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Random Variable

The document discusses marginal probability distributions for discrete and continuous random variables. It defines a marginal probability distribution as the individual probability distribution of a random variable computed from a joint distribution. It provides examples of finding marginal distributions from joint probability distributions for discrete and continuous random variables. It also discusses concepts such as independence, covariance, and how covariance relates to independence.

Uploaded by

Shubham Vishnoi
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
190 views

Random Variable

The document discusses marginal probability distributions for discrete and continuous random variables. It defines a marginal probability distribution as the individual probability distribution of a random variable computed from a joint distribution. It provides examples of finding marginal distributions from joint probability distributions for discrete and continuous random variables. It also discusses concepts such as independence, covariance, and how covariance relates to independence.

Uploaded by

Shubham Vishnoi
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Marginal Probability Distributions (Discrete)

Marginal Probability Distribution: the individual probability


distribution of a random variable computed from a joint
distribution.






Problems
1. Three balls are drawn at random without replacement from a box
containing 2 white, 3 red and 4 black balls. If X denotes the number
of white balls drawn and Y denotes the number of red balls drawn,
find the joint probability distribution of (X,Y).
2. For the bivariate probability distribution of (X,Y) given below, find
P(X1), P(Y3), P(X1,Y3), P(X1/Y3), P(Y3/X1) and P(X+Y4).




3. The joint probability mass function of (X,Y) is given by
p(x,y)=k(2x+3y), x=0,1,2;y=1,2,3. Find all the marginal and
conditional probability distributions. Also find the probability
distribution of X + Y.

Y
X
1 2 3 4 5 6
0 0 0 1/32 2/32 2/32 3/32
1 1/16 1/16 1/8 1/8 1/8 1/8
2 1/32 1/32 1/64 1/64 0 2/64
Continuous Joint Distributions


A joint probability density function for the continuous
random variables X and Y, denotes as f
XY
(x,y), satisfies the
following properties:


Continuous Joint Distributions (Example 1)
? ) Pr( ) 2 (
? ) 1 (
. 0
, 1
) , (
2 2
= >
=

s s
=
Y X
c
otherwise
y x f or y cx
y x f
XY
Calculating probabilities from a joint p.d.f.
.
20
3
4
21
) Pr(
.
4
21
,
21
4
) , (
1
0
2
1
1
1
2
2
2
= = >
= = =
} }
} } } }

dydx y x Y X
c c dxdy y cx dxdy y x f
x
x
x
XY
4.The joint pdf of a two dimensional RV (X,Y) is given by f(x,y)= xy
2
+
(x
2
/8), 0x 2, 0 y 1. Compute P(X>1), P(Y<1/2). P(X>1/Y<1/2),
P(Y<1/2/X>1), P(X<Y) and P(X+Y1).
Ans: 19/24, , 5/24, 5/6, 5/19, 58/480, 13/480.
Similar to joint discrete random variables, we can find the
marginal probability distributions of X and Y from the joint
probability distribution.






Compute f
X
(x) and f
Y
(y) in Example

Marginal Probability Distributions(Continuous, Example)
.
2
7
4
21
) , ( ) (
). 1 (
8
21
4
21
) , ( ) (
2
5
2
4 2
1
2
2
y dx y x dx y x f y f
x x dy y x dy y x f x f
y
y
XY Y
x
XY X
= = =
= = =
} }
} }

Independence
In some random experiments, knowledge of the values of X
does not change any of the probabilities associated with the
values for Y.

If two random variables, X and Y are independent, then
. and all for , ) ( ) ( ) , (
ly. respective Y, and X of range in the B and
A sets any for ), Pr( ) Pr( ) Pr(
y x y f x f y x f
B Y A X B Y and A X
Y X XY
=
e e = e e
Covariance
The covariance between two RVs X and Y is

Properties:







). ( ) ( ) ( ))] ( ))( ( [( ) , ( Y E X E XY E Y E Y X E X E y x Cov = =
). , ( ) , ( ) , (
) , ( ) , (
) , ( ) , ( ), , ( ) , (
) ( ) , ( , 0 ) , (
Z Y bCov Z X aCov Z bY aX Cov
Y X Cov b Y a X Cov
Y X abCov bY aX Cov X Y Cov Y X Cov
X Var X X Cov a X Cov
+ = +
= + +
= =
= =
Covariance



Example
Covariance


Example (Cont.)
Covariance


Example (Cont.)
Zero Covariance and Independence
However, in general, if Cov(X,Y)=0, X and Y may not be independent.
Example 10: X is uniformly distributed on [-1,1], Y=X
2
. Then,




Cov(X,Y)= 0, but X determines Y, i.e., X and Y are not independent.
If X and Y are independent, then Cov(X,Y)=0.
. 0 ] [ ] [ ] [ ) , ( So,
. 0
2
1
] [ ] [ , 0
2
1
] [
1
1
3 3
1
1
= =
= = = = =
} }

Y E X E XY E Y X Cov
dx x X E XY E xdx X E
. 0 ) , ( ., . , ] [ ] [ ) ( ) (
) ( ) ( ) , ( ] [
), ( ) ( ) , (
= = =
= =
=
} }
} } } }


Y X Cov e i Y E X E dy y yf dx x xf
dxdy y f x xyf dxdy y x xyf XY E
y f x f y x f
Y X
Y X XY
Y X XY

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