Chapter – 4
JOINT AND CONDITIONAL
PROBABILITY DISTRIBUTION
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• In most cases the outcomes of an experiment
may be characterized by more than one random
variables.
• And hence, if a given experiment characterized
by two random variables it is called bivariate
distributions.
• Where as three or more random variables, for
instance in the case where X may be income and
Y the total expenditures of a house hold and Z is a
family size,…….
……………………it is possible to observe a different
combinations of variables (X,Y,Z) and this type of
distribution is called multivariate distribution. 2
4.1 Joint probability distribution
Definition: If X and Y are discrete random variables,
the function given by f(x, y) = P(X = x, Y = y) for each
pair of values (x, y) within the range of x and y is
called the joint probability distribution of x and y.
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Example 1: Assuming that if the variable x denotes the sex
of the person and the variable y denotes whether the
person is smoker or not. Based on the above understanding
if the probability of male who is smoker is 50%,
probability of female who smoker is 20%,
probability of male who is non-smoker is 20% and
probability of female who is non – smoker is 10%. Then the
joint probability distribution of x and y can be depicted as
follows in tabular form.
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Example 2: Determine the value of k for which the
function given by f(x, y) = k[y(y-x)], for x= 0, 1, 2 & y =0, 1, 2
can serve as a joint probability distribution.
Solution:
• Substituting the various value of x, and y, we get
f(0,0) = 0;f(0,1) = k; f(0,2) = 4k, f( 1,0) = 0;f(1,1) = 0;
f(1,2) = 2K ; f(2,2) =0 , f(2.0)= 0;f(2,1)=-k is not a
probability distribution since it violets the first
condition of theorem
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3) Determine the value of K for each the function
given by f(x, y) =k(x + y), for x=1, 2; y=1, 2.
Solution: f(1, 1) =2k; f (1, 2) =3k; f (2, 1) =3k;f(2,2)=4k
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x
y f x, y 1 2k 3k 3k 4k k (3 3 3 4) 12k , k 12
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Definition: A bivariate function with values f(x, y),
defined over the x y- plane, is called a joint
probability density function of the continuous
random variables (CRVS) x and y for any region A in
the x y= plane.
Theorem 4.3 A bivariate function can serve as a
joint probability density function of a pair of
continuous random variables x and y if its values,
f(x, y), satisfy the conditions:
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• K=15/11
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Marginal probability distribution
Definition: If x and y are discrete random variables
and f(x, y) is the value of their joint probability
distribution at (x, y), the function given by g(x) =
for each x within the range of x is called the
marginal distribution of x.
Correspondingly, the function given by h(y) =
for each y within the range of y is called the
marginal distribution of y.
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Definition: If x and y are continuous random variables
(CRVs) and f(x, y) is the value of their joint
probability density at (x, y), the function given by
g(x)= is called the marginal density of x.
Correspondingly, the function given by
h(y)= is called the marginal density of y.
Examples 1:The joint probability distribution of X and
Y is given by:
I. The marginal distribution of x.
II. The marginal distribution of y
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Example 2) Given the joint probability density
f(x, y) =
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Conditional Distribution and Independence
Definition: If f(x, y) is the value of the joint probability
distribution of the discrete random variables x and y at (x,
y) and h(y) is the value of the marginal distribution of y at
y,
the function given by: for each of x within
the range of x, is called the conditional distribution of x
given Y=x
Correspondingly, if g(x) is the value of the marginal
distribution f(y, x) at x, the function given by
for each y within the range of y, is called the conditional
distribution of y given x=x 19
Examples 1: Given the joint probability distribution
f(x, y) = for x = 1,2,3 and y = 1,2,3 , find the
conditional distribution of x given y=1
Solution:
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Example 2) Suppose if a textile factory is interested
to know the relation ship between the work
experience of employees (x) and their grade (work
level) in the factory (y) and if these two bivariate
random variables are constructed as a joint
probability distribution denoted by f(x, y)
for x = 0, 1, 2 and y= 0, 1,2 when the individual
employee is selected at random there may be 9
possible outcomes. These are shown in the table
below as follows which depicts the relation ship
between work experience of employees and their
level of work in a textile factory.
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Definition: If f(x, y) is the value of the joint density
of the continuous random variables (CRVs) X and Y
at (x, y) and h(y) is the value of the marginal density
of y at y, the function given by
f(x/ y) =
is called the conditional density of x given y=y,
• Correspondingly, if f(x) is the value of the
marginal density of x at x, the function given by
W(y/x)=
is called the conditional density of y given x=x.
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Independent random variables
Two or more random variables are independent when
all the marginal probability and the joint probability of
any group of them are unaffected by values of any
others.
Definition: If f(x1, x2… xn) is the value of the joint
probability distribution of the n discrete random
variables x1, x2, …,xn at (x1, x2, …, xn), and
fi(xi) is the value of the marginal distribution of x i at xi
for i = 1, 2, …, n, then the n random variables are
independent if and only if
f(x1, x2, …, xn) = f1(x1)f2(x2). ….fn(xn), for all (x1, x2, …, xn)
within their range. i.e., f(x1, x2, …, xn) = 28
Definition: If f(x1, x2, …, xn) is the value of the joint
probability density of the n continuous random
variables x1, x2, …, xn at (x1, x2, …, xn), and fi(xi) is the
value of the marginal distribution of xi at xi for i = 1, 2,
…, n, then the n random variables are independent if
and only if f(x1, x2, …, xn) = f1(x1).f2(x2). …. fn(xn)
= , for all (x1, x2, …, xn) with in their range.
Examples:10 independent tosses of a balanced coin,
let xi be the number of Heads (0 or 1) obtained in the
10th toss for i = 1, 2… 10.
Find the joint probability distribution of these 10
random variables.
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Solution: Since each of the random variables xi, for
i = 1, 2,………, 10 has the probability distribution fi(xi)
= ½, for xi = 0, 1 {H, T} i.e., head and/or tail and the
10 random variables are independent, their joint
probability distribution is given by
f(x1, x2, …, x10) = f1(x1).f2(x2).….f10(x10)
where xi = 0 or 1, for i = 1, 2, …, 10
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Exercise !!
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Expectations
If X is discrete random variable and f(x) is the value of its
probability distribution at x the expected value of x is E(x)
=
If X is a continuous random variable and f(x) is the value of
its probability density at x, the expected value of x is E(x) =
If X and Y are discrete random variables and f(x, y) is the
value of their joint probability distribution at (x, y) the
expected value of g(x, y) is
E[g(x, y)] =
If X and Y are continuous random variables and f(x, y) is
the value of their joint probability density at (x, y), the
expected value of g(x, y) is
E[g(x, y)] = 32
Example 1: Suppose two balls are selected at random
form a sack of containing three red balls, two black balls
and fouryellow balls. If X and Y are, respectively, the
numbers of red balls and black balls included among the
two balls drawn from the sack, then the probabilities
associated with all possible pairs of values of X and Y are
(0,0), (0,1), (1,0), (1,1),(0,2), and (2,0),and the number
of ways in which two of the nine balls can be selected is
=[Link] calculate the expected value of g(x, y)= x+y.
Solution: f(X=x, Y=y)
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Covariance and correlation
Let X and Y are two random variables with mean
E(X) and E(Y).
Their relation ship is measured by covariance and
correlation between them. Covariance and variance
are interrelated,
Covariance of X and Y measures how these
variables change together,
While correlation measures the direction and
closeness (association) of the linear relationship
(association) between them.
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Covariance
Let X and Y are two random variables with means E(X)
and E(Y). Then the covariance between the two variables
is defined as.
Cov(X,Y) = E[(X-E(X)) (Y-E(Y))
= E[xy - yE(x) – x E(y) +E(x) E(y)]
=E(xy)-E(y)E(x)-E(x)E(y)+E(x)E(y)
= E(xy) -2E(y)E(x)+E(y)E(x)
= E(xy)- E(x)E(y)
Properties of covariance
1. var (x) = cov (x, x)
2. cov(x, y) = E(x) E(y) – E(x) E(y) = 0, if x and y are independent
3. cov(a0 + a1 x, bo + b1y) = a1b1 cov(x, y) 37
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Correlation
The correlation between two variables may be defined
as the degree of relationship between two variables.
If the number of variables is more than two then we
have multiple correlations.
The degree of relation ship between two variables in
simple correlation, and it is expressed as:
,where ρ- read as rho, stands for the population
parameter, if the data for variables are obtained form
the sample, then the symbol for correlation is “r” and σx
and σy are standard deviation of x and y respectively; -
ρxy is the quantity of coefficient correlation between the
two variables. 40
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Conditional expectation
If X and Y are discrete random variable
The conditional expectation (mean) of X given
Y=y is given by: E(X/Y=y) = E(X/Y) =
The conditional expectation (mean) of Y given X =
x is given by: E(Y/X=x) = E(Y/X) =
If X and Y are a continuous random variable
The conditional expectation (mean) of X given
Y=y is given by: E(X/Y=y)=
The conditional expectation (mean) of Y given X =
x is given by: E(Y/X=x)=
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Example: 1) Consider the following probabilities
given in the table bellow:
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Definition: If X is a discrete random variable and f(x/y) is
the value of the conditional probability distribution of X
given Y = y at x, the conditional expectation of g(x) given
Y = y is:
E[g(X)/Y] =
Correspondingly, if X is a continuous random variable
and f(x/y) is the value of the conditional probability
density of X given Y = y at x, the conditional expectation
of g(X) given Y = y is:
E[g(x)/y]=
• Similar expressions based on the conditional
probability distribution or density of Y given X = x
defined the conditional expectation of h(y) given X = x.
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Variance
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Independence and Expectation
if X and Y are independent, their covariance is zero.
i.e., if X and Y are independent, then
E(XY)=E(X).E(Y), and σxy=0 .
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