4.

1 BIVARIATE PROBABILITY DISTRIBUTIONS

4.1.1 Joint Distributions for Discrete Random Variables
Let X and Y be two discrete random variables. We define the joint probability

function of X and Y by: p(X=x, Y=y) = f(x, y), where

i). f(x, y) ≥ 0

ii).  f ( x, y)  1 i.e. the sum over all values of x and y is 1.

x y

Suppose that X can assume any of the m values x1, x2, …, xm and Y can assume

any of the n values y1, y2, …, yn. Then the probability of the event that X = xi and

Y = yi is given by:

p(X=xi, Y=yi) = f(xi, yi).

We can represent a joint probability function for X and Y by a joint probability

table as shown below

1
Joint Probability for X and Y

x/y y1 y2 … … yn

x1 f(x1, y1) f(x1, y2) f(x1, yn) f1(x1)

x2 f(x2, y1) f(x2, y2) f(x2, yn) f1(x2)

… …

… …

xm f(xm, y1) f(xm, y2) f(xm, yn) f1(xm)

f2(y1) f2(y2) f2(yn) 1

From the table:

The probability that X=xi is obtained by adding all entries in the row

n
corresponding to xi and is given by p( X  xi )  f1 ( xi )   f ( xi , y j ) . Similarly, the
j 1

probability that Y=yj is obtained by adding all the entries in the column

m
corresponding to yi and is given by p (Y  y j )  f 2 ( y j )   f ( xi , y j ) .
i 1

Since the above probabilities are obtained from margins of the table, we often

refer f1(xi) and f2(yj) or simply f1(x) and f2(y) to as the marginal probability

functions of X and Y respectively.

2
 m n m n
Thus  f ( x )   f ( y )   f ( x , y )  1
i 1
1 i
j 1
2 j
i 1 j 1
i j

The joint distribution function of X and Y is defined by

F ( x, y )  P( X  x, Y  y )   f (u, v) i.e. F(x,y) is the sum of all entries for which xi

u  x v y

≤x and yj ≤y.

Example 1

The joint probability function of two discrete random variables X and Y is given

by

k (2 x  y ), x  0,1, 2; y  0,1, 2,3

f ( x, y )  
0, elsewhere

a) Find the value of K

b) Find P(x=2, y=1)

c) Find P(x≥1, y≤2)

Solution

2 3
a) We have  f ( x, y)  1
x 0 y 0

2 3 2 3
Then  f ( x, y)   k (2 x  y)
x 0 y 0 x 0 y 0

2
=   2 xk  k (2 x  1)  k (2 x  2)  k (2 x  3) 
x 0

2
=   8 xk  6k 
x 0

3
 =6k + 14k + 22k

=42k.

Now, 42k=1, therefore k=1/42.

1 5
(b) Find P(x=2, y=1)=f(2,1)=  2  2  1 
42 42

(c)We have

2 2
P( X  1, Y  2)   f ( x, y )
x 1 y  0
2 2
1
   2x  y 
x 1 y  0 42

1 2
  (2 x  2 x  1  2 x  2)
42 x 1
1 2
  (6 x  3)
42 x 1
1
 (6  3  12  3)
42
4

7

4.1.2 Joint Distribution for Continuous Random Variables

The joint probability function for the random variables X and Y or simply the

joint density function of X and Y is given by P(X=x, Y = y) = f(x,y) where:

i). f(x,y) ≥0

 

ii). 
 
f ( x, y )dxdy  1

The joint distribution of X and Y in this case is defined by:

F(x,y) = P(X≤x, Y≤y)

4
 x y

= 
 
f (u, v)dudv

2 f
And it follows that  f ( x, y ) i.e. the density function is obtained by
xy

differentiating the distribution function wrt x and y.

The marginal distributions or simply the distributions of X and Y are respectively

given by:

x y x y

P( X  x)  F1 ( x)   f (u, v)dudv P(Y  y )  F2 ( y )   f (u, v)dudv

  and  

The derivatives of the above marginal distributions wrt x and y are then called

the marginal density functions or simply density functions and are given by:

 
f1 ( x)   f ( x, v)dv f 2 ( y)   f ( y, u )du
v  and u 

Example 2

The density function of two continuous random variables X and Y is

cxy, 0  x  4, 1 y  5
f ( x, y )  
0, elsewhere

a) Find the value of the constant C

b) Find P(1<x<2, 2<y<3)

c) Find P(x≥3, y≤2)

5
Solution

 

a) We have 
 
f ( x, y )dxdy  1

Now,

4 5

4 5


0 1
cxydxdy     cxydy dx
0 1 

4  cxy 2 5
 4
 25cx cx 
0  2 dx   

 dx
2
1
=  2
 0

12cxdx  6cx   96c

2 4

0
=0

⇒ 96c=1 ∴ c=1/96

b) Using the value of c= 1/96, we have

2 3
1
P(1 < X < 2, 2 < Y < 3) =   xydxdy
1 2
96

3
2
3 1  2
 xy 2 
=    xydy dx =    dx
1
1 2
96  192  2

 9x 4x 
2 2
5
=   dx   xdx
1
192 192  1
192

2
5  x2  5  4 1  53 5
=      = 
192  2 1 192  2 2  192  2 128

6
 4 2
1
c) P(X≥3, Y≤2) =  96 xydxdy
3 1

2
4
2 1  4
 xy 2 
=    xydy dx =    dx
3
3 1
96  192 1

 4x x 
4 4
3
=   dx   xdx
3  192 192  3
192

4
3  x2  3  16 9  3 7 7
=      =  
192  2  3 192  2 2  192 2 128

Example 3

The joint density function of two continuous variables X and Y is

1
 xy, 0  x  4, 1 y  5
f ( x, y)   96
0, elsewhere

Find the marginal distribution functions of

a) X

b) Y

Solution

a) The marginal distribution function of X if 0 ≤ x ≤ 4 is

x 
F1  x   P  X  x     f u, v  dudv
u  v 

7
 x 5
uv
x 5
 uv 
 u 0 v1 96 dudv  0  1 96 dv du

5 x
 uv 2 
x x
u  u2  x2
=  du = 0 8 16  16
du  
0
192 1 0

For x ≥ 4, F1(x) = 1 and for x <0, F1(x) = 0.

Thus

0 x0
x

F1 ( x)   0 x4
16

1 x4

b) The marginal distribution function of Y if 1 ≤ y ≤ 5 is

 y

F2  y   P Y  y     f  u, v dudv
u  v 

4 y
uv
y 4
 uv 
  dudv  1  0 96 du dv
= u 0 v 1 96

4 y
 u 2v   v2 
y y

 dv   vdv      y  1
1 1 2
=
1
192  0 1
12  24 1 24

For y ≥ 5, F2(y)=1 and for y < 1, F2(y)=0.

Thus

0 y0
1

F2  y     y 2  1 0 y5
 24

1 y5