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Two-Dimensional Random Variables

Two-dimensional random variables are pairs of random variables (X,Y) defined on a sample space. They can be discrete if their possible values are finite or countably infinite, or continuous if they can assume any values in a specified region. The joint probability distribution F(x,y) gives the probability that X ≤ x and Y ≤ y. For discrete variables, this is a table of probabilities. For continuous variables, it is a joint probability density function f(x,y). Two variables are independent if their joint distribution factors into the product of their marginal distributions. Covariance measures the degree of linear relationship between two variables.

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105 views29 pages

Two-Dimensional Random Variables

Two-dimensional random variables are pairs of random variables (X,Y) defined on a sample space. They can be discrete if their possible values are finite or countably infinite, or continuous if they can assume any values in a specified region. The joint probability distribution F(x,y) gives the probability that X ≤ x and Y ≤ y. For discrete variables, this is a table of probabilities. For continuous variables, it is a joint probability density function f(x,y). Two variables are independent if their joint distribution factors into the product of their marginal distributions. Covariance measures the degree of linear relationship between two variables.

Uploaded by

Aftab Khan
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd

Two Dimensional Random Variables

Two Dimensional Random Variables


Definition:
Let S be a sample space associated with a random experiment
E. Let X and Y be two random variables defined on S. then the pair (X,Y)
is called a Two – dimensional random variable.
The value of (X,Y) at a point s  S is given by the ordered pair of
real numbers (X(s), Y(s)) = (x, y) where X(s) = x, Y(s) = y.
Two – Dimensional discrete random variable:
If the possible values of (X,Y) are finite or countably infinite,
then (X,Y) is called a two-dimensional discrete random variable. When
(X,Y) is a two-dimensional discrete random variable the possible values
of (X,Y) may be represented as (xi, yj), i= 1, 2, 3, …n, j = 1, 2, 3, …m.
Example: 1
Consider the experiment of tossing a coin twice. The sample space is
S = {HH, HT, TH, TT}.
Let X denotes the number of heads obtained in the first toss and Y
denote the number of heads in the second toss. Then

s HH HT TH TT
X(s) 1 1 0 0
Y(s) 1 0 1 0

(X, Y) is a two-dimensional random variable or bi-variate random variable.


The range space of (X, Y) is {(1,1), (1,0), (0,1), (0,0)} which is finite and so
(X, Y) is a two-dimensional discrete random variables.
Joint Probability Distribution
The probabilities of the two events A   X  x and B  Y  y have
defined as functions of x and y respectively called probability distribution functions.
F ( x)  P  X  x  and F ( y )  P Y  y 
x y

Joint Probability Distribution of two random variables X and Y:


The Joint Probability Distribution of two random variables X and Y is
defined as F ( x, y )  P  X  x, Y  y
X ,Y

Properties of the joint distribution:


A joint distribution function for the two random variables X and Y has
several properties

1. F (, )  0; F (, y )  0; F ( x, )  0


X ,Y X ,Y X ,Y

2. F (, ) 1
X ,Y

3.0  F ( x, y ) 1
X ,Y

4. F ( x, y ) is a non  decrea sin g function of x and y and so on..


X ,Y
Joint probability function of Discrete R.V

The Marginal probability function is defined as

• And the conditional probability function is defined as

5
Independence
Definition: Independence
Two random variables X and Y are defined to be independent if

if X and Y are discrete

Thus, in the case of independence


marginal distributions ≡ conditional distributions
6
Two – Dimensional continuous random variable:
If (X,Y) can assume all values in a specified region R in XY plane (X,Y) is
called a two-dimensional continuous random variable.

9
Joint probability function

• For a Continuous RV, the joint probability function:


f(x,y) = Pf[X = x, Y = y]

• Marginal distributions

• Conditional distributions

10
Independence
Definition: Independence
Two random variables X and Y are defined to be independent if

if X and Y are discrete

if X and Y are continuous

Thus, in the case of independence


marginal distributions ≡ conditional distributions
11
The Multiplicative Rule for densities

if X and Y are discrete

if X and Y are continuous

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Covariance between X & Y
• Covariance = 0 for independent X, Y
• Positive for large X with large Y
• Negative for large X with small Y (vice versa)
• Formula is similar to our familiar variance formula
25
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