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Multivariate Probability Distributions: Part III: Cyr Emile M'LAN, PH.D

This document discusses two special multivariate probability distributions: the multinomial distribution and the bivariate normal distribution. The multinomial distribution generalizes the binomial distribution to situations where each trial can result in one of k outcomes. It describes the probability of different combinations of outcomes over n independent trials. The bivariate normal distribution describes two random variables with a joint normal probability density function that depends on their means, variances, and covariance. Its properties include that the marginal distributions are normal and the conditional distributions given one variable are also normal.

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97 views

Multivariate Probability Distributions: Part III: Cyr Emile M'LAN, PH.D

This document discusses two special multivariate probability distributions: the multinomial distribution and the bivariate normal distribution. The multinomial distribution generalizes the binomial distribution to situations where each trial can result in one of k outcomes. It describes the probability of different combinations of outcomes over n independent trials. The bivariate normal distribution describes two random variables with a joint normal probability density function that depends on their means, variances, and covariance. Its properties include that the marginal distributions are normal and the conditional distributions given one variable are also normal.

Uploaded by

sharief85
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Multivariate Probability

Distributions: Part III


Cyr Emile MLAN, Ph.D.
[email protected]

Multivariate Probability Distributions: Part III

p. 1/1

Introduction
Text Reference: Introduction to Probability and Its
Applications, Chapter 6.
Reading Assignment: Sections 6.6, April 20

We discuss now two special multivariate models: the


multinomial distribution and the bivariate normal
distribution.

Multivariate Probability Distributions: Part III

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Multinomial Distributions
The multinomial distribution is an important generalization of the
binomial distribution for situations where each of n independent trials
can result in one of k distinct outcomes.

Multinomial Experiment
Definition 6.14:
A multinomial experiment possesses the following properties:
The experiment consists of a fixed number n of identical trials.
The outcome of each trial falls into one of k classes or cells.
The probability that the outcome of a single trial will fall in a
particular cell, say cell i, is pi , (i = 1, , k) and remains the
same from trial to trial. Note that p1 + p2 + + pk = 1.
The trials are independent.

The random variable of interest are X1 , X2 , , Xk where


Xi , i = 1, , k denotes the random variable representing the
Multivariate Probability Distributions: Part III
p. 3/1
number of trials falling into cell i. Note that X1 +X2 + +Xk = n.

Multinomial Distributions, cont.


Joint Probability Mass Function
The joint probability mass function for (X1 , X2 , , Xk )
is given by
k

Y
n!
pixi ,
P (X1 = x1 , X2 = x2 , . . . , Xk = xk ) =
x1 !x2 ! . . . xk !
i=1

where y1 + y2 + + yk = n and p1 + p2 + + pk = 1.

Notation
We use the following notation for the multinomial
distribution:



X1 , X2 , , Xk Mult n, (p1 , p2 , . . . , pk ) .

Multivariate Probability Distributions: Part III

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Marginal Distributions of Multinomial Distributions


Properties
(1) Suppose
X1 , X2 , , Xk



Mult n, (p1 , p2 , . . . , pk ) .

then each Xi follows a binomial distribution:


Xi Binomial(n, pi )

for i = 1, 2, . . . , k

Multivariate Probability Distributions: Part III

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Expectations and Covariances of Multinomial Distributions

Expectations and Covariances


Theorem 6.8:
If X1 , X2 , X3 , . . . , Xk have the multinomial distribution with parameters n and p1 , p2 , , pk , then

E[Xi ] = npi
Var(Xi ) = npi (1 pi )
Cov(Xi , Xj ) = npi pj , i 6= j.

Multivariate Probability Distributions: Part III

p. 6/1

Expected Values and Covariances of Multinomial Distributions

Example 6.15:
A sample of size n is selected from a large lot of items
in which a proportion p1 contain one defect and a
proportion p2 contain two or more defects. Some of the
items had no defects. The cost of repairing the defective
items is C = X1 + 3X2 where X1 denotes the number of
items with one defect and X2 denotes the number of
items with two or more defects. Find E(C) and Var(C).

Solution:
We have:
E(C) = E(X1 ) + 3E(X2 )
= n(p1 + 3p2 )
Var(C) = Var(X1 ) + 9Var(X2 ) + 6Cov(X1 , X2 )
= n [p1 (1 p1 ) + 9p2 (1 p2 ) 6p1 p2 ]
Multivariate Probability Distributions: Part III

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Bivariate Normal Distributions


Let X1 and X2 be two random variables with means
1 = E[X1 ] and 2 = E[X2 ], variances 12 = Var(X1 ) and
22 = Var(X2 ), and covariance
12 = Cov(X1 , X2 ) = 1 2 .
X1 and X2 forms a bivariate normal distribution if their
joint probability density function can be written as
(

"

1
(x1 1 )2
f (x1 , x2 ) =
exp
2(1 2 )
12
21 2 1 2
#)
(x1 1 ) (x2 2 ) (x2 2 )2
+
.
2
2
1
2
2
1
p

for < x1 < and < x2 <

Multivariate Probability Distributions: Part III

p. 8/1

Marginal Distributions of Bivariate Normal Distributions


Properties
(1) The marginal distributions of X1 and X2 are still
normal.
More specifically, we have
X1 N (1 , 12 ) and X2 N (2 , 22 ).

(2) If = 0 then X1 and X2 are independent Normal


random variables and vice-versa.
More specifically, we have
f (x1 , x2 ) = f1 (x1 ) f2 (x2 )

if and only if

= 0.

This is not true in general for other bivariate


distributions.
Multivariate Probability Distributions: Part III

p. 9/1

Conditional Distributions of Bivariate Normal Distribution


(3) The conditional distributions are also normal.
More specifically, the conditional distribution of X1
given X2 = x2 is 

1
X1 | X2 = x2 N 1 + (x2 2 ), (1 2 )12 .
2
Similarly, the conditional distribution of X2 given
X1 = x1 is


2
X2 | X1 = x1 N 2 + (x1 1 ), (1 2 )22 .
1

Multivariate Probability Distributions: Part III

p. 10

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