jointly distributed random variables
DESCRIPTION
Probability & Joint Random VariablesTRANSCRIPT
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Jointly Distributed Random Variables
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Joint Probability Mass Function for Two Discrete Random Variables
• Let X and Y be two discrete random variables defined on a sample space S of an experiment. The joint p.m.f. p(x,y) is defined for each pair of numbers (x, y) by
p(x,y) = P(X=x and Y=y)
Let A be any set consisting of pairs of (x,y) values. Then the probability P[(X,Y)εA] is obtained by summing the joint pmf over pairs in A: ),(]).[( yxpAYXP
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The marginal probability mass function
• MPMF of X and of Y, denoted by and respectively are given by
p
)(xpX )(ypY
y
X yxpxp ),()( x
Y yxpyp ),()(
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Joint Probability density function
• Let X and Y be two continuous random variables Then the joint p.d.f. f(x,y) for X and Y if for any two dimensional set A
• In particular if A is the two dimensional rectangle
Then
A
dxdyyxfAYXP ),(]).[(
},:),{( dycbxayx
b
a
d
c
dxdyyxfdYcbXaPAYXP ),(),(],[(
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Marginal PDF
• The marginal PDF of X and Y
yfordxyxfyf
xfordyyxfxf
Y
X
),()(
),()(
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Expected values
• Let X and Y be jointly distributed rv’s with pmf p(x,y) or pdf f(x,y) according to whether the variables are discrete or continuous . Then the expected values of a function h(X,Y), denoted by E(h(X,Y)) is given by
E(h(X,Y))=
continuous are Y and X if ),(),(
discrete. are Y and X if ),(),(
dxdyyxfyxh
yxpyxhx y
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Covariance
• The covariance between two rv’s X and Y is
.continuous YX, ,))(-(x
discrete YX, ),())((
))([(),(
X dxdyyxfy
yxpyx
YXEYXCov
Y
YX
YX
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Correlation
• The correlation coefficient of X and Y denoted by Corr (X,Y), is defined by
XY
YXXY
YXCov
),(