Applied Statistics and Probability For Engineers

Applied Statistics and
Probability for Engineers

Sixth Edition
Douglas C. Montgomery George C. Runger
Chapter 5
Joint Probability Distributions
Copyright © 2014 John Wiley & Sons, Inc. All rights reserved.
5
Joint Probability
Distributions
CHAPTER OUTLINE
5-1 Two or More Random Variables 5-2 Covariance and Correlation
5-1.1 Joint Probability Distributions 5-3 Common Joint Distributions
5-1.2 Marginal Probability Distributions 5-3.1 Multinomial Probability Distribution
5-1.3 Conditional Probability Distributions 5-3.2 Bivariate Normal Distribution
5-1.4 Independence 5-4 Linear Functions of Random Variables
5-1.5 More Than Two Random Variables 5-5 General Functions of Random Variables
5-6 Moment Generating Functions
Chapter 5 Title and Outline

2
Learning Objectives for Chapter 5
After careful study of this chapter, you should be able to do the
following:
1. Use joint probability mass functions and joint probability density functions to
calculate probabilities.
2. Calculate marginal and conditional probability distributions from joint probability
distributions.
3. Interpret and calculate covariances and correlations between random variables.
4. Use the multinomial distribution to determine probabilities.
5. Properties of a bivariate normal distribution and to draw contour plots for the
probability density function.
6. Calculate means and variances for linear combinations of random variables,
and calculate probabilities for linear combinations of normally distributed
random variables.
7. Determine the distribution of a general function of a random variable.
8. Calculate moment generating functions and use them to determine moments
and distributions
Chapter 5 Learning Objectives 3

Joint Probability Mass Function
Sec 5-1.1 Joint Probability Distributions 4

Joint Probability Density Function
The joint probability density function for the continuous
random variables X and Y, denotes as fXY(x,y), satisfies the
following properties:
Figure 5-2 Joint probability

density function for the random
variables X and Y. Probability
that (X, Y) is in the region R is
determined by the volume of
fXY(x,y) over the region R.

Example 5-2: Server Access Time-1
Let the random variable X denote the time until a computer
server connects to your machine (in milliseconds), and let Y
denote the time until the server authorizes you as a valid user (in
milliseconds). X and Y measure the wait from a common
starting point (x < y). The joint probability density function for X
and Y is
f XY  x, y   ke 0.001x 0.002 y for 0  x  y   and k  6 106
Figure 5-4 The joint probability

density function of X and Y is
nonzero over the shaded region
where x < y.

The region with nonzero probability is shaded in
Fig. 5-4. We verify that it integrates to 1 as follows:
 
  0.001x 0.002 y 

 0.002 y  0.001x
 
 f XY  x, y  dydx     ke dy dx  k    e dy  e dx
  00  00 
 
 e0.002 x  0.001x
 k e dx  0.003  e 0.003 x
dx
0
0.002  0
 1 
 0.003   1
 0.003 

Now calculate a probability:
1000 2000
P  X  1000, Y  2000     f XY  x, y  dydx
0 x
 2000 0.002 y  0.001x

1000
k    e dy  e dx
0  x 
1000
 e 0.002 x  e 4  0.001x
k   e dx
0 
0.002 
1000
 0.003 
0
e 0.003 x  e 4 e 0.001x dx
Figure 5-5 Region of
integration for the probability
 1  e3  4  1  e 1  
 0.003  e   that X < 1000 and Y < 2000
 0.003   0.001  is darkly shaded.
 0.003  316.738  11.578   0.915

Marginal Probability Distributions (discrete)
The marginal probability distribution for X is found by summing the probabilities
in each column whereas the marginal probability distribution for Y is found by
summing the probabilities in each row.
f X  x    f  xy 
y = Res pons e x = Number of Bars of
time(neares t S ignal S trength
y s econd) 1 2 3 f (y )
fY  y    f  xy 
1 0.01 0.02 0.25 0.28
2 0.02 0.03 0.20 0.25
x 3 0.02 0.10 0.05 0.17
4 0.15 0.10 0.05 0.30
f (x ) 0.20 0.25 0.55 1.00
Marginal probability distributions of X and Y
Sec 5-1.2 Marginal Probability Distributions 9

Marginal Probability Density Function (continuous)
If the joint probability density function of

random variables X and Y is fXY(x,y), the
marginal probability density functions of X
and Y are:

For the random variables that
denotes times in Example 5-2,
find the probability that Y
exceeds 2000 milliseconds.
Integrate the joint PDF directly

using the picture to determine
the limits.
2000
   
 
P  Y  2000      f XY  x, y  dy dx     f XY  x, y  dy dx
0  2000  2000  x 
Dark region  left dark region  right dark region

Alternatively, find the marginal PDF and then

integrate that to find the desired probability.
y 
fY  y    ke 0.001 x  0.002 y
dx P  Y  2000    fY  y  dy
0 2000
y 
 ke 0.002 y  e 0.001x dx  6 10 3

 e0.002 y  1  e 0.001 y  dy
2000
0
e 
0.001 x y
 e 0.002 y    e 0.003 y   
 ke 0.002 y
   6 103   
 0.001 0   0.002 2000   0.003 2000  
  
 
 e 4 e 6 
 1 e  0.001 y
 6 10  3
   0.05
 ke 0.002 y    0.002 0.003 
 0.001 
 6 103 e 0.002 y  1  e 0.001 y  for y  0

Mean & Variance of a Marginal Distribution
E(X) and V(X) can be obtained by first calculating the marginal
probability distribution of X and then determining E(X) and V(X) by
the usual method.
E  X    x  fX  x
R
V  X    x 2  f X  x    X2
R
E  Y    y  fY  y 
R
V  Y    y 2  fY  y   Y2
R

Mean & Variance for Example 5-1
y = Res pons e x = Numbe r of Ba rs
time (nea res t of S ignal S trength f (y ) y *f (y ) y 2*f (y )
s econd) 1 2 3
1 0.01 0.02 0.25 0.28 0.28 0.28
2 0.02 0.03 0.20 0.25 0.50 1.00
3 0.02 0.10 0.05 0.17 0.51 1.53
4 0.15 0.10 0.05 0.30 1.20 4.80
f (x ) 0.20 0.25 0.55 1.00 2.49 7.61
x *f (x ) 0.20 0.50 1.65 2.35
x 2*f (x ) 0.20 1.00 4.95 6.15
E(X) = 2.35 V(X) = 6.15 – 2.352 = 6.15 – 5.52 = 0.6275
E(Y) = 2.49 V(Y) = 7.61 – 2.492 = 7.61 – 16.20 = 1.4099

Conditional Probability Density Function
Sec 5-1.3 Conditional Probability Distributions 15

Example 5-6: Conditional Probability-1
From Example 5-2, determine the conditional PDF for Y given X=x.

f X  x    k  e 0.001x 0.002 y dy
x
 e 0.002 y 

 ke 0.001x  
 0.002 
 x 
 e 0.002 
0.001x
 ke  
 0.002 
 0.003e 0.003 x for x  0
f XY  x, y  ke 0.001x 0.002 y
fY x  y  
f X ( x) 0.003e 0.003 x
 0.002e0.002 x 0.002 y for 0  x and x  y
Example 5-6: Conditional Probability-2
Now find the probability that Y exceeds 2000 given that X=1500:
P  Y  2000 X  1500 

  fY 1500  y  dy
2000

0.002 1500   0.002 y
 
2000
0.002e
 e 0.002 y  
 0.002e3  
 0.002 2000 
 
 e 4
 1
 0.002e 
3
  e  0.368
 0.002 
Mean & Variance of Conditional Random Variables
• The conditional mean of Y given X = x,

denoted as E(Y|x) or μY|x is
E  Y x    y  fY x  y 
y
• The conditional variance of Y given X = x,

denoted as V(Y|x) or σ2Y|x is
V  Y x    y  Y x  
2
 fY x  y    y 2  fY x  y   Y2 x
y y

Example 5-8: Conditional Mean And Variance
From Example 5-2 & 5-6, what is the conditional mean for
Y given that x = 1500?
 
E  Y X  1500    y  0.002e 0.002 1500   0.002 y
dy  0.002e 3
 y  e 0.002 y dy
1500 1500
 e 0.002 y  
 e 0.002 y  
 0.002e  y
3
    dy 
 0.002 1500 1500 
0.002  
  0.002 y


3  1500 3 e
 0.002e e  
 0.002   0.002   0.002  
  1500  
 1500 3 e 3 
 0.002e  3
e  
 0.002  0.002  0.002 
 e 3 
 0.002e  3
 2000    2000
 0.002 
If the connect time is 1500 ms, then the expected time to be authorized is 2000 ms.
Example 5-9
For the discrete random variables in Exercise 5-1,
what is the conditional mean of Y given X=1?
y = Res pons e x = Numbe r of Bars
time(neares t of S ignal S trength f (y )
s econd) 1 2 3
1 0.01 0.02 0.25 0.28
2 0.02 0.03 0.20 0.25
3 0.02 0.10 0.05 0.17
4 0.15 0.10 0.05 0.30
f (x ) 0.20 0.25 0.55 y*f(y|x=1) y2*f(y|x=1)
1 0.050 0.080 0.455 0.05 0.05
2 0.100 0.120 0.364 0.20 0.40
3 0.100 0.400 0.091 0.30 0.90
4 0.750 0.400 0.091 3.00 12.00
Sum of f(y|x) 1.000 1.000 1.000 3.55 13.35
12.6025
0.7475
The mean number of attempts given one bar is 3.55 with variance of 0.7475.
Independent Random Variables
For random variables X and Y, if any one of the
following properties is true, the others are also true.
Then X and Y are independent.
Sec 5-1.4 Independence 21

Example 5-11: Independent Random Variables
• Suppose the Example 5-2 is modified such that the joint
PDF is:
f XY  x, y   2 10 e
6 0.001 x  0.002 y
for x  0 and y  0.
• Are X and Y independent?

 
f X  x    2 10 e6 0.001 x  0.002 y

dy fY  y    2 106 e0.001x 0.002 y dx
0 0
 0.001e 0.001x for x  0  0.002e 0.002 y for y > 0
• Find the probability
P  X  1000, Y  1000   P  X  1000   P  Y  1000 

 e 1   1  e 2   0.318
Sec 5-1.4 Independence 22

Joint Probability Density Function
The joint probability density function for the continuous

random variables X1, X2, X3, …Xp, denoted as
f  x , x ,..., x  satisfies the following properties:
X1 X 2 ... X p 1 2 p
Sec 5-1.5 More Than Two Random Variables 23

Example 5-14: Component Lifetimes
In an electronic assembly, let X1, X2, X3, X4 denote
the lifetimes of 4 components in hours. The joint
PDF is:
f X1 X 2 X 3 X 4  x1 , x2 , x3 , x4   9 1012 e 0.001x1 0.002 x2 0.0015 x3 0.003 x4 for x i  0
What is the probability that the device operates

more than 1000 hours?
The joint PDF is a product of exponential PDFs.
P(X1 > 1000, X2 > 1000, X3 > 1000, X4 > 1000)
= e-1-2-1.5-3 = e-7.5 = 0.00055

Marginal Probability Density Function

Mean & Variance of a Joint Distribution
The mean and variance of Xi can be
determined from either the marginal PDF, or
the joint PDF as follows:

Example 5-16
Points that have positive probability in the
joint probability distribution of three random
variables X1 , X2 , X3 are shown in Figure.
Suppose the 10 points are equally likely
with probability 0.1 each. The range is the
non-negative integers with x1+x2+x3 = 3
List the marginal PDF of X2
P (X2 = 0) = f x1x2 x3(3,0,0) + f x1x2 x3(0,0,3) + f x1x2 x3(1,0,2) + f x1x2 x3(2,0,1) = 0.4
P (X2 = 1) = f x1x2 x3(2,1,0) + f x1x2 x3(0,1,2) + f x1x2 x3(1,1,1) = 0.3
P (X2 = 2) = f x1x2 x3(1,2,0) + f x1x2 x3(0,2,1) = 0.2
P (X2 = 3) = f x1x2 x3(0,3,0) = 0.1
Also, E(x2) = 0(0.4) + 1(0.3) + 2(0.2) + 3(0.1) = 1

Distribution of a Subset of Random Variables

Conditional Probability Distributions
• Conditional probability distributions can be
developed for multiple random variables by
extension of the ideas used for two random
variables.
• Suppose p = 5 and we wish to find the
distribution conditional on X4 and X5.
f X1 X 2 X 3 X 4 X 5  x1 , x2 , x3 , x4 , x5 
f X1 X 2 X 3 X 4 X 5  x1 , x2 , x3  
f X 4 X 5  x4 , x5 
for f X 4 X 5  x4 , x5   0.

Independence with Multiple Variables
The concept of independence can be extended to

multiple variables.

Example 5-18: Layer Thickness
Suppose X1,X2, and X3 represent the thickness in μm of a
substrate, an active layer and a coating layer of a chemical
product. Assume that these variables are independent and
normally distributed with parameters and specified limits as
tabled.
P a ra m e te rs Norm a l
What proportion of the product a nd s pe cifie d Ra ndom Va ria ble s
meets all specifications? lim its X1 X2 X3
Answer: 0.7783, 3 layer product. Me a n (μ) 10,000 1,000 80
S td de v (σ) 250 20 4
Lowe r lim it 9,200 950 75
Which one of the three Uppe r lim it 10,800 1,050 85
thicknesses has the least P (in lim its ) 0.99863 0.98758 0.78870
probability of meeting specs? P (a ll in lim its ) = 0.77783
Answer: Layer 3 has least prob.

Covariance
• Covariance is a measure of the relationship
between two random variables.
• First, we need to describe the expected value of a
function of two random variables. Let h(X, Y)
denote the function of interest.
Sec 5-2 Covariance & Correlation 32

Example 5-19: Expected Value of a Function of Two Random Variables
For the joint probability distribution of the two random variables in

Example 5-1, calculate E [(X-μX)(Y-μY)].
The result is obtained by multiplying x - μX times y - μY, times fxy(X,Y) for

each point in the range of (X,Y). First, μX and μy were determined
previously from the marginal distributions for X and Y:
μX = 2.35 and μy = 2.49
Therefore,

Covariance Defined

Correlation (ρ = rho)

Example 5-21: Covariance & Correlation
Determine the covariance x y f(x, y) x-μX y-μY Prod
and correlation to the figure 0 0 0.2 -1.8 -1.2 0.42
1 1 0.1 -0.8 -0.2 0.01
below. 1 2 0.1 -0.8 0.8 -0.07
Joint
2 1 0.1 0.2 -0.2 0.00
2 2 0.1 0.2 0.8 0.02
3 3 0.4 1.2 1.8 0.88
0 0.2 covariance = 1.260
1 0.2 correlation = 0.926
2 0.2
Marginal
3 0.4 Note the strong
0 0.2 positive correlation.
1 0.2
2 0.2
3 0.4
μX = 1.8
Mean
μY = 1.8
Figure 5-13 Discrete joint σX = 1.1662
StDev
distribution, f(x, y).

σY = 1.1662
Independence Implies ρ = 0
• If X and Y are independent random
variables,
σXY = ρXY = 0
• ρXY = 0 is necessary, but not a sufficient

condition for independence.

Example 5-23: Independence Implies Zero Covariance
Let f XY  xy   x  y 16 for 0  x  2 and 0  y  4
Show that  XY  E  XY   E  X   E  Y   0
1  2 2 
4 2
1  2
4 2
 E  XY      x y dx dy
E X  
16 0  0
 x ydx dy 16 0  0 

1
4  3 2

x  3 2 2 x
1
4
 y  dy
  y dy 16 0  3 0
16 0  3 0   
  4
1 8 
1  y 2   8  1 16 4
4
  y 2   dy
      16 0  3 
16  2 0   3  6 2 3
 
1  y3  1 64 32
4
1 
4 2
     
E  Y      xy 2 dx dy 6 3
 0

6 3 9 Figure 5-15 A planar
16 0  0  joint distribution.
 2 2
 XY  E  XY   E  X  .E  Y 
4
1 2 x
 y  dy
16 0  2 0 
  32 4 8
   0
9 3 3
2  y 3  1 64 8
4
    
16  3 0  8 3 3
 

Multinomial Probability Distribution
• Suppose a random experiment consists of a series of n trials.
Assume that:
1) The outcome of each trial can be classifies into one of k classes.
2) The probability of a trial resulting in one of the k outcomes is
constant, and equal to p1, p2, …, pk.
3) The trials are independent.
• The random variables X1, X2,…, Xk denote the number of
outcomes in each class and have a multinomial distribution
and probability mass function:
Sec 5-3.1 Multinomial Probability Distribution 39

Example 5-25: Digital Channel
Of the 20 bits received over a digital channel, 14 are of excellent
quality, 3 are good, 2 are fair, 1 is poor. The sequence received was
EEEEEEEEEEEEEEGGGFFP. Let the random variables X1 , X2 , X3,
and X4 denote the number of bits that are E, G, F , and P, respectively,
in a transmission of 20 bits. What is the probability that 12 bits are E, 6
bits are G, 2 are F, and 0 are P?
20!
P  X 1  12, X 2  6, X 3  2, X 4  0   0.6120.360.08 20.02 0  0.0358
12!6!2!0!
Using Excel
0.03582 = (FACT(20)/(FACT(12)*FACT(6)*FACT(2))) * 0.6^12*0.3^6*0.08^2

Multinomial Mean and Variance
The marginal distributions of the multinomial
are binomial.
If X1, X2,…, Xk have a multinomial distribution,

the marginal probability distributions of Xi is
binomial with:
E(Xi) = npi and V(Xi) = npi(1-pi)

Bivariate Normal Probability Density Function
The probability density function of a bivariate normal distribution is
1
f XY  x, y;  X ,  X , Y ,  Y ,    e u
2 X  Y 1   2
1   x   X  2 2   x   X   y  Y   y   Y  2 
where u     
2 1  2    X  X Y  Y 
2 2
for    x   and    y  .
 x  0,    x  ,
Parameter limits:  1    1
 y  0,    y  ,
Sec 5-3.2 Bivariate Normal Distribution 42

Marginal Distributions of the Bivariate Normal Random Variables
If X and Y have a bivariate normal distribution with

joint probability density function
fXY(x,y;σX,σY,μX,μY,ρ)
the marginal probability distributions of X and Y

are normal with means μX and μY and standard
deviations σX and σY, respectively.

Conditional Distribution of Bivariate Normal Random
Variables
If X and Y have a bivariate normal distribution with

joint probability density fXY(x,y;σX,σY,μX,μY,ρ), the
conditional probability distribution of Y given X = x is
normal with mean and variance as follows:
Y
Y x  Y    x  X 
X
 Y2 x   Y2  1   2 

Correlation of Bivariate Normal Random Variables
If X and Y have a bivariate normal

distribution with joint probability density
function fXY(x,y;σX,σY,μX,μY,ρ), the
correlation between X and Y is ρ.

Bivariate Normal Correlation and Independence
• In general, zero correlation does not imply

independence.
• But in the special case that X and Y have
a bivariate normal distribution, if ρ = 0,
then X and Y are independent.
If X and Y have a bivariate normal

distribution with ρ=0, X and Y are
independent.
Linear Functions of Random Variables
• A function of random variables is itself a

random variable.
• A function of random variables can be
formed by either linear or nonlinear
relationships. We limit our discussion here
to linear functions.
• Given random variables X1, X2,…,Xp and
constants c1, c2, …, cp Y= c1X1 + c2X2 + … +
cpXp is a linear combination of X1, X2,
…,Xp.
Sec 5-4 Linear Functions of Random Variables 47
Mean and Variance of a Linear Function
If X1, X2,…,Xp are random variables, and Y= c1X1 + c2X2 +

… + cpXp , then

Example 5-31: Error Propagation
A semiconductor product consists of three layers.
The variances of the thickness of each layer is 25,
40 and 30 nm. What is the variance of the finished
product?
Answer:

Mean and Variance of an Average

Reproductive Property of the Normal Distribution

Example 5-32: Linear Function of Independent Normal Random variables
Let the random variables X1 and X2 denote P a ra me te rs of

X1 X2
the length and width of a manufactured Me a n 2 5
part. Their parameters are shown in the S td De v 0.1 0.2
table. What is the probability that the

perimeter exceeds 14.5 cm?
Let Y  2 X 1  2 X 2  perimeter
E  Y   2 E  X 1   2 E  X 2   2  2   2  5   14 cm
V  Y   22V  X 1   22 V  X 2   4  0.1  4  0.2   0.04  0.16  0.20
2 2
SD  Y   0.20  0.4472 cm
 14.5  14 
P  Y  14.5   1      1    1.1180   0.1318
 .4472 
Using Excel
0.1318 = 1 - NORMDIST(14.5, 14, SQRT(0.2), TRUE)

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)]
Sec 5-5 General Functions of Random Variables 53
Example 5-34: Function of a Discrete Random Variable
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 = X2.
Solution:
– Since X ≥ 0, the transformation is one-to-one.
– The inverse transform function is X = y .
– fY(y) = p(1-p) y-1 , y = 1, 4, 9, 16,…

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 distribution of Y is
fY(y) = fX[u(y)]∙|J|
where J = u’(y) is called the Jacobian of the
transformation and the absolute value of J is used.

Example 5-35: Function of a Continuous Random Variable
Let X be a continuous random variable with

probability distribution:x
f X ( x)  for 0  x  4
8
Find the probability distribution of Y = h(X) = 2X + 4
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
fY  y  
 y  4 2 1 y  4
  for 4  y  12.
8 2 32

Definition of Moments about the Origin
The rth moment about the origin of the

random variable X is
 X r f ( x), X discrete

 'r  E ( X )  
r

r
X f ( x)dx, X continuous
 
Sec 5-6 Moment Generating Functions 57

Definition of a Moment-Generating Function
The moment-generating function of the random variable X is
the expected value of etX and is denoted by MX (t). That is,
 etX f ( x), X discrete


M X (t )  M (e )   tX
tX
  e f ( x)dx, X continuous
 
Let X be a random variable with moment-generating

function MX (t). Then
d r M X (t )
 'r  r
|t  0
dt
Example 5-36 Moment-Generating Function for a Binomial Random Variable-
1
n
Let X follows a binomial distribution, that is f ( x)    p x (1  p )n  x , x  0,1,...., n
 x
Determine the moment generating function and use it to verify that the
mean and variance of the binomial random variable are μ=np and
σ2=np(1-p).
The moment-generating function is
n
n x n
n t x
M X (t )   e   p (1  p )    ( pe ) (1  p) n  x
tx n x
x 0  x x 0  x 
which is the binomial expansion of

[ pet  (1  p )]n
Now the first and second order derivatives will be

M x' (t )  npet [1  p (et  1)]n 1 and
M x'' (t )  npet (1  p  npet )[1  p (et  1)]n  2

Example 5-36 Moment-Generating Function for a Binomial Random Variable-
2
If we set t = 0 in the above two equations we get
M x' (t )  1'    np and

M x'' (t )  2'  np (1  p  np )
Now the variance is
 2  2'   2  np(1  p  np )  ( np)2

 np  np 2
 np (1  p )
Hence, the mean is   np and variance is  2  np(1  p).

Properties of Moment-Generating Function
If X is a random variable and a is a constant, then

1. M X  a (t )  e at M X (t )
2. M aX (t )  M X (at )
If X 1 , X 2 ,..., X n are independent random variables with
moment generating functions M X1 (t ), M X 2 (t ),..., M X n (t )
respectively, and if Y  X 1  X 2  ...  X n then the moment
generating function of Y is
3. M Y (t )  M X1 (t ).M X 2 (t ). ... .M X n (t )

Example 5-38 Distribution of a Sum of Poisson Random Variables
Suppose that X1 and X2 are two independent Poisson random variables
with parameters λ1 and λ2, respectively. Determine the probability
distribution of Y = X1 + X2.
The moment-generating function of a Poisson random variable with
parameter λ is
t
M X (t )  e  ( e 1)
1 ( et 1) 2 ( et 1)
Hence for X1 and X2, M X1 (t )  e and M X 2 (t )  e
Using M Y (t )  M X1 (t ).M X 2 (t ). ... .M X n (t ) , the moment-generating
function of Y = X1 + X2 is
M Y (t )  M X1 (t ).M X 2 (t )
1 ( et 1) 2 ( et 1)
e e
( 1  2 )( et 1)
e
Important Terms & Concepts for Chapter 5
Bivariate distribution
Bivariate normal distribution General functions of random
Conditional mean variables
Conditional probability density Independence
function Joint probability density
Conditional probability mass function
function Joint probability mass function
Conditional variance Linear functions of random
Contour plots variables
Correlation Marginal probability distribution
Covariance Multinomial distribution
Error propagation Reproductive property of the
normal distribution
Chapter 5 Summary 63

Applied Statistics and Probability For Engineers

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Applied Statistics and Probability For Engineers

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Applied Statistics and

Probability for Engineers

Chapter 5 Title and Outline

Chapter 5 Learning Objectives 3

Sec 5-1.1 Joint Probability Distributions 4

Figure 5-2 Joint probability

Sec 5-1.1 Joint Probability Distributions 5

Figure 5-4 The joint probability

Sec 5-1.1 Joint Probability Distributions 6

Sec 5-1.1 Joint Probability Distributions 7

 2000 0.002 y  0.001x

Sec 5-1.1 Joint Probability Distributions 8

Marginal probability distributions of X and Y

Sec 5-1.2 Marginal Probability Distributions 9

If the joint probability density function of

Sec 5-1.2 Marginal Probability Distributions 10

Integrate the joint PDF directly

Sec 5-1.2 Marginal Probability Distributions 11

Alternatively, find the marginal PDF and then

 ke 0.002 y  e 0.001x dx  6 10 3

Sec 5-1.2 Marginal Probability Distributions 12

Sec 5-1.2 Marginal Probability Distributions 13

E(X) = 2.35 V(X) = 6.15 – 2.352 = 6.15 – 5.52 = 0.6275

E(Y) = 2.49 V(Y) = 7.61 – 2.492 = 7.61 – 16.20 = 1.4099

Sec 5-1.2 Marginal Probability Distributions 14

Sec 5-1.3 Conditional Probability Distributions 15

• The conditional mean of Y given X = x,

• The conditional variance of Y given X = x,

Sec 5-1.3 Conditional Probability Distributions 18

Sec 5-1.4 Independence 21

• Are X and Y independent?

f X  x    2 10 e6 0.001 x  0.002 y

 0.001e 0.001x for x  0  0.002e 0.002 y for y > 0

• Find the probability

P  X  1000, Y  1000   P  X  1000   P  Y  1000 

Sec 5-1.4 Independence 22

The joint probability density function for the continuous

Sec 5-1.5 More Than Two Random Variables 23

What is the probability that the device operates

Sec 5-1.5 More Than Two Random Variables 24

Sec 5-1.5 More Than Two Random Variables 25

Sec 5-1.5 More Than Two Random Variables 26

List the marginal PDF of X2

Also, E(x2) = 0(0.4) + 1(0.3) + 2(0.2) + 3(0.1) = 1

Sec 5-1.5 More Than Two Random Variables 28

Sec 5-1.5 More Than Two Random Variables 29

The concept of independence can be extended to

Sec 5-1.5 More Than Two Random Variables 30

Sec 5-1.5 More Than Two Random Variables 31

Sec 5-2 Covariance & Correlation 32

For the joint probability distribution of the two random variables in

The result is obtained by multiplying x - μX times y - μY, times fxy(X,Y) for

μX = 2.35 and μy = 2.49

Sec 5-2 Covariance & Correlation 33

Sec 5-2 Covariance & Correlation 34

Sec 5-2 Covariance & Correlation 35

distribution, f(x, y).

• ρXY = 0 is necessary, but not a sufficient

Sec 5-2 Covariance & Correlation 37

Sec 5-2 Covariance & Correlation 38

Sec 5-3.1 Multinomial Probability Distribution 39

Sec 5-3.1 Multinomial Probability Distribution 40

If X1, X2,…, Xk have a multinomial distribution,