Continuous bivariate Maryam Tahir

joint distribution 19011513-015

 Conditional
probability
functions

Table of
Independence
Contents
Properties of
expected
values
  Conditional
probability function

The conditional p.d.f. of the continuous r.v.Y

given that X takes the value of x, is defined to be; 

Similarly, the conditional p.d.f. of the continuous

r.v. X given that Y=y is defined to be;

8/2/2022 Continuous bivariate joint distribution 3

Example

2 2
f ( x, y )  x y 0  x  k, 0  y  k
81
0 otherwise
 1st we find the value of k
 


 
f ( x, y )dxdy  1

k k
 2 2 
1     x y  dxdy
0 0
81 
Cont.
k k k5
1 
2 x3
. y dy 1
0
81 3 0 243
k
 2 k3  243  k 5
1  . y  dy
0
81 3  5
243  5 k
k
2 k 3 y2 k 3
1 . .
81 3 2 0

 2 k3 k2  Now,
1  . . 
 81 3 2 
2 2
 2k 5  f ( x, y )  x y 0  x  3,0  y  3
1 
486
 81
 
0 otherwise
Cont.
3
3 3 2 2
 2  g  x   x y dy , 0  x  3
    x 2 y  dxdy 81
0 0
81  0
3
3 2 2 y2
g  x 
3
2 x3 x , 0 x3
 . y dy 81 2
0
81 3 0 0

2 9 1 2
3 3
 2 3  g  x   x2 .  x , 0 x3
   . y  dy 81 2 9
0
81 3 
3
2 3 2 2
2 27 y h y   x y dx , 0  y  3
 . . 81
81 3 2 0
0

3 3
 2 27 3  2 2 x
 . .  h y  y , 0 y3
 81 3 2  81 3 0
 486  2 33 2
  1 h y  y  y , 0 y3
 486  81 3 9
 Cont.

The conditional p.d.f of Y for given X=x The conditional p.d.f of X for given Y=y

f  x, y  f  x, y 
f  y | x  , g  x  0 f x | y  , h y  0
g  x h y
2 2 2 2
xy xy 2
81 2 x
f  y | x   y , 0  x  3 ,0  y  3 f  x | y   81  , 0  x  3 ,0  y  3
1 2 9 2
9
x y 9
9
 Independence

Subtitle
Example

2 2 1 2 2
f  x, y   x y , g  x   x , h  y   y
81 9 9
f  x, y   g  x  h  y 
2 2 1 2 2
x y x . y
81 9 9
2 2 2 2
x y x y
81 81
Hence, X and Y are independent.
  Expected Value  If X is a continuous random
variable with p.d.f f(x), then
and Variance expected value (mean) of X given
by

  X  E  X    x. f ( x)dx
• The formula for the expected value of a

continuous random variable is the • For the variance of a continuous
continuous analog of the expected value random variable,
of a discrete random variable, where
instead of summing over all possible
values we integrate. 
var  X   E  X   X     x  x 
2 2
. f ( x)dx

 Example E  X  , E Y  , E  X  Y  and E  XY 

Now, as we have joint p.d.f. so, we use integrations

To determine E(X) and E(Y), we first find the marginal p.d.f g(x)
and h(y) as below;

1 2
g  x  x for 0  x  3
9
2
h y  y for 0  y  3
9
 Cont.

Hence,
 

EX    x g  x  dx E Y    yh  y  dy
 
3 3 3 3
1 1 2 2
E  X    x x 2 dx   x 3 dx E Y    y y dy  0 y 9 dy
2

0
9 0
9 9
0
4 3
1 x 1 34 81 3 3
EX   .  .  2y 2 33 54
9 4 9 4 36 E Y    
0
9 3 0
9 3 27
9
EX   E Y   2
4
 Cont. E  X  Y   E  X   E Y  , Find ?

So,
 
2 3 3 3
E X Y     ( x  y ) f ( x, y )dxdy 1y 2y
  EX Y   
3 3
2 2 2 2 0
9 3 0
E  X  Y     (x  y) x y dxdy
81
0 0
1 9 2 27
3 3
E X Y    
2 3 2
3 3
x y dxdy    x 2 y 2 dxdy
EX Y   
0 0
81 0 0
81 22 9 3
3
2 x4
3
2 2 x3
3 3
2 34
3 3
2 33 2 9
E X Y    y
81 4
dy   y
81 3
dy  
81 4
y dy  
81 3
y dy EX Y    2
0
3
0 0
3
0 0 0
4
2 81 2 27 2
E X Y    ydy   y dy 17
0
81 4 0
81 3
EX Y  
3
1 2
3
E  X  Y    ydy   y 2 dy 4
0
2 0
9
Cont.

E  X  Y   E  X   E Y 
17 9
 2
4 4
17 17

4 4
proved
Cont. E  XY   E  X  .E Y  , Find ?

Now,
3 3
1y
 
E  XY     ( xy) f ( x, y )dxdy
  E  XY  
3 3
E  XY     ( xy )
2 2
x y dxdy
2 3 0
0 0
81
3 3
1 27
E  XY  
2 3 2
E  XY     x y dxdy
81
0 0

3
2 2 x4
3 3
2 34 2
2 3
E  XY    y dy   y dy
81 4 81 4 9
E  XY  
0 0 0
3
2 81 2
E  XY   
0
81 4
y dy 2
3
1 2
E  XY    y dy
0
2
Cont.

E  XY   E  X  .E Y 
9 9
 .2
2 4
9 9

2 2
proved
Any questions?
18