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20MA402 PROBABILITY
AND STATISTICS

Department: Common to ADS,CSD,CSE & IT

Batch/Year: 2021-2025/II
Created by: Department of Mathematics
Date: 02.01.2023
 Table of content
S. TOPICS Page
NO. No.
1 Course Objectives 6
2 Pre Requisites 7
3 Syllabus 8
4 Course Outcomes 9
5 CO – PO/PSO Mapping 10
6 Lecture Plan 11
7 Activity Based Learning 12
6 Lecture Notes: Unit II - Two Dimensional Random 13
Variables
2.1 INTRODUCTION 13
2.2 Two Dimensional Random Variables 13
2.3 Marginal Probability Function 17
2.4 Measures of two dimensional random variable 45
2.5 Correlation 46
2.6 Regression Lines 47
2.7 Transformation of random variables 64
7 Practice Quiz 70
8 Assignments 73
9 Part – A Questions & Answers 75
10 Part – B Questions 80
11 Supportive Online Certification Courses 83
12 Real Time Applications 84
13 Content Beyond the Syllabus 85
14 Assessment Schedule 86
15 Mini Project 87
16 Prescribed Text Books & Reference Books 88
COURSE OBJECTIVE

S. No TOPIC

1 determine the probability value of one dimensional random variables.

2 illustrate the concepts of covariance, correlation and regression.

3 discuss the concept of testing of hypothesis for small and large samples.

4 demonstrate the difference between the types of design to experiments.

5 identify and interpret the control charts for variables and attributes.
PREREQUISITES

S.No TOPICS COURSE NAME WITH CODE

.

Differentiation
1

Integration
2 Higher Secondary level

Knowledge in set theory

3
SYLLABUS

20MA402 PROBABILITY AND STATISTICS LTPC

3204
UNIT I ONE DIMENSIONAL RANDOM VARIABLES 15
Random variable – Discrete and continuous random variables – Moments – Moment
generating functions – Binomial, Poisson, Geometric, Uniform, Exponential and Normal
distributions.

UNIT II TWO - DIMENSIONAL RANDOM VARIABLES 15

Joint distributions – Marginal and Conditional distributions – Covariance – Correlation and
linear regression – Transformation of random variables.

UNIT III TESTING OF HYPOTHESIS 15

Sampling distributions – Estimation of parameters – Statistical hypothesis – Large sample
tests based on Normal distribution for single mean and difference of means – Tests based
on t, Chi-square and F distributions for mean, variance and proportion – Contingency table
(test for independent) – Goodness of fit.
UNIT IV DESIGN OF EXPERIMENTS 15
One way and Two way classifications – Completely randomized design – Randomized block
design – Latin square design.

UNIT V STATISTICAL QUALITY CONTROL ` 15

Control charts for measurements (𝑋ത and R charts) – Control charts for attributes (p,
c and np charts) – Tolerance limits.

TOTAL: 75 PERIODS
COURSE OUTCOMES

Course Description Knowledge

Outcomes Level

understand the fundamental knowledge of modern

CO1 probability theory and standard distributions.
K1, K2

categorize the probability models and function of random

variables based on one and two dimensional random
CO2 variables. K2

employ the concept of testing the hypothesis in real life

CO3 problems. K3

implement the analysis of variance for real life problems.

CO4 K3

apply the statistical quality control in engineering and

CO5 management problems. K3
 CO-PO/PSO Mapping

CO PO1 PO2 PO3 PO4 PO5 PO6 PO7 PO8 PO9 PO1 PO1 PO1 PSO PSO PSO
0 1 2 1 2 3
1 2 1 - - - - - - - - - - 2 - -

2 3 2 - - - - - - - - - - - - -

3 3 2 1 1 - - - - - - - - - - -

4 2 1 1 - - - - - - - - - - - -

5 1 - 1 - - - - - - - - - 1 - -

6 3 2 1 - - - - - - - - - 1 - -

1: Slight (Low) 2: Moderate (Medium) 3: Substantial (High)

LECTURE PLAN
UNIT II TWO DIMENSIONAL RANDOM VARIABLES

Proposed Actual Pretaini Taxonomy Mode of

S. No. of
Topic date date ng CO level Delivery
No Periods

Joint 1 08.02.23 CO2 K2 Chalk &

1.
Distributions Talk

2 10.02.23 CO2 K2 Chalk &

2. Problems
Talk
Marginal and 1 11.02.23 CO2 K2 Chalk &
3. Conditional
Distributions Talk
1 13.02.23 CO2 K2 Chalk &
4. Problems
Talk

2 15.02.23 CO2 K2 Chalk &

5. Tutorial
Talk
1 17.02.23 CO2 K2 Chalk &
6. Covariance
Talk
1 18.02.23 CO2 K2 Chalk &
7. Problems
Talk

1 21.02.23 CO2 K2 Chalk &

8. Correlation
Talk

Linear 1 22.02.23 CO2 K2 Chalk &

9.
Regression Talk

10. 1 23.02.23 CO2 K2 Chalk &

Problems
Talk
Transformatio 1 24.02.23 CO2 K2 Chalk &
11.
n of random Talk
variables

12. 2 25.02.23 CO2 K2 Chalk &

Tutorial
Talk
ACTIVITY BASED LEARNING

Activity based learning enhances students’ critical thinking and collaborative skills.
Experiential learning being the core, various activities such as quiz competitions,
group discussion, etc. are conducted for all the five units to enhance the learning
abilities of students. The students are the center of the activities, where student’s
opinions are valued, questions are encouraged, and discussions are done. These
activities empower the students to explore and learn by themselves.

S.No. TOPICS Activity Link

1 Joint probability Assignment https://drive.google.com/file/d/1KwqoKxf_
density pO2WGUaN0dGLIqZUTz3hKwEZ/view?usp
=sharing
2 Correlation & Assignment https://drive.google.com/file/d/13wtB6E9
Regression yDiu0ykjT8Pn_D3kY_wO6Qgb2/view?usp=
sharing
Lecture Notes

UNIT II - TWO DIMENSIONAL RANDOM VARIABLES

2.1 Introduction:

In the previous chapter we studied various aspects of the theory of a one

dimensional random variable. Now we extend our theory into two random variables
one for each coordinate axis X and Y of the XY plane.

A two-dimensional random variable is mapping of the points in the sample space to

ordered pairs (x, y). Usually, when dealing with a pair of random variables, the sample
space naturally partitions itself so that it can be viewed as a combination of two simpler
sample spaces. For example, if the experiment was to observe the density and weight
of soil. The range of soil density could fall in some set, which we will call sample
space S1, while the range of the weight would fall within sample space S2. The overall
sample space of the experiment could be viewed as S = (S1 X S2). The outcome of
the experiment, the pair of random variables (X, Y) is merely a mapping of the
outcome S to a pair of numerical values (x(S), y(S)), where x(S) to be the density and
y(S) is the weight of soil

2.2 Two Dimensional Random Variables:

Definition

Let S be the sample space. Let X = X (s) and Y = Y (s) be two functions
each assigning a real number to each outcome s  S. Then ( X , Y ) is a two-
dimensional random variable.

Types of Random Variables:

1. Discrete random variables

2. Continuous random variables

Two-Dimensional Discrete Random Variable:

If the possible values of(𝑋, 𝑌) are finite, then (𝑋, 𝑌) is called a two-dimensional
discrete random variable and it can be represented by(𝑥𝑖 , 𝑦𝑗 ), 𝑖 = 1,2, … 𝑛; 𝑗 = 1,2, … 𝑚.

Joint Probability Mass Function of the Discrete Random Variable:

For two discrete random variables 𝑋and 𝑌, we write the probability that 𝑋will
take the value 𝑥𝑖 and 𝑌 will take the value 𝑦𝑗 as𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑗 ). Consequently, 𝑃(𝑋 =
𝑥𝑖 , 𝑌 = 𝑦𝑗 ) is the probability of intersection of the events𝑋 = 𝑥𝑖 and𝑌 = 𝑦𝑗 .

(𝑖. 𝑒). , 𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑗 ) = 𝑃 (𝑋 = 𝑥𝑖 ) ∩ (𝑌 = 𝑦𝑗 )

The function𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑗 ) = 𝑝(𝑥𝑖 , 𝑦𝑗 ) is called the joint probability function or joint

probability mass function for discrete random variables 𝑋and 𝑌and is denoted by 𝑝𝑖𝑗
and it satisfies the following conditions,

𝑖)𝑝𝑖𝑗 ≥ 0∀𝑖, 𝑗𝑖𝑖) 𝑗 𝑖 𝑝𝑖𝑗 = 1

Note: Joint Probability Distribution

The set of triples 𝑥𝑖 , 𝑦𝑗 , 𝑝𝑖𝑗 is called Joint Probability Distribution.

Y Y1 Y2 Y3 …

X
X1 P11 p12……

X2 P21 p22 …

X3

……
Example: If the joint p.d.f of (𝑋, 𝑌) is given by 𝑝(𝑥, 𝑦) = 𝐾(2𝑥 + 3𝑦), 𝑥 = 0,1,2; 𝑦 =
1,2,3. Find ′𝐾′.

Solution: Given

𝑝(𝑥, 𝑦) = 𝐾(2𝑥 + 3𝑦), 𝑥 = 0,1,2; 𝑦 = 1,2,3.

𝑁𝑜𝑤, 𝑝(0,1) = 𝐾(0 + 3) = 3𝐾
𝑝(0,2) = 𝐾(0 + 6) = 6𝐾
𝑝(0,3) = 𝐾(0 + 9) = 9𝐾
𝑝(1,1) = 𝐾(2 + 3) = 5𝐾
𝑝(1,2) = 𝐾(2 + 6) = 8𝐾

𝑝(1,3) = 𝐾(2 + 9) = 11𝐾

𝑝(2,1) = 𝐾(4 + 3) = 7𝐾
𝑝(2,2) = 𝐾(4 + 6) = 10𝐾
𝑝(2,3) = 𝐾(4 + 9) = 13𝐾
We know that, Total probability = 1
3𝐾 + 6𝐾 + 9𝐾 + 5𝐾 + 8𝐾
=1
+11𝐾 + 7𝐾 + 10𝐾 + 13𝐾
72𝐾 = 1
1
∴𝐾=
72

Two-Dimensional Continuous Random Variable:

If(𝑋, 𝑌) can take all the values in a region 𝑅 in the𝑋𝑌 plane, then(𝑋, 𝑌) is called
a two dimensional continuous random variable.

Joint Probability Density Function of a Continuous Random Variable (P.D.F)

The joint probability density function of a two-dimensional continuous random

variables(𝑋, 𝑌) is denoted by𝑓(𝑥, 𝑦) and it satisfies the following conditions
 𝑥 2 +𝑦 2
Example: Show that the function𝑓(𝑥, 𝑦) = 4𝑥𝑦𝑒 − , 𝑥 > 0, 𝑦 > 0is a joint p.d.f
of 𝑋and 𝑌.

Solution:

We know that if𝑓(𝑥, 𝑦) satisfies the conditions

∞ ∞
𝑖)𝑓𝑋𝑌 (𝑥, 𝑦) ≥ 0𝑖𝑖) 𝑓𝑋𝑌 (𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1 ,then 𝑓(𝑥, 𝑦)is a joint density function.
−∞ −∞

𝑥 2 +𝑦 2
Given𝑓(𝑥, 𝑦) = 4𝑥𝑦𝑒 − , 𝑥 > 0, 𝑦 > 0

𝑖)𝑓(𝑥, 𝑦) ≥ 0, 𝑥, 𝑦 > 0
∞ ∞ ∞ ∞
𝑥 2 +𝑦 2
𝑖𝑖) 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 4𝑥𝑦𝑒 − 𝑑𝑥𝑑𝑦
−∞ −∞ 0 0
∞ ∞
𝑥 2 +𝑦 2
=4 𝑥𝑦𝑒 − 𝑑𝑥𝑑𝑦
0 0
∞ ∞
2 2
=4 𝑥𝑒 −𝑥 𝑑𝑥 𝑦𝑒 −𝑦 𝑑𝑦
0 0
∞
1 1 2 1
=4 ∵ 𝑒 −𝑥 𝑑𝑥 =
2 2 0 2
=1

Since 𝑓(𝑥, 𝑦) satisfies the two conditions, it is a joint density function.

Joint Cumulative Distribution Function

If (𝑋, 𝑌) is a two-dimensional discrete random variable such that

𝐹 𝑥, 𝑦 = 𝑃 𝑋 ≤ 𝑥, 𝑌 ≤ 𝑦 , is called the joint cumulative distribution Function of (𝑋, 𝑌)

1) For discrete Random variable, 𝐹 𝑥, 𝑦 = 𝑦 𝑗 ≤𝑦 𝑥 𝑖 ≤𝑥 𝑝𝑖𝑗

𝑦 𝑥
2) For continuous random variables, 𝐹 𝑥, 𝑦 = −∞ −∞
𝒇 𝒙, 𝒚 𝒅𝒙𝒅𝒚
2.3 MARGINAL PROBABILITY FUNCTION

Marginal Probability Function of X:

If (𝑋, 𝑌) is a two-dimensional discrete random variable, then the marginal probability

function of 𝑋 is defined as 𝑃 𝑋 = 𝑥𝑖 = 𝑝𝑖1 + 𝑝𝑖2 + 𝑝𝑖3 + ⋯ = 𝑝𝑖∗

Marginal Probability Function of Y:

If (𝑋, 𝑌) is a two-dimensional discrete random variable then the marginal probability

function of 𝑌 is defined as 𝑃 𝑌 = 𝑦𝑗 = 𝑝1𝑗 + 𝑝2𝑗 + 𝑝3𝑗 + ⋯ = 𝑝∗𝑗

Note:

1. Collection of pair 𝑥𝑖 , 𝑃 𝑋 = 𝑥𝑖 is called the marginal probability

distribution of X.

2. The collection of pair 𝑦𝑗 , 𝑃 𝑌 = 𝑦𝑗 is called the marginal probability

distribution of Y.

Marginal Density Function:

1. If (𝑋, 𝑌) is a two-dimensional continuous random variable, then the marginal

∞
density function of 𝑋 is defined by 𝑓𝑥 𝑋 = −∞
𝑓 𝑥, 𝑦 𝑑𝑦
 1. If (𝑋, 𝑌) is a two-dimensional continuous random variable, then the marginal
∞
density function of 𝑌 is defined by 𝑓𝑦 𝑌 = −∞
𝑓 𝑥, 𝑦 𝑑𝑥

Note:

𝑏
1. 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 𝑎 𝑥
𝑓 𝑋 𝑑𝑥

𝑏
2. 𝑃 𝑐 ≤ 𝑌 ≤ 𝑑 = 𝑎 𝑦
𝑓 𝑌 𝑑𝑦
𝑑 𝑏
3. 𝑃 𝑎 ≤ 𝑋 ≤ 𝑏, 𝑐 ≤ 𝑌 ≤ 𝑑 = 𝑐 𝑎
𝒇 𝒙, 𝒚 𝒅𝒙𝒅𝒚

Conditional Probability

➢ If (𝑋, 𝑌) is a two-dimensional discrete random variable, then the conditional

𝑃 𝑋=𝑥 𝑖 ,𝑌=𝑦 𝑗
probability of 𝑋 given 𝑌 is 𝑃 𝑋 = 𝑥𝑖 /𝑌 = 𝑦𝑗 =
𝑃 𝑌=𝑦 𝑗

➢ If (𝑋, 𝑌) is a two-dimensional discrete random variable, then the conditional

𝑃 𝑋=𝑥 𝑖 ,𝑌=𝑦 𝑗
probability of 𝑌 given 𝑋 is 𝑌 = 𝑦𝑗 /𝑋 = 𝑥𝑖 =
𝑃 𝑋=𝑥 𝑖

For continuous random variable

➢ If (𝑋, 𝑌) is a two-dimensional continuous random variable, then the conditional

𝑓 𝑥 ,𝑦
probability of 𝑋 given 𝑌 is 𝑓 𝑋/𝑌 = 𝑓𝑦 𝑌

➢ If (𝑋, 𝑌) is a two dimensional continuous random variable then the conditional

𝑓 𝑥 ,𝑦
probability of 𝑌 given 𝑋 is 𝑓 𝑌/𝑋 =
𝑓𝑥 𝑋
Note:

➢ If (𝑋, 𝑌) are two dimensional independent discrete random variables, then

𝑃 𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑗 = 𝑃 𝑋 = 𝑥𝑖 𝑃 𝑌 = 𝑦𝑗

➢ If (X, Y) are two dimensional independent continuous random variables, then

𝑓 𝑥, 𝑦 = 𝑓𝑥 𝑋 𝑓𝑦 𝑌

Problems

1. For the following bivariate probability distribution of (𝑥, 𝑦), find

x/y Y
1 2 3 4 5 6
0 0 0 1/32 2/32 2/32 3/32
1 1/16 1/16 1/8 1/8 1/8 1/8
X
2 1/32 1/32 1/64 1/64 0 2/64

(I) Find all the marginal probability distributions and (ii) conditional probability
distributions of 𝑋 given 𝑌. Also find (iii) 𝑃(𝑋 ≤ 1), (iv) 𝑃(𝑌 ≤ 3),
(v) 𝑃(𝑋 ≤ 1/ 𝑌 ≤ 3), (vi) 𝑃(𝑋 + 𝑌 ≤ 4 ).

Solution:

x/y Y
1 2 3 4 5 6 P(X)
0 0 0 1/32 2/32 2/32 3/32 8/32
1 1/16 1/16 1/8 1/8 1/8 1/8 10/16
X
2 1/32 1/32 1/64 1/64 0 2/64 8/64
P(Y) 3/32 3/32 11/64 13/64 6/32 16/6
4
i) Marginal probability distribution of 𝑋.

𝑋 𝑃(𝑋)
0 8/32
1 10/16
2 8/64

II) Marginal probability distribution of 𝑌

𝑌 𝑃(𝑌)
1 3/32
2 3/32
3 11/64
4 13/64
5 6/32
6 16/64

Conditional probability distribution of 𝑋 given 𝑌

𝑃 𝑋 = 0, 𝑌 = 1 𝑝01
𝑃 𝑋 = 0/𝑌 = 1 = = =0
𝑃 𝑌=1 𝑃 𝑌=1

𝑃 𝑋 = 1, 𝑌 = 1 𝑝11 1
𝑃 𝑋 = 1/𝑌 = 1 = = = 16 = 2 3
𝑃 𝑌=1 𝑃 𝑌=1 3
32
𝑃 𝑋 = 2, 𝑌 = 1 𝑝21 1
𝑃 𝑋 = 2/𝑌 = 1 = = = 32 = 1 3
𝑃 𝑌=1 𝑃 𝑌=1 3
32
𝑃 𝑋 = 0, 𝑌 = 2 𝑝02
𝑃 𝑋 = 0/𝑌 = 2 = = =0
𝑃 𝑌=2 𝑃 𝑌=2
 𝑃 𝑋 = 1, 𝑌 = 2 𝑝12 1
𝑃 𝑋 = 1/𝑌 = 2 = = = 16 = 2 3
𝑃 𝑌=2 𝑃 𝑌=2 3
32
𝑃 𝑋 = 2, 𝑌 = 2 𝑝22 1
𝑃 𝑋 = 2/𝑌 = 2 = = = 32 = 1 3
𝑃 𝑌=2 𝑃 𝑌=2 3
32
𝑃 𝑋 = 0, 𝑌 = 3 𝑝03 1
𝑃 𝑋 = 0/𝑌 = 3 = = = 32 = 2
𝑃 𝑌=3 𝑃 𝑌=3 11 11
64
𝑃 𝑋 = 1, 𝑌 = 3 𝑝13 1
𝑃 𝑋 = 1/𝑌 = 3 = = = 8 =8
𝑃 𝑌=3 𝑃 𝑌=3 11 11
64

𝑃 𝑋 = 2, 𝑌 = 3 𝑝23 1
𝑃 𝑋 = 2/𝑌 = 3 = = = 64 = 1
𝑃 𝑌=3 𝑃 𝑌=3 11 11
64

𝑃 𝑋 = 0, 𝑌 = 4 𝑝04 2
𝑃 𝑋 = 0/𝑌 = 4 = = = 32 = 4
𝑃 𝑌=4 𝑃 𝑌=4 13 13
64

𝑃 𝑋 = 1, 𝑌 = 4 𝑝14 1
𝑃 𝑋 = 1/𝑌 = 4 = = = 8 =8
𝑃 𝑌=4 𝑃 𝑌=4 13 13
64

𝑃 𝑋 = 2, 𝑌 = 4 𝑝24 1
𝑃 𝑋 = 2/𝑌 = 4 = = = 64 = 1
𝑃 𝑌=4 𝑃 𝑌=4 13 13
64
 𝑃 𝑋 = 0, 𝑌 = 5 𝑝05 2
𝑃 𝑋 = 0/𝑌 = 5 = = = 32 = 1 3
𝑃 𝑌=5 𝑃 𝑌=5 6
32
𝑃 𝑋 = 1, 𝑌 = 5 𝑝15 1
𝑃 𝑋 = 1/𝑌 = 5 = = = 8 =2
𝑃 𝑌=5 𝑃 𝑌=5 6 3
32
𝑃 𝑋 = 2, 𝑌 = 5 𝑝25 0
𝑃 𝑋 = 2/𝑌 = 5 = = = =0
𝑃 𝑌=5 𝑃 𝑌=5 6
32

𝑃 𝑋 = 0, 𝑌 = 6 𝑝06 3
𝑃 𝑋 = 0/𝑌 = 6 = = = 32 = 3
𝑃 𝑌=6 𝑃 𝑌=6 16 8
64

𝑃 𝑋 = 1, 𝑌 = 6 𝑝16 1
𝑃 𝑋 = 1/𝑌 = 6 = = = 8 =1
𝑃 𝑌=6 𝑃 𝑌=6 16 2
64
𝑃 𝑋 = 2, 𝑌 = 6 𝑝26 2
𝑃 𝑋 = 2/𝑌 = 6 = = = 64 = 1
𝑃 𝑌=6 𝑃 𝑌=6 16 8
64

iii P X ≤ 1 = P X = 0 + P(X = 1)

= 8 32 + 10 16 = 28 32 = 7 8

iv P Y ≤ 3 = P Y = 1 + P Y = 2 + +P(Y = 3)

= 3 32 + 3 32 + 11 64 = 23 64
 P X ≤ 1, Y ≤ 3
v P X ≤ 1/Y ≤ 3 =
𝑃(Y ≤ 3)
P X ≤ 1, Y ≤ 3 = 𝑃01 + 𝑃02 + 𝑃03 + 𝑃03 + 𝑃11 + 𝑃12 + 𝑃13

= 0 + 0 + 1 32 + 1 16 + 1 16 + 1 8 = 9 32

P X ≤ 1, Y ≤ 3 9
P X ≤ 1/Y ≤ 3 = = 32 = 18
𝑃(Y ≤ 3) 23 23
64

vi) P(X + Y ≤ 4 ).
Probability distribution of X + Y

X+Y 1 2 3 4 5 6 7 8
P(X+Y) 0 1/16 4/32 7/32 13/64 15/64 1/8 2/64

P X + Y ≤ 4 = 0 + 1 16 + 4 32 + 7 32 = 13 32

1. The joint probability mass function of 𝑋, 𝑌 is given by

𝑝 𝑥, 𝑦 = 𝑘 2𝑥 + 3𝑦 , 𝑥 = 0,1,2, 𝑦 = 1,2,3. i) Find all the marginal probability
distributions. Also find ii) the probability distribution o𝑓𝑋 + 𝑌,
iii) 𝑃 𝑋 + 𝑌 > 3 , iv) 𝑃(𝑋 ≤ 1, 𝑌 ≤ 2) , v) 𝑃(𝑋 ≤ 1/𝑌 ≤ 2)

Solution:
The joint probability mass function of 𝑋, 𝑌 is given by
𝑝 𝑥, 𝑦 = 𝑘 2𝑥 + 3𝑦 ,𝑥 = 0,1,2, 𝑦 = 1,2,3
 Probability distribution is
Y 1 2 3
X
0 3k 6k 9k
1 5k 8k 11k
2 7k 10k 13k

⟹ 𝑃𝑖𝑗 = 1

⟹ 72𝑘 = 1
⟹ 𝑘 = 1 72

i) Marginal probability distributions

Marginal probability distributions of 𝑋

𝑋 𝑃(𝑋)
0 18K=18/72
1 24K=24/72
2 30K=30/72

Marginal probability distributions of 𝑌

𝑌 𝑃(𝑌)
1 15K=15/72
2 24K=24/72
3 33K=33/72

ii) Probability distribution of 𝑋 + 𝑌

 𝑋+𝑌 1 2 3 4 5
𝑃(𝑋 + 𝑌) 3/72 11/72 24/72 21/72 13/72

iii) 𝑃(𝑋 + 𝑌 > 3) =34/72

iv) P X ≤ 1, Y ≤ 2 = 𝑃01 + 𝑃02 + 𝑃11 + 𝑃12

= 3 72 + 6 72 + 5 72 + 8 72 = 22 72 = 11 36

P X ≤ 1, Y ≤ 2 11
v)P X ≤ 1/Y ≤ 2 = = 36 = 22
P Y≤2 39 39
72

1. The joint probability mass function of a bivariate discrete random variable (𝑋, 𝑌)
is given by 𝑃(𝑋, 𝑌) = 𝐾(2𝑥 + 𝑦) , 𝑥 = 0,1.2; 𝑦 = 1,2.3.
Find the marginal probability mass function of 𝑋 and 𝑌.
Also find probability distribution of (𝑋 + 𝑌).

Solution:
The joint probability mass function of 𝑋, 𝑌 is given by 𝑃(𝑋, 𝑌) = 𝐾(2𝑥 + 𝑦) ,
𝑥 = 0,1.2; 𝑦 = 1,2.3.
Probability distribution is
Y 1 2 3
X
0 k 2k 3k
1 3k 4k 5k
2 5k 6k 7k

⟹ 𝑃𝑖𝑗 = 1

⟹ 36𝑘 = 1
 ⟹ 𝑘 = 1 36

i) Marginal probability distributions

Marginal probability distributions of 𝑋

𝑋 𝑃(𝑋)
0 6K=6/36
1 12K=12/36
2 18K=18/36

Marginal probability distributions of 𝑌

𝑌 𝑃(𝑌)
1 9K=9/36
2 12K=12/36
3 15K=15/36

Probability distribution of X + Y

𝑋+𝑌 1 2 3 4 5
𝑃(𝑋 + 𝑌) 1/36 5/36 12/36 11/36 7/36

1. The two-dimensional random variable (𝑋, 𝑌) has the joint density function
𝑥 +𝑦
𝑓(𝑥, 𝑦) = , 𝑋 = 1,2,3; 𝑌 = 1,2.
21

(i) Find all the marginal and conditional distributions of 𝑋 and 𝑌

(ii) probability distribution of (𝑋 + 𝑌), (iii) 𝑃(𝑋 + 𝑌 ≤ 2)
 Solution:
𝑥+𝑦
The joint probability mass function of 𝑋, 𝑌 is given by𝑓(𝑥, 𝑦) = , 𝑋 = 1,2,3;
21

𝑌 = 1,2.
Probability distribution is
Y 1 2
X
1 2/21 3/21
2 3/21 4/21
3 4/21 5/21

i) Marginal probability distributions

Marginal probability distributions of 𝑋

𝑋 𝑃(𝑋)
1 5/21
2 7/21
3 9/21

Marginal probability distributions of 𝑌

𝑌 𝑃(𝑌)
1 9/21
2 12/21

Conditional probability distribution of 𝑋 given 𝑌

Conditional probability distribution of 𝑋 given 𝑌=1
Conditional probability distribution of 𝑌 given 𝑋=2

𝑃 𝑋 = 1, 𝑌 = 1 𝑝11 2
𝑃 𝑋 = 1/𝑌 = 1 = = = 21 = 2 9
𝑃 𝑌=1 𝑃 𝑌=1 9
21

𝑃 𝑋 = 2, 𝑌 = 1 𝑝21 3
𝑃 𝑋 = 2/𝑌 = 1 = = = 21 = 3 9
𝑃 𝑌=1 𝑃 𝑌=1 9
21
𝑃 𝑋 = 3, 𝑌 = 1 𝑝31 4
𝑃 𝑋 = 3/𝑌 = 1 = = = 21 = 4 9
𝑃 𝑌=1 𝑃 𝑌=1 9
21
Conditional probability distribution of 𝑋 given 𝑌=2

𝑃 𝑋 = 1, 𝑌 = 2 𝑝12 3
𝑃 𝑋 = 1/𝑌 = 2 = = = 21 = 3
𝑃 𝑌=2 𝑃 𝑌=2 12 12
21
𝑃 𝑋 = 2, 𝑌 = 2 𝑝22 4
𝑃 𝑋 = 2/𝑌 = 2 = = = 21 = 4
𝑃 𝑌=2 𝑃 𝑌=2 12 12
21
𝑃 𝑋 = 3, 𝑌 = 2 𝑝32 5
𝑃 𝑋 = 3/𝑌 = 2 = = = 21 = 5
𝑃 𝑌=2 𝑃 𝑌=2 12 12
21

Conditional probability distribution of 𝑌 given 𝑋

Conditional probability distribution of 𝑌 given 𝑋=1

𝑃 𝑋 = 1, 𝑌 = 1 𝑝11 2
𝑃 𝑌 = 1/𝑋 = 1 = = = 21 = 2 5
𝑃 𝑋=1 𝑃 𝑋=1 5
21
𝑃 𝑋 = 1, 𝑌 = 2 𝑝12 3
𝑃 𝑌 = 2/𝑋 = 1 = = = 21 = 3 5
𝑃 𝑋=1 𝑃 𝑋=1 5
21
 𝑃 𝑋 = 2, 𝑌 = 1 𝑝21 3
𝑃 𝑌 = 1/𝑋 = 2 = = = 21 = 3 7
𝑃 𝑋=2 𝑃 𝑋=2 7
21
𝑃 𝑋 = 2, 𝑌 = 2 𝑝22 4
𝑃 𝑌 = 2/𝑋 = 2 = = = 21 = 4 7
𝑃 𝑋=2 𝑃 𝑋=2 7
21

Conditional probability distribution of 𝑌 given 𝑋=3

𝑃 𝑋 = 3, 𝑌 = 1 𝑝31 4
𝑃 𝑌 = 1/𝑋 = 3 = = = 21 = 4 9
𝑃 𝑋=3 𝑃 𝑋=3 9
21

𝑃 𝑋 = 3, 𝑌 = 2 𝑝32 5
𝑃 𝑌 = 2/𝑋 = 3 = = = 21 = 5 9
𝑃 𝑋=3 𝑃 𝑋=3 9
21

i) Probability distribution of X + Y
𝑋+𝑌 2 3 4 5
𝑃(𝑋 + 𝑌) 2/21 6/21 8/21 5/21

ii) 𝑃 𝑋 + 𝑌 ≤ 2 = 2 21
Problems for Practice

1. The joint probability mass function of a bivariate discrete random variable (𝑋, 𝑌) is
given by

x
1 2
y
1 0.1 0.2
2 0.3 0.4

(i) Find the conditional distribution of 𝑋 given 𝑌=1

(ii) Find the conditional distribution of 𝑌 given 𝑋= 2
Also find probability distribution of (𝑋 + 𝑌)

2. The joint probability mass function of (𝑋, 𝑌) is given by 𝑃(𝑥, 𝑦) = 𝑘(𝑥 + 2𝑦),
𝑥 = 0,1,2, and 𝑦 = 0,1,2. Find (i) all the marginal and conditional distributions of
𝑋 𝑎𝑛𝑑 𝑌 (ii) probability distribution of (𝑋 + 𝑌), (iii) 𝑃(𝑋 + 𝑌 ≤ 2)

3. The two-dimensional random variable(𝑋, 𝑌) has the joint density function f ( x, y) =

𝑥+2𝑦
27
, 𝑋 = 0,1,2; 𝑌 = 0,1,2. (i) Find all the marginal and conditional distributions of

𝑋 and 𝑌. (ii) probability distribution of (𝑋 + 𝑌), (iii) 𝑃(𝑋 + 𝑌 ≤ 2)

Problems in Continuous Random Variable

1
1. The joint p.d.f of 𝑋, 𝑌 is given by 𝑓 𝑥, 𝑦 = 8
6 − 𝑥 − 𝑦 , 0 ≤ 𝑥 ≤ 2, 2 ≤ 𝑦 ≤ 4 .

(i) Find the marginal density of 𝑋 and 𝑌

 (ii) Find the conditional density of 𝑋 and 𝑌

Also find

(iii) 𝑃 (𝑋 < 1 ∩ 𝑌 < 3),

(iv) 𝑃(𝑥 + 𝑦 < 3)

(v) 𝑃(𝑋 < 1 𝑌 < 3)

Solution:

The joint probability mass function of 𝑋, 𝑌 is given by

1
𝑓 𝑥, 𝑦 = 8
6 − 𝑥 − 𝑦 , 0 ≤ 𝑥 ≤ 2, 2 ≤ 𝑦 ≤ 4

i) Marginal density of 𝑋

∞
𝑓𝑥 𝑋 = 𝑓 𝑥, 𝑦 𝑑𝑦
−∞
4
1
= 6 − 𝑥 − 𝑦 𝑑𝑦
2 8

4
1 𝑦2
= 6𝑦 − 𝑥𝑦 −
8 2 2

1
= 24 − 4𝑥 − 8 − 12 + 2𝑥 + 2
8

1
𝑓𝑥 𝑋 = 6 − 2𝑥
8

Marginal density of 𝑌

∞
𝑓𝑦 𝑌 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞
 2
1
= 6 − 𝑥 − 𝑦 𝑑𝑋
0 8

2
1 𝑥2
= 6𝑥 − − 𝑥𝑦
8 2 0

1
= 12 − 2 − 2𝑦 − 0
8

1
= 10 − 2𝑦
8

1
𝑓𝑦 𝑌 = 5−𝑦
4

i) Conditional density of 𝑋
𝑓 𝑥, 𝑦
𝑓 𝑋 𝑌 =
𝑓𝑦 𝑌

1
6−𝑥−𝑦 6−𝑥−𝑦
=8 =
1 2 5−𝑦
4 5−𝑦

Conditional density of 𝑌
𝑓 𝑥, 𝑦
𝑓 𝑌 𝑋 =
𝑓𝑦 𝑌

1
6−𝑥−𝑦 6−𝑥−𝑦
=8 =
1 6 − 2𝑥
8 6 − 2𝑥
ii) 𝑃 𝑋 < 1 ∩ 𝑌 < 3 = 𝑃 𝑋 < 1, 𝑌 < 3

= 𝑓 𝑥, 𝑦 𝑑𝑥𝑑𝑦
 3 1
1
= 6 − 𝑥 − 𝑦 𝑑𝑥𝑑𝑦
2 0 8

3 1
𝑥2
= 6𝑥 − − 𝑦𝑥 𝑑𝑦
2 2 0
3
1
= 6 − − 𝑦 𝑑𝑦
2 2

3
𝑦 𝑦2 3 9 3
= 6𝑦 − − = 18 − − − 12 + 1 + 2 =
2 2 2
2 2 8

3
𝑃 𝑋 <1∩𝑌 <3 =
8

i) 𝑃 𝑥+𝑦 <3 = 𝑓 𝑥, 𝑦 𝑑𝑥𝑑𝑦

3 3−𝑦
1
= 6 − 𝑥 − 𝑦 𝑑𝑥𝑑𝑦
2 0 8
3 3−𝑦
𝑥2
= 6𝑥 − − 𝑦𝑥 𝑑𝑦
2 2 0

3 2
3−𝑦
= 6 3−𝑦 − − 𝑦 3 − 𝑦 𝑑𝑦
2 2

3
9 + 𝑦 2 − 6𝑦
18 − 6𝑦 − − 3𝑦 + 𝑦 2 𝑑𝑦
2 2

3
6𝑦 2 9𝑦 𝑦 3 6𝑦 2 3𝑦 2 𝑦 3
= 18𝑦 − − − + − +
2 2 6 4 2 3 2

5
=
24

𝑃 𝑋<1,𝑌<3
ii) 𝑃 𝑋<1 𝑌<3 =
𝑃 𝑌<3
 3
𝑃 𝑌<3 = 𝑓𝑦 𝑌 𝑑𝑦
2
3
1
= 5 − 𝑦 𝑑𝑦
2 4

3
1 𝑦2
= 5𝑦 −
4 2 2

1 9
= 15 − − 10 + 2
4 2

5
𝑃 𝑌<3 =
8

3
𝑃 𝑋 < 1 8 3
𝑌<3 = 5 =5
8

2. The joint probability density function of the random variable 𝑋, 𝑌 is given by

𝑥 2 +𝑦 2
𝑓 𝑥, 𝑦 = 𝑘𝑥𝑦𝑒 − , 𝑥 > 0, 𝑦 > 0. Find the value of 𝑘 and also prove that 𝑋
and 𝑌 are independent

Solution:

The joint probability density function of the random variable 𝑋, 𝑌 is given by

𝑥 2 +𝑦 2
𝑓 𝑥, 𝑦 = 𝑘𝑥𝑦𝑒 − , 𝑥 > 0, 𝑦 > 0.

⟹ 𝑓 𝑥, 𝑦 𝑑𝑥𝑑𝑦 = 1
𝑅

∞ ∞
k x ye
(
− x2 + y 2 )
⟹ 𝑑𝑥𝑑𝑦 = 1
0 0
 ∞ ∞
x ye
(
− x2 + y 2 )
⟹𝑘 𝑑𝑥 𝑑𝑦 = 1
0 0

∞ ∞ ∞
𝑥𝑒 −𝑥 𝑑𝑥 = 1 2)
2 2 2
⟹𝑘 𝑥𝑒 −𝑥 𝑑𝑥 𝑦𝑒 −𝑦 𝑑𝑦 = 1 (∴
0 0 0

⟹𝑘 1 2 1 2 =1

⟹𝑘=4

To prove 𝑋 and 𝑌 are independent, we have to prove that 𝑓 𝑥, 𝑦 = 𝑓𝑥 𝑋 𝑓𝑦 𝑌

∞
𝑓𝑥 𝑋 = 𝑓 𝑥, 𝑦 𝑑𝑦
0
∞
2 2
𝑓𝑥 𝑋 = 4𝑥𝑒 −𝑥 𝑦𝑒 −𝑦 𝑑𝑦
0
∞
2 2
𝑓𝑥 𝑋 = 4𝑥𝑒 −𝑥 𝑦𝑒 −𝑦 𝑑𝑦
0

2 1 2
= 4𝑥𝑒 −𝑥 = 2𝑥𝑒 −𝑥
2

2
𝑓𝑥 𝑋 = 2𝑥𝑒 −𝑥

∞
𝑓𝑦 𝑌 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞

∞
2 2
= 4𝑥𝑒 −𝑥 𝑦𝑒 −𝑦 𝑑𝑥
0

∞
−𝑦 2 2
= 4𝑦𝑒 𝑥𝑒 −𝑥 𝑑𝑥
0

2 1 2
= 4𝑦𝑒 −𝑦 = 2𝑦𝑒 −𝑦
2

2
𝑓𝑦 𝑌 = 2𝑦𝑒 −𝑦
 2 2 𝑥 2 +𝑦 2
𝑓𝑥 𝑋 𝑓𝑦 𝑌 = 2𝑥𝑒 −𝑥 2𝑦𝑒 −𝑦 =4𝑥𝑦𝑒 − = 𝑓 𝑥, 𝑦

∴ 𝑋 and 𝑌 are independent random variables.

3. The joint probability density function of the random variable 𝑥, 𝑦 is given by

2, 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 1
𝑓 𝑥, 𝑦 = . Prove that 𝑋 and 𝑌 are independent.
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Also find the conditional density function of 𝑋 and 𝑌

Solution:

The joint probability density function of the random variable 𝑥, 𝑦 is given by

2, 0 ≤ 𝑥 ≤ 1, 0≤𝑦≤1
𝑓 𝑥, 𝑦 =
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
∞
𝑓𝑥 𝑋 = 𝑓 𝑥, 𝑦 𝑑𝑦
−∞
x
= 2 𝑑𝑦
0

x
=2 y 0

𝑓𝑥 𝑋 = 2𝑥
∞
𝑓𝑦 𝑌 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞
2
= 2 𝑑𝑥
0

1
=2 x y

𝑓𝑦 𝑌 = 2 1 − 𝑦

𝑓𝑥 𝑋 𝑓𝑦 𝑌 = 2𝑥 ∗ 2 1 − 𝑦 = 4𝑥 1 − 𝑦 ≠ 𝑓 𝑥, 𝑦

Conditional density function of X

𝑓 𝑥, 𝑦
𝑓 𝑋 𝑌 =
𝑓𝑦 𝑌

2 1
𝑓 𝑋 𝑌 = =
2 1−𝑦 1−𝑦

Conditional density of Y
 𝑓 𝑥, 𝑦
𝑓 𝑌 𝑋 =
𝑓𝑥 𝑋

2 1
𝑓 𝑌 𝑋 = =
2𝑥 x

4. The joint probability density function of the random variable 𝑥, 𝑦 is given by

cx(x − y), 0 ≤ 𝑥 ≤ 2, −x ≤ 𝑦 ≤ x
𝑓 𝑥, 𝑦 =
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

Find
(i) The value of c
(ii) 𝑓𝑥 𝑋 , 𝑓𝑦 𝑌
(iii) 𝑓 𝑌 𝑋

Solution:

The joint probability density function of the random variable 𝑥, 𝑦 is given by

cx(x − y), 0 ≤ 𝑥 ≤ 2, −x ≤ 𝑦 ≤ x
𝑓 𝑥, 𝑦 =
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

We know that the total probability is 1

⟹ 𝑓 𝑥, 𝑦 𝑑𝑥𝑑𝑦 = 1
𝑅

2 x
⟹ cx(x − y)𝑑𝑥𝑑𝑦 = 1
0 −x

2 x
2
𝑦2
⟹𝑐 𝑥 𝑦− 𝑑𝑦 = 1
0 2 −x

2
𝑥2 𝑥2
⟹𝑐 𝑥3 − + 𝑥3 + 𝑑𝑦 = 1
0 2 2

2
⟹𝑐 0
2𝑥 3 𝑑𝑦 = 1

2
𝑥4
⟹𝑐2 =1
4 0

16
⟹ 𝑐2 =1
4

1
⟹𝑐=
8
 1
∴ 𝑓 𝑥, 𝑦 = 8 x(x − y), 0 ≤ 𝑥 ≤ 2, −x ≤ 𝑦 ≤ x
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

ii) Marginal density of 𝑋

∞
𝑓𝑥 𝑋 = 𝑓 𝑥, 𝑦 𝑑𝑦
−∞
x
1
= x(x − y) 𝑑𝑦
−x 8

x
1 𝑦2
= 𝑥2 𝑦 −
8 2 −x

1 3 𝑥2 𝑥2
= 𝑥 − + 𝑥3 +
8 2 2

2𝑥 3 𝑥 3
𝑓𝑥 𝑋 = =
8 4

Marginal density of 𝑌

In region 𝑅1, −2 ≤ 𝑦 ≤ 0
∞
𝑓𝑦 𝑌 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞

2
1
= x(x − y) 𝑑𝑋
−y 8

2
1 𝑥3 𝑥2 𝑦
= −
8 3 2 −𝑦

1 8 5𝑦 3
= − 2y +
8 3 6

1 y 5𝑦 3
𝑓𝑦 𝑌 = − +
3 4 48

In region 𝑅2, 0 ≤ 𝑦 ≤ 2
∞
𝑓𝑦 𝑌 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞
2
1
= x(x − y) 𝑑𝑋
y 8
 2
1 𝑥3 𝑥2 𝑦
= −
8 3 2 𝑦

1 8 4y 𝑦 3 𝑦 3
= − − +
8 3 2 3 2

1 y 𝑦3
𝑓𝑦 𝑌 =3 − 4 + 48

1 y 5𝑦 3
− + , −2 ≤ 𝑦 ≤ 0
𝑓𝑦 𝑌 = 3 4 483
1 y 𝑦
− + , 0≤𝑦≤2
3 4 48

iii. Conditional density of 𝑌 given 𝑋

𝑓 𝑥, 𝑦
𝑓 𝑌 𝑋 =
𝑓𝑥 𝑥
1
x(x − y) (x − y)
𝑓 𝑌 𝑋 =8 =
𝑥3 2x 2
4

5. The joint probability density function of the random variable 𝑥, 𝑦 is given by

𝑥2
x𝑦 2 + , 0 ≤ 𝑥 ≤ 2, 0 ≤ 𝑦 ≤ 1
𝑓 𝑥, 𝑦 = 8
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

(i) Find the marginal density of 𝑋 and 𝑌

Also find,
(ii) 𝑃 𝑋>1
1
(iii) 𝑃 𝑌<2

(iv) 𝑃 𝑋>1 1
𝑌<2
(v) 𝑃 𝑋<𝑌
(vi) 𝑃(𝑋 + 𝑌 ≤ 1 ).

Solution:

The joint probability density function of the random variable 𝑥, 𝑦 is given by

 2
𝑥2
𝑓 𝑥, 𝑦 = x𝑦 + , 0 ≤ 𝑥 ≤ 2, 0 ≤ 𝑦 ≤ 1
8
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

i) Marginal density of 𝑋
∞
𝑓𝑥 𝑋 = 𝑓 𝑥, 𝑦 𝑑𝑦
−∞
1
𝑥2
= x𝑦 2 + 𝑑𝑦
0 8

1
x𝑦 3 𝑥 2 𝑦
= −
3 8 0

x 𝑥2
𝑓𝑥 𝑋 = −
3 8

Marginal density of Y
∞
𝑓𝑦 𝑌 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞
2
𝑥2
= x𝑦 2 + 𝑑𝑋
0 8

2
𝑥2 𝑦2 𝑥3
= +
2 24 0

4𝑦 2 8 1
= + = 2𝑦 2 +
2 24 3

1
𝑓𝑦 𝑌 = 2𝑦 2 +
3
2
ii) 𝑃 𝑋>1 = 1 𝑥
𝑓 𝑋 𝑑𝑥

2 2
x 𝑥2 𝑥2 𝑥3
= − 𝑑𝑥 = +
1 3 8 6 24 1

4 8 1 1 19
= + − − =
6 24 6 24 24
 1
1
i) 𝑃 𝑌< = 2𝑓
0 𝑦
𝑌 𝑑𝑦
2
1
1
= 2
0
2𝑦 2 + 𝑑𝑦
3
1
2𝑦 3 𝑦 2 2 1 1
= 3
+ 3 =24 + 6= 4
0

1
𝑃 𝑋>1,𝑌<
ii) 𝑃 𝑋>1 1 = 1
2

𝑌< 𝑃 𝑌<
2
2

1
2
1 2 𝑥2
𝑃 𝑋 > 1, 𝑌 < = x𝑦 2 + 𝒅𝒙𝒅𝒚
2 0 1 8

1 2
𝑥2𝑦 2 𝑥3
= 0
2 + 𝑑𝑦
2 24 1
1 1
2 8 𝑦2 1 2 7 3𝑦 2
= 2𝑦 2 + − − 𝑑𝑦 = + 𝑑𝑦
0 24 2 24 0 24 2

1
7y 𝑦 3 2 7 1 10 5
= + = + = =
24 2 0
48 16 48 24

1 5
𝑃 𝑋 > 1, 𝑌 < =
2 24

1 5
𝑃 𝑋 > 1, 𝑌 < 2 5
∴𝑃 𝑋>1 24
1 = 1
=
1
=
6
𝑌<2 𝑃 𝑌<2 4

iii) 𝑃 𝑋<𝑌 = 𝑅
𝑓 𝑥, 𝑦 𝑑𝑥𝑑𝑦 ∴ 𝑙𝑖𝑚𝑖𝑡 𝑜𝑓 𝑅 𝑖𝑠 ,0 ≤ 𝑥 ≤ 𝑦 & 0 ≤ 𝑦 ≤ 1

1 y
𝑥2
2
= x𝑦 + 𝒅𝒙𝒅𝒚
0 0 8

1 𝑦
𝑥2 𝑦2 𝑥3
= + 𝑑𝑦
0 2 24 0
 1
𝑦4 𝑦3
= + 𝑑𝑦
0 2 24

1
𝑦5 𝑦4 1 1 53
= + = + =
10 96 0
10 96 480

i) 𝑃(𝑋 + 𝑌 ≤ 1 ) = 𝑅
𝑓 𝑥, 𝑦 𝑑𝑥𝑑𝑦 ∴ 𝑙𝑖𝑚𝑖𝑡 𝑜𝑓 𝑅 𝑖𝑠 0 ≤ 𝑥 ≤ 1 − 𝑦 & 0 ≤ 𝑦 ≤ 1

1 1−y
𝑥2
= x𝑦 2 + 𝑑𝑥𝑑𝑦
0 0 8

1 1−𝑦
𝑥2 𝑦2 𝑥3
= + 𝑑𝑦
0 2 24 0

1
𝑦2 1 − 𝑦 2
1−𝑦 3
= + 𝑑𝑦
0 2 24

1
𝑦 2 − 2𝑦 3 + 𝑦 4 1−𝑦 3
13
= + 𝑑𝑦 =
0 2 24 480

13
⟹ 𝑃(𝑋 + 𝑌 ≤ 1 ) =
480

8𝑥𝑦0 < 𝑥 < 𝑦 < 1

6. The joint density function of 𝑋 and 𝑌 𝑓(𝑥, 𝑦) =
0𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

(i) Find the marginal density of 𝑋 and 𝑌

(ii) Find the conditional density of 𝑋 and 𝑌

(iii) Are 𝑋 and 𝑌 independent.

Solution:

The joint probability density function of the random variable 𝑥, 𝑦 is given by

8𝑥𝑦0 < 𝑥 < 𝑦 < 1

𝑓(𝑥, 𝑦) =
0𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

i) Marginal density of 𝑋
 ∞
𝑓𝑥 𝑋 = 𝑓 𝑥, 𝑦 𝑑𝑦
−∞
1
= 8𝑥𝑦 𝑑𝑦
x
1
𝑦2 1 𝑥2
= 8𝑥 = 8𝑥 −
2 𝑥
2 2

𝑓𝑥 𝑋 = 4𝑥 1 − 𝑥 2

Marginal density of 𝑌
∞
𝑓𝑦 𝑌 = 𝑓 𝑥, 𝑦 𝑑𝑥
−∞

y
= 8𝑥𝑦 𝑑𝑥
0

𝑦
𝑥2 𝑦2
= 8𝑦 = 8𝑦 = 4𝑦 3
2 0
2

𝑓𝑦 𝑌 = 4𝑦 3

i) Conditional density function

Conditional density function of 𝑋

𝑓 𝑥, 𝑦
𝑓 𝑋 𝑌 =
𝑓𝑦 𝑌

8𝑥𝑦
=
4𝑦 3

2𝑥
𝑓 𝑋 𝑌 = 2
𝑦

Conditional density function of 𝑌

𝑓 𝑥, 𝑦
𝑓 𝑌 𝑋 =
𝑓𝑥 𝑥
 8𝑥𝑦
=
4𝑥 1 − 𝑥 2

2𝑥
𝑓 𝑌 𝑋 ==
1 − 𝑥2

𝑓𝑥 𝑋 𝑓𝑦 𝑌 = 4𝑥 1 − 𝑥 2 4𝑦 3 ≠ 𝒇 𝒙, 𝒚

∴𝑋 and 𝑌 are not independent Random variables

Exercises

1. If the joint distribution function of a two dimensional random variable (𝑋, 𝑌) is

given by

1 − 𝑒 −𝑥 1 − 𝑒 −𝑦 𝑥 > 0 𝑎𝑛𝑑 𝑦 > 0

𝐹 𝑥, 𝑦 =
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Find
i) Marginal density of 𝑋 and 𝑌
ii) 𝑃 𝑋 < 1/𝑌 < 3
iii) 𝑃 𝑋 > 𝑌
iv) 𝑃 𝑋 + 𝑌 < 1

2. If the joint pdf of a two dimensional random variable (𝑋, 𝑌) is given by

𝑥𝑦
𝑥2 + , 0 < 𝑥 < 1,0 < 𝑦 < 2
𝑓(𝑥, 𝑦) = 3
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

(i) Find the marginal density of 𝑋 and 𝑌

(ii) Find the conditional density of 𝑋 and 𝑌
1 1 1
(iii) Find (𝑎)𝑃(𝑋 > 2) (𝑏)𝑃(𝑌 < 𝑋) (𝑐)𝑃(𝑌 < 2 /𝑋 < 2)
3. The joint probability density function of the two dimensional random variable (𝑋, 𝑌)
𝑥
1 + 3𝑦 2 , 0 < 𝑥 < 2,0 < 𝑦 < 1
is given by 𝑓 𝑥, 𝑦 = 4 .
0,elsewhere

Find

a) Conditional probability density functions of X given Y=y and Y given X=x.

1 1
<𝑋<
b) 𝑃 4
1
2
.
𝑌=
3

2.4 MEASURES OF TWO-DIMENSIONAL RANDOM VARIABLE (X,Y)

OR EXPECTATION:

If (X,Y) is a two dimensional discrete random variable, then the marginal

expectation of the variable X, Y is given by

𝐸 𝑋 = 𝑥𝑃 𝑋 = 𝑥𝑖
𝑖

𝐸 𝑌 = 𝑦𝑃 𝑌 = 𝑦𝑗
𝑗

𝐸 𝑋2 = 𝑥 2 𝑃 𝑋 = 𝑥𝑖
𝑖

𝐸 𝑌2 = 𝑦 2 𝑃 𝑌 = 𝑦𝑗
𝑗

𝐸 𝑋𝑌 = 𝑥 𝑦𝑃𝑖𝑗
𝑖
𝑗

If (X,Y) is a two-dimensional continuous random variable, then the marginal

expectation of the variable X, Y is given by

i) 𝐸 𝑋 = 𝑥𝑓𝑋 𝑥 𝑑𝑥
ii) 𝐸 𝑌 = 𝑦 𝑓𝑌 𝑦 𝑑𝑦
iii) 𝐸 𝑋2 = 𝑥 2 𝑓𝑋 𝑥 𝑑𝑥
Variance:

2
i) Variance of 𝑋 is given by 𝑉𝑎𝑟 𝑋 = 𝐸 𝑋 2 − 𝐸 𝑋
2
ii) Variance of 𝑌 is given by 𝑉𝑎𝑟 𝑌 = 𝐸 𝑌 2 − 𝐸 𝑌

2.5 CORRELATION

So far, we learned about the joint probability distribution of two random variables
𝑋 𝑎𝑛𝑑 𝑌. Here, we will extend our study of the relationship between two random
variables by learning how to quantify the degree to which two random variables 𝑋 and
𝑌 are associated or correlated. Here, we will begin our attempt to compute the
dependence between two random variables and by exploring what is called the
covariance between the two random variables. Now we will start with a formal
definition of the covariance.

Covariance

Let 𝑋 and 𝑌 be random variables (discrete or continuous!) with means 𝜇𝑥 and 𝜇𝑦

. The covariance of 𝑋 and 𝑌, denoted 𝐶𝑂𝑉(𝑋, 𝑌) or 𝜎𝑋𝑌 , is defined as:

𝐶𝑂𝑉 𝑋, 𝑌 = 𝜎𝑋𝑌 = 𝐸 𝑋 − 𝜇𝑥 𝑌 − 𝜇𝑦

Note: Covariance of X and Y is also calculated by

𝐶𝑂𝑉 𝑋, 𝑌 = 𝜎𝑋𝑌 = 𝐸 𝑋𝑌 − 𝐸 𝑋 𝐸 𝑌

Now that we know how to calculate the covariance between two random
variables, X and Y, let's turn our attention to seeing how the covariance helps us
calculate what is called the correlation coefficient.
Correlation Coefficient

Let 𝑋, 𝑌 be any two random variables (discrete or continuous!) with standard

deviations 𝜎𝑥 and 𝜎𝑦 respectively. The correlation coefficient of 𝑋, 𝑌 denoted 𝜌𝑋𝑌 or
(the greek letter "rho") is defined as:

𝐶𝑂𝑉(𝑋, 𝑌)
𝜌𝑋𝑌 =
𝜎𝑥 𝜎𝑦

NOTE

➢ If 𝜌𝑋𝑌 = 1, then 𝑋 and 𝑌 are perfectly, positively, linearly correlated.

➢ If𝜌𝑋𝑌 = −1 , then 𝑋 and 𝑌 are perfectly, negatively, linearly correlated.
➢ If 𝜌𝑋𝑌 = 0, then 𝑋 and 𝑌 are completely, un-linearly correlated. That is, 𝑋 and
𝑌 may be perfectly correlated in some other manner, in a parabolic manner,
perhaps, but not in a linear manner.
➢ If 𝜌𝑋𝑌 > 0,, then 𝑋 and 𝑌 are positively, linearly correlated, but not perfectly
so.
➢ If 𝜌𝑋𝑌 < 0,, then 𝑋 and 𝑌 are negatively, linearly correlated, but not perfectly
so.
➢ If 𝑋 and 𝑌 are independent then 𝐸(𝑋𝑌) = 𝐸(𝑋) 𝐸(𝑌) ⟹ 𝜌𝑋𝑌 = 0

2.6 REGRESSION LINES

A regression line is a straight line that describes how a response variable 𝑦 changes
as an explanatory variable 𝑥 changes. We often use a regression line to predict the
value of y for a given value of 𝑥.

(i) Regression Line 𝑋 on 𝑌

Regression line 𝑋 on 𝑌 is given by

𝑥 − 𝑥 = 𝑏𝑥𝑦 𝑦 − 𝑦ത

𝜎 𝐶𝑜𝑣 (𝑋,𝑌)
Where 𝑏𝑥𝑦 is called regression coefficient X on Y and 𝑏𝑥𝑦 = 𝜌 𝜎𝑥 𝑜𝑟
𝑦 𝜎𝑦 2

𝑥𝑖 𝑦𝑖
𝑥=𝐸 𝑋 = 𝑛
, 𝑦ത = 𝐸 𝑌 = 𝑛

(i) Regression line 𝑋 on 𝑌

Regression line 𝑋 on 𝑌 is given by

𝑥 − 𝑥 = 𝑏𝑥𝑦 𝑦 − 𝑦ത

𝜎 𝐶𝑜𝑣 (𝑋,𝑌)
Where 𝑏𝑥𝑦 is called regression coefficient X on Y and 𝑏𝑥𝑦 = 𝜌 𝜎𝑥 𝑜𝑟
𝑦 𝜎𝑦 2

𝑥𝑖 𝑦𝑖
𝑥=𝐸 𝑋 = 𝑛
, 𝑦ത = 𝐸 𝑌 = 𝑛

(ii) Regression line 𝑌 on 𝑋

Regression line 𝑌 on 𝑋 is given by

𝑦 − 𝑦ത = 𝑏𝑦𝑥 𝑥 − 𝑥

𝜎𝑦 𝐶𝑜𝑣 (𝑋,𝑌)
Where 𝑏𝑦𝑥 is called regression coefficient Y on X and 𝑏𝑦𝑥 = 𝜌 𝜎 𝑜𝑟
𝑥 𝜎𝑥 2

𝑥𝑖 𝑦𝑖
𝑥=𝐸 𝑋 = , 𝑦ത = 𝐸 𝑌 =
𝑛 𝑛

Note: Direct formula

i) For Correlation Coefficient

 𝑛 𝑥𝑦 − 𝑥 𝑦
𝑟𝑥𝑦 (or)𝜌𝑥𝑦 =
𝑥2 − 𝑥 2 𝑛 𝑦2 − 𝑦 2

ii) For regression coefficient 𝑋 on 𝑌

𝑛 𝑥𝑦 − 𝑥 𝑦
𝑏𝑥𝑦 =
𝑛 𝑦2 − 𝑦 2

iii) For regression coefficient 𝑌 on 𝑋

𝑛 𝑥𝑦 − 𝑥 𝑦
𝑏𝑦𝑥 =
𝑥2 − 𝑥 2

Problems in Correlation Coefficient

1. The joint density function of 𝑋 and 𝑌 is

𝑓 𝑥, 𝑦 = 3 𝑥 + 𝑦 , 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 1, 𝑥+≤ 1, Find 𝐶𝑂𝑉 (𝑥, 𝑦)

Solution:

Given 𝑓(𝑥, 𝑦) = 3(𝑥 + 𝑦)

To find 𝐶𝑂𝑉(𝑥, 𝑦) = 𝐸(𝑥𝑦) – 𝐸(𝑥)𝐸(𝑦)

𝐸 𝑥𝑦 = 𝑥𝑦𝑓 𝑥, 𝑦 𝑑𝑥𝑑𝑦
𝑅

1 1−𝑦
= 𝑥𝑦 3 𝑥 + 𝑑𝑥𝑑𝑦
0 0
 1 1−𝑦
=3 𝑦 (𝑥2 + 𝑦𝑥)𝑑𝑥𝑑𝑦
0 0

1 𝑥3 𝑦𝑥 2
=3 0
𝑦[3 + 2
] 1−𝑦
0
𝑑𝑦33

1
(1 − 𝑦)3 𝑦(1 − 𝑦)2
=3 𝑦[ + ]𝑑𝑦
0 3 2

1
(1 − 𝑦)3 𝑦 2 (1 − 𝑦)2
=3 𝑦 + 𝑑𝑦
0 3 2

1
𝑌 𝑦 2 (1 + 𝑦 2 − 2𝑌)
=3 [ 1 − 𝑦 3 − 3𝑦 + 3𝑦 2 + ]𝑑𝑦
0 3 2

1
1 (𝑦 2 + 𝑦 4 − 2𝑦 3 )
=3 𝑦 − 𝑦 4 − 3𝑦 2 + 3𝑦 3 + ]𝑑𝑦
0 3 2

𝑦2 𝑦5 𝑦3 3 𝑦3 𝑦5 𝑦4
= − − 3 + 3𝑦 3 + + −2
2 5 3 2 3 5 4

1 1 3 −1 3 3 1
= − −1+ + + − =
2 5 4 2 10 4 10

1
𝐸 𝑥𝑦 =
10

𝑦=1−𝑥

= 𝑓𝑥 𝑥 = 𝑓 𝑥, 𝑦 𝑑𝑦
𝑦=0

1−𝑥

= 3 𝑥 + 𝑦 𝑑𝑦
0

𝑦2 1 − 𝑥 1−𝑥 2
= 3 𝑥𝑦 + = 3 𝑥 1−𝑥 +
2 0 2

1 + 𝑥 2 − 2𝑥
3 𝑥 − 𝑥2 +
2
 3 3
= 2𝑥 − 2𝑥 2 + 1 + 𝑥 2 − 2𝑥 = 1 − 𝑥2
2 2

1−𝑥 1−𝑦

𝑓𝑦 𝑦 = 𝑓 𝑥, 𝑦 𝑑𝑥 = 3 𝑥 + 𝑦 𝑑𝑥
0 0

𝑥2 1−𝑦
=3 + 𝑦𝑥
2 0

(1 − 𝑦)2
=3 + 𝑦(1 − 𝑦)
2

3
𝑓𝑦 𝑦 = 1 − 𝑦2
2

1 1 1
3 3 𝑥2 𝑥4 3 3 3
𝐸 𝑥 = 𝑥𝑓𝑥 𝑥 𝑑𝑥 = 𝑥 1 − 𝑥 2 𝑑𝑥 = − = − =
0 0 2 2 2 4 0
4 8 8

1 1 1
3 2
3 𝑦2 𝑦4 3 3 3
𝐸 𝑦 = 𝑦𝑓𝑦 𝑦 𝑑𝑦 = 𝑦 1 − 𝑦 𝑑𝑦 = − = − =
0 0 2 2 2 4 0
4 8 8

1 3 3 1 9 13
𝐶𝑜𝑣 𝑥, 𝑦 = 𝐸 𝑥𝑦 − 𝐸 𝑥 𝐸 𝑦 = − = − =−
10 8 8 10 64 320

2 − 𝑥 − 𝑦, 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 1
2. The Joint P.D.F of (x,y) is given by f(x,y)= .
0, 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

Find 𝑟(𝑥, 𝑦)

Solution:

𝟏 1
𝑦2
𝒇𝒙 𝒙 = 𝒇 𝒙, 𝒚 𝒅𝒚 = ( 2 − 𝑥 − 𝑦)𝑑𝑦 = 2𝑦 − 𝑥𝑦 −
𝟎 2 0

1 3
= 2−𝑥− = −𝑥
2 2
 1 1
𝑥2
𝑓𝑦 𝑦 = 𝑓 𝑥, 𝑦 𝑑𝑥 = ( 2 − 𝑥 − 𝑦)𝑑𝑥 = 2𝑥 − 𝑥𝑦 −
0 2 0

1 3
= 2−𝑦− = −𝑦
2 2

1 1 1
3 3 𝑥2 𝑥3
𝐸 𝑥 = 𝑥𝑓𝑥 𝑥 𝑑𝑥 = 𝑥 − 𝑥 𝑑𝑥 = −
0 0 2 2 2 3 0

3 1 9−4 5
= − = =
4 3 12 12

1 1 1
3 3 𝑦2 𝑦3
𝐸 𝑦 = 𝑦𝑓𝑦 𝑦 𝑑𝑦 = 𝑦 − 𝑦 𝑑𝑦 = −
0 0 2 2 2 3 0

3 1 9−4 5
= − = =
4 3 12 12

1 1
2 2 2
3 3 𝑥3 𝑥4
𝐸 𝑥 = 𝑥 𝑓𝑥 𝑥 𝑑𝑥 = 𝑥 − 𝑥 𝑑𝑥 = −
0 2 2 3 4 0

1 1 1
= − =
2 4 4

1 1
2 2 2
3 3 𝑦3 𝑦4
𝐸 𝑦 = 𝑦 𝑓𝑦 𝑦 𝑑𝑦 = 𝑦 − 𝑦 𝑑𝑦 = −
0 2 2 3 4 0

1 1 1
= − =
2 4 4

1 1 1 1
𝑥2 𝑥3 𝑥2
𝐸 𝑥𝑦 = 𝑥𝑦 2 − 𝑥 − 𝑦 𝑑𝑥𝑑𝑦 = 2 𝑦 − 𝑦 − 𝑦2 𝑑𝑦
0 0 0 2 3 2 0

1
𝑦 𝑦2
= 𝑦− − 𝑑𝑦
0 3 2
 1
𝑦2 𝑦2 𝑦3 1 1 1 1 1 1
= − − = − − = − =
2 6 6 0
2 6 6 2 3 6

1 5 5 1 25 1
𝐶𝑜𝑣 𝑥, 𝑦 = 𝐸 𝑥𝑦 − 𝐸 𝑥 𝐸 𝑦 = − = − =−
6 12 12 6 144 144

2
2 1 5 1 25 36 − 25 11
𝜎𝑥2 =𝐸 𝑥 2
− 𝐸 𝑥 = − = − = =
4 12 4 144 144 144

2
2 1 5 1 25 36 − 25 11
𝜎𝑦2 = 𝐸 𝑦 2 − 𝐸 𝑦 = − = − = =
4 12 4 144 144 144

1
− 144 1
ρ 𝑥𝑦 = = −
11 11 11
144 144

3. The joint probability density function of (𝑥, 𝑦) is

𝑥+𝑦 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 1
𝑓 𝑥, 𝑦 =
0 𝐸𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

Compute 𝜌(𝑥, 𝑦)

Solution:

1 1
𝑦2 1 1
𝑓𝑥 𝑥 = 𝑓 𝑥, 𝑦 𝑑𝑦 = 𝑥 + 𝑦 𝑑𝑦 = 𝑥𝑦 + =𝑥+
2 0 2
0 0

1 1
1
𝑓𝑦 𝑦 = 𝑓 𝑥, 𝑦 𝑑𝑥 = 𝑥 + 𝑦 𝑑𝑥 = 𝑦 +
2
0 0
 1 1
1 𝑥 𝑥 23 𝑥 2 1 1 7
𝐸 𝑥 = 𝑥+ 𝑑𝑥 = 𝑥2 + 𝑑𝑥 = + = + =
2 2 3 4 3 4 12
0 0

1
1 7
𝐸 𝑦 = 𝑦 𝑦+ 𝑑𝑦 =
2 12
0

1
1 𝑥 4 1 𝑥3 1 6 + 4 10 5
𝐸 𝑥2 = 𝑥2 𝑥 + 𝑑𝑥 = + = + =
2 4 2 3 0 24 24 12
0

1
2
5
𝐸 𝑦 = 𝑦 2 𝑓𝑦 𝑦 𝑑𝑦 =
12
0

𝐸 𝑥𝑦 = 𝑥𝑦 𝑓 𝑥, 𝑦 𝑑𝑥𝑑𝑦
1 1 1
𝑥3 𝑥2 1
= 𝑥𝑦 𝑥 + 𝑦 𝑑𝑥𝑑𝑦 = 𝑦 +𝑦 𝑑𝑦
3 2 0
0 0 0

1
1 𝑦 𝑦2 𝑦3 1
= 𝑦 + 𝑑𝑦 = +
3 2 6 6 0
0

1 1 2 1
+ = =
6 6 6 3

𝐶𝑜𝑣 𝑥, 𝑦
𝜌 𝑥, 𝑦 =
𝜎𝑥 𝜎𝑦

𝐶𝑜𝑣 𝑥, 𝑦 = 𝐸 𝑥𝑦 − 𝐸 𝑥 − 𝐸 𝑦

1 7 7 1 49
= − = =
3 12 12 3 144

48 − 49 −1
= =
144 144
 2
2 5 7 5 49
𝜎𝑥2 =𝐸 𝑥 2
− 𝐸 𝑥 = − = −
12 12 12 144

60 − 49 11
= =
144 144

11
𝜎𝑦2 =
144

−1
144 −1
𝜌 𝑥, 𝑦 = =
11 11
144

4. Compute the coefficient of correlation between X and Y using the following data

𝑋 1 3 5 7 8 10
𝑌 8 12 15 17 18 20

Solution:

𝑥 𝑦 𝑋2 𝑌2 𝑥𝑦
1 8 1 64 8
3 12 9 144 36
5 15 25 225 75
7 17 49 289 119
8 18 64 324 144
19 20 100 400 200
Total = 34 90 248 1446 582
 𝜂=6

𝑥 = 34

𝑦 = 90

𝑥 2 = 248

𝑦 2 = 1446

𝑥𝑦 = 582

𝑛 𝑥𝑦 − 𝑥 𝑦
𝑟𝑥𝑦 =
𝑥2 − 𝑥 2 𝑛 𝑦2 − 𝑦 2

6 × 582 − (34)(90)
=
6 × 248 − (34)2 𝑛 6 × 1446 − 90 2

𝑟𝑥𝑦 = 0.9879

5. The regression line of 𝑥 on 𝑦 is 3𝑥 + 𝑦 = 10 and the regression line of 𝑦 on 𝑥 is

3𝑥 + 4𝑦 = 12, find mean of 𝑥, 𝑦. Also find 𝑟(𝑥, 𝑦)

Solution:

Regression line 𝑥 on 𝑦 ⇒ 3𝑥 + 𝑦 = 10

3𝑥 = 10 − 𝑦

10 𝑦
𝑥= −
3 3
 −1
∴ 𝑏𝑥𝑦 =
3

Regression line 𝑦 on 𝑥 ⇒ 3𝑥 + 4𝑦 = 12

3𝑥 = 10 − 𝑦

12 3𝑥
𝑦= −
4 4

−3
∴ 𝑏𝑥𝑦 = 4

𝑟 = ± 𝑏𝑥𝑦 𝑏𝑦𝑥

−1 −3
= − 3 4

1 −1
= − 4
= 2

Since the lines are passing through the posts തതത

𝑥 ,𝑦

3𝑥 + 𝑦 = 10

3𝑥 + 4𝑦 = 12

Solving, we get

28 2
𝑥 = , 𝑦 =
9 3

Exercises:

3 𝑥 2 +𝑦 2 0≤𝑥≤1,0≤𝑦≤1
1. The joint p.d.f. of (𝑥, 𝑦) is given by 𝑓 𝑥, 𝑦 =
2 0 𝐸𝑙𝑠𝑒𝑤 ℎ𝑒𝑟𝑒

Find the correlation coefficient

2. Let x and y be random variables in the p.d.f.

𝑥+𝑦
3 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 2
0 𝐸𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

Find 𝑟 𝑥, 𝑦

3. Find the coefficient of correlation between X and Y using the following data

𝑋 5 10 15 20 25
𝑌 16 19 23 26 30

Ans: -0.9907

4. Find the correlation coefficient between X and Y

𝑋 1 2 3 4 5 6 7 8 9
𝑌 9 8 10 12 11 13 14 16 15

Also find the reg. lines and estimate the value of 𝑦 when 𝑥 = 6.2.

5. Find the coefficient of correlation and obtain the lines of regression from data
given below.

𝑋 65 66 67 67 68 69 70 72
𝑌 67 68 65 68 72 72 69 71
Problems.

1. The lines of regression are 8𝑥 − 10𝑦 + 66 = 0, 40𝑥 − 18𝑦 − 214 − 0. The

variance of 𝑥 is 9. Find the covariance between 𝑥 + 𝑦 and 𝑥 − 𝑦

Solution:
If 𝑥 and 𝑦 are independent, then 𝐸 𝑥𝑦 = 𝐸 𝑥 𝐸 𝑦
𝐶𝑜𝑣 𝑥, 𝑦 = 0
𝑉𝑎𝑟 𝑥 = 36, 𝑉𝑎𝑟 𝑦 = 16
Let 𝑢 = 𝑥 + 𝑦, 𝑣 = 𝑥 = 𝑦

𝐶𝑜𝑣 𝑢,𝑣
To find 𝑟 𝑢, 𝑣 = 𝜎𝑢 𝜎𝑣

𝐶𝑜𝑣 𝑢, 𝑣 = 𝐸 𝑢𝑣 − 𝐸 𝑢 𝐸 𝑣

=𝐸 𝑥+𝑦 𝑥−𝑦 − 𝐸 𝑥+𝑦 𝑥−𝑦

= 𝐸 𝑥2 − 𝑦2 − 𝐸 𝑥 + 𝐸 𝑦 𝐸 𝑥 − 𝐸 𝑦

= 𝐸 𝑥2 − 𝐸 𝑦2 − 𝐸 𝑥 2
− 𝐸 𝑦2

2 2
= 𝐸 𝑥2 − 𝐸 𝑥 − 𝐸 𝑦2 − 𝐸 𝑦

= 𝑉𝑎𝑟 𝑥 − 𝑉𝑎𝑟 𝑦 = 36 − 16 = 20

2
𝜎𝑢2 = 𝐸 𝑢2 − 𝐸 𝑢

2 2
=𝐸 𝑥+𝑦 − 𝐸 𝑥+𝑦

2 2
= 𝐸 𝑥 2 + 𝐸 𝑦 2 + 2𝐸 𝑥𝑦 − 𝐸 𝑥 + 𝐸 𝑦 + 2𝐸 𝑥 𝐸 𝑦

2 2
= 𝐸 𝑥2 − 𝐸 𝑥 + 𝐸 𝑦2 − 𝐸 𝑦

𝜎𝑢2 = 𝑉𝑎𝑟 𝑥 + 𝑉𝑎𝑟 𝑦 = 36 + 16 = 52

 2
𝜎𝑣2 = 𝐸 𝑣 2 − 𝐸 𝑣

2 2
=𝐸 𝑥−𝑦 − 𝐸 𝑥−𝑦

2 2
= 𝐸 𝑥 2 + 𝐸 𝑦 2 − 2𝐸 𝑥𝑦 − 𝐸 𝑥 + 𝐸 𝑦 − 2𝐸 𝑥 𝐸 𝑦

2 2
= 𝐸 𝑥2 − 𝐸 𝑥 + 𝐸 𝑦2 − 𝐸 𝑦

𝜎𝑣2 = 𝑉𝑎𝑟 𝑥 + 𝑉𝑎𝑟 𝑦 = 36 + 16 = 52

20 20 5
𝑟 𝑢, 𝑣 = = =
52 52 52 13

2. If 𝑋, 𝑌 and 𝑍 are uncorrelated RV’s with zero mean and standard deviation 5,
12 and 9 respectively, and if 𝑈 = 𝑋 + 𝑌 and 𝑉 = 𝑌 + 𝑍 , find the correlation
coefficient between 𝑈 and 𝑉.

Solution:

𝐸 𝑥 = 𝐸 𝑦 = 𝐸 𝑧 = 0, 𝜎𝑥 = 5, 𝜎𝑧 = 12, 𝜎𝑧 = 9

2
𝑉𝑎𝑟 𝑥 = 𝐸 𝑥 2 − 𝐸 𝑥 = 5 2

⇒ 𝐸 𝑥 2 = 25

𝐸 𝑦 2 = 144, 𝐸 𝑧 2 = 8

X & Y are uncorrelated, ∴ 𝐸 𝑥𝑦 =E 𝑥 E 𝑦 = 0

𝐸 𝑦𝑧 =E 𝑦 E 𝑧 = 0

𝐸 𝑥𝑧 =E 𝑥 E 𝑧 = 0

E 𝑢 = E 𝑥+𝑦 =𝐸 𝑥 + 𝐸 𝑦 =0
 E 𝑣 =0

E 𝑢𝑣 = 𝐸 𝑥 + 𝑦 𝑦+𝑧 = 𝐸 𝑥𝑦 + 𝑥𝑧 + 𝑦 2 + 𝑦𝑧

= 𝐸 𝑥𝑦 + 𝐸 𝑥𝑧 + 𝐸 𝑦 2 + 𝐸 𝑦𝑧 = 𝐸 𝑦 2

𝐸 𝑢𝑣 = 144

𝑉𝑎𝑟 𝑢 = 𝑉𝑎𝑟 𝑥 + 𝑦 = 𝑉𝑎𝑟 𝑥 + 𝑉𝑎𝑟 𝑦 = 25 + 144 = 169

𝑉𝑎𝑟 𝑣 = 𝑉𝑎𝑟 𝑦 + 𝑧 = 𝑉𝑎𝑟 𝑦 + 𝑉𝑎𝑟 𝑧 = 144 + 81 = 225

𝐶𝑜𝑟 𝑢𝑣
∴ 𝐶𝑜𝑟 𝑢, 𝑣 =
𝜎𝑢 𝜎𝑣

144 − 0 144 48
= =
169 225 13 × 15 65

Exercises:

1. If 𝑥 and 𝑦 are independent random variables with mean 2 and 3 and variance
1 and 2. Find the mean and variance of 𝑍 = 2𝑥 − 5𝑦.

2. If 𝑥, 𝑦, and 𝑧 are uncorrelated random variable with same variance. Find the
correlation coefficient between 𝑥 + 𝑦 and 𝑦 + 𝑧
3. If 𝑥 and 𝑦 are uncorrelated random variables with zero means and same
variance, prove that 𝑢 = 𝑥 cos ∝ +𝑦 sin ∝ and 𝑉 = 𝑥 sin ∝ − 𝑦 cos ∝ are also
uncorrelated.

4. The random variables 𝑥, 𝑦 are defined as 𝑌 = 4𝑥 + 9. Find 𝑟(𝑥, 𝑦)

5. The regression equation for variables 𝑥 and 𝑦 are 7𝑥 – 3𝑦 – 18 = 0 and

4𝑥 – 𝑦 – 11 = 0.

i) What is the mean of x and y?

 ii) Find the correlation coefficient in between x and y.

Ans: 𝑥
തതത = 3, 𝑦 = 1 & r(x,y)=0.7638

Problems in Correlation Coefficient for Discrete Random Variable

1. The Joint probability mass function of (𝑥, 𝑦) is given by 𝑝(𝑥, 𝑦) = 𝑘(𝑥, 𝑦), 𝑥 =
1,2,3,4 , 𝑦 = 1,2,3. Find 𝑟(𝑥, 𝑦)

Solution

Given probability mass function 𝑝 𝑥, 𝑦 = 𝑘 𝑥, 𝑦 , 𝑥 = 1,2,3,4 , 𝑦 = 1,2,3

Y 1 2 3 P(x=xi) xP(x) x2P(x)

X
1 2k 3k 4k 9k 9k 9k
2 3k 4k 5k 12k 24k 48k
3 4k 5k 6k 15k 45k 135k
4 5k 6k 7k 18k 72k 288k
P(y=yi) 14k 18k 24k 𝑃𝑖𝑗 E(x)=150k E(x2)=480k
= 54𝑘
yP(y) 14k 36k 66k E(y)=116k
y2P(y) 14k 72k 198k E(y2)=284k

1
𝑃𝑖𝑗 = 1 ⇒ 54𝑘 = 1 ⟹ 𝑘 =
54
150
𝐸 𝑥 = xP x = 150𝑘 =
56
116
𝐸 𝑦 = yP y = 116𝑘 =
56
480
𝐸 𝑥 2 = 𝑥 2 P x = 480𝑘 =
56
 284
𝐸 𝑦 2 = 𝑦 2 P y = 284𝑘 =
56
𝐸 𝑥𝑦 = xyP xy

= 2𝑘 + 6𝑘 + 12𝑘 + 6𝑘 + 16𝑘 + 30𝑘 + 12𝑘 + 54𝑘 + 20𝑘 + 48 + 84𝑘

320
⟹ 320𝑘 =
54
320 150 116 160 75 58
𝑐𝑜𝑣 𝑥, 𝑦 = 𝐸 𝑥𝑦 − 𝐸 𝑥 𝐸 𝑦 = − = −
54 54 54 27 27 27
4320 − 4350 30
= =−
729 729
2 2
480 150 240 75
𝜎𝑥2 =𝐸 𝑥 2
− 𝐸 𝑥 2
= − = −
54 54 27 27
6480 − 5625 855
= =
729 729
2 2
284 116 160 58
𝜎𝑦2 = 𝐸 𝑦 2 − 𝐸 𝑦 2
= − = −
54 54 27 27
3834 − 3364 470
= =
729 729
30
− 729 30
𝑟 𝑥, 𝑦 = =− = −0.047
855 470 401850
729 729

Exercises

1. Find the joint probability density function of (𝑥, 𝑦) is

𝑦
𝑓(𝑥, 𝑦) = 𝑥 + , 𝑥 = 1,2,3, 𝑦 = 1,2
21
2. Find 𝑟(𝑥, 𝑦) for the following

5 15
𝑋
𝑌
10 0.2 0.4
20 0.3 0.1

2.7 TRANSFORMATION OF RANDOM VARIABLES

If (𝑥, 𝑦) is a two-dimensional random variable with probability density function 𝑓(𝑥, 𝑦)

and if 𝑧 = 𝑔(𝑥, 𝑦) and 𝑤 = ℎ(𝑥, 𝑦) are two other random variable, then the joint
probability density function of (𝑧, 𝑤) is given by 𝑓(𝑧, 𝑤) = 𝐽 𝑓(𝑥, 𝑦) where

𝜕𝑥 𝜕𝑥
𝐽 = 𝜕𝑧 𝜕𝑤
𝜕𝑦 𝜕𝑦
𝜕𝑧 𝜕𝑤

Note:

If only one relation 𝑧 = 𝑔(𝑥, 𝑦) is given, then assume the other relation as 𝑤 = 𝑦

1. If X and Y are independent random variable with probability density function

𝑥+𝑦
𝑒 −𝑥 , 𝑥 ≥ 0 𝑎𝑛𝑑 𝑒 −𝑦 , 𝑦 ≥ 0 respectively. Find the density function of 𝑢 = 2

Solution
Given 𝑓𝑥 𝑥 = 𝑒 −𝑥 , 𝑥 ≥ 0 , 𝑓𝑦 𝑦 = 𝑒 −𝑦 , 𝑦 ≥ 0

⟹ 𝑓 𝑥, 𝑦 = 𝑓𝑥 𝑥 𝑓𝑦 𝑦 = 𝑒 − 𝑥+𝑦 (∴ X, Y are independent )

Let 𝑣 = 𝑦
𝑥+𝑦
𝑢= ⇒ 𝑥 = 2𝑢 − 𝑦 ⇒ 𝑥 = 2𝑢 − 𝑣
2
𝜕𝑥 𝜕𝑥
𝐽 = 𝜕𝑢 𝜕𝑣 = 2 −1
=2
𝜕𝑦 𝜕𝑦 0 1
𝜕𝑢 𝜕𝑣
𝑣
𝑓 𝑢, 𝑣 = 2𝑒 − 𝑥+𝑦 = 2𝑒 −2𝑢 , 𝑢 ≥ 0, 𝑣 ≥ 0, ≤𝑢
2

To find 𝑓𝑢 𝑢

Range space

𝑣=𝑦≥0

𝑥 = 2𝑢 − 𝑣 ≥ 0,2𝑢 ≥ 𝑣
𝑣
⟹ 𝑣 ≤ 2𝑢 ⇒ ≤𝑢
2
𝑣
𝑢→ 𝑡𝑜 ∞
2
𝑣 → 0 𝑡𝑜 2𝑢

𝑓𝑢 𝑢 = 𝑓 𝑢, 𝑣 𝑑𝑣

−2𝑢
−2𝑢
= 2𝑒 −2𝑢 𝑑𝑣 = 2𝑒 −2𝑢 𝑣 0 = 4𝑢𝑒 −2𝑢
0

𝑓𝑢 𝑢 = 4𝑢𝑒 −2𝑢

2. If X and Y are independent random variables with 𝑓𝑥 𝑥 = 𝑒 −𝑥 𝑢(𝑥) and

𝑥
𝑓𝑦 𝑦 = 3𝑒 −3𝑦 𝑢(𝑦). Find 𝑓𝑧 𝑧 𝑖𝑓 𝑧 = 𝑦
Solution

Here 𝑋 and 𝑌 are independent, ∴ 𝑓 𝑥, 𝑦 = 𝑓𝑥 𝑥 𝑓𝑦 𝑦 = 3𝑒 −(𝑥+3𝑦) , 𝑥, 𝑦 ≥ 0

Let W = Y

𝑋
𝑍= ⇒ X = ZW
𝑌
𝜕𝑥 𝜕𝑥
𝐽 = 𝜕𝑧 𝜕𝑤 = 𝑤 𝑧
=𝑤
𝜕𝑦 𝜕𝑦 0 1
𝜕𝑧 𝜕𝑤

The joint p.d.f. of z, w = f z, w = 𝐽 𝑓 𝑥, 𝑦 = 𝑤3𝑒 −(𝑥+3𝑦) = 𝑤3𝑒 −(𝑧𝑤 +3𝑤)

f z, w = 3𝑤𝑒 −𝑤 (𝑧+3) , 𝑧, 𝑤 ≥ 0
∞
𝑓𝑧 𝑧 = 𝑓 𝑧, 𝑤 𝑑𝑤
0

∞
= 3𝑤𝑒 −𝑤(𝑧+3) 𝑑𝑤
0

Put 𝑤 𝑧 + 3 = 𝑡 ⇒ 𝑧 + 3 𝑑𝑤 = 𝑑𝑡
∞
𝑡 𝑑𝑡 3 ∞
=3 𝑒 −𝑡 = 2
− 𝑡𝑒 −𝑡 − 𝑒 −𝑡 0
0 𝑧+3 𝑧+3 𝑧+3

3 3
= 2
0+1 = 2
𝑧+3 𝑧+3

3
𝑓𝑧 𝑧 = 2
,𝑧 ≥ 0
𝑧+3

3. If X and Y each follow an exponential distribution with parameter 1 and are

independent. Find the probability density function of 𝑈 = 𝑋 – 𝑌
Solution:

𝑋 and 𝑌 follow exponential distribution with λ=1

∴ 𝑓 𝑥 = 𝑒 −𝑥 , 𝑥 ≥ 0, 𝑓 𝑦 = 𝑒 −𝑦 , 𝑦 ≥ 0
∴ 𝑓 𝑥, 𝑦 = 𝑓 𝑥 𝑓 𝑦 = 𝑒 −(𝑥+𝑦) , 𝑥, 𝑦 ≥ 0, (since 𝑥,𝑦 are independent)
Given U = X − Y ⇒ 𝑋 = 𝑈 + 𝑌 ⇒ 𝑋 = 𝑈 + 𝑉
Assume 𝑉 = 𝑌 ⇒ 𝑌 = 𝑉
We know that f u, v = 𝐽 𝑓 𝑥, 𝑦

Where
𝜕𝑥 𝜕𝑥
𝐽 = 𝜕𝑢 𝜕𝑣 = 1 1
=1
𝜕𝑦 𝜕𝑦 0 1
𝜕𝑢 𝜕𝑣

𝑓 𝑢, 𝑣 = 1. 𝑒 −(𝑥+𝑦) = 𝑒 −(𝑢+𝑣+𝑣)

𝑓 𝑢, 𝑣 = 𝑒 −(𝑢+2𝑣)

To find 𝑓𝑢 𝑢

Range space: 𝑥 ≥ 0, 𝑢 + 𝑣 ≥ 0 ⇒ 𝑢 ≥ −𝑣

𝑦 ≥ 0, 𝑣 ≥ 0

Case i) 𝑢 < 0
∞
𝑓𝑢 𝑢 = 𝑒 −(𝑢+2𝑣) 𝑑𝑣
−𝑢

∞
= 𝑒 −𝑢 𝑒 −2𝑣 𝑑𝑣
−𝑢

∞
−𝑢
𝑒 −2𝑣
=𝑒
−2 −𝑢

−𝑢
𝑒 2𝑢
=𝑒 0+
2

𝑒𝑢
𝑓𝑢 𝑢 = ,𝑢 < 0
2

Case ii) 𝑢 > 0

 ∞
𝑓𝑢 𝑢 = 𝑒 −(𝑢+2𝑣) 𝑑𝑣
0

∞
𝑒 −2𝑣
= 𝑒 −𝑢
−2 0

1
= 𝑒 −𝑢 0 +
2
𝑒 −𝑢
𝑓𝑢 𝑢 = ,𝑢 > 0
2

𝑒𝑢
, 𝑢<0
∴ 𝑓𝑢 𝑢 = 2
𝑒 −𝑢
, 𝑢>0
2

4. If 𝑋 and 𝑌 are independent random variables with p.d.f

𝑒 −𝑥 , 𝑥 ≥ 0 𝑎𝑛𝑑 𝑒 −𝑦 , 𝑦 ≥ 0 respectively, find the density function of
𝑋
𝑈 = 𝑋+𝑌 , 𝑉 = 𝑋 + 𝑌. Are 𝑈 and 𝑉 independent?

Solution:

Given 𝑓 𝑥 = 𝑒 −𝑥 , 𝑥 ≥ 0, 𝑓 𝑦 = 𝑒 −𝑦 , 𝑦 ≥ 0

∴ 𝑓 𝑥, 𝑦 = 𝑓 𝑥 𝑓 𝑦 = 𝑒 −(𝑥+𝑦) , 𝑥, 𝑦 ≥ 0, (since 𝑥,𝑦 are independent)

𝑋
Given 𝑈 = 𝑋+𝑌 , 𝑉 = 𝑋 + 𝑌.

𝑋
⟹𝑈= , 𝑋 = 𝑈𝑉. and , 𝑉 = 𝑈𝑉 + 𝑌 ⟹ 𝑌 = 𝑉 − 𝑈𝑉 ⟹ 𝑌 = 𝑉(1 − 𝑈)
𝑉

𝜕𝑥 𝜕𝑥
𝐽 = 𝜕𝑢 𝜕𝑣 = 𝑣 𝑢
= 𝑣 1 − 𝑢 + 𝑣𝑢
𝜕𝑦 𝜕𝑦 −𝑣 1−𝑢
𝜕𝑢 𝜕𝑣
𝐽 =𝑣
 𝑓 𝑢, 𝑣 = 𝑣. 𝑒 −(𝑥+𝑦) = 𝑣𝑒 −(𝑣)

To find 𝑓𝑢 𝑢 , 𝑓𝑣 𝑣

Range space: 𝑥 ≥ 0, ⟹ 𝑢𝑣 ≥ 0 ⇒ 𝑢 ≥ 0, 𝑣 ≥ 0

𝑦 ≥ 0, ⟹ 𝑣 ≥ 0,1 − 𝑢 ≥ 0, 𝑢 ≤ 1

⟹ 𝑣 ≥ 0, 0 ≤ 𝑢 ≤ 1

∞
𝑓𝑢 𝑢 = 𝑣𝑒 −(𝑣) 𝑑𝑣
0

0 =1
∞
= − 𝑣𝑒 −𝑣 − 𝑒 −𝑣

𝑓𝑢 𝑢 = 1, 0 ≤ 𝑢 ≤ 1

1
𝑓𝑣 𝑣 = 𝑣𝑒 −(𝑣) 𝑑𝑢
0

= 𝑣𝑒 −𝑣 𝑢 10 = 𝑣𝑒 −𝑣 , 𝑣 ≥ 0

Also, 𝑓𝑢 𝑢 𝑓𝑣 𝑣 = 1. 𝑣𝑒 −𝑣 = 𝑣𝑒 −𝑣 = 𝑓 𝑢, 𝑣

∴ 𝑈 and 𝑉 are independent

Exercises

1. If the joint probability density function of (𝑋, 𝑌) is given by 𝑓 𝑥, 𝑦 = 𝑥 +

𝑦, 0 ≤ 𝑥, 𝑦 ≤ 1, find the probability density function of 𝑈 = 𝑋𝑌

2. If 𝑋 and 𝑌 each follow an exponential distribution with parameter 2 and 3

respectively and are independent, find the probability density function of
𝑈 = 𝑋 +𝑌
 Practice Quiz

1. The joint probability mass function of two dimensional RV (X,Y) is given

by P(x,y) = k(x+y), x=1,2,3 and y=1,2 where k is a constant. Find the
value of k.
a) 21 b) 22 c) 1/21 d) 1/22

2. Find the marginal probability mass function of X , of the two dimensional

discrete random variable (X,Y) whose joint probability mass function is
 x + 2y
 , x =1, 2; y =1, 2
P  X = x , Y = y  =  18 .,

0 , otherwise
a) P(X=1) = 8/18, P(X=2) = 10/18 b) P(X=1) = 6/18, P(X=2) =
12/18 c) P(X=1) = 4/18, P(X=2) = 10/18 d) P(X=1) = 6/18, P(X=2)
= 12/18

3. Find the marginal probability mass function of Y, of the two dimensional

discrete random variable (X,Y) whose joint probability mass function is
 x + 2y
 , x =1, 2; y =1, 2
P  X = x , Y = y  =  18 .,

0 , otherwise
a) P(Y=1) = 7/18, P(Y=2) = 11/18 b) P(Y=1) = 5/18, P(Y=2) = 13/18
c) P(Y=1) = 2/18, P(Y=2) = 16/18 d) P(Y=1) = 4/18, P(Y=2) = 12/18

4. The joint probability mass function of X and Y is

X / Y 0 1 2

0 0.1 0.04 0.02

1 0.08 0.20 0.06

2 0.06 0.14 0.30

Find P( X  1, Y  1)
a)0.32 b) 0.42 c) 0.34 d) 0.53

5. If X, Y are independent Random variables then

a) E(XY) = 0 b) E(X) =0 c) E(XY) = E(X) E(Y)
d) E(XY) = E(X)+
6. If the joint p.d.f of ( X , Y ) is given by 𝑓 𝑥, 𝑦 =
1
6 − 𝑥 − 𝑦 , 0 ≤ 𝑥 ≤ 2, 2 ≤
8
𝑦 ≤ 4 , then the marginal density of Y
(3−x) (5−y)
a) 4 b) 4 c) 2y d) 5x
 7. A perfect positive correlation is signified by:
(a) 0 (b) -1 (c) +1 (d) -1 to +1

8. If X is a random variable 'a' and 'b' are constants then E(aX + b) is

a. E(a X)+E(b) b. E(a X)+b c. a E(X)+b d. None of these

9. The slope of the regression line of Y on X is also called the:

(a) Correlation coefficient of X on Y (b) Correlation coefficient of Y on X
(c) Regression coefficient of X on Y (d) Regression coefficient of Y on X

10. The cumulative probability distribution shows the probability

a. that a random variable is less than or equal to a particular value.
b. of two or more events occurring at once.
c. of all possible events occurring
d. that a random variable takes on a particular value given that another
event has happened.
11. If X, Y are independent Random variables then
a) E(XY) = 0 b) E(X) =0 c) E(XY) = E(X) E(Y) d) E(XY) = E(X)+E(Y)
12 If X, Y are independent Random variables then the correlation coefficient
of (X,Y)
a) r(X,Y) = 0 b) r(X,Y) =1 c) r(X,Y) = -1 d) none

13 . Find the value of K, if the joint density function of (x,y) is give by

𝐾 1−𝑥 1−𝑦 0 ≤ 𝑥 ≤ 1, 0 ≤ 𝑦 ≤ 1
𝑓 𝑥, 𝑦 =
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

a) 1/32 b) 1/23 c)32 d)1/64

14 If the joint density function of (x,y) is give by

− 𝑥 2 +𝑦 2
𝑓 𝑥, 𝑦 = 𝐾𝑥𝑦𝑒 𝑥 > 0, 𝑦 > 0 Find the value of K

a)1/4 b) 4 c)32 d)1/64

15 Given the joint p.d.f of (X,Y) as f(X,Y)=1/6, 0<X<2, 0<Y<3, determine
the marginal density function of X.

a)1/2 b) 4 c) 2 d)1/6

16 2 x 0  x 1, 0  y 1
Consider f ( x, y ) =  . Find marginal density function
0 otherwise
of X

a)3x b) 2x c) 2 d) 1/2x
17. 3 y 0  x 1, 1 y  2
Consider f ( x, y ) =  . Find all the marginal density
0 otherwise
function of X

a)3x b) 9 c) 2
18. The two regression equations are 4𝑥 − 5𝑦 + 33 = 0 𝑎𝑛𝑑 20𝑥 − 9𝑦 = 107.
find the means of x,y

a)𝑥 = 13 , 𝑦ത = 12 b) 𝑥 = 13 , 𝑦ത = 17 c) 𝑥 = 12 , 𝑦ത = 6 d)
𝑥 = 8 , 𝑦ത = 12

19. If X and Y are independent random variables with variance 2and 3. Find
the variance of 3 X +4 Y .

a)31 b) 55 c) 66 d) 60

20. If the independent random variables X and Y have the variances 36 and 16
respectively. Find the
covariance between ( X + Y ) and ( X − Y )

a)30 b) 12 c) 20 d) 60

1 2 3 4 5 6 7 8 9 10
c a a b c b c c d a
11 12 13 14 15 16 17 18 19 20
a a a b a b b b c c
 Assignment-I
Two dimensional D. R. V & C.R.V

1. The two dimensional random variable (X,Y) has the joint probability mass
x + 2y
function f ( x, y ) = , 𝑥 = 0,1,2; 𝑦 = 0,1,2. (i) Find all the marginal
27
distributions of X and Y (ii) probability distribution of (X+Y) (iii) 𝑃(𝑋 + 𝑌 ≤ 2).

2. The joint pdf of a two dimensional random variable ( X , Y ) is given by

x2
f ( x , y ) = x y + , 0  x  2;0  y 1 .
2

8
 1
Compute (1) P  X  1 (2) P Y   (3) P  X  Y 
 2

3. Two dimensional random variable (X,Y) have the joint probability density
8 xy, 0  x  y  1
function f ( x, y ) =  .
 0 , elsewhere
i) Find the Marginal and Conditional distributions
 1 1 3
ii) Are X and Y independent iii) Find P  X  Y  .
 4 2 4

4. For the following Bivariate probability distribution of (x,y), find

x/y Y
1 2 3 4 5 6
0 0 0 1/32 2/32 2/32 3/32
X 1 1/16 1/16 1/8 1/8 1/8 1/8
2 1/32 1/32 1/64 1/64 0 2/64
Find all the marginal and conditional probability distributions.
Also find (i)P(X≤1) (ii)P(Y≤3) (iii)P(X≤1/ Y≤3) (iv)P(X+Y≤ 4 ).

5. If the joint distribution function of a two dimensional random variable (X,Y) is

given by

1 − 𝑒 −𝑥 1 − 𝑒 −𝑦 𝑥 > 0 𝑎𝑛𝑑 𝑦 > 0

𝐹 𝑥, 𝑦 =
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
Find
i ) marginal density of X and Y
ii) 𝑃 𝑋 < 1/𝑌 < 3 iii) 𝑃 𝑋 > 𝑌 iv) 𝑃 𝑋 + 𝑌 < 1
 Assignment-II
Correlation & Regression

1. If the independent random variables X and Y have variances 36 and 16

respectively. Find the correlation coefficient rUV where U = X + Y and

V = X −Y .

2. A joint probability mass function of the discrete random variable X and Y is

x+ y
given as P ( X = x, = y ) =  , x = 1, 2; y = 1, 2,3, 4. Compute the
 32

a) Cov(X,Y) b) Correlation of X and Y

3. The two lines of regression are 8x −10 y + 66 = 0 and 40 x −18 y − 214 = 0. The

variance of x is 9. Find

i) The mean values of ‘x’ and ‘y’.

ii) Correlation co-efficient between ‘x’ and ‘y’

4. Given that X = 4Y + 5 and Y=kX+4 are regression lines of X on Y and Y on X

1 1
respectively. Show that 0  k  . If k = , find the means of X and Y and
4 16
the correlation coefficient rXY .

5. If the joint pdf of (X,Y) is given by f ( x, y ) = e −( x + y ) , x  0, y  0. Prove that X

and Y are uncorrelated

 Part A Questions & Answers

Q. Questions &Answers K CO
No. Level
The joint probability mass function of a bivariate discrete
random variable ( X , Y ) is given by the following table:
x
1 2 3
y

1 0.1 0.1 0.2

2 0.2 0.3 0.1

Find the marginal probability mass function of X and Y .

Solution: The joint probability mass function of ( X , Y )

is
x
1 2 3 py ( y)
1. K1 CO2
y

1 0.1 0.1 0.2 0.4

2 0.2 0.3 0.1 0.6

px ( x) 0.3 0.4 0.3 1

The marginal probability mass function of X is,

When
x = 1, px (1) =  pxy (1, y j ) = pxy (1,1) + pxy (1, 2) = 0.1 + 0.2 = 0.3
yj

Similarly, Px (2) = 0.4 Px (3) = 0.3

The marginal p.d.f. of Y is given by
PY (1) = 0.4 , PY (2) = 0.6 (follows from the table)

If the joint p.d.f. of (X, Y) is given

by f ( x, y) = 6e−2 x−2 y , x  0, y  0 and f ( x, y) = 0 otherwise .
Find the marginal density of X and the conditional
density of Y given X = x .
2. K1 CO2
Solution: The marginal density function of X is
given by
 
f x ( x) = 
−
f ( x, y )dy =  6 e −2 x −3 y dy
0
 
= 6  e −2 x .e −3 y dy
0

 
 e−3 y 
6e−2 x  e −3 y dy = 6e −2 x  −2 x
 = 2e , x  0
0  −3 0
The Conditional density of y given X = x is given by
f ( x, y ) 6e −2 x −3 y
f ( y / x) = = = 3e −3 y , y  0
f x ( x) 2e −2 x

The joint p.d.f. of

( X ,Y ) is given by
−( x+ y )
f ( x, y) = e x  0, y  0 and f ( x, y) = 0 otherwise.
Are X and Y independent? Why?
Solution: Two random variables X and Y are
3. independent if and only if f ( x, y ) = f x ( x). f y ( y ) . K2 CO2
−x −y
Given that f ( x, y) = e −( x+ y )
= e .e = f x ( x). f y ( y )
i.e., f(x, y) being written as a product of functions of
X and Y .
 X and Y are independent
. If the joint p.d.f. of ( X , Y ) is given by
f ( x, y) = 2 − x − y , 0  x  y  1 and f ( x, y) = 0 otherwise
Find E(X) and E(Y).
Solution:
  1 y
EX  =   x f ( x, y )dxdy =   x (2 − x − y)dx dy
− −
4.
0 0
K1 CO2
1
 5 y3  1
=   y2 −  dy =
0 
6 8
1
Similarly, E  y  = .
8

The joint p.d.f. of ( X , Y ) is given by

24 xy , x  0, y  0, x + y  1
f ( x, y ) = 
0 , elsewhere
Find the Conditional mean and the variance of Y given X = x
.
5.
Solution:
 1− x
f x ( x) =  f ( x, y )dy =  24 xy dy = 12 x(1 − x) ,0  x 1
2

− 0

f ( x, y ) 2y
Now f ( y / x ) = = , 0  y  1 − x.
f x ( x) (1 − x) 2
 1− x 1− x
2 y2 2
E Y / X = X  =  y f ( y / x ) dy =  dy = (1 − x)
0 0
(1 − x) 2
3
1− x 1− x
2 y3 1
E Y 2 / X = X  =  y 2 f ( y / x ) dy =  dy = (1 − x) 2
0 0
(1 − x) 2
2
Var Y / X = 0 = E  y / X = 0  −  E  y / X = 0
2 2

1 4 1
= (1 − x) 2 − (1 − x) 2 = (1 − x) 2 .
2 9 18

Prove that the Cov(aX , bY ) = abCov( X , Y ) .

Solution: Cov(aX , bY ) = E ax − E (ax )by − E (by )
= E ax − aE ( x)by − bE ( y )
6. = E  ab  x − E ( x ) y − E ( y ) K2 CO2

= abE  x − E ( x) y − E ( y )

= abCov( X , Y )

Show that the correlation coefficient r ( x, y) lies between -1 and

+1, ie. −1  r ( x, y)  1
Solution: Let E  X  = X and E Y  = Y . We know that
2
 X − X   Y − Y 
E     0
  X    Y  
ie.
 
2
 
2
 X − X Y −Y
7. E  X − X  + E  Y − Y   2 E 
( )( )   0 K1 CO2
 X   Y  

 XY 

2 2
X −X   
1  X − X  = 1, E  Y − Y  = 1 E  Y − Y  = 1
( ) ( )
2 2
E  = E
   
 X  X  Y  Y
2 2

1+1 2
1
 
E  X − X Y − Y   0.
  ( )( )
X Y
 1 + 1  2 r ( X , Y )  0,  −1  r ( X , Y )  1

If the independent random variables X and Y have the

variances 36 and 16 respectively. Find the
covariance between ( X + Y ) and ( X − Y ) .
8. Solution: Let U = X + Y and V = X − Y K1 CO2
E U  = E  X  + E Y  , E V  = E  X  − E Y 
and E  UV  = E  X 2 − Y 2  = E  X 2  − E Y 2 
 Cov(U , V ) = E UV  − E U  E V 

( E ( X ) ) − ( E (Y ) ) 
= E  X 2  − E Y 2  −
2 2

=  E ( X ) − ( E ( X ) )  − E (Y ) − ( E (Y ) ) 
2 2 2 2

=  X2 −  Y2 = 36 − 16 = 20.

X and Y are independent random variables with variance 2 and

3 respectively . Find the variance of 3 X + 4Y .
Solution:
Given that X and Y are independent random variables with
variance 2 and 3.
9. i.e., Var ( X ) = 2and Var (Y ) = 3 , K1 CO2
Consider
Var (2 X + 4Y ) = 32 Var ( X ) + 42 Var (Y ) ( Var ( aX ) = a 2Var ( X ) )
= 9  2 + 16  3 = 66.

The tangent of the angle between the lines of regression

1
y on x and x on y is 0.6 and  x =  y ; find
2
the correlation coefficient between X and Y.
 1 − r 2   x y
10. Solution: tan  =   2 K2 CO2
 r x + y
2

3 1− r2 2 1
0.6 = =   2r 2 + 3r − 2 = 0  r = .
5 r 5 2

The regression line of x on y is 3x + y = 10 and the regression line

of y on x is 3x + 4 y = 12 .find
the Co-efficient of Correlation between X and Y.
Solution: The regression coefficient of X on Y is given
11. K1
by bxy = −1 / 3 and the regression coefficient of Y on X is given CO2
by byx = −3 / 4 .  The coefficient of correlation between X and
Y is given by rxy = bxy  byx = ( −1/ 3)( −3 / 4 ) = 1/ 2 = 0.5

. If X1 , X 2 , X n are Poisson variates with parameter  = 2 , Use

Central limit theorem, to
estimate P 120  S n  160 , where Sn = X1 + X 2 + + X 75 .
12. Solution: E  X i  =  = 2 Var ( X i ) =  = 2 . K1 CO2
By C.L.T., S n follows N n ,  n ( ) ie, S n follows

(
N 150, 150 )
 i.e,
120 − 150 Sn − 150 160 − 150 
P 120  Sn  160 = P    
 150 150 150 
= P  −2.45  Z  0.85
= 0.4927 + 0.2939 = 0.7866

Define Central Limit theorem.

Let 𝑋1 , 𝑋2 , … , 𝑋𝑛 be a sequence of independent

identically distributed random variable and if 𝑋=
𝑋1 +𝑋2 +⋯+𝑋𝑛
then under certain general conditions 𝑋ത
𝑛
13. K1 CO2
follows a normal distribution with mean 𝜇 and variance
𝜎2
as 𝑛 → ∞
𝑛
𝜎 2
i.e. 𝑋ത 𝑓𝑜𝑙𝑙𝑜𝑤𝑠 𝑁 𝜇, 𝑛

Define two dimensional random variable

Let S be the sample space. Let X = X (s) and Y = Y (s) be two
14. K1 CO2
functions each assigning a real number to each outcome
s  S. Then ( X , Y ) is a two dimensional random variable
Define joint cumulative distribution Function.
If (X,Y) is a two dimensional discrete Random Variable such
that 𝐹 𝑥, 𝑦 = 𝑃 𝑋 ≤ 𝑥, 𝑌 ≤ 𝑦 , is called the joint
cumulative distribution Function of (X,Y)
1) For discrete Random variable,
15. K2 CO2
𝐹 𝑥, 𝑦 = 𝑦 𝑗 ≤𝑦 𝑥 𝑖 ≤𝑥 𝑝𝑖𝑗

2) For continuous random variables,

𝑦 𝑥
𝐹 𝑥, 𝑦 = 𝒇 𝒙, 𝒚 𝒅𝒙𝒅𝒚
−∞ −∞
 Part B Questions

Q. Questions K CO
No. Level
If the joint p.d.f of ( X ,Y ) is given by
 9 (1 + x + y )
 , x  0, y  0.
f ( x, y ) =  2(1 + x)4 (1 + y )4
0
 elsewhere
(i) Find the marginal densities of X and Y
(ii) Find the conditional densities of X and Y
(iii) Are X and Y independent
1. 3(2 x + 3) 3(2 y + 3) K1 CO2
Ans.: (i) f x ( x) = , x  0 f y ( y) = ,y0 (ii)
4(1 + x) 4
4(1 + y ) 4

6(1 + x + y )
f ( x / y) =
(2 x + 3)(1 + y ) 4
6(1 + x + y )
f ( y / x) = , x  0, y  0 (iii) X and Y are
(2 y + 3)(1 + x) 4
dependent.

 8 xy 0  x  y  1
The joint density function of X and Y f ( x, y) = 
 0 elsewhere
 1
(ii) Var Y / X = x 
1
2. (i) Find P  X  Y  K1 CO2
 2 4
(iii) Are X and Y are correlated; if so find the coefficient
of the correlation.
Ans.:  = 0.490
Two dice are thrown. Let X 1 be the random variable which
denote the outcome of the first die and X 2 denote the
outcome of the second die. Let Y = max( X1 , X 2 ) .
3. (i) Form the distribution table of X 1 and Y. K2 CO2
(ii) (ii) Find the Var(Y)
(iii) Find the Cov(X, Y)
Ans.: Var(Y)=1.97145 Cov(X,Y)= -76.80556

. X, Y, Z are uncorrelated random variables with zero means

and standard deviation 5, 12 and 9 respectively and if
𝑈 = 𝑋 + 𝑌, 𝑉 = 𝑌 + 𝑍.
4. K2 CO2
Find the Correlation coefficient between U and V
48
Ans.: rUV =
65
 A distribution with unknown mean  has variance equal
to 1.5.Use Central limit theorem to find how large a sample
should be taken from the distribution in order that the
5. probability will be at least 0.95 that the sample mean K2 CO2
will be within 0.5 of the population.
Ans.: n = 24

A random sample of size 100 is taken from a population

Whose mean is 60 and variance is 400 using central limit
6. theorem with what probability can we assert that the mean K2 CO2
of the sample will not differ from  = 60 by more than 4 ?
Ans.: 0.9546
If X and Y are independent simple Gamma variates with
parameters K1 and K 2 respectively. Show that the
X
7. variables U=X+Y, V = are independent and U is K2 CO2
X +Y
a simple Gamma variate with parameter K1 + K2 .

If X and Y are independent random variables each

normally distributed with zero mean and variance  2 .
 y
Find the density function of r = x 2 + y 2 and  = tan −1   .
8. x K2 CO2
r2
r − 1
Ans.: f r (r ) = e 2 2
, r0 , f ( ) = , 0    2 .
 2
2

Find the coefficient of correlation and obtain the lines of

regression from the data given below:

X 62 64 65 69 70 71 72 74
9. K1 CO2
Y 126 125 139 145 165 152 180 208

Ans.: Y = 6.02 X − 256.62 X = 0.13Y + 48.23 & r ( X , Y ) = 0.9

If the joint density of X 1 and X 2 is given by

6e−3 x1 − 2 x2 for x1  0, x2  0
10. f ( x1 , x2 ) =  K2 CO2
0 otherwise
Find the p.d.f. of Y = X 1 + X 2 and its mean.
 Ans.: f y ( y ) = 6 e −2 y − e −3 y 

Two dimensional random variables X and Y have

 xy
 0  x  4,1  y  5
joint pdf f ( x, y ) =  9
11.  K2 CO2
0 otherwise
Find Cov (X,Y)

. Two dimensional random variables X and Y have

2 − x − y 0  x  1, 0  y  1
joint pdf f ( x, y ) = 
0 otherwise
12. K1 CO2
(i) Find the marginal densities of X and Y
(ii) Find the conditional densities of X and Y
(iii) Find Var(X) and Var(Y)

The random variable X and Y have a

 2 xy
x + 0  x  1, 0  y  2
joint p.d.f f ( x, y ) =  3

0 otherwise
13. K2 CO2
(i) Are X and Y independent?
(ii) Find the conditional p.d.f of X given Y
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 Real Time Applications
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CONTENT BEYOND THE SYLLABUS

Application of probability is the content beyond the syllabus. Probability Theory has
the following application
i) the earthquake risk assessment.
ii) the reliability of circuits and systems to statistical methods for hypothesis
testing,
iii) decision making under uncertainty, and parameter estimation,
iv) electronic systems with applications to reliability, system engineering,
engineering decision-making
View the lecture on YouTube:

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ASSESSMENT SCHEDULE

FIAT: 27.02.2023 – 04.03.2023

SIAT: 18.04.2023 – 25.04.2023
MODEL: 11.05.2023 – 20.05.2023
MINI PROJECT

Correlation and Linear Regression

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Correlation:

C-code for correlation coefficient

https://www.easycalculation.com/code-c-program-correlation-co-efficient.html

https://tutorialspoint.dev/algorithm/mathematical-algorithms/program-find-
correlation-coefficient

For the following problems in correlation compute the correlation using the above
C/Python Program also compute the graph in excel sheet. Submit every thing in ppt
format.

1. Calculate the coefficient of correlation for the height (in inches) of father (X)
and their son (Y)

X 65 66 67 67 68 69 70 72

Y 67 68 65 68 72 72 69 71

2. The marks obtained by 10 students in Mathematics and Statistics are given below.
Find the correlation coefficient of two subjects.

Marks in 75 30 60 80 53 35 15 40 38 48
Maths
Marks in 85 45 54 91 58 63 35 43 45 44
Statistics
PRESCRIBED TEXT BOOKS & REFERENCE BOOKS

TEXTBOOKS:
1. R.A. Johnson, I. Miller and J. Freund, "Miller and Freund’s Probability and
Statistics for Engineers", Pearson Education, Asia, 8th Edition, 2015.

2. J.S. Milton and J.C. Arnold, "Introduction to Probability and Statistics", Tata
McGraw Hill, 4th Edition, 2007.

REFERENCES:

1. J.L. Devore, "Probability and Statistics for Engineering and the Sciences",
Cengage Learning, New Delhi, 8th Edition, 2014.

2. A. Papoulis, and S. Unnikrishnapillai, Probability, "Random Variables and

Stochastic Processes", McGraw Hill Education India, 4th Edition, New Delhi,
2010.

3. S.M. Ross, "Introduction to Probability and Statistics for Engineers and

Scientists", 3rd Edition, Elsevier, 2004.

4. M.R. Spiegel, J. Schiller and R.A. Srinivasan, "Schaum‘s Outline of Theory and
Problems of Probability and Statistics", Tata McGraw Hill Edition, 2004.
5. R.E. Walpole, R.H. Myers, S.L. Myers and K. Ye, "Probability and Statistics for
Engineers and Scientists". Pearson Education, Asia, 9th Edition, 2012.
 Thank you

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