two random variables. introduction expressing observations using more than one quantity -height and...
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![Page 1: Two Random Variables. Introduction Expressing observations using more than one quantity -height and weight of each person -number of people and the](https://reader035.vdocuments.mx/reader035/viewer/2022070413/5697bfcf1a28abf838ca9cb7/html5/thumbnails/1.jpg)
Two Random Variables
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Introduction
Expressing observations using more than one quantity
- height and weight of each person
- number of people and the total income in a family
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Joint Probability Distribution Function
Let X and Y denote two RVs based on a probability model (, F, P). Then:
What about
So, Joint Probability Distribution Function of X and Y is defined to be
2
1
,)()()()( 1221
x
x XXX dxxfxFxFxXxP
.)()()()(2
11221
y
y YYY dyyfyFyFyYyP
?))(())(( 2121 yYyxXxP
,0),(
))(())((),(
yYxXP
yYxXPyxFXY
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Properties(1)
1),(
0),(),(
XY
XYXY
F
xFyF
, )()(,)( XyYX
.0)(),( XPyFXY
,)(,)( YX
.1)(),( PFXY
Proof
Since
Since
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Properties(2)
Proof
for
Since this is union of ME events,
Proof of second part is similar.
).,(),()(,)( 1221 yxFyxFyYxXxP XYXY
).,(),()(,)( 1221 yxFyxFyYyxXP XYXY
,12 xx yYxXxyYxX
yYxX
)(,)()(,)(
)(,)(
211
2
yYxXxPyYxXP
yYxXP
)(,)()(,)(
)(,)(
211
2
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Properties(3)
Proof
So, using property 2,
we come to the desired result.
).,(),(
),(),()(,)(
1121
12222121
yxFyxF
yxFyxFyYyxXxP
XYXY
XYXY
.)(,)()(,)(
)(,)(
2121121
221
yYyxXxyYxXx
yYxXx
1y
2y
1x 2x
X
Y
0R
2121121
221
)(,)()(,)(
)(,)(
yYyxXxPyYxXxP
yYxXxP
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Joint Probability Density Function (Joint p.d.f)
By definition, the joint p.d.f of X and Y is given by
Hence,
So, using the first property,
.
),(),(
2
yx
yxFyxf XY
XY
. ),(),(
dudvvufyxF
x y
XYXY
.1 ),(
dxdyyxf XY
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Calculating Probability
How to find the probability that (X,Y) belongs to an arbitrary region D?
Using the third property,
.),(),(
),(),( ),(
),()(,)(
yxyxfdudvvuf
yxFyxxFyyxF
yyxxFyyYyxxXxP
XY
xx
x
yy
y XY
XYXYXY
XY
x
X
Y
yD
Dyx XY dxdyyxfDYXP),(
.),(),(
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Marginal Statistics
Statistics of each individual ones are called Marginal Statistics.
marginal PDF of X,
the marginal p.d.f of X.
Can be obtained from the joint p.d.f.
.),()(
),()(
dxyxfyf
dyyxfxf
XYY
XYX
)(xFX
)(xf X
Proof
)()()( YxXxX
).,(,)( xFYxXPxXPxF XYX
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Marginal Statistics
Using the formula for differentiation under integrals, taking derivative with respect to x we get:
dudyyufxFxFx
XYXYX ),(),()(
.),()(
dyyxfxf XYX
.),()(
),()(
dxyxfyf
dyyxfxf
XYY
XYX
Proof
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Let
Then:
.),()()(
)( xb
xadyyxhxH
( )
( )
( ) ( ) ( ) ( , )( , ) ( , ) .
b x
a x
dH x db x da x h x yh x b h x a dy
dx dx dx x
Differentiation Under Integrals
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Marginal p.d.fs for Discrete r.vs
j j
ijjii pyYxXPxXP ),()(
i i
ijjij pyYxXPyYP ),()(
X and Y are discrete r.vs
Joint p.d.f:
Marginal p.d.fs:
When eritten in a tabular fashion,
to obtain one need to add up all
entries in the i-th row. This suggests the name marginal densities.
),( jiij yYxXPp
mnmjmm
inijii
nj
nj
pppp
pppp
pppp
pppp
21
21
222221
111211
j
ijp
i
ijp
),( ixXP
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Example
Given marginals, it may not be possible to compute the joint p.d.f.
Obtain the marginal p.d.fs and for:
. otherwise0,
,10constant,),(
yxyxf XY
Example
)(xf X)(yfY
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Example
is constant in the shaded region
We have: So:
Thus c = 2. Moreover,
Similarly,
Clearly, in this case given and , it will not be possible to obtain the original joint p.d.f in
Solution
0 1
1
X
Y
y
),( yxf XY
.122
),(1
0
21
0
1
0
0
ccycydydydxcdxdyyxf
yy
y
xXY
1 ),(
dxdyyxf XY
,10 ),1(22),()(1
xyXYX xxdydyyxfxf
.10 ,22),()(
0
y
xXYY yydxdxyxfyf
)(xf X)( yfY
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Example
X and Y are said to be jointly normal (Gaussian) distributed, if their joint p.d.f has the following form:
By direct integration,
So the above distribution is denoted by
.1|| , ,
,12
1),(
2
2
2
2
2
)(
))((2
)(
)1(2
1
2
yx
eyxf Y
Y
YX
YX
X
X yyxx
YX
XY
Example
),,( 2
1),()( 22/)(
2
22
XXx
X
XYX Nedyyxfxf XX
),,( 2
1),()( 22/)(
2
22
YYy
Y
XYY Nedxyxfyf YY
).,,,,( 22 YXYXN
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Example - continued
So, once again, knowing the marginals alone doesn’t tell us everything about the joint p.d.f
We will show that the only situation where the marginal p.d.fs can be used to recover the joint p.d.f is when the random variables are statistically independent.
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Independence of r.vs
The random variables X and Y are said to be statistically independent if the events and are independent events for any two Borel sets A and B in x and y axes respectively.
For the events and if the r.vs X and Y are independent, then
i.e.,
or equivalently:
If X and Y are discrete-type r.vs then their independence implies
AX )( })({ BY
Definition
xX )( , )( yY
))(())(())(())(( yYPxXPyYxXP
)()(),( yFxFyxF YXXY
).()(),( yfxfyxf YXXY
., allfor )()(),( jiyYPxXPyYxXP jiji
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Independence of r.vs
Given
obtain the marginal p.d.fs and
examine whether independence condition for discrete/continuous type r.vs are satisfied.
Example: Two jointly Gaussian r.vs as in (7-23) are independent if and only if the fifth parameter
Procedure to test for independence
)(xf X)( yfY
),,( yxf XY
.0
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Example
Given
Determine whether X and Y are independent.
Similarly
In this case
and hence X and Y are independent random variables.
Solution
otherwise.,0
,10 ,0,),(
2
xyexy
yxfy
XY
.10 ,2 22
),()(
0 0
0
2
0
xxdyyeyex
dyeyxdyyxfxf
yy
yXYX
.0 ,2
),()(21
0 ye
ydxyxfyf y
XYY
),()(),( yfxfyxf YXXY