Distribución Conjunta de Variables Aleatorias

Outline
Joint Distribution Functions

Covariance and Correlation: Quantifying Dependence
Multiple Random Variables
Michael Akritas
Michael Akritas Multiple Random Variables
Outline
Independent Random Variables
Moment Generating Functions
Conditional Distributions
Hierarchical Models
Outline
Hierarchical Models
The joint cumulative distribution function of X and Y is

F(a, b) = P[X a, Y b], < a, b < .
Not as handy to use as in the univariate case. For example:
P(a
1
< X b
1
, a
2
< Y b
2
)
= F(b
1
, b
2
) F(a
1
, b
2
) F(b
1
, a
2
) + F(a
1
, a
1
)
while
P
_
(X, Y) {(x, y) : x
2
+ y
2
r
2
}
_
is not expressible in terms of F(x, y).
Outline
Hierarchical Models
If X and Y are jointly continuous such probabilities can be given in
terms of the joint probability density function, which is a function
f : R
2
R such that
P((X, Y) A) =
_
A
_
f (x, y)dxdy, holds A R
2
In particular,
F(x, y) =
_
f (s, t)dsdt, and by the F.T.C.

2
F(x,y)
xy
= f (x, y), at continuity points of f .
Outline
Hierarchical Models
If X and Y are jointly discrete probabilities P((X, Y) A) can be
given in terms of the joint probability mass function, which is
dened as
p(x, y) = P(X = x, Y = y)
The marginal distributions of X and Y are given by:
1. F
X
(a) = F(a, ), F
Y
(b) = F(, b).
2. p
X
(x) =
y:p(x,y)>0
p(x, y), p
Y
(y) =
x:p(x,y)>0
p(x, y).
3. f
X
(x) =
_
f (x, y)dy, f
Y
(y) =
_
f (x, y)dx.
Outline
Hierarchical Models
Example
45% of customers will purchase a basic at screen TV, 15% will
purchase a high resolution at screen, and the rest will either just
browse or buy something else. Out of the next 5 customers, let X
1
denote the number who buy the basic model, and X
2
the number
who buy the high resolution model.
1. Find the joint distribution of X
1
, X
2
.
2. Find the marginal distributions of X
1
and X
2
.
This is an example of a Multinomial Distribution. See

Example 1f, page 240.
Outline
Hierarchical Models
Example
45% of customers will purchase a basic at screen TV, 15% will
purchase a high resolution at screen, and the rest will either just
browse or buy something else. Out of the next 5 customers, let X
1
denote the number who buy the basic model, and X
2
the number
who buy the high resolution model.
1
, X
2
.
1
and X
2
.
Outline
Hierarchical Models
Example
Customers enter a department store according to a Poisson process
with rate per hour. Two thirds of the customers are female and
1/3 are male. Let X
1
, X
2
denote the number of female and male
customers entering the department store during the next hour.
1
, X
2
.
1
and X
2
.
Outline
Hierarchical Models
Example
5 transistors, 2 of which are defective, are tested one at a time until
both defective transistors are identied. Let N
1
be the number of
tests until the 1st defective is found, and N
2
be the number of
additional tests performed until the second defective is found.
1. Find the joint distribution of N
1
, N
2
.
2. Find the marginal distributions of N
1
and N
2
.
Outline
Hierarchical Models
Denition
X, Y are independent if,
P(X A, Y B) = P(X A)P(Y B)
This is equivalent to
1. F(a, b) = F
X
(a)F
Y
(b)
2. p(x, y) = p
X
(x)p
Y
(y) if X, Y jointly discrete.
3. f (x, y) = f
X
(x)f
Y
(y) if X, Y jointly continuous.
Outline
Hierarchical Models
Proposition
X, Y are independent i
f (x, y) = h(x)g(y)
Example
1. f (x, y) = 6e
2x
e
3y
I (0 < x < , 0 < y < )
2. f (x, y) = 24xyI (0 < x + y < 1)
Outline
Hierarchical Models
Sums of Independent Random Variables
If X, Y are independent, then
F
X+Y
(a) =
_

F
X
(a y)f
Y
(y)dy
f
X+Y
(a) =
_

f
X
(a y)f
Y
(y)dy
F
X+Y
is called the convolution of F
X
, F
Y
.
Example
If X U(0, 1), Y U(0, 1) are independent then
f
X+Y
(a) = aI (0 a 1) + (2 a)I (1 a 2)
Outline
Hierarchical Models
Denition (The Moment Generating Function of X)
M
X
(t) = E(e
tX
).
The basic facts about moment generating functions are:
If M
X
(t) and M
Y
(t) are nite and equal for all h < t < h,
some h > 0, then F
X
= F
Y
.
EX
n
= M
(n)
X
(0) =
d
n
dt
n
M
X
(t)
t=0
M
aX+b
(t) = e
bt
M
X
(at)
If X, Y are independent, M
X+Y
(t) = M
X
(t)M
Y
(t)
Outline
Hierarchical Models
Example
1. If X Bin(n, p) then M
X
(t) = [pe
t
+ (1 p)]
n
.
2. If X Poisson() then M
X
(t) = exp[(e
t
1)].
3. If X Gamma(, ), i.e.
f
X
(x) =

()
x
1
e
x
, > 0, > 0,
then M
X
(t) =
_

t
_
, for t < .
4. If X Exp() then M
X
(t) = /( t), for t < .
5. If X N(0, 1) then M
X
(t) = e
t
2
/2
.
See also pages 358, 359.
Outline
Hierarchical Models
Example
1. The sum of two independent binomial rvs is a binomial rv.
2. The sum of two independent Poisson rvs is a Poisson rv.
3. The sum of two independent Normal rvs is a Normal rv.
Example
1. Find the rst two moments of a binomial random variable.
2. Find the rst two moments of an exponential random variable.
Outline
Hierarchical Models
Example
The joint pmf of X = amount of drug administered to a randomly
selected rat, and Y = the number of tumors the rat develops, is:
y
p(x, y) 0 1 2
0.0 mg/kg .388 .009 .003
x 1.0 mg/kg .485 .010 .005
2.0 mg/kg .090 .008 .002
For jointly discrete X, Y,
P(Y = y|X = x) =
P(X = x, Y = y)
P(X = x)
=
p(x, y)
p
X
(x)
,
Outline
Hierarchical Models
Example
Find the conditional pmf of the number of tumors when the dosage
is 0 mg and when the dosage is 2 mg.
Solution:
y 0 1 2
p
Y|X
(y|X = 0) .388/.4=.97 .009/.4=.0225 .003/.4=.0075
p
Y|X
(y|X = 2) .090/.1=.9 .008/.1=.08 .002/.1=.02
Outline
Hierarchical Models
Example
Let X
1
Poisson(
1
) and X
2
Poisson(
2
) be independent. Find
the conditional distribution of X
1
given X
1
+ X
2
= n.
Answer:
P(X
1
= k|X
1
+ X
2
= n) =
_
n
k
__

1
1
+
2
_
k
_

2
1
+
2
_
nk
Outline
Hierarchical Models
Conditional Expected Value and Variance
The conditional pmf is a proper pmf. Thus,

p
Y|X
(y
j
|x) 0, for all j = 1, 2, . . ., and
j
p
Y|X
(y
j
|x) = 1.
The conditional expected value of Y given X = x is the

mean of the conditional pmf of Y given X = x. It is denoted
by E(Y|X = x) or
Y|X=x
or
Y|X
(x).
The conditional variance of Y given X = x is the variance

of the conditional pmf of of Y given X = x. It is denoted by
2
Y|X=x
or
2
Y|X
(x).
Outline
Hierarchical Models
Example
Find the conditional expected value and variance of the number of
tumors when X = 2.
Solution. Using the conditional pmf that we found before, we have,
E(Y|X = 2) = 0 (.9) + 1 (.08) + 2 (.02) = .12.
Compare this with E(Y) = .047. Next,
E(Y
2
|X = 2) = 0 (.9) + 1 (.08) + 2
2
(.02) = .16.
so that
2
Y|X
(2) = .16 .12
2
= .1456
Outline
Hierarchical Models
The Regression Function
For a bivariate r.v. (X, Y), the regression function of Y on X

shows how the conditional mean of Y changes with the
observed value of X. More precisely,
Denition
The conditional expected value of Y given that X = x, i.e.
Y|X
(x) = E(Y|X = x),
when considered as a function of x, is called the regression
function of Y on X.
The regression function of Y on X is the fundamental

ingredient for predicting Y from and observed value of X.
Outline
Hierarchical Models
Example
In the example where X = amount of drug administered and Y =
number of tumors developed we have
y 0 1 2
p
Y|X=0
(y) .97 .0225 .0075
p
Y|X=1
(y) .97 .02 .01
p
Y|X=2
(y) .9 .08 .02
Find the regression function of Y on X.
Solution: Here, E(Y|X = 0) = 0.0375, E(Y|X = 1) = 0.04,
E(Y|X = 2) = 0.12. Thus the regression function of Y on X is
x 0 1 2
Y|X
(x) 0.0375 0.04 0.12
Outline
Hierarchical Models
Proposition (Law of Total Probability for Expectations)
E(Y) =
xS
X
E(Y|X = x)p
X
(x).
Example
In the previous example we have
x 0 1 2
p
X
(x) .4 .5 .1.
Find
Y
.
Solution: 0.0375 .4 + 0.04 .5 + 0.12 .1 = .047
Outline
Hierarchical Models
If (X, Y) have joint pdf f (x, y),

f
Y|X
(y|x) =
f (x, y)
f
X
(x)
.
For each xed x, f

Y|X
(y|x) is a proper pdf:
P(Y A|X = x) =
_
A
f
Y|X
(y|x)dy
F
Y|X
(a|x) = P(Y a|X = x) =
_
a
f
Y|X
(y|x)dy
Note: We have just dened conditional probability given an event
of probability zero!!
Outline
Hierarchical Models
Example
If
f (x, y) =
e
x/y
e
y
y
I (x > 0)I (y > 0)
nd P(X > 1|Y = y) and E(X|Y = y).
Answer:
P(X > 1|Y = y) = e
1/y
, E(X|Y = y) = y.
Outline
Hierarchical Models
The joint distribution can be specied from the conditional

and marginal distributions:
p(x, y) = p
Y|X
(y|x)p
X
(x), f (x, y) = f
Y|X
(y|x)f
X
(x)
This is called hierarchical modeling.
With hierarchical modeling the conditional and marginal

distributions do not have to be both continuous or both
discrete:
p
Y|X
(y|x)f
X
(x), or f
Y|X
(y|x)p
X
(x)
Outline
Hierarchical Models
Example
Let X be the number of eggs an insect lays and Y the number of
eggs that survive. Suppose each egg survives with probability p.
The joint distribution of X, Y can be specied hierarchically:
Y|X Bin(X, p), X Poisson()
Then the distribution of the number Y surviving eggs can be
found from
P(Y = y) =
x=0
_
x
y
_
p
y
(1 p)
xy
e
x
x!
= e
p
(p)
y
y!
Outline
Cov(X, Y) = E[(X
X
)(Y
Y
)] = E(XY)
X
Properties:
1. If X, Y are independent, Cov(X, Y) = 0.
2. Cov(X, Y) =Cov(Y, X)
3. Cov(X, Y) = Cov(X, Y)
4. Cov(aX + b, cY + d) = acCov(X, Y)
5. Cov(
n
i =1
X
i
,
m
j =1
Y
j
) =
n
i =1
m
j =1
Cov(X
i
, Y
j
)

X,Y
=Cov(X, Y)/(
X
Y
)
Properties:
1.
aX+b,cY+d
=
X,Y
2. 1
X,Y
1
3. = 1 (or 1) i P(Y = +X) = 1 with > 0
(or < 0).
Outline
In order to show that if X, Y are independent then

Cov(X, Y) = 0 (in which case
X,Y
= 0 too), we made use of
Proposition
If X, Y are independent then
E[g(X)h(Y)] = E[g(X)]E[h(Y)]
In order to show that = 1 (or 1) i P(Y = +X) = 1

with > 0 (or < 0), we made use of
Proposition
Let X be a random variable with mean . If Var(X) = 0, then
P(X = ) = 1, i.e. X is a constant.
Outline
Proposition (Consequences of a Linear Relationship)
If E(Y|X) = +X then
1. = E(Y) E(X)
2. Cov(X, Y) = Var(X)
3. =
X,Y
X
Proof: 1. It follows from E(Y) = E[E(Y|X)].
2. Use E(W) = E[E(W|V)] with W = XY and V = X to get
E(XY) = E[E(XY|X)] = E[XE(Y|X)]
= E[X( +X)] = E(X) +E(X
2
)
= E(Y)E(X) E(X)
2
+E(X
2
)
= E(Y)E(X) +Var(X)

Distribución Conjunta de Variables Aleatorias

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Distribución Conjunta de Variables Aleatorias

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Outline

Joint Distribution Functions

The joint cumulative distribution function of X and Y is

f (s, t)dsdt, and by the F.T.C.

This is an example of a Multinomial Distribution. See

The conditional pmf is a proper pmf. Thus,

The conditional expected value of Y given X = x is the

The conditional variance of Y given X = x is the variance

For a bivariate r.v. (X, Y), the regression function of Y on X

The regression function of Y on X is the fundamental

If (X, Y) have joint pdf f (x, y),

For each xed x, f

The joint distribution can be specied from the conditional

With hierarchical modeling the conditional and marginal

In order to show that if X, Y are independent then

In order to show that = 1 (or 1) i P(Y = +X) = 1

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