Jointly Distributed Random Variables

So far we talked about one random variable and its distribution.

Often, however, we may need to study the distribution of two or more random
variables.

Such distributions are called joint (cumulative) distributions.

For discrete random variables we have joint probability mass functions and for
continuous variables we have joint probability density functions.

Here, we will restrict ourselves to discussing joint distributions of only two random
variables.
 Bivariate Distributions of Discrete Type
Let X and Y be discrete random variables.

The joint probability mass function Pxy(x ,y), or simply, p(x,y) is defined )s
~l ~ f~~
rt:"'> p(x, y) = P(X = x, Y = y)

The'jojnt mass fu~ction has the following properties: ' ., · · -1

7L
-)
O <p(x,y)<l / -.

L
(x,y ) ES
p(x,y) =1 Sis the space of (x, y)

P[(X, Y) EA]= L
(x,y ) EA
p(x,y) Ac S
 Discrete Bivariate Distributions (Contd.)
Let the joint prob9ibir ty mas1 unction(6e p(x,y) = P(X = X, y = Y!· , ~
f ")Ci ( ~ ) •i
-:; 1
r X-:;. ~ ~ f t::: ?t > '( l,l.c..,.._ b< ~ht ~ .
From i=his one can determine the pmf of X alone and pmf of Yalone (often
referred to as the marginal distr ibution) as fo llows:

Px(x) = P(X = x) =
4
L p(x, y)
y: p (x,y) >O .====-
x E Sx

=
~
py(y) = P(Y = y) = L p(x,y) y E Sy
~ ·x: p (x,y) >O
 Example 18.1 -r" w =- 1 2.. !
~alls are randomly selected from a box containing ! red, 4 white and 5
blue balls. R and W, respectively denote the number of red balls and the
number of white balls chosen. Determine, (a) the joint pmf, !!S!:.1). = P(R =
i, W = j), and (b) PR(i) and PwU). Ji (i j)
✓ ✓ ✓ ✓rfl. w >
Note, S = {(0,0), (0,1), (0,2), (0,3), (1,0), (1,1), (1,2), (2,0), (2,1), (3,0)} >
J
G) 10 / G)G) 40
p(O,O) = (132) = 220; p(o,1) = (\2) = 220 v(
(!) 4
p(0,3) = (132) = 220 ;v

(3)( 4 ) 18 l J Row sum

p(l,2) = (132) = 220 ; =P(R=,)
0 1 2 3
10/220 - -- 84/220 -
-
G)G) 1s 0 40/220 30/220 --
,,...
p( 2 ,0) = (1}) = 220 ; 1 30/220 60/220 108/220

G)C1) 12 2 15/220 · - ,-27 /220

p(2,1) = (\2) = 220 ; 3 1/220 -- i /220

CD 1
p(3,0) = (132) = 220;
Col. sum 56/220
=P(W=1)
112/220 48/220 4/22b
 Example 18. 2
2
= x~ = 1, 2, 3 y = 1, 2. Find (a) k,
The joint pmf of X and Y is p (x, y )
(b) Px(x ) a:::.c) py(y) . S: [ ( 1~ 1 )
x
2 /3
(, ~) , ( '½ 1), ( 1 2,.)
1 1
:>.,\
1 O}-j
.J

(a) fLL
fk xy 2
= 1;
1 r ,, r
k [(1 + 2 + 3)
/ /
+ (4 + 8
r
+ 12)] = k = 1;
30
k = 30
y=lx= l

X = 1,2,3.

r
An aside:
X y2 xy 2
Here, Px(x)py(y) = -6 x -5 = -3 0 = p(x,y)
Example 18. 3
The joint pmf of X and Y is p(x, y) @ x = 1, 2, 3 y = 1, 2. Find (a)
Px(x) and (b) py(y).

2
~ x+y x+l x+2
(a) Px(x) = L, 21 = 21 + 21 X = 1,2,3.
y =1

"1'l r- ;(2-1)
f x+y 1~ ~ //
(b) Pv(Y) = 6i 21 = 21 + 21 + 21 =~~ y = 1,2.

An aside:

- * p(x,y)
z+y
Here, Px(x)py(y) = -2x+3
21
x 7
 Bivariate Distributions of Continuous Type
Let X and Y be continuous random variables.

The joint probability density function fxy(.x,y), or simply, f(x,y) is an integrable

function with the following properties:

f(x,y) > 0 where, f(x,y) = O when (x,y) is not in the support or space, 5

00 00

f f f(x,y)dxdy= 1
- 00 - 00

P[(X, Y) EA] =ff f(x, y)dxdy

A
 Continuous Bivariate Distributions (Contd.)
Let the joint probab ility density function be f (x, y).

From this one can determine the pdf of X alone and pdf of Y alone (often referred
to as the marginal d istribution) as follows :
00

fx(x) = Jf(x,y)dy x E Sx
-00

00

fy(y) = Jf(x, y)dx y E Sy

-00

The joint d istribution funct ion can be obtained as:

b a

F(a, b) = P(X < a, Y < b) = P(X E (-co, a], YE (-co, b]) = J Jf(x, y)dxdy
- 00 - 00

a2
Of course, aaab F(a, b) = f(a, b)
 Continuous Bivariate Distributions (Contd.)
Note:

Fx(a) = F(a, oo) and Fy (b) = F(oo, b)

I
-----

2 X
 Example 18.4
The joint pdf of X and Y is f (x, y) = 2e- xe - 2 Y O< x < oo O< y < oo.
Find (a) P(X>l, Y<l}, (b) fx(x), (c) fvCY), and (d) P(X<a).

(a) P(X > 1, Y < 1) =If

1 0 /
I
2e-xe- 2Ydydx = £e_: ( e;Y
1
0

1
) dx

00

= Je-xc1~ )dx = (l - e- 2 )e-xl~ = (1 - e- 2 )e- 1

1

00
a
(b) ~= J2e-xe- 2
Ydy = e-v{/oJ O< x < oo (d) P (X < a) = Je -x dx =l - e -a
0 0

00

(c) fy(y) = J2e-xe- 2

Y dx = 2e- 2Y O<y<oo
0

, .
An aside:
Here, fx(x)fv(Y) = e-x x 2e- 2 Y = f (x, y)