Complex Analysis, Probability and Statistical Methods

(Subject code: BCS301)

Module 2: Joint probability distribution and Markov chain

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Syllabus:

2.1 Joint Probability distribution

Introduction:

❖ Let 𝑋 = {𝑥1 , 𝑥2 , … , 𝑥𝑚 } and 𝑌 = {𝑦1 , 𝑦2 , … , 𝑦𝑛 } be two discrete random variables. Then

𝑃(𝑥, 𝑦) = 𝐽𝑖𝑗 is called joint probability function of X and Y if it satisfies the conditions:
𝑚 𝑛

(𝑖) 𝐽𝑖𝑗 ≥ 0 (𝑖𝑖) ∑ ∑ 𝐽𝑖𝑗 = 1

𝑖=1 𝑗=1
.
❖ Set of values of this joint probability function 𝐽𝑖𝑗 is called joint probability distribution of
X and Y.
X\Y 𝑦1 𝑦2 … 𝑦𝑛 𝑆𝑢𝑚
𝑥1 𝐽11 𝐽12 … 𝐽1𝑛 𝑓(𝑥1 )
𝑥2 𝐽21 𝐽22 … 𝐽2𝑛 𝑓(𝑥2 )
… … … … … …
𝑥𝑚 𝐽𝑚1 𝐽𝑚2 … 𝐽𝑚𝑛 𝑓(𝑥𝑚 )
𝑆𝑢𝑚 𝑔(𝑦1 ) 𝑔(𝑦2 ) … 𝑔(𝑦𝑛 ) 𝑇𝑜𝑡𝑎𝑙 = 1

❖ Marginal probability distribution of X

𝑥1 𝑥2 … 𝑥𝑛
𝑓(𝑥1 ) 𝑓(𝑥2 ) … 𝑓(𝑥𝑛 )

Where 𝑓(𝑥1 ) + 𝑓(𝑥2 ) + ⋯ + 𝑓(𝑥𝑛 ) = 1

Dr. Narasimhan G, RNSIT 1

 ❖ Marginal probability distribution of Y
𝑦1 𝑦2 … 𝑦𝑛
𝑔(𝑦1 ) 𝑔(𝑦2 ) … 𝑔(𝑦𝑛 )

Where 𝑔(𝑦1 ) + 𝑔(𝑦2 ) + ⋯ + 𝑔(𝑦𝑛 ) = 1

❖ The discrete random variables X and Y are said to be independent random variables if
𝑓(𝑥𝑖 )𝑔(𝑦𝑗 ) = 𝐽𝑖𝑗 .

Important results:
❖ Expectations:
𝑚 𝑛 𝑚 𝑛

𝐸(𝑥) = ∑ 𝑥𝑖 𝑓(𝑥𝑖 ) 𝐸(𝑦) = ∑ 𝑦𝑗 𝑔(𝑦𝑗 ) 𝐸(𝑥𝑦) = ∑ ∑ 𝑥𝑖 𝑦𝑗 𝐽𝑖𝑗

𝑖=1 𝑗=1 𝑖=1 𝑗=1

❖ Covariance:
𝐶𝑜𝑣(𝑥, 𝑦) = 𝐸(𝑥𝑦) − 𝐸(𝑥)𝐸(𝑦)

❖ Variance:
𝑉𝑎𝑟(𝑥) = 𝐸(𝑥 2 ) − [𝐸(𝑥)]2 𝑉𝑎𝑟(𝑦) = 𝐸(𝑦 2 ) − [𝐸(𝑦)]2

❖ Standard deviation:
𝜎𝑥 = √𝑉𝑎𝑟(𝑥) 𝜎𝑦 = √𝑉𝑎𝑟(𝑦)

❖ Correlation of X and Y:
𝐶𝑜𝑣(𝑥, 𝑦)
𝜌(𝑥, 𝑦) =
𝜎𝑥 𝜎𝑦

❖ If X and Y are independent then 𝐸(𝑥𝑦) = 𝐸(𝑥)𝐸(𝑦).

Dr. Narasimhan G, RNSIT 2

 X\Y -4 2 7
1. The joint distribution of random variables X and Y is
1 1/8 1/4 1/8
5 1/4 1/8 1/8
Find (i) Marginal distribution of X and Y. (ii) 𝑬(𝒙), 𝑬(𝒚) (iii) Are X and Y
independent random variables? (iv) 𝑪𝒐𝒗(𝒙, 𝒚) (v) 𝝈𝒙 , 𝝈𝒚 (vi) 𝝆(𝒙, 𝒚)

𝑥\𝑦 −4 2 7 𝑓(𝑥)
1 1/8 1/4 1/8 1/2
5 1/4 1/8 1/8 1/2
𝑔(𝑦) 3/8 3/8 1/4 𝑇𝑜𝑡𝑎𝑙 = 1

(i) Marginal probability distribution of X: 𝑥 1 5

𝑓(𝑥) 1/2 1/2

Marginal probability distribution of Y: 𝑦 −4 2 7

1 1 𝑔(𝑦) 3/8 3/8 1/4
(ii) 𝐸(𝑥) = Σ𝑥𝑓(𝑥) = 1 (2) + 5 (2) = 3
3 3 1
𝐸(𝑦) = Σ𝑦𝑔(𝑦) = −4 (8) + 2 (8) + 7 (4) = 1

(iii) 𝐸(𝑥𝑦) = ΣΣ𝑥𝑖 𝑦𝑗 𝐽𝑖𝑗

1 1 1 1 1 1
= 1(−4) (8) + 1(2) (4) + 1(7) (8) + 5(−4) (4) + 5(2) (8) + 5(7) (8)
4 4 7 10 35 3
= −8+8+8−5 + + =2
8 8

𝐸(𝑥)𝐸(𝑦) = 3(1) =3. Therefore, 𝐸(𝑥𝑦) ≠ 𝐸(𝑥)𝐸(𝑦).

Therefore, 𝑥 𝑎𝑛𝑑 𝑦 are not independent variables.
3 3
(iv) 𝐶𝑜𝑣 (𝑥, 𝑦) = 𝐸(𝑥𝑦) − 𝐸(𝑥)𝐸(𝑦) = 2 − 3(1) = − 2 .
1 1
(v) 𝐸(𝑥 2 ) = Σ𝑥 2 𝑓(𝑥) = 12 (2) + 52 (2) = 13
3 3 1 79
𝐸 (𝑦 2 ) = Σ𝑦 2 𝑔(𝑦) = (−4)2 (8) + 22 (8) + 72 (4) = 4

𝜎𝑥 = √𝐸(𝑥 2 ) − [𝐸(𝑥)]2 = √13 − 32 = 2

79
𝜎𝑦 = √𝐸(𝑦 2 ) − [𝐸(𝑦)]2 = √ 4 − 12 = 4.33

𝐶𝑜𝑣(𝑥,𝑦) 1.5
(vi) 𝜌(𝑥, 𝑦) = = − 8.66 = −0.1732
𝜎𝑥 𝜎𝑦

Dr. Narasimhan G, RNSIT 3

 x y -3 2 4
2. Find the joint distribution of X and Y is as follows:
1 0.1 0.2 0.2
3 0.3 0.1 0.1

Find (i) Marginal distribution of X and Y. (ii) 𝑬(𝒙), 𝑬(𝒚) (iii) Are X and Y
independent random variables? (iv) 𝑪𝒐𝒗(𝒙, 𝒚) (v) 𝝈𝒙 , 𝝈𝒚 (vi) 𝝆(𝒙, 𝒚)
𝑥\𝑦 −3 2 4 𝑓(𝑥)
1 0.1 0.2 0.2 0.5
3 0.3 0.1 0.1 0.5
𝑔(𝑦) 0.4 0.3 0.3 𝑇𝑜𝑡𝑎𝑙 = 1
(i) Marginal probability distribution of X: 𝑥 1 3
𝑓(𝑥) 0.5 0.5

𝑦 −3 2 4
Marginal probability distribution of Y:
𝑔(𝑦) 0.4 0.3 0.3

(ii) 𝐸(𝑥) = Σ𝑥𝑓(𝑥) = 1(0.5) + 3(0.5) = 2

𝐸(𝑦) = Σ𝑦𝑔(𝑦) = −3(0.4) + 2(0.3) + 4(0.3) = 0.6

(iii) 𝐸(𝑥𝑦) = ΣΣ𝑥𝑖 𝑦𝑗 𝐽𝑖𝑗 = 1(−3)(0.1) + 1(2)(0.2) + 1(4)(0.2)

+3(−3)(0.3) + 3(2)(0.1) + 3(4)(0.1)
= −0.3 + 0.4 + 0.8 − 2.7 + 0.6 + 1.2 = 0
𝐸(𝑥𝑦) = 0 , 𝐸(𝑥)𝐸(𝑦) = 2(0.6) = 1.2
Therefore, 𝐸(𝑥𝑦) ≠ 𝐸(𝑥)𝐸(𝑦).
Therefore, 𝑥 𝑎𝑛𝑑 𝑦 are not independent variables.
(iv) 𝐶𝑜𝑣 (𝑥, 𝑦) = 𝐸(𝑥𝑦) − 𝐸(𝑥)𝐸(𝑦) = 0 − 1.2 = −1.2
(v) 𝐸(𝑥 2 ) = Σ𝑥 2 𝑓(𝑥) = 12 (0.5) + 32 (0.5) = 5
𝐸(𝑦 2 ) = Σ𝑦 2 𝑔(𝑦) = (−3)2 (0.4) + 22 (0.3) + 42 (0.3) = 9.6
𝜎𝑥 = √𝐸(𝑥 2 ) − [𝐸(𝑥)]2 = √5 − 22 = 1

𝜎𝑦 = √𝐸(𝑦 2 ) − [𝐸(𝑦)]2 = √9.6 − 0.62 = 3.0397

𝐶𝑜𝑣(𝑥,𝑦) 1.2
(vi) 𝜌(𝑥, 𝑦) = = − 3.0397 = −0.3948
𝜎𝑥 𝜎𝑦

Dr. Narasimhan G, RNSIT 4

3. Find the joint distribution of X and Y which are the independent random variables
with the following respective distributions.

𝒙𝒊 1 2 𝒚𝒋 -2 5 8
𝒇(𝒙𝒊 ) 0.7 0.3 𝒈(𝒚𝒋 ) 0.3 0.5 0.2

Since X and Y are independent random variables, 𝐽𝑖𝑗 = 𝑓(𝑥𝑖 )𝑔(𝑦𝑗 )

Therefore,
𝑥\𝑦 −2 5 8 𝑓(𝑥)
1 0.21 0.35 0.14 0.7
2 0.09 0.15 0.06 0.3
𝑔(𝑦) 0.3 0.5 0.2 𝑇𝑜𝑡𝑎𝑙 = 1

4. Consider the joint distribution of X and Y. X Y 0 1 2 3

Compute the following probabilities: 0 0 1/8 1/4 1/8
(i) 𝑷(𝑿 = 𝟏, 𝒀 = 𝟐) (ii) 𝑷(𝑿 ≥ 𝟏, 𝒀 ≥ 𝟐) 1 1/8 1/4 1/8 0
(iii) 𝑷(𝑿 ≤ 𝟏, 𝒀 ≤ 𝟐) (iv) 𝑷(𝑿 + 𝒀 ≥ 𝟐) (v) 𝑷(𝑿 ≥ 𝟏, 𝒀 ≤ 𝟐).

(i) 𝑋 = {0, 1}, 𝑌 = {0, 1, 2, 3, 4}

1
𝑃(𝑋 = 1, 𝑌 = 2) = 𝑃(1, 2) = 8

(ii) If 𝑋 ≥ 1, 𝑋 = {1}. If 𝑌 ≥ 2, 𝑌 = {2, 3}

1 1
𝑃(𝑋 ≥ 1, 𝑌 ≥ 2) = 𝑃(1, 2) + 𝑃(1, 3) = 8 + 0 = 8

(iii) If 𝑋 ≤ 1, 𝑋 = {0, 1}. If 𝑌 ≤ 2, 𝑌 = {0, 1, 2}

𝑃(𝑋 ≤ 1, 𝑌 ≤ 2) = 𝑃(0, 0) + 𝑃(0, 1) + 𝑃(0, 2) + 𝑃(1, 0) + 𝑃(1, 1) + 𝑃(1, 2)
1 1 1 1 1 7
=0+8+4+8+4+8=8

(iv) If 𝑋 + 𝑌 ≥ 2 then 𝑋 + 𝑌 = 0 + 2 𝑜𝑟 0 + 3 𝑜𝑟 1 + 1 𝑜𝑟 1 + 2 𝑜𝑟 1 + 3
𝑃(𝑋 + 𝑌 ≥ 2) = 𝑃(0, 2) + 𝑃(0, 3) + 𝑃(1, 1) + 𝑃(1, 2) + 𝑃(1, 3)
1 1 1 1 3
=4+8+4+8+0= 4

(v) If 𝑋 ≥ 1, 𝑋 = {1}. If 𝑌 ≤ 2, 𝑌 = {0, 1, 2}

1 1 1 1
𝑃(𝑋 ≥ 1, 𝑌 ≤ 2) = 𝑃(1, 0) + 𝑃(1, 1) + 𝑃(1, 2) = 8 + 4 + 8 = 2

Dr. Narasimhan G, RNSIT 5

5. A fair coin is tossed thrice. The random variables X and Y are defined as follows:
X=0 or 1 according as head or tail occur in the first toss. Y = Number of heads.
Determine (i) The distribution of X and Y. (ii) The joint distribution of X and Y.(iii)
The expectations of X and Y (iv) Standard deviation of X and Y (v) Covariance of X
and Y (vi) Correlation of X and Y.

𝑆 = {𝐻𝐻𝐻, 𝐻𝐻𝑇, 𝐻𝑇𝐻, 𝐻𝑇𝑇, 𝑇𝐻𝐻, 𝑇𝐻𝑇, 𝑇𝑇𝐻, 𝑇𝑇𝑇}

𝑋 = {0, 1} 𝑎𝑛𝑑 𝑌 = {0, 1, 2, 3}
(i) Marginal distribution of X: Marginal distribution of Y:

0 1 0 1 2 3
1/2 1/2 1/8 3/8 3/8 1/8

(ii) 𝐽00 = 𝑃(𝐹𝑖𝑟𝑠𝑡 𝑡𝑎𝑖𝑙, 𝑛𝑜 ℎ𝑒𝑎𝑑𝑠) = 1/8

𝐽01 = 𝑃(𝐹𝑖𝑟𝑠𝑡 𝑡𝑎𝑖𝑙, 1 ℎ𝑒𝑎𝑑) = 2/8
𝐽02 = 𝑃(𝐹𝑖𝑟𝑠𝑡 𝑡𝑎𝑖𝑙, 2 ℎ𝑒𝑎𝑑𝑠) = 1/8
𝐽03 = 𝑃(𝐹𝑖𝑟𝑠𝑡 𝑡𝑎𝑖𝑙, 3 ℎ𝑒𝑎𝑑𝑠) = 0
𝐽10 = 𝑃(𝐹𝑖𝑟𝑠𝑡 ℎ𝑒𝑎𝑑, 𝑛𝑜 ℎ𝑒𝑎𝑑𝑠) = 0
𝐽11 = 𝑃(𝐹𝑖𝑟𝑠𝑡 ℎ𝑒𝑎𝑑, 1 ℎ𝑒𝑎𝑑) = 1/8
𝐽12 = 𝑃(𝐹𝑖𝑟𝑠𝑡 ℎ𝑒𝑎𝑑, 2 ℎ𝑒𝑎𝑑𝑠) = 2/8
𝐽13 = 𝑃(𝐹𝑖𝑟𝑠𝑡 ℎ𝑒𝑎𝑑, 3 ℎ𝑒𝑎𝑑𝑠) = 1/8
X Y 0 1 2 3
The joint distribution of X and Y: 0 1/8 2/8 1/8 0
1 0 1/8 2/8 1/8

(iii) 𝐸(𝑥) = Σ𝑥𝑓(𝑥) = 0(1/2) + 1(1/2) = 1/2

𝐸(𝑦) = Σ𝑦𝑔(𝑦) = 0(1/8) + 1(3/8) + 2(3/8) + 3(1/8) = 3/2

(iv) 𝐸(𝑥 2 ) = Σ𝑥 2 𝑓(𝑥) = 02 (1/2) + 12 (1/2) = 1/2

𝐸(𝑦 2 ) = Σ𝑦 2 𝑔(𝑦) = 02 (1/8) + 12 (3/8) + 22 (3/8) + 32 (1/8) = 3
𝜎𝑥 = √𝐸(𝑥 2 ) − [𝐸(𝑥)]2 = √1/2 − (1/2)2 = 1/2

𝜎𝑦 = √𝐸(𝑦 2 ) − [𝐸(𝑦)]2 = √3 − (3/2)2 = √3/2

1 2 1
(v) 𝐸(𝑋𝑌) = 0 + 0 + 0 + 0 + 0 + 1(1) (8) + 1(2) (8) + 1(3) (8) = 1
1 3 1
Covariance of X and Y: 𝐶𝑜𝑣(𝑋, 𝑌) = 𝐸(𝑋𝑌) − 𝐸(𝑋)𝐸(𝑌) = 1 − (2) (2) = 4
𝐶𝑜𝑣(𝑋,𝑌) 1 2 1
(vi) Correlation of X and Y: 𝜌(𝑋, 𝑌) = = 4×2× = = 1.7321
𝜎𝑥 𝜎𝑦 √3 √3

Dr. Narasimhan G, RNSIT 6

6. The joint probability distribution of two discrete random variables X and Y is given
by 𝒇(𝒙, 𝒚) = 𝒌(𝟐𝒙 + 𝒚) for 𝟎 ≤ 𝒙 ≤ 𝟐 , 𝟎 ≤ 𝒚 ≤ 𝟑. (i) Find the value of 𝒌. (ii) The
marginal distribution of X and Y (iii) Show that X and Y are dependent.

By data, 𝑋 = {0, 1, 2} and 𝑌 = {0, 1, 2, 3}

𝑓(𝑥, 𝑦) = 𝑘(2𝑥 + 𝑦)
The joint probability distribution of X and Y:
X Y 0 1 2 3 𝑓(𝑋)
0 0 𝑘 2𝑘 3𝑘 6𝑘
1 2𝑘 3𝑘 4𝑘 5𝑘 14𝑘
2 4𝑘 5𝑘 6𝑘 7𝑘 22𝑘
g(Y) 6𝑘 9𝑘 12𝑘 15𝑘 42k

(i) Find the value of 𝑘:

1
1= Σ𝑓(𝑥, 𝑦) = 42𝑘 , 𝑘 = 42

(ii) Marginal probability distribution of X: 0 1 2

6/42 14/42 22/42

0 1 2 3
Marginal probability distribution of Y: 6/42 9/42 12/42 15/42

(iii) 𝐽𝑖𝑗 = 𝑓(𝑥𝑖 , 𝑦𝑗 ) = 𝑓(0, 1) = 𝑘

𝑓(𝑥𝑖 ) × 𝑔(𝑦𝑗 ) = 𝑓(0) × 𝑔(1) = 6𝑘 × 9𝑘

𝐽𝑖𝑗 ≠ 𝑓(𝑥𝑖 ) × 𝑔(𝑦𝑗 ). Therefore, X and Y are dependent.

Dr. Narasimhan G, RNSIT 7

7. The joint probability distribution of X and Y is given by 𝒇(𝒙, 𝒚) = 𝒄(𝒙𝟐 + 𝒚𝟐 ) for
𝒙 = −𝟏, 𝟎, 𝟏, 𝟑. 𝒂𝒏𝒅 𝒚 = −𝟏, 𝟐, 𝟑. (i) Find the value of 𝒄. (ii) 𝑷(𝒙 = 𝟎, 𝒚 ≤ 𝟐) (iii)
𝑷(𝒙 ≤ 𝟏, 𝒚 > 𝟐) (iv) 𝑷(𝒙 ≥ 𝟐 − 𝒚) .

By data, 𝑋 = {−1, 0, 1, 3} and 𝑌 = {−1, 2, 3}. 𝑓(𝑥, 𝑦) = 𝑐(𝑥 2 + 𝑦 2 )

The joint probability distribution of X and Y: X Y -1 2 3 𝑓(𝑋)
−1 2c 5𝑐 10𝑐 17𝑐
0 𝑐 4𝑐 9𝑐 14𝑐
1 2𝑐 5𝑐 10𝑐 17𝑐
3 10𝑐 13𝑐 18𝑐 41𝑐
1
g(Y) 15𝑐 27𝑐 47𝑐 89c
(i) Find 𝒄: 1= Σ𝑓(𝑥, 𝑦) = 89𝑐 , 𝑐 = 89

(ii) 𝑥 = 0, 𝑦 = {−1, 2}

𝑃(𝑥 = 0, 𝑦 ≤ 2) = 𝑃(0, −1) + 𝑃(0, 2) = 𝑐 + 4𝑐 = 5𝑐 = 5/89

(iii) 𝑥 = {−1, 0, 1}, 𝑦 = {3}

𝑃(𝑥 ≤ 1, 𝑦 > 2) = 𝑃(−1, 3) + 𝑃(0, 3) + 𝑃(1, 3)

= 10𝑐 + 9𝑐 + 10𝑐 = 29𝑐 = 29/89

(iv) 𝑃(𝑥 ≥ 2 − 𝑦) = 𝑃(𝑥 + 𝑦 ≥ 2)

= 𝑃(−1, 3) + 𝑃(0, 2) + 𝑃(0, 3) + 𝑃(1, 2) + 𝑃(1, 3)

+𝑃(3, −1) + 𝑃(3, 2) + 𝑃(3, 3)

= 10𝑐 + 4𝑐 + 9𝑐 + 5𝑐 + 10𝑐 + 10𝑐 + 13𝑐 + 18𝑐

79
= 79𝑐 = 89

Home work:

8. Two cards are selected from a box which contains 5 cards numbered 1, 1, 2, 2, 3. Find
the joint distribution of X and Y, where X denote the sum and Y denote the maximum of
two numbers drawn. Also determine 𝐶𝑜𝑣(𝑥, 𝑦).

9. The joint distribution of random variables X and Y is X\Y 1 3 6

Find Marginal distribution of X and Y. 1 1/9 1/6 1/18
Are X and Y independent random variables? 3 1/6 1/4 1/12
6 1/18 1/12 1/36
1 1 1
10. X and Y are independent random variables. X takes values 2, 5, 7 with probabilities , ,
2 4 4
1 1 1
respectively. Y take values 3, 4, 5 with probabilities , , .
3 3 3
(i) Find the joint probability
distribution of X and Y. (ii) Find covariance of X and Y (iii) Find the probability distribution of
𝑍 =𝑋+𝑌

Dr. Narasimhan G, RNSIT 8