2018EC ECEg-2061 Probability and Random Process 1
3 Chapter Three:
Multiple Random Variables
[MRvs]
2018EC ECEg-2061 Probability and Random Process 2
3 Goals of The Chapter
3.1 Two joint random variables
3.2 Joint CDF and marginal CDF, Joint PDF, joint PMF, Marginal PDF and marginal PMF
3.3 Conditional PDF and PMF
3.4 Conditional mean and variance
3.5 Correlation and covariance of joint random variables
3.6 Multiple random variables
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3 Multiple Random Variables
[MRvs]
3.1 Two joint random variables
Introduction:
Some times we have multiple Rvs for each out comes of an experiment rather than single
Rv.
For S = {out comes}… for each out comes we have
x – Horizontal position from the center of the target
y – Vertical position from the center of the target
• Its probability density is given by
• Consider a wider experiment with out comes of combination of smaller experiments
S = {e1(a1, b1), e2(a2, b2)…….en(an, bn)}
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3 Multiple Random Variables
[MRvs]
3.2 Joint CDF and marginal CDF, Joint PDF, joint PMF,
Marginal PDF and marginal PMF
Example: Consider two coin tossed at the same time, Draw its map on Two Rv?
Note: a Rv that describe one wide experiment are called Joint Random Variables
[JRvs].
JRvs divide in to Two
1. Discrete Joint Rv: Described by Joint Pmf and Cmf
2. Continuous Joint Rv: Described by Joint Pdf and Cdf
1) Discrete Joint Rv:
• Joint Pmf: Described by
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3 Multiple Random Variables
[MRvs]
3.2 Joint CDF and marginal CDF, Joint PDF, joint PMF,
Marginal PDF and marginal PMF
Example 1: Consider Two coins are tossed at a time find Joint Pmf of a Rv X and Y.
Consider X and Y represents out comes of each coins and H =0 and T = 1?
• Marginal Pmf: is Given by the following expressions:
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3 Multiple Random Variables
[MRvs]
3.2 Joint CDF and marginal CDF, Joint PDF, joint PMF, Marginal PDF and
marginal PMF
Example 2: For the given Joint Pmf of x an y below, find its Marginal Pmf?
Independence of Rv
• Two Rvs X and Y are Independent if and only if
Joint Pmf = Product of Marginal Pmf
Example 3: Check Independency of the Rvs for Example #2?
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3 Multiple Random Variables
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3.3 Conditional PDF and PMF
Conditional Pmf
• Let a Rv X maps out comes of event A and Rv Y represents event B, therefore:
Conditional Mean & Variance
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3 Multiple Random Variables
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3.3 Conditional PDF and PMF
• Conditional Variance
Eg 4:
Find:
a) Conditional Pmf of X given that Y = 2?
b) Conditional Mean of X given Y = 2?
c) Conditional Variance of X given Y = 2?
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3 Multiple Random Variables
[MRvs]
3.3 Conditional PDF and PMF
Joint Cmf:
A Joint Cmf of a Discrete Rvs of X and Y is given by:
Eg 5: Given the following Joint Pmf find Joint Cmf?
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3 Multiple Random Variables
[MRvs]
3.3 Conditional PDF and PMF
EX: A Dimension of CD trays (X-length and Y-width in mm) is given below in table.
Find:
a. Marginal Pmf?
b. Conditional Pmf of Y given X = 130?
c. Mean and Variance of Y given X = 130?
d. Mean and Variance of X given Y = 16?
e. Check if X and Y are Independence?
f. Joint Cmf?
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3 Multiple Random Variables
[MRvs]
3.3 Conditional PDF and PMF
Marginal Cmf:
Marginal Cmf of a Discrete Rvs of X and Y is given respectively
below:
Eg 6: For the given below find
I. Marginal Cmf?
II. P(x = 1), P(x ≤ 1), P(y ≤ 2), P(x ≤ 1, y ≤ 2),
P(0 < x < 2, y ≤ 2)
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3 Multiple Random Variables
[MRvs]
3.5 Correlation and covariance of joint random variables
Independence of Events:
• X and Y are Independence if
Covariance: Is a measure of Linear Association of Two Rvs.
Correlation: The correlation coefficient scales the covariance to the variance of each
Rvs.
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3 Multiple Random Variables
[MRvs]
3.5 Correlation and covariance of joint random variables
Eg 7: Compute the Correlation Coefficient and Covariance of the Joint Pmf?
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3 Multiple Random Variables
[MRvs]
3.5 Correlation and covariance of joint random variables
2. Continuous Joint RVs:
Joint Cdf (Commulative Distribution function)
Marginal Cdf:
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3 Multiple Random Variables
[MRvs]
3.5 Correlation and covariance of joint random variables
Eg 8: The Joint Cdf of Two RVs X and Y is given Below
Find:
[Link] Cdf of X and Y
[Link] Independency
[Link] P (x ≤ 1, y ≤ 1), P (x ≤ 1), P (y ≤ 1)
d.P (x > a, y > b)
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3 Multiple Random Variables
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3.5 Correlation and covariance of joint random variables
Joint Pdf: Joint Pdf of two CRvs X and Y is a function which satisfies
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3 Multiple Random Variables
[MRvs]
3.5 Correlation and covariance of joint random variables
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3 Multiple Random Variables
[MRvs]
3.5 Correlation and covariance of joint random variables
Eg 9: Joint Pdf of a Rvs X and Y is Given below as
Find:
[Link] of C
[Link] Pdf
[Link] Pdf of X given Y = 3
d.P (x ≤ 1000, y ≤ 1000)
e.P (x > 2000), P (x ≤ 2000) and P (100 ≤ x ≤ 1000)
[Link] if X and Y are Independent
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3 Multiple Random Variables
[MRvs]
3.5 Correlation and covariance of joint random variables
Covariance and Correlation
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3 Multiple Random Variables
[MRvs]
3.5 Correlation and covariance of joint random variables
Eg 10: Joint Pdf is
Find: Covariance and Correlation Coefficients?
Exercise: A Joint Pdf is Given by
Find:
[Link] of Y given that X = 5
ii.P (4.9 ≤ x ≤ 5.1)