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Unit 1 PDF 2

The document discusses marginal density and conditional distribution for continuous random variables. It provides an example to find the marginal densities of X and Y given their joint probability density function. It then defines conditional distribution and provides examples to find the conditional distribution of X given Y=1 and the conditional distribution of X given Y=y. It also discusses expectation, how to calculate it for discrete and continuous random variables, and some properties of expectation like how expectation is linear for constants. It provides examples to find the expected value of the number of heads from coin flips and the expected value of a random variable with a given probability density function.

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104 views12 pages

Unit 1 PDF 2

The document discusses marginal density and conditional distribution for continuous random variables. It provides an example to find the marginal densities of X and Y given their joint probability density function. It then defines conditional distribution and provides examples to find the conditional distribution of X given Y=1 and the conditional distribution of X given Y=y. It also discusses expectation, how to calculate it for discrete and continuous random variables, and some properties of expectation like how expectation is linear for constants. It provides examples to find the expected value of the number of heads from coin flips and the expected value of a random variable with a given probability density function.

Uploaded by

Taha Ibrahim
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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• Marginal Density (Marginal Distribution in case of continuous random variables) :

In case of continuous random variables, the probability distributions are replaced by


probability densities, and the summations are replaced by integrals.
Example 19: Given the joint probability density function as
2
𝑓 𝑥, 𝑦 = ቐ3 𝑥 + 2𝑦 , 𝑓𝑜𝑟 0 < 𝑥 < 1, 0 < 𝑦 < 1
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Find marginal densities of X and Y.
Solution:
Marginal density of X (integrate with respect to y)
∞ 12 2 𝑦=1 2
𝑔 𝑥 = ‫׬‬−∞ 𝑓 𝑥, 𝑦 𝑑𝑦 = ‫׬‬0 3 𝑥 + 2𝑦 𝑑𝑦 = (𝑥𝑦 + 𝑦2) = 𝑥 + 1 for 0 < x < 1
3 𝑦=0 3

and g(x) = 0 elsewhere.


Marginal density of Y (integrate with respect to x)
𝑥=1
∞ 12 2 𝑥2 1
h 𝑦 = ‫׬‬−∞ 𝑓 𝑥, 𝑦 𝑑𝑥 = ‫׬‬0 3 𝑥 + 2𝑦 𝑑𝑥 = ( + 2𝑦𝑥) = 1 + 4𝑦 for 0 < y < 1
3 2 𝑥=0 3

and h(y) = 0 elsewhere.


• Conditional Distribution
Conditional probability of event A, given event B is given as:

By considering events A and B as X = x and Y = y, we can deduce

Joint probability distribution


of X and Y at (x,y)

provided P(Y = y) = h(y) ≠ 0 Marginal Distribution of


Y at y

Note: Conditional distribution f(x | y) tells us the remaining probability distribution of a


random variable X, when probability distribution of another random variable Y is known.
• Conditional Distribution Cont…
Example 6: (Recall Example 5)
Joint and Marginal probability distribution of X and Y was given by
(Red)

Marginal distribution of Y

(Green)

Marginal distribution of X

Find the conditional distribution of X given Y = 1 i.e., f(x | y=1).


Also, Find conditional distribution of X given Y = y i.e., f(x | y).
Solution:
Conditional distribution of X given Y=1 is:

, and

Conditional distribution of X given Y=y is:


(Red)

f(x | y)

(Green)
Expectation and Moments
• Expectation:
Mathematical expectation of a random variable is the sum of the products obtained by
multiplying each value of the random variable by the corresponding probability.

Discrete → Summation , Continuous → Integration


Example 1: Find out the expected value of a random variable 𝑿 containing the
total number of heads in flipping of a balanced coin three times.
Elements of S Probability x
Solution: H-head, T-tail, then Sample space
S = {HHH,HHT,HTH,HTT,THH,THT,TTH,TTT} HHH 1/8 3
As each outcome of S is equal probable , HHT 1/8 2
So, probability of each outcome is: ½. ½ . ½ = 1/8. HTH 1/8 2
HTT 1/8 1
Now, Probability distribution of X is:
THH 1/8 2
P(X=0)=1/8 THT 1/8 1
P(X=1) = (1/8)+(1/8)+(1/8) = 3/8 TTH 1/8 1
P(X=2) = (1/8)+(1/8)+(1/8) = 3/8 TTT 1/8 0
P(X=3)=1/8
Now, Expected value is
E(X) = σ𝑥 𝑥. 𝑓(𝑥)
1 3 3 1 3 6 3 12 3
= 0. + 1. + 2. + 3. = + + = =
8 8 8 8 8 8 8 8 2
Example 2: A lot of 12 television sets includes 2 with white cords. If 3 of the sets are
chosen at random for shipment to a hotel, how many sets with white cords can the
shipper expect to send to the hotel? With white cords Without white cords
Solution:
0 3
Let X be a random variable indicating television sets 1 2
with white cords. So, X can have values 0,1 or 2.
2 1
Now, probability distribution of X is:
2 10 2 10 2 10
6 9 1
𝑃 𝑋=0 = 0
12
3
= ,𝑃 𝑋=1 = 1
12
2
= , 𝑃 𝑋=2 = 2
12
1
=
3 11 3 22 3 22
In Tabular form,
Now, Expected value is

E(X) = σ𝑥 𝑥. 𝑓(𝑥)
6 9 1
= 0. + 1. + 2.
11 22 22
1
=
2
Example 3: Certain coded measurements of the pitch diameter of threads of a fitting
have the probability density
4
𝑥 𝑓𝑜𝑟 0 < 𝑥 < 1
𝑓 𝑥 = ൝𝜋
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Find the expected value of this random variable.
Solution:
Expected value of a continuous random variable is given by
∞
𝐸 𝑋 = න 𝑥. 𝑓 𝑥 𝑑𝑥
−∞
1
4
= න 𝑥. 𝑥 𝑑𝑥
0 𝜋
4 1 2
= න 𝑥 𝑑𝑥
𝜋 0
4
=
3𝜋
• Properties of Expectation:
✓ If a and b are constants, then E(aX + b) = a E(X) + b
✓ If a is a constant, then E(aX) = a E(X)
✓ If b is a constant, then E(b) = b
✓ If c1 , c2 , … , cn are constants, then

Example 4: If X is the number of points rolled with a balanced die, find the expected
value of g(X) = 𝟐𝑿𝟐 +1.
Solution:
Six outcomes of X : 1, 2 , 3 , 4 , 5 , 6
Six outcomes of 𝑋 2 : 12 , 22 , 32 , 42 , 52 , 62
Probability : 1/6, 1/6, 1/6, 1/6, 1/6, 1/6
1 91
Now, E(𝑋 2 ) = (12 + 22 + 32 + 42 + 52 + 62 ) . =
6 6
91 94
Then, E(2 𝑋 2 + 1) = 2. E(𝑋 2 ) + E(1) = 2. +1=
6 3

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