Lec 17

Section 5.
1 Joint Distributions of Discrete RVs
Joint Distribution - Example
Draw two socks at random, without replacement, from a drawer full of

Lecture 17: Joint Distributions twelve colored socks:
6 black, 4 white, 2 purple

Statistics 104
Let B be the number of Black socks, W the number of White socks
Colin Rundel drawn, then the distributions of B and W are given by:
March 26, 2012 0 1 2
6 5 15 6 6 36 6 5 15
P(B=k) 12 11 = 66 2 12 11 = 66 12 11 = 66
8 7 28 4 8 32 4 3 6
P(W=k) 12 11 = 66 2 12 11 = 66 12 11 = 66

6 6 4 8
k
Note - B ∼ HyperGeo(12, 6, 2) = 2−k
and W ∼ HyperGeo(12, 4, 2) = k
2−k

12 12
2 2
Statistics 104 (Colin Rundel) Lecture 17 March 26, 2012 1 / 32
Section 5.1 Joint Distributions of Discrete RVs Section 5.1 Joint Distributions of Discrete RVs
Joint Distribution - Example, cont. Marginal Distributions
Let B be the number of Black socks and W the number of White socks Note that the column and row sums are the distributions of B and W
drawn, then the joint distribution of B and W is given by: respectively.
P(B = b) = P(B = b, W = 0) + P(B = b, W = 1) + P(B = b, W = 2)

W 
1/66 If b=0,w=0
P(W = w ) = P(B = 0, W = w ) + P(B = 1, W = w ) + P(B = 2, W = w )


8/66 If b=0,w=1


0 1 2






6/66 If b=0,w=2
1 8 6 15

0 12/66 If b=1,w=0

66 66 66 66

These are the marginal distributions of B and W . In general,
P(B = b, W = w ) = 24/66 If b=1,w=1
12 24 36 
B 1 0 0/66 If b=1,w=2

 X X
66 66 66 P(X = x) = P(X = x, Y = y ) = P(X = x|Y = y )P(Y = y )




15/66 If b=2,w=0
15 15

2 0 0 y y


66 66


0/66 If b=2,w=1

0/66 If b=2,w=2

28 32 6 66
66 66 66 66
6 4 2

b w 2−b−w
P(B = b, W = w ) = 12
, for 0 ≤ b, w ≤ 2 and b + w ≤ 2
2
Statistics 104 (Colin Rundel) Lecture 17 March 26, 2012 2 / 32 Statistics 104 (Colin Rundel) Lecture 17 March 26, 2012 3 / 32
Section 5.1 Joint Distributions of Discrete RVs Section 5.1 Joint Distributions of Continuous RVs
Conditional Distribution Joint CDF
Conditional distributions are defined as we have seen previously with
P(X = x, Y = y ) joint pmf F (x, y ) = P[X ≤ x, Y ≤ y ]

P(X = x|Y = y ) = = = P[(X , Y ) lies south-west of the point (x, y )]
P(Y = y ) marginal pmf
Therefore the pmf for white socks given no black socks were drawn is

1 15 1
 66 66 = 15 if W = 0
P(W = w , B = 0) 
8 15 8
P(W = w |B = 0) = = 66 66 = 15 if W = 1
P(B = 0) 
 6 15
6
66 66 = 15 if W = 2 Y
(x,y)
●
Section 5.1 Joint Distributions of Continuous RVs Section 5.1 Joint Distributions of Continuous RVs
Joint CDF, cont. Marginal Distributions
The joint Cumulative distribution function follows the same rules as the We can define marginal distributions based on the CDF by setting one of
univariate CDF, the values to infinity:
Univariate definition: Z x Z ∞
Z x F (x, ∞) = P(X ≤ x, Y ≤ ∞) = f (x, y ) dy dy
F (x) = P(X ≤ x) = f (z)dz
−∞
−∞ −∞
lim F (x) = 0 lim F (x) = 1 x ≤ y ⇒ F (x) ≤ F (y ) = P(X ≤ x) = FX (x)

x→−∞ x→∞
Z y Z ∞
Bivariate definition: F (∞, y ) = P(X ≤ ∞, Y ≤ y ) = f (x, y ) dx dy
−∞ −∞
Z y Z x
F (x, y ) = P(X ≤ x, Y ≤ y ) = f (x, y ) dx dy = P(Y ≤ y ) = FY (y )
−∞ −∞
lim F (x, y ) = 0 lim F (x, y ) = 1 x ≤ x 0, y ≤ y 0 ⇒

x,y →−∞ x,y →∞
F (x, y ) ≤ F (x 0 , y 0 )
Joint pdf Marginal pdfs
Similar to the CDF the probability density function follows the same Marginal probability density functions are defined in terms of “integrating
general rules except in two dimensions, out” one of the random variables.
Z ∞
Univariate definition: fX (x) = f (x, y ) dy
d
R∞ −∞
f (x) ≥ 0 for all x f (x) = dx
F (x) −∞ f (x)dx = 1 Z ∞
fY (x) = f (x, y ) dx
−∞
Bivariate definition:
f (x, y ) ≥ 0 for all (x, y ) Previously we defined independence in terms of E (XY ) = E (X )E (Y ) ⇒
X and Y are independent. This is equivalent in the joint case of
f (x, y ) =
∂ ∂
F (x, y )
f (x, y ) = fX (x)fY (y ) ⇒ X and Y are independent.
∂x ∂y
Z ∞ Z ∞
f (x, y ) dx dy = 1
−∞ −∞
Probability and Expectation Example 1 - Joint Uniforms

Univariate definition: Z Let X , Y ∼ Unif(0, 1), it is straight forward to see graphically that
P(X ∈ A) = f (x) dx
A 
Z ∞  0 if x ∈ (−∞, 0) or y ∈ (−∞, 0)
E [g (X )] = g (x) · f (x) dx


xy if x ∈ (0, 1), y ∈ (0, 1)
−∞



Bivariate definition: F (x, y ) = x if x ∈ (0, 1), y ∈ (1, ∞)

y if x ∈ (1, ∞), y ∈ (0, 1)



Z Z 
1 if x ∈ (1, ∞), y ∈ (1, ∞)

P(X ∈ A, Y ∈ B) = f (x, y ) dx dy
A B
Z ∞ Z ∞
E [g (X , Y )] = g (x, y ) · f (x, y ) dx dy
−∞ −∞
Example 1, cont. Example 1, cont.

Based on the CDF we can calculate the pdf using the 2nd partial Based on the pdf we can calculate the marginal densities:
derivative with regard to x and y. (
1 if x ∈ (0, 1), y ∈ (0, 1)
f (x, y ) =
∂ ∂ 0 otherwise
f (x, y ) = F (x, y )
∂x ∂y
 Z ∞
0 if x ∈ (−∞, 0) or y ∈ (−∞, 0)

 fX (x) = f (x, y ) dy
1 if x ∈ (0, 1), y ∈ (0, 1)

−∞


= 0 if x ∈ (0, 1), y ∈ (1, ∞)
(R
1
1 dy if x ∈ (0, 1)


0 if x ∈ (1, ∞), y ∈ (0, 1) = R0
0 dy otherwise




0 if x ∈ (1, ∞), y ∈ (1, ∞) (
( 1 if x ∈ (0, 1)
1 if x ∈ (0, 1), y ∈ (0, 1) =
= 0 otherwise
0 otherwise
(
1 if y ∈ (0, 1)
fY (y ) =
0 otherwise
Which should not be surprising...

Expectation is also straight forward:
Z ∞ Z ∞ Z ∞ Z ∞
E (X ) = xf (x, y ) dx dy E (XY ) = xyf (x, y ) dx dy
−∞ −∞
−∞ −∞
1Z 1 1
1 !
x 2
Z Z 1 !
Z 1 Z 1 Z 1 x 2 y
= x dx dy = dy = xy dx dy = dy
0 0 0 2 0 2
0 0 0 x=0
1 1 1
Z
1 1
1
y 2
Z
= dy = y = 1/2 y
0 2 2 0 = dy = = 1/4
0 2 4 0
Z ∞ Z ∞
E (Y ) = yf (x, y ) dx dy
−∞ −∞ Note that E (XY ) = E (X )E (Y ), what does this tell us about X and Y ?
Z 1Z 1 Z 1
= y dx dy = xy |10 dy
0 0 0
1
1
y 2
Z
= y dy = = 1/2
0 2 0
Example 1, another way Example 2
If we did not feel comfortable coming up with the graphical arguments for Let X and Y be drawn uniformly from the triangle below
F (x, y ) we can also use the fact that the pdf is constant on (0, 1) × (0, 1)
to derive the same distribution / density. 4
f (x, y ) = c 3
Z ∞ Z ∞
1= f (x, y ) dx dy Y 2
−∞ −∞
Z 1Z 1
= c dx dy
0 0 1
Z 1 Z 1
= cx|10 dy = c dy
0 0
= cy |10 = c 0
0 1 2 3 4
Find the joint pdf, cdf, and marginals.

Since the joint density is constant then Depending on which range definition you choose it makes life easier when
evaluating the marginal densities.
2
f (x, y ) = c = , for 0 ≤ x + y ≤ 3 ∞
9
Z
fX (x) = f (x, y ) dy
based on the area of the triangle, but we need to be careful to define on −∞
Z 3−x
what range. We can define the range in two ways since X and Y depend 2
= dy
on each other, so we can define the range of X in terms of Y or Y in 0 9
2
terms of X . = (3 − x) for x ∈ (0, 3)
9
( Z ∞
2
9 if y ∈ (0, 3), x ∈ (0, 3 − y ) fY (y ) = f (x, y ) dy
f (x, y ) = −∞
0 otherwise Z 3−y
2
( = dx
2 9
9 if x ∈ (0, 3), y ∈ (0, 3 − x) 0
= 2
0 otherwise = (3 − y ) for y ∈ (0, 3)
9
Example 2, cont. Example 3
Finding the CDF with calculus is hard in this case, still a pain with Let f (x, y ) = cx 2 y for x 2 ≤ y ≤ 1.
graphical approaches but easier...
Find:
Z y Z x
F (x, y ) = f (x, y ) dx dy a) c
−∞ −∞
b) P[X ≥ Y ]


 0 if x ∈ (−∞, 0) or y ∈ (−∞, 0)
2
xy if x ∈ (0, 3), y ∈ (0, 3), x + y ∈ (0, 3)


9 c) fX (x) and fY (y )



(y −(3−x))(x−(3−y ))
 29 xy − if x ∈ (0, 3), y ∈ (0, 3), x + y ∈ (3, 6)


2
= 2 x2

 9 3x −

 2

if x ∈ (0, 3), y ∈ (3, ∞)
y2

2
3y − if x ∈ (3, ∞), y ∈ (0, 3)



 9 2


1 if x ∈ (3, ∞), y ∈ (3, ∞)

Example 3 - Range Example 3.a
Let f (x, y ) = cx 2 y for x 2 ≤ y ≤ 1, we can rewrite the bounds as

1 √ √
0 ≤ y ≤ 1, − y ≤ x ≤ y
Z ∞ Z ∞
1= f (x, y ) dx dy
−∞ −∞
√
Z 1Z y
= cx 2 y dx dy
0 −1
1
√y !
x 3
Z
Y = cy dy
0 3 x=−√y
Z 1
= cy 5/2 /3 + cy 5/2 /3 dy
0
1
4cy 7/2
=
21
y =0
4
= c
21
−1 0 1 c = 21/4
X
Example 3 - pdf Example 3.b

0.20
We need to integrate over the region where x 2 ≤ y ≤ 1 and x ≥ y which
is indicated in red below
0.15
1 1
0.15
f(x,y) 0.10
0.10
0.05
Y Y
0.00
1.0
0.8 1.0 0.05
0.6 0.5
0.4 0.0
y 0.2 −0.5
x −1 0 1 −1 0 1
0.0 −1.0 X X
0.00
Example 3.b, cont. Example 3.c
Z
21 2 1
Z 1 Z |x| 21 2 fX (x) = x y dy
P(X ≥ Y ) = x y dy dx 4 x2
−1 x2 4 1 !
1 x 21 x 2 y 2
=
Z Z
21 2
=2 x y dy dx 4 2 x 2
0 4
x2
Z 1 2 2 x 21 2
x − x 6 , for x ∈ (−1, 1)

42 x y =
= dx 8
4 0 2 x 2
Z 1 4
x6

42 x √
= − dx Z y 21 2
4 0 2 2 fY (y ) = x y dx
√ 4
5 1 − y
42 x x 7 √y !
= − 21 x 3 y
4 10 14 0 =
42

1 1
4 3 −√y
= − !
4 10 14 21 y 5/2
= 2
42 2 4 3
= = 0.3
4 70 7 5/2
= y , for y ∈ (0, 1)
2
Example 3.c, cont. Example 4
It is always a good idea to check that the marginals are proper densities. Let Y be the rate of calls at a help desk, and X the number of calls
between 2 pm and 4 pm one day; Let’s say that:
Z 1 Z 1 21 2
x − x 6 dx (2y )x −3y

fX (x)dx =
−1 −1 8 f (x, y ) = e
21
3
x
1
x 7 x!
= −
8 3 7 −1 for y > 0, x = 0, 1, 2, . . ..

21 1 1
= − =1
4 3 7 Find:
Z 1 Z 1
7 5/2
a) P(X = 0)
fY (y )dy = y dy
0 0 2
b) P(Y > 2)
7 2 7/2 1

= y =1
27 0 c) P[X = x] for all x
Example 4.a Example 4.b
(2y )x −3y (2y )x −3y

f (x, y ) = e , for y > 0, x = 0, 1, 2, . . . f (x, y ) = e , for y > 0, x = 0, 1, 2, . . .
x! x!
Z ∞
∞X
Z ∞
P(X = 0) = f (0, y )dy P(Y > 2) = f (x, y )dy
2 x=0
0
Z ∞ ∞X∞
(2y )x −3y
Z
= e −3y dy = e dy
0
∞ 2 x=0
x!
1
= − e −3y

∞
Z ∞ !
X (2y )x
3 0 = e −3y dy
2 x=0
x!
= 1/3
∞
Z ∞ !
X (2y ) (2y )2
= e −3y 1+ + + · · · dy
2 x=0
1 2
Z ∞ Z ∞
e −3y e 2y dy = e −y dy

=
2 2
∞
= −e −y 2 = e −2 = 0.13534
Section 5.1 Joint Distributions of Continuous RVs
Example 4.c
(2y )x −3y
f (x, y ) = e , for y > 0, x = 0, 1, 2, . . .
x!
Z ∞
P(X = x) = f (x, y )dy
0
Z ∞ (2y )x −3y
= e dy
0 x!
2x
=
3x+1
Statistics 104 (Colin Rundel) Lecture 17 March 26, 2012 32 / 32

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Section 5.

1 Joint Distributions of Discrete RVs

Joint Distribution - Example

Draw two socks at random, without replacement, from a drawer full of

6 black, 4 white, 2 purple

March 26, 2012 0 1 2

Statistics 104 (Colin Rundel) Lecture 17 March 26, 2012 1 / 32

Joint Distribution - Example, cont. Marginal Distributions

P(B = b) = P(B = b, W = 0) + P(B = b, W = 1) + P(B = b, W = 2)

Conditional Distribution Joint CDF

Conditional distributions are defined as we have seen previously with

P(X = x, Y = y ) joint pmf F (x, y ) = P[X ≤ x, Y ≤ y ]

Joint CDF, cont. Marginal Distributions

lim F (x) = 0 lim F (x) = 1 x ≤ y ⇒ F (x) ≤ F (y ) = P(X ≤ x) = FX (x)

lim F (x, y ) = 0 lim F (x, y ) = 1 x ≤ x 0, y ≤ y 0 ⇒

Joint pdf Marginal pdfs

Probability and Expectation Example 1 - Joint Uniforms

Example 1, cont. Example 1, cont.

Example 1, cont. Example 1, cont.

Example 1, another way Example 2

Find the joint pdf, cdf, and marginals.

Example 2, cont. Example 2, cont.

Example 2, cont. Example 3

Example 3 - Range Example 3.a

Let f (x, y ) = cx 2 y for x 2 ≤ y ≤ 1, we can rewrite the bounds as

Example 3 - pdf Example 3.b

Example 3.b, cont. Example 3.c

Example 3.c, cont. Example 4

Example 4.a Example 4.b

(2y )x −3y (2y )x −3y

Statistics 104 (Colin Rundel) Lecture 17 March 26, 2012 32 / 32

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