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9 Annotated 5.4 and 5.5 Fall2014

This document discusses joint distributions and independence between random variables. It defines joint and marginal probability functions, as well as conditional probability functions. Independence between random variables is defined as their joint probability function being equal to the product of their marginal probabilities. The document also discusses linear combinations of random variables, and finding the distribution, mean, and variance of functions of random variables. It introduces the sample mean and central limit theorem.

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Bob Hope
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231 views6 pages

9 Annotated 5.4 and 5.5 Fall2014

This document discusses joint distributions and independence between random variables. It defines joint and marginal probability functions, as well as conditional probability functions. Independence between random variables is defined as their joint probability function being equal to the product of their marginal probabilities. The document also discusses linear combinations of random variables, and finding the distribution, mean, and variance of functions of random variables. It introduces the sample mean and central limit theorem.

Uploaded by

Bob Hope
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Stat 305, Fall 2014

Name

Chapter 5.4: Joint Distributions and Independence


Joint Distributions
Definition: A joint distribution is, roughly speaking, a generalization of a random variable
extended to multiple random variables.
Although the concepts discussed in this section generalize to multiple random variables, the
following definitions and notation corresponds to cases involving only two random variables.
We will only cover joint distributions of discrete random variables. Extensions to continuous
random variables by replacing sums with integrals. More information on this can be found
in section 5.4 in the text.
Example: Roll two six-sided dice, and look at the side facing up. Let X be the number on
the first die, and Y be the number on the second die. What is the (joint) probability of X =
1 and Y = 2? What is the probability of getting a total of 7?

Joint Probability Function


Definition: A joint probability function is a non-negative function, f(x,y), that gives the joint
probability that both X=x and Y=y
f (x, y) = P [X = x and Y = y] = P [X = x, Y = y]
For a discrete pair of RVs, f(x,y) is typically displayed in a table (called a Contingency Table)

Marginal Probability Function


Definition: A marginal probability function is a probability for a single random variable obtained by summing the joint probability function over all possible values of the other variables.
X
To get the marginal probability function for X, fX (x) =
f (x, y) i.e. sum across the rows of
y

f(x,y).
Similarly, fY (y) =

f (x, y) and we would sum down the columns of f(x,y).

Conditional Probability Function


Recall the conditional probability is defined as P (X = x|Y = y) = P (X = x, Y = y)/P (Y = y)
Definition: The conditional probability function of X given Y is
fX|Y (x|y) =

f (x, y)
fy (y)

and the conditional probability function of Y given X is


fY |X (y|x) =

f (x, y)
fx (x)

Note: the given part must always be specified as a specific value.

Example 1
Let X be the
corresponding
X 25 24
Y 26 27

outer diameter (in mm) of a bolt and Y be the inner diameter (in mm) of the
nut. Use the info below to display f(x,y) in a table.
23 25 26 25 23 24 26
26 27 26 27 27 28 28

Joint Distribution f (x, y):


26

27

28

Marginal Distribution of X:
x
23
24
25
fX (x)

23

24

25

Marginal Distribution of Y:
y
26
27
28
fY (y)

26

1. P [X < Y ]

2. P [Y X = 3]

26

3. P [X = 25]

4. Find the conditional probability that X=23 given that Y=26.

5. Write out the conditional probability function of X given Y=26.

Independence
Definition: Discrete rvs X and Y are independent if their joint probability function f(x,y) is the
product of their respective marginal probability functions for all x and y
f (x, y) = fX (x)fY (y)
If this does not hold, even for one (x,y) pair, then the variables X and Y are dependent.
This definition is easily extended to more than two random variables:
e.g. f (x, y, z) = fX (x)fY (y)fZ (z)

Example 2
Now suppose that when a person chooses one bolt, then the person randomly chooses one nut (this
implies independence). Under this scenario, use the marginal probabilities to calculate the joint
probabilities in a table. This example uses different probabilities.

26

27

28

fX (x)

23

0.2

24

0.4

25

0.3

26

0.1

fY (y)

0.2

0.5

0.3
3

Chapter 5.5: Functions of Several Random Variables


Linear Combinations of Random Variables
Goal: Answer the question: Given the joint distribution of random variables X1 , X2 , . . . , Xn , what
is the distribution function fU (u) of the variable U = g(X1 , X2 , . . . , Xn )
We focus on linear combinations of random variables g(X1 , X2 , . . . , Xn ) = a0 + a1 X1 + +
an Xn
There are methods for dealing with other functions of random variables discussed in your
book, but we will not discuss them in this class.

Example 2 (Cont. from 5.4)


Suppose we are interested in U = Y X. Can we determine fU (u)? Also calculate E[U].

Mean and Variance of Linear Combinations of RVs


Proposition: If X1 , X2 , . . . , Xn are n independent random variables, and a0 , a1 , . . . , an are n + 1
known constants, then the random variable U = a0 + a1 X1 + + an Xn has the following mean
and variance:
E(U ) = a0 + a1 E[X1 ] + a2 E[X2 ] + + an E[Xn ]
V ar(U ) = a21 V ar[X1 ] + a22 V ar[X2 ] + + a2n V ar[Xn ]
Note: If the RVs are not independent, the formulas for E[U] still holds but the variance does not.

Example 2
Find E[U] and Var[U]

Example 3
Suppose X N (5, 2), Y N (10, 4) and X and Y are independent.
E(1 X + 2Y ) =
V ar(1 X + 2Y ) =

Sample Mean
A common function we are often interested in is the sample mean,
Xn =

1
(X1 + X2 + + Xn )
n

where X1 , X2 , . . . , Xn are iid with E[Xi ] = and V ar[Xi ] = 2 for i = 1, 2, . . . , n.


E[X n ] =
V ar[X n ] =

1
1
1
(E[X1 ] + E[X2 ] + + E[Xn ]) = ( + + + ) = (n) =
n
n
n

1
1 2
1
2
2
2
2
(V
ar[X
]
+
V
ar[X
]
+

+
V
ar[X
])
=
(
+

)
=
(n
)
=
1
2
n
n2
n2
n2
n
2

If X1 , X2 , . . . , Xn are iid N (, 2 ) then X N (, n )

Example 4
Suppose X1 , X2 , . . . , X50 are iid Poisson(3). Calculate E[X 50 ] and V ar[X 50 ]. If possible, also name
the distribution of X 50 .

Example 5
Suppose X1 , X2 , . . . , X10 are iid N(5,2). Calculate E[X 10 ] and V ar[X 10 ]. If possible, also name the
distribution of X 10 .

Central Limit Theorem


Applet: http://onlinestatbook.com/stat_sim/sampling_dist/index.html
Notice that larger sample sizes lead to X having smaller variance and the distribution of being
closer to normal.
Central Limit Theorem (CLT): If X1 , X2 , . . . , X10 are iid rvs (with mean and variance 2 ), then
for large n, the variable X is approximately normally distributed.
2

Recall we showed earlier X has a mean and variance n . By the CLT, when n is large (generally
n 25) then approximately,


2
X n N ,
n

Example 4 (cont.)
Suppose X1 , X2 , . . . , X50 are iid Poisson(3). What distribution does X 50 follow? Is it exact or
approximate?

Example 6
Suppose X1 , X2 , . . . , Xn are iid with a mean of 5 and a variance of 10.
1. What distribution does X n follow? Is it exact or approximate?

2. What is the probability of observing a sample mean that is between 4 and 6 in a sample of
size n=10?

3. What is the probability of observing a sample mean that is between 4 and 6 in a sample of
size n=90?

If you had taken a sample of 90 people and found that their sample mean was less than 4 or greater
than 6, what might you conclude?
There was a
90 people.

chance of being between 4 and 6. Maybe I just got a REALLY rare sample of

-ORMaybe the population mean isnt really 5. (more likely scenario)


6

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