JOINT PROBABILITY DISTRIBUTION

BANGALORE INSTITUTE OF TECHNOLOGY

Department of Mathematics
Mathematics for Computer Science (BCS301)

Module 2: Joint Probability distribution

Joint Probability distribution

Let S be a sample space and let X and Y be two discrete random variables.
Let X assume m values i.e., x1, x2 , x3 ,.......xm and Y assume n values i.e., y1, y2 , y3 ,....... yn .
Let us consider the probability of an ordered pair

 x , y  i  1, 2,3,....m & j  1, 2,3,......n defined by P  x , y   P  X  x and Y  y   p

i j i j i j ij

where pi j is called discrete joint probability density function.

The function P  x, y 
for any ordered  x, y  is called joint probability
function of X and Y if the following conditions are satisfied
i) P  xi , y j   0

 P  x , y   1
m n
ii) i j
i 1 j 1

Generally the discrete joint probability distribution of X and Y is represented

by the following table

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Y y1 y2 ………. yj ………. yn Total

X

x1 p11 p12 ………. p1 j ………. p1n P  x1 

x2 p21 p22 ………. p2 j ………. p2n P  x2 

………. ……….

xi pi1 pi 2 ………. pi j ………. pi n P  xi 

………. ……….

xm pm1 pm 2 ………. pm j ………. pm n P  xm 

Total P  y1  P  y2  ………. P yj  ………. P  yn  1

Marginal probability of X :
P  X  xi   P  xi   pi1  pi 2  pi 3   pi n for i  1, 2, 3,.........m
n
P  X  xi   P  xi    pi j
j 1

Then the set of values of  xi , P  xi   , i  1, 2,3,.......m is called marginal distribution of

X

X x1 x2 x3 ………… xm

P X  P  x1  P  x2  P  x3  ………… P  xm 

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Marginal probability of Y :
P Y  y j   P  y j   p1 j  p2 j  p3 j   p m j for j  1, 2,3,.........n

P Y  y j   P  y j    pi j
m

i 1

Then the set of values of  y j , P  y j  , j  1, 2,3,.......n is called marginal distribution

of Y

Y y1 y2 y3 ………… yn

P Y  P  y1  P  y2  P  y3  ………… P  yn 

Note: (Notations)

1. P  x, y  Joint probability of X and Y

2. P  x    P  x, y  Marginal probability of X
y

3. P  y    P  x, y  Marginal probability of Y
x

Stochastic independence:
Two random variables X and Y are said to be independent if and only if their
joint probability function is equal to the product of their marginal probability
functions.
i.e., 2 random variables X and Y are independent iff P  xi , y j   P  xi  P  y j 
P  x, y   P  x  P  y 

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Mathematical expectation:
Let X and Y be any two discrete with random variables P  x, y  as their joint
probability mass function. Let   x, y  be any function of X and Y . Then expectation
of   x, y  is defined as E   x, y      x, y  .P  x, y 
x y

Note:

1. Mean of X =EX    x P  x
x
2. Mean of Y = E Y    y P  y 
y

Variance of X= Variance of X=
Var  X    x 2 P  x    E  X   Var Y    y 2 P  y    E Y 
2 2

x y

Standard deviation of X = Var  X  Standard deviation of Y = Var Y 

Covariance:
The covariance between X and Y is defined as
  
Co var iance  X , Y   Cov  X , Y    x y P  x, y     x P  x    x P  x  
x y  x  x 
Cov  X , Y   E  XY   E  X  E Y 

Correlation coefficient:
Cov  X , Y 
The correlation coefficient between X and Y is defined as  
 SD  X    SD Y  

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Problems:
1. The joint probability distribution of two discrete random variables X
and Y is given by the table

-2 -1 4 6

1 0.1 0.2 0 0.3

2 0.2 0.1 0.1 0
Find: i) The marginal
distribution of X and Y ii) Mean values of X and Y iii) Standard deviations of
X and

Y iv) Co variance of X and Y v) Coefficient of correlation of X and Y

Solution: Given

Y -2 -1 4 5 Total
X
1 0.1 0.2 0 0.3 0.6

2 0.2 0.1 0.1 0 0.4

Total 0.3 0.3 0.1 0.3 1

Marginal distribution of X

X 1 2 Total
P X  0.6 0.4 1
x P X  0.6 0.8 1.4
x 2P  X  0.6 1.6 2.2

Mean of X  E  X    x P  X   1.4
x

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Variance of X   x2 P  x    E  X   2.2 1.42  0.24

2

Standard deviation of Var Y   0.49

Marginal distribution of Y

Y -2 -1 4 5 Total
P Y  0.3 0.3 0.1 0.3 1
y P Y  - - 0.4 1.5 1
0.6 0.3
y 2 P Y  1.2 0.3 1.6 7.5 10.6

Mean of Y  E Y    y P  y   1
y

Variance of Y   y 2 P  y    E Y   10.6 1  9.6

2

Standard deviation of  Var  X   9.6  3.1

Consider E  XY    x y P  x, y 
x y

= 1(-2) (0.1) + 1(-1) (0.2) +1(4) (0) + 1(5) (0.3)

+2(-2) (0.2) + 2(-1) (0.1) + 2(4) (0.1) + 2(0) (5)
E  XY   0.9

Consider Cov  X , Y   E  XY   E  X  E Y 
Cov  X , Y   0.9  1.4 1   0.5

Cov  X , Y   0.5
Consider      0.3292
 SD  X    SD Y  0.493.1

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2. The joint probability function of two discrete random variables X and

Y given by f  x, y   c  2 x  y  ;0  x  2;0  y  3
where x and y can assume
 0 ; otherwise
all integral values
a) Find the value of the constant 'c ' .
b) Find P  X  1, Y  3
c) Find P X  1, Y  2
d) Marginal distributions of X and Y

Solution:

Y 0 1 2 3 Total
X
0 0 c 2c 3c 6c

1 2c 3c 4c 5c 14c

2 4c 5c 6c 7c 22c

Total 6c 9c 12c 15c 42c

i)  f  x, y   1  42c  1  c  1 42
x y

ii) P  X  1, Y  3  5c  5 1  42 
iii) P  X  1, Y  2   P   X  1, 2   Y  0,1, 2  
 P 1, 0   P 1,1  P 1, 2   P  2, 0   P  2,1  P  2, 2 
 2c  3c  4c  4c  5c  6c
 24c  24 1  42 
P  X  1, Y  2   4
7

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iv) Marginal distribution of X

X 0 1 2
P X  6c=6/42 14c=14/42 22c=22/42

Marginal distribution of Y

Y 0 1 2 3
P Y  6c=6/42 9c=9/42 12c=12/42 15c=15/42

3. The joint probability distribution of two discrete random variables X

and Y is given by the table

1 3 6

1 1 1 1
9 6 18
3 1 1 1
6 4 12
6 1 1 1
18 12 36

Determine the marginal distribution of X and Y . Also find whether X

and Y are independent.

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Solution:

Y 1 3 6 Total
X
1 1/9  p11  1/6  p12  1/18  p13  1/3
3 1/6  p21  1/4  p22  1/12  p23  1/2
6 1/18  p31  1/12  p 32  1/36  p33  1/6
Total 1/3 1/2 1/6 1

Marginal distribution of X

X 1 3 6

P X  1/3 1/2 1/6

Marginal distribution of Y

Y 1 3 6

P Y  1/3 1/2 1/6

Consider,
P  x1  P  y1   1 1  1  P  x1 , y1  
P px112  P  y1   1 1  1  P  x2 , y1  P
 px21
3  P  y1  
1 1  1  Px , y   p
3 3 9 2 3 6 6 3 18 3 1 31

P  x1  P  y2   1 1  1  P  x1 , y2 P
  xp212 P  y2   12 12  14  P  x2 , y2  P
 px223  P  y2   1 1  1  P  x3 , y2   p32
3 2 6 6 2 12

P  x1  P  y3   1 1  1  P  x1 , y3 P
  xp213 P  y3   12 16  112  P  x2 , y3P  xp3 23P  y3   16 16  136  P  x3 , y3   p33
3 6 18

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Since P  xi , y j   P  xi  P  y j  i, j  1, 2,3

The two random variables X and Y are independent.

4. A fair coin is tossed thrice. Let X denotes 0 or 1 as a head or tail occur

in the first toss and Y denotes the number of heads which occur. Find
i) Determine the marginal probability distribution of X and Y .
ii) Determine the joint distribution of X and Y .

Solution: For the given experiment (Coin is tossed 3 times) the sample space
and the random variables X and Y
are given by
S  HHH , HHT , HTH , HTT , THH , THT , TTH , TTT 

0 ; if 1st toss is head

X 
1 ; if 1st toss is tail

Y  Number of heads   0,1, 2, 3

S HHH HHT HTH HTT THH THT TTH TTT

X 0 0 0 0 1 1 1 1
Y 3 2 2 1 2 1 1 0

 X  0,1

P  X  0  4  1
8 2

P  X  1  4  1
8 2

Marginal distribution of X

X 0 1 Total
P X  1/2 1/2 1
 Y  0,1, 2, 3

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P Y  0   1
8

P Y  1  3
8

P Y  2   3
8

P Y  3  1
8

Marginal distribution of Y

Y 0 1 2 3 Total
P Y  1/8 3/8 3/8 1/8 1

Consider pi j  P  xi , y j   P  X  xi Y  y j  i  1, 2 ; j  1, 2,3, 4

p11  P  x1 , y1   P  X  0  Y  0  P    0

p12  P  x1 , y2   P  X  0 Y  1  P  HTT   1
8

p13  P  x1 , y3   P  X  0 Y  2  P  HHT , HTH   2

8

p14  P  x1 , y4   P  X  0 Y  3  P  HHH   1
8
1
p21  P  x2 , y1   P  X  1Y  0  P TTT  
8

p22  P  x2 , y2   P  X  1Y  1  P THT ,TTH   2

8

p23  P  x2 , y3   P  X  1Y  2  P TTH   1

8
p24  P  x2 , y4   P  X  1 Y  3  P    0

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Joint probability distribution is

Y 0 1 2 3
X
0 0 1/8 2/8 1/8
1 1/8 2/8 1/8 0

5. The distribution of two independent random variable X and Y are

X 1 2 Y 1 2 3
P X  0.7 0.3 P Y  0.1 0.4 0.5
Find the joint distribution of X and Y .

Solution: wkt P  xi    pij and P  yi    pij

j i

From the given data

P  x1   0.2 ; P  x2   0.8 ; P  y1   0.1 ; P  y2   0.4 ; P  y3   0.5

X and Y are stochastically independent P  xi , y j   P  xi  P  y j 

pi j  P  xi , y j   P  xi  P  y j 

p11  P  x1 , y1   P  x1  P  y1   0.02

p12  P  x1 , y2   P  x1  P  y2   0.08

p13  P  x1 , y3   P  x1  P  y3   0.1

p21  P  x2 , y1   P  x2  P  y1   0.08

p22  P  x2 , y2   P  x2  P  y2   0.32

p23  P  x2 , y3   P  x2  P  y3   0.4

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Joint probability distribution is

Y 1 2 3
X
0 0.02 0.08 0.1
1 0.08 0.32 0.4

QUESTION BANK

JOINT POBABILITY DISTRIBUTION

1 If the joint Probability distribution function of X and Y is

1 3 9

2 1 1 1
8 24 12
4 1 1 0
4 4
6 1 11
8 24
12
Find the i) Marginal distribution of X ii) Marginal distribution of Y iii) Cov X , Y 
2 The joint Probability distribution of two random variables X and Y are given below

-3 2 4
1 0.1 0.2 0.2
2 0.3 0.1 0.1

Determine a) E  X  b) E  Y  c) E  X Y  d) Cov X , Y 

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3 Let X and Y be two random variables each taking three values -1 , 0 , 1 and having the joint
probability distribution, as shown below:

-1 0 1
-1 0 0.1 0.1
0 0.2 0.2 0.2
1 0 0.1 0.1
Obtain the marginal probability distribution of X and Y . And hence their expected values
4 The joint probability distribution of two discrete random variables X and Y is given by the
table

-2 -1 4 6
1 0.1 0.2 0 0.3
2 0.2 0.1 0.1 0

Determine: i) The marginal distribution of X and Y ii) Co variance of X and Y

iii) Correlation of X and Y
5 X and Y are independent random variables. X takes values 2, 5, and 7 with probability 1/2,
1/4, and 1/4 respectively. Y take values 3, 4, and 5 with the probability 1/3, 1/3 and 1/3. a)
Find the joint probability distribution of X and Y. b) Show that the covariance of X and Y
is equal to zero
6 The joint Probability distribution of two random variables X and Y are given below

-3 2 4
1 0.06 0.15 0.09
2 0.14 0.35 0.21

Determine the marginal distribution of X and Y . Also find whether X and Y are
independent
7 Compute i) P X  1, Y  2 ii) P X  1, Y  2 iii) P X  Y  2 , using the following
joint probability distribution for X and Y .

0 1 2 3 Sum

0 0 1 1 1 1
8 4 8 2
1 1 1 1 0 1
8 4 8 2
Sum 1 3 3 1 1
8 8 8 8

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8 The joint distribution of two random variables X and Y is given by

pij  k i  j  , i 1, 2 , 3 , 4 and j 1, 2 , 3 Find i) 'k ' ii) The marginal distributions of
X and Y . Show that X and Y are not independent.
9 The joint probability distribution of two discrete random variables X and Y is given by the
table

1 3 6

1 1 1 1
9 618
3 1 1 1
6 4 12
6 1 1 1
18 12 36
Determine the marginal distribution of X and Y . Also find whether X and Y are independent
10 Find the i) P X  Y  1 ii) Determine the individual (marginal) probability distribution
of X and Y . And verify that X and Y are not independent, if the joint distribution of two
random variables X and Y is given by the following table
0 1
0 0.1 0.2
1 0.4 0.2
2 0.1 0
11 The distribution of two independent random variable X and Y are
Y 1 2 3
X 1 2
P Y  0.1 0.4 0.5
P X  0.7 0.3

Find the joint distribution of X and Y .

12 The joint probability function of two discrete random variables X and Y given by
c  2 x  y  ;0  x  2;0  y  3
f  x, y    where x and y can assume all integral values
 0 ; otherwise
a) Find the value of the constant 'c ' .
b) Find P  X  1, Y  3
c) Find P X  1, Y  2
d) Marginal distributions of X and Y
13 A fair coin is tossed thrice. Let X denotes 0 or 1 as a head or tail occur in the first toss and
Y denotes the number of heads which occur. Find
i) Determine the marginal probability distribution of X and Y .
i) Determine the joint distribution of X and Y .

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