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Lecture Ch5.1 Jointly Distributed Random Variables

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27 views23 pages

Lecture Ch5.1 Jointly Distributed Random Variables

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Chapter 5 – Joint Probability

Distributions and Random Samples


Section 5.1 Jointly Distributed Random
Variables

In this section we will cover the following:


• Two Discrete Random Variables
• Two Continuous Random Variables
• Independent Random Variables
• More than Two Random Variables
• Conditional Distributions
Two Discrete Random Variables
Definition
Two Discrete Random Variables
Definition
Example
A certain market has both an express checkout line and a super-
express checkout line. Let 𝑋1 denote the number of customers in
line at the express checkout at a particular time of day and let 𝑋2
denote the number of customers in line at the super-express
checkout at the same time. Suppose the joint pmf of 𝑋1 and 𝑋2 is
as given in the accompanying table.
𝑥2
𝑝(𝑥, 𝑦) 0 1 2 3
0 0.08 0.07 0.04 0.00
1 0.06 0.15 0.05 0.04
𝑥1 2 0.05 0.04 0.10 0.06
3 0.00 0.03 0.04 0.07
4 0.00 0.01 0.05 0.06
Example (cont.)
(a) What is 𝑃 𝑋1 = 1, 𝑋2 = 1 , that is, the probability that there is exactly
one customer in each line? 0.15
(b) What is 𝑃 𝑋1 = 𝑋2 , that is, the probability that the number of
customers in the two lines are identical?
𝑃 𝑋1 = 𝑋2 = 𝑝 0, 0 + 𝑝 1, 1 + 𝑝 2, 2 + 𝑝 3, 3
= 0.08 + 0.15 + 0.10 + 0.07 = 0.4
(c) Let A denote the event that there are at least two more customers in
one line than in the other line. Express A in terms of 𝑋1 and 2 and
calculate the probability of this event.
𝐴 = 𝑋1 ≥ 2 + 𝑋2 ∪ 𝑋2 ≥ 2 + 𝑋1
𝑃 𝐴 = 𝑝 2, 0 + 𝑝 3, 0 + 𝑝 4, 0 + 𝑝 3. 1 + 𝑝 4, 1 + 𝑝 4, 2 +
𝑝 0, 2 + 𝑝 0, 3 + 𝑝 1, 3 = 0.22
Example (cont.)
(d) What is the probability that the total number of customers in the
two lines is exactly four? At least four?
𝑃 𝑋1 + 𝑋2 = 4 = 𝑝 1. 3 + 𝑝 2, 2 + 𝑝 3, 1 + 𝑝 4, 0 = 0.17
𝑃 𝑋1 + 𝑋2 ≥ 4 = 𝑃 𝑋1 + 𝑋2 = 4 + 𝑝 4, 1 + 𝑝 4, 2 +
𝑝 4, 3 + 𝑝 3, 2 + 𝑝 3, 3 + 𝑝 2, 3 = 0.46
(e) Determine the marginal pmf of 𝑋1 , 𝑋2 .
Example (cont.)
𝑃1 0 = 𝑃 𝑋1 = 0 = 𝑝 0, 0 + 𝑝 0, 1 + 𝑝 0, 2 + 𝑝 0, 3 ,
= 0.00 + 0.07 + 0.04 + 0.00 = 0.19
𝑃2 0 = 0.19, 𝑃2 1 = 0.30, 𝑃2 2 = 0.28, 𝑃2 3 = 0.23,
𝑥2
𝑝(𝑥, 𝑦) 0 1 2 3
0 0.08 0.07 0.04 0.00 0.19
1 0.06 0.15 0.05 0.04 0.30
𝑥1 2 0.05 0.04 0.10 0.06 0.25
3 0.00 0.03 0.04 0.07 0.14
4 0.00 0.01 0.05 0.06 0.12
0.19 0.30 0.28 0.23
Example (cont.)
(f) By inspection of the probabilities 𝑃 𝑋1 = 4 , 𝑃 𝑋2 = 0 , and
𝑃 𝑋1 = 4, 𝑋2 = 0 , are 𝑋1 and 𝑋2 independent?
𝑝 4, 0 = 0 𝑥2
𝑝(𝑥, 𝑦) 0 1 2 3
𝑝1 4 = 0.12 > 0 𝑥1 0 0.08 0.07 0.04 0.00 0.19
𝑝2 0 = 0.19 > 0 1 0.06 0.15 0.05 0.04 0.30

𝑝(𝑥1 , 𝑥2 ) ≠ 𝑝1 (𝑥1 ) ∙ 𝑝2 𝑥2 2 0.05 0.04 0.10 0.06 0.25


3 0.00 0.03 0.04 0.07 0.14
Therefore, the two variables 4 0.00 0.01 0.05 0.06 0.12
are not independent. 0.19 0.30 0.28 0.23
Two Continuous Random Variables
The probability that the observed value of a continuous rv X lies in a
one-dimensional set A (such as an interval) is obtained by
integrating the pdf f(x) over the set A.
Similarly, the probability that the pair (X, Y) of continuous rv’s falls in
a two-dimensional set A (such as a rectangle) is obtained by
integrating a function called the joint density function.
Two Continuous Random Variables
Definition
Two Continuous Random Variables
Definition
Two Continuous Random Variables
Definition
Example
A bank operates both a drive-up facility and a walk-up window. On a
randomly selected day, let X = the proportion of time that the drive-
up facility is in use (at least one customer is being served or waiting
to be served) and Y = the proportion of time that the walk-up
window is in use. Then the set of possible values for (X, Y) is the
rectangle D = {(x, y): 0  x  1, 0  y  1}. Suppose the joint pdf of (X,
Y) is given by
Example (cont.)
To verify that this is a legitimate pdf, note that f(x, y)  0 and
Example (cont.)
The probability that neither facility is busy more than one-quarter of
the time is
Example (cont.)
The marginal pdf of X, which gives the probability distribution of
busy time for the drive-up facility without reference to the walk-up
window, is

for 0 ≤ x ≤ 1 and 0 otherwise. The marginal pdf of Y is

Then
Example
Two components of a minicomputer have the following joint pdf for
their useful lifetimes X and Y
𝑥𝑒 −𝑥 1+𝑦 , 𝑥 ≥ 0, 𝑎𝑛𝑑 𝑦 ≥ 0
𝑓 𝑥, 𝑦 = ቊ
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
(a) What is the probability that the lifetime X of the first component
exceeds 3?
∞∞ ∞ −𝑥
𝑃 𝑋>3 = ‫׭‬3 0 𝑥𝑒 −𝑥 1+𝑦 𝑑𝑦 𝑑𝑥 = ‫׬‬1 𝑒 𝑑𝑥 = 0.050
Example (cont.)
(b) What is the marginal pdf’s of X and T? Are the two lifetimes
independent? Explain.
The marginal pdf of X is
∞

𝑓𝑋 𝑥 = න 𝑥𝑒 −𝑥 1+𝑦
𝑑𝑦 = 𝑒 −𝑥 𝑓𝑜𝑟 𝑥 ≥ 0
0
The marginal pdf oy Y is
∞
1
𝑓𝑌 𝑦 = න 𝑥𝑒 −𝑥 1+𝑦 𝑑𝑥 = 2
𝑓𝑜𝑟 𝑦 ≥ 0
1+𝑦
3
No independent because 𝑓(𝑥, 𝑦) ≠ 𝑓𝑋 (𝑋) ∙ 𝑓𝑌 (𝑌)
Example (cont.)
(c) What is the probability that the lifetime of at least one
component exceeds 3?
More than Two Random Variables
To model the joint behavior of more than two random variables, we
extend the concept of a joint distribution of two variables.
More than Two Random Variables
The notion of independence of more than two random variables is
similar to the notion of independence of more than two events.
Conditional Distributions
• vv
Example
Reconsider the situation of example 5.3 and 5.4 involving
X = the proportion of time that a bank’s drive-up facility is busy and
Y = the analogous proportion for the walk-up window.
The conditional pdf of Y given that X = .8 is

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