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DISTRIBUTIONS
MODULE 4
Learning Objectives
After careful study of this chapter you should be able to do the following:
1) fXY(x, y) ≥ 0
2) åå f XY ( x, y ) = 1
x y
3) f XY ( x, y ) = P( X = x, Y = y )
EXAMPLE 1
P[( X , Y ) Î A], where A is the region {( x, y ) 0 < x < 1, 1 / 4 < y < 1 / 2}.
Marginal Probability Density Function
If the joint probability density function of random variables X and Y is
fXY(x, y), the marginal probability density functions of X andY are
where the first integral is over all points in the range of (X, Y)
for which X = x and the second integral is over all points in the
range of (X, Y) for Y = y.
Conditional Probability Distribution of
Discrete Random Variable
f ( x, y )
f (y x) = , g ( x) > 0
g ( x)
f ( x, y )
f (x y ) = , h ( y ) > 0.
h( y )
where
g ( x ) = å f ( x, y )
y
h ( y ) = å f ( x, y )
x
Conditional Probability Distribution
of Continuous Random Variable
f ( x, y )
f (y x) = , g ( x) > 0
g ( x)
f ( x, y )
f (x y ) = , h( y ) > 0
h( y )
where
¥
g ( x) = ò f ( x, y )dy
-¥
¥
h( y ) = ò f ( x, y )dx
-¥
Test for Independence
f (x1 , x2 ,", xn ) = f1 ( x1 ) f 2 ( x2 ) ! f n ( xn )
Example 3
Ê Suppose that X and Y have the following joint probability
distribution:
y x
= 0, elsewhere.
E (Y x ) = ò yfY x ( y )
y
(
V (Y x ) = ò y - µY x )f
2
Y x
(y) = ò y 2
fY x ( y ) - µ 2
Y x
y y
Example 6
Ê Let the random variable X denote the time until a computer server
connects to your machine (in milliseconds) and let Y denote the
time until the server authorizes you as a valid user (in milliseconds).
Each random variables measures the wait from a common starting
time and X < Y. Assume that the joint probability density function
for X and Y is
ìïåå h( x, y ) f XY ( x, y ) X, Y discrete
E [h( X , Y )] = í
ïîò ò h( x, y ) f XY ( x, y )dxdy X, Y continuous
Covariance
s XY = E[( X - µ X )(Y - µY )] = E ( XY ) - µ X µY
Correlation
cov( X , Y ) s XY
r XY = =
V ( X )V (Y ) s X s Y
0 1 2
y 0x 3/28 9/28 3/28
1 3/14 3/14
2 1/28
= 0, elsewhere
Ê Find σXY.
Linear Functions of Random Variables
Ê Given random variables X1, X2, ……, Xp and constants c1, c2,
……., cp,
V (Y ) = c V ( X 1 ) + c V ( X 2 ) + ! + c V ( X p )
2
1
2
2
2
p
Example 9
( )
V X =
s2
p
Reproductive Property of the Normal
Distribution
and
fY(y) =fX[u(y)]
Example 11