Chapter 2

Find:
1. Marginal of x
X -1 0 2 Total
P(x) 0.2 0.4 0.4 1

2. Marginal of y
Y 1 3 Total
P(Y) 0.6 0.4 1

3. Ex=-1(0.2)+0(0.4)+2(0.4)=0.6
4. Ey=1(0.6)+3(0.4)=1.8
5. Var(x)? Var(x)=Ex2-(Ex)2
Ex2=1(0.2)+0(0.4)+4(0.4)=1.8
Var(x)=1.8-(0.6)2=1.44
𝑃(𝑦=3,𝑥=0) 0.1 1
6. P(y=3/x=0)= = =
𝑃(𝑥=0) 0.4 4
7. P(x+1>y)=0.2
8. P(x+y=3)=0.2+0.1=0.3
  Definition:
The variables X and Y are said to be independent.
If for each value of X, say x; and each value of Y,
say y;
P(X=xi,Y=yi)=P(X=xi)P(Y=yi).

 Example:
Consider the following distribution:
x Y -2 2 Total
1 ? ? 0.3
4 ? ? ?
5 0.1 ? ?
Total 0.2 ? 1

Given that X and Y are independent, Find the missing

data?
 Definition:
Let X,Y be 2 variables, let u(x,y) be a function in x
and y whose value is a univariate then
E(u(x,y))=[[u(x,y)P(X=x,Y=y).
Example:
Consider the following Bivariate distribution :
x y -1 0 1 Total
1 0.3 0.1 0.2 0.6
2 0.1 0.2 0.1 0.4
Total 0.4 0.3 0.3 1

Compute: 1) Ex=1.4
2) Ey=-0.1
3) Exy=-1(1)(0.3)+0(1)(0.1)+1(1)(0.2)+
2(-1)(0.1)+2(0)(0.2)+2(1)(0.1)
= -0.3+0+0.2-0.2+0+0.2= -0.1
4) E(3xy-x+y-1)
=3Exy-Ex+Ey-1
=3(-0.1)-1.4-0.1-1=-2.8
 The covariance: the covariance of x and y is denoted
by cov(x,y) and given by
Cov(x,y)=Exy-ExEy.
5) Cov(x,y)=-0.1-(1.4)(-0.1)=0.04

 Properties:
1. If x and y are independent then Cov(x,y)=0
2. Cov(ax+b,cy+d)=ac cov(x,y)

6) cov(2x+1,1-3y)=2(-3) cov(x,y)
= -6(0.04) = -0.24
Correlation:
The correlation coefficient of X and y is denoted by
Corr(x,y) or P(x,y) it is given by
𝑐𝑜𝑣 (𝑥,𝑦)
Corr(x,y)= .
√𝑉𝑎𝑟(𝑥)√𝑉𝑎𝑟(𝑦)
 Properties
1. -1≤ 𝐶𝑜𝑟𝑟(𝑥, 𝑦) ≤ 1
𝑐𝑜𝑟𝑟(𝑥, 𝑦), 𝐼𝑓 𝑎𝑐 > 0
2. 𝐶𝑜𝑟𝑟(𝑎𝑥 + 𝑏, 𝑐𝑦 + 𝑑 ) = {
−𝑐𝑜𝑟𝑟(𝑥, 𝑦), 𝐼𝑓 𝑎𝑐 < 0
3. If x and y are independent then corr(x,y)=0.
 An Important property is
Var(ax+by+c)=a2Var(x)+b2Var(y)+2ab cov (x,y)
Example:
Given that Ex=1, Ey=3
Exy=1, Var(x)=4, Ey2=10, Find
1) Cov(x,y)= Exy-ExEy=1-3=-2
2
2) Corr(x,y)=− = −1
2(1)
3) Corr(2x+1, 1-y)=-Corr(x,y)=1
4) Var(2x-3y+1)=4Var(x)+9Var(y)-2(3)Cov(x,y)
=4(4)+9(1)-6(-2)=49s