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Conditional CDFs
FXY (x,y)
FY (y)
Where FXY (x, y) denotes the joint CDF and FY (y) is the marginal CDF of
the random variable Y . Please note, this general formula can be applied
to continuous, discrete and mixture distributions. Dividing the joint CDF
by the marginal CDF allows us to normalize our conditional distribution
so that it maintains the necessary properties of the CDF only in terms of
the variable we are not conditioning upon. For example, if we looked at the
formula above, this particular conditional CDF only maintains the properties
of the CDF in terms of X.
Recall the properties of the CDF:
1) limx,y FXY (x, y) = 0 and limx,y FXY (x, y) = 1
2)FXY (x, y) is a monotone, nondecreasing function for both X and Y
3)FXY (x, y) is continuous from the right for both X and Y
Remember, the conditional CDF retains all the same properties as the CDF
for only the random variable you are not conditioning upon. Later on, we
will use an example to demonstrate that these properties hold for conditional
CDFs.
Kingsbury, Nick. Joint and Conditional cdfs and pdfs. Connexions. 7 June 2005
<http://cnx.org/content/m10986/2.8/>.
1.1
We will begin by looking at the case where the variables are jointly continuous. In terms of the CDF there is one primary method we use; it is direct,
in so far that we go from a CDF to a conditional CDF.
There is an alternative method that involves taking the conditional PDF and
transforming it into a conditional CDF. We will focus on the first method,
as it better helps us understand the conditional CDF as its own beast, independent of the PDF.
1.1.1
Transforming a joint CDF into a conditional CDF requires that we figure out
what the marginal CDF is. The marginal CDF of X can be found by taking
the limit of the joint CDF as Y approaches infinity:
FX (x) = limy FXY (x, y)
And conversely for the marginal CDF of Y:
FY (y) = limx FXY (x, y)
Now that we know how to find the marginal CDF, we can use the following
equation to determine the conditional CDF, FXY (x | y):
FXY (x | y) = P r[X x | Y y] =
FXY (x,y)
FY (y)
1.1.2
It may prove useful to obtain the first moment of a conditional CDF. That is,
what is the expectation of a random variable X given that we know that the
random variable Y is less than a given value. Notationally, we are interested
in E[X | Y y]. To do this, first recall the formula for the mean of the CDF:
E[X] =
R
0
1 FX (x)dx
R0
FX (x)dx
R
0
FXY (x,y)
dx
FY (y)
R0
FXY (x,y)
dx
FY (y)
What you may notice here is that we are only integrating with respect to
X. This leads us to an interesting point about this expectation: it will vary
with Y . This makes intuitive sense, as you would expect that
E[X | Y a] 6=E[X | Y b].
1.1.3
FXY (x, y) =
0 if x < 0 or y < 0
.5xy(x + y) if 0 x < 1 and 0 y < 1
1 if x 1 and y 1
.5x(x + 1) if 0 x < 1 and y 1
.5y(1 + y) if x 1 and 0 y < 1
First we will generally solve for the conditional CDF, which we can then use
to find our probabilities of interest.
To solve this problem we need the joint CDF (which we have) and the
marginal CDF (which we do not have, yet). Specifically, we need the marginal
CDF of Y:
0 if y < 0
.5y(1 + y) if 0 y < 1
1 if y 1
FXY (x,y)
FY (y)
.5xy(x+y)
.5y(1+y)
x * y > 0<<D,
This graph helps us to see that our conditional CDF maintains all the necessary properties of the CDF. Overall, we can see the right continuity of X,
the limit of X as it approaches its lower bound of 0 is 0, the limit of X as
it approaches its upper bound of 1 is 1 and the conditional CDF is nondecreasing for X. Its all there.
At first glance, one might think that the variables are independent, since
it does not appear
variation
in Y from
affects
plot 2x^2that
x3 and
.5555x^2 .4444x
0 to 1 the shape of the plot. This
is incorrect, varying Y does alter the distribution, just very minimally. To
show this, examine the following plot:
Printed by Mathematica for Students
Input interpretation:
1
plot
2 x2 x
x 0 to 1
0.5555 x 0.4444 x
Plot:
1.0
0.8
0.6
0.4
0.2
1
3
0.2
0.4
0.6
0.8
1.0
2 x 2 x
0.5555 x 2 0.4444 x
What weve done here is fix the value of Y for our conditional CDF,
(x,.5)
at two values of Y , 0.5 and 0.8. What you see on the plot is FXY
,
FY (.5)
FXY (x,y)
,
FY (y)
(x,.8)
denoted by the blue line and FXY
, denoted by the pinkish line. These two
FY (.8)
lines represent slices of the conditional distribution plotted above. Clearly,
the slices are not identical, but very, very similar.
Lets try and find Pr[X x | Y .5]. In this case, we are only looking
at a specific slice of theplotgraph
from above. Recall that FY (.5) is equivalent
z23xx.5 from 0 to 1
to the probability that Y .5. With this in mind, we take the conditional
(x,y)
= .5xy(x+y)
, and fix Y = .5 to arrive at the following plot:
CDF, FXY
FY (y)
.5y(1+y)
Input interpretation:
plot
2
3
x x 0.5
x 0 to 1
Plot:
1.0
0.8
0.6
0.4
0.2
0.2
0.4
0.6
0.8
1.0
Just looking at the graph above, you should be able to see that it maintains
the properties of the CDF.
Say we were looking for the probablity that X .75 given that we know
Y .5. To solve this, we would proceed as follows:
Pr[X .75 | Y .5]=F (.75 | .5)
For fun, lets find the first moment of this conditional CDF. To start, we
will derive the general form, E[X | Y y].
E[X | Y y] =
E[X | Y y] =
E[X | Y y] =
R 0 .5xy(x+y)
.5xy(x+y)
dx
dx
.5y(1+y)
.5y(1+y)
R1
.5xy(x+y)
0 1 .5y(1+y) dx 0
1
1 ( y+1
)( 13 + y2 )
0
As you can see, the expectation of X varies with Y . From here, one can just
plug in values for y as follows:
E[X | Y .1] = .6515
E[X | Y .5] = .6111
E[X | Y .9] = .5877
See, tons of fun.
plot
x2 0.7 x
x 0 to 1
1.7
Plot:
1.0
0.8
0.6
0.4
0.2
0.2
0.4
0.6
0.8
1.0
FXY (.4,.7)
FY (.7)
.5(.4)(.7)(.4+.7)
.5(.7)(1+.7)
.154
.595
= .2588
Next will will find the probability that X is at most .2 given Y is at most .7:
Pr[X .2 | Y .7] = F [.2|.7] =
(.4,.7)
F (.7)
.5(.2)(.7)(.2+.7)
.5(.7)(1+.7)
XY
Generated by Wolfram|Alpha (www.wolframalpha.com)
on November 15, 2010 from Champaign, IL.
Wolfram Alpha LLCA Wolfram Research Company
Y
.063
.595
= .10588
Method 2 Example
R1
0
2x2 y + 2y 2 dx = 2y 2 + 32 y
We know from our initial lecture on joint density functions that a conditional
joint density function takes the following form:
f (x | y) =
fXY (x,y)
fY (y)
2x2 y+2y 2
2y 2 + 23 y
x2 +y
y+ 13
Applying our formula from MGB we can convert the conditional PDF to a
conditional CDF through integration:
FX|Y (x | y) =
Rx
FX|Y (x | y) =
R x z 2 +y
FX|Y (x | y) =
x3 +3xy
3y+1
fx|y (z | y)dz
0 y+ 1
3
dz
x3 +3xy
3y+1
Say we were asked to find the probability that X .4 given that we know
Y .7. We can employ our conditional CDF to determine the answer:
P r[X .4 | Y .7] FX|Y [.4, .7] =
.43 +3(.4)(.7)
3(.7)+1
.064+.84
3.1
= .2916
10
1.1.5
+3xy
+ (.1) x3y+1
FX|Y (x | y) = (.9) .5xy(x+y)
.5y(1+y)
So lets compute an arbitrary value and see what we find. For fun, lets find
P r[X .5 | Y .5], or notationally, FX|Y (.5 | .5):
FX|Y (.5 | .5) = (.9)HX|Y (.5 | .5) + (.1)GX|Y (.5 | .5)
+ (.1) .875
FX|Y (.5 | .5) = (.9) .125
.375
2.5
FX|Y (.5 | .5) = .3 + .035 = .335
Well, the result is less than 1, which we want, but how do we know that
it is right? Lets try going through all of our steps to create our mixture
conditional CDF.
11
Starting from scratch, we can multiply out the probabilities into the distribution to get one big joint PDF:
f (x, y) = (.9)(x + y) + (.1)(2x2 y + 2y 2 ) = .9x + .9y + .2x2 y + .2y 2
We know from above that in order to arrive at the conditional CDF,
FX|Y (x | y), we need to find both the joint CDF of X and Y , FXY (x, y), and
the marginal CDF of Y , FY (y):
FXY (x, y) = 01 01 (.9a + .9b + .2a2 b + .2b2 )da db
2
1 2
FXY (x, y) = xy( 30
x y + .45x + y15 + .45y)
R R
y
+ .45 +
FY (y) = limx1 FXY (x, y) = y( 30
y2
15
+ .45y)
FX|Y (x | y) =
FXY (x,y)
FY (y)
1 2
x y+.45x+ y15 +.45y)
xy( 30
2
y
y( 30
+.45+ y15 +.45y)
FXY (.5,.5)
FY (.5)
.1177
.3511
= .335
This is the same answer as before, but the steps to get there are much uglier.
The good thing is, weve shown in this example that we can apply our conditional CDF techniques to mixture distributions.
12
1.2
1.2.1
j:yj y
fY |X (yj | x)
13
1.2.2
fXY (3,3)
fX (3)
14
To determine the value of fXY (3, 3): Since there are 4 possible outcomes
when tossing a tetrahedra, the likelihood that X = 3 is 14 , in order for Y
to be 3, if the first roll is 3, the second roll can be 1,2 or 3, and that the
probability that the second roll takes on those values is 43 . This implies that:
fXY (3, 3) = ( 14 )( 43 ) =
fX (3) = 14
3
.
16
Now that we have what were looking for, we can find the answer:
3
(3,3)
fY |X (3 | 3) = fXY
= 161 = 34
fX (3)
4
Summing our three values yields the answer in terms of the discrete
conditional CDF:
FY |X (3 | 3) = fY |X (1 | 3) + fY |X (2 | 3) + fY |X (3 | 3) = 0 + 0 +
15
3
4
3
4
2
2.1
Review Questions
Discrete Case - Review Questions
P2
x=0
P1
P2
1
y=1 15 (x
1
x=0 15 (x
+ 2) =
+ y)
2
15
3
15
1
3
3
40
5
40
1
40
2
40
3
40
1
40
1
40
3
40
3
40
1
40
4
40
1
40
4
40
3
40
3) Let A and J denote the number of aces and jacks in a given poker hand,
respectively. If you have already been dealt two jacks, what is the probability
that you will receive at least two aces in your hand?
Answer: We are looking for a discrete conditional probability that utilizes
the CDF; that is, we want Pr(A 2 | J = 2). If we want to use the CDF to
find the answer, recall: Pr(X a) = 1 - F(a), or if using our notation,
Pr(A 2 | J = 2) = 1 - [Pr(A 1 | J = 2)].
Recalling MGBs definition of discrete conditional probability, where:
(x,y)
PY |X (c | x) = yc pY |X (y | x) = cminy pXY
pX (x)
Thus, we must find both the joint PDF [pAJ (a, j)] and marginal PDF of Jacks
[pJ (j)] to solve this problem.
pAJ
44
(4j )(a4)(5aj
)
(a, j) =
52
(5)
For:
a = 0, 1, 2, 3, 4
j = 0, 1, 2, 3, 4
a+j 5
(4j )(483)
pJ (j) =
(525)
For j = 0, 1, 2, 3, 4
P1
a=0
pAJ (a,2)
pJ (2)
P1
P1
a=0
44
(a4)(3a
)
.9845
48
(3)
17
2.2
1)Create a bivariate CDF and verify it has the properties of a CDF. Solve
for the conditional CDF, FX|Y (X | Y = c).
Answer: It will depend on the CDF you choose.
( 12 + 12 y 2 )
1 2
( 2 x + 12 y 2 )
( 21 x2 + 12 )
F (x, y) =
Use the conditional CDF to determine the probability that X is less than or
equal to given Y is less than or equal to .25.
Answer: We want to solve for P r(X .8 | Y .25):
P r(X .8 | Y .25)=FX|Y (.8 | .25) =
FXY (.8,.25)
FY (.25)
(.5)(.82 )+(.5)(.252 )
(.5)+(.5)(.25)
.35125
.53125
FXY (.8,.25)
FY (.25)
= .6611
F (x, y) =
2
)
3
FXY (.9,.4)
FY (.4)
(.5,.4)
=
P r[X .5 | Y .4] = FXY
FY (.4)
( 13 )(.9)(.4)+( 23 )(.9)
1
(.4)+ 32
3
1
(.5)(.4)+ 23 (.5)
3
1
(.4)+ 23
3
=
.4
.8
.72
.8
= .9
= .5
19
Works Cited
Kingsbury, Nick. Joint and Conditional cdfs and pdfs. Connexions. 7 June
2005 <http://cnx.org/content/m10986/2.8/>.
Leon-Garcia, Alberto, and Alberto Leon-Garcia. Probability, Statistics,
and Random Processes for Electrical Engineering. Upper Saddle River,
NJ: Pearson/Prentice Hall, 2008.
Mood, Alexander McFarlane, Franklin A. Graybill, and Duane C. Boes.
Introduction to the Theory of Statistics. New York: McGraw-Hill, 1973.
20