MATERIAL09
MATERIAL09
Distribution (Continuous)
Undergraduate of Telecommunication Engineering
MUH1F3 - PROBABILITY AND STATISTICS
Telkom University
Center of eLearning & Open Education Telkom University
Jl. Telekomunikasi No.1, Bandung - Indonesia
http://www.telkomuniversity.ac.id
LEARNING OBJECTIVES:
After careful study of this chapter, student should be able to do the following:
1. Use joint probability density functions to calculate probabilities
2. Calculate marginal and conditional probability distributions from joint probability distributions
3. Interpret and calculate covariance and correlations between random variables
2/12 May 10, 2020 LECTURER CODE: NKC/
JOINT PROBABILITY DENSITY FUNCTION
For simplicity, we begin by considering random experiments in which only two random variables, called Bi-
variate. The Joint Probability Density Function of the continuous random variables X and Y, denoted as
fXY (xy), satisfies:
fXY (xy) ≥0 (1)
Z ∞ Z ∞
fXY (xy) dx dy =1 (2)
−∞ −∞
The Marginal Probability Density Function of the continuous random variables X and Y, denoted as fX (x)
or fY (y), satisfies: Z
fX (x) = P(X = x) = fXY (x, y) dy (4)
Z
fY (y) = P(Y = y) = fXY (x, y) dx (5)
Remember that, for a random variable X, we define the CDF as FX (x) = P(X ≤ x). Now, if we have two ran-
dom variables X and Y and we would like to study them jointly, we can define the Joint Cumulative Function
as follows:
FXY (x, y) = P(X ≤ x and Y ≤ y) = P(X ≤ x) ∩ P(Y ≤ y) (6)
or:
FXY (x, y) = P(X ≤ x) · P(Y ≤ y) = FX (x) · FY (y) (8)
When two random variables X and Y are not independent, it is frequently of interest to assess how strongly
they are related to one another. The Covariance between two random variables X and Y equal to:
Cov(XY)
Cor(XY) = ρXY = (11)
σx · σy
Example: Suppose that X and Y are two continuous random variable with joint PDF:
(
c (x + y) , for 0 <x<3 and 0 <y<3
fXY (xy) =
0 , for x and y otherwise
81c 4
=1 → c =
4 81
b. The marginal PDF of X
3
Z
4 2 2 3 2
fX (x) = xy dy = xy = x
0
0 81 81 9
So, the marginal PDF for X is: (
2
9
x ,0 < x < 3
fX (x) =
0 , otherwise
9/12 May 10, 2020 LECTURER CODE: NKC/
c. The marginal PDF of Y
3
Z
4 2 2 3 2
fY (y) = xy dx = x y = y
0
0 81 81 9
So, the marginal PDF for Y is: (
2
9
y ,0 < y < 3
fY (y) =
0 , otherwise
d. The P(1 < x < 2)
2
Z
2 1 2 2 3
P(1 < x < 2) = x dx = x =
1
1 9 9 9
e. The P(x ≥ 1)
3
Z
2 1 2 3 8
P(x ≥ 1) = P(1 < x < 3) = x dx = x
1
=
1 9 9 9