Chapter 4

Multiple Random Variables

Apr. 2022
Introduction
 Let us define the event A by and the event B as

 Distributions
Introduction


Joint Distribution of two Random Variables
• Sometimes more than one measurement (r.v.) is taken on each member of the
sample space. In cases like this there will be a few random variables defined on
the same probability space and we would like to explore their joint distribution.

• Joint behavior of 2 random variable (continuous or discrete), X and Y determined

by their joint cumulative distribution function

FX ,Y x, y   P X  x, Y  y .

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Joint Distribution of two Random Variables: Properties

𝐹 𝑋 ,𝑌 ( − ∞ ,− ∞ ) =0

𝐹 𝑋 ,𝑌 ( − ∞ , 𝑦 ) =0

𝐹 𝑋 ,𝑌 ( 𝑥 ,− ∞ )=0

𝐹 𝑋 ,𝑌 ( ∞ , ∞ )=1

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Joint Distribution of two Random Variables: Properties

0 ≤ 𝐹 𝑋 ,𝑌 (− ∞ , −∞ ) ≤ 1

𝐹 𝑋 ,𝑌 ( 𝑥 , 𝑦 )
is a non-decreasing function of both x and y

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Marginal Distribution Function

𝐹 𝑋 ,𝑌 ( 𝑥 , 𝑦= ∞ ) = 𝐹 𝑋 ( 𝑥 )

𝐹 𝑋 ,𝑌 ( 𝑥= ∞ , 𝑦 ) = 𝐹 𝑌 ( 𝑦 )

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Example
Consider the two dimensional random variable (X, Y ). Find the regions of the planes corresponding to the
events

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Example

10
The Joint Distribution of two Continuous R.V’s
• In particular , if A = {(X, Y): X ≤ x, Y ≤ x}, the joint CDF of X,Y is

FX ,Y x, y    f X ,Y u , v du , dv
x y

  

• From Fundamental Theorem of Calculus we have

2 2
f X .Y x, y   FX ,Y x, y   FX ,Y x, y 
xy yx

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Example

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Continuation (Example)
Example
Given the following joint CDF of X, Y
FX ,Y x, y   x 2 y  y 2 x  x 2 y 2 0  x 1, 0  y 1

 Find the joint density of X, Y.

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The Joint Distribution: Properties

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The Joint Distribution: Properties
∞
𝑓 𝑋 ( 𝑥 )= ∫ 𝑓 𝑋𝑌 ( 𝑥 , 𝑦 ) 𝑑𝑦
−∞

∞
𝑓 𝑌 ( 𝑦 ) =∫ 𝑓 𝑋𝑌 ( 𝑥 , 𝑦 ) 𝑑 𝑥
−∞

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The Joint Distribution: Properties

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Example
• Consider the following bivariate density function


12 2
f X ,Y x, y    7
x  xy  0  x 1, 0  y 1
 0 otherwise

• Check if it’s a valid density function.

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Example
Consider the pdf for X and Y


12 2
f X ,Y x, y    7
x  xy  0  x 1, 0  y 1
 0 otherwise
Find the marginal pdfs.
Example
• Consider the following bivariate density function


12 2
f X ,Y x, y    7
x  xy  0  x 1, 0  y 1
 0 otherwise

• Compute P(X > Y).

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Example
• Consider the following bivariate density function


12 2
f X ,Y x, y    7
x  xy  0  x 1, 0  y 1
 0 otherwise

• Compute .

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Example
Suppose the set of possible values for (X; Y ) is the rectangle
Let the joint pdf of (X; Y ) be

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Example
Suppose the set of possible values for (X; Y ) is the rectangle
Let the joint pdf of (X; Y ) be

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Example
Suppose the set of possible values for (X; Y ) is the rectangle
Let the joint pdf of (X; Y ) be

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Conditional probability density functions
Definition: Let X and Y denote two random variables with joint probability density
function f(x,y) and marginal densities fX(x), fY(y) then the conditional density of Y
given X = x
f  x, y 
fY X  y x  
fX x

conditional density of X given Y = y

f  x, y 
fX Y x y 
fY  y 
Find the conditional distribution of x given y;
Find the probability that given that y=0.5.
Example
Let X be the input to a communication channel and Y the output. The input to the channel is
+1 volt or −1 volt with equal probability. The output of the channel is the input plus a noise
voltage N that is uniformly distributed in the interval [−2,+2] volts. Find the probability that
Y is negative given that X is +1, i.e.,

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Example
Let X be the input to a communication channel and Y the output. The input to the channel is
+1 volt or −1 volt with equal probability. The output of the channel is the input plus a noise
voltage N that is uniformly distributed in the interval [−2,+2] volts. Find

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Independent Random Variables

In many situations, information about the observed value of one of the two variables X
and Y gives information about the value of the other variable.

Thus there is a dependence between the two variables. Earlier, we pointed out that one
way of defining independence of two events is via the condition
P(A  B) = P(A) P(B).
Independent Random Variables

Definition: Two random variables X and Y are said to be independent if for every
pair of x and y values

f (x, y) = fX (x) fY (y) when X and Y are continuous

• If the previous condition is not satisfied for all (x, y), then X and Y are said to be
dependent.
Example:

Let X and Y denote the proportion of two different chemicals in a sample mixture of chemicals used as
an insecticide. Suppose X and Y have joint probability density given by:

2, 0  x  1,0  y  1,0  x  y  1

f ( x, y)  
0, elsewhere
Example:
1) Find the marginal density functions for X and Y.

1 x
f1 ( x )   
 2dy  2(1  x ), 0  x  1
0
 0 otherwise


1 y
f 2 ( y)   
 2dx  2(1  y ), 0  y  1
0
 0 otherwise

2) Are X and Y independent?

f1(x) f2(y)=2(1-x)* 2(1-y) ≠ 2 = f(x,y), for 0 ≤ x ≤ 1-y.

Therefore X and Y are not independent.

3) Find P(X > 1/2 | Y =1/4).

1
1 f ( x, y  )
1 1
 1 1 1 4 2 2
P  X  | Y     f ( x | y  )dx   dx   
 2 4  1/ 2 4 1/ 2 f ( y 
1 1
1 / 2 2(1  )
3
)
4 4
Questions?