CHAPTER 3: PAIRS OF RANDOM VARIABLES

DISCRETE BIVARIATE RANDOM VARIABLE CONTINUOUS BIVARIATE RANDOM VARIABLE

Joint PMF Joint PDF
Joint CDF Joint CDF
Marginal PMF Marginal PDF
Marginal CDF Marginal CDF
Probability P((X, Y ) ∈ A) Probability P((X, Y ) ∈ A)
FUNCTION OF TWO RANDOM VARIABLES Z = g(X, Y )
DISCRETE CONTINUOUS
PMF pZ (z) PDF fZ (z)
CDF FZ (z) CDF FZ (z)
Probability P(Z ∈ A) = P(g(X, Y ) ∈ A) P(Z ∈ A) = P(g(X, Y ) ∈ A)
Expectation E[Z] = E[g(X, Y )] E[Z] = E[g(X, Y )]
CONDITIONAL PROBABILITY DISTRIBUTIONS
DISCRETE CONTINUOUS
Conditional PMF pX|Y (x|y) = P(X = x|Y = y) Conditional PDF fX|Y (x|y)
Conditional expectation E[X|Y = y] Conditional expectation E[X|Y = y]
E[g(X, Y )|Y = y] E[g(X, Y )|Y = y]
INDEPENDENCE OF TWO RANDOM VARIABLES
Discrete random variables Continuous random variables
Consequences of Independence
COVARIANCE, COVARIANCE MATRIX, CORRELATION COEFFICIENT
CORRELATED or UNCORRELATED

Problem 3.16. The joint PMF for two discrete random variables X and Y is given in the fol-
lowing table
HH
Y
H
HH 1 2 3
X HH
1 0.12 0.15 0.03
2 0.28 0.35 0.07

(a) Determine the marginal PMF of X and Y . Calculate E[X], E[Y ], Var(X), Var(Y ). Find the
covariance of (X, Y ).
(b) Determine whether X and Y are independent.
(c) Find the conditional PMF of X given Y = 1. Then calculate E[X|Y = 1].
(d) Find the conditional PMF of Y given X = 2. Then calculate E[Y |X = 2].
(e) Find the covariance matrix of (X, Y ).
(f ) Find the correlation coefficient between X and Y .
(g) Are X and Y correlated?
(h) Determine the PMF of Z = XY . Calculate E[Z] by two different ways.

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(i) Determine the PMF of T = X + Y .
(j) Determine the PMF of U = max{X, Y }.
(k) Calculate E[X 2 + 2X|Y = 1].
(l) Calculate E[Y 2 − Y + 2|X = 2].

Problem 3.17. The joint PMF for two discrete random variables X and Y is given in the fol-
lowing table
HH
Y
H
HH -1 0 1
X HH
4 1 4
-1 15 15 15
1 2 1
0 15 15 15
2
1 0 15
0
(a) Determine the marginal PMF of X and Y . Calculate E[X], E[Y ], Var(X), Var(Y ). Find the
covariance of (X, Y ).
(b) Determine whether X and Y are independent.
(c) Determine the PMF of Z = XY . Calculate E[Z].
(d) Find the conditional PMF of X given Y = −1. Then calculate E[X|Y = −1].
(e) Find the conditional PMF of Y given X = 1. Then calculate E[Y |X = 1].
(f ) Find the covariance matrix of (X, Y ).
(g) Find the correlation coefficient between X and Y .
(h) Are X and Y correlated?
(i) Determine the PMF of T = X + Y .
(j) Determine the PMF of U = max{X, Y }.
(k) Calculate P(X ≥ 0, Y ≥ 0).

Problem 3.18. The joint PDF of the continuous bivariate random variable (X, Y ) is given
as follows

cxy 2 if (x, y) ∈ [0, 1] × [0, 1]
fX,Y (x, y) =
0 otherwise,

(a) Find the value of the constant c.

(b) Find the joint CDF FX,Y (x, y) of (X, Y ).
(c) Find the marginal PDFs and marginal CDFs of X and Y . Calculate E[X], E[Y ], Var(X), Var(Y ).
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(d) Find the probabilitiesP(X > Y ) and P(Y  ≤
 X ). 
(e) Find the probability P min{X, Y } ≤ 21 , P max{X, Y } ≤ 12 .
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(f ) Find the conditional PDF of X given Y = . Then, calculate E X|Y = 21 .
 
2
1
(g) Find the conditional PDF of Y given X = . Then calculate E Y |X = 13 .
 
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(h) Find the covariance of (X, Y ).
(i) Find the covariance matrix of (X, Y ).

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(k) Find the correlation coefficient between X and Y .
(l) Are X and Y correlated?
(m) Are X and Y independent?
(n) Find E [X 3 Y ], E [XY 4 ].

Problem 3.19. The joint PDF of the continuous bivariate random variable (X, Y ) is given
as follows

c(2x + 3y) if (x, y) ∈ [0, 1] × [0, 1]
fX,Y (x, y) =
0 otherwise,

(a) Find the value of the constant c.

(b) Find the joint CDF FX,Y (x, y) of (X, Y ).
(c) Find the marginal PDFs and marginal CDFs of X and Y . Calculate E[X], E[Y ], Var(X), Var(Y ).

Problem 3.20. The joint PDF of the continuous bivariate random variable (X, Y ) is given
as follows

cx2 y if x2 ≤ y ≤ 1
fX,Y (x, y) =
0 otherwise,

(a) Find the value of the constant c.

(b) Find the marginal PDFs and marginal CDFs of X and Y . Calculate E[X], E[Y ], Var(X), Var(Y ).
(c) Find the conditional PDF of Y given X = x for x ∈ (−1; 1). Then calculate E [Y |X = x] for
x ∈ (−1; 1).

Problem 3.21. The joint PDF of the continuous bivariate random variable (X, Y ) is given
as follows

c(y − x) if 0 ≤ x ≤ y ≤ 1
fX,Y (x, y) =
0 otherwise,

(a) Find the value of the constant c.

(b) Find the marginal PDFs and marginal CDFs of X and Y . Calculate E[X], E[Y ], Var(X), Var(Y ).
(c) Find the conditional PDF of Y given X = x for x ∈ (0; 1). Then calculate E [Y |X = x] for
x ∈ (0; 1).
(d) Find the conditional PDF of X given Y = y for y ∈ (0; 1). Then calculate E [X|Y = y] for
y ∈ (0; 1).

Problem 3.22. The joint PDF of the continuous bivariate random variable (X, Y ) is given
as follows

c(x + y) if 0 ≤ x ≤ y ≤ 1
fX,Y (x, y) =
0 otherwise,

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(a) Find the value of the constant c.
(b) Find the marginal PDFs and marginal CDFs of X and Y . Calculate E[X], E[Y ], Var(X), Var(Y ).
(c) Find the conditional PDF of Y given X = x for x ∈ (0; 1). Then calculate E [Y |X = x] for
x ∈ (0; 1).
(d) Find the conditional PDF of X given Y = y for y ∈ (0; 1). Then calculate E [X|Y = y] for
y ∈ (0; 1).

Problem 3.23. The joint PDF of the continuous bivariate random variable (X, Y ) is given
as follows

c(x − y) if 0 ≤ y ≤ x ≤ 2
fX,Y (x, y) =
0 otherwise,

(a) Find the value of the constant c.

(b) Find the marginal PDFs and marginal CDFs of X and Y . Calculate E[X], E[Y ], Var(X), Var(Y ).
(c) Find the conditional PDF of Y given X = x for x ∈ (0; 2). Then calculate E [Y |X = x] for
x ∈ (0; 2).
(d) Find the conditional PDF of X given Y = y for y ∈ (0; 2). Then calculate E [X|Y = y] for
y ∈ (0; 2).

Problem 3.24. The random variable X has the uniform distribution on the interval (1; 2).
Given the condition X = x, the random variable Y has the uniform distribution on the inter-
val (1; x). Find
(a) the joint PDF fX,Y (x, y).
(b) the conditional expectation E [X|Y = y] for y ∈ (1; 2).

Problem 3.25. The joint CDF of the continuous bivariate random variable (X, Y ) is given
as follows

1 − e−λx − e−µy + e−λx−µy if x ≥ 0, y ≥ 0
FX,Y (x, y) =
0 otherwise,

for two constants λ > 0, µ > 0.

(a) Determine whether X and Y are independent.
(b) Find the marginal CDFs and marginal PDFs of X and Y .
(c) Find the joint PDF fX,Y (x, y) of (X, Y ).
(d) Evaluate the probabilities P(X ≥ Y ), P(Y ≥ X) and P(X + Y ≤ 1).
(e) Find the covariance of (X, Y ) and the covariance matrix of (X, Y ).
(f ) Find the correlation coefficient between X and Y . Are X and Y correlated?
(g) Let Z = XY . Calculate E[Z] and Var(Z).
(h) Let U = max{X, Y }. Find the CDF and PDF of U . Calculate E[U ] and Var(U ).
(i) Determine the CDF and PDF of T = X + Y .

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Problem 3.26. The joint PDF of the continuous bivariate random variable (X, Y ) is given
as follows

cx2 y if x2 ≤ y ≤ 1
fX,Y (x, y) =
0 otherwise,

(a) Find the value of the constant c.

(b) Find the marginal PDFs and marginal CDFs of X and Y .
(c) Find the conditional PDF fY |X (y|x) of Y given X = x. Then, show fY |X (y| 21 ). What is the
R
value of R fY |X (y|x)dy?
(d) Calculate E[Y |X = x] and then deduce E Y |X = 21 .
 

(e) Are X and Y independent?

Problem 3.27. The joint PDF of the continuous bivariate random variable (X, Y ) is given
as follows

cx2 y if 0 ≤ y ≤ x ≤ 1
fX,Y (x, y) =
0 otherwise,

(a) Find the value of the constant c.

(b) Find the marginal PDFs and marginal CDFs of X and Y .
(c) Find the covariance of (X, Y ) and the covariance matrix of (X, Y ).
(d) Find the correlation coefficient between X and Y .

Problem 3.28. The lifetime X1 , X2 of two electronic components I, II are two independent
random variables that follow the same exponential distribution with positive parameters λ1
and λ2 , respectively. Find the CDF, PDF, the mean and variance of the lifetime of
(a) a series system with these two electronic components I, II.
(b) a parallel system with these two electronic components I, II.

Problem 3.29. Let X1 , X2 , . . . , Xn be independent random variables that follow the same con-
tinuous uniform distribution on the interval [0, 1].
(a) Find the CDF and PDF of Y = min{X1 , X2 , . . . , Xn }.
(b) Find the CDF and PDF of Z = max{X1 , X2 , . . . , Xn }.
(c) Find the joint PDF of (Y, Z).
(d) Are Y and Z independent?

Problem 3.30. Let X1 , X2 , X3 be three independent random variables that follow the same
Poisson distribution with parameters λ1 = 1, λ2 = 2, λ3 = 3, respectively. Find the following
probabilities
(a) P(max{X1 , X2 , X3 } ≥ 1).

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(b) P(max{X1 , X2 , X3 } = 1).
(c) P(min{X1 , X2 , X3 } ≥ 1).
(d) P(min{X1 , X2 , X3 } = 1).

Problem 3.31. Let X and Y be two independent random variables that follow the same con-
tinuous uniform distribution on the interval [0, 1].
(a) Find the CDF of the random variable Z = X + Y .
(b) Find the CDF of the random variable T = XY .
(c) Find the CDF of the random variable U = X − Y .
(d) Find the probability P(|Y − X| ≤ 1) by two ways.