Yates ch5

Chapter 5.
Random Vectors
Doug Young Suh
Media Lab.
suh@khu.ac.kr
5.1 Probability Models
Multivariate Joint CDF (3 tosses of dice)

Multivariate Joint PMF

Multivariate Joint CDF and PMF (continuous)

MediaLab , Kyunghee University 2
]. ,...., [ ) ,...., (
1 1 1 1 ,....,
1
x X x X P x x F
n n X X
n
s s =
]. ,...., [ ) ,...., (
1 1 1 1 ,....,
1
x X x X P x x P
n n X X
n
= = =
.
) ,......, (
) ,...., (
1
1 ,....,
1 ,....,
1
1
n
n X X
n
n X X
x x
x x F
x x f
n
n
c c
c
=
5.1 Probability Models: properties

Discrete

Continuous

Probability of event(subset)

, 0 ) ,...., (
1 ,....,
1
>
n X X
x x P
n
. 1 ) ,...., (
1
1
1
1 ,....,
=

e e
X
n
X n
n
S x S x
n X X
x x P
, 0 ) ,...., (
1 ,....,
1
>
n X X
x x f
n
} }

=
1
1 1
, ) ,...., ( ) ,...., (
1 1 ,...., 1 ,....,
x x
n n X X n X X
n
n n
du du u u f x x F
} }

=
1
1
. 1 ) ,...., (
1 1 ,....,
x x
n n X X
n
n
du du u u f
), , ,......... ( ] [
, ,.........
1 ,....
1
1
e
=
A x x
n X X
n
n
x x P A P
. ) ,...., ( ] [
1 1 ,....,
1 } }
=
n n X X A
du du u u f A P
n

Ex. 5.1
n independent trials
r possible outcomes {s
1
, , s
r
}, each p
i
n
i
times for outcome s
i

Roll a dice 10 times, and probability to
have three 2, two 4, four 5, one 6.
Roll yut 10 times and probability to have
three do, two gae, four girl, one mo.
r
r
n
r
n n
r
r N N
p p p
n n
n
n n P
2 1
1
2 1
1
1 ,....
,.......
) ,....., (
|
|
.
|
\
|
=
Ex. 5.3
A continuous joint PMF

Event A =

Sol

= s s
=
otherwise
n i x
x x f
i
n X X
n
0
, ,....., 1 , 1 0 1
) ,...., (
1 ,....,
1
{ | max 1/ 2 1,..., }
i i i
X X for i n s =
] 2 / 1 ,........, 2 / 1 [ ] 2 / 1 max [ ] [
1
s s = s =
n i
i
X X P X P A P
.
2
1
1
2 / 1
0
1
2 / 1
0
n
n
dx dx = =
} }

5.2 Vector Notation
Random vector
i
Vector sample value
i
CDF
PMF
PDF
Pair of random vectors
Joint CDF
Joint PMF
Joint PDF
]'. [
1 n
X X X =
]'. [
1 n
x x X =
). ,...., ( ) (
1 ,....,
1
n X X X
x x F X F
n
=
). ,...., ( ) (
1 ,....,
1
n X X X
x x P X P
n
=
). ,...., ( ) (
1 ,....,
1
n X X X
x x f X f
n
=
); ,...., , ,...., ( ) , (
1 1 ,..... , ,...., ,
1 1
n n Y Y X X Y X
y y x x F y x F
n n
=
); ,...., , ,...., ( ) , (
1 1 ,..... , ,...., ,
1 1
n n Y Y X X Y X
y y x x P y x P
n n
=
). ,...., , ,...., ( ) , (
1 1 ,..... , ,...., . ,
1 1
n n Y Y X X Y X
y y x x f y x f
n n
=
Ex. 5.4
For = [1 2 3] Find CDF

Sol)
>
=

otherwise
x e
x f
x a
X
0
0 6
) (
'
>
=

otherwise
x e
x f
i
x x x
X
0
0 6
) (
3 2 1
3 2
>
=

otherwise
x e e e
x F
i
x x x
X
0
0 ) 1 )( 1 )( 1 (
) (
3 2 1
3 2
5.3 Marginal Probability Function
For a joint PMFs

Marginal PMFs are

Marginal PDFs
) , , , (
, , ,
z y x w P
Z Y X W
e
=
W
S w
Z Y X W Z Y X
z y x w P z y x P ), , , , ( ) , , (
, , , , ,

e e
=
X Y
S x S y
Z Y X W Z W
z y x w P z w P ), , , , ( ) , (
, , , ,

e e e
=
W X Y
S w S x S y
Z Y X W X
z y x w P x P . ) , , , ( ) (
, , ,
( )
X
P x
Y
X
P
X
(3)
Z
1
2
3
4
5
6
}

= , ) , , , ( ) , , (
, , , , ,
dw z y x w f z y x f
Z Y X W Z Y X
, , ,
( ) ( , , , ) .
Z W X Y Z
f z f w x y z dwdxdy

=
} } }
Ex. 5.5

? ?
Sol)
s s s s s s
=
otherwise
y y y y
y y f
Y Y
0
, 1 0 , 1 0 4
) ,..., (
4 3 2 1
4 1 ,..,
4 1
. ) 1 ( 4 4 ) , (
4 1 3 2
0
4 1 ,
1
4
4 1
y y dy dy y y f
y
y
Y Y
= =
} }
s s s s
=
otherwise
y y y y
y y f
Y Y
0
, 1 0 , 1 0 ) 1 ( 4
) , (
4 1 4 1
4 1 ,
4 1
). 1 ( 2 ) 1 ( 4 ) , ( ) (
3 2
1
0
3 2 2 3 2 , 3
3 2 3
y dy y y dy y y f y f
Y Y Y
= = =
} }
s s
=
otherwise
y y
y f
Y
0
, 1 0 ) 1 ( 2
) (
3 3
3
3
) , (
4 1 ,
4 1
y y f
Y Y
) (
3
3
y f
Y
5.4 Independence
If independent,

Ex. 5.6 independent?
Sol)

dependent!!
). ( ) ( ) ( ) ,...., (
2 1 1 ,....,
2 1 1
n X X X n X X
x P x P x P x x P
N n
=
). ( ) ( ) ( ) ,...., (
2 1 1 ,....,
2 1 1
n X X X n X X
x f x f x f x x f
n n
=
s s s s s s
=
otherwise
y y y y
y y f
Y Y
0
, 1 0 , 1 0 4
) ,..., (
4 3 2 1
4 1 ,..,
4 1
). ,..., (
, 0
, 1 0 , 1 0 ) 1 ( ) 1 ( 16

) ( ) ( ) ( ) (
4 1 ,..,
4 3 2 1 4 3 2 1
4 3 2 1
4 1
4 3 2 1
y y f
otherwise
y y y y y y y y
y f y f y f y f
Y Y
Y Y Y Y
=

s s s s s s
=
, 1 0 ), 1 ( 2 ) , ( ) (
1 1 4 4 1 , 1
4 1 1
s s = =
}

y y dy y y f y f
Y Y Y
. 1 0 , 2 ) , ( ) (
4 4 1 4 1 , 4
4 1 4
s s = =
}

y y dy y y f y f
Y Y Y
. 2 ) 1 ( 4 ) , ( ) (
2 3
1
0
3 2 3 3 2 , 2
3 2 2
y dy y y dy y y f y f
Y Y Y
= = =
} }

5.5 Functions
For

Ex. 5.8) [0,1) n trials of spinning wheel
Pr{max<Y
n
}? CDF and PDF of Y
n
?

Sol) CDF PDF

) (X g W =
: ( )
( ) [ ] ( ),
W X
X g X w
P w P W w P x
=
= = =

}
}
= = =
s
. ) (
1
] [ ) (
) (
n X
w W F w F
dx dx x f
w X g
W

>
s s
<
=
, 1 1
, 1 0
, 0 0
) (
y
y y
y
y F
n
Y
n
1
0 1,
( )
0 .
n
n
Y
ny y
f y
otherwise
s s
=

Theorem 5.10
Theorem 5.10 Y
k
=aX
k
+b, a>0

Proof)
, ,...., ) (
1
|
.
|
\
|

=
a
b y
a
b y
F y F
n
X Y
, ,....,
1
) (
1
|
.
|
\
|

=
a
b y
a
b y
f
a
y f
n
X
n
Y
| |
n n Y
y b aX y b aX P y F s + s + = ,......, ) (
1 1
. ,...., ,......, ) (
1 1
1
|
.
|
\
|

=
(
s =
a
b y
a
b y
F
a
b y
X
a
b y
X P y F
n
X
n
n Y
. ,....,
1
) ,....., (
) (
1
1
1 ,....
1
|
.
|
\
|

=
c c
c
=
a
b y
a
b y
f
a y y
y y F
y f
n
X
n
n
n Y Y
Y
n
n
Matrix multiplication
(kXm)X(mXn) = (kXn)
(2X3)X(3X2) = (2X2)
1 2 3
1 2 0
1 2
2 1
1 3
=
(1X2)X(2X1) = (1X1)

1 2
2
5
=12
(2X1)X(1X2) = (2X2)

2
5
1 2
=
Matrix transpose
1 2 3
=
1
2
3

5.6 Expected value
Definition 5.11 Expected Value Vector
- The expected value od a random vector X is a column Vector

Example 5.9 if X = [
1

2

3
] what are the components of XX?
. ] ] [ . . . ] [ ] [ [ ] [
3 2 1
'
X E X E X E = = X E
X
Example 5.9 Solution

| |
(
(
(
X X X X X
X X X X X
X X X X X
= X X X
(
(
(
X
X
X
= X
'
X
2
3 2 3 1 3
3 2
2
2 1 2
3 1 2 1
2
1
3 2 1
3
2
1
Note that (3X1)X(1X3) = (3X3).
Definition 5.12 E[A]
Definition 5.12 Expected Value of a Random
Matrix
- For a random matrix A with the random variable A
ij
as
its i, j-th element, E[A] is a matrix with i, j-th element
E[A
ij
].

Definition 5.13 Vector Correlation
The correlation of a random vector X is an n x n matrix Rx with i, j th
element R
X
(i,j) = E[X
i
X
j
] in vector notation,

Example 5.10
if X = [
1

2

3
], the correlation matrix of X is

] [ X
'
X E =
X
R
(
(
(
X E
X E
X E
=
(
(
(
X E X X E X X E
X X E X E X X E
X X E X X E X E
=
X X X X
X X X X
X X X X
X
] [
] [
] [
] [ ] [ ] [
] [ ] [ ] [
] [ ] [ ] [
2
3
2
2
2
1
2
3 2 3 1 3
3 2
2
2 1 2
3 1 2 1
2
1
2 , 3 1 , 3
2 , 1 1 , 2
3 , 1 2 , 1
r r
r r
r r
R
Definition 5.14 Vector Covariance
The Covariance of a random vector X is an n x n
matrix C
x
with components C
X
(i, j)=Cov[X
i
,X
j
].

Example 5.11
If X = [
1

2

3
], the covariance matrix of X is

] ) )( [(
'
X X E =
X
x x C
(
(
(
X X X X X
X X X X X
X X X X X
=
X
] [ ] , [ ] , [
] , [ ] [ ] , [
] , [ ] , [ ] [
3 2 3 1 3
3 2 2 1 2
3 1 2 1 1
Var Cov Cov
Cov Var Cov
Cov Cov Var
C
Theorem 5.12
Theorem 5.12
- For a random vector X with correlation matrix
, covariance matrix , and vector expected
value ,

Proof :

Since is a constant vector,
X
X
R
X
C
X X X X
'
= R C
] [
X X X X X
'
+ X
'
'
X X
'
X E = C
] [ ] [ ] [ ] [
X X X X
'
E + X
'
E
'
X E X
'
X E =
X
= X E ] [
X X X X X X X X X
'
=
'
+ X
'
E
'
X E = R R C ] [ ] [
Example 5.12
- Find the expected value , the correlation matrix , and the
covariance matrix of the 2-dimensional random vector with PDF

X
C
] [X E
X
R
X
s s s
= X
X
. 0
, 1 0 2
) (
2 1
othewise
f
_ _
-The elements of the expected value vector are

-The integrals are and so that
The elements of the correlation matrix are
2
1
1 2 1 2
0 0
[ ] ( ) 2 , 1, 2.
x
i i i
f dx x dx dx i _ _

X

E X = X = =
} } } }
3 / 1 ] [
1
= X E
3 / 2 ] [
2
= X E
= X E =
X
] [
| |. 3 / 2 3 / 1
'
, 2 ) ( ] [
2 1
1
0 0
2
1 2 1
2
1
2
1
2
dx dx dx dx f
x
} } } }
= X = X E
X

_ _
, 2 ) ( ] [
2 1
1
0 0
2
2 2 1
2
2
2
2
2
dx dx dx dx f
x
} } } }
= X = X E
X

_ _
, 2 ) ( ] [
2 1
1
0 0
2 1 2 1 2 1 2 1
2
dx dx dx dx f
x
} } } }
= X = X X E
X

_ _ _ _
-These integrals are
Therefore,

-We use Theorem 5.12 to find the elements of the covariance matrix
1/ 6 1/ 4
1/ 4 1/ 2
R
X
(
=
(

(
=
(
=
'
=
X X X X
18 / 1 36 / 1
36 / 1 18 / 1
9 / 4 9 / 2
9 / 2 9 / 1
2 / 1 4 / 1
4 / 1 6 / 1
R C
2 2
1 2 1 2
[ ] 1/ 6, [ ] 1/ 2, [ ] 1/ 4 and E X = E X = E X X =
Definition 5.15 Vector Cross-Correlation

- The cross-correlation of random vectors, X with n
components and Y with m components, is an n x m
matrix R
XY
with i, j-th element

] [ Y
'
X E =
XY
R
], [ ) , (
j i
j i R Y X E =
XY
Definition 5.16 Vector Cross-Covariance
Definition 5.16 Vector Cross-Covariance

- The cross-covariance of a pair of random vector
with n components and with m components is an
n x m matrix with i , j th element

] ) )( [(
'
Y X E =
Y X XY
C
X
Y
XY
C
], [ ) , (
j i
Cov j i C Y X =
XY
Theorem 5.13
Theorem 5.13
- is an n-dimensional random vector with expected
value , correlation , and covariance .,
The m-dimensional random vector where
A is an m x n matrix and b is an m-dimensional
vector, has expected value , correlation matrix
and covariance matrix given by
.
, ) ( ) (
,
A
'
A =
'
+
'
A +
'
A + A
'
A =
+ A =
X Y
X X X Y
X Y
C C
b b b b R R
b

X
X
R
b + AX = Y
X
X
C
Y
Y
R
Y
C
Proof: Theorem 5.13
Proof: Theorem 5.13
- We derive the formulas for the expected value
covariance of . The derivation for the correlation is
similar. First, the expected value of is

It follows that This implies

Y
] ) ) ( ))( ( [(
'
X A X A E =
X X Y
C
b b b + A = E + X AE = + AX E =
X Y
] [ ] [ ] [
). (
X Y
X A = Y
Y
. ] ) )( [( ] ) )( ( [ A
'
A = A
' '
X X AE = A
' '
X X A E =
X X X X X
C
Example 5.13
Example 5.13
- Given random vector X defined in Example 5.12,
let Y=AX+b
where

Find the expected value , the correlation , and
the Covariance
Y
1 0 0
6 3 2
3 6 2
and b
( (
( (
A = =
( (
( (

Y
R
Y
C
Example 5.13 solution
- From the matrix operations of Theorem 5.13, we
obtain and
| |
'
=
Y
3 2 3 / 1
;
5 . 12 25 . 9 3 / 4
25 . 9 5 . 7 12 / 13
3 / 4 12 / 13 6 / 1
(
(
(
=
Y
R
(
(
(
=
Y
5 . 3 25 . 3 3 / 1
25 . 3 5 . 3 12 / 5
3 / 1 12 / 5 18 / 1
C
Theorem 5.14
Theorem 5.14
- The vector and have cross-correlation
and cross-covariance given by
X
XY
R b + AX = Y
XY
C
b R R
'
+ A
'
=
X X XY
A
'
=
X XY
C C
Example 5.14
Example 5.14
- Continuing Example 5.13 for random vectors and
calculate

(a) The cross-correlation matrix and the cross-
covariance matrix
(b) The correlation coefficients

, b + AX = Y
3 1
,Y Y
X
XY
C
XY
R
1 2
Y X
and
(a) Direct matrix calculation using Theorem 5.14

(b) Referring to Definition 4.8 and recognizing that
, we have

Similarly,
;
12 / 29 3 / 5 4 / 1
3 / 4 12 / 13 6 / 1
(
=
XY
R
(
=
XY
12 / 5 3 / 1 36 / 1
3 / 1 12 / 5 18 / 1
C
) , ( ] [ i i C Var
i Y
= Y
1 3
1 3
1 3
[ , ] (1, 3)
0.756
[ ] [ ] (1,1) (3, 3)
Cov C
Var Y Var C C
Y
Y Y
Y Y
Y Y
= = =
Y
2 / 1
) 1 , 1 ( ) 2 , 2 (
) 1 , 2 (
] [ ] [
] , [
1 2
1 2
1 2
= =
Y X
Y X
=
Y X
XY
Y X
C C
C
Var Var
Cov
Quiz 5.6
Quiz 5.6
- In Quiz 5.3, the 3-dimensional random vector
has PDF

Find the expected value , and the correlation and
covariance matrices and
| |
'
X X X = X
3 2 1
] [X E
X
R
s s s s
= X
X
otherwise
f
0
, 1 0 6
) (
3 2 1
_ _ _
X
C
Quiz 5.6 Solution
Quiz 5.6 Solution
- We start by finding the components
of . To do so, we use the marginal PDFs found
in Quiz 5.3:

To find the correlation matrix , we need to find
For all i , and j. we start with the second moments:
X
X
R
}
}
}
= = X E
= = X E
= = X E
1
0
3
3
1
0
2
2
1
0
2
1
. 4 / 3 3 ] [
2 / 1 ) 1 ( 6 ] [
, 4 / 1 ) 1 ( 3 ] [
dx x
dx x x
dx x x
dx x xf
i
x i
) ( ] [
}

= X E
) (x f
i
x
] , [
j i
X X E
}
}
}
= = X E
= = X E
= = X E
1
0
4 2
3
1
0
3 2
2
1
0
2 2 2
1
. 5 / 3 3 ] [
, 10 / 3 ) 1 ( 6 ] [
, 10 / 1 ) 1 ( 3 ] [
dx x
dx x x
dx x x
Quiz 5.6 Solution
Quiz 5.6 Solution
- Using marginal PDFs from Quiz5.3z the cross terms are

Summarizing the results, X has correlation matrix
. 5 / 1 ] 3 2 [
1
| ) 3 2 (
1
4
1
2
1
1
0
1 1
1
0
1 3
3 2
3
2
1
3
3 1
= + =
|
|
.
|
\
|
=
=
=
} }
dx x x x dx
x x
x
x x x x
}

= X X E
2 1 2 1 2 1 2 1 2 1
), , ( ] [ x dx x x x fx x x
. 20 / 3 ] 2 3 [ ) 1 ( 6
1
4
1
1
0
3
1 1 1
1
0
1
2 2 2 1
1
= + =
|
.
|
\
|
=
} } }
dx x x x dx dx x x x
x
5 / 2 ] 3 3 [ 6 ] [
2
4
2
1
0
2
2 2 3 3
1
0
1
2
2 3 2
2
= = = X X E
} } }
dx x x dx dx x x
x
. ) ( 6 ] [
1 3 1 3 3
1
0
1
1 3 2
1
dx dx x x x x
x
= X X E
} }
(
(
(
=
X
5 / 3 5 / 2 5 / 1
5 / 2 10 / 3 20 / 3
5 / 1 20 / 3 10 / 1
R
Quiz 5.6 Solution
Quiz 5.6 Solution
- Vector X has covariance matrix

This problem shows that even for fairly simple joint
PDFs, computing the covariance matrix by calculus
can be a time consuming task.
] [ ] [
'
X E X E =
X X
R C
| | 4 / 3 2 / 1 4 / 1
4 / 3
2 / 1
4 / 1
5 / 3 5 / 2 5 / 1
5 / 2 10 / 3 20 / 3
5 / 1 20 / 3 10 / 1
(
(
(
(
(
(
=
.
3 2 1
2 4 2
1 2 3
80
1
16 / 9 8 / 3 16 / 3
8 / 3 4 / 1 8 / 1
16 / 3 8 / 1 16 / 1
5 / 3 5 / 2 5 / 1
5 / 2 10 / 3 20 / 3
5 / 1 20 / 3 10 / 1
(
(
(
=
(
(
(
(
(
(
=
5.7 Gaussian Random Vectors
=
1
(2)
2
[det (
)]
1/2
exp
1
2
(
1
(
)
Theorem 5.15
Theorem 5.15
- A Gaussian random vector X has independent components if and
only if is a diagonal matrix

Proof: Theorem 5.15
- First, if the components of X are independent, then for and are
independent. By Theorem 4.27(c), . Hence the off-diagonal
terms of are all zero. If is diagonal, then

It follows that has determinant det and that
X
C
i
X j i , =
j
X
0 ] , [ = X X
j i
Cov
X
C
X
C
.
/ 1
/ 1
2
2
1
1
2
2
1
(
(
(
=
(
(
(
=

X X
n n
C and C
o
o
o
o

X
C
2
1
) (
i
n
i
C o
= X
[ =
Proof: Theorem 5.15

From Definition 5.17, we see that

Thus , implying are independent.

.
) (
) ( ) (
1
2
2
1
X
=
'
n
i
i
i i
x x x
x C x
o

|
|
.
|
\
|

[
=

=
=
n
i
i i i
i
n
i
n
X
x X f
1
2
2
1
2 /
2 / ) ( exp
) 2 (
1
) ( o
o t
). 2 / ) ( exp(
2
1
2 2
2
1
i i i
i
n
i
x o
to
=
[
=
[
=
=
n
i
i i
x fx X fx
1
) ( ) (
n
X X ,...,
1
Example 5.15
Example 5.15
-Consider the outdoor temperature at a certain weather station. On May 5, the temperature
measurements in units of degrees Fahrenheit taken at 6AM are all Gaussian random variables,
with variance 16degrees . The expected values are 50degrees, 62 degrees, and
58degrees respectively. The covariance matrix of the three measurements is

(a) Write the joint PDFs of using the algebraic notation of Definition 4.17.
(b) Write the joint PDFs of using vector notation.
(c) Write the joint PDFs of using vector notation.

3 2 1
, , X X X
2
(
(
(
=
0 . 16 8 . 12 2 . 11
8 . 12 0 . 16 8 . 12
2 . 11 8 . 12 0 . 16
Cx
2 1
,X X
2 1
,X X
| |
'
=
3 2 1
X X X X
(a) First we note that and have expected values and , variance
and, covariance . It follows from Definition 4.8 that
the correlation coefficient is

From Definition 4.17, the joint PDF is

(b) Let denote a vector representation for random variables and .
From the covariance matrix , we observe that the 2 x 2 submatrix in the upper left
corner is the covariance matrix of the random vector W. Thus
1
X
. 8 . 0
16
8 . 12 ] , [
2 1
2 1
,
2 1
= = =
o o
X X Cov
X X
| |
'
=
2 1
X X W
2
X
50
1
= 62
2
=
16
2
2
2
1
= = o o
8 . 12 ] , [
2 1
= X X Cov
.
3 . 60
2 . 19
) 62 ( ) 62 )( 50 ( 6 . 1 ) 50 (
exp
) , (
2
2 2 1
2
1
2 1 ,
2 1
|
|
.
|
\
|
+
=
x x x x
x x f
X X
1
X
2
X
X
C

We observe that det and From Definition 5.17,
the joint PDF of W is

(c) For the joint PDF of X, We note X has expected value and that
det Thus

(
=
, 62
50
W
| |
'
= 58 62 50
X
.
0 . 16 8 . 12
8 . 12 0 . 16
(
=
W
C
16 . 92 ) ( =
W
C . 6 . 9 ) (
2 / 1
=
W
C
|
|
.
|
\
|
=

w w C w w w f
W
T
W
( ) (
2
1
exp
3 . 60
1
) (
1
. 717 . 22 ) (
2 / 1
=
X
C
|
|
.
|
\
|
=

x x C x x X f
x
T
X
( ) (
2
1
exp
8 . 357
1
) (
1
Theorem 5.16
Given an n-dimensional Gaussian random vector X with expected value
and covariance , and an m x n matrix A with rank(A) = m,

Is an m-dimensional Gaussian random vector with expected value
and covariance

Proof: Theorem 5.16
- The proof of Theorem 5.13 contains the derivations of and . Our
Proof that Y has a Gaussian PDF is confined to the special case when m=n
and A is an invertible matrix. The case of m < n is addressed in Problem
5.7.9. When m = n, we use Theorem 5.11 to write

X
C
b AX Y + =
b A
X
+ . A AC C
X Y
'
=
Y
)) ( (
| ) det( |
1
) (
1
b y A fx
A
y f
Y
=

X
=
Y
Y
C
2 / 1 2 /
1 1 1
| ) det( || ) det( | ) 2 (
] ) ( [ ] ) ( [
2
1
exp
X
n
X X X
C A
b y A C b y A
t

|
|
.
|
\
|
'
=

Proof of Theorem 5.16
In the exponent of , we observe that

Since
Applying (5.79)to (5.78) yields

Using the identities
We can write

Since , we see from Equation (5.81) that Y is a
Gaussian vector with expected value and covariance matrix

), ( )] ( [ ) (
1 1 1
Y X X
y A b A y A b y A = + =

b A
X Y
+ =
1 1 1 1
) ' ( ) ' (

= A AC A C A
X X
, ) ( ) ( | ) det( | | ) det( || ) det( |
1 1 2 / 1 2 / 1
'
=
' '
= A A and A AC C A
X X
Y
) (y f
Y
2 / 1 2 /
1 1 1
| ) det( || ) det( | ) 2 (
)] ( [ ] ) ( [
2
1
exp
) (
X
n
Y X Y
Y
C A
y A C y A
y f
t

|
|
.
|
\
|

'
=

2 / 1 2 /
1 1 1
| ) det( | ) 2 (
) ( ) ( ) (
2
1
exp
) (
A AC
y A C A y
y f
X
n
Y X Y
Y
'
|
|
.
|
\
|

' '
=

t

'. A AC C
X Y
=
Example 5.16
Continuing Example 5.15, use the formula to convert the three
temperature measurements to degrees Celsius.
(a) What is , the expected value of random vector Y ?
(b) What is , the covariance of random vector Y ?
(c) Write the joint PDF of using vector notation.

(a) In terms of matrices, we observe that where

(b) Since from Theorem 5.16,

(c) The covariance of Y is . We note that where I is the 3 x 3
identity matrix. Thus . The PDF of Y is

) 32 )( 9 / 5 ( =
i i
X Y
Y
| |
'
=
3 2 1
Y Y Y Y
Y
C
b AX Y + =
.
1
1
1
9
160
,
9 / 5 0 0
0 9 / 5 0
0 0 9 / 5
(
(
(
=
(
(
(
= b A
| |, 58 62 50
'
=
Y
.
9 / 130
3 / 50
10
(
(
(
= + = b A
X Y

A AC C
X Y
' = I = ' = ) 9 / 5 ( A A
1 2 1
) 5 / 9 ( ) 9 / 5 (

= =
X Y X Y
C andC C C
. ) 9 ) (
50
81
exp
47 . 24
1
) (
1
|
|
.
|
\
|
=

Y X
T
Y Y
y C y y f
Definition 5.18
Definition 5.18 Standard Normal Random Vector
- The n-dimensional standard normal random vector Z is the n-dimensional Gaussian
random vector with

Theorem 5.17
- For a Gaussian random vector, let A be an n x n matrix with the property
The random vector is a standard normal random vector.

Proof : Theorem 5.17
- Applying Theorem 5.16 with A replaced by , and , we have that Z is a
Gaussian random vector with expected value

and covariance

( ) 0
Z
E Z and C = = I
) , (
X X
C
. '
X
C AA =
) (
1
X
X A Z =

| | | | , 0 ) ( ) (
1 1
= = =

X X
X E A X A E Z E
1
A
. ) ' '( ) (
1 1 1 1
I = = ' =

A AA A A C A C
X Z
X
A b
1
=
Theorem 5.18
Given the n-dimensional standard normal random vector Z, an invertible
n x n matrix A, and an n dimensional vector b, X=AZ+b is an n-
dimensional Gaussian random vector with expected value
X
and
covariance matrix C
X
=AA.

Proof : Theorem 5.18
- By Theorem 5.16, X is a Gaussian random vector with expected value

The covariance of X is

. ] [ ] [ ] [ b b Z AE AZ E X E
X X
= + = + = =
'. ' ' AA A A A AC c
Z X
= I = =

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Chapter 5.

5.1 Probability Models: properties

Example 5.9 Solution

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