CHAPTER 5

 Jointly Distributed Random Variable

There are some situations that experiment contains more than one variable and researcher
interested in to study joint behavior of several variables at the same time.
Jointly Probability Mass Function for Two Discrete Distributed Random Variables:
Let X and Y are discrete random variables. The joint pmf p(x, y) is defined for each pair of
numbers (x, y) by
p(x, y) = P (X = x and Y = y),
then the probability P [(X, Y ) A] can find by
P [(X, Y ) A] =

XX

p(x, y),

(x,y) A

The marginal pmf of X and Y are

X
pX (x) =
p(x, y)

pY (y) =

p(x, y)

X and Y are independent, if for every pair of x and y

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

Example The joint pmf of X and Y appears in the accompanying tabulation

y
p(x,y) 0
1
2
0 .1 .04 .02
x 1 .08 .2 .06
2 .06 .14 .3
a. What is P (X = 1 and Y = 1)?
b. Compute P (X 1andY 1).
c. Give a word description of the event (X 6= 0andY 6= 0) and compute the probability of
this event.
d. Compute the marginal pmf of X and of Y . What is P (X 1)?
e. Are X and Y independent r.vs?

Jointly Probability Density Function for Two Continuous Distributed Random

Variables:
The joint pdf for two continuous random variables X and Y for any two-dimensional set A
is
Z Z
P [(X, Y ) A] =
f (x, y)dxdy
A

If A be a rectangle {(x, y) : a 6 x 6 b, c 6 y 6 d}, then

Z bZ
P [(X, Y ) A] = P (a 6 x 6 b, c 6 y 6 d) =

f (x, y)dydx.
a

The marginal pdf of X and Y are

Z
fX (x) =

f (x, y)dy

for < x <

f (x, y)dx for < y <

fY (y) =

Two continuous random variables X and Y are independent, if for every pair of x and y
f (x, y) = fX (x)fY (y)

Example: Each front tire on a particular type of vehicle is supposed to be filled to a pressure
of 26 psi. Suppose the actual air pressure in each tire is a random variable (X) for the right
tire and (Y ) for the left tire, with joint pdf
(
K(x2 + y 2 ) 20 6 x 6 30, 20 6 y 6 30
f (x, y) =
0
otherwise.
a. What is the value of K?
b. What is the probability that both tires are under filled?
c. What is the probability that the difference in air pressure between the two tires is at most
2 psi?
d. Determine the distribution of air pressure in the right tire alone.
e. Are X and Y independent rvs?

For two continuous rvs X and Y , the conditional pdf of Y given that X = x is
fY |X (y|x) =

f (x, y)
<y <
fX (x)

pY |X (y|x) =

p(x, y)
<y <
pX (x)

If X and Y be discrete

Expected Values, Covariance, and Correlation

The expected value of function h(x, y) denoted by E[h(X, Y )] or h(X,Y ) is
( P P
if X and Y are discrete
y h(x, y)p(x, y)
E[h(X, Y )] = R x R
h(x, y)f (x, y)dxdy
if X and Y are continuous

The covariance between two random variables X and Y is
Cov(X, Y ) = E[(X X )(Y Y )]
( P P
y (x X )(y Y )p(x, y)
= R x R
(x X )(y Y )f (x, y)dxdy

X and Y discrete
X and Y continuous

Also
Cov(X, Y ) = E(XY ) X Y
The correlation coefficient of two random variables is
Corr(X, Y ) = X,Y =

Cov(X, Y )
X Y

and has the following properties

Corr(aX + b, cY + d) = Corr(X, Y ), if a and c have same sign (same positive or
negative).
1 6 X,Y 6 1
X,Y = 1 or -1 if and only if Y = aX + b such that a 6= 0
If X and Y are independent = 0
Example: Consider the following joint pmf
p(x,y)

0
0
.02
5 .04
10 .01

y
5
.06
.15
.15

10
.02
.2
.14

15
.1
.1
.01

a. What is E(X + Y )?
b. What is expected value for maximum of X and Y ?
c. Compute the covariance for X and Y .
d. Compute for X and Y .

The Distribution of the Sample Mean

A statistic is any quantity that calculated from sample like sample mean (X).
Random variables X1 , X2 , Xn from a random sample of size n if
1. The Xi s are independent random variables.
2. Every Xi has the same probability distribution.
If X1 , X2 , Xn be a random sample from a distribution with mean and variance 2 , then
is unbiased
= X = X
1. E(X)
= 2 =
2. V (X)
x

2
n

Also, for T = X1 + X2 + + Xn (the total sample)

1. E(T ) = n
2. V (T ) = n 2
If X1 , X2 , Xn be a random sample from a normal distribution with and 2 , then for
any n, sample mean is normally distributed with and 2 , i.e.,
2

N (, )
X
n
also
T N (n, n 2 )
The Central limit theorem
For a random sample X1 , X2 , Xn from a distribution with and 2 , sample mean has
2
approximately a normal distribution with mean and variance n , if n is sufficiently large.
(Also total sample has a normal distribution)
If n > 30, the central limit theorem can be used.
Example: The inside diameter of a randomly selected position ring is a random variable
with mean value 12 cm and standard deviation 0.04 cm.
is the sample mean for a random sample of n = 16 rings, where is the sampling
a. If X
centered, and what is the standard deviation of the X
distribution?
distribution of X
b. Answer the question part (a) for a sample size of n = 64 rings.
is more likely to be within 0.01 cm of 12 cm?
c. For which of the two random samples, X
6 12.01) when n = 64.
d. Calculate P (11.99 6 X

The Distribution of a Linear Combination

In general a1 X1 + a2 X2 + + an Xn is a linear combination of random variables X1 , X2 ,
, Xn have mean values 1 , 2 , , n , and variance of 12 , 22 , , n2 . respectively
E(a1 X1 + a2 X2 + + an Xn ) = a1 E(X1 ) + a2 E(X2 ) + + an E(Xn )
= a1 1 + a2 2 + + an n ,
n X
n
X
V (a1 X1 + a2 X2 + + an Xn ) =
ai aj Cov(Xi Xj ).
i=1 j=1

If Xi s and Xj s be independent, Cov(Xi , Xj ) = 0, then V (a1 X1 + a2 X2 + + an Xn ) =?

In particular, for difference of two random variables
E(X1 X2 ) = E(X1 ) E(X2 )
V (X1 X2 ) = V (X1 ) + V (X2 ),

if X1 and X2 are independent

If X1 , X2 , , Xn are independent and normally distributed, any linear combination of them

has also normal distribution.

Example: Let X1 , X2 , X3 , X4 , X5 be the observed numbers of miles per gallon for the five
cars. suppose these variables are independent and normally distributed with 1 = 2 =
20, 3 = 4 = 5 = 21, and 2 = 4 for X1 and X2 and 2 = 3.5 for others, define Y as
Y =

X1 + X 2 X3 + X 4 + X5

2
3

Compute P (0 6 Y ) and P (1 6 Y 6 1).

Suggested Exercises for Chapter 5: 3, 5, 11, 13, 15, 19, 25, 27, 31, 37, 39, 41, 47, 49,
51, 55, 59, 63, 65, 69, 73, 75,