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Multiple Random Variables

64 Dr. [Link], Associate Professor, SENSE, VIT

Introduction
 In the previous session we studied the properties of a single random
variable defined on a given sample space.

 But in many random experiments, we may have to deal with two or

more random variables defined on the same sample space.

 Let us consider another example in which we collect the details of

students.

 If we concentrate only on the age of students then we deal with a

single random variable.

 On the other hand, if we collect details like age, weight and height
then we deal with multiple random variables.

65 Dr. [Link], Associate Professor, SENSE, VIT

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Vector Random Variables

 Consider two random variables X and Y on a sample space.

 Let X and Y represent age and height of students respectively.

 If X and Y represents the age and the height of a specific student

then this value (X, Y) can be represented as a random point in the x-
y plane.

 If the number of students is n, there will be n such values

𝑥1 , 𝑦1 , 𝑥2 , 𝑦2 , … 𝑥𝑛 , 𝑦𝑛 ,that can be represented in the x-y plane.

 This order pair of number (x, y) is known as specific value of vector

random variable where X and Y denote a two-dimensional vector
random variable.

66 Dr. [Link], Associate Professor, SENSE, VIT

Vector Random Variables

 The figure below shows the mapping from s-plane to xy plane.

 The plane of all points (x, y) in the ranges of X and Y is known as

joint sample space denoted by Sj.

67 Dr. [Link], Associate Professor, SENSE, VIT

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Joint Probability Mass Function

 Consider a two-dimensional random variable (X, Y). Let the possible values
of (X,Y) be from a countable set 𝑆 = 𝑥𝑗 , 𝑦𝑘
 That is, the possible values of (X, Y) may be represented as
𝑥𝑗 , 𝑦𝑘 𝑤ℎ𝑒𝑟𝑒 𝑗 = 1,2, … , 𝑛 𝑎𝑛𝑑 𝑘 = 1,2, … , 𝑚
 For each possible outcome of a two-dimensional random variable, we
assume a number 𝑝𝑋,𝑌 𝑥𝑗 , 𝑦𝑘
 Probability Mass Function (PMF) given by
𝒑𝑿,𝒀 𝒙𝒋 , 𝒚𝒌 = 𝑷(𝑿 ≤ 𝒙𝒋 , 𝒀 ≤ 𝒚𝒌 )
 Thus, the joint pmf gives the possible probability of the occurrence of the
pairs 𝑥𝑗 , 𝑦𝑘
 Since the probability of the sample space ‘S’ is 1, we can
write σ𝒏𝒋=𝟏 σ𝒎
𝒌=𝟏 𝒑𝑿,𝒀 𝒙𝒋 , 𝒚𝒌 = 𝟏

68 Dr. [Link], Associate Professor, SENSE, VIT

Marginal Probability Mass Function

 We are also interested in finding the probability of events involving
each of the random variables in isolation.

 The pmf of the random variable X is given by

 Similarly,

69 Dr. [Link], Associate Professor, SENSE, VIT

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Joint Probability Mass Function

Properties of Joint pmf

1. The pmf can neither be negative nor exceed unity, that is

𝟎 ≤ 𝒑𝑿,𝒀 𝒙𝒋 , 𝒚𝒌 ≤ 𝟏

2. σ𝒙≤𝒂 σ𝒚≤𝒃 𝒑𝑿,𝒀 𝒙𝒋 , 𝒚𝒌 = 𝟏

3. σ𝒙≤𝒂 σ𝒚≤𝒃 𝒑𝑿,𝒀 𝒙𝒋 , 𝒚𝒌 = 𝑭𝑿,𝒀 (𝒂, 𝒃)

4. If X and Y are independent random variables,

𝒑𝑿,𝒀 𝒙𝒋 , 𝒚𝒌 = 𝒑𝑿 𝒙 𝒑𝒀 𝒚

70 Dr. [Link], Associate Professor, SENSE, VIT

Joint Probability Mass Function

 If X has N possible values 𝑥1, 𝑥2 … , 𝑥𝑁 and Y has M possible values
𝑦1, 𝑦2, … , 𝑦𝑀 , then
𝑵 𝑴

𝑭𝑿,𝒀 𝒂, 𝒃 = ෍ ෍ 𝒑𝑿,𝒀 𝒙𝒋 , 𝒚𝒌 𝒖(𝒙 − 𝒙𝒋 )𝒖(𝒚 − 𝒚𝒌 )

𝒋=𝟏 𝒌=𝟏

 where u(x) is a unit step function defined as

 The shifted unit step function is defined as

71 Dr. [Link], Associate Professor, SENSE, VIT

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JOINT PROBABILITY MATRIX

 Consider two discrete random variables X and Y with joint

probability distribution P(X, Y).

 Let X take values(𝑥𝑖 ) 𝑤ℎ𝑒𝑟𝑒 𝑖 = 1,2, … , 𝑛

 Let Y take values 𝑦𝑗 𝑤ℎ𝑒𝑟𝑒 𝑗 = 1,2, … , 𝑛

 Then the joint probability distribution can be represented by an

𝒎 × 𝒏 matrix with X representing the rows and Y representing the
columns.

72 Dr. [Link], Associate Professor, SENSE, VIT

JOINT PROBABILITY MATRIX

 From the joint distribution matrix, we can find the distribution of

individual random variables.
 The distribution of X can be obtained by summing each row.
 The distribution of Y can be obtained by summing each column.

73 Dr. [Link], Associate Professor, SENSE, VIT

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JOINT PROBABILITY MATRIX

 From the joint distribution matrix, we can observe.

74 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Examples

 The joint probability distribution of two random variables X and Y is

represented by a joint probability matrix given by

 Find the marginal distribution of X and Y. Find P(X ≤ 2, Y ≤ 4).

75 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Examples
Given the joint distribution,
 P(Y = 1) = 0.1 + 0 + 0.2 + 0 = 0.3 (Sum of first column)
 P(Y = 2) = 0 + 0.1 + 0 + 0 = 0.1 (Sum of second column)
 P(Y = 3) = 0.2 + 0.3 = 0.5 (Sum of third column)
 P(Y = 4) = 0 + 0 + 0 + 0.1 = 0.1 (Sum of fourth column)
 P(X = 1) = 0.1 + 0 + 0.2 + 0 = 0.3 (Sum of first row)
 P(X = 2) = 0 + 0.1 + 0 + 0 = 0.1 (Sum of second row)
 P(X = 3) = 0.2 + 0 + 0.3 + 0 = 0.5 (Sum of third row)
 P(X = 4) = 0 + 0 + 0 + 0.1 (Sum of fourth row)
 P(X ≤ 2, Y ≤ 4)= 0.1 + 0 + 0.2 + 0 + 0 + 0.1 + 0 + 0 = 0.4 (Sum of
the elements in the rows 1 and 2)

76 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Examples

 The joint pmf of (X,Y) is given by

 where k is constant.

 (a) Find the value of k.

 (b) Find the marginal pmf of X and Y.

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Tutorial Examples
 Solution:

78 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Examples
 The marginal pmf of X:

 The marginal pmf of Y:

79 Dr. [Link], Associate Professor, SENSE, VIT

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Joint Distribution(CDF) and its Properties

 Consider two random variables X and Y.

 Let us define two events A and B as A = X ≤ x and B = Y ≤ y

 We already know the probability of these two events can be defined

as 𝐹𝑋 𝑥 = 𝑃(𝑋 ≤ 𝑥) and 𝐹𝑌 𝑦 = 𝑃(𝑌 ≤ 𝑦)

 Now let us define a joint event 𝐗 ≤ 𝐱, 𝐘 ≤ 𝒚

 The probability of this event is a function of the numbers x and y by

a joint probability distribution function 𝑭𝑿𝒀 𝒙, 𝒚 is given by
𝐅𝐗𝐘 𝐱, 𝐲 = 𝐏(𝐗 ≤ 𝐱, 𝐘 ≤ 𝐲)

80 Dr. [Link], Associate Professor, SENSE, VIT

Joint Distribution(CDF) and its Properties

1. Since 𝐅𝐗𝐘 𝐱, 𝐲 is a probability, the CDF of two random variables is
also bounded between 0 and 1.
 That is, 𝟎 ≤ 𝐅𝐗𝐘 𝐱, 𝐲 ≤ 𝟏 for −∞ < x < ∞, −∞ < y < ∞

2. 𝐅𝐗𝐘 𝐱, 𝐲 is a non-decreasing function of both x and y.

3. 𝐅𝐗𝐘 −∞, ∞ = 𝐅𝐗𝐘 −∞, 𝐲 = 𝐅𝐗𝐘 𝐱, −∞ = 𝟎 & 𝐅𝐗𝐘 ∞, ∞ = 𝟏

 The joint CDF of two random variables X and Y is

81 Dr. [Link], Associate Professor, SENSE, VIT

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Joint Distribution(CDF) and its Properties

4. If then x1 ≤ x2 and y1 ≤ y2 then
 FXY x1 , y1 ≤ FXY x1 , y2 ≤ FXY x2 , y2
 Similarly FXY x1 , y1 ≤ FXY x2 , y1 ≤ FXY x2 , y2
5. P x1 ≤ X ≤ x2 , Y ≤ y = FXY x2 , y − FXY x1 , y
6. P X ≤ x, y1 ≤ Y ≤ y2 = FXY x, y2 − FXY x, y1
7. P x1 ≤ X ≤ x2 , y1 ≤ Y ≤ y2 = FXY x2 , y2 + FXY x1 , y1 −
FXY x2 , y1 − FXY x1 , y2
8. lim FXY x, y = FXY a, y
x→a+

9. lim FXY x, y = FXY x, b

x→b+

82 Dr. [Link], Associate Professor, SENSE, VIT

Joint Distribution(CDF) and its Properties

 The marginal CDFs are obtained as

FX x = FXY x, ∞
FY y = FXY ∞, 𝑦

83 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example

 The joint distribution function for two random variables X and Y is

 Assuming a = 0.6,

 Find 𝑃(𝑋 ≤ 1, 𝑌 ≤ 1),

 𝑃(1 < 𝑋 ≤ 2),

 𝑃(−1 < 𝑋 ≤ 2,1 < 𝑌 ≤ 2)

84 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example
Solution: The joint distribution function is shown below

85 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example

= 1 − 𝑒 −2 0.6
− 1 − 𝑒− 0.6
= 0.2476

86 Dr. [Link], Associate Professor, SENSE, VIT

Joint Density Function and its Properties

 The joint pdf of 𝒇𝑿, 𝒀(𝒙, 𝒚) can be obtained from the joint CDF
𝑭𝑿, 𝒀(𝒙, 𝒚) by taking a partial derivative with respect to each variable.

 The joint pdf of two random variables X and Y is defined as the

second derivative of the joint distribution function whenever it
exists.
pdf CDF

 The joint CDF can be obtained in terms of joint pdf using the
equation
pdf

CDF
87 Dr. [Link], Associate Professor, SENSE, VIT

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Joint Density Function and its Properties

1. For all x and y, fXY (x, y) ≥ 0
∞ ∞
2. ‫׬‬−∞ ‫׬‬−∞ fXY x, y dx dy = 1
x y
3. FXY x, y = ‫׬‬−∞ ‫׬‬−∞ fXY u, v du dv - JCDF
∞ x
4. FX x = ‫׬‬−∞ ‫׬‬−∞ fXY u, v du dv - MCDF of X
y ∞
5. FY y = ‫׬‬−∞ ‫׬‬−∞ fXY u, v du dv - MCDF of Y
∞
6. fX x = ‫׬‬−∞ fXY (x, y)dy - Mpdf of X
∞
7. fY y = ‫׬‬−∞ fXY (x, y)dx - Mpdf of Y

88 Dr. [Link], Associate Professor, SENSE, VIT

Joint Density Function and its Properties

8. fXY (x, y) is continuous for all except possibly finite values of x and
y.
y x
9. P(x1 < X ≤ x2 , y1 < Y ≤ y2 = ‫׬‬y 2 ‫׬‬x 2 fXY x, y dx dy
1 1

10. If X and Y are statistically independent random variables

fXY x, y = fX (x)fY (y)

89 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example

 If the probability density function is given by

 obtain the marginal pdf of X and that of Y.

1 3
 Hence, find 𝑃 ≤𝑦≤
4 4

90 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example

91 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example

92 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example

93 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example

 Joint probabilities of two random variables X and Y are given in the

table:

 Find out joint and marginal distribution functions.

 Plot joint and marginal density functions.

94 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example

95 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example
 The expression for joint distribution function is given by
𝐹𝑋,𝑌 𝑥, 𝑦
= 0.2 𝑢(𝑥 – 1) 𝑢(𝑦 – 1) + 0.1 𝑢(𝑥 – 2) 𝑢(𝑦 – 1)
+ 0.2 𝑢(𝑥 – 3) 𝑢(𝑦 – 1) + 0.15 𝑢(𝑥 – 1) 𝑢(𝑦 – 2)
+ 0.2 𝑢(𝑥 – 2) 𝑢(𝑦 – 2) + 0.15 𝑢(𝑥 – 3) 𝑢(𝑦 – 2)

96 Dr. [Link], Associate Professor, SENSE, VIT

97 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example
 The marginal distribution function is given by,
𝐹𝑋 𝑥 = 𝐹𝑋 𝑥, ∞
= 0.2 𝑢(𝑥 – 1) + 0.1 𝑢(𝑥 – 2) + 0.2 𝑢(𝑥 – 3) + 0.15 𝑢(𝑥 – 1)
+ 0.2 𝑢(𝑥 – 2) + 0.15 𝑢(𝑥 – 3)
= 0.35 𝑢(𝑥 – 1) + 0.3 𝑢(𝑥 – 2) + 0.35 𝑢(𝑥 – 3)

98 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example
 The marginal distribution function is given by,

𝐹𝑌 𝑦 = 𝐹𝑋 ∞, 𝑦
= 0.2 𝑢 𝑦 – 1 + 0.1 𝑢 𝑦 – 1 + 0.2 𝑢 𝑦 – 1 + 0.15 𝑢 𝑦 – 2
+ 0.2 𝑢 𝑦 – 2 + 0.15 𝑢 𝑦 – 2 = 0.5 u(y – 1) + 0.5 u(y – 2)

99 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example
 The joint pdf of the random variables X and Y can be obtained by
using

 We know if we differentiate a unit step function, we get an impulse.

 Therefore, 𝑓𝑋𝑌 (𝑥, 𝑦) can be written as

𝑓𝑋𝑌 𝑥, 𝑦
= 0.2 𝛿 𝑥 – 1 𝛿 𝑦 – 1 + 0.1𝛿 𝑥 – 2 𝛿 𝑦 – 1
+ 0.2𝛿(𝑥 – 3)𝛿(𝑦 – 1) + 0.15𝛿(𝑥 – 1)𝛿(𝑦 – 2)
+ 0.2𝛿(𝑥 – 2)𝛿(𝑦 – 2) + 0.15𝛿(𝑥 – 3)𝛿(𝑦 – 2)

100 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example
𝑓𝑋𝑌 𝑥, 𝑦
= 0.2 𝛿 𝑥 – 1 𝛿 𝑦 – 1
+ 0.1𝛿 𝑥 – 2 𝛿 𝑦 – 1
+ 0.2𝛿(𝑥 – 3)𝛿(𝑦 – 1)
+ 0.15𝛿(𝑥 – 1)𝛿(𝑦 – 2)
+ 0.2𝛿(𝑥 – 2)𝛿(𝑦 – 2)
+ 0.15𝛿(𝑥 – 3)𝛿(𝑦 – 2)

101 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example
 Similarly, by differentiating 𝐹𝑋 (𝑥) and 𝐹𝑌 (𝑦), we get,

 𝑓𝑋 (𝑥) = 0.35 𝛿(𝑥 – 1) + 0.3𝛿(𝑥 – 2) + 0.35𝛿(𝑥 – 3) and

 𝑓𝑌 (𝑦) = 0.5𝛿(𝑦 – 1) + 0.5𝛿(𝑦 – 2)

102 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example
 A random vector (X, Y) is uniformly distributed (𝑓𝑋𝑌 (𝑥, 𝑦) in the
region shown in Figure below and zero elsewhere.

 (a) Find the value of k.

 (b) Find the marginal pdfs of X and Y.

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Tutorial Example
Solution:
∞ ∞
 We know that ‫׬‬−∞ ‫׬‬−∞ fXY x, y dx dy = 1

 Rewriting the above expression in terms of ‘y’

1 1−𝑦
 ‫׬‬0 ‫׬‬0 𝑘dx dy = 1

104 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example
 The marginal pdf of X and Y

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Tutorial Example

 The joint CDF of a bivariate random variable is given by

1 − e−ax 1 − e−by x ≥ 0, y ≥ 0; a, b > 0
FXY x, y = ቊ
0 otherwise
 Find marginal CDFs of X and Y.

 Find whether X and Y are independent.

 Find 𝑃 𝑋 ≤ 1, 𝑌 ≤ 1 ; 𝑃 𝑋 ≤ 1 ; 𝑃 𝑌 > 1 ; 𝑃 𝑋 > 𝑥, 𝑌 > 𝑦

106 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example
 Solution:

107 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example
 𝑷 𝑿 ≤ 𝟏, 𝒀 ≤ 𝟏 ; 𝑷 𝑿 ≤ 𝟏 ; 𝑷 𝒀 > 𝟏

108 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example
 𝑃 𝑋 > 𝑥, 𝑌 > 𝑦 = 𝑃 𝑥 < 𝑋 ≤ ∞, 𝑦 < 𝑌 ≤ ∞

 Using the property P x1 ≤ X ≤ x2 , y1 ≤ Y ≤ y2 = FXY x2 , y2 +

FXY x1 , y1 − FXY x2 , y1 − FXY x1 , y2

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Tutorial Example
 The joint pdf of (X,Y) is given by
abe−(ax+by x > 0, y > 0; a, b > 0
fXY x, y = ቊ
0 otherwise
 Find 𝑃(𝑋 > 𝑌)

110 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example

111 Dr. [Link], Associate Professor, SENSE, VIT

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Tutorial Example

 The joint pdf of (X,Y) is given by

ke−(x+2y x > 0, y > 0
fXY x, y = ቊ
0 otherwise
 Where k is a constant

 Find the value of k,

 Find 𝑃(𝑋 > 1, 𝑌 < 1), 𝑃(𝑋 < 𝑌) and 𝑃(𝑋 ≤ 2).

112 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example
 For a valid pdf,

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Tutorial Example

0.865

0.865
114 Dr. [Link], Associate Professor, SENSE, VIT

Tutorial Example

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Tutorial Example

116 Dr. [Link], Associate Professor, SENSE, VIT

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