Multivariate Statistics

• Joint Probability Distribution: (Case of Discrete Random Variables)

(There are situations where we are interested at the same time in more than one
random variable. For Example: If we randomly choose 200 students from a
school, then school principal may be interested in their I.Q.’s, school nurse in
their weights, their teachers in the number of days they have been absent, and so
forth. Hence there arise a need for joint probability distribution)
➢ Bivariate case → a pair of random variables, Multivariate case → More than
two random variables.
Example 1: Two balls are selected at random from a box containing 3 red, 2 green, and 4
black balls. If X and Y are, respectively, the numbers of red and green balls included
among the 2 balls drawn from the box, find the probabilities associated with all possible
pairs of values of X and Y.
Solution: Red Green Black
Possible pairs are (0,0),(0,1),(0,2),(1,0),(1,1) and (2,0).
How probabilities are calculated? 0 0 2
Probability of pair (1,0) is: 0 1 1
number of ways choosing 1 red and 0 green are 0 2 0
3 2 4
1 0 1
= 12 1 0 1
total ways of choosing 2 balls from the box are 1 1 0
9
2
= 36 2 0 0
3 2 4
1 0 1 12 1
It follows, P(X=1,Y=0) = 9 = = (as P(A) = n(A)/ n(S))
2 36 3
 3 2 4
6 1
Similarly, prob. of pair (1,1) is: P(X=1,Y=1) = 1 1
9
0
= =
2 36 6
(Red)
Therefore, joint probability distribution of X and Y is:

This can also be written as in the form of a

function f(x, y) = P(X = x, Y = y)
(Green)
✓ A joint probability distribution should always have following two properties:

Example 2: Determine the value of k for which the function given by 𝑓(𝑥, 𝑦) = 𝑘𝑥𝑦 ,
for 𝑥 = 1, 2, 3; 𝑦 = 1, 2, 3, can serve as a joint probability distribution.
Solution: We have,
f (1, 1) = k, f (1, 2) = 2k, f (1, 3) = 3k, f (2, 1) = 2k, f (2, 2) = 4k, f (2, 3) = 6k, f (3, 1) =
3k, f (3, 2) = 6k, and f (3, 3) = 9k.
1
By above theorem, k+2k+3k+2k+4k+6k+3k+6k+9k = 1 implies → k = .
36
• Joint Probability density function: (Case of Continuous Random Variables)

✓ Properties:
Example 3: Given the joint probability density function

of two random variables X and Y, find P[(X,Y) ∈ A], where A is the region
{(x, y)|0< x< 1/2, 1< y <2}.
Solution:
• Joint Probability Distribution (Multivariate Case):
(Bivariate case can be easily generalized to multivariate case where there are 𝑛
random variables)
✓ The joint probability distribution of n discrete random variables 𝑋1 , 𝑋2 , . . ., and
𝑋𝑛 are given by:
𝑓 𝑥1 , 𝑥2 , … , 𝑥𝑛 = 𝑃(𝑋1 = 𝑥1 , 𝑋2 = 𝑥2 , … , 𝑋𝑛 = 𝑥𝑛 )

Example 4: If the joint probability distribution of three discrete random variables

X, Y, and Z is given by

Then, find P(X = 2,Y +Z ≤ 3).

Solution:
Possible triplets for P(X = 2,Y +Z ≤ 3) are (2,1,1), (2,1,2) and (2,2,1)
Now, P(X = 2,Y +Z ≤ 3) = f(2,1,1) + f(2,1,2) + f(2,2,1)
3 6 4 13
= + + =
63 63 63 63

**************************** ASSIGNMENT ****************************

Exercise 1: If the values of the joint probability distribution of X and Y are as shown in the table
(on right), Then find
(a) P(X = 1,Y = 2) (b) P(X = 0, 1 ≤ Y <3)
(c) P(X +Y ≤ 1) (d) P(X >Y)

Exercise 2: If the joint probability distribution of X and Y is given by

𝑓 𝑥, 𝑦 = 𝑐(𝑥 2 + 𝑦 2 ) ,
for 𝑥 = −1,0,1,3; and 𝑦 = −1,2,3. Find the value of c.
Exercise 3: If the joint probability distribution of X and Y is given by
1
𝑓 𝑥, 𝑦 = (𝑥 + 𝑦) ,
30
for 𝑥 = 0,1,2,3; and 𝑦 = 0,1,2. Construct a table showing the values of the joint distribution
function of the two random variables at the 12 points (0, 0), (0, 1), . . . , (3, 2).
Exercise 4: Determine k so that

can serve as a joint probability density function.

Exercise 5: If the joint probability density of X and Y is given by

Then, find P(X ≤ 1/2 ,Y ≤ 1/2)

• Marginal Distribution:
Example 5: (Recall Example 1: Two balls are selected at random from a box containing 3 red, 2
green, and 4 black balls. If X and Y are, respectively, the numbers of red and green balls included among
the 2 balls drawn from the box, find the probabilities associated with all possible pairs of values of X and
Y.)
Joint probability distribution of red and green balls was given by:
(Red)

(Green)

Now, Find out marginal distribution of X and Y i.e., marginal distribution of

selection of red balls and selection of green balls.
Solution:
Marginal distribution is nothing but taking sum of respective rows and columns form joint
probability distribution’s table.
Marginal distribution of X (Selection of red balls) (Red)

x=0 x=1 x=2

(column sums)
5/12 1/2 1/12
(Green)
Marginal distribution of Y (Selection of green balls)

y=0 y=1 y=2

(row sums)
7/12 7/18 1/36