Example

4.23
n Joint PDF of X and Y follows

n Are X and Y independent?

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 Example 4.24
n Joint PDF of U and V follows

n Are U and V independent?

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 Proof

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 Example 4.25 Uniform distribution of X and Y over different
regions may have the same correlation coefficient

n Joint PMF of X and Y follows

n Are X and Y independent? Are X and Y uncorrelated?

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 Event and Independence

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 Exercise
n Let X1, X2, … Xn be iid continuous uniform (0, 1)
random variables (n≥1)
n Find the PDF of

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 Generating Gaussian Random Variables

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 Proof

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 Bivariate Gaussian PDF (Take 2)
n Define

n The joint Gaussian PDF can be written as

F A product form where µY depends on x

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 Proof

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 Marginal PDF is Gaussian

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 Proof

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 Conditional Expectation is Linear
MMSE estimator is linear

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 Correlation Coefficient is ρ

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 Proof

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 Uncorrelated = Independent

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 More on Independence
n Let random variables X and Y both have Gaussian
distributions
n If X and Y are independent, then X and Y are jointly
Gaussian (i.e. the joint PDF of X and Y follows the
bivariate Gaussian distribution with ρ = 0)
n If X and Y are not independent, then X and Y being
Gaussian does not imply that X and Y are jointly Gaussian
(i.e. the joint PDF is not that in Definition 4.17)

F Example

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 Linear Combination is Gaussian
It means that both X and Y are Gaussian

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 Linear Combination is Gaussian (cont.)
Linear combination of U and V is Gaussian
based on the previous theorem

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