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Two-Dimensional Random Variables Overview

Two-dimensional random variables are pairs of random variables (X,Y) defined on a sample space. They can be discrete if their possible values are finite or countably infinite, or continuous if they can assume any values in a specified region. The joint probability distribution F(x,y) gives the probability that X ≤ x and Y ≤ y. For discrete variables, this is a table of probabilities. For continuous variables, it is a joint probability density function f(x,y). Two variables are independent if their joint distribution factors into the product of their marginal distributions. Covariance measures the degree of linear relationship between two variables.

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13 views29 pages

Two-Dimensional Random Variables Overview

Two-dimensional random variables are pairs of random variables (X,Y) defined on a sample space. They can be discrete if their possible values are finite or countably infinite, or continuous if they can assume any values in a specified region. The joint probability distribution F(x,y) gives the probability that X ≤ x and Y ≤ y. For discrete variables, this is a table of probabilities. For continuous variables, it is a joint probability density function f(x,y). Two variables are independent if their joint distribution factors into the product of their marginal distributions. Covariance measures the degree of linear relationship between two variables.

Uploaded by

Aftab Khan
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© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd

Two Dimensional Random Variables

Two Dimensional Random Variables


Definition:
Let S be a sample space associated with a random experiment
E. Let X and Y be two random variables defined on S. then the pair (X,Y)
is called a Two – dimensional random variable.
The value of (X,Y) at a point s  S is given by the ordered pair of
real numbers (X(s), Y(s)) = (x, y) where X(s) = x, Y(s) = y.
Two – Dimensional discrete random variable:
If the possible values of (X,Y) are finite or countably infinite,
then (X,Y) is called a two-dimensional discrete random variable. When
(X,Y) is a two-dimensional discrete random variable the possible values
of (X,Y) may be represented as (xi, yj), i= 1, 2, 3, …n, j = 1, 2, 3, …m.
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

s HH HT TH TT
X(s) 1 1 0 0
Y(s) 1 0 1 0

(X, Y) is a two-dimensional random variable or bi-variate random variable.


The range space of (X, Y) is {(1,1), (1,0), (0,1), (0,0)} which is finite and so
(X, Y) is a two-dimensional discrete random variables.
Joint Probability Distribution
The probabilities of the two events A   X  x and B  Y  y have
defined as functions of x and y respectively called probability distribution functions.
F ( x)  P  X  x  and F ( y )  P Y  y 
x y

Joint Probability Distribution of two random variables X and Y:


The Joint Probability Distribution of two random variables X and Y is
defined as F ( x, y )  P  X  x, Y  y
X ,Y

Properties of the joint distribution:


A joint distribution function for the two random variables X and Y has
several properties

1. F (, )  0; F (, y )  0; F ( x, )  0


X ,Y X ,Y X ,Y

2. F (, ) 1
X ,Y

3.0  F ( x, y ) 1
X ,Y

4. F ( x, y ) is a non  decrea sin g function of x and y and so on..


X ,Y
Joint probability function of Discrete R.V

The Marginal probability function is defined as

• And the conditional probability function is defined as

5
Independence
Definition: Independence
Two random variables X and Y are defined to be independent if

if X and Y are discrete

Thus, in the case of independence


marginal distributions ≡ conditional distributions
6
Two – Dimensional continuous random variable:
If (X,Y) can assume all values in a specified region R in XY plane (X,Y) is
called a two-dimensional continuous random variable.

9
Joint probability function

• For a Continuous RV, the joint probability function:


f(x,y) = Pf[X = x, Y = y]

• Marginal distributions

• Conditional distributions

10
Independence
Definition: Independence
Two random variables X and Y are defined to be independent if

if X and Y are discrete

if X and Y are continuous

Thus, in the case of independence


marginal distributions ≡ conditional distributions
11
The Multiplicative Rule for densities

if X and Y are discrete

if X and Y are continuous

12
16
22
Covariance between X & Y
• Covariance = 0 for independent X, Y
• Positive for large X with large Y
• Negative for large X with small Y (vice versa)
• Formula is similar to our familiar variance formula
25
26

Common questions

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The marginal distribution of a random variable is the probability distribution of each variable individually, which can be derived by summing the joint distribution over all possible values of the other variable. For discrete random variables X and Y, the marginal probability function for X, f_X(x), is obtained by summing the joint probability function f(x,y) over all y, and similarly for Y. It provides insights into individual behavior without considering the interaction with the other variable .

A two-dimensional random variable is a pair of random variables (X,Y) defined on a sample space S of a random experiment, represented as (X(s), Y(s)) = (x, y). The difference between discrete and continuous types is that for discrete two-dimensional random variables, the possible values are finite or countably infinite, and for continuous types, the variables can assume all values in a specified region in the XY plane .

Conditional probability functions for two-dimensional random variables represent the probability of one variable occurring given a specific value of the other variable. For discrete variables, this is calculated by dividing the joint probability by the marginal probability of the given value. These functions are essential for assessing how the presence of one variable affects the probability distribution of the other, thus providing insights into the relationships and dependencies between variables .

Two random variables X and Y are defined to be independent if the joint probability function of X and Y can be expressed as the product of the marginal probabilities for all x and y. This implies that the occurrence of one event does not affect the probability of the occurrence of the other . The significance of independence is that marginal distributions are equal to conditional distributions, meaning knowledge of one variable provides no information about the other .

Covariance is a measure of the joint variability of two random variables X and Y. It indicates the direction of the linear relationship: positive covariance implies that large values of X correspond to large values of Y, and negative covariance implies that large values of X correspond to small values of Y. Covariance is zero for independent variables. It is calculated using a formula similar to the variance formula, incorporating the means of the variable products .

For two-dimensional continuous random variables, the joint probability function f(x,y) is defined as the probability density function that takes on specific values x and y simultaneously. It represents the likelihood of the random variables X and Y occurring together at particular values and is used to derive both the marginal and conditional distributions .

In the experiment of tossing a coin twice, the sample space consists of outcomes {HH, HT, TH, TT}. By defining X as the number of heads in the first toss and Y as the number of heads in the second toss, the ordered pair (X,Y) forms a two-dimensional discrete random variable. The possible outcomes, such as (1,1), (1,0), (0,1), (0,0), are finite, reflecting the joint behavior of the two variables in the finite sample space .

The multiplicative rule in the context of density functions signifies that if X and Y are independent random variables, whether discrete or continuous, their joint probability density function can be expressed as the product of their marginal density functions. This rule highlights the independence of the random events, reinforcing that the statistical behavior of one variable does not affect the other .

The joint distribution function F(x,y) for two random variables X and Y has several important properties: it is a non-decreasing function of x and y; F(x,y) equals 1 as x and y approach infinity; and for any real numbers x and y, 0 <= F(x,y) <= 1, reflecting the probability measures .

The joint probability distribution is crucial for understanding how two random variables X and Y interact together. It provides the probability of each pair of outcomes, thus giving complete information about the likelihood of any combination of events involving X and Y occurring simultaneously. This information can be used to derive conditional distributions, understand the dependence between variables, and calculate other properties like covariance .

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