4 Multivariate

distributions
more than one random variable
 Multiple random variables
Stochastic processes —> random process is NOT the same

• In this chapter we discuss a nite collection of jointly distributed

random variables.

• In particular two jointly distributed random variables.

• Generalization to more than two random variables is straightforward.

• Two random variables are an ordered pair of functions of ω, for

example, (X(ω), Y(ω)).

• Think of the probability distribution as represented by a in nitely large

sheet with total weight 1. Multiple RA

• Will focus on continuous X and Y. area = 1

one RA
- ve
infinity
infinity
fi
fi
 Ω

1 2 3 4 5 6

X Y

0 1 2 3 4 0 1

X Y
Ω
X(ω)

ω just
Y(ω)
mapping
4.1 Joint CDF
 De nition
• FXY (x, y) = P(X ≤ x, Y ≤ y)
• Abbreviated to F(x, y) if there is no ambiguity.

y (x, y)

x
fi
 F(x)

Theorem 4.1
x

A joint CDF F(x, y) satis es the following properties: one dimension

1. F(x, y) ≥ 0;
2. F(−∞, − ∞) = F(x, − ∞) = F(−∞, y) = 0, for any
−∞ < x, y < ∞;
3. F(∞, ∞) = 1;
4. For any x1 < x2 and y1 < y2,
F(x2, y2) − F(x1, y2) − F(x2, y1) + F(x1, y1) ≥ 0.
to be explained later
fi
Properties 2 & 3
y
tends to 1
1

0
tends to 0
0 0
x
 Joint CDF

F(x, y)

y
Tends to 1

Tends to 0
Property 4: F(x, y) jointly non-decreasing in x and y

F(x2, y2) − F(x1, y2) − F(x2, y1) + F(x1, y1) ≥ 0

y
this formula, is this area,
which is always non-negative
y2

Every rectangle in ℝ2 must

have a nonnegative probability

y1

x
x1 x2
 Proofs
1. F(x, y) ≥ 0. Note that

F(x, y) = P(X ≤ x, Y ≤ y) ≥ 0.

2. F(−∞, − ∞) = 0, etc . Note that

F(−∞, − ∞) = P(X ≤ − ∞, Y ≤ − ∞)
= P({ω : X(ω) ≤ − ∞, Y(ω) ≤ − ∞})
= P(∅)
=0

3. F(∞, ∞) = 1. Similar to Property 2.

 y2

Proofs
y1
x1 x2
4. F(x2, y2) − F(x1, y2) − F(x2, y1) + F(x1, y1) ≥ 0. Note that

F(x2, y2) − F(x1, y2) − F(x2, y1) + F(x1, y1)

= P(x1 < X ≤ x2, y1 < Y ≤ y2)
≥ 0.
both become zero
Remark Letting y1 = − ∞ and y2 = y, we have

F(x2, y) − F(x1, y) − F(x2, − ∞) + F(x1, − ∞) ≥ 0,

which implies F(x2, y) ≥ F(x1, y). Similarly, F(x, y2) ≥ F(x, y1). That is,
F(x, y) is non-decreasing in both x and y.
Fix y / Fix x
 Example 4.2
• Let
7 10
F(x1, y1) = 4
F(x1, y2) = 7 −1
F(x2, y1) = 8
4 8
F(x2, y2) = 10,
but

F(x2, y2) − F(x1, y2) − F(x2, y1) + F(x1, y1)

= 10 − 7 − 8 + 4
= − 1.
• F(x, y) non-decreasing in both x and y, is weaker than Property 4.
The inverse may not hold.
which means that when Property 4 is right, we can say that both x and y are non-decreasing
If both x and y are non-decreasing, we cannot say that Property 4 is right
 2
P(A) for any A ⊂ ℝ
• Once the joint CDF F(x, y) is given, P(A) for any rectangle A in ℝ2
can be determined.

• For a general A ⊂ ℝ2, A can be approximated by the union of disjoint

rectangles.

• P(A) can be obtained accordingly as the limit.

• Thus F(x, y) completely characterizes the joint distribution of X and Y.

beyond the scope of this course,

no worries
A
 Marginal CDFs
• Marginal CDF of X:

FX(x) = P(X ≤ x) = P(X ≤ x, Y ≤ ∞) = FXY (x, ∞) .

• Marginal CDF of Y:

FY (y) = FXY (∞, y) .

 Extend all the way to the top when y = inf.

FX(x) = P(X ≤ x)
remember?? Fy(y) = inf meaning, p(y <= inf)

x
x