Joint and Marginal Distributions

October 23, 2008

We will now consider more than one random variable at a time. As we shall see, developing the theory
of multivariate distributions will allow us to consider situations that model the actual collection of data
and form the foundation of inference based on those data.

1 Discrete Random Variables

We begin with a pair of discrete random variables X and Y and define the joint (probability) mass
function
fX,Y (x, y) = P {X = x, Y = y}.
Example 1. For X and Y each having finite range, we can display the mass function in a table.

x
0 1 2 3 4
0 0.02 0.02 0 0.10 0
1 0.02 0.04 0.10 0 0
y 2 0.02 0.06 0 0.10 0
3 0.02 0.08 0.10 0 0.05
4 0.02 0.10 0 0.10 0.05

As with univariate random variables, we compute probabilities by adding the appropriate entries in the
table. X
P {(X, Y ) ∈ A} = f(X,Y ) (x, y).
(x,y)∈A

Exercise 2. Find
1. P {X = Y }
2. P {X + Y ≤ 3}.
3. P {XY = 0}.
4. P {X = 3}.
As before, the mass function has two basic properties.
• fX,Y (x, y) ≥ 0 for all x and y.

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 P
• x,y fX,Y (x, y) = 1.
The distribution of an individual random variable is call the marginal distribution. The marginal
mass function for X is found by summing over the appropriate column and the marginal mass function
for Y can be found be summing over the appropriate row.
X X
fX (x) = fX,Y (x, y), fY (y) = fX,Y (x, y)
y x

The marginal mass functions for the example above are

x fX (x) y fY (y)
0 0.10 0 0.14
1 0.30 1 0.16
2 0.20 2 0.18
3 0.30 3 0.25
4 0.10 4 0.27

Exercise 3. Give two pairs of random variables with different joint mass functions but the same marginal
mass functions.
The definition of expectation in the case of a finite sample space S is a straightforward generalization of
the univarate case.
X
Eg(X, Y ) = g(X(s), Y (s))P {s}.
s∈S

From this formula, we see that expectation is again a positive linear functional. Using the distributive
property, we have the formula
X
Eg(X, Y ) = g(x, y)fX,Y (x, y).
x,y

Exercise 4. Compute EXY in the example above.

2 Continuous Random Variables

For continuous random variables, we have the notion of the joint (probability) density function

fX,Y (x, y)∆x∆y ≈ P {x < X ≤ x + ∆x, y < Y ≤ y + ∆y}.

We can write this in integral form as

Z Z
P {(X, Y ) ∈ A} = fX,Y (x, y) dydx.
A

The basic properties of the joint density function are

• fX,Y (x, y) ≥ 0 for all x and y.

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 2.5

1.5
fX,Y(x,y)

0.5

0
1
0.8 1
0.6 0.8
0.4 0.6
0.4
0.2 0.2
0 0
y x

Figure 1: Graph of density fX,Y (x, y) = 4(xy + x + y)/5, 0 ≤ x, y ≤ 1

R∞ R∞
• −∞ −∞
fX,Y (x, y) dydx = 1.

Example 5. Let (X, Y ) have joint density


c(xy + x + y) for 0 ≤ x ≤ 1, 0 ≤ y ≤ 1,
fX,Y (x, y) =
0 otherwise.
Then
Z ∞ Z ∞ Z 1 Z 1
fX,Y (x, y) dydx = c(xy + x + y) dydx
−∞ −∞ 0 0
Z 1  
1
Z 1  
1 2 1 3 1
= c xy + xy + y 2 dx = c x+ dx
2 2 0 2 2
0  0
3 2 1 1 5c
= c x + x =
4 2 0 4
and c = 4/5

1 x
4 1 1 2
Z Z Z  
4 1 2 x
P {X ≥ Y } = (xy + x + y) dydx = xy + xy + y dx
0 0 5 5 0 2 2 0
Z 1   
4 1 3 3 2 4 1 4 1 3 1 4 5 1
= x + x dx = x + x = · = .
5 0 2 2 5 8 2 0 5 8 2
The joint cumulative distribution function is defined as
FX,Y (x, y) = P {X ≤ x, Y ≤ y}.
For the case of continuous random variables, we have
Z y Z x
FX,Y (x, y) = fX,Y (s, t) dtds.
−∞ −∞

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By two applications of the fundamental theorem of calculus, we find that
Z x
∂ ∂2
FX,Y (x, y) = fX,Y (s, y) dt and FX,Y (x, y) = fX,Y (x, y).
∂y −∞ ∂x∂y
Example 6. For the density introduced above,
Z yZ x Z y  
y
4 4 1 2 1
FX,Y (x, y) = (st + s + t) dtds = st + st + t2 ds
0 0 5 0 5 2 2 0
Z y    
x
4 1 2 1 4 1 2 2 1 2 1
= sy + sy + y 2 ds = s y + s y + sy 2
0 5 2 2 5 4 2 2 0
 
4 1 2 2 1 2 1 2
= x y + x y + xy
5 4 2 2
Notice that FX,Y (1, 1) = 1
   
1 1 1 1 4 1 1 1 1 1 1 1 1 1 4 9 9
P {X ≤ , Y ≤ } = FX,Y , = · · + · · + · · = · = .
2 2 2 2 5 4 4 4 2 4 2 2 2 4 5 64 80
The joint cumulative distribution function is right continuous in each variable. It has limits at −∞ and
+∞ similar to the univariate cumulative distribution function.
• limy→−∞ FX,Y (x, y) = 0 and limx→−∞ FX,Y (x, y) = 0.
• limx,y→∞ FX,Y (x, y) = 1.
In addition,
lim FX,Y (x, y) = FX (x) and lim FX,Y (x, y) = FY (y).
y→∞ x→∞

Thus, Z x Z ∞ Z y Z ∞
FX (x) = fX,Y (s, t) dtds and FY (y) = fX,Y (s, t) dsdt.
−∞ −∞ −∞ −∞
Now use the fundamental theorem of calculus to obtain the marginal densities.
Z ∞ Z ∞
0
fX (x) = FX (x) = fX,Y (x, t) dt and fY (y) = FY0 (y) = fX,Y (s, y) ds.
−∞ −∞

Example 7. For the example density above, the marginal densities

Z 1  
1
 
4 4 1 2 1 4 3 1
fX (x) = (xt + x + t) dt = xt + xt + t2 = x+
0 5 5 2 2 0 5 2 2
and  
4 3 1
fY (y) = y+ .
5 2 2
The formula for expectation for jointly continuous random variables is dervied by discretizing X and Y ,
creating a double Rieman sum and taking a limit. This yields the identity
Z ∞Z ∞
Eg(X, Y ) = g(x, y)fX,Y (x, y) dydx.
−∞ −∞

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Exercise 8. Compute EXY in the example above.
As in the one-dimensional case, we can give a comprehensive formula for expectation using Riemann-
Steiltjes integrals Z ∞Z ∞
Eg(X, Y ) = g(x, y) dFX,Y (x, y).
−∞ −∞

These can be realized as the limit of Riemann-Steiltjes sums

m X
X n
S(g, F ) = g(xi , yj )∆FX,Y (xi , yj ).
i=1 j=1

Here,
∆F (xi , yj ) = P {xi < X ≤ xi + ∆x, yj < Y ≤ yj + ∆y}
Exercise 9. Show that

P {xi < X ≤ xi + ∆x, yj < Y ≤ yj }

= FX,Y (xi + ∆x, yj + ∆y) − FX,Y (xi , yj + ∆y) − FX,Y (xi + ∆x, yj ) + FX,Y (xi + ∆x, yj + ∆y).