CHAPTER -1

Two Random Variables

 Two Random Variables

Outline
 Introduction
 The Joint Cumulative Distribution Function
 The Joint Probability Density and Mass Functions
 Marginal Statistics
 Independence
 Conditional Distributions
 Correlation and Covariance

2
 INTRODUCTION
 In many applications, it is very important to study two or more
random variable defined on the same sample space.
 In this lecture, we will consider only two random variables and
this concept can be extended to three or more random variables.
 Let Ω be the sample space of a random experiment and let X
and Y be two random variables.
 Then, the pair (X, Y) is called a two dimensional random
variable if each of X and Y associates a real number with every
element of Ω.
 Thus, a two dimensional random variable (X, Y) is a function
that assigns a point (x, y) in the xy-plane to each possible
outcome ω in the sample space.
3
Definition: Let S be the sample space of a random experiment. Let X and Y be two
r.v.'s. Then the pair (X, Y) is called a bivariate r.v. (or two-dimensional random
vector) if each of X and Y associates a real number with every element of S. Thus,
the bivariate r.v. (X, Y) can be considered as a function that to each point c in S
assigns a point (x, y) in the plane (Fig. 3-1). The range space of the bivariate r.v. (X,
Y) is denoted by Rxy, and defined by

4
 Example: 1
Consider the experiment of tossing a coin twice. The sample space is

S = {HH, HT, TH, TT}.

Let X denotes the number of heads obtained in the first toss and Y denote the number of
heads in the second toss. Then

(X, Y) is a two-dimensional random variable or Bi-Variate random variable.

The range space X is Rx, = (0, 1) and Y is RY, = (0, 1)

The range space of RXY is {(1,1), (1,0), (0,1), (0,0)} which is finite and so (X, Y) is a two-
dimensional discrete random variables.

5
 Example 2
Consider an experiment of tossing a fair coin twice. Let (X, Y) be a bivariate r.v.,
where X is the number of heads that occurs in the two tosses and Y is the
number of tails that occurs in the two tosses.
(a) What is the range Rx of X, Ry of Y?
(b) Find and sketch the range Rxy of (X, Y).
(c) Find P(X = 2, Y = 0), P(X = 0, Y = 2), and P(X = 1, Y = 1).
The sample space S of the experiment is S = {HH, HT, TH, TT)
(a) Rx, = (0, 1,2) , RY, = (0, 1,2)
(b) RXY = ((2, O), (1, I), (0, 2)) which is sketched in Fig. 3-2.
(c) Since the coin is fair, we have
P(X = 2, Y = 0) = P(HH} = 1/4
P(X = 0, Y = 2) = P{TT) = 1/4
P(X= 1, Y = 1)= P{HT, TH} = 1/2

6
The Joint Cumulative Distribution Function
 The joint CDF of two random variables X and Y denoted by
FXY(x, y) is a function defined by:

FXY ( x, y )  P[ X ( )  x and Y ( )  y ]
 FXY ( x, y )  P( X  x, Y  y )
where x and y are arbitrary real numbers.
Properties of the Joint CDF, FXY(x, y):
i. 0  FXY ( x, y )  1
ii. lim FXY ( x, y )  FXY (, )  1
x 
y 

iii. lim FXY ( x, y )  FXY (, )  0

x  
y  
7
The Joint Cumulative Distribution Function Cont’d…

iv. lim FXY ( x, y )  FXY ( , y )  0

x  

v. lim FXY ( x, y)  FXY ( x,)  0

y 

vi. P( x1  X  x2 , Y  y )  FXY ( x2 , y )  FXY ( x1 , y )

vii. P( X  x, y1  Y  y2 )  FXY ( x, y2 )  FXY ( x, y1 )

vii. P ( x1  X  x2 , y1  Y  y2 )  FXY ( x2 , y2 )

 FXY ( x2 , y1 )  FXY ( x1 , y2 )  FXY ( x1 , y1 )

8
The Joint Probability Density Function

 The joint probability function (PDF) of two continuous random

variables X and Y is defined as:

 2 FXY ( x, y )
f XY ( x, y ) 
xy

 Thus, the joint cumulative distribution function (CDF) is given

by:

FXY ( x, y )   
y x
f XY ( x, y )dxdy
- -

9
The Joint Probability Density Function Cont’d…..

Properties of the Joint pdf, fXY(x, y):

1. f XY ( x, y )  0
 
2.  
- -
f XY ( x, y )dxdy  1
y2 x2
3. P( x1  X  x2 , y1  Y  y2 )    f XY ( x, y )dxdy
y1 x1

10
The Joint Probability Mass Function

 The joint probability mass function (pmf) of two discrete

random variables X and Y is defined as:
PXY ( xi , y j )  P( X  xi , Y  y j )
 The joint cdf can be written as:

FXY ( x, y )    PXY ( xi , y j )
xi  x y j  y

Properties of the Joint pmf, PXY (xi , yj ):

1. 0  PXY ( xi , y j )  1
2.  P
xi yj
XY ( xi , y j )  1

11
Marginal Statistics of Two Random Variables

 In the case of two or more random variables, the statistics of

each individual variable are called marginal statistics.
i. Marginal cdf of X and Y
FX ( x)  lim FXY ( x, y)  FXY ( x, )
y 

FY ( y )  lim FXY ( x, y )  FXY (, y )

x 

ii. Marginal pdf of X and Y


f X ( x)   f XY ( x, y )dy
-

fY ( y )   f XY ( x, y )dx
-

12
Marginal Statistics of Two Random Variables Cont’d…..

iii. Marginal PMF of X and Y

P( X  xi )  PX ( xi )   PXY ( xi , yi )
yj

P(Y  y j )  PY ( y j )   PXY ( xi , yi )
xi

13
Independence of Two Random Variables
 If two random variables X and Y are independent, then
i. from the joint cdf

FXY ( x, y )  FX ( x) FY ( y )

ii. from the joint pdf

f XY ( x, y )  f X ( x) fY ( y )

iii.from the joint pmf

PXY ( xi , y j )  PX ( xi ) PY ( y j )

14
Condition Distributions
i. Conditional Probability Density Functions
 If X and Y are two continuous random variables with joint
pdf fXY(x, y), then the conditional pdf of Y given that X=x is
defined by:
f XY ( x, y )
fY / X ( y / x)  , f X ( x)  0
f X ( x)
 Similarly, the conditional pdf of X given that Y=y is defined
by:
f XY ( x, y )
f X / Y ( x / y)  , fY ( y )  0
fY ( y )

15
Condition Distributions Cont’d……
ii. Conditional Probability Mass Functions
 If X and Y are two discrete random variables with joint pmf
PXY(xi , yj), then the conditional pmf of X given that Y=yj is
defined by:
PXY ( xi , y j )
PX / Y ( xi / y j )  , PY ( y j )  0
PY ( y j )
 Similarly, the conditional pmf of Y given that X=xi is
defined by:
PXY ( xi , y j )
PY / X ( y j / xi )  , PX ( xi )  0
PX ( xi )

16
Correlation and Covariance
i. Correlation

RXY  Cor ( X , Y )  E ( XY )

ii. Covariance

 XY  Cov ( X , Y )  E[( X   X )(Y  Y )]

  XY  Cov ( X , Y )  E ( XY )  E ( X ) E (Y )

iii. Correlation Coefficient

Cov ( X , Y )  XY
 XY  
 XY  XY
17
Examples on Two Random Variables
Example-1:
The joint pdf of two continuous random variables X and Y is
given by:
kxy , 0  x  1, 0  y  1
f XY ( x, y )  
0 , otherwise
where k is a constant.
a. Find the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d. Find P( X  Y  1)
e. Find the conditiona l pdf of X and Y .
18
Examples on Two Random Variables Cont’d……
Solution:
  1 1
a.  
-  
f XY ( x, y )dxdy  1  
0 0  kxydxdy  1
1 x2 1
 k  y   1
0
 2 0
k 1  y 2 1 k
  ydy  k     1
2 0  4 0 4
k  4

19
Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

i. Marginal pdf of X
 1
f X ( x)   f XY ( x, y )dy   4 xydy
 0

 y2
1
 f X ( x)  4 x   2 x
 2 0
2 x , 0  x 1
 f X ( x)  
0, otherwise
20
Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

ii. Marginal pdf of Y
 1
fY ( y )   f XY ( x, y )dx   4 xydx
 0

 x2 1
 fY ( y )  4 y   2 y
 2 0
2 y , 0  y 1
 fY ( y )  
0, otherwise
21
Examples on Two Random Variables Cont’d……
Solution:
c. f XY ( x, y )  f X ( x) fY ( y )
 X and Y are independent
1 1 y 1  x2 1
d . P( X  Y  1)    4 xydxdy   4 y  dy
0 0 0
 2 0
  4 y[1 / 2(1  y ) ]dy   2( y  2 y 2  y 3 )dy
1 1
2
0 0

 2( y / 2  2 y / 3  y / 4)  1 / 6
2 3 4

 P( X  Y  1)  1 / 6

22
Examples on Two Random Variables Cont’d……
Solution:

e. Conditiona l pdf of X and Y

i. Conditiona l pdf of X
f XY ( x, y ) 4 xy
f X / Y ( x / y)    2x
fY ( y ) 2y

2 x, 0  x  1, 0  y  1
 f X / Y ( x / y)  
0, otherwise

23
Examples on Two Random Variables Cont’d……
Solution:

e. Conditiona l pdf of X and Y

ii. Conditiona l pdf of Y
f XY ( x, y ) 4 xy
fY / X ( y / x)    2y
f X ( x) 2x

2 y, 0  x  1, 0  y  1
 fY / X ( y / x)  
0, otherwise

24
Examples on Two Random Variables Cont’d……

Example-2:
The joint pdf of two continuous random variables X and Y is
given by:
0<y<1,
 k , 0  y  x  1
f X ( x)   y<x<1
0, otherwise
where k is a constant.
a. Determine the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d. Find P(0  X  1 / 2)
e. Find the conditiona l pdf of X and Y .
25
 Examples on Two Random Variables Cont’d……
Solution:

 
  f XY ( x, y )dxdy  1    kdxdy  1
1 1
a.
-   0 y

1
 k  x   1
1

0 y
 y 2 1 k
 k  (1  y )dy  k  y     1
1

0
 2 0 2
k  2

26
Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

i. Marginal pdf of X
 x
f X ( x)   f XY ( x, y )dy   2dy
 0

x
 f X ( x)  2 y   2 x
0
2 x , 0  x 1
 f X ( x)  
0, otherwise
27
Examples on Two Random Variables Cont’d……
Solution:

b. Marginal pdf of X and Y

ii. Marginal pdf of Y
 1
fY ( y )   f XY ( x, y )dx   2dx
 y

1
 fY ( y )  2 x   2(1  y )
y
2(1  y ), 0  y 1
 fY ( y )  
0, otherwise
28
Examples on Two Random Variables Cont’d……
Solution:
c. f XY ( x, y )  f X ( x) fY ( y )
 X and Y are not independent
d . P(0  X  1 / 2)   
1/ 2 x
f XY ( x, y )dydx
0 0

1/ 2 x 1/ 2 x
  2dydx   (2 y ) dx
0 0 0 0
1/ 2 1/ 2
 2 xdx  x  1/ 4 2
0 0
 P(0  X  1 / 2)  1 / 4
29
Examples on Two Random Variables Cont’d……
Solution:

e. Conditiona l pdf of X and Y

i. Conditiona l pdf of X
f XY ( x, y ) 2 1
f X / Y ( x / y)   
fY ( y ) 2(1  y ) (1  y )
 1
 , 0  y  x 1
 f X / Y ( x / y )  1  y
0,
 otherwise

30
Examples on Two Random Variables Cont’d……
Solution:

e. Conditiona l pdf of X and Y

ii. Conditiona l pdf of Y
f XY ( x, y ) 2 1
fY / X ( y / x)   
f X ( x) 2x x
1
 , 0  y  x 1
 fY / X ( y / x)   x
0, otherwise

31
Examples on Two Random Variables Cont’d……

Example-3:
The joint pmf of two discrete random variables X and Y is given
by:
k (2 xi  y j ) , xi  1, 2; y  1, 2
PXY ( xi , y j )  
0 , otherwise
where k is a constant.
a. Find the value of k .
b. Find the marginal pmf of X and Y .
c. Are X and Y independen t?

32
Examples on Two Random Variables Cont’d……
Solution:

a.  P
xi yj
XY ( xi , y j )  1

2 2
   k (2 xi  y j )  1
xi 1 y j 1

 k[(2  1)  (2  2)  (4  1)  (4  2)]  1
 18k  1
 k  1 / 18
33
Examples on Two Random Variables Cont’d……
Solution:
b. Marginal pmf of X and Y
i. Marginal pmf of X
2
1
PX ( xi )   PXY ( xi , y j )   (2 xi  y j )
yj y j 118

1 1
 PX ( xi )  (2 xi  1)  (2 xi  2)
18 18
1
 (4 xi  3), xi  1, 2
 PX ( xi )  18

0, otherwise 34
Examples on Two Random Variables Cont’d……
Solution:
b. Marginal pmf of X and Y
ii. Marginal pmf of Y
2
1
PY ( y j )   PXY ( xi , y j )   (2 xi  y j )
xi xi 1 18

1 1
 PY ( y j )  (2  y j )  (4  y j )
18 18
1
 (2 y j  6), y j  1, 2
 PY ( y j )  18

0, otherwise 35
Examples on Two Random Variables Cont’d……
Solution:

c. PXY ( xi , y j )  PX ( xi ) PY ( y j )
 X and Y are not independent.

36
Assignment-II on Two Random Variables
1 The joint pdf of two continuous random variables X and Y is
given by:

ke x e 2 y , x  0, y  0
f XY ( x, y )  
0 , otherwise
where k is a constant.
a. Determine the value of k .
b. Find the marginal pdf of X and Y .
c. Are X and Y independent?
d. Find the following probabilit ies.
i. P( X  Y  8) iii. P( X  Y  10)
ii. P( X  Y ) iv. P( X 2  Y )
37
2 The random variables X and Y have joint pdf given by:

k sin( X  Y ) , 0  x   / 2, 0  y   / 2
f XY ( x, y )  
0 , otherwise
where k is a constant.
Find
a. the value of k .
b. the joint cdf of X and Y .
c. the marginal pdf of X and Y .
d . the mean, variance and covariance of X and Y .

38
3. Suppose that two continuous random variables X and Y have
joint pdf given by:
k ( 2 x  y ) , 2  x  6, 0  y  5
f XY ( x, y )  
0 , otherwise
where k is a constant.
a. Find the constant k .
b. Find the joint cdf of X and Y .
c. Find the marginal cdf and pdf of X and Y .
d. Are X and Y independent?
e. Find the conditiona l pdf of X and Y .
e. Evaluate the following probabilit ies.
i. P(3  X  4, Y  2) iii. P( X  Y  4)
ii. P( X  3) iv. P(0  Y  2) 39
4 Let the joint pmf of two discrete random variables X and Y is
given by:
k ( xi  y j ) , xi  1, 2, 3; y  1, 2
PXY ( xi , y j )  
0 , otherwise
where k is a constant.
a. Find the value of k .
b. Find the marginal pmf of X and Y .
c. Are X and Y independent?

40
Example : Air Conditioner Maintenance

A company that services air conditioner units in residences and office blocks is
interested in how to schedule its technicians in the most efficient manner. The random
variable X, taking the values 1,2,3 and 4, is the service time in hours .The random
variable Y, taking the values 1,2 and 3, is the number of air conditioner units

Y= X=service time • Joint p.m.f

numbe
r of 1 2 3 4
 p
i j
ij 0.12  0.18
units
  0.07  1.00
1 0.12 0.08 0.07 0.05 • Joint cumulative distribution function

2 0.18 0.15 0.21 0.13 F (2,2)  p11  p12  p21  p22

3 0.01 0.01 0.02 0.07  0.12  0.18  0.08  0.15
 0.43
41
– Marginal p.m.f of X
3
P( X  1)   p1 j  0.12  0.08  0.01  0.21
j 1
– Marginal p.m.f of Y
4
P(Y  1)   pi1  0.12  0.08  0.07  0.05  0.32
i 1
– Marginal probability distribution of Y
P(Y  3)  p3  0.01  0.01  0.02  0.07  0.11

– Conditional distribution of X
p13 0.01
p1|Y 3  P( X  1| Y  3)    0.091
p3 0.11

42
 Independence and Covariance

• Covariance

Cov( X , Y )  E (( X  E ( X ))(Y  E (Y )))

 E ( XY )  E ( X ) E (Y )

Cov( X , Y )  E (( X  E ( X ))(Y  E (Y )))

 E ( XY  XE (Y )  E ( X )Y  E ( X ) E (Y ))
 E ( XY )  E ( X ) E (Y )  E ( X ) E (Y )  E ( X ) E (Y )
 E ( XY )  E ( X ) E (Y )
– May take any positive or negative numbers.
– Independent random variables have a covariance of zero

43
• Example (Air conditioner maintenance)

E ( X )  2.59, E (Y )  1.79
4 3
E ( XY )   ijpij
i 1 j 1

 (11 0.12)  (1 2  0.08)

  (4  3  0.07)  4.86
Cov( X , Y )  E ( XY )  E ( X ) E (Y )
 4.86  (2.59 1.79)  0.224
Var( X )  1.162, Var(Y )  0.384
Cov( X , Y )
Corr( X , Y ) 
Var( X )Var(Y )
0.224
  0.34
1.162  0.384
44