CHAPTER FIVE

TWO DIMENSIONAL RANDOM

VARIABLES
Content
5.1 Definition of two dimensional random variables

5.2 Joint distributions for discrete and continuous random variables

5.3 Cumulative Distribution Function (cdf) of two-dimensional random variable

5.4 Marginal and conditional distributions

5.5 Independent random variables

5.6 Distributions of functions of two dimensional random variables

5.1 Definition of Two Dimensional Random Variables

Definition (Two-Dimensional Random Variables): Let S be a sample space

associated with a random experiment E. Let X(s) =x and Y(s)=y be two functions
each assigning a real number to each outcome s ∈ S. Then we call (X , Y ) a two
dimensional random variable.
Equivalently, we call X and Y bivariate random variables.

Examples: It may be of one’s interest to measure

 The amount of precipitate P and volume V of a gas from controlled experiment (P,V)
 The total rain fall R and the average temperature T of a locality during a specified period(R,T)
 The hardness H and tensile strength T of copper, resulting in the outcomes (h, t).
 The weight of a student X, and his height Y in a class
5.2.1 Joint distributions for discrete random variables
Definition (Two-Dimensional Discrete Random Variables)

 (X, Y) is a two-dimensional discrete random variable if the possible values of

(X, Y) are finite or countably infinite, i.e., if the possible values of (X, Y) can be
written as (x1, y1), (x2, y2), (x3, y3), . . .

 If X and Y are two discrete random variables, the probability distribution for

their simultaneous occurrence can be represented by a function with values p(x,

y) for any pair of values (x, y) within the range of the random variables X and Y .
 It is customary to refer to this function as the joint probability distribution of X

and Y.
Definition: The function P(x, y) is a joint probability distribution or probability

mass function of the discrete random variables X and Y with ranges R X and RY if

p(x, y) = P(X = x and Y = y), x ∈ RX , y ∈ RY

i. P ( x, y )  0 for all x and y

ii.  P ( xi , yi )  1
x y

• The set of triplets (x, y, f(x,y)) is called the joint probability distribution of (X,
Y).
• For any region A in the xy plane, P[(X, Y ) ε A] = ΣΣ f(x,y)
A
• Structure of joint probability distribution for discrete case:
Example 1: Roll two dice. Let X be the value on the first die and let Y be the value on
the second die.
 Then both X and Y take values 1 to 6 and the joint probability mass function(pmf) is

P(i, j) = 1/36 for all i and j between 1 and 6.

 Here is the joint probability table:
• Example 2. Roll two dice. Let X be the value on the first die and let T
be the total on both dice. Here is the joint probability table:
• Class Activity. Consider an experiment of tossing two fair dice and
noting the outcome on each die. The whole sample space consists of 36
elements. Now, with each of these 36 elements associate values of two
random variables, X and Y, such that X≡ sum of the outcomes on the
two dice, Y ≡ |difference of the outcomes on the two dice|. Construct
joint probability mass function.
• Exercise 1: Suppose that 3 balls are randomly selected from an urn
containing 3 red, 4 white, and 5 blue balls. If we let X and Y denote,
respectively, the number of red and white balls chosen, then find the joint
probability mass function of X and Y.
5.2.2 Joint Distributions for Continuous Random Variable
• Definition: Two--Dimensional Continuous Random Variables : (X,Y) is a two-
dimensional continuous random variable if it assumes all values in some region R of
the Euclidian plane.
• Definition: Probability Density Function: Let (X,Y) be a two-dimensional
continuous random variable assuming all values in the some region R2 (2-dimensional
set). Then the joint probability density function (p.d.f) of (X,Y) is a function that
satisfies the following two conditions.

i. f ( x, y )  0 for all x and y  R

ii.  f ( x, y ) dxdy  1
R

• Remark: If B is the range space of(X, Y) we have

P( B)  
B
f ( x, y ) dxdy
Example 1: Let X and Y have joint probability density function:

4 xy, if 0  x  1, 0  y  1
f x   
0, Otherwise

Determine p(x<0.5, 0.25<y<1)

Solution

p(x<0.5, 0.25<y<1)=
  f x, y dxdy
1 0.5
   4 xydxdy
0.25 0

11
Solution…
0.5
1 0.5 1
x 2

   4 xydxdy   4 y  dy
0.25 0 0.25  2 0
1
y
  dy
0.25
2
2 1
y

4 0.25

 15  0.2344
64
12
Example 2: Suppose (X, Y) has a joint pdf given by

a) Determine the constant c

b) Find P(X<1,Y<3)

c) Find P(X>Y)

13
  
Solution:
  f x, y dxdy  1
  

4 2
   cdxdy  1
0 0

4
  cx  0 dy  1
2

4
  2cdy  1
0

 2cy 0  1  c  1
4
8
14
Solution:  1 , if 0  x  2, 0  y  4
f x , y    8
0, Otherwise
3 1
px  1, y  3    8
1 dxdy
  
3 1
   1 dxdy
8
0 0
3
1
8
 x  0 dy
1

0
3
  1 dy
8
0

1
8
 y  0  px  1, y  3  3
3
8
15
Solution: Find P(X>Y)
2 x
1
Plot the region p x  y     dydx
0 0
8
2 x
1
p x  y   0 0 8 dydx
2 x
1 
 0  8 y  dx
0
2
1
 0 8 xdx
2
 1 2 
  x 
 16 0
 1
4
16
 Marginal and conditional distributions
Marginal probability distributions (Discrete case)

Let (X, Y) be a discrete bivariate random variable with joint pmf PX,Y(X, Y). Then the

marginal pmfs of X and Y, PX and PY , are given respectively by:

PX xi   P X  xi    PX ,Y xi , y j  and

j

PY y j   P Y  y j    PX ,Y xi , y j  and
i

17
Example1. Let (X,Y)have a joint pmf given by:

Find the marginal distribution of X and Y

P X  xi    PX ,Y xi , y j  P Y  y j    PX ,Y xi , y j 
j i

X 0 1 2 Y 0 1 2
P(X) 0.40 0.30 0.30 P(Y) 0.50 0.28 0.22

Marginal distribution of X Marginal distribution of Y

18
Example 2. Consider an experiment of tossing two fair dice and noting the outcome on

each die. The whole sample space consists of 36 elements. Now, with each of these 36
elements associate values of two random variables, X and Y, such that X≡ sum of the
outcomes on the two dice, Y ≡ | difference of the outcomes on the two dice |. Joint pmf is

Y 2 3 4 5 6 7 8 9 10 11 12
0 1/36 1/36 1/36 1/36 1/36 1/36
1 2/36 2/36 2/36 2/36 2/36
2 2/36 2/36 2/36 2/36
3 2/36 2/36 2/36
4 2/36 2/36
5 2/36
Find the marginal distribution of X and Y

19
Solution. The marginal pdf of X is

X 2 3 4 5 6 7 8 9 10 11 12
P(X=x) 1/36 2/36 3/36 4/36 5/36 6/36 5/36 4/36 3/36 2/36 1/36

Find the marginal distribution of X and Y

Y 0 1 2 3 4 5
P(Y=y) 6/36 10/36 8/36 6/36 4/36 2/36

20
 Marginal and conditional distributions
Marginal probability distributions (Continuous case)

Let (X, Y) be a continuous bivariate random variable with joint pdf fX,Y(X, Y). Then

the marginal pdfs of X and Y, fX and fY , are given respectively by:

f X x    f x, y dy
X ,Y and
RY

fY  y    f x, y dx
X ,Y
RX

21
 Example 1: Let X and Y have joint probability density function:

fX,Y(x,y)=4xy for 0 < x < 1 and 0 < y < 1

Find the marginal distributions of X and Y

Solution
The marginal distribution of X is

f X x    f x, y dy
X ,Y and
RY

1
f X x    4 xydy
0

2 x, if 0  x  1
 2x y  
2 1
 f x   
0
0, Otherwise
22
Solution
The marginal distribution of Y is

fY  y    f x, y dx
X ,Y and
RX

1
fY  y    4 xydx
0

2 y, if 0  y  1
 
 2 y x  f y   
2 1
0
0, Otherwise

23
 Example 2: Let X and Y be two jointly continuous random variables with joint PDF :

cx 2 y, if 0  y  x  1
f X ,Y x, y   
0, otherwise
Find marginal distributions of X and Y

Solution: determine the value of c

 

 f x, y dydx  1
  

24
Solution…
1 x

  cx ydydx  1
2

0 0

x
1
y 2

0 cx  2  dx  1
2

0
1
1 4
0 2 cx dx  1
1
 cx 5

   1  c  10
 10 0
25
Solution… 10 x 2 y, if 0  y  x  1
f X ,Y x, y   
0, otherwise
The marginal distribution of X is
x
f X x    10 x 2 ydy
0

x
y 2

 10 x 2

 2 0
 5x 4
5 x 4 , if 0  x  1
f X x   
o, Otherwise
26
The marginal distribution of Y is
1
fY  y    10 x 2 ydx
y

1
x 3

 10 y 
 3 y


10
3

y  y4 
10
 y y 4

, if 0  y  1
fY  y    3
0, Otherwise


27
Class Activity: Let X and Y be two jointly continuous random variables with

joint PDF :
12 x, if 0  y  x  1, 0  x 2  1
f X ,Y x, y   
0, otherwise

Find marginal distributions of of X and Y

28
 Conditional probability distributions (Discrete case)
Definition. Suppose X and Y are discrete random variables with joint probability
mass function p(x,y) and marginal probability mass functions pX(x) and pY(y),
respectively. Then,

a) the conditional probability mass function of Y given X = x is defined as:

p X ,Y  y, x 
pY / X  y / x  
p X x 

b. the conditional probability mass function of X given Y = y is defined a

p X ,Y  y, x 
p X / Y x / y  
pY  y 

29
Example: Suppose (X,Y) is a discrete random variable and

P(X=1,Y=2)=0.03, and P(Y=2)=0.25. Find P(X=1/Y=2)?

30
 Conditional probability distributions (Continuous case)
Definition. Suppose X and Y are continuous random variables with joint

probability density function f(x,y) and marginal probability density

functions fX(x) and fY(y), respectively. Then,
a)the conditional probability density function of Y given X = x is defined as:
f X ,Y  y, x 
fY / X  y / x  
f X x 

b.the conditional probability density function of X given Y = y is defined as:

f X ,Y  y, x 
f X / Y x / y  
fY  y 

31
Example: Suppose the continuous random variables X and Y have the following

joint probability density function:

3
f X ,Y  y, x   , for 0  x  1 and x 2  y  1
2

What is the conditional distribution of Y given X = x?

Solution
f X ,Y  y, x 
fY / X  y / x  
f X x 

32
Solution …

1
3
f X x    dy
x2
2
1
3 
 y
2  x2
3
 1 x2
2
 
3
 1 
 x 2

, if 0  x  1
f X x    2
0, Otherwise


33
Solution …

The conditional distribution of Y for a given value of X=x is

f X ,Y  y, x 
fY / X  y / x  
f X x 
3
 2
3
2

1 x2 

 1 
 2 
1 x 
34
Class Activity: Suppose the continuous random variables X and Y have the following

joint probability density function:

3
 2 , for x  0, y  0, and and x  y  1
f X ,Y  y, x   
0, otherwise

a) What is the conditional distribution of Y given X = x?

b) p(X < 1/2 | y = 1/4)

c) p(x > 1/3| y = 1/2)

35
Cumulative Distribution Function (CDF ) of Two Dimensional
Random Variable
• Definition: CDF: Let (X, Y) be a two-dimensional random variable. The
cumulative distribution function F of (X, Y) is defined as F(x, y) = P(X ≤ x,
Y ≤ y)
• Case 1: If (X, Y) is discrete, then

F ( x, y )  P( X  x, Y  y )   P( X  xi , Y  y j ) xi  x, y j  y

• Case 2: If (X,Y) is continuous, then

x y
F ( x, y )  P ( X  x, Y  y )  

f ( s, t )st
 Properties of a CDF
i. 0 ≤ F(x, y) ≤ 1
ii. P(a < X < b, Y <y) = F(b, y) - F(a, y)
iii. P(X ≤ x, c < Y < d) = F(x, d) - F(x, c)
iv. P(a < X < b, c < Y < d) = F(b, d) - F(a,d ) - F(b, c) + F(a, c)
v. F(x, y) is non-decreasing function
vi. F(-∞, y) = 0; F(x, -∞) = 0
vii. F(-∞, +∞) = 1
viii.  2 F ( x, y )
 f ( x, y )
xy
• Example1: Two production lines manufacture a certain type of item. Suppose that the
capacity per day is 5 items for line I, and 3 items for line II. Assume that the number of
items actually produced by either production line is a random variable. Let (X,Y)
represents the two – dimensional random variable yielding the number of items produced
by line I and II , respectively. Find F(1,2).
X 0 1 2 3 4 5 Total
Y
0 0 0.01 0.03 0.05 0.07 0.09 0.25
1 0.01 0.02 0.04 0.05 0.06 0.08 0.26
2 0.01 0.03 0.05 0.05 0.05 0.06 0.25
3 0.01 0.02 0.04 0.06 0.06 0.05 0.24
Total 0.03 0.08 0.16 0.21 0.24 0.28 1
1 2
• Solution: F(1, 2)  P(X  1, Y  2)   P(X  x i , Y  y j )
i  0 j 0

 0  0.01  0.01  0.01  0.02  0.03  0.08

• Example 2: Let the p.d.f of X and Y be given as follows

 x  y , 0  x  1, 0  y  1
f ( x, y )  
 0, otherwise
a) Find the corresponding joint cdf of (X, Y)
b) P(X<1/2, Y<1/2)
• Solution:
a)

b) 1 / 2 * (1 / 2) 2 1 / 2 * (1 / 2) 2
P ( X  1 / 2, Y  1 / 2)  F (1 / 2,1 / 2)    1/ 8
2 2
 Independent random variables

Recall that events A and B are independent if

P(A ∩ B) = P(A)P(B)

Random variables X and Y define events like ‘X ≤ 2’ and ‘Y > 5’.

So, X and Y are independent if any event defined by X is independent of any

event defined by Y

40
Definition: Jointly-distributed random variables X and Y are independent if their joint
density function is the product of the marginal densities:
For discrete variables this is equivalent to the joint pmf being the product of the marginal pmf’s:

pX,Y(x,y)= pX,(x) pY(y)

For continuous variables this is equivalent to the joint pdf being the product of the marginal

pdf’s:

fX,Y(x,y)= fX,(x) fY(y)

Once you have the joint distribution, checking for independence is usually straightforward

although it can be tedious.

41
Remark: For discrete variables independence means the probability in a cell must be the
product of the marginal probabilities of its row and column.

Example:

42
Example 1 (Continuous): Suppose the joint distribution of X and Y is given as follows. Are
X and Y independent?

fX,Y(x,y)=4xy for 0 < x < 1 and 0 < y < 1

Solution: Find the marginal's of X and Y

f X x    f x, y dy
X ,Y and fY  y    f x, y dx
X ,Y and
RY RY
1 1
f X x    4 xydy fY  y    4 xydx
0
0

2 x, if 0  x  1
 2x y  
2 1
 f x   
 2y x  
2 1
2 y, if 0  y  1
 f y   
0
0, Otherwise 0
0, Otherwise
fX,Y(x,y)= fX,(x) fY(y) X and Y are independent
43
Example 2 (Continuous): Suppose the joint distribution of X and Y is given as follows. Are
X and Y independent?

1.5x 2  y 2 , for 0  x  1, 0  y  1
f X ,Y  y, x   
0, otherwise

Solution: Determine marginal of X

f X x    f x, y dy
X ,Y and
RY

1
 
f X x    1.5 x 2  y 2 dy
0

1
 3 x  1, if 0  x  1
1
 2 1 3
 1.5 x y  y   f x    2
 3 0 0, Otherwise

44
Solution: Determine marginal of Y

fY  y    f x, y dx
X ,Y and
Rx
1

fY  y    1.5 x 2  y 2 dx 
0

1
 3 y  1, if 0  y  1
1
1 3 2 
 1.5 x  y x   f  y    2
3 0 0, Otherwise

f X ,Y x, y   f X x  fY  y 
 X and Y are not
 1
  1 
 1.5 x 2  y 2   3x  1  3 y  1 independent
2  2 

45
 Independent random variables
Class Activity: Suppose the joint distribution of X and Y is given as follows.
Are X and Y independent?
6 xy 2 , for 0  x  1, 0  y  1
f X ,Y  y, x   
0, otherwise

46
Functions of Two Dimensional Discrete Random Variable
• Let us now consider Z = H(x, y), a function of two random
variables X and Y. It should be clear that Z is again a random
variable.
• Consider the following sequence of steps:
a. Perform the experiment E and obtain the outcomes.
b. Evaluate random numbers X(s) and Y(s)
c. Evaluate the numbers Z = H(X(s), Y(s))
• The value of Z clearly depends on s, the original outcome of the
experiment. Given the distribution of (X, Y), what is the
probability distribution of Z = H(x, y)?
 Functions of Two Dimensional Discrete Random Variable
• If (X, Y) is a two-dimensional discrete random variable, the following one
dimensional discrete random variables might of interest
U = min(X, Y) ; V = max(X, Y) ; W = X + Y
Example 1: The joint probability function ( X , Y) is given by
P(x, y) = K(2x + 3y); x = 0,1,2; y = 1,2,3
a) Compute the value of K
b) Find the probability distribution of
i. W=X+Y
ii. U = min(X, Y)
iii. V = max(X, Y)
• Solution:
a) To determine the constant K we make use one of the properties of a p.m.f
namely

b) i. Rw = {1, 2, 3, 4, 5}
P(W=1)=P(0,1)=3/72
P(W=2)=P(0,2)+P(1,1)=6/72 + 5/72 = 11/72
P(W=3)=P(0,3)+P(1,2)+P(2,1)=9/72 + 8/72 + 7/72 = 24/72
P(W=4)=P(1,3)+P(2,2)=11/72 + 10/72 = 21/72
P(W=5)=P(2,3)=13/72
ii. RU= {0, 1, 2}
P(U=0)=P(0,1) + P(0,2) + P(0,3)=3/72 + 6/72 + 9/72 = 18/72
P(U=1)=P(1,1)+P(1,2)+ P(1,3) + P(2,1)=5/72 + 8/72 + 11/72 + 7/72= 31/72
P(U=2)=P(2,2) +P(2,3)=10/72 + 13/72 = 23/72
U 0 1 2
P(U=u) 18/72 31/72 23/72

iii. RV= {1, 2, 3}

P(V=1)=P(0,1) + P(1,1)=3/72 + 5/72 = 8/72
P(V=2)=P(0,2)+P(1,2)+ P(2,2) +P(2,1)=6/72 + 8/72 + 10/72 +7/72= 31/72
P(V=3)=P(0,3) + P(1,3)+P(2,3)=9/72 + 11/72 + 13/72= 33/72
V 1 2 3
P(V=v) 8/72 31/72 33/72
Functions of Two Dimensional Continuous Random Variable
• In finding the pdf of Z = H1(x, y) it is often simplest to consider a second
random variable , say W= H2(x, y), and first obtain the joint pdf Z and W, say
fzw(z,w).
• From a knowledge of fzw(z,w) we can then obtain the desired pdf of Z, say fZ(z),
by simply integrating fzw(z,w) with respect to w. That is
f Z ( z )   f ( z , w)w


• Theorem: Suppose that (X,Y) is a two-dimensional continuous random variable

with joint pdf fXY(x,y). Let Z = H1(x, y) and W= H2(x, y), and assume that H1 and
H2 satisfy the following conditions:
a) The equation Z = H1(x, y) and W= H2(x, y) can be uniquely solved for x and y
in terms of z and w, say x = G1(z, w) and y = G2(z, w).
 x x y y
b) The partial derivatives , , and exist .
z w z w

 Then the joint pdf of (Z, W), say fzw(z,w), is given by the following
expression:
f ZW ( z , w)  f XY (G1 ( z , w), G2 ( z , w)) J ( Z ,W )
 where J(Z, W) is the following 2x2 determinant:
x x
J  z w
y y
z w
 This determinant is called the Jacobian of the transformation (x, y) → (z, w)
• Example
1 , 0  x  1, 0  y  1
Let f ( x, y )  
0 , otherwise

• Find the joint pdf of U = X+Y and V = X-Y

• Solution: solve for x and y
UXY
 VXY x 1 x 1
uv  , 
u  v  2x  x  u 2 v 2
2 y 1 y 1
y  xv 
uv
v 
uv  , 
2 2 u 2 v 2
 x x 1 1
J  u v  2 2   1   1    1  1    1
y y 1 1  2  2   2  2  2

u v 2 2
• The joint pdf of U = X+Y and V = X-Y is
fUV (u , v)  f XY (G1 (u , v), G2 (u , v)) J (U ,V )
u v u v 1
 f XY ( , )
2 2 2
1 1
 1 
2 2
• Therefore, the joint pdf is

 1
, 0  u  v  2, 0  u  v  2
fUV (u , v)   2
 0 , otherwise
• Suppose the joint distribution of X and Y is given as follows.

fX,Y(x,y)=4xy for 0 < x < 1 and 0 < y < 1

Find the joint pdf of U = 2X+Y and V = X-Y