INTRODUCTION

BIVARIATE PROBABILITY DISTRIBUTIONS

PROBABILITY AND STATISTICS: STAT 166

By
Dr. Samuel Asante Gyamerah

Department of Statistics and Actuarial Science

KNUST

January 24, 2023

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 INTRODUCTION
BIVARIATE PROBABILITY DISTRIBUTIONS

Introduction

So far, we have looked at single random variable of either

the discrete or the continuous type. However, problems do arise
in which two random variables are to be studied
simultaneously.

For example, we might wish to study the yield of a chemical

reaction in conjunction with the temperature at which the
reaction is run. Typical question to ask: ”Is the yield
independent of the temperature” or ”what is the average yield
if the temperature is 400 C?”.

To answer questions of this type, we need to study what are

called two-dimensional random variables of both the discrete
and continuous type.

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Discrete Bivariate Distributions

Definition: Joint Probability Mass Function

Let X and Y be discrete random variables. The ordered pair
(X, Y ) is called a two-dimensional discrete random variable or
bivariate random variable. The function f (xi , yj such that

f (xi , yj ) = P (X = xi , Y = yj )

defined for all (xi , yj ), is called the joint probability mass

function or the joint probability function of X and Y

The necessary and sufficient conditions for f (xi , yj ) to be the

joint probability mass function of X and Y are:
1 f (xi , yj ) ≥ 0 for all i and j
P P
∀i f (xi , yj ) = 1
2
∀j

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Solution
a)
i) . P (X = 0, Y = 1) = f (0, 1) = 0.4
ii). P (X = 1, Y = 2) = f (1, 2) = 0

b)
i)
P (X + Y > 1) = f (1, 1) + f (0, 2) + f (1, 2) = 0.2 + 0.1 + 0 = 0.3
ii) P (X + Y = 1) = f (0, 1) + f (1, 0) = 0.4 + 0.2 = 0.6
iii) P (X + Y = 2) = f (0, 2) + f (1, 1) = 0.1 + 0.2 = 0.3

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Marginal Probability Mass Function

Definition
Let (X, Y ) be a two-dimensional discrete random variable with
probability mass function f (x, y). The marginal probability
mass function of X, denoted by fX (x) is given by
X
fX (x) = f (x, y)
all y

The marginal probability mass function of Y , denoted by fY (y),

is given by X
fY (y) = f (x, y)
all x

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Example

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Solution

x 3 4 5
1 1 1 y 3 4 5
fX (x) 4 2 4 11 1 7
fY (y) 24 4 24
Table: The marginal
Table: The marginal probability
probability mass function of
mass function of Y
X
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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Continuous Bivariate Distributions

Definition: Continuous Joint p.d.f

Let X and Y be continuous random variables. The ordered pair
(X, Y ) is called a two-dimensional (or bivariate) continuous
random variable. A function f (x, y) such that
1. f (x, y) ≥ 0, −∞ < x < ∞, −∞ < y < ∞
R∞ R∞
2. −∞ −∞ f (x, y) dx dy = 1
is called the joint p.d.f of X and Y

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Facts to Note
An immediate consequence of the above definition is that if X
and Y are continuous random variables with joint p.d.f f (x, y),
then the following are true
1 The joint cumulative distribution function of X and Y is
Z y Z x
F (x, y) = f (s, t) ds dt
−∞ −∞

2 For values a1 < x < b1 and a2 < y < b2 ,

Z b2 Z b1
P (a1 < X < b1 , a2 < Y < b2 ) = f (x, y) dx dy
a2 a1

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

3 If C is a region of points (x, y) in the plane −∞ < x < ∞,

−∞ < y < ∞ then
ZZ
P [(X, Y ) ∈ C] = f (x, y) dx dy
C

4 If F (x, y) is the joint cumulative distribution function of X

and Y , then the joint probability density function of X and
Y is given by
∂ 2 F (x, y)
f (x, y) =
∂x∂y
for all values of x and y where the partial derivative is
defined

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Example
Let X and Y be continuous random variables with joint p.d.f
(
2xy + 32 y 2 , 0 < x < 1, 0 < y < 1
f (x, y) =
0, elsewhere

Find P (X + Y < 1)

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Solution
RR
P (X + Y < 1) = C f (x, y) dx dy
where C = {(x, y) : 0 < x < 1, 0 < y < 1, x + y < 1}
Hence,
R 1 R 1−y
P (X + Y < 1) = 0 0 (2xy + 23 y 2 )dx dy

R1
= 0 [(1 − y)2 y + 32 (1 − y)y 2 ]dy = 5
24

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Example
Suppose that X and Y represent the operating lives, measured
in years, of components A and B of a certain system, and their
joint cumulative distribution function is given by
(
(1 − e−x )(1 − e−y ) x ≥ 0, y ≥ 0,
F (x, y) =
0, elsewhere

(a). Find the joint p.d.f of X and Y

(b). Find the probability that both components have operating
lives shorter than 1 year.
(c) Find the probability that both components have lives
greater than 2 years.

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Solution
(
∂ 2 F (x, y) e−x e−y x ≥ 0, y ≥ 0,
(a) f (x, y) = =
∂x∂y 0, elsewhere
(b) We are required to find P (X < 1, Y < 1).

P (X < 1, Y < 1) = F (1, 1) = (1 − e−1 )(1 − e−1 ) = 0.3996

(c) We are required to find P (X > 2, Y > 2)

R∞R∞
Z ∞n h i∞ o
P (X > 2, Y > 2) = 2 2 e−x e−y dxdy = e−y − e−x dy
2 2

R∞ h i∞
= 2 e−2 e−y dy = e−2 − e−y
2

= e−2 e−2 = 0.0183

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Marginal Probability Density Function

Let (X, y) be a two-dimensional continuous random variable

with p.d.f f (x, y). The marginal p.d.f of X denoted by fX (x) is
given by Z ∞
fX (x) = f (x, y)dy
−∞

The marginal p.d.f of Y denoted by fY (y) is given by

Z ∞
fY (y) = f (x, y)dx
−∞

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Example
The random variables X and Y have a joint p.d.f given by
(
8xy, 0 < x < y < 1,
f (x, y) =
0, elsewhere

Find:
(i) The marginal probability density functions of X and Y ,
(ii) E(Y ).

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 INTRODUCTION Bivariate Discrete Distribution
BIVARIATE PROBABILITY DISTRIBUTIONS Bivariate Continuous Distribution

Solution
The marginal p.d.f of X is given by
Z ∞ Z 1 h i1
fX (x) = f (x, y)dy = 8xy dy = 4xy 2 = 4x(1−x2 ) 0 < x < 1
−∞ x x

The marginal p.d.f of Y is given by

Z ∞ Z y h iy
fY (y) = f (x, y)dx = 8xy dx = 4x2 y = 4y 3 0 < y < 1
−∞ 0 0

R1 h i1
4 5 4
(ii)E(Y ) = 0 4y 4 dy = 5 y = 5
0

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