Addis Ababa Science & Technology University

Department of Electrical & Electronics Engineering

Probability and Random Process (EEEg-2114)

Chapter 3: Multiple Random Variables

 Multiple Random Variables
Outline
 Introduction
 The Joint Cumulative Distribution Function
 The Joint Probability Density and Mass Functions
 Marginal Statistics
 Independence
 Conditional Distributions
 Correlation and Covariance
 Functions of Two Random Variables

Semester-I, 2015 By Habib M. 2

The Joint Cumulative Distribution Function
 The joint cdf of two random variables X and Y denoted by
FXY(x, y) is a function defined by:

FXY ( x, y )  P[ X ( )  x and Y ( )  y ]
 FXY ( x, y )  P( X  x, Y  y )
where x and y are arbitrary real numbers.
Properties of the Joint cdf, FXY(x, y):
i. 0  FXY ( x, y)  1
ii. lim FXY ( x, y )  FXY (, )  1
x 
y 

iii. lim FXY ( x, y )  FXY (,)  0

x 
y 
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The Joint Probability Density Function

 The joint probability function (pdf) of two continuous random

variables X and Y is defined as:

 2 FXY ( x, y )
f XY ( x, y ) 
xy

 Thus, the joint cumulative distribution function (cdf) is given

by:
y x
f XY ( x, y )    f XY (u, v)dudv
- -

Semester-I, 2015 By Habib M. 4

The Joint Probability Density Function Cont’d…..

Properties of the Joint pdf, fXY(x, y):

1. f XY ( x, y )  0
 
2.  
- -
f XY ( x, y )dxdy  1
y2 x2
3. P( x1  X  x2 , y1  Y  y2 )    f XY ( x, y )dxdy
y1 x1

Semester-I, 2015 By Habib M. 5

The Joint Probability Mass Function

 The joint probability mass function (pmf) of two discrete

random variables X and Y is defined as:
PXY ( xi , y j )  P( X  xi , Y  y j )
 The joint cdf can be written as:

FXY ( x, y)    PXY ( xi , y j )
xi  x y j  y

Properties of the Joint pmf, PXY (xi , yj ):

1. 0  PXY ( xi , y j )  0
2.  P
xi yj
XY ( xi , y j )  1

Semester-I, 2015 By Habib M. 6

Marginal Statistics

 In the case of two or more random variables, the statistics of

each individual variable are called marginal statistics.
i. Marginal cdf of X and Y
FX ( x)  lim FXY ( x, y )  FXY ( x, )
y 

FY ( y)  lim FXY ( x, y)  FXY (, y)

x 

ii. Marginal pdf of X and Y


f X ( x)   f XY ( x, y )dy
-

f Y ( y )   f XY ( x, y ) dx
-

Semester-I, 2015 By Habib M. 7

Marginal Statistics Cont’d…..

iii. Marginal pmf of X and Y

P( X  xi )  PX ( xi )   PXY ( xi , yi )
yj

P (Y  y j )  PY ( y j )   PXY ( xi , yi )
xi

Semester-I, 2015 By Habib M. 8

Independence
 If two random variables X and Y are independent, then
i. from the joint cdf

FXY ( x, y)  FX ( x) FY ( y)

ii. from the joint pdf

f XY ( x, y)  f X ( x) fY ( y)

iii.from the joint pmf

PXY ( xi , y j )  PX ( xi ) PY ( y j )

Semester-I, 2015 By Habib M. 9

Conditional Distributions
i. Conditional Probability Density Functions
f XY ( x, y )
f X /Y ( x / y)  , fY ( y )  0
fY ( y )
f XY ( x, y )
fY / X ( y / x)  , f X ( x)  0
f X ( x)
i. Conditional Probability Mass Functions
PXY ( xi , y j )
PX / Y ( xi / y j )  , PY ( y j )  0
PY ( y j )
PXY ( xi , y j )
PY / X ( y j / xi )  , PX ( xi )  0
PX ( xi )
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Correlation and Covariance
i. Correlation

RXY  Cor ( X , Y )  E ( XY )

ii. Covariance

 XY  Cov( X , Y )  E[( X   X )(Y  Y )]

  XY  Cov( X , Y )  E ( XY )  E ( X ) E (Y )
iii. Correlation Coefficient
Cov( X , Y )  XY
 XY  
 XY  XY
Semester-I, 2015 By Habib M. 11
Examples on Two Random Variables
Example-1:
The joint pdf of two continuous random variables X and Y is
given by:
kxy , 0  x  1, 0  y  1
f XY ( x, y )  
0 , otherwise
whe re k is a constant.
a. Find the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d . Find P ( X  Y  1)
e. Find the conditional pdf of X and Y .
Semester-I, 2015 By Habib M. 12
Examples on Two Random Variables Cont’d……
Solution:
  1 1
a.  
-  
f XY ( x, y )dxdy  1    kxydxdy 1
0 0

 x2 1
1
 k  y   1
0
 2 0
k 1  y 2 1 k
  ydy  k     1
2 0  4 0 4
k  4

Semester-I, 2015 By Habib M. 13

Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

i. Marginal pdf of X
 1
f X ( x)   f XY ( x, y )dy   4 xydy
 0

 y 2
1
 f X ( x)  4 x   2 x
 2 0
2 x , 0  x 1
 f X ( x)  
0, otherwise
Semester-I, 2015 By Habib M. 14
Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

ii. Marginal pdf of Y
 1
fY ( y )   f XY ( x, y )dx   4 xydx
 0

 x2 1
 fY ( y )  4 y   2 y
 2 0
2 y , 0  y 1
 fY ( y )  
0, otherwise
Semester-I, 2015 By Habib M. 15
Examples on Two Random Variables Cont’d……
Solution:
c. f XY ( x, y )  f X ( x) fY ( y )
 X and Y are independent
1 1 y 1  x2 1
d . P ( X  Y  1)    4 xydxdy   4 y  dy
0 0 0
 2 0
1 1
  4 y[1 / 2(1  y ) ]dy   2( y  2 y 2  y 3 )dy
2
0 0

 2 ( y 2 / 2  2 y 3 / 3  y 4 / 4)  1 / 6
 P( X  Y  1)  1 / 6

Semester-I, 2015 By Habib M. 16

Examples on Two Random Variables Cont’d……
Solution:

e. Conditional pdf of X and Y

i. Conditional pdf of X

f XY ( x, y ) 4 xy
f X / Y ( x / y)    2x
fY ( y ) 2y

2 x, 0  x  1, 0  y  1
 f X /Y ( x / y)  
0, otherwise

Semester-I, 2015 By Habib M. 17

Examples on Two Random Variables Cont’d……
Solution:

e. Conditional pdf of X and Y

ii. Conditional pdf of Y

f XY ( x, y ) 4 xy
fY / X ( y / x)    2y
f X ( x) 2x

2 y, 0  x  1, 0  y  1
 fY / X ( y / x)  
0, otherwise

Semester-I, 2015 By Habib M. 18

Examples on Two Random Variables Cont’d……

Example-2:
The joint pdf of two continuous random variables X and Y is
given by:
k , 0  y  x 1
f XY ( x, y )  
0, otherwise
whe re k is a constant.
a. Determine the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d . Find P (0  X  1 / 2)
e. Find the conditional pdf of X and Y .
Semester-I, 2015 By Habib M. 19
 Examples on Two Random Variables Cont’d……
Solution:

  1 1
a.  
-  
f XY ( x, y )dxdy  1  
0  kdxdy  1
y

1
 k  x   1
1

0 y
1  y 1 k
2
 k  (1  y )dy  k  y     1
0
 2 0 2
k  2

Semester-I, 2015 By Habib M. 20

Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

i. Marginal pdf of X
 x
f X ( x)   f XY ( x, y )dy   2dy
 0

x
 f X ( x)  2 y   2 x
0
2 x , 0  x 1
 f X ( x)  
0, otherwise
Semester-I, 2015 By Habib M. 21
Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

ii. Marginal pdf of Y
 1
fY ( y )   f XY ( x, y )dx   2dx
 y

1
 fY ( y )  2 x   2(1  y )
y
2(1  y ), 0  y 1
 fY ( y )  
0, otherwise
Semester-I, 2015 By Habib M. 22
Examples on Two Random Variables Cont’d……
Solution:
c. f XY ( x, y )  f X ( x) fY ( y )
 X and Y are not independent
1/ 2 x
d . P ( 0  X  1 / 2)    f XY ( x, y )dydx
0 0

1/ 2 x 1/ 2 x
  2dydx   (2 y ) dx
0 0 0 0
1/ 2 1/ 2
  2 xdx  x 2
 1/ 4
0 0
 P ( 0  X  1 / 2)  1 / 4
Semester-I, 2015 By Habib M. 23
Examples on Two Random Variables Cont’d……
Solution:

e. Conditional pdf of X and Y

i. Conditional pdf of X
f XY ( x, y ) 2 1
f X /Y ( x / y)   
fY ( y ) 2(1  y ) (1  y )
 1
 , 0  y  x 1
 f X / Y ( x / y )  1  y
0,
 otherwise

Semester-I, 2015 By Habib M. 24

Examples on Two Random Variables Cont’d……
Solution:

e. Conditional pdf of X and Y

ii. Conditional pdf of Y
f XY ( x, y ) 2 1
fY / X ( y / x)   
f X ( x) 2x x
1
 , 0  y  x 1
 fY / X ( y / x)   x
0, otherwise

Semester-I, 2015 By Habib M. 25

Examples on Two Random Variables Cont’d……

Example-3:
The joint pmf of two discrete random variables X and Y is given
by:
k (2 xi  y j ) , xi  1, 2; y  1, 2
PXY ( xi , y j )  
0 , otherwise
whe re k is a constant.
a. Find the value of k .
b. Find the marginal pmf of X and Y .
c. Are X and Y independent?

Semester-I, 2015 By Habib M. 26

Examples on Two Random Variables Cont’d……
Solution:

a.  P
xi yj
XY ( xi , y j )  1

2 2
   k (2 xi  y j )  1
xi 1 y j 1

 k[( 2  1)  (2  2)  (4  1)  (4  2)]  1

 18k  1

 k  1 / 18
Semester-I, 2015 By Habib M. 27
Examples on Two Random Variables Cont’d……
Solution:
b. Marginal pmf of X and Y
i. Marginal pmf of X
2
1
PX ( xi )   PXY ( xi , y j )   ( 2 xi  y j )
yj y j 118

1 1
 PX ( xi )  ( 2 xi  1)  (2 xi  2)
18 18
1
 (4 xi  3), xi  1, 2
 PX ( xi )  18

0, otherwise
Semester-I, 2015 By Habib M. 28
Examples on Two Random Variables Cont’d……
Solution:
b. Marginal pmf of X and Y
ii. Marginal pmf of Y
2
1
PY ( y j )   PXY ( xi , y j )   (2 xi  y j )
xi xi 1 18

1 1
 PY ( y j )  (2  y j )  (4  y j )
18 18
1
 (2 y j  6), y j  1, 2
 PY ( y j )  18

0, otherwise
Semester-I, 2015 By Habib M. 29
Examples on Two Random Variables Cont’d……
Solution:

c. PXY ( xi , y j )  PX ( xi ) PY ( y j )
 X and Y are not independent.

Semester-I, 2015 By Habib M. 30