Addis Ababa Science & Technology University

Department of Electrical & Electronics Engineering

Probability and Random Process (EEEg-2114)

Chapter 3: Multiple Random Variables

Multiple Random Variables

Outline
 Introduction
 The Joint Cumulative Distribution Function
 The Joint Probability Density and Mass Functions
 Marginal Statistics
 Independence
 Conditional Distributions
 Correlation and Covariance
 Functions of Two Random Variables

Semester-II, 2013/14 By Welelaw Y. 2

The Joint Cumulative Distribution Function
 The joint cdf of two random variables X and Y denoted by
FXY(x, y) is a function defined by:

FXY ( x, y )  P[ X ( )  x and Y ( )  y ]
 FXY ( x, y )  P ( X  x, Y  y )
where x and y are arbitrary real numbers.
Properties of the Joint cdf, FXY(x, y):
i. 0  FXY ( x, y )  1
ii . lim F XY ( x , y )  F XY (  ,  )  1
x
y

iii . lim F XY ( x , y )  F XY (  ,  )  0
x  
y  
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The Joint Probability Density Function
 The joint probability function (pdf) of two
continuous random variables X and Y is defined as:

 FXY ( x, y )
2
f XY ( x, y ) 
xy
 Thus, the joint cumulative distribution function
(cdf) is given by:
y x
f XY ( x, y )    f XY (u , v)dudv
- -

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 The Joint Probability Density Function Cont’d…..

Properties of the Joint pdf, fXY(x, y):

1. f XY (x, y)  0
 
2. - -
f XY (x, y)dxdy 1
y2 x2
3. P( x1  X  x2 , y1  Y  y2 )    f XY (x, y)dxdy
y1 x1

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The Joint Probability Mass Function

 The joint probability mass function (pmf) of two discrete

random variables X and Y is defined as:
PXY ( xi , y j )  P ( X  xi , Y  y j )
 The joint cdf can be written as:

FXY ( x, y )    PXY ( xi , y j )
xi  x y j  y

Properties of the Joint pmf, PXY (xi , yj ):

1. 0  PXY ( xi , y j )  0
2.  P xi yj
XY ( xi , y j )  1

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Marginal Statistics

 In the case of two or more random variables, the statistics of

each individual variable are called marginal statistics.
i. Marginal cdf of X and Y
F X ( x )  lim F XY ( x , y )  F XY ( x ,  )
y

FY ( y )  lim F XY ( x , y )  F XY (  , y )
x 

ii. Marginal pdf of X and Y


f X ( x)   -
f XY ( x , y ) dy

fY ( y)   f XY ( x , y ) dx
-

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Marginal Statistics Cont’d…..

iii. Marginal pmf of X and Y

P ( X  x i )  PX ( x i )  P
yj
XY ( xi , y i )

P (Y  y j )  PY ( y j )  P
xi
XY ( xi , y i )

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Independence
 If two random variables X and Y are independent, then
i. from the joint cdf

F XY ( x , y )  F X ( x ) FY ( y )

ii. from the joint pdf

f XY ( x , y )  f X ( x ) f Y ( y )

iii.from the joint pmf

PXY ( x i , y j )  PX ( x i ) PY ( y j )

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Conditional Distributions
i. Conditional Probability Density Functions
f XY ( x , y )
f X /Y ( x / y)  , fY ( y )  0
fY ( y )
f XY ( x , y )
fY / X ( y / x)  , f X ( x)  0
f X ( x)
i. Conditional Probability Mass Functions
PXY ( x i , y j )
PX / Y ( x i / y j )  , PY ( y j )  0
PY ( y j )
PXY ( x i , y j )
PY / X ( y j / x i )  , PX ( x i )  0
PX ( x i )
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Correlation and Covariance
i. Correlation

R XY  Cor ( X , Y )  E ( XY )

ii. Covariance

 XY  Cov ( X , Y )  E [( X   X )(Y   Y )]
  XY  Cov ( X , Y )  E ( XY )  E ( X ) E (Y )
iii. Correlation Coefficient
Cov ( X , Y )  XY
 XY  
 X Y  X Y
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Examples on Two Random Variables
Example-1:
The joint pdf of two continuous random variables X and Y is
given by:
kxy , 0  x  1, 0  y  1
f XY ( x, y )  
0 , otherwise
where k is a constant.
a. Find the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d. Find P( X  Y  1)
e. Find the conditional pdf of X and Y .
Semester-II, 2013/14 By Welelaw Y. 12
Examples on Two Random Variables Cont’d……
Solution:
  1 1
a.  
-  
f XY ( x , y ) dxdy  1    kxydxdy  1
0 0

1
1  x2
 k y 
  1
0
0  2
k 1  y 2 1 k
  ydy  k     1
2 0  4 0 4
k  4

Semester-II, 2013/14 By Welelaw Y. 13

Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

i. Marginal pdf of X
 1
f X ( x)   f XY ( x , y ) dy   4 xydy
 0

 y 2
1
 f X ( x )  4 x    2 x
 2 0
2 x, 0  x 1
 f X ( x)  
 0, otherwise
Semester-II, 2013/14 By Welelaw Y. 14
Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

ii. Marginal pdf of Y
 1
fY ( y )   f XY ( x , y ) dx   4 xydx
 0

 x2 1
 f Y ( y )  4 y    2 y
 2 0
2 y , 0  y 1
 fY ( y )  
0, otherwise
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Examples on Two Random Variables Cont’d……
Solution:
c. f XY ( x, y )  f X ( x ) f Y ( y )
 X and Y are independen t
1 1 y 1 x2 1
d . P( X  Y  1)    4 xydxdy   4 y  dy
0 0 0
 2 0
1 1
  4 y[1 / 2(1  y) ]dy   2( y  2 y 2  y 3 )dy
2
0 0

 2( y 2 / 2  2 y 3 / 3  y 4 / 4)  1 / 6
 P( X  Y  1)  1 / 6

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Examples on Two Random Variables Cont’d……
Solution:

e. Conditional pdf of X and Y

i. Conditional pdf of X

f XY ( x, y) 4 xy
f X / Y ( x / y)    2x
fY ( y ) 2y

2 x, 0  x  1, 0  y  1
 f X / Y ( x / y)  
0, otherwise

Semester-II, 2013/14 By Welelaw Y. 17

Examples on Two Random Variables Cont’d……
Solution:

e. Conditional pdf of X and Y

ii. Conditional pdf of Y
f XY ( x, y ) 4 xy
fY / X ( y / x)    2y
f X ( x) 2x

2 y, 0  x  1, 0  y  1
 fY / X ( y / x)  
0, otherwise

Semester-II, 2013/14 By Welelaw Y. 18

Examples on Two Random Variables Cont’d……

Example-2:
The joint pdf of two continuous random variables X and Y is
given by:
k , 0  y  x 1
f XY ( x, y )  
0, otherwise
where k is a constant.
a. Determine the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d . Find P (0  X  1 / 2)
e. Find the conditional pdf of X and Y .
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 Examples on Two Random Variables Cont’d……
Solution:

  1 1
a.  
-  
f XY ( x, y )dxdy  1  
0 y  kdxdy  1
1
 k  x   1
1

0 y
1  y 2 1 k
 k  (1  y )dy  k  y     1
0
 2 0 2
k  2

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Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

i. Marginal pdf of X
 x
f X ( x)   f XY ( x , y ) dy   2 dy
 0

x
 f X ( x )  2 y   2 x
0
2 x, 0  x 1
 f X ( x)  
 0, otherwise
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Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

ii. Marginal pdf of Y
 1
fY ( y )   f XY ( x , y ) dx   2 dx
 y

1
 f Y ( y )  2 x   2(1  y )
y
 2(1  y ), 0  y 1
 fY ( y )  
 0, otherwise
Semester-II, 2013/14 By Welelaw Y. 22
Examples on Two Random Variables Cont’d……
Solution:
c. f XY ( x, y)  f X ( x) fY ( y)
 X and Y are not independent
1/ 2 x
d. P(0  X  1/ 2)    f XY ( x, y)dydx
0 0

1/ 2 x 1/ 2 x
  2dydx   (2 y) dx
0 0 0 0
1/ 2 1/ 2
 2xdx  x  1/ 4
2
0 0
 P(0  X  1/ 2)  1/ 4
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Examples on Two Random Variables Cont’d……
Solution:

e. Conditional pdf of X and Y

i. Conditional pdf of X
f XY ( x, y) 2 1
f X / Y ( x / y)   
fY ( y) 2(1  y) (1  y)
 1
 , 0  y  x 1
 f X / Y ( x / y)  1  y
0, otherwise


Semester-II, 2013/14 By Welelaw Y. 24

Examples on Two Random Variables Cont’d……
Solution:

e. Conditional pdf of X and Y

ii. Conditional pdf of Y
f XY ( x, y ) 2 1
fY / X ( y / x)   
f X ( x) 2x x
1
 , 0  y  x 1
 fY / X ( y / x)   x
0, otherwise

Semester-II, 2013/14 By Welelaw Y. 25

Examples on Two Random Variables Cont’d……

Example-3:
The joint pmf of two discrete random variables X and Y is given
by:
k ( 2 xi  y j ) , xi  1, 2; y  1, 2
PXY ( xi , y j )  
0 , otherwise
whe re k is a constant.
a. Find the value of k .
b. Find the marginal pmf of X and Y .
c. Are X and Y independen t?

Semester-II, 2013/14 By Welelaw Y. 26

Examples on Two Random Variables Cont’d……
Solution:

a. P
xi yj
XY ( xi , y j )  1

2 2
   k ( 2 xi  y j )  1
xi 1 y j 1

 k [( 2  1)  ( 2  2)  ( 4  1)  ( 4  2)]  1
 18 k  1

 k  1 / 18
Semester-II, 2013/14 By Welelaw Y. 27
Examples on Two Random Variables Cont’d……
Solution:
b. Marginal pmf of X and Y
i. Marginal pmf of X
2
1
PX ( xi )   PXY ( xi , y j )   ( 2 xi  y j )
yj y j 1 18

1 1
 PX ( xi )  ( 2 xi  1)  ( 2 xi  2 )
18 18
1
 ( 4 xi  3), xi  1, 2
 PX ( xi )  18
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 28
Examples on Two Random Variables Cont’d……
Solution:
b. Marginal pmf of X and Y
ii. Marginal pmf of Y
2
1
PY ( y j )   PXY ( xi , y j )   ( 2 xi  y j )
xi xi 1 18

1 1
 PY ( y j )  ( 2  y j )  ( 4  y j )
18 18
1
 ( 2 y j  6), y j  1, 2
 PY ( y j )  18
0, otherwise
Semester-II, 2013/14 By Welelaw Y. 29
Examples on Two Random Variables Cont’d……
Solution:

c. PXY ( xi , y j )  PX ( xi ) PY ( y j )
 X and Y are not independent.

Semester-II, 2013/14 By Welelaw Y. 30