ES – 71

ENGINEERING DATA
ANALYSIS

ENGR. MARY CRIS L. AYING-TAMPOS

FACULTY, CET
 COURSE OUTLINE
1. OBTAINING DATA
1.1 Methods of Data Collection
1.2 Planning and Conducting Surveys
1.3 Planning and Conducting Experiments:
Introduction to Design of Experiments

2. PROBABILITY
2.1 Relationship among Events
2.2 Counting Rules Useful in Probability
2.3 Rules of Probability
3. Discrete Probability Distribution
3.1 Random Variables and their Probability Distribution
3.2 Cumulative Distribution Functions
3.3 Expected Values of Random Variables
3.4 Binomial Distribution
3.5 Poisson Distribution
4. Continuous Probability Distribution
4.1 Continuous Random Variables and their Probability
Distribution
4.2 Expected Values of Continuous Random Variables
4.3 Normal Distribution
4.4 Normal Approximation to the Binomial and Poisson
Distribution
4.5 Exponential Distribution
5. Joint Probability Distribution
5.1 Two Random Variables
5.1.1 Joint Probability Distributions
5.1.2 Marginal Probability Distribution
5.1.3 Conditional Probability Distribution
5.1.4 More than Two Random Variables
5.2 Linear Functions of Random Variables
5.3 General Functions of Random Variables
6. Sampling Distributions and Point Estimation of Parameters
6.1 Point Estimation
6.2 Sampling Distribution and the Central Limit Theorem
6.3 General Concept of Point Estimation
6.3.1 Unbiased Estimator
6.3.2 Variance of a Point Estimator
6.3.3 Standard Error
6.3.4 Mean Squared Error of an Estimator
7. Statistical Intervals
7.1 Confidence Intervals: Simple Sample
7.2 Confidence Intervals: Multiple Samples
7.3 Prediction Intervals
7.4 Tolerance Intervals
8. Test of Hypothesis for a Single Sample
8.1 Hypothesis Testing
8.1.1 One-sided and Two-sided Hypothesis
8.1.2 P-value in Hypothesis Tests
8.1.3 General Procedure for Test of Hypothesis
8.2 Test on the Mean of a Normal Distribution, Variance
Known
8.3 Test on the Mean of a Normal Distribution, Variance
Unknown
8.4 Test on the Variance and Statistical Deviation of a Normal
Distribution
8.5 Test on a Population Proportion
9. Statistical Inference of Two Samples
9.1 Inference on the Difference in Means of Two Normal
Distributions, Variances Known
9.2 Inference on the Difference in Means of Two Normal
Distributions, Variances Unknown
9.3 Inference on the Variance of Two Normal
9.4 Inference on Two Population Proportions
10. Simple Linear Regression and Correlation
10.1 Empirical Models
10.2 Regression: Modelling Linear Relationships –
The Least-Squares Approach
10.3 Correlation: Estimating the Strength of Linear Relation
10.4 Hypothesis Tests in Simple Linear Regression
10.4.1 Use of t-tests
10.4.2 Analysis of Variance Approach to Test
Significance of Regression
10.5 Prediction of New Observations
10.6 Adequacy of the Regression Model
10.6.1 Residual Analysis
10.6.2 Coefficient of Determination
 Course References
(1) Myers, R. et. al,. 2012., “Probability and Statistics for
Engineers and Scientist”. 9th Ed.
(2) Hayter, A., 2012., “Probability and Statistics for
Engineers and Scientist”., 4th Ed.
(3) Soong, T., 2004., “Fundamentals of Probability and
Statistics for Engineers”. 1st Ed.
Grading System
Attendance : 5%
Quizzes/Participation : 15%
Prelim Exam : 20%
Midterm Exam : 20%
Prefinal Exam : 20%
Final Exam : 20%
100%

Passing Rate : 50%

 CHAPTER 5

JOINT PROBABILITY
DISTRIBUTIONS
 JOINT PROBABILITY DISTRIBUTIONS

In general, if X and Y are two random variables, the probability

distribution that defines their simultaneous behavior is called a joint
probability distribution.

If X and Y are 2 discrete random variables, this distribution can be

described with a joint probability mass function. If X and Y are
continuous, this distribution can be described with a joint probability
density function.
5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM
VARIABLES

• Two Discrete Random Variables:

If X and Y are discrete, with ranges 𝑅𝑥 and 𝑅𝑦 ,

respectively, the joint probability mass function is

𝑓 𝑥, 𝑦 = 𝑃 𝑋 = 𝑥, 𝑌 = 𝑦 , 𝑥 ∈ 𝑅𝑥 , 𝑦 ∈ 𝑅𝑦
Discrete Case

The function 𝑓 𝑥, 𝑦 is a joint probability distribution or

probability mass function of the discrete random variables 𝑋
and 𝑌 if
1. 𝑓 𝑥, 𝑦 ≥ 0 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑥, 𝑦 ,
2. 𝑥 𝑦 𝑓 𝑥, 𝑦 = 1,
3. 𝑃 𝑋 = 𝑥, 𝑌 = 𝑦 = 𝑓 𝑥, 𝑦 .
For any region 𝐴 in the 𝑥𝑦 plane,
𝑃 𝑋, 𝑌 ∈ 𝐴 = 𝐴 𝑓(𝑥, 𝑦)

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Example 1:

Two ballpoint pens are selected at random from a box that

contains 3 blue pens, 2 red pens, and 3 green pens. If X is the
number of blue pens selected and Y is the number of red pens
selected, find
a) the joint probability function f 𝑥, 𝑦
b) 𝑃[(𝑋, 𝑌) ∈ 𝐴] where A is the region { 𝑥, 𝑦 |𝑥 + 𝑦 ≤ 1}

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

a) the joint probability function f 𝑥, 𝑦

The possible pairs of values 𝑥, 𝑦 are
0,0 , 0,1 , 1,0 , 1,1 , 0,2 , and 2,0 . Now, 𝑓 0,1 , for
example, represents the probability that a red and a green pens are
selected. The total number of equally likely ways of selecting any 2
pens from the 8 is 8𝐶2 = 28.
(3𝐶0)(2𝐶1)(3𝐶1) 3
𝑓 0,1 = = 𝑓 𝑥, 𝑦 𝑥 = 0, 𝑦 = 1 =
8𝐶2 14

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

a) the joint probability function f 𝑥, 𝑦

(3𝐶1)(2𝐶1)(3𝐶0) 3
𝑓 1,1 = = 𝑓 𝑥, 𝑦 𝑥 = 1, 𝑦 = 1 =
𝐶
8 2
14

General formula:
(𝟑𝑪𝒙)(𝟐𝑪𝒚)(𝟑𝑪𝟐 − 𝒙 − 𝒚)
𝒇 𝒙, 𝒚 =
𝟖𝑪𝟐
for 𝑥 = 0, 1, 2; 𝑦 = 0, 1, 2; 𝑎𝑛𝑑 0 ≤ 𝑥 + 𝑦 ≤ 2.

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

15
28

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

b) 𝑃[(𝑋, 𝑌) ∈ 𝐴] where A is the region { 𝑥, 𝑦 |𝑥 + 𝑦 ≤ 1}

The probability that (𝑋, 𝑌) fall in the region 𝐴 is

𝑃 𝑋, 𝑌 ∈ 𝐴 = 𝑃 𝑋 + 𝑌 ≤ 1 = 𝑓 0,0 + 𝑓 0,1 + 𝑓 1,0

3 3 9 𝟗
= + + =
28 14 28 𝟏𝟒

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Example 2:

Suppose we toss a pair of fair, four-sided dice, in which one of

the dice is RED and the other is BLACK. Let,
𝑋 = the outcome on the RED die = 1, 2, 3, 4
𝑌 = the outcome on the BLACK die = 1, 2, 3, 4
Find the following:
a) What is the probability that 𝑋 takes on a particular value 𝑥,
and 𝑌 takes on a particular value 𝑦?
b) What is 𝑃 𝑋 = 𝑥, 𝑌 = 𝑦 ?

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

a) What is the probability that 𝑋 takes on a particular value 𝑥, and 𝑌 takes on a

particular value 𝑦?
𝑋 = 𝑆1 = 1, 2, 3, 4
𝑌 = 𝑆2 = 1, 2, 3, 4
Possible outcomes: 𝑥, 𝑦
1,1 , 1,2 , 1,3 , 1,4 , 2,1 , 2,2 , 2,3 , 2,4 ,
𝑆=
3,1 , 3,2 , 3,3 , 3,4 , 4,1 , 4,2 , 4,3 , (4,4)
Because the dice are fair, we should expect that each of 16 possible outcomes to
be equally likely. Therefore, using the classical approach to assigning probability,
the probability that 𝑋 equals any particular 𝑥 value, and 𝑌 equals any particular 𝑦
𝟏
value is .
𝟏𝟔
𝟏
𝑃 𝑋 = 𝑥, 𝑌 = 𝑦 =
𝟏𝟔

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:
b) What is 𝑃 𝑋 = 𝑥, 𝑌 = 𝑦 ?

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
• Two Continuous Random Variables

If X and Y are continuous random variables, the joint

density function 𝑓(𝑥, 𝑦) is a surface lying above the 𝑥𝑦 plane,
and 𝑃[(𝑋, 𝑌) ∈ 𝐴], where 𝐴 is any region in the 𝑥𝑦 plane, is
equal to the volume of the right cylinder bounded by the base 𝐴
and the surface.

𝑃[(𝑋, 𝑌) ∈ 𝐴] = 𝑓 𝑥, 𝑦 𝑑𝑦 𝑑𝑥
A

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Continuous Case

The function 𝑓 𝑥, 𝑦 is a joint density function of the

continuous random variables 𝑋 and 𝑌 if
1. 𝑓 𝑥, 𝑦 ≥ 0, 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑥, 𝑦 ,
∞ ∞
2. −∞ −∞
𝑓 𝑥, 𝑦 𝑑𝑥 𝑑𝑦 = 1,
3. 𝑃[ 𝑋, 𝑌 ∈ 𝐴] = A
𝑓 𝑥, 𝑦 𝑑𝑥 𝑑𝑦, for any region 𝐴 in
the 𝑥𝑦 plane.
𝑏 𝑑
4. 𝑃 𝑎 ≤ 𝑥 ≤ 𝑏, 𝑐 ≤ 𝑦 ≤ 𝑑 = 𝑎 𝑐
𝑓 𝑥, 𝑦 𝑑𝑦 𝑑𝑥.

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Example 3:

A privately owned business operates both a drive-in facility and a walk-in

facility. On a randomly, selected day, let 𝑋 and 𝑌, respectively, be the
proportions of the time that the drive-in and walk-in facilities are in use, and
suppose that the joint density function of these random variables is
2
5
𝑓 𝑥, 𝑦 = 2𝑥 + 3𝑦 , 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 1,
0
Find the following:
∞ ∞
a) Verify condition of joint density function, −∞ −∞
𝑓 𝑥, 𝑦 𝑑𝑥 𝑑𝑦 = 1
1 1 1
b) Find 𝑃[ 𝑋, 𝑌 ∈ 𝐴] where 𝐴 = (𝑥, 𝑦) 0 < 𝑥 < , < 𝑦 <
2 4 2

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

a) the integration of f 𝑥, 𝑦 over the whole region is

∞ ∞
−∞ −∞
𝑓 𝑥, 𝑦 𝑑𝑥 𝑑𝑦
1 1
2
= 2𝑥 + 3𝑦 𝑑𝑥 𝑑𝑦
0 0 5
1
2𝑥 2 6𝑥𝑦 𝑥=1
= + 𝑑𝑦
0 5 5 𝑥=0
1
2 6𝑦
= + 𝑑𝑦
0 5 5
2𝑦 3𝑦 2 1 2 3
= + 0
= + =𝟏
5 5 5 5

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

b) To calculate the probability, we use

1 1 1
𝑃[ 𝑋, 𝑌 ∈ 𝐴] = 𝑃 0 < 𝑥 < , < 𝑦 <
2 4 2
1/2 1/2 2
= 1/4 0
2𝑥 + 3𝑦 𝑑𝑥 𝑑𝑦
5
1/2 2𝑥 2 6𝑥𝑦 𝑥=1/2
= 1/4
+ 𝑥=0
𝑑𝑦
5 5
1/2 1 3𝑦
= 1/4 10
+ 𝑑𝑦
5
𝑦 3𝑦 2 1/2
= + 1/4
10 10
1 1 3 1 3 𝟏𝟑
= + − + =
10 2 4 4 16 𝟏𝟔𝟎

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
 Marginal Probability Distributions

The individual probability distribution of a random variable is referred to

as its marginal probability distribution.
The marginal probability distribution of X can be determined from the joint
probability distribution of X and other random variable.
The marginal distributions of 𝑋 alone and 𝑌 alone are
𝑔 𝑥 = 𝑦 𝑓(𝑥, 𝑦) and h 𝑦 = 𝑥 𝑓(𝑥, 𝑦)

for the discrete case, and

∞ ∞
𝑔 𝑥 = −∞
𝑓 𝑥, 𝑦 𝑑𝑦 and h 𝑦 = −∞
𝑓 𝑥, 𝑦 𝑑𝑥

for the continuous case.

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Example 1:
Show that the column and row totals of Table 1. give the marginal
distribution of 𝑋 alone and 𝑌 alone.

Solution:
3 3 1 5
𝑔 0 = 𝑓 0,0 + 𝑓 0,1 + 𝑓 0,2 = + + =
28 14 28 14
9 3 15
𝑔 1 = 𝑓 1,0 + 𝑓 1,1 + 𝑓 1,2 = + +0=
28 14 28
3 3
𝑔 2 = 𝑓 2,0 + 𝑓 2,1 + 𝑓 2,2 = +0+0=
28 28

𝑥 0 1 2 𝒚 0 1 2

𝑔(𝑥) 5 15 3 ℎ(𝑦) 15 3 1
14 28 28 28 7 28

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Example 2:
Find 𝑔(𝑥) and ℎ(𝑦) for the joint density function of Example 3.

Solution:
∞ ∞
𝑔 𝑥 = 𝑓 𝑥, 𝑦 𝑑𝑦 ℎ 𝑦 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞ −∞
1 1
2 2
= 2𝑥 + 3𝑦 𝑑𝑦 = 2𝑥 + 3𝑦 𝑑𝑥
0 5 0 5
1 1
4𝑥 6𝑦 4𝑥 6𝑦
= + 𝑑𝑦 = + 𝑑𝑥
0 5 5 0 5 5
1 1 1 1
4𝑥 6 4 6𝑦
= 𝑑𝑦 + 𝑦 𝑑𝑦 = 𝑥 𝑑𝑥 + 𝑥 𝑑𝑥
5 0 5 0 5 0 5 0
2 2
4𝑥𝑦 1 6 𝑦 1 4 𝑥 1 6𝑦 1
= + = + 𝑥
5 0 5 2 0 5 2 0 5 0
𝟒𝒙 + 𝟑 2 6𝑦 𝟐(𝟏 + 𝟑𝒚)
= = + =
𝟓 5 5 𝟓

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
 Conditional Probability Distribution

Let 𝑋 and 𝑌 be two random variables, discrete or continuous. The

conditional distribution of the random variable 𝑌 given that 𝑋 = 𝑥 is
𝑓(𝑥, 𝑦)
𝑓 𝑦𝑥 = , provided g(x) > 0.
𝑔(𝑥)
Similarly, the conditional distribution of the random variable 𝑋 given
that Y = 𝑦 is
𝑓(𝑥, 𝑦)
𝑓 𝑥𝑦 = , provided h(y) > 0.
ℎ(𝑦)

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
If we wish to find the probability that the discrete random variable 𝑋 falls
between 𝑎 and 𝑏 when it is known that the discrete variable 𝑌 = 𝑦, we
evaluate

𝑃(𝑎 < 𝑋 < 𝑏|𝑌 = 𝑦) = 𝑓(𝑥|𝑦)

𝑎<𝑥<𝑏

where the summation extends over all values of 𝑋 between 𝑎 and 𝑏.

When 𝑋 and 𝑌 are continuous, we evaluate
𝑏
𝑃(𝑎 < 𝑋 < 𝑏|𝑌 = 𝑦) = 𝑎
𝑓 𝑥 𝑦 𝑑𝑥

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Example 1:
Referring to Example 1, find the conditional distribution of 𝑋, given that
𝑌 = 1, and use it determine 𝑃(𝑋 = 0|𝑌 = 1)

Solution:

conditional distribution of the random variable 𝑋 given that Y = 𝑦 is

𝑓(𝑥, 𝑦)
𝑓 𝑥𝑦 = , provided h(y) > 0.
ℎ(𝑦)

h 𝑦 = 𝑓(𝑥, 𝑦)
𝑥
2
3 3 3
h 1 = 𝑓 𝑥, 1 = + +0=
14 14 7
𝑥=0

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

Now,
𝑓(𝑥, 𝑦)
𝑓 𝑥𝑦 =
ℎ(𝑦)
𝑓(𝑥, 1) 7
𝑓 𝑥1 = = 𝑓 𝑥, 1 , 𝑥 = 0,1,2
ℎ(1) 3
Therefore,
7 7 3 1
𝑓 01 = 𝑓 0,1 = = ,
3 3 14 2
7 7 3 1
𝑓 11 = 𝑓 1,1 = = ,
3 3 14 2
7 7
𝑓 21 = 𝑓 2,1 = 0 =0
3 3

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Solution:

And the conditional distribution of 𝑋, given that 𝑌 = 1, is

𝒙 𝟎 𝟏 𝟐
𝒇(𝒙|𝟏) 𝟏 𝟏 0
𝟐 𝟐
Finally,
𝟏
𝑷 𝑿=𝟎𝒀=𝟏 =𝒇 𝟎𝟏 =
𝟐
Therefore, if it is known that 1 of 2 pens refills selected is red, we have a
probability equal to ½ that the other refill is not blue.

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
 Statistical Independence

Let 𝑋 and 𝑌 be two random variables, discrete or continuous with

joint probability distribution 𝑓(𝑥, 𝑦) and marginal distribution 𝑔(𝑥)
and h(𝑦), respectively. The random variables 𝑋 and 𝑌 are said to
be statistically independent if and only if

𝒇 𝒙, 𝒚 = 𝒈 𝒙 𝒉(𝒚)

for all (𝑥, 𝑦) within their range.

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
Example 1:
Show that the random variables of Example 1 are not statistically
independent.
Solution:

Let us consider the point 0,1 . From Table 1. we find three probabilities
𝑓(0,1), 𝑔(0), and ℎ(1) to be
3
𝑓 0,1 =
14
2
3 3 1 5
𝑔(0) = 𝑓 0, 𝑦 = + + =
28 14 28 14
𝑦=0
2
3 3 3
h 1 = 𝑓 𝑥, 1 = + +0=
14 14 7
𝑥=0
Clearly,
𝒇 𝟎, 𝟏 ≠ 𝒈 𝟎 𝒉 𝟏
5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM
VARIABLES
 All the preceding definitions concerning two random variables can be
generalized to the case on 𝑛 random variables. Let 𝑓(𝑥1 , 𝑥2 , … , 𝑥𝑛 ) be the
joint probability function of the random variables 𝑥1 , 𝑥2 , … , 𝑥𝑛 .

The marginal distribution of 𝑥1 , for example, is

𝑔 𝑥1 = … 𝑓(𝑥1 , 𝑥2 , … , 𝑥𝑛 )
𝑥1 𝑥𝑛

for the discrete case, and

∞ ∞
𝑔 𝑥1 = … 𝑓(𝑥1 , 𝑥2 , … , 𝑥𝑛 )𝑑𝑥1 𝑑𝑥2 … 𝑑𝑥𝑛
−∞ −∞

for the continuous case.

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
 The joint conditional distribution of 𝑋1 , 𝑋2 , 𝑎𝑛𝑑 𝑋3 given that 𝑋4 =
𝑥4 , 𝑋5 = 𝑥5 , … , 𝑋𝑛 = 𝑥𝑛 is written
𝑓(𝑥1 , 𝑥2, … , 𝑥𝑛 )
𝑓(𝑥1 , 𝑥2 , 𝑥3 |𝑥4 , 𝑥5 , … , 𝑥𝑛 ) =
𝑔(𝑥4 , 𝑥5 , … , 𝑥𝑛 )
where 𝑔(𝑥4 , 𝑥5 , … , 𝑥𝑛 ) is the joint marginal distribution of the random
variables 𝑥4 , 𝑥5 , … , 𝑥𝑛 .

The random variables 𝑋1 , 𝑋2 , … , 𝑋𝑛 are said to be mutually statistically

independent if and only if
𝑓 𝑥1 , 𝑥2, … , 𝑥𝑛 = 𝑓1 𝑥1 , 𝑓2 𝑥2 , … 𝑓𝑛 𝑥𝑛

for all 𝑥1 , 𝑥2, … , 𝑥𝑛 within their range.

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM

VARIABLES
 Joint Probability Distributions for More Than Two Random
Variables

More than two random variables can be defined in a random experiment.

Results for multiple random variables are straightforward extensions of those for
two random variables.

• A joint probability density function for the continuous random variables

𝑋1 , 𝑋2 , 𝑋3 , … , 𝑋𝑝 , denoted as 𝑓𝑥1 , 𝑥2, … , 𝑥𝑝 (𝑥1 , 𝑥2, … , 𝑥𝑝 ) satisfies the
following properties:
1. 𝑓𝑥1 , 𝑥2, … , 𝑥𝑝 (𝑥1 , 𝑥2, … , 𝑥𝑝 ) ≥ 0, 𝑓𝑜𝑟 𝑎𝑙𝑙 𝑥, 𝑦 ,
∞ ∞ ∞
2. −∞ −∞
… −∞
𝑓𝑥1 , 𝑥2, … , 𝑥𝑝 (𝑥1 , 𝑥2, … , 𝑥𝑝 ) 𝑑𝑥1 𝑑𝑥2 … 𝑑𝑥𝑝 = 1,
3. 𝑃[(𝑥1 , 𝑥2, … , 𝑥𝑝 ) ∈ 𝐴] = 𝑓𝑥1 , 𝑥2, … , 𝑥𝑝 (𝑥1 , 𝑥2, … , 𝑥𝑝 )𝑑𝑥1 𝑑𝑥2 … 𝑑𝑥𝑝
𝐴

for any region 𝐴 in the 𝑥𝑦 plane.

5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM
VARIABLES
• If the joint probability density function of continuous random variables
𝑋1 , 𝑋2 , … , 𝑋𝑝 , is 𝑓𝑥1 , 𝑥2, … , 𝑥𝑝 (𝑥1 , 𝑥2, … , 𝑥𝑝 ), the marginal probability
distribution of 𝑋𝑖
𝑓𝑥1 (𝑥𝑖 ) = 𝑓𝑥1 , 𝑥2, … , 𝑥𝑝 (𝑥1 , 𝑥2, … , 𝑥𝑝 )𝑑𝑥1 𝑑𝑥2 … 𝑑𝑥𝑖−1 𝑑𝑥𝑖+1 … 𝑑𝑥𝑝

where the integral is over all points in the range of 𝑋1 , 𝑋2 , … , 𝑋𝑝 , for which
𝑋𝑖 = 𝑥𝑖 .

• The joint conditional probability distribution of 𝑋1 , 𝑋2 , 𝑎𝑛𝑑 𝑋3 given

(𝑋4 = 𝑥4 , 𝑋5 = 𝑥5 ) is
𝑓𝑋1 ,𝑋2 ,𝑋3 ,𝑋4 ,𝑋5 (𝑥1 ,𝑥2, 𝑥3 ,𝑥4 ,𝑥5 )
𝑓(𝑋1 , 𝑋2 , 𝑋3 , 𝑥4, 𝑥5 𝑥1 , 𝑥2, 𝑥3 =
𝑓𝑥4 𝑥5 (𝑥4 ,𝑥5 )

for 𝑓𝑥4 𝑥5 𝑥4 , 𝑥5 > 0

• Random variables 𝑋1 , 𝑋2 , … , 𝑋𝑝 are independent if and only if

𝑓(𝑋1 , 𝑋2 , … , 𝑋𝑝 𝑥1 , 𝑥2, … , 𝑥𝑝 = 𝑓𝑋1 (𝑥1 ), 𝑓𝑋2 (𝑥2 ), … , 𝑓𝑋𝑝 (𝑥𝑝 )
for all 𝑥1 , 𝑥2, … , 𝑥𝑝 .
5.1 JOINT PROBABILITY DISTRIBUTIONS FOR TWO RANDOM
VARIABLES
5.2 LINEAR FUNCTIONS OF RANDOM VARIABLES

Given random variables 𝑋1 , 𝑋2 , … , 𝑋𝑝 and constants 𝐶1 , 𝐶2 … 𝐶𝑝, the equation

below is a linear function of 𝑋1 , 𝑋2 , … , 𝑋𝑝 .
𝑌 = 𝐶1 𝑋1 + 𝐶2 𝑋2 + ⋯ + 𝐶𝑝 𝑋𝑝
• Mean of a Liner Function
𝐸 𝑌 = 𝐶1 𝐸 𝑋1 + 𝐶2 𝐸 𝑋2 + ⋯ + 𝐶𝑝 𝐸 𝑋𝑝
• Variance of Linear Function

𝑉 𝑌 = 𝐶12 𝑉 𝑋1 + 𝐶22 𝑉 𝑋2 + ⋯ + 𝐶𝑝2 𝑉 𝑋𝑝 + 2 𝐶𝑖 𝐶𝑗 𝑐𝑜𝑣( 𝑋𝑖 , 𝑋𝑗 )

𝑖<𝑗

If 𝑋1 , 𝑋2 , … , 𝑋𝑝 are independent, then cov 𝑋𝑖 , 𝑋𝑗 = 0,

𝑉 𝑌 = 𝐶12 𝑉 𝑋1 + 𝐶22 𝑉 𝑋2 + ⋯ + 𝐶𝑝2 𝑉 𝑋𝑝
Example 1:
A semiconductor product consists of three layers. Suppose that the variances in
thickness of the first, second, and third layers are 25, 40, and 30 square
nanometers, respectively, and the layer thickness are independent. What is the
variance of the thickness of the final product?

Solution:
Let 𝑋1 , 𝑋2 , 𝑋3 , and 𝑋 be random variables that denote the thicknesses of the
respective layers and the final product. Then,
𝑋 = 𝑋1 + 𝑋2 + 𝑋3
The variance of 𝑋 is:
3

𝑉 𝑋 = 𝑉( 𝑋𝑖 ) = 25 + 40 + 30 = 95 𝑛𝑚2
𝑖=1
𝑆𝐷 𝑋 = 95 = 9.747 𝑛𝑚

5.2 LINEAR FUNCTIONS OF RANDOM VARIABLES

5.3 GENERAL FUNCTIONS OF RANDOM VARIABLES

• General Function of a Discrete Random Variable

Suppose that 𝑋 is a discrete random variable with probability distribution

𝑓𝑥 (𝑥). Let 𝑌 = ℎ(𝑋) define a one-to-one transformation between the
values of 𝑋 and 𝑌 so that the equation y = ℎ(𝑥) can be solved uniquely
for 𝑥 in terms of y. Let this solution be x = 𝑢(𝑦), the inverse transform
function. Then the probability mass function of the random variable 𝑌 is
𝒇𝒚 𝒚 = 𝒇𝒙 [𝒖 𝒚 ]
Example 1: Let 𝑋 be a geometric random variable with probability
distribution
𝑓𝑥 𝑥 = 𝑝(1 − 𝑝)𝑥−1 , 𝑥 = 1,2, …
Find the probability distribution of 𝑌 = 𝑋 2 .

Solution:
Because 𝑋 ≥ 0, the transformation is one to one; that is y = 𝑥 2 and
𝑥 = 𝑦. Therefore, the distribution of the random variable 𝑌 is
𝑦−1 , 𝑦
𝑓𝑦 𝑦 = 𝑓 𝑦 = 𝑝(1 − 𝑝) = 1, 4, 9, 16, …

5.3 GENERAL FUNCTIONS OF RANDOM VARIABLES

• General Function of a Continuous Random Variable

Suppose that 𝑋 is a continuous random variable with probability

distribution 𝑓𝑥 (𝑥). Let 𝑌 = ℎ(𝑋) define a one-to-one transformation
between the values of 𝑋 and 𝑌 so that the equation y = ℎ(𝑥) can be
solved uniquely for 𝑥 in terms of y. Let this solution be x = 𝑢(𝑦), the
inverse transform function. Then the probability mass function of the
random variable 𝑌 is
𝒇𝒚 𝒚 = 𝒇𝒙 𝒖 𝒚 ∗ |𝑱|
Where 𝐽 = 𝑢′(𝑦) is called the Jocobian of the transformation and the
absolute value of 𝐽 is used.

5.3 GENERAL FUNCTIONS OF RANDOM VARIABLES

Example 1: Let 𝑋 be a continuous random variable with probability
distribution
𝑥
𝑓𝑥 𝑥 = for 0 ≤ 𝑥 ≤ 4
8
Find the probability distribution of 𝑌 = ℎ 𝑋 = 2𝑋 + 4.

Solution:
Note that 𝑌 has a one-to-one relationship to 𝑋.
𝑦−4 1
𝑥=𝑢 𝑦 = and the Jacobian is 𝐽 = 𝑢′ 𝑦 =
2 2
(𝑦 − 4)/2 1 𝑦 − 4
𝑓𝑦 𝑦 = ∗ = 𝑓𝑜𝑟 4 ≤ 𝑦 ≤ 12.
8 2 32

5.3 GENERAL FUNCTIONS OF RANDOM VARIABLES