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CL 202 Multiplerandomvars
CL 202 Multiplerandomvars
MB+SCP
Mani Bhushan, Sachin Patwardhan
Department of Chemical Engineering,
Indian Institute of Technology Bombay
Mumbai, India- 400076
mbhushan,sachinp@iitb.ac.in
Spring 2016
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This handout
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Extension of Ideas:
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I
I
I
Average number of cigarettes smoked daily and the age at which an individual
gets cancer,
Height and weight of an individual,
Height and IQ of an individual.
Flow-rate and pressure drop of a liquid flowing through a pipe.
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F (, y ) = F (x, ) = 0, F (, ) = 1.
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f (x, y ) =
It follows that,
x
F (x, y ) =
f (, )dd
Z Z
P((X , Y ) D) =
f (x, y )dxdy
D
In particular, as x 0 and y 0,
P(x < X x + x, y < Y y + y ) f (x, y )xy
R R
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f (x, y ) = exp(0.5( )T P 1 ( ))
with
=
x
y
, =
1
1
, P=
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0.9 0.4
0.4 0.3
, =
1
p
|P|
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P(X x) =
fX (x) =
f (x, y )dy
fY (y ) =
f (x, y )dx
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Z
fX (x) =
f (x, y )dy
= P(X A, Y (, ))
Z Z
f (x, y )dydx
=
ZA
=
fX (x)dx
A
fY (y ) =
f (x, y )dx
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2e x e 2y
0
Compute: (a) P(X > 1, Y < 1), (b) P(X < Y ), (c) P(X < a)
Z
P(X > 1, Y < 1)
=
0
Z 1
2e x e 2y dxdy
2e 2y (e x |
1 )dy
Z 1
2e 2y dy = e 1 (1 e 2 )
= e 1
0
Z Z y
2e x e 2y dxdy = 1/3
P(X < Y ) =
0
0
Z aZ
P(X < a) =
2e x e 2y dydx = 1 e a
0
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Given two discrete random variables X and Y in the same experiment, the
joint PMF of X and Y is
p(xi , yj ) = P(X = xi , Y = yj )
for all pairs of (xi , yj ) values that X and Y can take.
p(xi , yj ) also denoted as pX ,Y (xi , yj ).
The marginal probability mass functions for X and Y are
X
pX (x) = P(X = x) =
pX ,Y (x, y )
y
pY (y ) = P(Y = y ) =
pX ,Y (x, y )
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{X = xi , Y = yj }
Similarly,
P
pY (yj ) = P(Y = yj ) = p(xi , yj ).
i
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Tabular Form
0
1
2
3
Col sum
(P(Y = j))
10/220
30/220
15/220
1/220
56/220
40/220
60/220
12/220
0
112/220
30/220
18/220
0
0
48/220
4/220
0
0
0
4/220
Row Sum
(P(X = i))
84/220
108/220
27/220
1/220
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n Random Variables
Joint cumulative probability distribution function F (x1 , x2 , ..., xn ) of n random
variables X1 , X2 , ..., Xn is defined as:
F (x1 , x2 , ..., xn ) = P(X1 x1 , X2 x2 , ..., Xn xn )
If random vars. discrete: joint probability mass function
p(x1 , x2 , ..., xn ) = P(X1 = x1 , X2 = x2 , ..., Xn = xn )
If random vars. continuous: joint probability density function f (x1 , x2 , ..., xn )
such that for any set C in n-dimensional space
Z Z
Z
P((X1 , X2 , ..., Xn ) C ) =
. . . f (x1 , x2 , ..., xn )dx1 dx2 ...dxn
(x1 ,...,xn )C
where,
f (x1 , x2 , ..., xn ) =
MB+SCP (IIT Bombay)
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n F (x1 , x2 , . . . , xn )
x1 x2 . . . xn
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Obtaining Marginals
= F (x1 , , , . . . , )
Z Z
Z
fX1 (x1 ) =
...
f (x1 , x2 , . . . , xn )dx2 dx3 . . . dxn
XX X
pX1 (x1 ) =
...
p(x1 , x2 , . . . , xn )
FX1 (x1 )
x2
x3
xn
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Random variables X and Y are independent if for any two sets of real
numbers A and B:
P(X A, Y B) = P(X A)P(Y B)
i.e. events EA = {X A} and EB = {Y B} are independent.
Height and IQ
In particular: P(X a, Y b) = P(X a)P(Y b), or
In terms of joint cumulative distribution function F of X and Y :
F (a, b) = FX (a)FY (b); a, b R
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1)
2)
F (x, y ) = FX (x)FY (y ); x, y
3)
3)
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Establish that
is a legitimate joint probability density function,
R Rabove
Z
0
1 (0.2x1 +0.1x2 )
1
0.1x2
e
dx1 dx2 =
(5e 0.2x1 |
|0 ) = 1
0 )(10e
50
50
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Example (Continued)
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n
Y
P(Xi Ai )
i=1
In particular: a1 , a2 , ..., an R
P(X1 a1 , X2 a2 , ..., Xn an )
F (a1 , a2 , ..., an )
=
=
n
Y
i=1
n
Y
P(Xi ai ), or
FXi (ai )
i=1
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In statistics, one usually does not consider just a single experiment, but that
the same experiment is performed several times.
Associate a separate random variable with each of those experimental
outcomes.
If the experiments are independent of each other, then we get a set of
independent random variables.
Example: Tossing a coin n times. Random variable Xi is the outcome (0 or
1) in the i th toss.
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Each toss leads to a random variable with the same probability distribution
function. The random variables are also independent. Thus, IID.
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Conditional Distributions
P(A, B)
P(B)
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P(X = x, Y = y )
p(x, y )
=
P(Y = y )
pY (y )
for pY (y ) > 0.
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P(B = i, G = 1)
, i = 0, 1, 2, 3
P(G = i)
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Example continued
Then,
P(B = 0 | G = 1) =
P(B = 0, G = 1)
P(G = 1)
Numerator
= P(G = 1andC = 1) = P(G = 1 | C = 1)P(C = 1) = (1/2)0.2 = 0.1. Then,
P(B = 0 | G = 1) = 0.1/0.3875 = 8/31
Similarly:
P(B = 1 | G = 1) = 14/31, P(B = 2 | G = 1) = 9/31, P(B = 3 | G = 1) = 0.
Check: Sum of conditional probabilities is 1.
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1 0.2x1
e
5
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1 < x1 < 2
otherwise
0 < x2 < 1
otherwise
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Plots
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Independence of Transformations
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Expected Value
XX
y
g (x, y )p(x, y )
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Special Cases
g (X , Y ) = X + Y . Then,
E (g (X , Y )) = E [X ] + E [Y ]
Cov(X , Y )
X Y
Property: dimensionless, 1 1.
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Independence Implications
g (X , Y ) = XY
I
If X , Y independent,
E [XY ] = E [X ]E [Y ]
g (X , Y ) = h(X )l(Y )
I
If X , Y independent,
E [h(X )l(Y )] = E [h(X )]E [l(Y )]
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THANK YOU
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