MOMENT GENERATING

FUNCTION AND
STATISTICAL
DISTRIBUTIONS

MOMENT GENERATING
FUNCTION

The m.g.f. of random variable X is defined as

M X ( t ) E (e

tX

tx
e
f (x )dx

if X is cont.

all x

tx
e
f (x)

all x

if X is discrete

for t (-h,h) for some h>0.

Properties of m.g.f.
M(0)=E[1]=1
If a r.v. X has m.g.f. M(t), then Y=aX+b has
e bt M (at )
a m.g.f.
E (X k ) M ( k ) (0) where M ( k ) is the k th derivative.

M.g.f does not always exists (e.g. Cauchy

distribution)
3

Example
Suppose that X has the following p.d.f.
f ( x ) xe x for x 0

Find the m.g.f; expectation and variance.

CHARACTERISTIC FUNCTION
The c.h.f. of random variable X is defined as

X (t ) E (e

itX

itx
e
f ( x)dx

if X is cont.

all x

itx
e
f ( x)

for all real numbers t.

if X is discrete

all x

i 2 1, i 1

C.h.f. always exists.

5

Uniqueness
Theorem:
1.If two r.v.s have mg.f.s that exist and are
equal, then they have the same
distribution.
2.If two r,v,s have the same distribution, then
they have the same m.g.f. (if they exist)
Similar statements are true for c.h.f.
6

STATISTICAL
DISTRIBUTIONS

SOME DISCRETE
PROBABILITY
DISTRIBUTIONS
Degenerate, Uniform, Bernoulli,
Binomial, Poisson, Negative
Binomial, Geometric,
Hypergeometric
8

DEGENERATE DISTRIBUTION
An rv X is degenerate at point k if
1, X k
P X x
0, o.w.
The cdf:
0, X k
F x P X x
1, X k

UNIFORM DISTRIBUTION
A finite number of equally spaced values are
equally likely to be observed.
1
P(X x ) ; x 1,2,..., N; N 1,2,...
N

Example: throw a fair die. P(X=1)=

=P(X=6)=1/6
N 1
E(X)
;
2

( N 1)( N 1)
Var ( X )
12
10

BERNOULLI DISTRIBUTION
A Bernoulli trial is an experiment with only
two outcomes. An r.v. X has Bernoulli(p)
distribution if
1 with probability p
X
;0 p 1
0 with probability 1 p
P(X x ) p x (1 p)1 x for x 0,1; and 0 p 1
11

BINOMIAL DISTRIBUTION
Define an rv Y by
Y = total number of successes in n Bernoulli trials.
1. There are n trials (n is finite and fixed).
2. Each trial can result in a success or a failure.
3. The probability p of success is the same for all
the trials.
4. All the trials of the experiment are independent.

Y X ~ Bin n, p where X ~ Ber p .

n

i 1

Let X

independent

~ Bin n , p . Then,

X ~ Bin n n L n , p .
k

i 1

12

BINOMIAL DISTRIBUTION
Example:
There are black and white balls in a box. Select
and record the color of the ball. Put it back and
re-pick (sampling with replacement).
n: number of independent and identical trials
p: probability of success (e.g. probability of
picking a black ball)
X: number of successes in n trials
13

BINOMIAL THEOREM
For any real numbers x and y and integer n>0

n i n i
( x y ) x y
i 0 i
n

14

BINOMIAL DISTRIBUTION
If Y~Bin(n,p), then

E(Y) np
Var(Y) np(1 - p)
t

M Y ( t ) [pe (1 p)]

15

POISSON DISTRIBUTION
The number of occurrences in a given time
interval can be modeled by the Poisson
distribution.
e.g. waiting for bus, waiting for customers to
arrive in a bank.
Another application is in spatial distributions.
e.g. modeling the distribution of bomb hits in an
area or the distribution of fish in a lake.
16

POISSON DISTRIBUTION
If X~ Poi(), then E(X)= Var(X)=

M X (t ) exp{[exp(t ) 1]}

17

Relationship between Binomial and

Poisson
X ~ Bin n, p with mgf M

t pe 1 p
t

Let =np.
lim M
n

t lim pe 1 p
t

e 1

lim 1
M t
e
n

et 1

The mgf of Poisson()

The limiting distribution of Binomial rv is the

18
Poisson distribution.

NEGATIVE BINOMIAL DISTRIBUTION

(PASCAL OR WAITING TIME DISTRIBUTION)

X: number of Bernoulli trials required to

get a fixed number of failures before the r
th success; or, alternatively,
Y: number of Bernoulli trials required to
get a fixed number of successes, such as
r successes.

19

NEGATIVE BINOMIAL DISTRIBUTION

(PASCAL OR WAITING TIME DISTRIBUTION)
X~NB(r,p)
r x 1 r
p (1 p) x ;
P(X x )
x

x 0,1,...;0 p 1

M X ( t ) p r [1 (1 p)e t ] r

r (1 p)
E(X)
p

Var (X)

r (1 p)
p2
20

NEGATIVE BINOMIAL DISTRIBUTION

An alternative form of the pdf:
y 1 r
p (1 p) y r ; y r, r 1,...; 0 p 1
P(Y y)
r 1

Note: Y=X+r
r
E(Y) E(X) r
p

Var (Y) Var (X)

r (1 p)
p2

21

GEOMETRIC DISTRIBUTION
Distribution of the number of Bernoulli trials
required to get the first success.
It is the special case of the Negative Binomial
Distribution r=1.

X~Geometric(p)

P X x p 1 p , x 1,2,L
x 1

1
E(X)
p

Var (X)

(1 p)
p2
22

GEOMETRIC DISTRIBUTION
Example: If probability is 0.001 that a light bulb
will fail on any given day, then what is the
probability that it will last at least 30 days?
Solution:
P(X 30)

x 1
30
0
.
001
(
1

0
.
001
)

(
0
.
999
)
0.97

x 31

23

HYPERGEOMETRIC DISTRIBUTION
A box contains N marbles. Of these, M are red.
Suppose that n marbles are drawn randomly
from the box without replacement. The
distribution of the number of red marbles, x is
X~Hypergeometric(N,M,n)
M N M
x n x

P X x
, x 0,1,..., n
N
n

It is dealing with finite population.

24

SOME CONTINUOUS
PROBABILITY
DISTRIBUTIONS
Uniform, Normal, Exponential,
Gamma, Chi-Square, Beta
Distributions
25

Uniform Distribution
A random variable X is said to be uniformly
distributed if its density function is

1
f ( x)
a x b.
ba
The expected value and the variance are
ab
(b a) 2
E(X)
V( X )
2
12
26

Uniform Distribution
Example 1
The daily sale of gasoline is uniformly distributed
between 2,000 and 5,000 gallons. Find the probability
that sales are:
Between 2,500 and 3,000 gallons
More than 4,000 gallons
Exactly 2,500 gallons

f(x) = 1/(5000-2000) = 1/3000 for x: [2000,5000]

P(2500X3000) = (3000-2500)(1/3000) = .1667
1/3000

2000 2500 3000

5000

x
27

Uniform Distribution
Example 1
The daily sale of gasoline is uniformly distributed
between 2,000 and 5,000 gallons. Find the probability
that sales are:
Between 2,500 and 3,500 gallons
More than 4,000 gallons
Exactly 2,500 gallons

f(x) = 1/(5000-2000) = 1/3000 for x: [2000,5000]

P(X4000) = (5000-4000)(1/3000) = .333
1/3000

2000

4000

5000

x
28

Uniform Distribution
Example 1
The daily sale of gasoline is uniformly distributed
between 2,000 and 5,000 gallons. Find the probability
that sales are:
Between 2,500 and 3,500 gallons
More than 4,000 gallons
Exactly 2,500 gallons

f(x) = 1/(5000-2000) = 1/3000 for x: [2000,5000]

P(X=2500) = (2500-2500)(1/3000) = 0
1/3000

2000 2500

5000

x
29

Normal Distribution
This is the most popular continuous
distribution.
Many distributions can be approximated by a
normal distribution.
The normal distribution is the cornerstone
distribution of statistical inference.

30

Normal Distribution
A random variable X with mean and
variance is normally distributed if its
probability density function is given by
2
xx 2

((11//22))

e
e

1
1
;; 00
ff((xx))
xx
22
where 33..14159
14159...
... and
and ee22..71828
71828...
...
where
31

The Shape of the Normal

Distribution
The normal distribution is bell shaped, and
symmetrical around

90

Why symmetrical? Let = 100. Suppose x = 110.

f (110 )

1
e
2

110 100
(1/ 2)

1
e
2

10
(1/ 2)

110
Now suppose x = 90

f (90)

1
2

2
90 100
(1 / 2)

1
2

2
10
(1 / 2)

The Effects of and

How does the standard deviation affect the shape of f(x)?
= 2
=3
=4
How does the expected value affect the location of f(x)?
= 10 = 11 = 12

33

Finding Normal Probabilities

Two facts help calculate normal probabilities:
The normal distribution is symmetrical.
Any normal distribution can be transformed into
a specific normal distribution called

STANDARD NORMAL DISTRIBUTION

Example
The amount of time it takes to assemble a computer
is normally distributed, with a mean of 50 minutes
and a standard deviation of 10 minutes. What is
the probability that a computer is assembled in a
time between 45 and 60 minutes?
34

STANDARD NORMAL
DISTRIBUTION
NORMAL DISTRIBUTION WITH MEAN 0
AND VARIANCE 1.
IF X~N( , 2), THEN
X
Z
~ N (0,1)

NOTE: Z IS KNOWN AS Z SCORES.

~ MEANS DISTRIBUTED AS
35

Finding Normal Probabilities

Solution
If X denotes the assembly time of a computer, we
seek the probability P(45<X<60).
This probability can be calculated by creating a new
normal variable the standard normal variable.

Every normal variable

with some and, can
be transformed into this Z.

X xx
X
ZZ
xx

E(Z) = = 0

Therefore, once probabilities for Z

are calculated, probabilities of any
normal variable can be found.

V(Z) = 2 = 1

36

Standard normal probabilities

Copied from Walck, C (2007) Handbook on Statistical Distributions for

experimentalists

37

Standard normal table 1

38

Standard normal table 2

39

Standard normal table 3

40

Finding Normal Probabilities

Example - continued
45 - 50
X
60 - 50
P(45<X<60) = P(
<
<
)

10
10
= P(-0.5 < Z < 1)

To complete the calculation we need to compute

the probability under the standard normal distribution
41

Using the Standard Normal Table

Standard normal probabilities have been
calculated and are provided in a table .
The tabulated probabilities correspond
to the area between Z=0 and some Z = z0 >0
z
0.0
0.1
.
.
1.0
.
.
1.2
.
.

0
0.0000
0.0398
.
.
0.3413
.
.
0.3849
.
.

0.01
0.0040
0.0438
.
.
0.3438
.
.
0.3869
.
.

.
.
.

0.05
0.0199
0.0596
.
.
0.3531
.
.
0.3944
.
.

P(0<Z<z0)

Z=0
0.06
0.0239
0.0636
.
.
0.3554
.
.
0.3962
.
.

Z = z0

42

Finding Normal Probabilities

Example - continued
45 - 50
X
60 - 50
P(45<X<60) = P(
<
<
)

10
10
= P(-.5 < Z < 1)
We need to find the shaded area

z0 = -.5

z0 = 1
43

Finding Normal Probabilities

Example - continued
45 - 50
X
60 - 50
P(45<X<60) = P(
<
<
)

10
10
= P(-.5<Z<1) = P(-.5<Z<0)+ P(0<Z<1
P(0<Z<1)
z
0.0
0.1
.
.
1.0
.

0
0.0000
0.0398
.
.
0.3413
.

0.1
0.0040
0.0438
.
.
0.3438
.

0.05
0.0199
0.0596
.
.3413
.
0.3531
.

z0 =-.5 z=0 z0 = 1

0.06
0.0239
0.636
.
.
0.3554
.

44

Finding Normal Probabilities

The symmetry of the normal distribution
makes it possible to calculate probabilities for
negative values of Z using the table as follows:

-z0

+z0

P(-z0<Z<0) = P(0<Z<z0)

45

Finding Normal Probabilities

Example - continued
0
0.0000
0.0398
.
.
0.1915
.

0.1
0.0040
0.0438
.
.
.
.

.3413
.1915

z
0.0
0.1
.
.
0.5
.

-.5

0.05
0.0199
0.0596
.
.
.
.

0.06
0.0239
0.636
.
.
.
.

.5

46

Finding Normal Probabilities

Example - continued
0
0.0000
0.0398
.
.
0.1915
.

0.1
0.0040
0.0438
.
.
.
.

.3413
.1915
.1915
.1915

z
0.0
0.1
.
.
0.5
.

-.5

0.05
0.0199
0.0596
.
.
.
.

0.06
0.0239
0.636
.
.
.
.

.5 1.0

P(-.5<Z<1) = P(-.5<Z<0)+ P(0<Z<1) = .1915 + .3413 = .5328

47

Finding Normal Probabilities

Example - continued

.3413

P(Z<-0.5)=1-P(Z>-0.5)=1-0.6915=0.3085
By Symmetry

P(Z<0.5)

48

Finding Normal Probabilities

Example
The rate of return (X) on an investment is normally distributed
with a mean of 10% and standard deviation of (i) 5%, (ii) 10%.
What is the probability of losing money?

0%

10%

0 - 10
(i) P(X< 0 ) = P(Z<
) = P(Z< - 2)
5

X
.4772
-2

=P(Z>2) = 0.5 - P(0<Z<2) = 0.5 - .4772 = .0228

Z
49

Finding Normal Probabilities

Example
The rate of return (X) on an investment is normally
distributed with mean of 10% and standard deviation of (i)
5%, (ii) 10%.
What is the probability of losing money?

X
0%

10%

0 - 10
(ii) P(X< 0 ) = P(Z<
)
10

.3413
-1

= P(Z< - 1) = P(Z>1) = 0.5 - P(0<Z<1) = 0.5 - .3413 = .1587

Z
50

AREAS UNDER THE STANDARD

NORMAL DENSITY
P(0<Z<1)=.3413

Z
51

AREAS UNDER THE STANDARD

NORMAL DENSITY
.3413

.4772

P(1<Z<2)=.4772-.3413=.1359
52

EXAMPLES
P( Z < 0.94 ) = 0.5 + P( 0 < Z < 0.94 )
= 0.5 + 0.3264 = 0.8264
0.8264

0.94
53

EXAMPLES
P( Z > 1.76 ) = 0.5 P( 0 < Z < 1.76 )
= 0.5 0.4608 = 0.0392

0.0392
0

1.76
54

EXAMPLES
P( -1.56 < Z < 2.13 ) =
= P( -1.56 < Z < 0 ) + P( 0 < Z < 2.13 )
Because of symmetry

P(0 < Z < 1.56)

= 0.4406 + 0.4834 = 0.9240

0.9240

-1.56

2.13

55

STANDARDIZATION
FORMULA
If X~N( , 2), then the standardized value Z of any
X-score associated with calculating probabilities
for the X distribution is:

X
Z
The standardized valueZ of any X-score

associated with calculating probabilities for the X

distribution is:
(Converse Formula)

x z.

56

Finding Values of Z
Sometimes we need to find the value of Z
for a given probability
We use the notation zA to express a Z
value for which P(Z > zA) = A

A
zA
57

PERCENTILE
The pth percentile of a set of measurements
is the value for which at most p% of the
measurements are less than that value.
80th percentile means P( Z < a ) = 0.80
If Z ~ N(0,1) and A is any probability, then
P( Z > zA) = A
A
zA

58

Finding Values of Z
Example
Determine z exceeded by 5% of the population
Determine z such that 5% of the population is below

Solution
z.05 is defined as the z value for which the area on its right
under the standard normal curve is .05.
0.45
0.05

0.05
-Z0.05

Z0.05

1.645

59

EXAMPLES
Let X be rate of return on a proposed
investment. Mean is 0.30 and standard
deviation is 0.1.
a) P(X>.55)=?
Standardization formula
b) P(X<.22)=?
c) P(.25<X<.35)=?
d) 80th Percentile of X is? Converse Formula
e) 30th Percentile of X is?
60

ANSWERS

a) P(X 0.55) P X - 0.3 = Z > 0.55 - 0.3 = 2.5 = 0.5 - 0.4938 = 0.0062
0.1

0.1

b) P(X 0.22) P X - 0.3 = Z 0.22 - 0.3 = 0.8 = 0.5 - 0.2881 = 0.2119

c)

d)
e)

0.1

0.1

X - 0.3
0.35 - 0.3
0.25 0.3

P(0.25 X 0.35) P
0.5
=Z
= 0.5

0.1
0.1
0.1

= 2.* (0.1915) 0.3830

80th Percentile of X is x .z0.20 .3+(.85)*(.1)=.385

30th Percentile of X is x .z0.70 .3+(-.53)*(.1)=.247
61

The Normal Approximation to the

Binomial Distribution
The normal distribution provides a close
approximation to the Binomial distribution
when n (number of trials) is large and p
(success probability) is close to 0.5.
The approximation is used only when
np 5 and
n(1-p) 5
62

The Normal Approximation to the

Binomial Distribution
If the assumptions are satisfied, the Binomial random
variable X can be approximated by normal distribution
with mean = np and 2 = np(1-p).
In probability calculations, the continuity correction
improves the results. For example, if X is Binomial
random variable, then
P(X a) P(X<a+0.5)
P(X a) P(X>a-0.5)
63

EXAMPLE
Let X ~ Binomial(25,0.6), and want to find P(X 13).
Exact binomial calculation:
13

25
(0.6) x (0.4) 25 x 0.267
P(X 13)
x
x 0

Normal approximation (w/o correction): Y~N(15,2.45)

13 15
P(X 13) P(Y 13) P( Z
) P( Z 0.82) 0.206
2.45
Normal approximation is good, but not great!
64

EXAMPLE, cont.

Bars Bin(25,0.6); line N(15, 2.45)

Copied from Casella & Berger (1990)
65

EXAMPLE, cont.
Normal approximation (w correction):
Y~N(15,2.45)
P(X 13) P(X 13.5) P(Y 13.5) P( Z 0.61) 0.271

Much better approximation to the exact value:

0.267

66

Exponential Distribution
The exponential distribution can be used to model
the length of time between telephone calls
the length of time between arrivals at a service station
the lifetime of electronic components.

When the number of occurrences of an event

follows the Poisson distribution, the time between
occurrences follows the exponential distribution.

67

Exponential Distribution
A random variable is exponentially
distributed if its probability density function
is given by

1
f x e , x 0, 0
= e-x, x>=0.
f(x)
isais the
distribution
parameter.
distribution parameter
>0).
x/

E(X) =

V(X) = 2

The cumulative distribution function is

F(x) =1e-x/, x0
68

Exponential distribution for = .5, 1, 2

2.5

f(x) = 2e-2x

f(x) = 1e-1x

1.5

f(x) = .5e-.5x

1
0.5
0

2.5
2
1.5
1

P(a<X<b) = e

-a/

-b/

0.5
0

69

Exponential Distribution
Finding exponential probabilities is
relatively easy:
P(X < a) = P(X a)=F(a)=1 e a/
P(X > a) = ea/
P(a< X < b) = e a/ e b/

70

Exponential Distribution
Example
The service rate at a supermarket checkout
is 6 customers per hour.
If the service time is exponential, find the
following probabilities:
A service is completed in 5 minutes,
A customer leaves the counter more than 10
minutes after arriving
A service is completed between 5 and 8 minutes.

71

Exponential Distribution
Solution
A service rate of 6 per hour =
A service rate of .1 per minute ( = .1/minute).
P(X < 5) = 1-e-.lx = 1 e-.1(5) = .3935
P(X >10) = e-.lx = e-.1(10) = .3679
P(5 < X < 8) = e-.1(5) e-.1(8) = .1572

72

Exponential Distribution
If pdf of lifetime of fluorescent lamp is
exponential with mean 0.10, find the life
for 95% reliability?
The reliability function = R(t) = 1F(t) = e-t/
R(t) = 0.95 t = ?
What is the mean time to failure?

73

GAMMA DISTRIBUTION
X~ Gamma(,)
1

f x
x
e

x/

, x 0, 0, 0

E X and Var X
M t 1 t

1
, t

74

GAMMA DISTRIBUTION
Gamma Function:

x e dx
1

where is a positive integer.

Properties:
1 , 0

n n 1 ! for any integer n 1

1

75

GAMMA DISTRIBUTION
Let X1,X2,,Xn be independent rvs with
Xi~Gamma(i, ). Then,
X ~ Gamma ,

i 1

i 1

Let X be an rv with X~Gamma(, ). Then,

cX ~ Gamma , c where c is positive constant.
Let X1,X2,,Xn be a random sample with
Xi~Gamma(, ). Then,
X

X
~ Gamma n ,
76
n
n

i 1

GAMMA DISTRIBUTION
Special cases: Suppose X~Gamma(,)
If =1, then X~ Exponential()
If =p/2, =2, then X~ 2 (p) (will come back in a min.)
If Y=1/X, then Y ~ inverted gamma.

77

Integral tricks
Recall: h(t) is an odd function if h(-t)=-h(t);
It is an even function if h(-t)=h(t).
Ex: h(x)=x exp{-x/2} odd;
h(x)= exp{-x/2-x} neither odd nor even

odd function =0

even function = 2*

even function

78

CHI-SQUARE DISTRIBUTION
Chi-square with degrees of freedom

X~ 2()= Gamma(/2,2)
1
f ( x) / 2
x / 21e x / 2 , x 0, 1,2,...
2 ( / 2)

E X and Var X 2
M ( t ) (1 2t ) p / 2 t 1 / 2
79

DEGREES OF FREEDOM
In statistics, the phrase degrees of freedom is
used to describe the number of values in the
final calculation of a statistic that are free to vary.
The number of independent pieces of
information that go into the estimate of a
parameter is called the degrees of freedom (df) .
How many components need to be known
before the vector is fully determined?
80

CHI-SQUARE DISTRIBUTION
If rv X has Gamma(,) distribution, then
Y=2X/ has Gamma(,2) distribution. If 2
2
is positive integer, then Y has 2
distribution.
Let X be an rv with X~N(0, 1). Then,
X ~
2

Let X1,X2,,Xn be a r.s. with Xi~N(0,1). Then,

n

X i ~ n

i 1
2

2
81

BETA DISTRIBUTION
The Beta family of distributions is a
continuous family on (0,1) and often used
to model proportions.
1

f x
x 1 x , 0 x 1, 0, 0.
B ,
1

where

B , x 1 x dx

E X
and Var X

1 82
1

CAUCHY DISTRIBUTION
It is a symmetric and bell-shaped
distribution on (,) with pdf
f (x)

1 (

1
x

)2

, 0

Since E X , the mean does not exist.

The mgf does not exist.
measures the center of the distribution
and it is the median.
If X and Y have N(0,1) distribution, then Z=X/Y
has a Cauchy distribution with =0 and =1.

83

LOG-NORMAL DISTRIBUTION
An rv X is said to have the lognormal
distribution, with parameters and 2, if
Y=ln(X) has the N(, 2) distribution.

The lognormal distribution is used to model

continuous random quantities when the
distribution is believed to be skewed, such as
certain income and lifetime variables.
84

STUDENTS T DISTRIBUTION
This distribution will arise in the study of
population mean when the underlying
distribution is normal.
Let Z be a standard normal rv and let U be
a chi-square distributed rv independent of
Z, with degrees of freedom. Then,

Z
X
~ t
U /
When n, XN(0,1).

85

F DISTRIBUTION
Let U and V be independent rvs with chisquare distributions with 1 and 2
degrees of freedom. Then,

U /
X
~ F
V /
1

1, 2

86

MULTIVARIATE
DISTRIBUTIONS

87

EXTENDED HYPERGEOMETRIC
DISTRIBUTION

Suppose that a collection consists of a finite

number of items, N and that there are k+1 different
types; M1 of type 1, M2 of type 2, and so on. Select
n items at random without replacement, and let Xi
be the number of items of type i that are selected.
The vector X=(X1, X2,,Xk) has an extended
hypergeometric distribution and the joint pdf is
f x1 , x2 ,..., xk

M1

x
1

M2 Mk

...
x
x
2 k
N

M k 1

x
k 1

i 1

i 1

, xi {0,1,..., M i }

where M k 1 N M i and x k 1 n xi .
88

MULTINOMIAL DISTRIBUTION
Let E1,E2,...,Ek,Ek+1 be k+1 mutually exclusive
and exhaustive events which can occur on any
trial of an experiment with P(Ei)=pi,i=1,2,,k+1.
On n independent trials of the experiment, let Xi
be the number of occurrences of the event Ei.
Then, the vector X=(X1, X2,,Xk) has a multinomial
distribution with joint pdf

n!
f x1 , x2 ,..., xk
p1x1 p2x2 ... pkxk 11 , xi {0,1,..., n}
x1! x2 !...xk 1!
k

i 1

i 1

where x k 1 n xi and p k 1 1 pi .

89

BIVARIATE NORMAL
DISTRIBUTION
A pair of continuous rvs X and Y is said to
have a bivariate normal distribution if it
has a joint pdf of the form
f x, y

1
21 2 1

exp

x 2 x x

2 1 2 1
1

2
y y

2 2

y y

x , y , 1 0, 2 0, 1 1.

90

BIVARIATE NORMAL
DISTRIBUTION
2
2
If X ,Y ~ BVN x , y , 1 , 2 , , then
2
2
X ~ N x , 1 and Y ~ N y , 2

and is the correlation coefficient btw X a

1. Conditional on X=x,

2
Y x ~ N y ( x X ), 22 1 2
1

2. Conditional on Y=y,

X y ~ N x
( y Y ), 12 1 2
2

91