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Probability and Distribution 1

The document defines key concepts in probability and distribution, including marginal and conditional distributions. It provides examples of the Gamma distribution, joint density, and the independence of random variables. Additionally, it discusses the regression of Y on X and the transformation of random variables to derive their probability density functions.

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wicliffeochieng913
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2 views2 pages

Probability and Distribution 1

The document defines key concepts in probability and distribution, including marginal and conditional distributions. It provides examples of the Gamma distribution, joint density, and the independence of random variables. Additionally, it discusses the regression of Y on X and the transformation of random variables to derive their probability density functions.

Uploaded by

wicliffeochieng913
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

Probability and Distribution Theorem 1

Probability and Distribution Theorem 1

(a) Define the following terms


Definition 1 (Marginal Distribution). The marginal distribution of a random variable is the
probability distribution of that variable alone, obtained by summing (for discrete) or integrating (for
continuous) the joint distribution over all other variables.
P R∞
For discrete X, Y : PX (x) = y PX,Y (x, y). For continuous X, Y : fX (x) = −∞ fX,Y (x, y) dy.

Definition 2 (Conditional Distribution). The conditional distribution of Y given X = x is:

PX,Y (x, y) fX,Y (x, y)


PY |X (y|x) =
PX (x)

provided the denominator is positive.


(discrete),
on fY |X (y|x) =
fX (x)
(continuous),
ilt
(b) Gamma Distribution Probability
Let X ∼ Gamma(α = 2, β = 1), so f (x) = xe−x , x > 0. Then:
Z 5
M

5
xe−x dx = −xe−x − e−x 3 = 4e−3 − 6e−5 ≈ 0.1587.

P (3 < X < 5) =
3

P (3 < X < 5) ≈ 0.1587

(c) Joint Density: Marginal and Conditional Densities


Given f (x, y) = 2 for 0 < x < y < 1:

• Marginal of X: Z 1
fX (x) = 2 dy = 2(1 − x), 0 < x < 1.
x

fX (x) = 2(1 − x), 0 < x < 1

• Conditional density of Y given X = x:

2 1
fY |X (y|x) = = , x < y < 1.
2(1 − x) 1−x

Compiled for academic purposes Page 1


Probability and Distribution Theorem 1

1
fY |X (y|x) = , x<y<1
1−x

(d) Independence of X and Y


Given f (x, y) = kxy for 0 ≤ x ≤ y ≤ 4:
R4Ry
• Normalize: 0 0 kxy dxdy = 32k = 1 ⇒ k = 1
32 .

• Support is triangular (x ≤ y), not rectangular.


y3 x(16−x2 )
• Marginals: fY (y) = 64 , fX (x) = 64 .

• f (x, y) ̸= fX (x)fY (y).

No, X and Y are not independent.

(e) Regression of Y on X
Given f (x, y) =

• fX (x) = 2(x+1)
3
x+y
3 for 0 < x < 1, 0 < y < 2:
on
ilt
x+y
• fY |X (y|x) = 2(x+1)
R2 x+y
• E[Y |X = x] = 0 y· 2(x+1) dy = 3x+4
3(x+1)
M

3x + 4
E[Y |X = x] =
3(x + 1)

X+Y
(f ) Transformation: PDF of U = 2

Given f (x, y) = e−(x+y) , x > 0, y > 0 (independent exponentials):

• Let U = X+Y
2 , V =X

• Jacobian: |J| = 2

• Joint: fU,V (u, v) = 2e−2u , 0 < v < 2u


R 2u
• Marginal: fU (u) = 0 2e−2u dv = 4ue−2u , u > 0

fU (u) = 4ue−2u , u>0

Compiled for academic purposes Page 2

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