MULTIPLE

RANDOM VARIABLES

Let X,4 be two deserts random vainableswith

prufPx(x and

Py(y) respectively. The JOINT PROBABLTY M55 FUNCTION of and

X Y

defined:
Px,(x,y) P(X x,y y)
is
P(3X 354 y3)
=
= = =
=
=

H(x,y) X(S) xY(S)

-

From the joint

prof device the MARGINAL PROBABILITY
Px,y(x,y) we

MISS FUNCTION
py(x) ofX:
Px(x) P(X x) [P(X x,y y)
= =
= = =

[p(x,y)
=

y y(5)
=

y:p(x,y)>0

Similarly Pylyl=xpixP

Given X,Y caltinuous rv.5, the JOINT PROBABMTY DENSITY FUNCTION

of X,Y isthe function f(x,y) such that:

P(x x,y B)
+
+

(aSfx,y,4) oxoy
=

The MARGINAL DENAT FUNIONS of X and Y are

computed:
-A ↓

fxx) S f(xoly fy(y)=/f(x,y)dx

=

-
D
-
For both calbinous the JOINT
and discrete r.v.5 WMULTI

DISTRIBUTION FUNION Fx,y(X,4) is defined:

Fx,y(x,y) P(X- x,y=y)

=

the r.v.5 X,4 are INDEPENDENT if

P(x A,4 B) P(XCA)P(YCB)

=
+
=

HA,B IR
=

In terms
RESULT of prf/pos, X and Y are independent
H
Px,y(x,y) Px(x)Py(y)
=

and
fx,(x,y) fx(x)fy(y)
=

RESOL If X and Y are independentthen

E[xY] [x] =[4]
=

FRONSFORMATIONS R.V. 5
OF (E [] and Var() (

Given a
generic transformation 9: 1R ->IR *
↓

[[g(x9 xx15,9/px4)
discrete
=

[9/x7 ((xfx(x10
=

-
continuous
RESU For linear transformationswe have:

=[a+bX]ab=[x] =
+

Var(a+bX=b2Var(X)
Result given the r.v.5 X,Y:
[[x 4] (x) [4]
+
=
+

Var(x+y):Var (x)+Varly)
only ifX,Y are independent
CONDITIONAL AISTRIBUTIONS AND EXPECTATIONS

For X,Y discrete the

r.v.s Commonal strution of
x given y=y defined
is provided plyko:
P(X x,y y)
P(x,y)
= =

Px1y(xy) P(X x/y

=

y)= = =
=

P(Y y)
=
P(y)

The CONDITIONALEXPECTATION X
OF given y=y is defined

-(x1Y y] = xP(X x/Y y)

xxxPx,(xy)
= =
=
=

x+ X(5)

~best
guess for X that
knowing y=y
57 X and y are cautinuous r.Vs the CONDITIONAL PROBABLUTY

DENETTY FUNCTION OF X
given y=y is defined

-xi(xy1 fx,y(x,y) =

Fy(4)
The CONMIONAL
ExEUAON of X
given y=y is:

=(x17 4]
xfxi(x14)dx
=
=
EXMPK
consider the r.v. X
representing the score of

a dice with 6 sides any defined:

if
5
I X
is well
y = =

0 if X is odd
The conditional expectations for 4-90,13 are:

E[X1y 9] =

4
=

=(x14 0] = 3
=

isa ruden vanable:

Note that For y=y, X1Y=y

x 1Y 1
=

prnf:Pxx, (2)
has Y:Pxins, (4) Px 14.,(6)
=
=

also X 1Y=1 42,4,63

-

In
general 5[X14] is also a random variable:
= (X13-53,13 and
P)=(x1):3): 12
P(=[x145:4):12
If we by
set then E(x1Y=4]= f(y) is

a value instead.
RECALL Sf XuPoisson (1) p(il=P(X=i) ex
+
=

i !

RESUxvPoisson(ax), YuPoisson (14). X,Y independent

Then X+ywPoisson(dx+by)
PROOF
Pxxy(b) P(X +y n) = = =

=
P(X 0,=n) P(X 1,4 n 1) P(X 2,4 n
=
+ =
=
-
+ =
=
-
z) ...+P(X n,y 0)
+
=
=

-P(X= i,X i/independenceP(X= i/P(Y

n-
=

n
=
-
i) =

si eibey":
>

exx i! (n -i)!
(xxtbu)
(ax+bu)"
n! i noi
(bx+xu)i!(n-il!
-

=
↓xby
-
e
n!
n!

!(i) xs"=jxxx
X+ywPoisson(d,xy)
=

prf of Poisson (dx+du)

evaluated at
n
 Two call
EXAMPS centres receive an averaged, and

↳z calls
per day, respectively and
independently.
X = calls of 1 call
=

centre
Y =calls of
=
and call centre
xePoisson (d) YePasson (x2) x,4 independent
on are received
calls the two
a
given day i in

cells centres in total. I.e. XY=h

is the conditional
What distribution of the calls
in centre an such day?
i.e. XIX+Y=h
SOLUTION

P(X bx +y n) P(X h,X y n)

=
=
=

=
+
=

P(X n) =

-P(X h)P(X y=
+
=

n)X h)-

P(X +y n) =

P(X h)P(Y m )
=
=
=

P(X*Y an) =
P(X-h)P(Y ml_
=
=

fbefbu h
P(X*Y=) h! (n-h)!

(i) eibul (bitbu)"

n!
! I j
-!(n-h)
⑳°

↳ ich
(titbul -
(6, bn)(d, di)
+
+

Sal(in)" (a(*(m)p(n-p
=

x/x+= Binomial(n,p) sp ba
=

n-
PROPERLES OF CONMIONAL EXPECTATION

Recall that
[ X1] isa row. While [[X/Y:y) SIR
① (Sndependence) of and Y are
X
independent
E(x14):E[X]
② (Measurability) For
every 5:IR->IR
[f(x)/X] f(x)
= =

more generally
[[f(x)Y(x) f(x) = [41x]
=

③(law of
total expectations

-[x) [E.[X14)]
=

espection ~expectation
wrtxly
Proof
of TOTAL EXPECTION
Law of (Optional(
Assume X,Y auserete, X, Y Nso
law oftotal prob conditioning

i?,P(X=i,45j): i ,P4:j(PIX:i14:j
*

E(x) E,iP(X=i)
=
=

-Plyj)iP(X: i1:j):,PM=j3t[X1=i):
=[ = [xin)) X
 YmBe(0.5).
EXAMPLE
Define X asa 6-sideddie ify=0, andasa lo-sided
die if y 1.5.e.
=

55 4 09x(1)
=

Px(2) ...-Px(6)
= =
1/6
=

554 14x(3) Px(10) 0

=
=
=
...
-

-[x] =
?

=[x14 0] 3.5F[x14 1] 5.5

=
=
=
=

[*]
* =(4]] Py(0) =
=[x14 0] + =

Py(z) [X14=1]
0.5.3.5 +0.5. J.I
=>
The CONitowal Voroneof X
given y is
defined
Var(X14): = [(X-5 [x1)) in)
=

e.g.Var(X/4=y): residual variability"ofX

"

knowing that
y
y
=

LAW OF TOT VARIANCE

Var(x) [var(x(4)] var(=[x1u])

=
=
+

Var(X), [(x-=[xSl]=E(=[(x- (x)/]]

Proof
Det
law total
exp

E((((X -

z(x,y) z[xi) ,
-

[x])"4)7:
=

f(f)(x-[xing/in)) [var(x,nIS
-

((z()E+[x949)
-

-
-[[x19 xxx)Y]
-var (*[X14])
-

[FMMT =

f(Y)
measurability
*
f(E(2(x -

-[x1))(=(x14) R
E[x])(95:0
-

N
constantgiven a line." Measurable)
A
↓

=(2=[x [x1]/4/(+ [x14] [x])]

-
-

=(x14)
-

=[(x14)(4):5(x14] f(x14):0 -
 o? O?
↑ ↑

Exompa
(var(x) Var(=[x145) iWar (X14)])
=
+

independent i.v. 4, 5, such that

Consider two

YWNC0, 52) and EwNIO, 021, X 4+ 2 =

Var(X) 04 02
=
+

[[x14g [[7 E14]

=

[[414)
+ y[z145 measurability
=
+

independence
Y [Z) Y- =
+ =

var(*(X14])=o2
var(X1y) o2 =
* [(Var(XIY)] o
=

③ SUPER 1611 Or, SUPER

-X,,
cow
-4,
mx,,2
- 9
X,

very concentrated
distribution of XIY
-Xz,l
->
Yz ->
X2,2 In thiscase we have
-x2,3
&

1619H across
groupsvariability
X

very spread out cow between

groupsvariability
distribution of4

~ X3,

-Y - Y3,2
-
X1, 3
FXAMPU (cash machine)
Bank needs to load with money.
a cash machine
enough
On average d= 350 people withdraw money each
day, Fach persen
withdraw independently Xi errorwhere:
Vi
Px, (50):0.3. Px;/100):0.5 Pxi/200):0.2
What isthe expectation and variance of the total amount
mithdrawn in a
day?
Soc N:=
Acostumersin a
day
NwPoisson(b)
↑==total amount with drawn T
xi
=

·[i] 5 =
=

law total
( [TIN]]:
exp def
=[5(,IN7]:s[,[xiINS):
=
E
[NE(x]]:s[NSE[X]= 36750
350-105:

independence

var(t)=E(var (TIN)] +Var (ECTING) 2812500

=

=[Var (TIN=-(,Var(x;19:E(wvar (xi)] =(w) rar(Xi) =

: 350. 2725

var(=[TINS):var (NF[x]):varINIFYxS
:3502105"