1 24
(ii) P  X  Y     f XY  x, y  dxdy y 1
R2

 2 x2 
1 y

P X  Y      xy  8  dxdy yx
y 0 x 0 
y
 x 2 y 2 x3 
1
    dy x0 x
0
2 24  0
1
1
 y4 y3   y5 y4 
     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

16
Unit.3. Two Dimensional Random Variables

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  1  y 2 y 2 1  y 3 
    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

Problem 20 a) 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
i. Find the marginal density of X and Y .
ii. Are X and Y independent.
iii. P 1  X  3, 1  Y  2 .
b) The joint probability distribution of X and Y is given by
6  x  y

f  x, y    8
, 0  x  2, 2  y  4

. Find P 1  Y  3 
X 2
.
0 , otherwise
Solution:
a). 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 
   y  x  y  
 e e
x  
 x  y 
e , x  0, y  0
 f  x, y   
0 , otherwise

17
Unit.3. Two Dimensional Random Variables

(ii) The marginal probability function of X is given by

f  x  fX  x
 

 f  x, y  dy   e
  x y 
 dy
 0

 e  x  y  
 
 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



 x  y 
 e 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
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

18
Unit.3. Two Dimensional Random Variables

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

    dy
3

P 1 Y  3  f y
X 2 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

Problem 21 a) Two random variables X and Y have the following joint probability density
2  x  y, 0  x  1, 0  y  1
function f  x, y    . Find the marginal probability density function
0 , otherwise
of X and Y . Also find the covariance between X and Y .
6 x y
b) If f  x, y   , 0  x  2, 2  y  4 for a bivariate  X , Y  , find the correlation
8
coefficient
Solution:
 2  x  y, 0  x  1, 0  y  1
a) 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
Unit.3. Two Dimensional Random Variables

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    2 2 3  0 12
0
2
3 
1 1
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

 
   2xy  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  XY 
 XY
Marginal density function of X is

20
Unit.3. Two Dimensional Random Variables


6 x y  6  2x
4
fX  x   f  x, y  dy  2  8  dy  8
Marginal density function of Y is

6 x y  10  2 y
2
fY  y    f  x, y  dx     dx 
0 

8 8
 6  2x 
2 2
Then E  X    xf X  x  dx   x   dx
0 
0
8 
2
1  6 x 2 2 x3 
   
8 2 3 0
1 16  1 20 5
 12     
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 x4 
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 
2
 dy  
8 3
  
4 2 3
25
2
2
 5  11
Var  X     E X     E  X    1    
2 2 2
X
 6  36
2
25  17  11
Var Y     E Y     E Y   
2
2
Y
2
  
3  6  36
6 x y 
4 2
E  XY     xy   dxdy
2 0  8 
2
1  6 x2 y x3 y x2 y 2 
4
     dy
82 2 3 2 0
4
1   1 12 y 2 8 y 2 2 y 3 
4
8
  12 y  y  2 y 2 dy     
8 2 3  8 2 3 2 3 2
1 64 128 16 16  1  56 
 96    24      
8 3 3 3 3  8 3 
7
E  XY  
3
7  5  17 

E  XY   E  X  E Y  3  6  6 

 XY  
 XY 11 11
6 6

21
Unit.3. Two Dimensional Random Variables

1
 XY   .
11

Problem 22 a) Let the random variables X and Y have pdf

1
f  x, y   ,  x, y    0, 0  , 1,1 ,  2, 0  . Compute the correlation coefficient.
3
b) Let X 1 and X 2 be two independent random variables with means 5 and 10 and standard
devotions 2 and 3 respectively. Obtain the correlation coefficient of UV where U  3 X 1  4 X 2
and V  3 X 1  X 2 .
Solution:
a). The probability distribution is

X 0 1 2 P Y 
Y
1 1
0 3 0 0 3
1 1
1 0 3 0 3
1 1
0 0 0 3 3
P X  1 1 1
3 3 3

 1  1  1
E  X    xi pi  xi    0    1    2    1
i  3  3  3
 1  1  1 1
E Y    yi p j  y j    0    1    0   
j  3  3  3 3
 1  1  1 5
 
E X 2   xi p  xi    0    1    4   
2

 3  3  3 3
i

  5
Var ( X )  E X 2   E  X     1 
2
2

3 3
 1  1  1 1
 
E Y 2   y j p  y j    0     1    0   
2

 3  3  3 3
j

 
V Y   E Y 2   E Y     
1 1 2
2

3 9 9
E  XY   E  X  E Y 
Correlation coefficient  XY 
V  X  V Y 

22
Unit.3. Two Dimensional Random Variables

E  XY    xi y j p  xi , y j 
i j

1 1 1 1
 0.0.  0.1.0  1.0.0  1.1.  1.2.0  0.0.0  0.1.0  0.2. 
3 3 3 3
1 1
 1  
 XY 
3 3  0
2 2

3 9
Correlation coefficient  0 .

b). Given E  X 1   5, E  X 2   10
V  X 1   4, V  X 2   9
Since X and Y are independent E  XY   E  X  E Y 
E UV   E U  E V 
Correlation coefficient 
Var U Var V 
E U   E  3 X 1  4 X 2   3E  X 1   4 E  X 2 
  3  5    4 10   15  40  55.
E V   E  3 X 1  X 2   3E  X 1   E  X 2 
  3  5   10  15  10  5
E UV   E  3 X 1  4 X 2  3 X 1  X 2  
 E 9 X 1  3 X 1 X 2  12 X 1 X 2  4 X 2 
2 2

   
 9 E X 1  3E  X 1 X 2   12 E  X 1 X 2   4 E X 2
2 2

 9E  X   9E  X X   4E  X 
2 2
1 1 2 2

 9E  X   9E  X  E  X   4E  X 
2 2
1 1 2 2

 9 E  X   450  4 E  X 
2 2
1 2

V  X   E  X    E  X  
2 2
1 1 1

E  X   V  X    E  X    4  25  29
2 2
1 1 1

E  X   V  X    E  X    9  100  109
2 2
2 2 2

 E UV    9  29   450   4 109 

 261  450  436  275
Cov(U , V )  E UV   E U  E V 
 275   5  55   0
Since Cov U , V   0, Correlation coefficient  0 .

23
Unit.3. Two Dimensional Random Variables

Problem 23 a) Let the random variable X has the marginal density function
1 1
f  x   1,   x  and let the conditional density of Y be
2 2
 1
1, x  y  x  1,   x  0
 

 2
f y  . Prove that the variables X and Y are uncorrelated.
x
1,  x  y  1  x, 0  x  1
 2
b) Given f  x, y   xe
 x  y 1
, x  0, y  0 . Find the regression curve of Y on X .
Solution:
1 1 1
2
 x2  2 2
a). We have E  X    xf  x  dx   xdx     0

1

1  2 1
2 2 2
1
0 x 1 2 1 x
E  XY     xydxdy    xydxdy

1 x 0 x
2
1
 x 1
0
 2
1 x 
  x   ydy dx   x   ydy dx
1  x  0  x 

2
1
0 2
1 1

2  x  2 x  1 dx  2  x 1  2 x  dx
1 0

2
1
0
1  2 x3 x 2  1  x 2 2 x3  2
        0
2 3 2 1 2  2 3 0
2

Since Cov  X , Y   E  XY   E  X  E Y   0 , the variables X and Y are uncorrelated.

b). Regression curve of Y on X is E y  x

 x    yf  y x  dy

E y


f  x, y 
f  y / x 
fX  X 

Marginal density function f X  x    f  x, y  dy
0

24
Unit.3. Two Dimensional Random Variables


 x  y 1
 x e dy
0

 e x y 1 
 x   e x , x  0
  x 0

Conditional pdf of Y on X is f y
x
  
f  x, y  xe xy  x
fX  x
  x  xe  xy
e
The regression curve of Y on X is given by

 x

E y   yxe  xy dy
0

 e xy e  xy 
 x y  2 
 x x 0

  1 1
E y   y  and hence xy  1 .
x x x

x y
 , 0  x  1, 0  y  2
Problem 24 a) Given f  x, y    3 , obtain the regression of Y on X
0 , otherwise
and X on Y .
b) Distinguish between correlation and regression Analysis
Solution:
Regression of Y on X is E Y
X  
 X    yf  y x  dy

E Y


 X   ff  x,xy
f Y
X

fX  x   f  x, y  dy

2
 x y 1 y2 
2
    
3  2  0
dy xy
0
3 
2  x  1

3
f  x, y 
 
f Y
X
 
x y
f X  x  2( x  1)
y x  y
 X
2
Regression of Y on X  E Y  dy
0
2  x  1

25
Unit.3. Two Dimensional Random Variables

2
1  xy 2 y 3 
  
2  x  1  2 3 0
1  8 3x  4
  2x   
2  x  1  3  3  x  1

 Y    xf  x y  dx

E X


 y   ff x,yy
f x
Y

fY  y    f  x, y  dx

1
 x y 1  x2 
1
   dx    xy 
0
3  3 2 0
1 1 
   y
3 2 

 
f x 
y
2 x  y
2 y 1

 Y    2xyy1 dx
1
Regression of X on Y  E X
0
1
1  x2 
   xy 
2 y 1  2 0
1
y
1
 2  .
2 y 1 2
b).
1. Correlation means relationship between two variables and Regression is a Mathematical
Measure of expressing the average relationship between the two variables.
2. Correlation need not imply cause and effect relationship between the variables. Regression
analysis clearly indicates the cause and effect relationship between Variables.
3. Correlation coefficient is symmetric i.e. rxy  ryx where regression coefficient is not symmetric
4. Correlation coefficient is the measure of the direction and degree of linear relationship
between two variables. In regression using the relationship between two variables we can predict
the dependent variable value for any given independent variable value.

Problem 25 a) X any Y are two random variables with variances  x2 and  y2 respectively and
y x
r is the coefficient of correlation between them. If U  X  KY and V  X  , find the
y
value of k so that U and V are uncorrelated.
b) Find the regression lines:

26
Unit.3. Two Dimensional Random Variables

X 6 8 10 18 20 23
Y 40 36 20 14 10 2
Solution:
Given U  X  KY
E U   E  X   KE Y 
X
VX Y
Y

E V   E  X   X E Y 
Y
If U and V are uncorrelated, Cov U ,V   0
E U  E U   V  E V     0
    
 E  X  KY  E  X   KE Y     X  X Y  E  X   X E Y     0
  Y Y 
    
 E   X  E  X   K Y  E Y      X  E  X    X Y  E Y      0
  Y  
   2
 E  X  E  X    X  X  E  X  Y  E Y    K Y  E Y    X  E  X    K X Y  E Y     0
2

  Y  Y 
X 
V X  Cov  X , Y   KCov  X , Y   K X V Y   0
Y Y
   
K Cov  X , Y   X V Y    V  X   X Cov  x, y 
 Y  Y

V  X   X r X  Y
Y  X2  r X2
K 
 r X  Y   X  Y
r X  Y  X V Y 
Y
 X2 1  r  
  X .
 X  Y 1  r  Y

b).
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

27
Unit.3. Two Dimensional Random Variables

23 2 529 4 46

 X  85  Y  122  X 2
 1453 Y 2
 3596  XY  1226

 x 85  y 122
X   14.17 , Y    20.33
n 6 n 6
 x2   x 
2 2
1453  85 
x         6.44
n  n  6  6
 y2   y 
2 2
3596  122 
y        13.63
n  n  6  6 
 xy 1226
xy  14.17  20.33
r n  6  0.95
 x y  6.44 13.63
x 6.44
bxy  r  0.95   0.45
y 13.63
y 13.63
byx  r  0.95   2.01
x 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

Problem 26 a) Using the given information given below compute x , y and r . Also compute
 y when  x  2, 2 x  3 y  8 and 4 x  y  10 .
b) 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:
a). When the regression equation are Known the arithmetic means are computed by solving the
equation.
2 x  3 y  8 ------------ (1)

28
Unit.3. Two Dimensional Random Variables

4 x  y  10 ------------ (2)
(1)  2  4 x  6 y  16 ------- (3)
 2    3  5 y  6
6
y
5
6
Equation 1  2 x  3    8
5
18
 2x  8 
5
11
x
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 
 2
 bxy & byx are negative 
 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
1
bxy  
4
2 1
r   bxy byx      0.4081
3 4
2
To compute  y from equation  4  byx  
3
29
Unit.3. Two Dimensional Random Variables

y
But we know that byx  r
x
2 y
  0.4081
3 2
  y  3.26

b). 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
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

30
Unit.3. Two Dimensional Random Variables

1
Cov  X , Y  
r  8  0.26 .
V  X  V Y  1 15
4 16

Problem 27 a) 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
Y 67 68 65 68 72 72 69 71
b) If X and Y are independent exponential variates with parameters 1, find the pdf of
U  X Y .
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 2

 37028 Y 2
 38132

 x 544
X   68
n 8
 y 552
Y   69
n 8
X Y  68  69  4692
1 2 1
X   x2  X  (37028)  682  4628.5  4624  2.121
n 8
1 1
Y   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

31
Unit.3. Two Dimensional Random Variables

Cov  X , Y  3
r  X ,Y   
 XY  2.121 2.345 
3
  0.6032 .
4.973

b). 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  0, y  0
 x y

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 e  v
 e   , u  v  0, v  0
 u2v
RI R II
In Region I when u  0 v  u
 
f u    f  u, v  dv   e
u
.e 2 v dv u
u u

 e 2 v 
 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  2v  dv 
0
2
 eu
 2 , u  0
 f  u    u
e , u  0
 2

32
Unit.3. Two Dimensional Random Variables

Problem 28 The joint pdf of X and Y is given by f  x, y   e

 x  y 
, x  0, y  0 . Find the pdf of
X Y
U .
2
b) 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 distribution of
X
.
Y
Solution:
x y
a). 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
 x  y   x  y  2 u  v  v 
e 2  2e  2e
 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

b).(i) 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 

33
Unit.3. Two Dimensional Random Variables


 x2  y2 
1
 f XY  x, y   e 8 ,   x, y  
8
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 8
1  321  z 3w2  4 w2 
 e ,   z , w   .
16
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
16  
z 2     w2 
13  6 wz  3 z   3 z   
2 2
    
e  e  
1  32      

32 13 13 13
dw
16 
 

 
   
2
z 2
9z 2 13  3 z 
1  32   w 
 e 1332   e 32  13  dw
16 
 


2

1  8z13 13
 t2

16
e 

e 32
dt

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
z 1 2

2 4  
 e 813  e r r 2 dr
16 13  2 0
z 1 2

1  
 e 813  e r r 2 dr
2 13  2 0
z2
z2 
2 2 13 
2
1  1
 e 813
  e
2 13  2 2 13 2

i.e. Z  N 0, 2 13 
b).(ii) Given that X and Y are uniform Variants over  0,1

34
Unit.3. Two Dimensional Random Variables

1, 0  x  1 1, 0  y  1
 fX  x   and fY  y   
0, otherwise 0, otherwise
Since X and Y are independent,
1, 0  x, y  1
f XY  x, y   f X  x  f y  y  
0, otherwise
x
Consider the transformation u  and v  y
y
i.e. x  uv and y  v
x x
  x, y  u v
J 
  u , v  y y
u v
v 0
 v
u 1
 fUV  u , v   f XY  x, y  J
 v , 0  u  , 0  v  
The range for u and v are identified as follows.
0  x  1 and 0  y  1.  0  uv  1 and 0  v  1
 uv  0, uv  1, v  0 and v  1
 uv  0 and v  0  u  0
Now f  u    fUV  u , v  dv
The range for v differs in two regions
1
f  u    fUV  u , v dv
0
1
1
 v2  1
  vdv     , 0  u  1
0  2 0 2
1
u
f  u    fUV  u , v dv
0
1
1 u
u
 v2  1
  vdv     2 , 1  u  
0  2  0 2u
1
 2 , 0  u  1
 f u   
 1 , u 1
 2u 2

35
Unit.3. Two Dimensional Random Variables

Problem 29 a) If X 1 , X 2 ,..... X n are Poisson variates with parameter   2 . Use the central limit
theorem to estimate P 120  S n  160  where sn  X 1  X 2  ......  X n and n  75 .
b) 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   60 by more than 4.
Solution:
a). Given that E  X i     2 and Var  X i     2
[Since in Poisson distribution mean and variance are equal to  ]
i.e.   2 and  2  2
By central limit theorem, S n  N  n , n 2 
S n  N 150,150 
 120  150 160  150 
 P 120  Sn  160   P  z 
 150 150 
 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

b). Given that n  100 ,   60 ,  2  400

Since the probability statement is with respect to mean, we use the Linderberg-levy form of
central limit Theorem.
 2  2
X  N   ,  i.e. X follows normal distribution with mean '  ' 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 more than 4     60 by more than 4 

 P X  4 
 P  4  X    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

36
Unit.3. Two Dimensional Random Variables

Problem 30 a) If the variable X 1 , X 2 , X 3 , X 4 are independent uniform variates in the interval

 450,550  , find P 1900  X 1  X 2  X 3  X 4  2100  using central limit theorem.
b) A distribution with unknown mean  has a variance equal to 1.5. Use central limit
theorem to find how large a sample should be taken from the distribution in order that the
probability will be at least 0.95 that the sample mean will be within 0.5 of the population mean.
Solution
a). 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, S n  X 1  X 2  X 3  X 4 follows a normal distribution with N  n , n 2 
S n  n
The standard normal variable is given by Z 
n 2
1900  4  500 100
when S n  1900 , Z    1.732
4  833.33 57.73
2100  2000 100
when S n  2100 , Z    1.732
4  833.33 57.73
 P 1900  Sn  2100   P  1.732  z  1.732 
 2  P  0  z  1.732 
 2  0.4582  0.9164 .

b). Given E  X i    and Var  X i   1.5

Let X denote the sample mean.
 1.5 
By C.L.T, X follows N   , 
 n 


We have to find ' n ' such that P   0.5  X    0.5  0.95 

i.e. P 0.5  X    0.5  .95 

P X    0.5  .95 
  
P z  0.5  0.95
 n 
 n
P z  0.5   0.95
  
 n 
P z  0.5   0.95
 1.5 

37
Unit.3. Two Dimensional Random Variables

 
ie P Z  0.4082 n  0.95
Where ' Z ' is the standard normal variable.
 
The Last value of ' n ' is obtained from P Z  0.4082 n  0.95

 
2 P 0  z  0.4082 n  0.95
 0.4082 n  1.96
 n  23.05
The size of the sample must be atleast 24.

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